quantproject-developers

[Quantproject-developers] QuantProject/t5_Testing/b4_Business/a2_Strategies/Optimizing - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/Optimizing
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv5262/Optimizing

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/Optimizing added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b4_Business/a2_Strategies/Eligibles - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/Eligibles
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv5234/Eligibles

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies/Eligibles added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b4_Business/a2_Strategies - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv5192/a2_Strategies

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business/a2_Strategies added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b4_Business - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv5137/b4_Business

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b4_Business added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b3_data/Selectors - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b3_data/Selectors
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv5035/Selectors

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b3_data/Selectors added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b3_data - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b3_data
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv4946/b3_data

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b3_data added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT/LinearAlgebra - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/LinearAlgebra
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv4874/LinearAlgebra

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/LinearAlgebra added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT/Econometrics - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/Econometrics
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv4846/Econometrics

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/Econometrics added to the repository

[Quantproject-developers] QuantProject/t5_Testing/a5_FakeImplementations - New directory

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/a5_FakeImplementations
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv4794/a5_FakeImplementations

Log Message:
Directory /cvsroot/quantproject/QuantProject/t5_Testing/a5_FakeImplementations added to the repository

[Quantproject-developers] QuantProject/t5_Testing/b1_ADT Sum.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv4694/b1_ADT

Modified Files:
	Sum.cs 
Log Message:
An assertion that was faulty on purpose, has been commented out

Index: Sum.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/t5_Testing/b1_ADT/Sum.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Sum.cs	31 Jan 2010 19:14:58 -0000	1.2
--- Sum.cs	28 Mar 2010 16:26:30 -0000	1.3
***************
*** 3,7 ****
  
  Sum.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
--- 3,7 ----
  
  Sum.cs
! Copyright (C) 2010
  Glauco Siliprandi
  
***************
*** 26,30 ****
  using QuantProject.ADT.Statistics;
  
! namespace QuantProject.Testing.Statistics
  {
  	/// <summary>
--- 26,30 ----
  using QuantProject.ADT.Statistics;
  
! namespace QuantTesting.ADT.Statistics
  {
  	/// <summary>
***************
*** 42,46 ****
  			Assert.AreEqual( 3 , sumValue );		// this is ok
  			// comment out the following statemente if you want to get a successfull test
! 			Assert.AreEqual( 3.1 , sumValue );		// this one faults
  		}
  	}
--- 42,46 ----
  			Assert.AreEqual( 3 , sumValue );		// this is ok
  			// comment out the following statemente if you want to get a successfull test
! //			Assert.AreEqual( 3.1 , sumValue );		// this one faults
  		}
  	}

[Quantproject-developers] QuantProject/t5_Testing QPTesting.sln, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv4380

Modified Files:
	QPTesting.sln 
Log Message:
The project "QPTesting" has been renamed to "t5_QPTesting"

The project "ADT_SD" has been renamed to "b1_ADT"

The project "b2_DataAccess", "..\b2_DataAccess\DataAccess_SD.csproj" has been added

The project "b3_Data", "..\b3_Data\Data_SD.csproj" has been added

The project "b4_Business", "..\b4_Business\Business_SD.csproj" has been added

The project "b5_Presentation", "..\b5_Presentation\Presentation_SD.csproj" has been added

