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From: Glauco S. <gla...@us...> - 2006-06-24 14:48:07
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20437/b7_Scripts Modified Files: b7_Scripts.csproj Log Message: WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagChosenPositionsDebugInfo.cs has been added Index: b7_Scripts.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v retrieving revision 1.54 retrieving revision 1.55 diff -C2 -d -r1.54 -r1.55 *** b7_Scripts.csproj 22 Jun 2006 21:26:18 -0000 1.54 --- b7_Scripts.csproj 24 Jun 2006 14:48:04 -0000 1.55 *************** *** 599,607 **** /> <File - RelPath = "WalkForwardTesting\WalkForwardLag\WFLagMain.resx" - DependentUpon = "WFLagMain.cs" - BuildAction = "EmbeddedResource" - /> - <File RelPath = "WalkForwardTesting\WalkForwardLag\WFLagNewChosenTickersEventArgs.cs" SubType = "Code" --- 599,602 ---- *************** *** 649,660 **** /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagDebugChosenPositionsCollection.cs" ! SubType = "Form" BuildAction = "Compile" /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagDebugChosenPositionsCollection.resx" ! DependentUpon = "WFLagDebugChosenPositionsCollection.cs" ! BuildAction = "EmbeddedResource" /> <File --- 644,655 ---- /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagChosenPositionsDebugInfo.cs" ! SubType = "Code" BuildAction = "Compile" /> <File ! RelPath = "WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagDebugChosenPositionsCollection.cs" ! SubType = "Form" ! BuildAction = "Compile" /> <File |
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From: Glauco S. <gla...@us...> - 2006-06-24 14:46:04
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19332/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger Modified Files: WFLagLog.cs Log Message: The ISerializable interface is implemented now. I suggest to read the interface implementation, to replicate it for other serializable classes expected to enrich in future releases. Index: WFLagLog.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagLog.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagLog.cs 8 Apr 2006 18:10:21 -0000 1.1 --- WFLagLog.cs 24 Jun 2006 14:46:00 -0000 1.2 *************** *** 22,28 **** using System; using QuantProject.ADT.Histories; - using QuantProject.Business.Financial.Accounting.Transactions; --- 22,29 ---- using System; + using System.Reflection; + using System.Runtime.Serialization; using QuantProject.ADT.Histories; using QuantProject.Business.Financial.Accounting.Transactions; *************** *** 33,37 **** /// </summary> [Serializable] ! public class WFLagLog { private int inSampleDays; --- 34,38 ---- /// </summary> [Serializable] ! public class WFLagLog : ISerializable { private int inSampleDays; *************** *** 56,59 **** --- 57,64 ---- } + public History ChosenPositionsHistory + { + get { return this.chosenPositionsHistory; } + } public WFLagLog( int inSampleDays , string benchmark ) { *************** *** 62,65 **** --- 67,116 ---- this.chosenPositionsHistory = new History(); } + /// <summary> + /// This constructor allows custom deserialization (see the ISerializable + /// interface documentation) + /// </summary> + /// <param name="info"></param> + /// <param name="context"></param> + protected WFLagLog( SerializationInfo info , StreamingContext context ) + { + // get the set of serializable members for this class and its base classes + Type thisType = this.GetType(); + MemberInfo[] mi = FormatterServices.GetSerializableMembers( + thisType , context); + + // deserialize the fields from the info object + for (Int32 i = 0 ; i < mi.Length; i++) + { + FieldInfo fieldInfo = (FieldInfo) mi[i]; + + // set the field to the deserialized value + fieldInfo.SetValue( this , + info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) ); + } + + } + #region GetObjectData + /// <summary> + /// serialize the set of serializable members for this class and base classes + /// </summary> + /// <param name="info"></param> + /// <param name="context"></param> + void ISerializable.GetObjectData( + SerializationInfo info, StreamingContext context) + { + // get the set of serializable members for this class and base classes + Type thisType = this.GetType(); + MemberInfo[] mi = + FormatterServices.GetSerializableMembers( thisType , context); + + // serialize the fields to the info object + for (Int32 i = 0 ; i < mi.Length; i++) + { + info.AddValue(mi[i].Name, ((FieldInfo) mi[i]).GetValue(this)); + } + } + #endregion + public void Add( WFLagChosenPositions wFLagChosenPositions ) { |
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From: Glauco S. <gla...@us...> - 2006-06-24 14:42:43
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagLogDebugger In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17936/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagLogDebugger Modified Files: WFLagLogDebugger.cs Log Message: More meaningful text for the buttonDebugLog button. Index: WFLagLogDebugger.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagLogDebugger/WFLagLogDebugger.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagLogDebugger.cs 22 Jun 2006 21:15:07 -0000 1.1 --- WFLagLogDebugger.cs 24 Jun 2006 14:42:39 -0000 1.2 *************** *** 77,81 **** this.buttonDebugLog.Size = new System.Drawing.Size(104, 23); this.buttonDebugLog.TabIndex = 1; ! this.buttonDebugLog.Text = "Debug Log"; this.buttonDebugLog.Click += new System.EventHandler(this.buttonDebugLog_Click); // --- 77,81 ---- this.buttonDebugLog.Size = new System.Drawing.Size(104, 23); this.buttonDebugLog.TabIndex = 1; ! this.buttonDebugLog.Text = "Debug Genomes"; this.buttonDebugLog.Click += new System.EventHandler(this.buttonDebugLog_Click); // |
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From: Glauco S. <gla...@us...> - 2006-06-24 14:38:28
