quantproject-developers

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GenomeManagement.cs, 1.7, 1.8

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13547/b1_ADT/Optimizing/Genetic

Modified Files:
	GenomeManagement.cs 
Log Message:
Added MixGenesWithoutDuplicates method to the class (it is a general method that can be used in general by IGenomeManager objects)

Index: GenomeManagement.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeManagement.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** GenomeManagement.cs	7 Aug 2005 08:20:53 -0000	1.7
--- GenomeManagement.cs	2 Jul 2006 19:51:36 -0000	1.8
***************
*** 43,47 ****
      static GenomeManagement()
      {
! 	  	RandomGenerator = new Random((int)DateTime.Now.Ticks);
  		  childs = new Genome[2];  	
  		}
--- 43,47 ----
      static GenomeManagement()
      {
! 	  	RandomGenerator = new Random(ConstantsProvider.SeedForRandomGenerator);
  		  childs = new Genome[2];  	
  		}
***************
*** 54,57 ****
--- 54,64 ----
        //the two childs now points to their parents
        maskForChilds = new int[childs.Length, genomeSize];
+       for(int i = 0; i<genomeSize; i++)
+       {
+         maskForChilds[0,i]=1;
+         maskForChilds[1,i]=2;
+       }
+       //maskForChilds has been set in order to re-create
+       //a copy of parents by using setChildsUsingMaskForChilds()
      }
  
***************
*** 190,193 ****
--- 197,285 ----
  			
      }
+ 
+     #region MixGenesWithoutDuplicates
+ 
+     private static int[] genePositionsOfParent1NotPresentInParent2(Genome parent1,
+       Genome parent2)
+     {
+       int[] returnValue = new int[parent1.Size];
+       for(int i = 0; i < returnValue.Length; i++)
+       {
+         returnValue[i] = - 1;
+         int geneValue = parent1.GetGeneValue(i);
+         if(geneValue >= 0)
+         {
+           if(!parent2.HasGene(geneValue) &&
+             !parent2.HasGene(-Math.Abs(geneValue) - 1))
+             returnValue[i] = i;
+         }
+         else
+         {
+           if(!parent2.HasGene(geneValue) &&
+             !parent2.HasGene(Math.Abs(geneValue) - 1))
+             returnValue[i] = i;
+         }
+       }
+       return returnValue;
+     }
+ 
+     private static void setMaskForChildsForMixingWithoutDuplicates(Genome parent1, Genome parent2)
+ 		                                                           
+     {
+       int[] genePlacesOfParent1NotPresentInParent2 = 
+         genePositionsOfParent1NotPresentInParent2(parent1, parent2);
+       int[] genePlacesOfParent2NotPresentInParent1 = 
+         genePositionsOfParent1NotPresentInParent2(parent2, parent1);
+       bool justExchangedAtPreviousPosition = false;
+       for(int i = 0;i<parent1.Size;i++)
+       {
+         if(!justExchangedAtPreviousPosition)
+           //exchanges between genes of parents in childs
+           //must follow an alternate pattern, in order to
+           //avoid plain copy of parents in childs when all genes
+           //of the first parent are not in the second one (and viceversa)
+         {  
+           if(genePlacesOfParent2NotPresentInParent1[i]!= - 1)
+           {
+             maskForChilds[0, i] = 2;
+             justExchangedAtPreviousPosition = true;
+           }
+           if(genePlacesOfParent1NotPresentInParent2[i]!= - 1)
+           {
+             maskForChilds[1, i] = 1;
+             justExchangedAtPreviousPosition = true;
+           }
+         }
+         else
+           justExchangedAtPreviousPosition = false;
+       }
+     }
+ 
+     /// <summary>
+     /// This method returns an array of genomes based on 
+     /// a mix of the genes of parents, such that the 2 childs,
+     /// if possible, are different from parents and, at 
+     /// the same time, childs' genes are not duplicated  
+     /// </summary> 
+     /// <param name="parent1">First genome parent from which genes are to be mixed in offspring</param>
+     /// <param name="parents">Second genome parent from which genes are to be mixed in offspring</param>
+     /// <param name="constToDiscoverGenesDuplicates">Gene y is a duplicate of gene x iff y = |x| - 1
+     ///  or y = -|x| -1</param>
+     public static Genome[] MixGenesWithoutDuplicates(Genome parent1, Genome parent2)
+     {
+       initializeStaticMembers(parent1, parent2);
+       if(parent1.Size > (parent1.MaxValueForGenes - parent1.MinValueForGenes + 1))
+         //it is impossible not to duplicate genes if size is too
+         // large for the range of variation of each gene
+         throw new Exception("Impossible to avoid duplicates with the given size!");
+       if(parent1.Size != parent2.Size)
+         throw new Exception("Genomes must have the same size!");	
+       
+       setMaskForChildsForMixingWithoutDuplicates(parent1, parent2);
+       setChildsUsingMaskForChilds(parent1, parent2);
+       //throwExcIfAChildHasDuplicateGenes(); //just for debugging purposes
+       return childs;
+     }
+     #endregion
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes RunEfficientOTCTypes.cs, 1.3, 1.4

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9856/b7_Scripts/TickerSelectionTesting/TestingOTCTypes

Modified Files:
	RunEfficientOTCTypes.cs 
Log Message:
Updated RunEfficientOTCTypes

Index: RunEfficientOTCTypes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/RunEfficientOTCTypes.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunEfficientOTCTypes.cs	14 May 2006 18:21:47 -0000	1.3
--- RunEfficientOTCTypes.cs	2 Jul 2006 19:42:15 -0000	1.4
***************
*** 72,76 ****
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "OTC_Types_SharpeRatioCombinedNoCoeff";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
        this.accounts = new Account[4];
--- 72,76 ----
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "OTC_Types_ExpScoreWithCoeff";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
        this.accounts = new Account[4];

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend RunExtremeCounterTrend.cs, 1.1, 1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9454/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend

Modified Files:
	RunExtremeCounterTrend.cs 
Log Message:
Improved names of the files that are saved on disk (reports, accounts or genomes).

Index: RunExtremeCounterTrend.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/RunExtremeCounterTrend.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunExtremeCounterTrend.cs	14 May 2006 15:33:37 -0000	1.1
--- RunExtremeCounterTrend.cs	2 Jul 2006 19:41:46 -0000	1.2
***************
*** 57,61 ****
      private int numDaysBetweenEachOptimization;
  		
!     public RunExtremeCounterTrend(string tickerGroupID, int numberOfEligibleTickers, 
                                      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
                                      int generationNumberForGeneticOptimizer,
--- 57,61 ----
      private int numDaysBetweenEachOptimization;
  		
!     public RunExtremeCounterTrend(string tickerGroupID, int maxNumOfEligibleTickersForOptimization, 
                                      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
                                      int generationNumberForGeneticOptimizer,
***************
*** 66,70 ****
                                      PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
                                      double maxRunningHours):
! 																base(tickerGroupID, numberOfEligibleTickers, 
                                      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
                                      generationNumberForGeneticOptimizer,
--- 66,70 ----
                                      PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
                                      double maxRunningHours):
! 																base(tickerGroupID, maxNumOfEligibleTickersForOptimization, 
                                      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
                                      generationNumberForGeneticOptimizer,
***************
*** 73,77 ****
                                     	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "ExtremeCounterTrendScriptWithSharpe";
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
--- 73,77 ----
                                     	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "ExtremeCounterTrendScriptWithExpScoreWeighted";
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
***************
*** 116,121 ****
      public override void SaveScriptResults()
      {
!       string fileName = "From"+this.numberOfEligibleTickers +
!                       "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
                        this.numberOfTickersToBeChosen + "GenNum" + 
                        this.generationNumberForGeneticOptimizer +
--- 116,121 ----
      public override void SaveScriptResults()
      {
!       string fileName = "From"+ this.tickerGroupID + "_" + this.numberOfEligibleTickers +
!                       "_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tickers" +
                        this.numberOfTickersToBeChosen + "GenNum" + 
                        this.generationNumberForGeneticOptimizer +

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis RunTestingOptimizationExtremeCounterTrend.cs, 1.1, 1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6845/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis

Modified Files:
	RunTestingOptimizationExtremeCounterTrend.cs 
Log Message:
Updated files for testing optimization on OTC and ExtremeCounterTrend strategies.


Index: RunTestingOptimizationExtremeCounterTrend.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis/RunTestingOptimizationExtremeCounterTrend.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunTestingOptimizationExtremeCounterTrend.cs	14 May 2006 18:07:46 -0000	1.1
--- RunTestingOptimizationExtremeCounterTrend.cs	2 Jul 2006 19:36:12 -0000	1.2
***************
*** 30,33 ****
--- 30,34 ----
  using QuantProject.Data.DataTables;
  using QuantProject.ADT.Statistics;
+ using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.ExtremeCounterTrend;
  
***************
*** 46,55 ****
      private int numberOfEligibleTickers;
      private int numberOfTickersToBeChosen;
!     private int numDaysForOptimization;
      private int populationSizeForGeneticOptimizer;
      private int generationNumberForGeneticOptimizer;
    	private string benchmark;
    	private DateTime marketDate;
!   	private double targetReturn;
    	private PortfolioType portfolioType;
    	private int numDaysAfterLastOptimizationDay;
--- 47,56 ----
      private int numberOfEligibleTickers;
      private int numberOfTickersToBeChosen;
!     private int numDaysForOptimizationPeriod;
      private int populationSizeForGeneticOptimizer;
      private int generationNumberForGeneticOptimizer;
    	private string benchmark;
    	private DateTime marketDate;
!   	private int numDaysForReturnCalculation;
    	private PortfolioType portfolioType;
    	private int numDaysAfterLastOptimizationDay;
***************
*** 59,66 ****
        	
      public RunTestingOptimizationExtremeCounterTrend(string tickerGroupID, int numberOfEligibleTickers,
!       				int numberOfTickersToBeChosen, int numDaysForOptimization,
        				int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer, 
        				string benchmark,
!       				DateTime marketDate, double targetReturn,
        				PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
        				int numberOfSubsets, int numberOfGenomesToTest)
--- 60,67 ----
        	
      public RunTestingOptimizationExtremeCounterTrend(string tickerGroupID, int numberOfEligibleTickers,
!       				int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
        				int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer, 
        				string benchmark,
!       				DateTime marketDate, int numDaysForReturnCalculation,
        				PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
        				int numberOfSubsets, int numberOfGenomesToTest)
***************
*** 73,82 ****
    		this.numberOfEligibleTickers = numberOfEligibleTickers;
    		this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
!   		this.numDaysForOptimization = numDaysForOptimization;
    		this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
    		this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
    		this.benchmark = benchmark;
    		this.marketDate = marketDate;
!   		this.targetReturn = targetReturn;
    		this.portfolioType = portfolioType;
    		this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
--- 74,83 ----
    		this.numberOfEligibleTickers = numberOfEligibleTickers;
    		this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
!   		this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
    		this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
    		this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
    		this.benchmark = benchmark;
    		this.marketDate = marketDate;
!   		this.numDaysForReturnCalculation = numDaysForReturnCalculation;
    		this.portfolioType = portfolioType;
    		this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
***************
*** 84,101 ****
     	}
      
!   	private DataTable getSetOfTickersToBeOptimized(DateTime date)
      {
             	
       	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!         																										date);
        
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketFromTemporized = 
          new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
!         false, date.AddDays(-this.numDaysForOptimization), date,
!         this.numberOfEligibleTickers, this.benchmark);
!       
!       return quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers();
      }
    	
      private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
    		
--- 85,137 ----
     	}
      
!   	private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
             	
       	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!         																										currentDate);
        
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromTemporized = 
          new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         600, this.benchmark);
!       // filter to be used with plain stocks
! //      DataTable tickersQuotedAtEachMarketDay = quotedAtEachMarketDayFromTemporized.GetTableOfSelectedTickers();
! //      SelectorByLiquidity mostLiquid =
! //      	new SelectorByLiquidity(tickersQuotedAtEachMarketDay,
! //      	                        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //      	                        tickersQuotedAtEachMarketDay.Rows.Count/2);
! //      
! //      DataTable mostLiquidTickers = mostLiquid.GetTableOfSelectedTickers();
! //      	                        
! //      SelectorByCloseToCloseVolatility lessVolatile =
! //      	new SelectorByCloseToCloseVolatility(mostLiquidTickers,
! //      	                                     true,currentDate.AddDays(-30), currentDate,
! //      	                                     Math.Min(this.numberOfEligibleTickers, mostLiquidTickers.Rows.Count/2));
! ////      return mostLiquid.GetTableOfSelectedTickers();
! //      return lessVolatile.GetTableOfSelectedTickers();
!       //
!       return quotedAtEachMarketDayFromTemporized.GetTableOfSelectedTickers();
      }
    	
+     private double setFitnesses_setFitnessesActually_getFitnessOutOfSample_PortfolioClose(Genome portfolioGenome, DateTime date)
+   		
+     {
+       double returnValue = 0.0;
+       foreach(string tickerCode in ((GenomeMeaning)portfolioGenome.Meaning).Tickers)
+       {
+         double coefficient = 1.0;
+         string ticker = tickerCode;
+         if(ticker.StartsWith("-"))
+         {
+           ticker = ticker.Substring(1,ticker.Length -1);
+           coefficient = -1.0;
+         }
+         Quotes tickerQuotes = new Quotes(ticker, date,
+                                          date);
+         returnValue += (tickerQuotes.GetFirstValidCloseToCloseRatio(date) - 1.0)*coefficient;
+       }
+       return returnValue/portfolioGenome.Size;
+     }
+ 
      private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
    		
***************
*** 111,151 ****
            coefficient = -1.0;
          }
!         DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
!         //returnValue is the single return for the numDaysAfterLastOptimizationDay - th day
!         //after the given market date
!         
!         //Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
!         //  															 dateOutOfSample);
!         //returnValue +=
!         //  (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
!         //  tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
! 	 			
!         //returnValue is the average return for the interval between
! 	 			//the given market date and the numDaysAfterLastOptimizationDay - th
! 	 			//day after the given market date
! 	 			//Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!         //  															 dateOutOfSample);
!         //double close, open;
! 	 			//for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 	 			//{
! 		      //close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
! 		      //open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
! 	 				//returnValue +=
! 		      //(close/open - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
! 		      	
! 	 			//}
          
-         //returnValue is the sharpe ratio for the interval between
-         //the given market date and the numDaysAfterLastOptimizationDay - th
-         //day after the given market date
          Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!           															 dateOutOfSample);
!         double close, open;
!         double[] returns = new double[this.numDaysAfterLastOptimizationDay];
!         for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
          {
!           close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
!           open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
!           returns[i] = (close/open - 1.0)*coefficient;
          }
          returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
--- 147,162 ----
            coefficient = -1.0;
          }
!         DateTime endDateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
          
          Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!           															 endDateOutOfSample);
!         double[] returns = new double[tickerQuotes.Rows.Count];
!         for(int i = 1; i<returns.Length; i++)
          {
!           if(this.setFitnesses_setFitnessesActually_getFitnessOutOfSample_PortfolioClose(
!                 genome, (DateTime)tickerQuotes.Rows[i-1]["quDate"])>0.0)
!             coefficient = -1.0 * coefficient;
!         	returns[i] = (tickerQuotes.GetFirstValidCloseToCloseRatio(
!                           (DateTime)tickerQuotes.Rows[i]["quDate"] ) - 1.0)*coefficient;
          }
          returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
***************
*** 251,263 ****
        DataTable setOfTickersToBeOptimized = 
        	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientOTCTypes = 
!         new GenomeManagerForEfficientOTCTypes(setOfTickersToBeOptimized,
!       	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
!       	                                          this.marketDate,
!       	                                          this.numberOfTickersToBeChosen,
!       	                                          this.targetReturn,
!       	                                         	this.portfolioType);
      
!       this.setFitnesses_setFitnessesActually(genManEfficientOTCTypes);
        
      }
--- 262,275 ----
        DataTable setOfTickersToBeOptimized = 
        	this.getSetOfTickersToBeOptimized(this.marketDate);
!       
!       IGenomeManager genManExtremeCounterTrend =
!         new GenomeManagerECT(setOfTickersToBeOptimized,
! 	                            this.marketDate.AddDays(-this.numDaysForOptimizationPeriod),
! 	                            this.marketDate,
! 	                            this.numberOfTickersToBeChosen,
! 	                            this.numDaysForReturnCalculation,
! 	                           	this.portfolioType);
      
!       this.setFitnesses_setFitnessesActually(genManExtremeCounterTrend);
        
      }
***************
*** 292,297 ****
    	  StreamWriter w = File.AppendText(pathFile);
    	  w.WriteLine ("\n----------------------------------------------\r\n");
!   	  w.Write("\r\nNew Test for Evaluation of Open To Close Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString());
!   	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
        w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
        w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
--- 304,309 ----
    	  StreamWriter w = File.AppendText(pathFile);
    	  w.WriteLine ("\n----------------------------------------------\r\n");
!   	  w.Write("\r\nNew Test for Evaluation of Extreme Counter Trend Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString());
!   	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimizationPeriod.ToString());
        w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
        w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToCloseFitnessCombined.cs, 1.1, 1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6845/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

Modified Files:
	RunTestingOptimizationOpenToCloseFitnessCombined.cs 
Log Message:
Updated files for testing optimization on OTC and ExtremeCounterTrend strategies.


Index: RunTestingOptimizationOpenToCloseFitnessCombined.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToCloseFitnessCombined.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunTestingOptimizationOpenToCloseFitnessCombined.cs	14 May 2006 18:06:39 -0000	1.1
--- RunTestingOptimizationOpenToCloseFitnessCombined.cs	2 Jul 2006 19:36:12 -0000	1.2
***************
*** 84,124 ****
     	}
      
!   	private DataTable getSetOfTickersToBeOptimized(DateTime date)
      {
!       /*
!       SelectorByAverageRawOpenPrice selectorByOpenPrice = 
!                   new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
!                           currentDate.AddDays(-this.numDaysForOptimization), currentDate,
!                           this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
!                           this.maxPriceForMinimumCommission, 0, 2);
!       DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
!       */
!      	
!      	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!       	                                                    date);
!       
!       SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
!         new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
!                                           this.benchmark,true,
!                                           date.AddDays(-this.numDaysForOptimization ),
!                                           date,
!                                          this.numberOfEligibleTickers);
        
!       DataTable eligibleTickers;
!       eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
!       //eligibleTickers = temporizedGroup.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
!         new SelectorByQuotationAtEachMarketDay( eligibleTickers,
!                                    false, date.AddDays(-this.numDaysForOptimization),
!                                     date, this.numberOfEligibleTickers, this.benchmark);
!       //SelectorByWinningOpenToClose winners =
!       	//new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
!       	  //                               false, date.AddDays(-1),
!       	    //                             date.AddDays(-1), this.numberOfEligibleTickers/2,
!               //                            true);      	                                 
!       //return winners.GetTableOfSelectedTickers();
       
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!       //return lessCorrelated.GetTableOfSelectedTickers();
      }
    	
--- 84,102 ----
     	}
      
!   	private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       SelectorByLiquidity mostLiquid =
!         new SelectorByLiquidity(tickersFromGroup,
!         false,currentDate.AddDays(-this.numDaysForOptimization), currentDate,
!         this.numberOfEligibleTickers);
        
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay(mostLiquid.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimization), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
       
!       return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
    	
***************
*** 276,281 ****
        DataTable setOfTickersToBeOptimized = 
        	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientOTCTypes = 
!         new GenomeManagerForEfficientOTCTypes(setOfTickersToBeOptimized,
        	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
        	                                          this.marketDate,
--- 254,259 ----
        DataTable setOfTickersToBeOptimized = 
        	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientOTC_CTO = 
!         new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
        	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
        	                                          this.marketDate,
***************
*** 284,288 ****
        	                                         	this.portfolioType);
      
!       this.setFitnesses_setFitnessesActually(genManEfficientOTCTypes);
        
      }
--- 262,266 ----
        	                                         	this.portfolioType);
      
!       this.setFitnesses_setFitnessesActually(genManEfficientOTC_CTO);
        
      }

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByCloseToCloseCorrelationToBenchmark.cs, 1.2, 1.3

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4685/b3_Data/Selectors

Modified Files:
	SelectorByCloseToCloseCorrelationToBenchmark.cs 
Log Message:
The selector has been simplified, and some bugs have been fixed.

Index: SelectorByCloseToCloseCorrelationToBenchmark.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByCloseToCloseCorrelationToBenchmark.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** SelectorByCloseToCloseCorrelationToBenchmark.cs	20 Dec 2005 19:29:57 -0000	1.2
--- SelectorByCloseToCloseCorrelationToBenchmark.cs	2 Jul 2006 19:31:18 -0000	1.3
***************
*** 22,30 ****
  
  using System;
- using System.Collections;
  using System.Data;
- using System.Windows.Forms;
  using QuantProject.DataAccess.Tables;
! using QuantProject.Data.DataTables;
  
  namespace QuantProject.Data.Selectors
--- 22,28 ----
  
  using System;
  using System.Data;
  using QuantProject.DataAccess.Tables;
! using QuantProject.ADT.Statistics;
  
  namespace QuantProject.Data.Selectors
***************
*** 41,49 ****
    {
      private string benchmark;
!     private int numDaysBetweenEachClose;
      /// <summary>
      /// Creates a new instance of the selector
      /// </summary>
!     /// <param name="setOfTickersToBeSelected">The data table containing in the first column the tickers that have to be ordered</param>
      /// <param name="benchmark">Benchmark code</param>
      /// <param name="orderInASCmode">Ordering mode</param>
--- 39,49 ----
    {
      private string benchmark;
!     private bool addBenchmarkToTheGivenSetOfTickers;
      /// <summary>
      /// Creates a new instance of the selector
      /// </summary>
!     /// <param name="setOfTickersToBeSelected">The data table containing
!     /// in the first column the tickers that have to be ordered by pearson correlation
!     /// coefficient to a given benchmark</param>
      /// <param name="benchmark">Benchmark code</param>
      /// <param name="orderInASCmode">Ordering mode</param>
***************
*** 51,73 ****
      /// <param name="lastQuoteDate">The last date for the interval</param>
      /// <param name="maxNumOfReturnedTickers">Max number of tickers to be returned</param>
-     /// <param name="numDaysBetweenEachClose">Number of days between closes to be studied. NOTE that
-     /// close values are grouped in pairs and the first close value in each group is 
-     /// not the last close in the previous group. There is, in other words, a discontinuity
-     /// between each group, with length equal to the group's length </param>
      public SelectorByCloseToCloseCorrelationToBenchmark(DataTable setOfTickersToBeSelected,
!                                string benchmark,
!                                bool orderInASCmode,
!                                DateTime firstQuoteDate,
!                                DateTime lastQuoteDate,
!                                long maxNumOfReturnedTickers,
!                                int numDaysBetweenEachClose):
!                                     base(setOfTickersToBeSelected, 
!                                          orderInASCmode,
!                                          firstQuoteDate,
!                                          lastQuoteDate,
!                                          maxNumOfReturnedTickers)
      {
        this.benchmark = benchmark;
!       this.numDaysBetweenEachClose = numDaysBetweenEachClose;
      }
       
--- 51,69 ----
      /// <param name="lastQuoteDate">The last date for the interval</param>
      /// <param name="maxNumOfReturnedTickers">Max number of tickers to be returned</param>
      public SelectorByCloseToCloseCorrelationToBenchmark(DataTable setOfTickersToBeSelected,
!                                                         string benchmark,
!                                                         bool orderInASCmode,
!                                                         DateTime firstQuoteDate,
!                                                         DateTime lastQuoteDate,
!                                                         long maxNumOfReturnedTickers,
!                                                         bool addBenchmarkToTheGivenSetOfTickers):
!                                                         base(setOfTickersToBeSelected, 
!                                                             orderInASCmode,
!                                                             firstQuoteDate,
!                                                             lastQuoteDate,
!                                                             maxNumOfReturnedTickers)
      {
        this.benchmark = benchmark;
!       this.addBenchmarkToTheGivenSetOfTickers = addBenchmarkToTheGivenSetOfTickers;
      }
       
***************
*** 76,80 ****
       /// </summary>
       /// <param name="groupID">The group ID containing the tickers that have to be ordered</param>
!      /// <param name="benchmark">Benchmark code</param>
       /// <param name="orderInASCmode">Ordering mode</param>
       /// <param name="firstQuoteDate">The first date for the interval</param>
--- 72,76 ----
       /// </summary>
       /// <param name="groupID">The group ID containing the tickers that have to be ordered</param>
!      /// <param name="benchmark">Benchmark</param>
       /// <param name="orderInASCmode">Ordering mode</param>
       /// <param name="firstQuoteDate">The first date for the interval</param>
***************
*** 86,103 ****
       /// between each group, with length equal to the group's length </param>
       public SelectorByCloseToCloseCorrelationToBenchmark(string groupID, 
!                                 string benchmark,
!                                 bool orderInASCmode,
!                                 DateTime firstQuoteDate,
!                                 DateTime lastQuoteDate,
!                                 long maxNumOfReturnedTickers,
!                                	int numDaysBetweenEachClose):
!                                   base(groupID, 
!                                       orderInASCmode,
!                                       firstQuoteDate,
!                                       lastQuoteDate,
!                                       maxNumOfReturnedTickers)
       {
          this.benchmark = benchmark;
!         this.numDaysBetweenEachClose = numDaysBetweenEachClose;
       }
  
--- 82,99 ----
       /// between each group, with length equal to the group's length </param>
       public SelectorByCloseToCloseCorrelationToBenchmark(string groupID, 
!                                                         string benchmark,
!                                                         bool orderInASCmode,
!                                                         DateTime firstQuoteDate,
!                                                         DateTime lastQuoteDate,
!                                                         long maxNumOfReturnedTickers,
!                                                         bool addBenchmarkToTheGivenSetOfTickers):
!                                                         base(groupID, 
!                                                             orderInASCmode,
!                                                             firstQuoteDate,
!                                                             lastQuoteDate,
!                                                             maxNumOfReturnedTickers)
       {
          this.benchmark = benchmark;
!         this.addBenchmarkToTheGivenSetOfTickers = addBenchmarkToTheGivenSetOfTickers;
       }
  
***************
*** 106,124 ****
      {
        if(this.setOfTickersToBeSelected == null)
!         return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
                                      this.groupID,this.benchmark,
                                      this.firstQuoteDate, this.lastQuoteDate,
!                                     this.maxNumOfReturnedTickers, this.numDaysBetweenEachClose);        
  
        else
!         return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
            this.setOfTickersToBeSelected,this.benchmark,
            this.firstQuoteDate, this.lastQuoteDate,
!           this.maxNumOfReturnedTickers, this.numDaysBetweenEachClose);      
      }
      public void SelectAllTickers()
      {
        ;
!     }	
  	}
  }
--- 102,174 ----
      {
        if(this.setOfTickersToBeSelected == null)
!         return this.getTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
                                      this.groupID,this.benchmark,
                                      this.firstQuoteDate, this.lastQuoteDate,
!                                     this.maxNumOfReturnedTickers);        
  
        else
!         return this.getTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
            this.setOfTickersToBeSelected,this.benchmark,
            this.firstQuoteDate, this.lastQuoteDate,
!           this.maxNumOfReturnedTickers);      
      }
      public void SelectAllTickers()
      {
        ;
!     }
!     
!     private DataTable getTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
!                                                 DataTable setOfTickers, string benchmark,
!                                                 DateTime firstQuoteDate,
!                                                 DateTime lastQuoteDate,
!                                                 long maxNumOfReturnedTickers)
!     {
!       if(!setOfTickers.Columns.Contains("CloseToCloseCorrelationToBenchmark"))
!         setOfTickers.Columns.Add("CloseToCloseCorrelationToBenchmark", System.Type.GetType("System.Double"));
!       float[] benchmarkQuotes = QuantProject.Data.DataTables.Quotes.GetArrayOfAdjustedCloseQuotes(benchmark, firstQuoteDate, lastQuoteDate);
!       foreach(DataRow row in setOfTickers.Rows)
!       {
!         float[] tickerQuotes = QuantProject.Data.DataTables.Quotes.GetArrayOfAdjustedCloseQuotes((string)row[0], 
!                                 firstQuoteDate, lastQuoteDate);
!         if(tickerQuotes.Length == benchmarkQuotes.Length)
!         {
!           if((string)row[0] == benchmark)
!             row["CloseToCloseCorrelationToBenchmark"] = 1;
!           else
!             row["CloseToCloseCorrelationToBenchmark"] =
!               BasicFunctions.PearsonCorrelationCoefficient(benchmarkQuotes, tickerQuotes);
!         }
!           
!       }
!       DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,
!                                                               "CloseToCloseCorrelationToBenchmark>=0.0 OR " +
!                                                               "CloseToCloseCorrelationToBenchmark<0.0",
!                                                               "CloseToCloseCorrelationToBenchmark",
!                                                               orderByASC);
!       ExtendedDataTable.DeleteRows(tableToReturn, maxNumOfReturnedTickers);
!       if(this.addBenchmarkToTheGivenSetOfTickers)
!       {
!         DataRow newRow = tableToReturn.NewRow();
!         newRow[0] = benchmark;
!         tableToReturn.Rows.Add(newRow);
!       }
!       return tableToReturn;
!     }
!     
!     private DataTable getTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
! 																					      string groupID, string benchmark,
! 																					      DateTime firstQuoteDate,
! 																					      DateTime lastQuoteDate,
! 																					      long maxNumOfReturnedTickers)
!     {
!       DataTable tickersOfGroup = Tickers_tickerGroups.GetTickers(groupID);
!       return this.getTickersByCloseToCloseCorrelationToBenchmark(orderByASC,
! 																					      tickersOfGroup, benchmark,
! 																					      firstQuoteDate,
! 																					      lastQuoteDate,
! 																					      maxNumOfReturnedTickers);
!     }
!     
! 	
  	}
  }