The project "b7_Scripts", "..\b7_Scripts\Scripts_SD.csproj" has been added

Index: QPTesting.sln
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/t5_Testing/QPTesting.sln,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** QPTesting.sln	31 Jan 2010 18:57:44 -0000	1.1
--- QPTesting.sln	28 Mar 2010 16:24:45 -0000	1.2
***************
*** 3,9 ****
  # Visual Studio 2005
  # SharpDevelop 2.2.1.2648
! Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "QPTesting", "QPTesting.csproj", "{B0673E30-FD99-465C-AE62-B703EC7BF847}"
  EndProject
! Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "ADT_SD", "..\b1_ADT\ADT_SD.csproj", "{6A426DC3-013E-4D38-A1AE-7BE128BF2DD7}"
  EndProject
  Global
--- 3,19 ----
  # Visual Studio 2005
  # SharpDevelop 2.2.1.2648
! Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "t5_QPTesting", "QPTesting.csproj", "{B0673E30-FD99-465C-AE62-B703EC7BF847}"
  EndProject
! Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "b1_ADT", "..\b1_ADT\ADT_SD.csproj", "{6A426DC3-013E-4D38-A1AE-7BE128BF2DD7}"
! EndProject
! Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "b4_Business", "..\b4_Business\Business_SD.csproj", "{91CAD8B7-D505-40BE-8FAF-0597E62FF71D}"
! EndProject
! Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "b2_DataAccess", "..\b2_DataAccess\DataAccess_SD.csproj", "{3D38C64D-1118-4C16-A88E-5F2FFD6481BA}"
! EndProject
! Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "b3_Data", "..\b3_Data\Data_SD.csproj", "{1A0B0C1A-DBC5-4AE6-BE2E-2298135DD60C}"
! EndProject
! Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "b5_Presentation", "..\b5_Presentation\Presentation_SD.csproj", "{E05282BB-A762-4205-B420-812CECB48E5C}"
! EndProject
! Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "b7_Scripts", "..\b7_Scripts\Scripts_SD.csproj", "{B5AAC5AA-DCC1-4698-A362-D399AB9A90C4}"
  EndProject
  Global
***************
*** 21,24 ****
--- 31,54 ----
  		{6A426DC3-013E-4D38-A1AE-7BE128BF2DD7}.Release|Any CPU.Build.0 = Release|Any CPU
  		{6A426DC3-013E-4D38-A1AE-7BE128BF2DD7}.Release|Any CPU.ActiveCfg = Release|Any CPU
+ 		{91CAD8B7-D505-40BE-8FAF-0597E62FF71D}.Debug|Any CPU.Build.0 = Debug|Any CPU
+ 		{91CAD8B7-D505-40BE-8FAF-0597E62FF71D}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+ 		{91CAD8B7-D505-40BE-8FAF-0597E62FF71D}.Release|Any CPU.Build.0 = Release|Any CPU
+ 		{91CAD8B7-D505-40BE-8FAF-0597E62FF71D}.Release|Any CPU.ActiveCfg = Release|Any CPU
+ 		{3D38C64D-1118-4C16-A88E-5F2FFD6481BA}.Debug|Any CPU.Build.0 = Debug|Any CPU
+ 		{3D38C64D-1118-4C16-A88E-5F2FFD6481BA}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+ 		{3D38C64D-1118-4C16-A88E-5F2FFD6481BA}.Release|Any CPU.Build.0 = Release|Any CPU
+ 		{3D38C64D-1118-4C16-A88E-5F2FFD6481BA}.Release|Any CPU.ActiveCfg = Release|Any CPU
+ 		{1A0B0C1A-DBC5-4AE6-BE2E-2298135DD60C}.Debug|Any CPU.Build.0 = Debug|Any CPU
+ 		{1A0B0C1A-DBC5-4AE6-BE2E-2298135DD60C}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+ 		{1A0B0C1A-DBC5-4AE6-BE2E-2298135DD60C}.Release|Any CPU.Build.0 = Release|Any CPU
+ 		{1A0B0C1A-DBC5-4AE6-BE2E-2298135DD60C}.Release|Any CPU.ActiveCfg = Release|Any CPU
+ 		{E05282BB-A762-4205-B420-812CECB48E5C}.Debug|Any CPU.Build.0 = Debug|Any CPU
+ 		{E05282BB-A762-4205-B420-812CECB48E5C}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+ 		{E05282BB-A762-4205-B420-812CECB48E5C}.Release|Any CPU.Build.0 = Release|Any CPU
+ 		{E05282BB-A762-4205-B420-812CECB48E5C}.Release|Any CPU.ActiveCfg = Release|Any CPU
+ 		{B5AAC5AA-DCC1-4698-A362-D399AB9A90C4}.Debug|Any CPU.Build.0 = Debug|Any CPU
+ 		{B5AAC5AA-DCC1-4698-A362-D399AB9A90C4}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+ 		{B5AAC5AA-DCC1-4698-A362-D399AB9A90C4}.Release|Any CPU.Build.0 = Release|Any CPU
+ 		{B5AAC5AA-DCC1-4698-A362-D399AB9A90C4}.Release|Any CPU.ActiveCfg = Release|Any CPU
  	EndGlobalSection
  EndGlobal