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16109/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger Modified Files: WFLagRunGenomesDebugger.cs Log Message: The private membera chosenPositionsDebugInfoList has been added. Features to be completed. Index: WFLagRunGenomesDebugger.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagRunGenomesDebugger.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagRunGenomesDebugger.cs 22 Jun 2006 20:55:24 -0000 1.1 --- WFLagRunGenomesDebugger.cs 24 Jun 2006 14:38:24 -0000 1.2 *************** *** 42,46 **** private WFLagLog wFLagLog; private ICollection chosenPositionsCollection; ! private ArrayList additionalInfosList; public WFLagRunGenomesDebugger() --- 42,46 ---- private WFLagLog wFLagLog; private ICollection chosenPositionsCollection; ! private ArrayList chosenPositionsDebugInfoList; public WFLagRunGenomesDebugger() *************** *** 57,75 **** this.wFLagLog.ChosenPositionsHistory.Values; } ! private void computeList_setAdditionalInfosList( WFLagChosenPositions wFLagChosenPositions ) { ! } ! private void computeList_setAdditionalInfosList() { ! this.additionalInfosList = new ArrayList(); ! foreach ( WFLagChosenPositions wFLagChosenPositions ! in this.chosenPositionsCollection ) ! this.computeList_setAdditionalInfosList( wFLagChosenPositions ); } private void computeList() { this.computeList_setChosenPositionsCollection(); ! this.computeList_setAdditionalInfosList(); } #endregion --- 57,80 ---- this.wFLagLog.ChosenPositionsHistory.Values; } ! private void computeList_setChosenPositionsDebugInfoList_addDebugInfo( ! WFLagChosenPositions wFLagChosenPositions ) { ! WFLagChosenPositionsDebugInfo wFLagChosenPositionsDebugInfo = ! new WFLagChosenPositionsDebugInfo( wFLagChosenPositions ); ! this.chosenPositionsDebugInfoList.Add( wFLagChosenPositionsDebugInfo ); } ! ! private void computeList_setChosenPositionsDebugInfoList() { ! this.chosenPositionsDebugInfoList = new ArrayList(); ! foreach ( WFLagChosenPositions wFLagChosenPositions in ! this.chosenPositionsCollection ) ! this.computeList_setChosenPositionsDebugInfoList_addDebugInfo( ! wFLagChosenPositions ); } private void computeList() { this.computeList_setChosenPositionsCollection(); ! this.computeList_setChosenPositionsDebugInfoList(); } #endregion *************** *** 77,81 **** { WFLagDebugChosenPositionsCollection wFLagDebugChosenPositionsCollection = ! new WFLagDebugChosenPositionsCollection( this.chosenPositionsCollection ); wFLagDebugChosenPositionsCollection.ShowDialog(); } --- 82,86 ---- { WFLagDebugChosenPositionsCollection wFLagDebugChosenPositionsCollection = ! new WFLagDebugChosenPositionsCollection( this.chosenPositionsDebugInfoList ); wFLagDebugChosenPositionsCollection.ShowDialog(); } |
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From: Glauco S. <gla...@us...> - 2006-06-24 14:33:51
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13840/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagMain.cs Log Message: Now the WFLagLogDebugger form is invoked, instead of the WFLagRunDebugger class: so the user can either recreate a backtest final report or debug the genome list Index: WFLagMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagMain.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** WFLagMain.cs 31 May 2006 14:16:32 -0000 1.4 --- WFLagMain.cs 24 Jun 2006 14:33:44 -0000 1.5 *************** *** 27,30 **** --- 27,31 ---- using System.Windows.Forms; + using QuantProject.Presentation; using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger; *************** *** 85,89 **** // NewBacktest // ! this.NewBacktest.Location = new System.Drawing.Point(64, 56); this.NewBacktest.Name = "NewBacktest"; this.NewBacktest.Size = new System.Drawing.Size(88, 23); --- 86,90 ---- // NewBacktest // ! this.NewBacktest.Location = new System.Drawing.Point(24, 56); this.NewBacktest.Name = "NewBacktest"; this.NewBacktest.Size = new System.Drawing.Size(88, 23); *************** *** 94,98 **** // debugOldBacktest // ! this.debugOldBacktest.Location = new System.Drawing.Point(216, 56); this.debugOldBacktest.Name = "debugOldBacktest"; this.debugOldBacktest.TabIndex = 1; --- 95,99 ---- // debugOldBacktest // ! this.debugOldBacktest.Location = new System.Drawing.Point(200, 56); this.debugOldBacktest.Name = "debugOldBacktest"; this.debugOldBacktest.TabIndex = 1; *************** *** 103,107 **** // this.AutoScaleBaseSize = new System.Drawing.Size(5, 13); ! this.ClientSize = new System.Drawing.Size(352, 149); this.Controls.AddRange(new System.Windows.Forms.Control[] { this.debugOldBacktest, --- 104,108 ---- // this.AutoScaleBaseSize = new System.Drawing.Size(5, 13); ! this.ClientSize = new System.Drawing.Size(312, 141); this.Controls.AddRange(new System.Windows.Forms.Control[] { this.debugOldBacktest, *************** *** 116,129 **** private void NewBacktest_Click(object sender, System.EventArgs e) { ! // new RunWalkForwardLag( "millo" , 500 , ! // 3 , 3 , 90 , 4 , 1 , 5000 , "MSFT" , ! // new DateTime( 2002 , 1 , 1 ) , ! // new DateTime( 2002 , 1 , 8 ) , ! // 0.01 ).Run(); ! new RunWalkForwardLag( "ib_etf" , 500 , ! 4 , 4 , 200 , 15 , 50 , 90000 , "EWQ" , ! new DateTime( 2003 , 8 , 13 ) , ! new DateTime( 2003 , 12 , 31 ) , ! 7 ).Run(); // new RunWalkForwardLag( "ib_etf" , 500 , // 4 , 4 , 250 , 2 , 15 , 30000 , "EWQ" , --- 117,130 ---- private void NewBacktest_Click(object sender, System.EventArgs e) { ! new RunWalkForwardLag( "millo" , 500 , ! 3 , 3 , 90 , 20 , 3 , 5000 , "MSFT" , ! new DateTime( 2003 , 1 , 1 ) , ! new DateTime( 2003 , 1 , 8 ) , ! 1 ).Run(); ! // new RunWalkForwardLag( "ib_etf" , 500 , ! // 4 , 4 , 200 , 14 , 50 , 90000 , "EWQ" , ! // new DateTime( 2003 , 8 , 13 ) , ! // new DateTime( 2003 , 12 , 31 ) , ! // 7.4 ).Run(); // new RunWalkForwardLag( "ib_etf" , 500 , // 4 , 4 , 250 , 2 , 15 , 30000 , "EWQ" , *************** *** 145,149 **** private void debugOldBacktest_Click(object sender, System.EventArgs e) { ! new WFLagRunDebugger().Run(); } } --- 146,162 ---- private void debugOldBacktest_Click(object sender, System.EventArgs e) { ! VisualObjectArchiver visualObjectArchiver = ! new VisualObjectArchiver(); ! WFLagLog wFLagLog = ! ( WFLagLog )visualObjectArchiver.Load( ! "Load WFLag backtest log" , "qPWFLagLog" , "Load transactions" ); ! WFLagLogDebugger wFLagLogDebugger = new WFLagLogDebugger( wFLagLog ); ! wFLagLogDebugger.ShowDialog(); ! } ! ! private void debugOldGenomes_Click(object sender, System.EventArgs e) ! { ! // new WFLagGenomesDebugger.TestPerDeserializzazioneInAltraClasse(); ! // new WFLagRunGenomesDebugger().Run(); } } |
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From: Glauco S. <gla...@us...> - 2006-06-22 21:39:28