[Quantproject-developers] QuantProject/b1_ADT/Statistics BasicFunctions.cs, 1.6, 1.7

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Statistics
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3845/b1_ADT/Statistics

Modified Files:
	BasicFunctions.cs 
Log Message:
Pearson correlation coefficient is computed within a unique FOR loop (and it should be faster, so)

Index: BasicFunctions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Statistics/BasicFunctions.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** BasicFunctions.cs	3 Sep 2005 23:53:17 -0000	1.6
--- BasicFunctions.cs	2 Jul 2006 19:29:52 -0000	1.7
***************
*** 172,195 ****
                                                          double[] secondDataVariable ) 
      {
        BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
!       
!       double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable);
!       double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable);
!       double coVariance = BasicFunctions.CoVariance(firstDataVariable,
!                                                     secondDataVariable);
!       
!       return	(coVariance)/(stdDevOfFirst*stdDevOfSecond);
      }
      static public double PearsonCorrelationCoefficient( float[] firstDataVariable,
                                                          float[] secondDataVariable ) 
      {
        BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
        
!       double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable);
!       double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable);
!       double coVariance = BasicFunctions.CoVariance(firstDataVariable,
!                                                     secondDataVariable);
!       
!       return	(coVariance)/(stdDevOfFirst*stdDevOfSecond);
      }
  
--- 172,229 ----
                                                          double[] secondDataVariable ) 
      {
+ //      BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
+ //      
+ //      double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable);
+ //      double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable);
+ //      double coVariance = BasicFunctions.CoVariance(firstDataVariable,
+ //                                                    secondDataVariable);
+ //      
+ //      return	(coVariance)/(stdDevOfFirst*stdDevOfSecond);
        BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
!       int n = firstDataVariable.Length;
!       double sumOfProduct = 0.0, sumOfFirst = 0.0, sumOfSecond = 0.0,
!         sumOfSquaredFirst = 0.0, sumOfSquaredSecond = 0.0;
!       for(int i = 0; i < n; i++)
!       {
!         sumOfFirst += firstDataVariable[i];
!         sumOfSecond += secondDataVariable[i];
!         sumOfProduct += firstDataVariable[i]*secondDataVariable[i];
!         sumOfSquaredFirst += firstDataVariable[i]*firstDataVariable[i];
!         sumOfSquaredSecond += secondDataVariable[i]*secondDataVariable[i];
!       }
!       return (n*sumOfProduct - sumOfFirst*sumOfSecond)/
!         Math.Sqrt( (n*sumOfSquaredFirst - sumOfFirst*sumOfFirst)*
!         (n*sumOfSquaredSecond - sumOfSecond*sumOfSecond) ); 
! 
      }
      static public double PearsonCorrelationCoefficient( float[] firstDataVariable,
                                                          float[] secondDataVariable ) 
      {
+ //  OLD Computation way
+ //      BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
+ //      
+ //      double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable);
+ //      double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable);
+ //      double coVariance = BasicFunctions.CoVariance(firstDataVariable,
+ //                                                    secondDataVariable);
+ //      
+ //      return	(coVariance)/(stdDevOfFirst*stdDevOfSecond);
        BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
+       int n = firstDataVariable.Length;
+       double sumOfProduct = 0.0, sumOfFirst = 0.0, sumOfSecond = 0.0,
+              sumOfSquaredFirst = 0.0, sumOfSquaredSecond = 0.0;
+       for(int i = 0; i < n; i++)
+       {
+         sumOfFirst += firstDataVariable[i];
+         sumOfSecond += secondDataVariable[i];
+         sumOfProduct += firstDataVariable[i]*secondDataVariable[i];
+         sumOfSquaredFirst += firstDataVariable[i]*firstDataVariable[i];
+         sumOfSquaredSecond += secondDataVariable[i]*secondDataVariable[i];
+       }
+       return (n*sumOfProduct - sumOfFirst*sumOfSecond)/
+               Math.Sqrt( (n*sumOfSquaredFirst - sumOfFirst*sumOfFirst)*
+                          (n*sumOfSquaredSecond - sumOfSecond*sumOfSecond) );
        
! 
      }
  

[Quantproject-developers] QuantProject/b2_DataAccess ConnectionProvider.cs, 1.4, 1.5

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2880/b2_DataAccess

Modified Files:
	ConnectionProvider.cs 
Log Message:
Added a try catch block for a better error management

Index: ConnectionProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/ConnectionProvider.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** ConnectionProvider.cs	21 Mar 2004 16:16:51 -0000	1.4
--- ConnectionProvider.cs	2 Jul 2006 19:27:32 -0000	1.5
***************
*** 56,62 ****
              @";Jet OLEDB:Registry Path="""";Jet OLEDB:Database Password="""";Jet OLEDB:Engine Type=5;Jet OLEDB:Database Locking Mode=1;Jet OLEDB:Global Partial Bulk Ops=2;Jet OLEDB:Global Bulk Transactions=1;Jet OLEDB:New Database Password="""";Jet OLEDB:Create System Database=False;Jet OLEDB:Encrypt Database=False;Jet OLEDB:Don't Copy Locale on Compact=False;Jet OLEDB:Compact Without Replica Repair=False;Jet OLEDB:SFP=False";
            oleDbConnection = new OleDbConnection( connectionString );
! 					oleDbConnection.Open();
!           DataBaseVersionManager dataBaseVersionManager = new DataBaseVersionManager(oleDbConnection);
!           dataBaseVersionManager.UpdateDataBaseStructure();
          }
  		    return oleDbConnection;
--- 56,70 ----
              @";Jet OLEDB:Registry Path="""";Jet OLEDB:Database Password="""";Jet OLEDB:Engine Type=5;Jet OLEDB:Database Locking Mode=1;Jet OLEDB:Global Partial Bulk Ops=2;Jet OLEDB:Global Bulk Transactions=1;Jet OLEDB:New Database Password="""";Jet OLEDB:Create System Database=False;Jet OLEDB:Encrypt Database=False;Jet OLEDB:Don't Copy Locale on Compact=False;Jet OLEDB:Compact Without Replica Repair=False;Jet OLEDB:SFP=False";
            oleDbConnection = new OleDbConnection( connectionString );
!           try{
! 	          oleDbConnection.Open();
!           }
! 	        catch(Exception ex)
!           {
!           	System.Windows.Forms.MessageBox.Show(ex.ToString());
!           	oleDbConnection = null;
!           }
! 	        DataBaseVersionManager dataBaseVersionManager = new DataBaseVersionManager(oleDbConnection);
! 	        dataBaseVersionManager.UpdateDataBaseStructure();
!           
          }
  		    return oleDbConnection;

[Quantproject-developers] QuantProject/b2_DataAccess DataBaseLocator.cs, 1.4, 1.5

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2038/b2_DataAccess

Modified Files:
	DataBaseLocator.cs 
Log Message:
Now the database.xml file is deleted automatically when path is not valid

Index: DataBaseLocator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/DataBaseLocator.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** DataBaseLocator.cs	10 Aug 2005 16:46:59 -0000	1.4
--- DataBaseLocator.cs	2 Jul 2006 19:26:02 -0000	1.5
***************
*** 62,68 ****
  						//gets full path of the file that contains the database
  						this.Path = xmlTextReader.GetAttribute(0);
!             if(!File.Exists(this.path)) 
!               throw new Exception("Specified file in DataBase.xml doesn't exist!\n" +
!                                   "Delete Database.xml and retry!");
  					}
  				}
--- 62,73 ----
  						//gets full path of the file that contains the database
  						this.Path = xmlTextReader.GetAttribute(0);
!             if(!File.Exists(this.path))
!             {
!               xmlTextReader.Close();
! 							stream.Close();
! 							File.Delete(xmlPath);
!             	MessageBox.Show("Specified file in DataBase.xml doesn't exist!\n\n" +
!                               "Retry and select again Database.mdb.");
!             }
  					}
  				}
***************
*** 74,79 ****
  			{
  				MessageBox.Show(ex.ToString());
! 				xmlTextReader.Close();
! 				stream.Close();
  			}
  		}
--- 79,86 ----
  			{
  				MessageBox.Show(ex.ToString());
! 				if(xmlTextReader != null)
! 				  xmlTextReader.Close();
! 				if(this.stream != null)
! 					stream.Close();
  			}
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination OpenToCloseDailyStrategy.cs, 1.1, 1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1485/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	OpenToCloseDailyStrategy.cs 
Log Message:
The strategy now keeps on count tickers' weights

Index: OpenToCloseDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/OpenToCloseDailyStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OpenToCloseDailyStrategy.cs	2 Aug 2005 23:08:32 -0000	1.1
--- OpenToCloseDailyStrategy.cs	2 Jul 2006 19:24:33 -0000	1.2
***************
*** 40,67 ****
  		private Account account;
  		private string[] signedTickers;
  
  		public OpenToCloseDailyStrategy( Account account ,
! 			string[] signedTickers)
  		{
  			this.account = account;
  			this.signedTickers = signedTickers;
  		}
  		private long marketOpenEventHandler_addOrder_getQuantity(
! 			string ticker )
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( ticker );
  			double maxPositionValueForThisTicker =
! 				accountValue/this.signedTickers.Length;
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void marketOpenEventHandler_addOrder( string signedTicker )
  		{
! 			OrderType orderType = GenomeRepresentation.GetOrderType( signedTicker );
! 			string ticker = GenomeRepresentation.GetTicker( signedTicker );
! 			long quantity = marketOpenEventHandler_addOrder_getQuantity( ticker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
  				quantity );
--- 40,69 ----
  		private Account account;
  		private string[] signedTickers;
+ 		private double[] weightsForSignedTickers;
  
  		public OpenToCloseDailyStrategy( Account account ,
! 			string[] signedTickers, double[] weightsForSignedTickers)
  		{
  			this.account = account;
  			this.signedTickers = signedTickers;
+ 			this.weightsForSignedTickers = weightsForSignedTickers;
  		}
  		private long marketOpenEventHandler_addOrder_getQuantity(
! 			int indexForSignedTicker )
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( SignedTicker.GetTicker(this.signedTickers[indexForSignedTicker]) );
  			double maxPositionValueForThisTicker =
! 				accountValue*this.weightsForSignedTickers[indexForSignedTicker];
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void marketOpenEventHandler_addOrder( int indexForSignedTicker )
  		{
! 			OrderType orderType = GenomeRepresentation.GetOrderType( this.signedTickers[indexForSignedTicker] );
! 			string ticker = GenomeRepresentation.GetTicker( this.signedTickers[indexForSignedTicker] );
! 			long quantity = marketOpenEventHandler_addOrder_getQuantity( indexForSignedTicker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
  				quantity );
***************
*** 70,75 ****
  		private void marketOpenEventHandler_addOrders()
  		{
! 			foreach ( string signedTicker in this.signedTickers )
! 				marketOpenEventHandler_addOrder( signedTicker );
  		}
  		public void MarketOpenEventHandler(
--- 72,77 ----
  		private void marketOpenEventHandler_addOrders()
  		{
! 			for(int i = 0; i<this.signedTickers.Length; i++)
! 				marketOpenEventHandler_addOrder( i );
  		}
  		public void MarketOpenEventHandler(

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination OTC_CTODailyStrategy.cs, NONE, 1.1 TestDisplayer.cs, 1.7, 1.8 StrategyType.cs, 1.2, 1.3 LinearCombinationTest.cs, 1.6, 1.7 GenomeRepresentation.cs, 1.4, 1.5 FixedPeriodOscillatorStrategy.cs, 1.1, 1.2 ExtremeCounterTrendStrategy.cs, 1.1, 1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv521/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	TestDisplayer.cs StrategyType.cs LinearCombinationTest.cs 
	GenomeRepresentation.cs FixedPeriodOscillatorStrategy.cs 
	ExtremeCounterTrendStrategy.cs 
Added Files:
	OTC_CTODailyStrategy.cs 
Log Message:
Added  OTC_CTO strategy for the genome form displayer.
Updated other file strategies for the displayer.

Index: ExtremeCounterTrendStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/ExtremeCounterTrendStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ExtremeCounterTrendStrategy.cs	14 May 2006 18:13:17 -0000	1.1
--- ExtremeCounterTrendStrategy.cs	2 Jul 2006 19:22:12 -0000	1.2
***************
*** 43,46 ****
--- 43,47 ----
  		private Account account;
  		private string[] signedTickers;
+ 		private double[] weightsForSignedTickers;
  		private int numDaysForReturnCalculation;
      private int numOfClosesElapsed = 0;
***************
*** 48,56 ****
  
  		public ExtremeCounterTrendStrategy( Account account ,
! 			                              string[] signedTickers, 
                                      int numDaysForReturnCalculation)
  		{
  			this.account = account;
  			this.signedTickers = signedTickers;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
  		}
--- 49,59 ----
  
  		public ExtremeCounterTrendStrategy( Account account ,
! 			                              string[] signedTickers,
! 			                              double[] weightsForSignedTickers,
                                      int numDaysForReturnCalculation)
  		{
  			this.account = account;
  			this.signedTickers = signedTickers;
+ 			this.weightsForSignedTickers = weightsForSignedTickers;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
  		}
***************
*** 67,86 ****
  
      private long marketCloseEventHandler_addOrder_getQuantity(
! 			string ticker )
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( ticker );
  			double maxPositionValueForThisTicker =
! 				accountValue/this.signedTickers.Length;
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void marketCloseEventHandler_addOrder( string signedTicker )
  		{
! 			OrderType orderType = GenomeRepresentation.GetOrderType( signedTicker );
! 			string ticker = GenomeRepresentation.GetTicker( signedTicker );
! 			long quantity = marketCloseEventHandler_addOrder_getQuantity( ticker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
  				quantity );
--- 70,89 ----
  
      private long marketCloseEventHandler_addOrder_getQuantity(
! 			int indexForSignedTicker)
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( SignedTicker.GetTicker(this.signedTickers[indexForSignedTicker]) );
  			double maxPositionValueForThisTicker =
! 				accountValue*this.weightsForSignedTickers[indexForSignedTicker];
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void marketCloseEventHandler_addOrder( int indexForSignedTicker )
  		{
! 			OrderType orderType = GenomeRepresentation.GetOrderType( this.signedTickers[indexForSignedTicker] );
! 			string ticker = GenomeRepresentation.GetTicker( this.signedTickers[indexForSignedTicker] );
! 			long quantity = marketCloseEventHandler_addOrder_getQuantity( indexForSignedTicker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
  				quantity );
***************
*** 89,94 ****
  		private void marketCloseEventHandler_addOrders()
  		{
! 			foreach ( string signedTicker in this.signedTickers )
! 				marketCloseEventHandler_addOrder( signedTicker );
  		}
    