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.42, 1.43

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv3253

Modified Files:
	Scripts_SD.csproj 
Log Message:
General\Logging\AnalyzableLogItem.cs has been added
WalkForwardTesting\LinearRegression\eligibles\EligiblesSelectorForLinearRegression.cs has been added
WalkForwardTesting\LinearRegression\EntryStrategies\IEntryStrategy.cs has been added
WalkForwardTesting\LinearRegression\EntryStrategies\EntryStrategyBasedOnForecastedReturn.cs has been added
WalkForwardTesting\LinearRegression\ExitStrategies\ExitOnIntervalEnd.cs has been added
WalkForwardTesting\LinearRegression\ExitStrategies\IExitStrategy.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\Decoding\DecoderFirstTradingTickerInEachSignalingPortfolio.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\Decoding\DecoderForLinearRegressionTestingPositions.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\ILinearRegressionFitnessEvaluator.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\ILinearRegressionSetupManager.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\ILinearRegressionValues.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\LinearRegressionFitnessEvaluator.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\LinearRegressionSetUpManager.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\LinearRegressionValues.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\ReturnIntervalsBuilderForTradingAndForSignaling.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\Genetic\GenomeManagerForLinearRegression.cs has been added
WalkForwardTesting\LinearRegression\InSampleChoosers\Genetic\LinearRegressionGeneticChooser.cs has been added
WalkForwardTesting\LinearRegression\LinearRegressionMain.cs has been added
WalkForwardTesting\LinearRegression\LinearRegressionTestingPositions.cs has been added
WalkForwardTesting\LinearRegression\Logging\AnalyzerForLinearRegressionTestingPositions.cs has been added
WalkForwardTesting\LinearRegression\Logging\LinearRegressionLogItem.cs has been added
WalkForwardTesting\LinearRegression\ReturnIntervals\ShiftedTimeIntervalSelectorForSignaling.cs has been added
WalkForwardTesting\LinearRegression\ReturnIntervals\SingleDayIntervalsSelector.cs has been added
WalkForwardTesting\LinearRegression\Strategies\LinearRegressionStrategy.cs has been added

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.42
retrieving revision 1.43
diff -C2 -d -r1.42 -r1.43
*** Scripts_SD.csproj	30 Oct 2009 23:13:43 -0000	1.42
--- Scripts_SD.csproj	28 Mar 2010 16:19:56 -0000	1.43
***************
*** 50,53 ****
--- 50,54 ----
      <Compile Include="EvaluatingOptimizationTechnique\TechnicalAnalysis\RunTestingOptimizationExtremeCounterTrend.cs" />
      <Compile Include="General\BasicScriptForBacktesting.cs" />
+     <Compile Include="General\Logging\AnalyzableLogItem.cs" />
      <Compile Include="General\Logging\LogArchiver.cs" />
      <Compile Include="General\Logging\LogViewer.cs" />
***************
*** 144,147 ****
--- 145,171 ----
      <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\Logging\TesterForFLTPTestingPositions.cs" />
      <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\OutOfSampleChoosers\RankBasedOutOfSampleChooser.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\eligibles\EligiblesSelectorForLinearRegression.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\EntryStrategies\IEntryStrategy.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\EntryStrategies\EntryStrategyBasedOnForecastedReturn.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\ExitStrategies\ExitOnIntervalEnd.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\ExitStrategies\IExitStrategy.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\Decoding\DecoderFirstTradingTickerInEachSignalingPortfolio.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\Decoding\DecoderForLinearRegressionTestingPositions.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\ILinearRegressionFitnessEvaluator.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\ILinearRegressionSetupManager.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\ILinearRegressionValues.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\LinearRegressionFitnessEvaluator.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\LinearRegressionSetUpManager.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\LinearRegressionValues.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation\ReturnIntervalsBuilderForTradingAndForSignaling.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\Genetic\GenomeManagerForLinearRegression.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\InSampleChoosers\Genetic\LinearRegressionGeneticChooser.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\LinearRegressionMain.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\LinearRegressionTestingPositions.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\Logging\AnalyzerForLinearRegressionTestingPositions.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\Logging\LinearRegressionLogItem.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\ReturnIntervals\ShiftedTimeIntervalSelectorForSignaling.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\ReturnIntervals\SingleDayIntervalsSelector.cs" />
+     <Compile Include="WalkForwardTesting\LinearRegression\Strategies\LinearRegressionStrategy.cs" />
      <Compile Include="WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\ExitStrategies\TakeProfitStrategyOrOnMarketClose.cs" />
***************
*** 345,348 ****
--- 369,383 ----
      <Folder Include="WalkForwardTesting\FixedLengthTwoPhases\Logging" />
      <Folder Include="WalkForwardTesting\FixedLengthTwoPhases\OutOfSampleChoosers" />
+     <Folder Include="WalkForwardTesting\LinearRegression" />
+     <Folder Include="WalkForwardTesting\LinearRegression\InSampleChoosers" />
+     <Folder Include="WalkForwardTesting\LinearRegression\InSampleChoosers\Decoding" />
+     <Folder Include="WalkForwardTesting\LinearRegression\InSampleChoosers\Genetic" />
+     <Folder Include="WalkForwardTesting\LinearRegression\eligibles" />
+     <Folder Include="WalkForwardTesting\LinearRegression\EntryStrategies" />
+     <Folder Include="WalkForwardTesting\LinearRegression\ExitStrategies" />
+     <Folder Include="WalkForwardTesting\LinearRegression\InSampleChoosers\FitnessEvaluation" />
+     <Folder Include="WalkForwardTesting\LinearRegression\Logging" />
+     <Folder Include="WalkForwardTesting\LinearRegression\ReturnIntervals" />
+     <Folder Include="WalkForwardTesting\LinearRegression\Strategies" />
      <Folder Include="WalkForwardTesting\PairsTrading" />
      <Folder Include="WalkForwardTesting\PairsTrading\InSample" />