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17300/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger Modified Files: WFLagRunDebugger.cs Log Message: The Run( WFLagLog wFLagLog ) method replaces the Run() method Index: WFLagRunDebugger.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagRunDebugger.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagRunDebugger.cs 8 Apr 2006 18:15:09 -0000 1.1 --- WFLagRunDebugger.cs 22 Jun 2006 21:39:24 -0000 1.2 *************** *** 28,32 **** using QuantProject.Business.Financial.Accounting.Transactions; using QuantProject.Business.Timing; - using QuantProject.Presentation; using QuantProject.Presentation.Reporting.WindowsForm; --- 28,31 ---- *************** *** 44,54 **** // } ! public void Run() { - VisualObjectArchiver visualObjectArchiver = - new VisualObjectArchiver(); - WFLagLog wFLagLog = - ( WFLagLog )visualObjectArchiver.Load( - "Load WFLag backtest log" , "qPWFLagLog" , "Load transactions" ); TransactionHistory transactionHistory = wFLagLog.TransactionHistory; --- 43,48 ---- // } ! public void Run( WFLagLog wFLagLog ) { TransactionHistory transactionHistory = wFLagLog.TransactionHistory; |
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From: Glauco S. <gla...@us...> - 2006-06-22 21:33:50
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14585/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger Modified Files: WFLagDebugGenome.cs Log Message: Copyright notice has been added Index: WFLagDebugGenome.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugGenome.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagDebugGenome.cs 14 May 2006 21:00:15 -0000 1.1 --- WFLagDebugGenome.cs 22 Jun 2006 21:33:47 -0000 1.2 *************** *** 1,2 **** --- 1,24 ---- + /* + QuantProject - Quantitative Finance Library + + WFLagDebugGenome.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.Drawing; |
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From: Glauco S. <gla...@us...> - 2006-06-22 21:26:24
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11369/b7_Scripts Modified Files: b7_Scripts.csproj Log Message: - WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagDebugChosenPositionsCollection.cs has been added - WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagRunGenomesDebugger.cs has been added - WalkForwardTesting\WalkForwardLag\WFLagLogDebugger\WFLagLogDebugger.cs has been added Index: b7_Scripts.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v retrieving revision 1.53 retrieving revision 1.54 diff -C2 -d -r1.53 -r1.54 *** b7_Scripts.csproj 14 May 2006 20:50:54 -0000 1.53 --- b7_Scripts.csproj 22 Jun 2006 21:26:18 -0000 1.54 *************** *** 173,181 **** /> <File - RelPath = "ArbitrageTesting\PairTrading\SimplePairTrading\InSample\OutputDisplayer.resx" - DependentUpon = "OutputDisplayer.cs" - BuildAction = "EmbeddedResource" - /> - <File RelPath = "ArbitrageTesting\PairTrading\SimplePairTrading\InSample\RunSimplePairTradingIS.cs" SubType = "Code" --- 173,176 ---- *************** *** 229,237 **** /> <File - RelPath = "SimpleTesting\OneRank\OneRankForm.resx" - DependentUpon = "OneRankForm.cs" - BuildAction = "EmbeddedResource" - /> - <File RelPath = "SimpleTesting\OneRank\RunOneRank.cs" SubType = "Code" --- 224,227 ---- *************** *** 634,642 **** /> <File - RelPath = "WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagDebugGenome.resx" - DependentUpon = "WFLagDebugGenome.cs" - BuildAction = "EmbeddedResource" - /> - <File RelPath = "WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagLog.cs" SubType = "Code" --- 624,627 ---- *************** *** 664,667 **** --- 649,677 ---- /> <File + RelPath = "WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagDebugChosenPositionsCollection.cs" + SubType = "Form" + BuildAction = "Compile" + /> + <File + RelPath = "WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagDebugChosenPositionsCollection.resx" + DependentUpon = "WFLagDebugChosenPositionsCollection.cs" + BuildAction = "EmbeddedResource" + /> + <File + RelPath = "WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagRunGenomesDebugger.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File + RelPath = "WalkForwardTesting\WalkForwardLag\WFLagLogDebugger\WFLagLogDebugger.cs" + SubType = "Form" + BuildAction = "Compile" + /> + <File + RelPath = "WalkForwardTesting\WalkForwardLag\WFLagLogDebugger\WFLagLogDebugger.resx" + DependentUpon = "WFLagLogDebugger.cs" + BuildAction = "EmbeddedResource" + /> + <File RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\RunWalkForwardMultiOneRank.cs" SubType = "Code" *************** *** 704,712 **** /> <File - RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankDebugInSampleForm.resx" - DependentUpon = "WFMultiOneRankDebugInSampleForm.cs" - BuildAction = "EmbeddedResource" - /> - <File RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankReportDebugger.cs" SubType = "Code" --- 714,717 ---- |
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From: Glauco S. <gla...@us...> - 2006-06-22 21:15:10
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagLogDebugger In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6203 Added Files: WFLagLogDebugger.cs Log Message: Form to debug a WFLagLog: here the user can either chose to recreate the backtest final report or to analize each genome listed in a form grid --- NEW FILE: WFLagLogDebugger.cs --- using System; using System.Drawing; using System.Collections; using System.ComponentModel; using System.Windows.Forms; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger { /// <summary> /// Form to debug a WFLagLog: here the user can either chose to /// recreate the backtest final report or to analize each genome listed /// in a form grid /// </summary> public class WFLagLogDebugger : System.Windows.Forms.Form { private WFLagLog wFLagLog; private System.Windows.Forms.Button buttonDebugBacktest; private System.Windows.Forms.Button buttonDebugLog; /// <summary> /// Required designer variable. /// </summary> private System.ComponentModel.Container components = null; public WFLagLogDebugger( WFLagLog wFLagLog ) { // // Required for Windows Form Designer support // InitializeComponent(); // // TODO: Add any constructor code after InitializeComponent call // this.wFLagLog = wFLagLog; } /// <summary> /// Clean up any resources being used. /// </summary> protected