--- 92,97 ----
  		private void marketCloseEventHandler_addOrders()
  		{
! 			for(int i = 0; i<this.signedTickers.Length; i++)
! 				marketCloseEventHandler_addOrder( i );
  		}
    

--- NEW FILE: OTC_CTODailyStrategy.cs ---
/*
QuantProject - Quantitative Finance Library

OTC_CTODailyStrategy.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;

using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Open to close - Close to open daily strategy
	/// </summary>
	[Serializable]
	public class OTC_CTODailyStrategy : IEndOfDayStrategy
	{
		private Account account;
		private string[] signedTickers;
		private double[] weightsForSignedTickers;

		public OTC_CTODailyStrategy( Account account ,
			string[] signedTickers, double[] weightsForSignedTickers)
		{
			this.account = account;
			this.signedTickers = signedTickers;
			this.weightsForSignedTickers = weightsForSignedTickers;
		}
		private long addOrders_addOrder_getQuantity(
			int indexForSignedTicker )
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( SignedTicker.GetTicker(this.signedTickers[indexForSignedTicker]) );
			double maxPositionValueForThisTicker =
				accountValue*this.weightsForSignedTickers[indexForSignedTicker];
			long quantity = Convert.ToInt64(	Math.Floor(
				maxPositionValueForThisTicker /	currentTickerAsk ) );
			return quantity;
		}
		private void addOrders_addOrder( int indexForSignedTicker )
		{
			OrderType orderType = GenomeRepresentation.GetOrderType( this.signedTickers[indexForSignedTicker] );
			string ticker = GenomeRepresentation.GetTicker( this.signedTickers[indexForSignedTicker] );
			long quantity = addOrders_addOrder_getQuantity( indexForSignedTicker );
			Order order = new Order( orderType , new Instrument( ticker ) ,
				quantity );
			this.account.AddOrder( order );
		}
		private void addOrders()
		{
			for(int i = 0; i<this.signedTickers.Length; i++)
				  this.addOrders_addOrder( i );
		}
		public void MarketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			this.closePositions();
      if ( ( this.account.CashAmount == 0 ) &&
				( this.account.Transactions.Count == 0 ) )
				// cash has not been added yet
				this.account.AddCash( 30000 );
			this.addOrders();
		}
		private void closePositions()
		{
			ArrayList tickers = new ArrayList();
			foreach ( Position position in this.account.Portfolio.Positions )
				tickers.Add( position.Instrument.Key );
			foreach ( string ticker in tickers )
				this.account.ClosePosition( ticker );
		}
		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
			
		}

		public void MarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
      this.closePositions();
      SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
      this.addOrders();
      SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
		}
		
    public void OneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}

	}
}

Index: FixedPeriodOscillatorStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedPeriodOscillatorStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** FixedPeriodOscillatorStrategy.cs	14 May 2006 18:13:17 -0000	1.1
--- FixedPeriodOscillatorStrategy.cs	2 Jul 2006 19:22:12 -0000	1.2
***************
*** 41,44 ****
--- 41,45 ----
  		private Account account;
  		private string[] signedTickers;
+ 		private double[] weightsForSignedTickers;
      private int daysForRightPeriod;
      private int daysForReversalPeriod;
***************
*** 51,55 ****
  
  		public FixedPeriodOscillatorStrategy( Account account ,
! 			                                     string[] signedTickers, 
                                             int daysForRightPeriod,
                                             int daysForReversalPeriod)
--- 52,57 ----
  
  		public FixedPeriodOscillatorStrategy( Account account ,
! 			                                     string[] signedTickers,
! 			                                     double[] weightsForSignedTickers,
                                             int daysForRightPeriod,
                                             int daysForReversalPeriod)
***************
*** 57,80 ****
  			this.account = account;
  			this.signedTickers = signedTickers;
        this.daysForRightPeriod = daysForRightPeriod;
        this.daysForReversalPeriod = daysForReversalPeriod;
  		}
  		private long marketCloseEventHandler_addOrder_getQuantity(
! 			string ticker )
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( ticker );
  			double maxPositionValueForThisTicker =
! 				accountValue/this.signedTickers.Length;
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void marketCloseEventHandler_addOrder( string signedTicker )
  		{
! 			OrderType orderType = GenomeRepresentation.GetOrderType( signedTicker );
! 			string ticker = GenomeRepresentation.GetTicker( signedTicker );
! 			long quantity = marketCloseEventHandler_addOrder_getQuantity( ticker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
  				quantity );
--- 59,83 ----
  			this.account = account;
  			this.signedTickers = signedTickers;
+ 			this.weightsForSignedTickers = weightsForSignedTickers;
        this.daysForRightPeriod = daysForRightPeriod;
        this.daysForReversalPeriod = daysForReversalPeriod;
  		}
  		private long marketCloseEventHandler_addOrder_getQuantity(
! 			int indexForSignedTicker)
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( SignedTicker.GetTicker(this.signedTickers[indexForSignedTicker]) );
  			double maxPositionValueForThisTicker =
! 				accountValue*this.weightsForSignedTickers[indexForSignedTicker];
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void marketCloseEventHandler_addOrder( int indexForSignedTicker )
  		{
! 			OrderType orderType = GenomeRepresentation.GetOrderType( this.signedTickers[indexForSignedTicker] );
! 			string ticker = GenomeRepresentation.GetTicker( this.signedTickers[indexForSignedTicker] );
! 			long quantity = marketCloseEventHandler_addOrder_getQuantity( indexForSignedTicker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
  				quantity );
***************
*** 83,88 ****
  		private void marketCloseEventHandler_addOrders()
  		{
! 			foreach ( string signedTicker in this.signedTickers )
! 				marketCloseEventHandler_addOrder( signedTicker );
  		}
  		
--- 86,91 ----
  		private void marketCloseEventHandler_addOrders()
  		{
! 			for(int i = 0; i<this.signedTickers.Length; i++)
! 				marketCloseEventHandler_addOrder( i );
  		}
  		

Index: StrategyType.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/StrategyType.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** StrategyType.cs	14 May 2006 18:18:23 -0000	1.2
--- StrategyType.cs	2 Jul 2006 19:22:12 -0000	1.3
***************
*** 33,36 ****
--- 33,37 ----
      OpenToCloseWeekly,
      CloseToOpenDaily,
+     OpenToCloseCloseToOpenDaily,
      FixedPeriodOscillator,
      ExtremeCounterTrend

Index: GenomeRepresentation.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/GenomeRepresentation.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeRepresentation.cs	23 Oct 2005 19:09:04 -0000	1.4
--- GenomeRepresentation.cs	2 Jul 2006 19:22:12 -0000	1.5
***************
*** 23,26 ****
--- 23,27 ----
  using System;
  
+ using QuantProject.ADT;
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.Business.Financial.Ordering;
***************
*** 68,76 ****
  		}
  
! 		public static string[] GetSignedTickers( string signedTickers )
  		{
! 			string[] returnValue = signedTickers.Split( ";".ToCharArray() );
  			return returnValue;
  		}
  		public static OrderType GetOrderType( string signedTicker )
  		{
--- 69,117 ----
  		}
  
! //		public static string[] GetSignedTickers( string signedTickers )
! //		{
! //			string[] returnValue = signedTickers.Split( ";".ToCharArray());
! //			return returnValue;
! //		}
! 		
! 		public static string[] GetSignedTickers( string signedTickersWithWeights )
  		{
! 			string[] returnValue = 
!         signedTickersWithWeights.Split( ConstantsProvider.SeparatorForTickers.ToCharArray());
! 			if( signedTickersWithWeights.Split( ConstantsProvider.SeparatorForWeights.ToCharArray() ).Length > 1 )
! 			//the separator char for tickers is contained in signedTickersWithWeights: 
! 			//so weights have been saved within tickers, separated by this special char
! 			{
! 				for(int i = 0; i<returnValue.Length; i++)
! 				{
! 					returnValue[i] = 
! 						 returnValue[i].Split( ConstantsProvider.SeparatorForWeights.ToCharArray() )[0];
! 				}
! 			}	
! 			return returnValue;
! 		}
! 		
! 		public static double[] GetWeightsForSignedTickers( string signedTickersWithWeights )
! 		{
! 			string[] signedTickersWithWeightsArray = 
! 								signedTickersWithWeights.Split( ConstantsProvider.SeparatorForTickers.ToCharArray() );
! 			double[] returnValue =
! 				new double[signedTickersWithWeightsArray.Length];
! 			for(int i = 0; i<returnValue.Length; i++)
! 				returnValue[i] = 1.0/returnValue.Length;
! 			
! 			if((signedTickersWithWeights.Split(ConstantsProvider.SeparatorForWeights.ToCharArray())).Length > 1)
! 			//the separator for weights is contained in signedTickersWithWeights: 
! 			//so weights have been saved within tickers, separated by this char
! 			{
! 				for(int i = 0; i<returnValue.Length; i++)
! 				{
! 					returnValue[i] = 
! 						Convert.ToDouble( signedTickersWithWeightsArray[i].Split( ConstantsProvider.SeparatorForWeights.ToCharArray() )[1] );
! 				}
! 			}	
  			return returnValue;
  		}
+ 		
  		public static OrderType GetOrderType( string signedTicker )
  		{
***************
*** 91,94 ****
--- 132,136 ----
  			return returnValue;
  		}
+ 
  		private string getSignedTickers( Genome genome )
  		{
***************
*** 100,103 ****
--- 142,162 ----
  			return signedTickers;
  		}
+ 		private string getSignedTickersWithWeights( Genome genome )
+ 		{
+ 			string signedTickersWithWeights = "";
+ 			for ( int i = 0; i<((GenomeMeaning)genome.Meaning).Tickers.Length; i++ )
+ 			{
+ 				signedTickersWithWeights +=
+ 					((GenomeMeaning)genome.Meaning).Tickers[i] + 
+ 					ConstantsProvider.SeparatorForWeights +
+ 					((GenomeMeaning)genome.Meaning).TickersPortfolioWeights[i] +
+ 					ConstantsProvider.SeparatorForTickers;
+ 			}
+ 			signedTickersWithWeights = signedTickersWithWeights.Substring( 0 ,
+ 					signedTickersWithWeights.Length - 1 );
+ 			
+ 			return signedTickersWithWeights;
+ 		}
+ 		
  		private void genomeRepresentation( Genome genome ,
  			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
***************
*** 105,109 ****
  		{
  			this.fitness = genome.Fitness;
! 			this.signedTickers = this.getSignedTickers( genome );
  			this.firstOptimizationDate = firstOptimizationDate;
  			this.lastOptimizationDate = lastOptimizationDate;
--- 164,169 ----
  		{
  			this.fitness = genome.Fitness;
! 			this.signedTickers = this.getSignedTickersWithWeights( genome );
! 			//this.signedTickers = this.getSignedTickers( genome );
  			this.firstOptimizationDate = firstOptimizationDate;
  			this.lastOptimizationDate = lastOptimizationDate;

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** LinearCombinationTest.cs	14 May 2006 18:18:23 -0000	1.6
--- LinearCombinationTest.cs	2 Jul 2006 19:22:12 -0000	1.7
***************
*** 94,102 ****
  			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
  				this.genomeRepresentation.SignedTickers );
        switch (this.strategyType)
        {
          case StrategyType.OpenToCloseDaily:
            this.endOfDayStrategy = new OpenToCloseDailyStrategy(
! 					                            this.account , signedTickers );
            break;
          case StrategyType.OpenToCloseWeekly:
--- 94,105 ----
  			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
  				this.genomeRepresentation.SignedTickers );
+ 			double[] weightsForSignedTickers = GenomeRepresentation.GetWeightsForSignedTickers(
+ 				this.genomeRepresentation.SignedTickers );
        switch (this.strategyType)
        {
          case StrategyType.OpenToCloseDaily:
            this.endOfDayStrategy = new OpenToCloseDailyStrategy(
! 					                            this.account , signedTickers,
! 					                            weightsForSignedTickers );
            break;
          case StrategyType.OpenToCloseWeekly:
***************
*** 109,120 ****
            break;
          
          case StrategyType.FixedPeriodOscillator:
            this.endOfDayStrategy = new FixedPeriodOscillatorStrategy(
!             this.account , signedTickers , this.numDaysForOscillatorStrategy , this.numDaysForOscillatorStrategy );
            break;
          
          case StrategyType.ExtremeCounterTrend:
            this.endOfDayStrategy = new ExtremeCounterTrendStrategy(
!             this.account , signedTickers , this.numDaysForOscillatorStrategy );
            break;
        }
--- 112,130 ----
            break;
          
+         case StrategyType.OpenToCloseCloseToOpenDaily:
+           this.endOfDayStrategy = new OTC_CTODailyStrategy(
+             this.account , signedTickers , weightsForSignedTickers);
+           break;
+         
          case StrategyType.FixedPeriodOscillator:
            this.endOfDayStrategy = new FixedPeriodOscillatorStrategy(
! 			            this.account , signedTickers , weightsForSignedTickers,
! 			            this.numDaysForOscillatorStrategy , 
! 			            this.numDaysForOscillatorStrategy );
            break;
          
          case StrategyType.ExtremeCounterTrend:
            this.endOfDayStrategy = new ExtremeCounterTrendStrategy(
!             this.account , signedTickers , weightsForSignedTickers, this.numDaysForOscillatorStrategy );
            break;
        }

Index: TestDisplayer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** TestDisplayer.cs	14 May 2006 18:18:23 -0000	1.7
--- TestDisplayer.cs	2 Jul 2006 19:22:12 -0000	1.8
***************
*** 36,46 ****
  	{
  		private System.Windows.Forms.Label labelDays;
! 		private System.Windows.Forms.TextBox textBoxDaysFPOscillatorAndRevOneRank;
! 		private System.Windows.Forms.Label label1;
  		private System.Windows.Forms.RadioButton radioButtonOpenToCloseDaily;
  		private System.Windows.Forms.RadioButton radioButtonReversalOneRank;
  		private System.Windows.Forms.DateTimePicker dtpLastDate;
  		private System.Windows.Forms.DateTimePicker dtpFirstDate;
! 		private System.Windows.Forms.RadioButton radioButtonFixedPeriodOscillator;
  		private System.Windows.Forms.RadioButton radioButtonOpenToCloseWeekly;
  		private System.Windows.Forms.RadioButton radioButtonCloseToOpenDaily;
--- 36,46 ----
  	{
  		private System.Windows.Forms.Label labelDays;
! 		private System.Windows.Forms.RadioButton radioButtonFixedPeriodOscillator;
  		private System.Windows.Forms.RadioButton radioButtonOpenToCloseDaily;
  		private System.Windows.Forms.RadioButton radioButtonReversalOneRank;
  		private System.Windows.Forms.DateTimePicker dtpLastDate;
+ 		private System.Windows.Forms.Label label1;
  		private System.Windows.Forms.DateTimePicker dtpFirstDate;
! 		private System.Windows.Forms.TextBox textBoxDaysFPOscillatorAndRevOneRank;
  		private System.Windows.Forms.RadioButton radioButtonOpenToCloseWeekly;
  		private System.Windows.Forms.RadioButton radioButtonCloseToOpenDaily;
***************
*** 54,57 ****
--- 54,58 ----
  		private ArrayList bestGenomes;
  		private GenomeRepresentation lastSelectedGenomeRepresentation;
+     private System.Windows.Forms.RadioButton radioButtonOTCCTODaily;
      private StrategyType selectedStrategyType = StrategyType.OpenToCloseDaily;
  