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Strategies LinearRegressionStrategy.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Strategies
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv1963/WalkForwardTesting/LinearRegression/Strategies

Added Files:
	LinearRegressionStrategy.cs 
Log Message:
Builds a model for prediction of a WeightedPositions return on the next return interval

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

LinearRegressionStrategy.cs
Copyright (C) 2010
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 QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Builds a model for prediction of a WeightedPositions return on the next
	/// return interval
	/// </summary>
	[Serializable]
	public class LinearRegressionStrategy : BasicStrategyForBacktester
	{
		private IEntryStrategy entryStrategy;
		private IExitStrategy exitStrategy;

		public LinearRegressionStrategy(
			int numDaysBeetweenEachOtpimization ,
			int numDaysForInSampleOptimization ,
			IIntervalsSelector intervalsSelectorForInSample ,
			IIntervalsSelector intervalsSelectorForOutOfSample ,
			IEligiblesSelector eligiblesSelectorForTradingTickers ,
//			IEligiblesSelector eligiblesSelectorForSignalingTickers ,
			IInSampleChooser inSampleChooser ,
			HistoricalMarketValueProvider historicalMarketValueProviderForInSample ,
			HistoricalMarketValueProvider
			historicalMarketValueProviderForChosingPositionsOutOfSample ,
			IEntryStrategy entryStrategy ,
//			OutOfSampleChooser outOfSampleChooser ,
			IExitStrategy exitStrategy ) :
			base(
				numDaysBeetweenEachOtpimization ,
				numDaysForInSampleOptimization ,
				intervalsSelectorForInSample ,
				intervalsSelectorForOutOfSample ,
				eligiblesSelectorForTradingTickers ,
				inSampleChooser ,
				historicalMarketValueProviderForInSample )
		{
			this.intervalsSelectorForOutOfSample = intervalsSelectorForOutOfSample;
			this.entryStrategy = entryStrategy;
			this.exitStrategy = exitStrategy;
		}
		
		protected override string getTextIdentifier()
		{
			return "lnrRgrssn";
		}
		
		protected override LogItem getLogItem( EligibleTickers eligibleTickers )
		{
			LinearRegressionLogItem logItem =
				new LinearRegressionLogItem(
					this.now() ,
					this.bestTestingPositionsInSample );
//					this.numDaysForInSampleOptimization ,
//					eligibleTickers.Count );
			return logItem;
		}

		protected override bool arePositionsToBeClosed()
		{
			bool areToBeClosed =
				( this.Account.Portfolio.Count > 0 );
			areToBeClosed = (
				areToBeClosed &&
				this.exitStrategy.ArePositionsToBeClosed(
					this.now() , this.outOfSampleReturnIntervals ) );
//				( this.time() == this.timeToClosePositions ) );
			return ( areToBeClosed );
		}
		