override void Dispose( bool disposing ) { if( disposing ) { if(components != null) { components.Dispose(); } } base.Dispose( disposing ); } #region Windows Form Designer generated code /// <summary> /// Required method for Designer support - do not modify /// the contents of this method with the code editor. /// </summary> private void InitializeComponent() { this.buttonDebugBacktest = new System.Windows.Forms.Button(); this.buttonDebugLog = new System.Windows.Forms.Button(); this.SuspendLayout(); // // buttonDebugBacktest // this.buttonDebugBacktest.Location = new System.Drawing.Point(32, 48); this.buttonDebugBacktest.Name = "buttonDebugBacktest"; this.buttonDebugBacktest.Size = new System.Drawing.Size(104, 23); this.buttonDebugBacktest.TabIndex = 0; this.buttonDebugBacktest.Text = "Debug Backtest"; this.buttonDebugBacktest.Click += new System.EventHandler(this.buttonDebugBacktest_Click); // // buttonDebugLog // this.buttonDebugLog.Location = new System.Drawing.Point(176, 48); this.buttonDebugLog.Name = "buttonDebugLog"; this.buttonDebugLog.Size = new System.Drawing.Size(104, 23); this.buttonDebugLog.TabIndex = 1; this.buttonDebugLog.Text = "Debug Log"; this.buttonDebugLog.Click += new System.EventHandler(this.buttonDebugLog_Click); // // WFLagLogDebugger // this.AutoScaleBaseSize = new System.Drawing.Size(5, 13); this.ClientSize = new System.Drawing.Size(328, 149); this.Controls.AddRange(new System.Windows.Forms.Control[] { this.buttonDebugLog, this.buttonDebugBacktest}); this.Name = "WFLagLogDebugger"; this.Text = "WFLagLogDebugger"; this.ResumeLayout(false); } #endregion private void buttonDebugBacktest_Click(object sender, System.EventArgs e) { new WFLagRunDebugger().Run( this.wFLagLog ); } private void buttonDebugLog_Click(object sender, System.EventArgs e) { new WFLagRunGenomesDebugger().Run( this.wFLagLog ); } } } |
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From: Glauco S. <gla...@us...> - 2006-06-22 21:06:40
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagLogDebugger In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2063/WFLagLogDebugger Log Message: Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagLogDebugger added to the repository |
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From: Glauco S. <gla...@us...> - 2006-06-22 20:55:27
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29392 Added Files: WFLagRunGenomesDebugger.cs Log Message: Script to debug positions chosen in a previous backtest and stored in a WFLagLog --- NEW FILE: WFLagRunGenomesDebugger.cs --- /* QuantProject - Quantitative Finance Library WFLagRunGenomesDebugger.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 System.Windows.Forms; using QuantProject.Business.DataProviders; using QuantProject.Business.Financial.Accounting; using QuantProject.Business.Financial.Accounting.Transactions; using QuantProject.Business.Timing; using QuantProject.Presentation; using QuantProject.Presentation.Reporting.WindowsForm; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger { /// <summary> /// Script to debug positions chosen in a previous backtest /// and stored in a WFLagLog /// </summary> public class WFLagRunGenomesDebugger { private WFLagLog wFLagLog; private ICollection chosenPositionsCollection; private ArrayList additionalInfosList; public WFLagRunGenomesDebugger() { // // TODO: Add constructor logic here // } #region computeList private void computeList_setChosenPositionsCollection() { this.chosenPositionsCollection = this.wFLagLog.ChosenPositionsHistory.Values; } private void computeList_setAdditionalInfosList( WFLagChosenPositions wFLagChosenPositions ) { } private void computeList_setAdditionalInfosList() { this.additionalInfosList = new ArrayList(); foreach ( WFLagChosenPositions wFLagChosenPositions in this.chosenPositionsCollection ) this.computeList_setAdditionalInfosList( wFLagChosenPositions ); } private void computeList() { this.computeList_setChosenPositionsCollection(); this.computeList_setAdditionalInfosList(); } #endregion private void showList() { WFLagDebugChosenPositionsCollection wFLagDebugChosenPositionsCollection = new WFLagDebugChosenPositionsCollection( this.chosenPositionsCollection ); wFLagDebugChosenPositionsCollection.ShowDialog(); } public void Run( WFLagLog wFLagLog ) { this.wFLagLog = wFLagLog; this.computeList(); this.showList(); } } } |
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From: Glauco S. <gla...@us...> - 2006-06-22 20:53:11
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28409 Added Files: WFLagDebugChosenPositionsCollection.cs Log Message: Form to debug a chosen positions' collection --- NEW FILE: WFLagDebugChosenPositionsCollection.cs --- /* QuantProject - Quantitative Finance Library WFLagDebugChosenPositionsCollection.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.Drawing; using System.Collections; using System.ComponentModel; using System.Windows.Forms; namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger { /// <summary> /// Form to debug a chosen positions' collection /// </summary> public class WFLagDebugChosenPositionsCollection : System.Windows.Forms.Form { private System.Windows.Forms.DataGrid dataGridChosenPositionsWithAttributes; /// <summary> /// Required designer variable. /// </summary> private System.ComponentModel.Container components = null; private ICollection chosenPositionsCollection; public WFLagDebugChosenPositionsCollection( ICollection chosenPositionsCollection ) { // // Required for Windows Form Designer support // InitializeComponent(); // // TODO: Add any constructor code after InitializeComponent call // this.chosenPositionsCollection = chosenPositionsCollection; this.updateGrid(); } /// <summary> /// Clean up any resources being used. /// </summary> protected override void Dispose( bool disposing ) { if( disposing ) { if(components != null) { components.Dispose(); } } base.Dispose( disposing ); } #region Windows Form Designer generated code /// <summary> /// Required method for Designer support - do not modify /// the contents of this method with the code editor. /// </summary> private void InitializeComponent() { this.dataGridChosenPositionsWithAttributes = new System.Windows.Forms.DataGrid(); ((System.ComponentModel.ISupportInitialize)(this.dataGridChosenPositionsWithAttributes)).BeginInit(); this.SuspendLayout(); // // dataGridChosenPositionsWithAttributes // this.dataGridChosenPositionsWithAttributes.DataMember = ""; this.dataGridChosenPositionsWithAttributes.HeaderForeColor = System.Drawing.SystemColors.ControlText; this.dataGridChosenPositionsWithAttributes.Location = new System.Drawing.Point(24, 40); this.dataGridChosenPositionsWithAttributes.Name = "dataGridChosenPositionsWithAttributes"; this.dataGridChosenPositionsWithAttributes.Size = new System.Drawing.Size(576, 240); this.dataGridChosenPositionsWithAttributes.TabIndex = 0; // // WFLagDebugChosenPositionsCollection // this.AutoScaleBaseSize = new System.Drawing.Size(5, 13); this.ClientSize = new System.Drawing.Size(640, 301); this.Controls.AddRange(new System.Windows.Forms.Control[] { this.dataGridChosenPositionsWithAttributes}); this.Name = "WFLagDebugChosenPositionsCollection"; this.Text = "WFLagDebugChosenPositionsCollection"; ((System.ComponentModel.ISupportInitialize)(this.dataGridChosenPositionsWithAttributes)).EndInit(); this.ResumeLayout(false); } #endregion private void updateGrid() { this.dataGridChosenPositionsWithAttributes.DataSource = this.chosenPositionsCollection; this.dataGridChosenPositionsWithAttributes.Refresh(); } } } |
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From: Glauco S. <gla...@us...> - 2006-06-22 20:52:41
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28018/WFLagGenomesDebugger Log Message: Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger added to the repository |
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From: Glauco S. <gla...@us...> - 2006-06-21 17:25:49
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17368/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: RunWalkForwardLag.cs Log Message: The WriteToTextLog public method has been added (and it is privately used, also). Index: RunWalkForwardLag.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunWalkForwardLag.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** RunWalkForwardLag.cs 31 May 2006 14:22:53 -0000 1.4 --- RunWalkForwardLag.cs 21 Jun 2006 17:25:41 -0000 1.5 *************** *** 22,25 **** --- 22,26 ---- using System; + using System.IO; using QuantProject.ADT; *************** *** 133,136 **** --- 134,149 ---- this.populationSizeForGeneticOptimizer ); } + public static void WriteToTextLog( string message ) + { + Console.WriteLine( message ); + + // FileStream fileStream = new FileStream( "WFLagLog.Txt" , + // FileMode.OpenOrCreate ); + StreamWriter streamWriter = new StreamWriter( "WFLagLog.Txt" , + true ); + streamWriter.WriteLine( message ); + streamWriter.Close(); + // fileStream.Close(); + } private void inSampleNewProgressEventHandler( Object sender , NewProgressEventArgs eventArgs ) *************** *** 138,142 **** if ( !(this.InSampleNewProgress == null) ) this.InSampleNewProgress( this , eventArgs ); ! Console.WriteLine( eventArgs.CurrentProgress.ToString() + " / " + eventArgs.Goal.ToString() + --- 151,160 ---- if ( !(this.InSampleNewProgress == null) ) this.InSampleNewProgress( this , eventArgs ); ! // Console.WriteLine( ! // eventArgs.CurrentProgress.ToString() + " / " + ! // eventArgs.Goal.ToString() + ! // " - " + ! // DateTime.Now.ToString() ); ! RunWalkForwardLag.WriteToTextLog( eventArgs.CurrentProgress.ToString() + " / " + eventArgs.Goal.ToString() + *************** *** 163,167 **** "First date:" + this.firstDateTime.ToString() + " - " + "Last date:" + this.lastDateTime.ToString(); ! Console.WriteLine( progress ); } private string getLongStringForDateTime( DateTime dateTime ) --- 181,186 ---- "First date:" + this.firstDateTime.ToString() + " - " + "Last date:" + this.lastDateTime.ToString(); ! // Console.WriteLine( progress ); ! RunWalkForwardLag.WriteToTextLog( progress ); } private string getLongStringForDateTime( DateTime dateTime ) |
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From: Marco M. <mi...@us...> - 2006-06-18 15:28:15
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Update of /cvsroot/quantproject/QuantProject/b1_ADT/Histories In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17521/b1_ADT/Histories Modified Files: History.cs Log Message: Just for conflict resolution Index: History.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Histories/History.cs,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** History.cs 18 Jun 2006 14:22:14 -0000 1.9 --- History.cs 18 Jun 2006 15:28:11 -0000 1.10 *************** *** 204,210 **** { ! if ( Math.Floor( Convert.ToDouble( ! currentHistoryIndex / onEachPeriodOf ) ) == periodIndex && ! cursorThroughDataArray < onEachPeriodOf ) //currentHistoryIndex belongs to the current period { --- 204,211 ---- { ! ! if (Math.Floor(Convert.ToDouble(currentHistoryIndex/onEachPeriodOf)) == periodIndex && ! cursorThroughDataArray < onEachPeriodOf) ! //currentHistoryIndex belongs to the current period { *************** *** 235,240 **** } } ! periodIndex = Math.Floor( Convert.ToDouble( ! currentHistoryIndex/onEachPeriodOf ) ); } --- 236,242 ---- } } ! ! periodIndex = Math.Floor(Convert.ToDouble(currentHistoryIndex/onEachPeriodOf)); ! } |
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From: Glauco S. <gla...@us...> - 2006-06-18 14:25:39
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Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21642/b4_Business Modified Files: b4_Business.csproj Log Message: - a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\ExpectancyScore.cs has been added - a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\NumberNegativePeriods.cs has been added - a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\NumberPositivePeriods.cs has been added - a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\PercentagePositivePeriods.cs has been added Index: b4_Business.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v retrieving revision 1.31 retrieving revision 1.32 diff -C2 -d -r1.31 -r1.32 *** b4_Business.csproj 8 Apr 2006 18:30:22 -0000 1.31 --- b4_Business.csproj 18 Jun 2006 14:25:36 -0000 1.32 *************** *** 383,386 **** --- 383,391 ---- /> <File + RelPath = "a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\ExpectancyScore.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File RelPath = "a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\IntegerSummaryRow.cs" SubType = "Code" *************** *** 413,416 **** --- 418,431 ---- /> <File + RelPath = "a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\NumberNegativePeriods.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File + RelPath = "a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\NumberPositivePeriods.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File RelPath = "a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\NumberWinningLongTrades.cs" SubType = "Code" *************** *** 433,436 **** --- 448,456 ---- /> <File + RelPath = "a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\PercentagePositivePeriods.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File RelPath = "a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\PercentageSummaryRow.cs" SubType = "Code" |