***************
*** 103,234 ****
  		/// </summary>
  		private void InitializeComponent() {
! 			this.dgBestGenomes = new System.Windows.Forms.DataGrid();
! 			this.radioButtonCloseToOpenDaily = new System.Windows.Forms.RadioButton();
! 			this.radioButtonOpenToCloseWeekly = new System.Windows.Forms.RadioButton();
! 			this.radioButtonFixedPeriodOscillator = new System.Windows.Forms.RadioButton();
! 			this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
! 			this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
! 			this.radioButtonReversalOneRank = new System.Windows.Forms.RadioButton();
! 			this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton();
! 			this.label1 = new System.Windows.Forms.Label();
! 			this.textBoxDaysFPOscillatorAndRevOneRank = new System.Windows.Forms.TextBox();
! 			this.labelDays = new System.Windows.Forms.Label();
! 			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
! 			this.SuspendLayout();
! 			// 
! 			// dgBestGenomes
! 			// 
! 			this.dgBestGenomes.DataMember = "";
! 			this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
! 			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
! 			this.dgBestGenomes.Location = new System.Drawing.Point(0, 205);
! 			this.dgBestGenomes.Name = "dgBestGenomes";
! 			this.dgBestGenomes.Size = new System.Drawing.Size(584, 168);
! 			this.dgBestGenomes.TabIndex = 0;
! 			this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
! 			// 
! 			// radioButtonCloseToOpenDaily
! 			// 
! 			this.radioButtonCloseToOpenDaily.Location = new System.Drawing.Point(64, 120);
! 			this.radioButtonCloseToOpenDaily.Name = "radioButtonCloseToOpenDaily";
! 			this.radioButtonCloseToOpenDaily.Size = new System.Drawing.Size(144, 24);
! 			this.radioButtonCloseToOpenDaily.TabIndex = 6;
! 			this.radioButtonCloseToOpenDaily.Text = "Close To Open Daily";
! 			this.radioButtonCloseToOpenDaily.CheckedChanged += new System.EventHandler(this.radioButtonCloseToOpenDaily_CheckedChanged);
! 			// 
! 			// radioButtonOpenToCloseWeekly
! 			// 
! 			this.radioButtonOpenToCloseWeekly.Location = new System.Drawing.Point(64, 144);
! 			this.radioButtonOpenToCloseWeekly.Name = "radioButtonOpenToCloseWeekly";
! 			this.radioButtonOpenToCloseWeekly.Size = new System.Drawing.Size(144, 24);
! 			this.radioButtonOpenToCloseWeekly.TabIndex = 5;
! 			this.radioButtonOpenToCloseWeekly.Text = "Open To Close Weekly";
! 			this.radioButtonOpenToCloseWeekly.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseWeekly_CheckedChanged);
! 			// 
! 			// radioButtonFixedPeriodOscillator
! 			// 
! 			this.radioButtonFixedPeriodOscillator.Location = new System.Drawing.Point(232, 96);
! 			this.radioButtonFixedPeriodOscillator.Name = "radioButtonFixedPeriodOscillator";
! 			this.radioButtonFixedPeriodOscillator.Size = new System.Drawing.Size(192, 24);
! 			this.radioButtonFixedPeriodOscillator.TabIndex = 7;
! 			this.radioButtonFixedPeriodOscillator.Text = "Fixed Period n-days oscillator";
! 			this.radioButtonFixedPeriodOscillator.CheckedChanged += new System.EventHandler(this.radioButtonFixedPeriodOscillator_CheckedChanged);
! 			// 
! 			// dtpFirstDate
! 			// 
! 			this.dtpFirstDate.Location = new System.Drawing.Point(16, 24);
! 			this.dtpFirstDate.Name = "dtpFirstDate";
! 			this.dtpFirstDate.TabIndex = 1;
! 			// 
! 			// dtpLastDate
! 			// 
! 			this.dtpLastDate.Location = new System.Drawing.Point(264, 24);
! 			this.dtpLastDate.Name = "dtpLastDate";
! 			this.dtpLastDate.Size = new System.Drawing.Size(208, 21);
! 			this.dtpLastDate.TabIndex = 2;
! 			// 
! 			// radioButtonReversalOneRank
! 			// 
! 			this.radioButtonReversalOneRank.Location = new System.Drawing.Point(232, 120);
! 			this.radioButtonReversalOneRank.Name = "radioButtonReversalOneRank";
! 			this.radioButtonReversalOneRank.Size = new System.Drawing.Size(192, 24);
! 			this.radioButtonReversalOneRank.TabIndex = 10;
! 			this.radioButtonReversalOneRank.Text = "Extreme counter trend";
! 			this.radioButtonReversalOneRank.CheckedChanged += new System.EventHandler(this.radioButtonReversalOneRank_CheckedChanged);
! 			// 
! 			// radioButtonOpenToCloseDaily
! 			// 
! 			this.radioButtonOpenToCloseDaily.Location = new System.Drawing.Point(64, 96);
! 			this.radioButtonOpenToCloseDaily.Name = "radioButtonOpenToCloseDaily";
! 			this.radioButtonOpenToCloseDaily.Size = new System.Drawing.Size(144, 24);
! 			this.radioButtonOpenToCloseDaily.TabIndex = 4;
! 			this.radioButtonOpenToCloseDaily.Text = "Open To Close Daily";
! 			this.radioButtonOpenToCloseDaily.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseDaily_CheckedChanged);
! 			// 
! 			// label1
! 			// 
! 			this.label1.Location = new System.Drawing.Point(32, 64);
! 			this.label1.Name = "label1";
! 			this.label1.Size = new System.Drawing.Size(400, 40);
! 			this.label1.TabIndex = 3;
! 			this.label1.Text = "Left click data grid rows to reset dates to the optimization period. Right click " +
! "to preserve date displacements and backtest.";
! 			// 
! 			// textBoxDaysFPOscillatorAndRevOneRank
! 			// 
! 			this.textBoxDaysFPOscillatorAndRevOneRank.Location = new System.Drawing.Point(320, 152);
! 			this.textBoxDaysFPOscillatorAndRevOneRank.Name = "textBoxDaysFPOscillatorAndRevOneRank";
! 			this.textBoxDaysFPOscillatorAndRevOneRank.Size = new System.Drawing.Size(56, 21);
! 			this.textBoxDaysFPOscillatorAndRevOneRank.TabIndex = 8;
! 			this.textBoxDaysFPOscillatorAndRevOneRank.Text = "";
! 			// 
! 			// labelDays
! 			// 
! 			this.labelDays.Location = new System.Drawing.Point(272, 152);
! 			this.labelDays.Name = "labelDays";
! 			this.labelDays.Size = new System.Drawing.Size(40, 16);
! 			this.labelDays.TabIndex = 9;
! 			this.labelDays.Text = "days";
! 			// 
! 			// TestDisplayer
! 			// 
! 			this.AutoScaleBaseSize = new System.Drawing.Size(5, 14);
! 			this.ClientSize = new System.Drawing.Size(584, 373);
! 			this.Controls.Add(this.radioButtonReversalOneRank);
! 			this.Controls.Add(this.labelDays);
! 			this.Controls.Add(this.textBoxDaysFPOscillatorAndRevOneRank);
! 			this.Controls.Add(this.radioButtonFixedPeriodOscillator);
! 			this.Controls.Add(this.radioButtonCloseToOpenDaily);
! 			this.Controls.Add(this.radioButtonOpenToCloseWeekly);
! 			this.Controls.Add(this.radioButtonOpenToCloseDaily);
! 			this.Controls.Add(this.label1);
! 			this.Controls.Add(this.dtpLastDate);
! 			this.Controls.Add(this.dtpFirstDate);
! 			this.Controls.Add(this.dgBestGenomes);
! 			this.Name = "TestDisplayer";
! 			this.Text = "TestDisplayer";
! 			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit();
! 			this.ResumeLayout(false);
! 		}
  		#endregion
  
--- 104,247 ----
  		/// </summary>
  		private void InitializeComponent() {
!       this.dgBestGenomes = new System.Windows.Forms.DataGrid();
!       this.radioButtonCloseToOpenDaily = new System.Windows.Forms.RadioButton();
!       this.radioButtonOpenToCloseWeekly = new System.Windows.Forms.RadioButton();
!       this.textBoxDaysFPOscillatorAndRevOneRank = new System.Windows.Forms.TextBox();
!       this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
!       this.label1 = new System.Windows.Forms.Label();
!       this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
!       this.radioButtonReversalOneRank = new System.Windows.Forms.RadioButton();
!       this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton();
!       this.radioButtonFixedPeriodOscillator = new System.Windows.Forms.RadioButton();
!       this.labelDays = new System.Windows.Forms.Label();
!       this.radioButtonOTCCTODaily = new System.Windows.Forms.RadioButton();
!       ((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
!       this.SuspendLayout();
!       // 
!       // dgBestGenomes
!       // 
!       this.dgBestGenomes.DataMember = "";
!       this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
!       this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
!       this.dgBestGenomes.Location = new System.Drawing.Point(0, 205);
!       this.dgBestGenomes.Name = "dgBestGenomes";
!       this.dgBestGenomes.Size = new System.Drawing.Size(584, 168);
!       this.dgBestGenomes.TabIndex = 0;
!       this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
!       // 
!       // radioButtonCloseToOpenDaily
!       // 
!       this.radioButtonCloseToOpenDaily.Location = new System.Drawing.Point(64, 120);
!       this.radioButtonCloseToOpenDaily.Name = "radioButtonCloseToOpenDaily";
!       this.radioButtonCloseToOpenDaily.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonCloseToOpenDaily.TabIndex = 6;
!       this.radioButtonCloseToOpenDaily.Text = "Close To Open Daily";
!       this.radioButtonCloseToOpenDaily.CheckedChanged += new System.EventHandler(this.radioButtonCloseToOpenDaily_CheckedChanged);
!       // 
!       // radioButtonOpenToCloseWeekly
!       // 
!       this.radioButtonOpenToCloseWeekly.Location = new System.Drawing.Point(64, 144);
!       this.radioButtonOpenToCloseWeekly.Name = "radioButtonOpenToCloseWeekly";
!       this.radioButtonOpenToCloseWeekly.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonOpenToCloseWeekly.TabIndex = 5;
!       this.radioButtonOpenToCloseWeekly.Text = "Open To Close Weekly";
!       this.radioButtonOpenToCloseWeekly.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseWeekly_CheckedChanged);
!       // 
!       // textBoxDaysFPOscillatorAndRevOneRank
!       // 
!       this.textBoxDaysFPOscillatorAndRevOneRank.Location = new System.Drawing.Point(320, 152);
!       this.textBoxDaysFPOscillatorAndRevOneRank.Name = "textBoxDaysFPOscillatorAndRevOneRank";
!       this.textBoxDaysFPOscillatorAndRevOneRank.Size = new System.Drawing.Size(56, 20);
!       this.textBoxDaysFPOscillatorAndRevOneRank.TabIndex = 8;
!       this.textBoxDaysFPOscillatorAndRevOneRank.Text = "1";
!       // 
!       // dtpFirstDate
!       // 
!       this.dtpFirstDate.Location = new System.Drawing.Point(16, 24);
!       this.dtpFirstDate.Name = "dtpFirstDate";
!       this.dtpFirstDate.TabIndex = 1;
!       // 
!       // label1
!       // 
!       this.label1.Location = new System.Drawing.Point(32, 64);
!       this.label1.Name = "label1";
!       this.label1.Size = new System.Drawing.Size(400, 40);
!       this.label1.TabIndex = 3;
!       this.label1.Text = "Left click data grid rows to reset dates to the optimization period. Right click " +
!         "to preserve date displacements and backtest.";
!       // 
!       // dtpLastDate
!       // 
!       this.dtpLastDate.Location = new System.Drawing.Point(264, 24);
!       this.dtpLastDate.Name = "dtpLastDate";
!       this.dtpLastDate.Size = new System.Drawing.Size(208, 20);
!       this.dtpLastDate.TabIndex = 2;
!       // 
!       // radioButtonReversalOneRank
!       // 
!       this.radioButtonReversalOneRank.Location = new System.Drawing.Point(232, 120);
!       this.radioButtonReversalOneRank.Name = "radioButtonReversalOneRank";
!       this.radioButtonReversalOneRank.Size = new System.Drawing.Size(192, 24);
!       this.radioButtonReversalOneRank.TabIndex = 10;
!       this.radioButtonReversalOneRank.Text = "Extreme counter trend";
!       this.radioButtonReversalOneRank.CheckedChanged += new System.EventHandler(this.radioButtonReversalOneRank_CheckedChanged);
!       // 
!       // radioButtonOpenToCloseDaily
!       // 
!       this.radioButtonOpenToCloseDaily.Location = new System.Drawing.Point(64, 96);
!       this.radioButtonOpenToCloseDaily.Name = "radioButtonOpenToCloseDaily";
!       this.radioButtonOpenToCloseDaily.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonOpenToCloseDaily.TabIndex = 4;
!       this.radioButtonOpenToCloseDaily.Text = "Open To Close Daily";
!       this.radioButtonOpenToCloseDaily.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseDaily_CheckedChanged);
!       // 
!       // radioButtonFixedPeriodOscillator
!       // 
!       this.radioButtonFixedPeriodOscillator.Location = new System.Drawing.Point(232, 96);
!       this.radioButtonFixedPeriodOscillator.Name = "radioButtonFixedPeriodOscillator";
!       this.radioButtonFixedPeriodOscillator.Size = new System.Drawing.Size(192, 24);
!       this.radioButtonFixedPeriodOscillator.TabIndex = 7;
!       this.radioButtonFixedPeriodOscillator.Text = "Fixed Period n-days oscillator";
!       this.radioButtonFixedPeriodOscillator.CheckedChanged += new System.EventHandler(this.radioButtonFixedPeriodOscillator_CheckedChanged);
!       // 
!       // labelDays
!       // 
!       this.labelDays.Location = new System.Drawing.Point(272, 152);
!       this.labelDays.Name = "labelDays";
!       this.labelDays.Size = new System.Drawing.Size(40, 16);
!       this.labelDays.TabIndex = 9;
!       this.labelDays.Text = "days";
!       // 
!       // radioButtonOTCCTODaily
!       // 
!       this.radioButtonOTCCTODaily.Location = new System.Drawing.Point(64, 168);
!       this.radioButtonOTCCTODaily.Name = "radioButtonOTCCTODaily";
!       this.radioButtonOTCCTODaily.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonOTCCTODaily.TabIndex = 11;
!       this.radioButtonOTCCTODaily.Text = "OTC - CTO Daily";
!       // 
!       // TestDisplayer
!       // 
!       this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
!       this.ClientSize = new System.Drawing.Size(584, 373);
!       this.Controls.AddRange(new System.Windows.Forms.Control[] {
!                                                                   this.radioButtonOTCCTODaily,
!                                                                   this.radioButtonReversalOneRank,
!                                                                   this.labelDays,
!                                                                   this.textBoxDaysFPOscillatorAndRevOneRank,
!                                                                   this.radioButtonFixedPeriodOscillator,
!                                                                   this.radioButtonCloseToOpenDaily,
!                                                                   this.radioButtonOpenToCloseWeekly,
!                                                                   this.radioButtonOpenToCloseDaily,
!                                                                   this.label1,
!                                                                   this.dtpLastDate,
!                                                                   this.dtpFirstDate,
!                                                                   this.dgBestGenomes});
!       this.Name = "TestDisplayer";
!       this.Text = "TestDisplayer";
!       ((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit();
!       this.ResumeLayout(false);
! 
!     }
  		#endregion
  