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From: Glauco S. <gla...@us...> - 2006-06-18 14:22:17
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Update of /cvsroot/quantproject/QuantProject/b1_ADT/Histories In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv20289/b1_ADT/Histories Modified Files: History.cs Log Message: A couple of ambiguous Math.Floor arguments have been converted to double (framework 1.x accepted such ambiguity, but framework 2.x doesn't) Index: History.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Histories/History.cs,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** History.cs 17 Apr 2005 02:08:09 -0000 1.8 --- History.cs 18 Jun 2006 14:22:14 -0000 1.9 *************** *** 204,209 **** { ! if (Math.Floor(currentHistoryIndex/onEachPeriodOf) == periodIndex && ! cursorThroughDataArray < onEachPeriodOf) //currentHistoryIndex belongs to the current period { --- 204,210 ---- { ! if ( Math.Floor( Convert.ToDouble( ! currentHistoryIndex / onEachPeriodOf ) ) == periodIndex && ! cursorThroughDataArray < onEachPeriodOf ) //currentHistoryIndex belongs to the current period { *************** *** 234,238 **** } } ! periodIndex = Math.Floor(currentHistoryIndex/onEachPeriodOf); } --- 235,240 ---- } } ! periodIndex = Math.Floor( Convert.ToDouble( ! currentHistoryIndex/onEachPeriodOf ) ); } |
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From: Glauco S. <gla...@us...> - 2006-06-18 14:19:47
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Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19030/b2_DataAccess/Tables Modified Files: Quotes.cs Log Message: The GetTickersByLiquidity method has been overloaded so that now it is possible to select a subset of tickers whose volume is above a given threshold Index: Quotes.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables/Quotes.cs,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** Quotes.cs 7 Jan 2006 10:56:09 -0000 1.28 --- Quotes.cs 18 Jun 2006 14:19:44 -0000 1.29 *************** *** 456,459 **** --- 456,496 ---- return SqlExecutor.GetDataTable( sql ); } + + /// <summary> + /// returns tickers ordered by liquidity, with a specified min volume + /// </summary> + /// <param name="orderInASCMode">true iff return must be ordered</param> + /// <param name="groupID"></param> + /// <param name="firstQuoteDate"></param> + /// <param name="lastQuoteDate"></param> + /// <param name="maxNumOfReturnedTickers"></param> + /// <param name="minVolume"></param> + /// <returns></returns> + public static DataTable GetTickersByLiquidity( bool orderInASCMode, string groupID, + DateTime firstQuoteDate, + DateTime lastQuoteDate, + long minVolume, + long maxNumOfReturnedTickers + ) + { + string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " + + "Avg([quVolume]) AS AverageTradedValue " + + "FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " + + "ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " + + "ON quotes.quTicker = tickers_tickerGroups.ttTiId " + + "WHERE tickers_tickerGroups.ttTgId='" + groupID + "' " + + "AND quotes.quDate BETWEEN " + + SQLBuilder.GetDateConstant(firstQuoteDate) + " AND " + + SQLBuilder.GetDateConstant(lastQuoteDate) + + "GROUP BY tickers.tiTicker, tickers.tiCompanyName " + + "HAVING Avg([quVolume])>=" + minVolume.ToString() + " " + + "ORDER BY Avg([quVolume])"; + string sortDirection = " DESC"; + if(orderInASCMode) + sortDirection = " ASC"; + sql = sql + sortDirection; + return SqlExecutor.GetDataTable( sql ); + } + |
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From: Glauco S. <gla...@us...> - 2006-06-18 14:18:10
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Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18500/b3_Data/Selectors Modified Files: SelectorByLiquidity.cs Log Message: A new constructor has been added: it gives the user the chance to select a subset of tickers whose average volume is above a given threshold Index: SelectorByLiquidity.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByLiquidity.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** SelectorByLiquidity.cs 27 Feb 2005 19:56:07 -0000 1.1 --- SelectorByLiquidity.cs 18 Jun 2006 14:18:07 -0000 1.2 *************** *** 35,38 **** --- 35,39 ---- public class SelectorByLiquidity : TickerSelector, ITickerSelector { + private long minVolume = long.MinValue; *************** *** 44,89 **** base(setOfTickersToBeSelected, orderInASCmode, ! firstQuoteDate, ! lastQuoteDate, ! maxNumOfReturnedTickers) ! { ! } ! public SelectorByLiquidity(string groupID, ! bool orderInASCmode, ! DateTime firstQuoteDate, ! DateTime lastQuoteDate, ! long maxNumOfReturnedTickers): ! base(groupID, ! orderInASCmode, ! firstQuoteDate, ! lastQuoteDate, ! maxNumOfReturnedTickers) ! { ! } public DataTable GetTableOfSelectedTickers() { ! if(this.setOfTickersToBeSelected == null) ! return QuantProject.DataAccess.Tables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode, ! this.groupID, ! this.firstQuoteDate, ! this.lastQuoteDate, ! this.maxNumOfReturnedTickers); ! else ! return QuantProject.Data.DataTables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode, ! this.setOfTickersToBeSelected, ! this.firstQuoteDate, ! this.lastQuoteDate, ! this.maxNumOfReturnedTickers); ! } ! public void SelectAllTickers() ! { ! ; ! } ! } } --- 45,122 ---- base(setOfTickersToBeSelected, orderInASCmode, ! firstQuoteDate, ! lastQuoteDate, ! maxNumOfReturnedTickers) ! { ! } ! public SelectorByLiquidity(string groupID, ! bool orderInASCmode, ! DateTime firstQuoteDate, ! DateTime lastQuoteDate, ! long maxNumOfReturnedTickers): ! base(groupID, ! orderInASCmode, ! firstQuoteDate, ! lastQuoteDate, ! maxNumOfReturnedTickers) ! { ! } ! ! public SelectorByLiquidity(string groupID, ! bool orderInASCmode, ! DateTime firstQuoteDate, ! DateTime lastQuoteDate, ! long minVolume , ! long maxNumOfReturnedTickers ): ! base(groupID, ! orderInASCmode, ! firstQuoteDate, ! lastQuoteDate, ! maxNumOfReturnedTickers) ! { ! this.minVolume = minVolume; ! } public DataTable GetTableOfSelectedTickers() { ! DataTable returnTickers; ! if(this.setOfTickersToBeSelected == null) ! { ! if ( this.minVolume > long.MinValue ) ! // a min volume value has been requested ! returnTickers = ! QuantProject.DataAccess.Tables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode, ! this.groupID, ! this.firstQuoteDate, ! this.lastQuoteDate, ! this.minVolume , ! this.maxNumOfReturnedTickers); ! else ! // a min volume value has not been requested ! returnTickers = ! QuantProject.DataAccess.Tables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode, ! this.groupID, ! this.firstQuoteDate, ! this.lastQuoteDate, ! this.maxNumOfReturnedTickers); ! } ! else ! returnTickers = ! QuantProject.Data.DataTables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode, ! this.setOfTickersToBeSelected, ! this.firstQuoteDate, ! this.lastQuoteDate, ! this.maxNumOfReturnedTickers); ! return returnTickers; ! } ! public void SelectAllTickers() ! { ! ; ! } ! } } |
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From: Glauco S. <gla...@us...> - 2006-06-18 14:14:32
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16824/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagEligibleTickers.cs Log Message: The eligible tickers are chosen among the most liquid ones now. Index: WFLagEligibleTickers.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagEligibleTickers.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** WFLagEligibleTickers.cs 14 Mar 2006 15:02:30 -0000 1.1 --- WFLagEligibleTickers.cs 18 Jun 2006 14:14:27 -0000 1.2 *************** *** 69,76 **** { DateTime dateTime = this.endOfDayTimer.GetCurrentTime().DateTime; ! SelectorByGroup selectorByGroup = ! new SelectorByGroup( this.tickerGroupID , dateTime ); ! DataTable groupTickers = selectorByGroup.GetTableOfSelectedTickers(); ! // SelectorByLiquidity mostLiquid = // new SelectorByLiquidity("Test", false , dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime , --- 69,82 ---- { DateTime dateTime = this.endOfDayTimer.GetCurrentTime().DateTime; ! // SelectorByGroup selectorByGroup = ! // new SelectorByGroup( this.tickerGroupID , dateTime ); ! // DataTable groupTickers = selectorByGroup.GetTableOfSelectedTickers(); ! SelectorByLiquidity mostLiquid = ! new SelectorByLiquidity( this.tickerGroupID , true , ! dateTime.AddDays( - this.numberDaysForPerformanceCalculation ) , ! dateTime , 200000 , 99999 ); ! DataTable groupTickers = mostLiquid.GetTableOfSelectedTickers(); ! ! // SelectorByLiquidity mostLiquid = // new SelectorByLiquidity("Test", false , dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime , |
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From: Glauco S. <gla...@us...> - 2006-06-18 14:13:36
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16369/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: WFLagEndOfDayTimerHandler.cs Log Message: - the number of elegible tickers was written to the console. Now it is written to a text file too. Index: WFLagEndOfDayTimerHandler.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagEndOfDayTimerHandler.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** WFLagEndOfDayTimerHandler.cs 31 May 2006 14:17:47 -0000 1.3 --- WFLagEndOfDayTimerHandler.cs 18 Jun 2006 14:13:30 -0000 1.4 *************** *** 363,368 **** { this.eligibleTickers.SetTickers(); ! Console.WriteLine( "Number of Eligible tickers: " + ! this.eligibleTickers.EligibleTickers.Rows.Count ); this.chosenTickers.SetSignedTickers( this.eligibleTickers ); this.NewChosenTickers( this , --- 363,371 ---- { this.eligibleTickers.SetTickers(); ! string outputMessage = "Number of Eligible tickers: " + ! this.eligibleTickers.EligibleTickers.Rows.Count; ! RunWalkForwardLag.WriteToTextLog( outputMessage ); ! // Console.WriteLine( "Number of Eligible tickers: " + ! // this.eligibleTickers.EligibleTickers.Rows.Count ); this.chosenTickers.SetSignedTickers( this.eligibleTickers ); this.NewChosenTickers( this , |
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From: Marco M. <mi...@us...> - 2006-06-11 18:41:21
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Update of /cvsroot/quantproject/QuantProject/b5_Presentation In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9471/b5_Presentation Modified Files: b5_Presentation.csproj Log Message: My cvs signals a conflict, but there isn't any real change between my version a the repository's version ... Index: b5_Presentation.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** b5_Presentation.csproj 10 Jun 2006 18:10:20 -0000 1.27 --- b5_Presentation.csproj 11 Jun 2006 18:41:11 -0000 1.28 *************** *** 138,141 **** --- 138,142 ---- Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}" /> + <Reference Name = "NPlot" *************** *** 143,146 **** --- 144,148 ---- HintPath = "..\..\..\NPlot.dll" /> + </References> </Build> |
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From: Glauco S. <gl...@my...> - 2006-06-10 18:27:01