***************
*** 323,326 ****
--- 336,341 ----
        else if(this.radioButtonReversalOneRank.Checked)
          this.selectedStrategyType = StrategyType.ExtremeCounterTrend;
+       else if(this.radioButtonOTCCTODaily.Checked)
+         this.selectedStrategyType = StrategyType.OpenToCloseCloseToOpenDaily;
      }
      

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientOTCCTOPortfolio.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31166/b7_Scripts/TickerSelectionTesting

Added Files:
	GenomeManagerForEfficientOTCCTOPortfolio.cs 
Log Message:
Added  GenomeManagerForEfficientOTCCTOPortfolio

--- NEW FILE: GenomeManagerForEfficientOTCCTOPortfolio.cs ---
/*
QuantProject - Quantitative Finance Library

GenomeManagerForEfficientOTCCTOPortfolio.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Data;
using System.Collections;
using QuantProject.ADT.Statistics;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Data;
using QuantProject.Data.DataTables;


namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	/// <summary>
	/// This class implements IGenomeManager, in order to find efficient 
	/// portfolios based on the OTC and CTO strategy, using the
	/// GeneticOptimizer
	/// </summary>
	[Serializable]
  public class GenomeManagerForEfficientOTCCTOPortfolio : GenomeManagerForWeightedEfficientPortfolio
  {
    
    public GenomeManagerForEfficientOTCCTOPortfolio(DataTable setOfInitialTickers,
                                                 DateTime firstQuoteDate,
                                                 DateTime lastQuoteDate,
                                                 int numberOfTickersInPortfolio,
                                                 double targetPerformance,
                                                 PortfolioType portfolioType)
                                :base(setOfInitialTickers,
                                     firstQuoteDate,
                                     lastQuoteDate,
                                     numberOfTickersInPortfolio,
                                     targetPerformance,
                                     portfolioType)
                          
    {
      this.retrieveData();
    }
    
    protected override float[] getArrayOfRatesOfReturn(string ticker)
    {
      Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
      float[] returnValue = new float[2*tickerQuotes.Rows.Count - 1];
      int j = 0;
      for(int i = 0;i<tickerQuotes.Rows.Count; i++)
      {
        //open to close
        returnValue[j] = (float)tickerQuotes.Rows[i]["quClose"]/
                         (float)tickerQuotes.Rows[i]["quOpen"] - 1;
        //close to open
        if(i<tickerQuotes.Rows.Count-1)
        {
          returnValue[j+1] = 
            -(( (float)tickerQuotes.Rows[i+1]["quOpen"]*
            (float)tickerQuotes.Rows[i+1]["quAdjustedClose"]/
            (float)tickerQuotes.Rows[i+1]["quClose"] )
            /(float)tickerQuotes.Rows[i]["quAdjustedClose"] - 1);
        }
        j += 2 ;
      }
      this.numberOfExaminedReturns = returnValue.Length;
      return returnValue;
    }
    
    
    protected override double getFitnessValue_calculate()
    {
      //return this.RateOfReturn/Math.Sqrt(this.Variance);
      return AdvancedFunctions.GetExpectancyScore(this.PortfolioRatesOfReturn);
    }
    
    
  }

}

[Quantproject-developers] QuantProject/b3_Data/Selectors/ByLinearIndipendence SelectorByMaxLinearIndipendence.cs, NONE, 1.1 GenomeManagerForMaxLinearIndipendenceSelector.cs, NONE, 1.1 Candidate.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors/ByLinearIndipendence
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30792/b3_Data/Selectors/ByLinearIndipendence

Added Files:
	SelectorByMaxLinearIndipendence.cs 
	GenomeManagerForMaxLinearIndipendenceSelector.cs Candidate.cs 
Log Message:
Added SimpleScriptsContainer, used mainly for debugging purposes

--- NEW FILE: Candidate.cs ---
/*
QuantProject - Quantitative Finance Library

Candidate.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;


namespace QuantProject.Data.Selectors.ByLinearIndipendence
{
  /// <summary>
  /// This is the class containing basic information
  /// for each candidate to be evaluated 
  /// </summary>
  [Serializable]
  public class Candidate
  {
    protected string ticker;
    protected float[] arrayOfRatesOfReturn;
    protected float[] oppositeArrayOfRatesOfReturn;
    protected bool longRatesOfReturn;

    public Candidate(string ticker, float[] arrayOfRatesOfReturn)
    {
      this.ticker = ticker;
      this.longRatesOfReturn = true;
      this.arrayOfRatesOfReturn = arrayOfRatesOfReturn;
    }
    
    private float[] arrayOfRatesOfReturn_getOppositeArrayOfRatesOfReturn()
    {
      if(this.oppositeArrayOfRatesOfReturn == null)
      //opposite array of rates of returns not set yet
      {
        this.oppositeArrayOfRatesOfReturn = new float[this.arrayOfRatesOfReturn.Length];
        for(int i = 0; i<this.arrayOfRatesOfReturn.Length; i++)
          oppositeArrayOfRatesOfReturn[i] = -this.arrayOfRatesOfReturn[i];
      }  
      return this.oppositeArrayOfRatesOfReturn;
    }
        
    public float[] ArrayOfRatesOfReturn
    {
      get
      {
        float[] returnValue = this.arrayOfRatesOfReturn;
        if(!this.longRatesOfReturn)
          returnValue = this.arrayOfRatesOfReturn_getOppositeArrayOfRatesOfReturn();
        return returnValue;
      }
    }
    
    public bool LongRatesOfReturn
    {
      set{this.longRatesOfReturn = value;}
      get{return this.longRatesOfReturn;}
    }

    public string Ticker
    {
      get{return this.ticker;}
    }
    
    public float GetReturn( int arrayElementPosition ,
			                      bool isLong )
		{
			float returnValue = this.arrayOfRatesOfReturn[ arrayElementPosition ];
			if ( !isLong )
				// a reverse position return is requested
				returnValue = -returnValue;
			return returnValue;
		}
  }

}

--- NEW FILE: SelectorByMaxLinearIndipendence.cs ---
/*
QuantProject - Quantitative Finance Library

SelectorByMaxLinearIndipendence.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors.ByLinearIndipendence
{
  /// <summary>
  /// Class for selection of a given number of tickers 
  /// that are mostly linear indipendent (two by two)
  /// </summary>
   public class SelectorByMaxLinearIndipendence : TickerSelector , ITickerSelector
  {
    private int numOfGenerationForGeneticOptimizer;
    private int populationSizeForGeneticOptimizer;
    private string marketIndex;
    
    public SelectorByMaxLinearIndipendence(DataTable setOfTickersToBeSelected, 
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long indipendentTickersToBeReturned,
                               int numOfGenerationForGeneticOptimizer,
                               int populationSizeForGeneticOptimizer,
                               string marketIndex):
                                    base(setOfTickersToBeSelected, 
                                         false,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         indipendentTickersToBeReturned)
    {
      this.numOfGenerationForGeneticOptimizer = numOfGenerationForGeneticOptimizer;
      this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
      this.marketIndex = marketIndex;
    }
     public SelectorByMaxLinearIndipendence(string groupID, 
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long indipendentTickersToBeReturned,
                                int numOfGenerationForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer,
                                string marketIndex):
                                  base(QuantProject.DataAccess.Tables.Tickers_tickerGroups.GetTickers(groupID), 
                                  false,
                                  firstQuoteDate,
                                  lastQuoteDate,
                                  indipendentTickersToBeReturned)
     {
       this.numOfGenerationForGeneticOptimizer = numOfGenerationForGeneticOptimizer;
       this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
       this.marketIndex = marketIndex;
     }

    public DataTable GetTableOfSelectedTickers()
    {
      DataTable returnValue = new DataTable();
      returnValue.Columns.Add("ticker", Type.GetType("System.String"));
      SelectorByQuotationAtEachMarketDay selectorByQuotation = 
      	new SelectorByQuotationAtEachMarketDay(this.setOfTickersToBeSelected,false,this.firstQuoteDate,
      	                                       this.lastQuoteDate,this.setOfTickersToBeSelected.Rows.Count,
      	                                       this.marketIndex);
      	                                       
      GeneticOptimizer GO =
        new GeneticOptimizer(
            new GenomeManagerForMaxLinearIndipendenceSelector(
      	            selectorByQuotation.GetTableOfSelectedTickers(),this.firstQuoteDate,
                    this.lastQuoteDate,(int)this.MaxNumOfReturnedTickers),
        						this.populationSizeForGeneticOptimizer,this.numOfGenerationForGeneticOptimizer);
      GO.Run(false);
      string[] bestTickers = (string[])GO.BestGenome.Meaning;
      for(int i = 0; i< (int)this.maxNumOfReturnedTickers; i++)
      {
      	DataRow newRow = returnValue.NewRow();
      	newRow[0] = bestTickers[i];
      	returnValue.Rows.Add(newRow);
      }
      return returnValue;
    }
    
    public void SelectAllTickers()
    {
      ;
    }	
   }
}

--- NEW FILE: GenomeManagerForMaxLinearIndipendenceSelector.cs ---
/*
QuantProject - Quantitative Finance Library

GenomeManagerForMaxLinearIndipendenceSelector.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Data;
using System.Collections;

using QuantProject.ADT.Statistics;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Data;
using QuantProject.Data.DataTables;


namespace QuantProject.Data.Selectors.ByLinearIndipendence
{
	/// <summary>
	/// IGenomeManager used by SelectorByMaxLinearIndipendence
	/// </summary>
	[Serializable]
  public class GenomeManagerForMaxLinearIndipendenceSelector : IGenomeManager
  {
    private DataTable setOfInitialTickers;
    private Candidate[] candidates;
    private DateTime firstQuoteDate;
    private DateTime lastQuoteDate;
    private int genomeSize;
    private int minValueForGenes;
    private int maxValueForGenes;
    private GeneticOptimizer currentGeneticOptimizer;
    private double[,] correlationMatrix;
    
    //IGenomeManager implementation for properties 
    public int GenomeSize
    {
      get{return this.genomeSize;}
    }
    
    public int MinValueForGenes
    {
      get{return this.minValueForGenes;}
    }
    
    public int MaxValueForGenes
    {
      get{return this.maxValueForGenes;}
    }
    
    public GeneticOptimizer CurrentGeneticOptimizer
    {
      get{return this.currentGeneticOptimizer;}
      set{this.currentGeneticOptimizer = value;}
    }
    //end of interface implementation for properties

    public GenomeManagerForMaxLinearIndipendenceSelector(DataTable setOfInitialTickers,
                                    DateTime firstQuoteDate,
                                    DateTime lastQuoteDate,
                                    int numOfIndipendentTickersToBeReturned)                          
    {
      this.genomeSize = numOfIndipendentTickersToBeReturned;
      this.setOfInitialTickers = setOfInitialTickers;
      this.setMinAndMaxValueForGenes();
      this.firstQuoteDate = firstQuoteDate;
      this.lastQuoteDate = lastQuoteDate;
      this.candidates = new Candidate[this.setOfInitialTickers.Rows.Count];
      this.retrieveData();
    }
    
    private void setMinAndMaxValueForGenes()
    {
      this.minValueForGenes = 0;
      this.maxValueForGenes = this.setOfInitialTickers.Rows.Count - 1;
    }

    private float[] retrieveData_getArrayOfAdjustedCloseQuotes(string ticker)
    {
      float[] returnValue = null;
      Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
      returnValue = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,"quAdjustedClose");
      return returnValue;
    }

    private void retrieveData_setCorrelationMatrix()
    {
      this.correlationMatrix = 
        new double[this.candidates.Length,this.candidates.Length];
      for(int i = 0;i<this.candidates.Length;i++)
      {
        for(int j = 0; j<i; j++)
        //matrix is symmetric, only the lower half is computed
          this.correlationMatrix[i,j] = 
            BasicFunctions.PearsonCorrelationCoefficient(this.candidates[i].ArrayOfRatesOfReturn,
                         this.candidates[j].ArrayOfRatesOfReturn);
      }

    }

    private void retrieveData()
    {
      for(int i = 0; i<this.setOfInitialTickers.Rows.Count; i++)
      {
        string ticker = (string)setOfInitialTickers.Rows[i][0];
        this.candidates[i] = new Candidate(ticker,
                                  this.retrieveData_getArrayOfAdjustedCloseQuotes(ticker));
      }
      this.retrieveData_setCorrelationMatrix();
    }

   
    public Genome[] GetChilds(Genome parent1, Genome parent2)
    {
      return
        GenomeManagement.MixGenesWithoutDuplicates(parent1, parent2);
    }
    
    public int GetNewGeneValue(Genome genome, int genePosition)
    {
      int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
                                    genome.MaxValueForGenes + 1);
      while( genome.HasGene(returnValue) )
        //the genome to be examined shouldn't have a duplicate
      {
        returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
          genome.MaxValueForGenes + 1);
      }
      return returnValue;
    }
        
    public void Mutate(Genome genome, double mutationRate)
    {
      int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
                                                          genome.MaxValueForGenes +1);
      int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
      while( genome.HasGene(newValueForGene) )
      //genome shouldn't have a duplicated gene
      {
        newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
          genome.MaxValueForGenes + 1);
      }
      GenomeManagement.MutateOneGene(genome, mutationRate,
        genePositionToBeMutated, newValueForGene);
    }

    public object Decode(Genome genome)
    {
      string[] returnValue = new string[genome.Size];
      for(int i = 0; i<genome.Size; i++)
        returnValue[i] = 
          (string)this.setOfInitialTickers.Rows[genome.GetGeneValue(i)][0];
      
      return returnValue;
    }

    private double getFitnessValue_getCorrelationCoefficient(int i, int j)
    {
      int row = i;
      int column = j;
      if( i < j )
      {
        row = j;
        column = i;
      }
      return this.correlationMatrix[row,column];
    }

    public virtual double GetFitnessValue(Genome genome)
    {
      double maximumCorrelation = 0.0;
      for( int i = 0; i <= genome.Size - 2; i++)
      {
        for( int j = 1; j<= genome.Size - i  - 1;j++)
           maximumCorrelation = Math.Max(maximumCorrelation,
        	                              Math.Abs(this.getFitnessValue_getCorrelationCoefficient(i,j)));
      }
      return 1.0 / maximumCorrelation;
    }

  }

}

[Quantproject-developers] QuantProject/b7_Scripts SimpleScriptsContainer.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29927/b7_Scripts

Added Files:
	SimpleScriptsContainer.cs 
Log Message:
Added SimpleScriptsContainer, used mainly for debugging purposes

--- NEW FILE: SimpleScriptsContainer.cs ---
/*
QuantProject - Quantitative Finance Library

SimpleScriptsContainer.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Data;
using QuantProject.Data.Selectors;
using QuantProject.Data.Selectors.ByLinearIndipendence;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for SimpleScriptsContainer.
	/// </summary>
	public class SimpleScriptsContainer 
	{
    public static void Execute()
    {
      QuantProject.Data.Selectors.ByLinearIndipendence.SelectorByMaxLinearIndipendence selector = 
        new QuantProject.Data.Selectors.ByLinearIndipendence.SelectorByMaxLinearIndipendence(
        "SP500",new DateTime(2004,1,1),new DateTime(2004,5,31),5,3,2000,"^GSPC");

      DataTable indipendentTickers = selector.GetTableOfSelectedTickers();
      SelectorByCloseToCloseCorrelationToBenchmark selector2 = 
          new SelectorByCloseToCloseCorrelationToBenchmark("SP500",(string)indipendentTickers.Rows[0][0],
                                                           false,new DateTime(2004,1,1),new DateTime(2004,5,31),
                                                           20,false);
      DataTable correlatedTickers = selector2.GetTableOfSelectedTickers();
        

    }
      
  }
}

[Quantproject-developers] QuantProject/b3_Data/Selectors/ByLinearIndipendence - New directory

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors/ByLinearIndipendence
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28595/ByLinearIndipendence

Log Message:
Directory /cvsroot/quantproject/QuantProject/b3_Data/Selectors/ByLinearIndipendence added to the repository

[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs, 1.26, 1.27

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26439/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Conflict resolution

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** Quotes.cs	29 Jun 2006 17:53:33 -0000	1.26
--- Quotes.cs	2 Jul 2006 19:07:26 -0000	1.27
***************
*** 609,659 ****
                                            0);
      }
-     /// <summary>
-     /// returns tickers of a given set of tickers ordered by close to close 
-     /// correlation to a given benchmark
-     /// </summary>
-     public static DataTable GetTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
-       DataTable setOfTickers, string benchmark,
-       DateTime firstQuoteDate,
-       DateTime lastQuoteDate,
-       long maxNumOfReturnedTickers, int numDaysBetweenEachClose)
-     {
-       if(!setOfTickers.Columns.Contains("CloseToCloseCorrelationToBenchmark"))
-         setOfTickers.Columns.Add("CloseToCloseCorrelationToBenchmark", System.Type.GetType("System.Double"));
-       float[] benchmarkRatios = GetArrayOfCloseToCloseRatios(benchmark, ref firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose);
-       foreach(DataRow row in setOfTickers.Rows)
-       {
-         float[] tickerRatios = GetArrayOfCloseToCloseRatios((string)row[0], 
-           ref firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose );
-       	if(tickerRatios.Length == benchmarkRatios.Length)
-       		row["CloseToCloseCorrelationToBenchmark"] =
-           	Math.Abs(BasicFunctions.PearsonCorrelationCoefficient(benchmarkRatios, tickerRatios));
-       }
-       DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,
-                                                               "CloseToCloseCorrelationToBenchmark>=0.0",
-                                                               "CloseToCloseCorrelationToBenchmark",
-                                                               orderByASC);
-       ExtendedDataTable.DeleteRows(tableToReturn, maxNumOfReturnedTickers);
-       return tableToReturn;
-     }
      
!     /// <summary>
!     /// returns tickers of a given set of tickers ordered by close to close 
!     /// correlation to a given benchmark
!     /// </summary>
!     public static DataTable GetTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
! 																					      string groupID, string benchmark,
! 																					      DateTime firstQuoteDate,
! 																					      DateTime lastQuoteDate,
! 																					      long maxNumOfReturnedTickers,
! 																					      int numDaysBetweenEachClose)
      {
!       DataTable tickersOfGroup = new Tickers_tickerGroups(groupID);
!       return GetTickersByCloseToCloseCorrelationToBenchmark(orderByASC,
! 																					      tickersOfGroup, benchmark,
! 																					      firstQuoteDate,
! 																					      lastQuoteDate,
! 																					      maxNumOfReturnedTickers,
! 																					      numDaysBetweenEachClose);
      }
      
--- 609,619 ----
                                            0);
      }
      
!     public static float[] GetArrayOfAdjustedCloseQuotes(string ticker,
!                                                         DateTime firstQuoteDate,
!                                                         DateTime lastQuoteDate)
      {
!       Quotes tickerQuotes = new Quotes(ticker, firstQuoteDate, lastQuoteDate);
!       return ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,"quAdjustedClose");
      }
      
***************
*** 680,683 ****
--- 640,644 ----
  		}
      
+ 
      private History history;
  
***************
*** 971,974 ****
--- 932,949 ----
      }
  
+     /// <summary>
+     /// Gets the first valid close to close ratio at the given date
+     /// </summary>
+     /// <returns></returns>
+     public float GetFirstValidCloseToCloseRatio(DateTime date )
+     {
+       object[] keys = new object[1];
+       keys[0] = this.GetFirstValidQuoteDate(date.Date);
+       DataRow foundRow = this.Rows.Find(keys);
+       if(foundRow==null)
+         throw new Exception("No quote for such a date!");
+       return (float)foundRow[Quotes.AdjustedCloseToCloseRatio]; 
+     }
+ 
  //		public DateTime GetPrecedingDate( DateTime quoteDate , int precedingDays )
  //		{

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs, 1.3, 1.4

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25195/b4_Business/a2_Strategies

Modified Files:
	SignedTicker.cs 
Log Message:
Conflict resolution

Index: SignedTicker.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** SignedTicker.cs	29 Jun 2006 17:51:31 -0000	1.3
--- SignedTicker.cs	2 Jul 2006 19:04:49 -0000	1.4
***************
*** 191,209 ****
      }
  		
! 		/// <summary>
! 		/// Gets portfolio's return for a given period, for given tickers
! 		/// </summary>
! 		/// <param name="signedTickers">Array of signed tickers that compose the portfolio (each ticker has the same weight)</param>
! 		/// <param name="startDate">Start date for the period for which return has to be computed</param>
! 		/// <param name="endDate">End date for the period for which return has to be computed</param>
! 		public static double GetCloseToClosePortfolioReturn(string[] signedTickers,
! 			DateTime startDate,
! 			DateTime endDate )
! 		{
! 			double[] tickersWeights = new double[signedTickers.Length];
! 			for(int i = 0; i<signedTickers.Length; i++)
! 				tickersWeights[i] = 1.0/signedTickers.Length;
!     	
! 			return GetCloseToClosePortfolioReturn(
  				signedTickers,tickersWeights, startDate, endDate);
      	
--- 191,209 ----
      }
  		
!     /// <summary>
!     /// Gets portfolio's return for a given period, for the given tickers
!     /// </summary>
!     /// <param name="signedTickers">Array of signed tickers that compose the portfolio (each ticker has the same weight)</param>
!     /// <param name="startDate">Start date for the period for which return has to be computed</param>
!     /// <param name="endDate">End date for the period for which return has to be computed</param>
!     public static double GetCloseToClosePortfolioReturn(string[] signedTickers,
!                                                         DateTime startDate,
!                                                         DateTime endDate )
!     {
!     	double[] tickersWeights = new double[signedTickers.Length];
!     	for(int i = 0; i<signedTickers.Length; i++)
!     		tickersWeights[i] = 1.0/signedTickers.Length;
! 			
!       return GetCloseToClosePortfolioReturn(
  				signedTickers,tickersWeights, startDate, endDate);
      	
***************
*** 301,306 ****
      public static void ChangeSignOfEachTicker( string[] signedTickers )
  		{
!     	for(int i = 0; i<signedTickers.Length; i++)
!     		signedTickers[i] = GetOppositeSignedTicker(signedTickers[i]);
  		}
  	}
--- 301,309 ----
      public static void ChangeSignOfEachTicker( string[] signedTickers )
  		{
!       for(int i = 0; i<signedTickers.Length; i++)
!       {
!         if(signedTickers[i] != null)
!           signedTickers[i] = GetOppositeSignedTicker(signedTickers[i]);
!       }
  		}
  	}

[Quantproject-developers] QuantProject/b1_ADT b1_ADT.csproj, 1.21, 1.22

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22343/b1_ADT

Modified Files:
	b1_ADT.csproj 
Log Message:
minor vsnet automatic change

Index: b1_ADT.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/b1_ADT.csproj,v
retrieving revision 1.21
retrieving revision 1.22
diff -C2 -d -r1.21 -r1.22
*** b1_ADT.csproj	1 Jun 2006 23:40:11 -0000	1.21
--- b1_ADT.csproj	29 Jun 2006 17:55:26 -0000	1.22
***************
*** 229,232 ****
--- 229,233 ----
                  <File
                      RelPath = "Statistics\AdvancedFunctions.cs"
+                     SubType = "Code"
                      BuildAction = "Compile"
                  />

[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs, 1.25, 1.26

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21376/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
- the GetMarketDays static method has been added

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.25
retrieving revision 1.26
diff -C2 -d -r1.25 -r1.26
*** Quotes.cs	14 May 2006 18:28:24 -0000	1.25
--- Quotes.cs	29 Jun 2006 17:53:33 -0000	1.26
***************
*** 658,661 ****
--- 658,682 ----
      }
      
+ 		/// <summary>
+ 		/// returns dates when the ticker was exchanged, within a given
+ 		/// date interval
+ 		/// </summary>
+ 		/// <param name="ticker"></param>
+ 		/// <param name="firstDate">begin interval</param>
+ 		/// <param name="lastDate">end interval</param>
+ 		/// <returns></returns>
+ 		public static DateTime[] GetMarketDays( string ticker ,
+ 			DateTime firstDate , DateTime lastDate )
+ 		{
+ 			Quotes quotes = new Quotes( ticker , firstDate , lastDate );
+ 			DateTime[] marketDays = new DateTime[ quotes.Rows.Count ];
+ 			int i = 0;
+ 			foreach ( DataRow dataRow in quotes.Rows )
+ 			{
+ 				marketDays[ i ] = (DateTime)dataRow[ Quotes.Date ];
+ 				i++;
+ 			}
+ 			return marketDays;
+ 		}
      
      private History history;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs, 1.2, 1.3

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20407/b4_Business/a2_Strategies

Modified Files:
	SignedTicker.cs 
Log Message:
- the GetCloseToClosePortfolioReturns static method has been added
- the GetCloseToClosePortfolioReturn static method has been overloaded (to say the truth I don't remember if I ever tested this new method...)

Index: SignedTicker.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** SignedTicker.cs	14 May 2006 18:40:24 -0000	1.2
--- SignedTicker.cs	29 Jun 2006 17:51:31 -0000	1.3
***************
*** 22,25 ****
--- 22,26 ----
  
  using System;
+ using System.Collections;
  
  using QuantProject.Business.DataProviders;
***************
*** 190,213 ****
      }
  		
!     /// <summary>
!     /// Gets portfolio's return for a given period, for given tickers
!     /// </summary>
!     /// <param name="signedTickers">Array of signed tickers that compose the portfolio (each ticker has the same weight)</param>
!     /// <param name="startDate">Start date for the period for which return has to be computed</param>
!     /// <param name="endDate">End date for the period for which return has to be computed</param>
!     public static double GetCloseToClosePortfolioReturn(string[] signedTickers,
!                                                         DateTime startDate,
!                                                         DateTime endDate )
!     {
!     	double[] tickersWeights = new double[signedTickers.Length];
!     	for(int i = 0; i<signedTickers.Length; i++)
!     		tickersWeights[i] = 1.0/signedTickers.Length;
      	
!     	return GetCloseToClosePortfolioReturn(
!     	        signedTickers,tickersWeights, startDate, endDate);
      	
!     }
      
!     /// <summary>
      /// Changes sign of each ticker contained in the given 
      /// array of signed tickers
--- 191,299 ----
      }
  		
! 		/// <summary>
! 		/// Gets portfolio's return for a given period, for given tickers
! 		/// </summary>
! 		/// <param name="signedTickers">Array of signed tickers that compose the portfolio (each ticker has the same weight)</param>
! 		/// <param name="startDate">Start date for the period for which return has to be computed</param>
! 		/// <param name="endDate">End date for the period for which return has to be computed</param>
! 		public static double GetCloseToClosePortfolioReturn(string[] signedTickers,
! 			DateTime startDate,
! 			DateTime endDate )
! 		{
! 			double[] tickersWeights = new double[signedTickers.Length];
! 			for(int i = 0; i<signedTickers.Length; i++)
! 				tickersWeights[i] = 1.0/signedTickers.Length;
      	
! 			return GetCloseToClosePortfolioReturn(
! 				signedTickers,tickersWeights, startDate, endDate);
      	