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Mannaggia... fatto ora. At 10:56 PM 6/9/2006 +0200, you wrote: >Sbaglio o il file di progetto business non =E8 stato committato? >Il mio vs.net non me li ha inclusi nel progetto: da' un'occhiata appena= puoi >per favore ... > >----- Original Message ----- >From: "Glauco Siliprandi" <gla...@us...> >To: <Qua...@li...> >Sent: Thursday, June 08, 2006 11:11 PM >Subject: >[Quantproject-developers]QuantProject/b4_Business/a1_Financial/a2_Accountin= g/h5_Reporting/SummaryRowsExpectancyScore.cs, >NONE, 1.1 > > > > Update of > >=20 >= /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h= 5_Reporting/SummaryRows > > In directory > >=20 >= sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27667/b4_Business/a1_Financial/a2_= Accounting/h5_Reporting/SummaryRows > > > > Added Files: > > ExpectancyScore.cs > > Log Message: > > Summary row containing the Expectancy Score calculation for > > the account report equity line > > > > --- NEW FILE: ExpectancyScore.cs --- > > /* > > QuantProject - Quantitative Finance Library > > > > ExpectancyScore.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.Histories; > > using QuantProject.ADT.Statistics; > > using QuantProject.Business.Financial.Accounting.Reporting.Tables; > > > > namespace= QuantProject.Business.Financial.Accounting.Reporting.SummaryRows > > { > > /// <summary> > > /// Summary row containing the Expectancy Score calculation for > > /// the account report equity line > > /// </summary> > > [Serializable] > > public class ExpectancyScore : DoubleSummaryRow > > { > > private ArrayList getReturns( EquityLine equityLine ) > > { > > ArrayList returnValue =3D new ArrayList(); > > for ( int i=3D0 ; i < equityLine.Count - 1 ; i++ ) > > { > > if ( Convert.ToDouble( equityLine.GetByIndex( i ) ) <=3D 0 ) > > throw new Exception( "Equity line is expected to always being " + > > "strictly positive. equityLine[ i ] is negative or equal to zero!" ); > > double periodReturn =3D > > ( Convert.ToDouble( equityLine.GetByIndex( i + 1 ) ) - > > Convert.ToDouble( equityLine.GetByIndex( i ) ) ) / > > Convert.ToDouble( equityLine.GetByIndex( i ) ); > > returnValue.Add( periodReturn ); > > } > > return returnValue; > > } > > public ExpectancyScore( EquityLine equityLine ) : base( 6 ) > > { > > this.rowDescription =3D "Expectancy Score"; > > ICollection returns =3D equityLine.GetReturns().Values; > > this.rowValue =3D AdvancedFunctions.GetExpectancyScore( > > returns ); > > } > > } > > } > > > > > > > > _______________________________________________ > > Quantproject-developers mailing list > > Qua...@li... > > https://lists.sourceforge.net/lists/listinfo/quantproject-developers > > > >_______________________________________________ >Quantproject-developers mailing list >Qua...@li... >https://lists.sourceforge.net/lists/listinfo/quantproject-developers |
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From: Glauco S. <gla...@us...> - 2006-06-10 18:10:25
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Update of /cvsroot/quantproject/QuantProject/b5_Presentation In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17416/b5_Presentation Modified Files: b5_Presentation.csproj Log Message: The following file have been added: - a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\ExpectancyScore.cs - a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\NumberNegativePeriods.cs - a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\NumberPositivePeriods.cs - PercentagePositivePeriods.cs - a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\PercentagePositivePeriods.cs Index: b5_Presentation.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** b5_Presentation.csproj 11 Dec 2005 18:22:24 -0000 1.26 --- b5_Presentation.csproj 10 Jun 2006 18:10:20 -0000 1.27 *************** *** 134,146 **** /> <Reference - Name = "NPlot" - AssemblyName = "NPlot" - HintPath = "..\b91_QuantProject\bin\Debug\NPlot.dll" - /> - <Reference Name = "b4_Business" Project = "{6EE31501-376E-491B-869E-F06D5B7C9C30}" Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}" /> </References> </Build> --- 134,146 ---- /> <Reference Name = "b4_Business" Project = "{6EE31501-376E-491B-869E-F06D5B7C9C30}" Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}" /> + <Reference + Name = "NPlot" + AssemblyName = "NPlot" + HintPath = "..\..\..\NPlot.dll" + /> </References> </Build> |
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From: Marco M. <mar...@po...> - 2006-06-09 20:56:44
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Sbaglio o il file di progetto business non =E8 stato committato? Il mio vs.net non me li ha inclusi nel progetto: da' un'occhiata appena p= uoi=20 per favore ... ----- Original Message -----=20 From: "Glauco Siliprandi" <gla...@us...> To: <Qua...@li...> Sent: Thursday, June 08, 2006 11:11 PM Subject:=20 [Quantproject-developers]QuantProject/b4_Business/a1_Financial/a2_Account= ing/h5_Reporting/SummaryRowsExpectancyScore.cs,=20 NONE, 1.1 > Update of=20 > /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounti= ng/h5_Reporting/SummaryRows > In directory=20 > sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27667/b4_Business/a1_Financial= /a2_Accounting/h5_Reporting/SummaryRows > > Added Files: > ExpectancyScore.cs > Log Message: > Summary row containing the Expectancy Score calculation for > the account report equity line > > --- NEW FILE: ExpectancyScore.cs --- > /* > QuantProject - Quantitative Finance Library > > ExpectancyScore.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,=20 > USA. > */ > > using System; > using System.Collections; > using QuantProject.ADT.Histories; > using QuantProject.ADT.Statistics; > using QuantProject.Business.Financial.Accounting.Reporting.Tables; > > namespace QuantProject.Business.Financial.Accounting.Reporting.SummaryR= ows > { > /// <summary> > /// Summary row containing the Expectancy Score calculation for > /// the account report equity line > /// </summary> > [Serializable] > public class ExpectancyScore : DoubleSummaryRow > { > private ArrayList getReturns( EquityLine equityLine ) > { > ArrayList returnValue =3D new ArrayList(); > for ( int i=3D0 ; i < equityLine.Count - 1 ; i++ ) > { > if ( Convert.ToDouble( equityLine.GetByIndex( i ) ) <=3D 0 ) > throw new Exception( "Equity line is expected to always being " + > "strictly positive. equityLine[ i ] is negative or equal to zero!" ); > double periodReturn =3D > ( Convert.ToDouble( equityLine.GetByIndex( i + 1 ) ) - > Convert.ToDouble( equityLine.GetByIndex( i ) ) ) / > Convert.ToDouble( equityLine.GetByIndex( i ) ); > returnValue.Add( periodReturn ); > } > return returnValue; > } > public ExpectancyScore( EquityLine equityLine ) : base( 6 ) > { > this.rowDescription =3D "Expectancy Score"; > ICollection returns =3D equityLine.GetReturns().Values; > this.rowValue =3D AdvancedFunctions.GetExpectancyScore( > returns ); > } > } > } > > > > _______________________________________________ > Quantproject-developers mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantproject-developers=20 |