! 		}
      
! 		private static string[] getSignedTickersArray( ICollection signedTickers )
! 		{
! 			string[] signedTickersArray = new string[ signedTickers.Count ];
! 			int i = 0;
! 			foreach( string signedTicker in signedTickers )
! 			{
! 				signedTickersArray[ i ] = signedTicker;
! 				i++;
! 			}
! 			return signedTickersArray;
! 		}
! 		private static string[] getSignedTickerArray ( ICollection signedTickers )
! 		{
! 			string[] signedTickerArray = new string[ signedTickers.Count ];
! 			int i = 0;
! 			foreach( string signedTicker in signedTickers )
! 			{
! 				signedTickerArray[ i ] = signedTicker;
! 				i++;
! 			}
! 			return signedTickerArray;
! 		}
! 		#region GetCloseToClosePortfolioReturns
! 		private static double getCloseToCloseReturn( string ticker ,
! 			DateTime[] datesForReturnComputation , int i )
! 		{
! 			DateTime previousDate = datesForReturnComputation[ i ];
! 			DateTime currentDate = datesForReturnComputation[ i + 1 ];
! 			HistoricalAdjustedQuoteProvider historicalQuoteProvider =
! 				new HistoricalAdjustedQuoteProvider();
! 			double previousQuote = historicalQuoteProvider.GetMarketValue( ticker ,
! 				new EndOfDayDateTime( previousDate , EndOfDaySpecificTime.MarketClose ) );
! 			double currentQuote = historicalQuoteProvider.GetMarketValue( ticker ,
! 				new EndOfDayDateTime( currentDate , EndOfDaySpecificTime.MarketClose ) );
! 			double closeToCloseReturn = currentQuote / previousQuote - 1.0;
! 			return closeToCloseReturn;
! 		}
! 		private static double getMultiplier( string signedTicker )
! 		{
! 			double multiplier = 1.0;
! 			if ( IsShort( signedTicker ) )
! 				multiplier = -multiplier;
! 			return multiplier;
! 		}
! 		private static double getCloseToClosePortfolioReturn(
! 			string[] signedTickers , DateTime[] datesForReturnComputation , int i )
! 		{
! 			double dailyReturn = 0.0;
! 			foreach ( String signedTicker in signedTickers )
! 				dailyReturn += getMultiplier( signedTicker ) *
! 					getCloseToCloseReturn( GetTicker( signedTicker ) ,
! 					datesForReturnComputation , i ) /
! 					signedTickers.Length;  // every position is considered with same weight
! 			return dailyReturn;
! 		}
! 		private static double[] getCloseToClosePortfolioReturns(
! 			string[] signedTickers , DateTime[] datesForReturnComputation )
! 		{
! 			// the return for first DateTime cannot be computed so the returned
! 			// array will have one element less the datesForReturnComputation
! 			double[] closeToClosePortfolioReturns =
! 				new double[ datesForReturnComputation.Length - 1 ];
! 			for ( int i=0 ; i < closeToClosePortfolioReturns.Length ; i++ )
! 				closeToClosePortfolioReturns[ i ] =	getCloseToClosePortfolioReturn(
! 					signedTickers , datesForReturnComputation , i );
! 			return closeToClosePortfolioReturns;
! 		}
! 		/// <summary>
! 		/// Gets portfolio's return for a given period, for given tickers
! 		/// </summary>
! 		/// <param name="signedTickers">ICollection of signed tickers that compose the portfolio (each ticker has the same weight)</param>
! 		/// <param name="startDate">Start date for the period for which return has to be computed</param>
! 		/// <param name="endDate">End date for the period for which return has to be computed</param>
! 		public static double[] GetCloseToClosePortfolioReturns(
! 			ICollection signedTickers,	DateTime firstDate,	DateTime lastDate )
! 		{
! 			string[] signedTickerArray =
! 				getSignedTickerArray( signedTickers );
! 			DateTime[] datesForReturnComputation = Quotes.GetMarketDays(
! 				GetTicker( signedTickerArray[ 0 ] ), firstDate , lastDate );
! 			return getCloseToClosePortfolioReturns( signedTickerArray ,
! 				datesForReturnComputation );
! 		}
! 		#endregion
!     
! 		/// <summary>
      /// Changes sign of each ticker contained in the given 
      /// array of signed tickers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger WFLagChosenPositionsDebugInfo.cs, 1.1, 1.2

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18104/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Modified Files:
	WFLagChosenPositionsDebugInfo.cs 
Log Message:
- a WFLagLog parameter has been added to the WFLagChosenPositionsDebugInfo constructor
- the InSampleDays property has been added
- the InSampleSharpeRatio property has been added
- the PreSampleSharpeRatio30 property has been added
- the PostSampleSharpeRatio30 property has been added
- the InSampleDays property has been added
- the InSampleDays property has been added
- the InSampleDays property has been added

Index: WFLagChosenPositionsDebugInfo.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagChosenPositionsDebugInfo.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagChosenPositionsDebugInfo.cs	24 Jun 2006 14:49:54 -0000	1.1
--- WFLagChosenPositionsDebugInfo.cs	29 Jun 2006 17:46:49 -0000	1.2
***************
*** 31,34 ****
--- 31,38 ----
  	{
  		private WFLagChosenPositions wFLagChosenPositions;
+ 		private WFLagLog wFLagLog;
+ 		private double inSampleSharpeRatio;
+ 		private double preSampleSharpeRatio30;
+ 		private double postSampleSharpeRatio30;
  
  		public string DrivingPositions
***************
*** 44,48 ****
  			get { return this.wFLagChosenPositions.LastOptimizationDate; }
  		}
! 		public WFLagChosenPositionsDebugInfo( WFLagChosenPositions wFLagChosenPositions )
  		{
  			//
--- 48,70 ----
  			get { return this.wFLagChosenPositions.LastOptimizationDate; }
  		}
! 		public int InSampleDays
! 		{
! 			get { return this.wFLagLog.InSampleDays; }
! 		}
! 		public double InSampleSharpeRatio
! 		{
! 			get { return this.inSampleSharpeRatio; }
! 		}
! 		public double PreSampleSharpeRatio30
! 		{
! 			get { return this.preSampleSharpeRatio30; }
! 		}
! 		public double PostSampleSharpeRatio30
! 		{
! 			get { return this.postSampleSharpeRatio30; }
! 		}
! 		public WFLagChosenPositionsDebugInfo(
! 			WFLagChosenPositions wFLagChosenPositions ,
! 			WFLagLog wFLagLog )
  		{
  			//
***************
*** 50,53 ****
--- 72,110 ----
  			//
  			this.wFLagChosenPositions = wFLagChosenPositions;
+ 			this.wFLagLog = wFLagLog;
+ 			this.inSampleSharpeRatio = this.getInSampleSharpeRatio();
+ 			this.preSampleSharpeRatio30 = this.getPreSampleSharpeRatio( 30 );
+ 			this.postSampleSharpeRatio30 = this.getPostSampleSharpeRatio( 30 );
+ 		}
+ 		private DateTime getInSampleFirstDate()
+ 		{
+ 			DateTime inSampleFirstDate = this.LastOptimization.AddDays(
+ 				-( this.wFLagLog.InSampleDays - 1 ) );
+ 			return inSampleFirstDate;
+ 		}
+ 		private double getInSampleSharpeRatio()
+ 		{
+ 			DateTime firstDateTime = this.getInSampleFirstDate();
+ 			return WFLagSharpeRatioComputer.GetSharpeRatio(
+ 				this.wFLagChosenPositions , firstDateTime ,
+ 				this.LastOptimization );
+ 		}
+ 		private double getPreSampleSharpeRatio( int days )
+ 		{
+ 			DateTime lastDateTime = this.getInSampleFirstDate();
+ 			DateTime firstDateTime = lastDateTime.AddDays( -days - 1 );  // I subtract one more day, so I have days daily returns
+ 			return WFLagSharpeRatioComputer.GetSharpeRatio(
+ 				this.wFLagChosenPositions , firstDateTime ,
+ 				lastDateTime );
+ 		}
+ 		private double getPostSampleSharpeRatio( int days )
+ 		{
+ 			DateTime firstDateTime =
+ 				this.LastOptimization;	// add one day if you want to exclude the first day after the optimization;
+ 			// consider that the real out of sample jumps out that day
+ 			DateTime lastDateTime = firstDateTime.AddDays( days + 1 );  // I add one day, so I have days daily returns
+ 			return WFLagSharpeRatioComputer.GetSharpeRatio(
+ 				this.wFLagChosenPositions , firstDateTime ,
+ 				lastDateTime );
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger WFLagRunGenomesDebugger.cs, 1.2, 1.3

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16348/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Modified Files:
	WFLagRunGenomesDebugger.cs 
Log Message:
A WFLagLog parameter has been added to the WFLagChosenPositionsDebugInfo constructor

Index: WFLagRunGenomesDebugger.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagRunGenomesDebugger.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFLagRunGenomesDebugger.cs	24 Jun 2006 14:38:24 -0000	1.2
--- WFLagRunGenomesDebugger.cs	29 Jun 2006 17:42:32 -0000	1.3
***************
*** 61,65 ****
  		{
  			WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo =
! 				new WFLagChosenPositionsDebugInfo( wFLagChosenPositions );
  			this.chosenPositionsDebugInfoList.Add( wFLagChosenPositionsDebugInfo );
  		}
--- 61,66 ----
  		{
  			WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo =
! 				new WFLagChosenPositionsDebugInfo( wFLagChosenPositions ,
! 				this.wFLagLog );
  			this.chosenPositionsDebugInfoList.Add( wFLagChosenPositionsDebugInfo );
  		}

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.55, 1.56

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30398/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagSharpeRatioComputer.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.55
retrieving revision 1.56
diff -C2 -d -r1.55 -r1.56
*** b7_Scripts.csproj	24 Jun 2006 14:48:04 -0000	1.55
--- b7_Scripts.csproj	29 Jun 2006 17:03:00 -0000	1.56
***************
*** 659,662 ****
--- 659,667 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagSharpeRatioComputer.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\WalkForwardLag\WFLagLogDebugger\WFLagLogDebugger.cs"
                      SubType = "Form"

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger WFLagSharpeRatioComputer.cs, NONE, 1.1

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29419/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Added Files:
	WFLagSharpeRatioComputer.cs 
Log Message:
Computes Sharpe Ratios for the WFLag strategy, for debug purposes

--- NEW FILE: WFLagSharpeRatioComputer.cs ---
/*
QuantProject - Quantitative Finance Library

WFLagSharpeRatioComputer.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;

using QuantProject.ADT.Statistics;
using QuantProject.Business.Strategies;
using QuantProject.Data.DataProviders.Caching;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger
{
	/// <summary>
	/// Computes Sharpe Ratios for the WFLag strategy, for debug purposes
	/// </summary>
	public class WFLagSharpeRatioComputer
	{
		public WFLagSharpeRatioComputer()
		{
			//
			// TODO: Add constructor logic here
			//
		}

//		private double[] getLinearCombinationReturns(
//			ICollection signedTickers )
//		{
////			ArrayList enumeratedSignedTicker =
////				this.getEnumeratedSignedTickers( signedTickers );
//			int numberOfSignedTickers = signedTickers.Count;
//			ArrayList tickers = this.getTickers( signedTickers );
//			float[] multipliers = this.getMultipliers( enumeratedSignedTicker );
//			// arrays of close to close returns, one for each signed ticker
//			float[][] tickersReturns =
//				this.wFLagCandidates.GetTickersReturns( tickers );
//			double[] linearCombinationReturns =
//				new double[ tickersReturns[ 0 ].Length ];
//			for( int i = 0; i < linearCombinationReturns.Length ; i++ )
//				// computes linearCombinationReturns[ i ]
//			{
//				linearCombinationReturns[ i ] = 0;
//				for ( int j=0 ; j < numberOfSignedTickers ; j++ )
//				{
//					double signedTickerReturn =
//						tickersReturns[ j ][ i ] * multipliers[ j ];
//					// the investment is assumed to be equally divided for each
//					// signed ticker
//					linearCombinationReturns[ i ] += signedTickerReturn /
//						numberOfSignedTickers;
//				}
//			}
//			return linearCombinationReturns;
		//		}

		private static double[] getStrategyReturns( double[] drivingPositionsReturns ,
			double[] portfolioPositionsReturns )
		{
			// strategyReturns contains one element less than drivingPositionsReturns,
			// because there is no strategy for the very first period (at least
			// one day signal is needed)
			double[] strategyReturns =
				new double[ portfolioPositionsReturns.Length - 1 ];
			for ( int i = 0 ; i < portfolioPositionsReturns.Length - 1 ; i++ )
				if ( drivingPositionsReturns[ i ] < 0 )
					// the current linear combination of tickers, at period i
					// has a negative return
					
					// go short tomorrow
					strategyReturns[ i ] = -portfolioPositionsReturns[ i + 1 ];
				else
					// the current linear combination of tickers, at period i
					// has a positive return
					
					// go long tomorrow
					strategyReturns[ i ] = portfolioPositionsReturns[ i + 1 ];
			return strategyReturns;
		}
		private static double[] getStrategyReturns(
			WFLagChosenPositions wFLagChosenPositions ,
			DateTime firstDate , DateTime lastDate )
		{
			double[] drivingPositionsReturns =
				SignedTicker.GetCloseToClosePortfolioReturns(
				wFLagChosenPositions.DrivingPositions.Keys ,
				firstDate , lastDate );
			double[] portfolioPositionsReturns =
				SignedTicker.GetCloseToClosePortfolioReturns(
				wFLagChosenPositions.PortfolioPositions.Keys ,
				firstDate , lastDate );
			double[] strategyReturns = getStrategyReturns(
				drivingPositionsReturns , portfolioPositionsReturns );
			return strategyReturns;
		}


		public static double GetSharpeRatio(
			WFLagChosenPositions wFLagChosenPositions ,
			DateTime firstDate , DateTime lastDate )
		{
			double sharpeRatio = double.MinValue;
			try
			{
				double[] strategyReturns = getStrategyReturns(
					wFLagChosenPositions , firstDate , lastDate );
				sharpeRatio = AdvancedFunctions.GetSharpeRatio( strategyReturns );
			}
			catch( MissingQuoteException ex )
			{
				sharpeRatio = double.MinValue;
				string dummy = ex.Message;
			}
			return sharpeRatio;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger WFLagChosenPositionsDebugInfo.cs, NONE, 1.1

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21183/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Added Files:
	WFLagChosenPositionsDebugInfo.cs 
Log Message:
Debug info related to a single genome

--- NEW FILE: WFLagChosenPositionsDebugInfo.cs ---
/*
QuantProject - Quantitative Finance Library

WFLagChosenPositionsDebugInfo.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger
{
	/// <summary>
	/// Debug info related to a single genome
	/// </summary>
	public class WFLagChosenPositionsDebugInfo
	{
		private WFLagChosenPositions wFLagChosenPositions;

		public string DrivingPositions
		{
			get { return this.wFLagChosenPositions.DrivingPositions.KeyConcat; }
		}
		public string PortfolioPositions
		{
			get { return this.wFLagChosenPositions.PortfolioPositions.KeyConcat; }
		}
		public DateTime LastOptimization
		{
			get { return this.wFLagChosenPositions.LastOptimizationDate; }
		}
		public WFLagChosenPositionsDebugInfo( WFLagChosenPositions wFLagChosenPositions )
		{
			//
			// TODO: Add constructor logic here
			//
			this.wFLagChosenPositions = wFLagChosenPositions;
		}
	}
}