		protected override bool arePositionsToBeOpened()
		{
			bool areToBeOpened = false;
			if ( this.outOfSampleReturnIntervals.Count >= 1 &&
			   this.bestTestingPositionsInSample != null )
			{
//				ReturnInterval seconLastInterval =
//					this.outOfSampleReturnIntervals.SeconLastInterval;
//				areToBeOpened = ( this.now() == seconLastInterval.Begin );
				ReturnInterval lastOutOfSampleInterval =
					this.outOfSampleReturnIntervals.LastInterval;
				areToBeOpened = ( this.now() == lastOutOfSampleInterval.Begin );
			}
			return areToBeOpened;
		}
		
		protected override WeightedPositions getPositionsToBeOpened()
		{
//			DateTime currentDateTime = this.now();
//			WeightedPositions weightedPositions =
//				this.outOfSampleChooser.GetPositionsToBeOpened(
//					this.bestTestingPositionsInSample ,
			////					firstDateTimeToTestInefficiency ,
//					currentDateTime ,
			////					dateTimeToClosePositions ,
//					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
//					this.inSampleReturnsManager );
			WeightedPositions weightedPositions = this.entryStrategy.GetPositionsToBeOpened(
				this.bestTestingPositionsInSample , this.outOfSampleReturnIntervals );
			return weightedPositions;
		}

	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/ReturnIntervals SingleDayIntervalsSelector.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/ReturnIntervals
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv1766/WalkForwardTesting/LinearRegression/ReturnIntervals

Added Files:
	SingleDayIntervalsSelector.cs 
Log Message:
Returns an interval only if the benchmark has values both at the interval begin and at the interval end. The interval must be one day long.
Then, for instance, thursday market close to friday market close is returned, but friday market close to monday marked close is not returned, because three days elapse since friday market close to monday market close

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

SingleDayCloseToCloseIntervalsSelector.cs
Copyright (C) 2010
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.Generic;

using QuantProject.ADT.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Returns an interval only if the benchmark has values
	/// both at the interval begin and at the interval end.
	/// The interval must be one day long. Then, for instance,
	/// thursday market close to friday market close is returned, but
	/// friday market close to monday marked close is not returned, because
	/// three days elapse since friday market close to monday market close
	/// </summary>
	[Serializable]
	public class SingleDayIntervalsSelector : IIntervalsSelector
	{
		private Benchmark benchmark;
		private Time dailyTime;
		private List<DayOfWeek> acceptableDaysOfTheWeekForTheEndOfEachInterval;
		private TimeSpan maxTimeSpanToLookAhead;
		
		/// <summary>
		/// Returns an interval only if the benchmark has values
		/// both at the interval begin and at the interval end.
		/// The interval must be one day long. Then, for instance,
		/// thursday market close to friday market close is returned, but
		/// friday market close to monday marked close is not returned, because
		/// three days elapse since friday market close to monday market close
		/// </summary>
		/// <param name="benchmark"></param>
		/// <param name="dailyTime">each interval will go from
		/// this time for one day to this same time for the next day</param>
		/// <param name="acceptableDaysOfTheWeekForTheEndOfEachInterval">an interval
		/// is returned only if the day of the week on which the interval ends
		/// is in this list</param>
		/// <param name="maxTimeSpanToLookAhead">if a new interval is not found
		/// before maxTimeSpanToLookAhead has elapsed, then stop searching for
		/// the next interval</param>
		public SingleDayIntervalsSelector(
			Benchmark benchmark , Time dailyTime ,
			List<DayOfWeek> acceptableDaysOfTheWeekForTheEndOfEachInterval ,
			TimeSpan maxTimeSpanToLookAhead )
		{
			this.benchmark = benchmark;
			this.dailyTime = dailyTime;
			this.acceptableDaysOfTheWeekForTheEndOfEachInterval =
				acceptableDaysOfTheWeekForTheEndOfEachInterval;
			this.maxTimeSpanToLookAhead = maxTimeSpanToLookAhead;
		}
		
		private bool isValidReturnInterval( ReturnInterval returnInterval )
		{
			TimeSpan intervalLength = returnInterval.End.Subtract( returnInterval.Begin );
			TimeSpan requiredIntervalLength = TimeSpan.FromDays( 1 );
			bool isValidReturnInterval = ( intervalLength == requiredIntervalLength );
			isValidReturnInterval &= 
				this.acceptableDaysOfTheWeekForTheEndOfEachInterval.Contains(
					returnInterval.End.DayOfWeek );
			return isValidReturnInterval;
		}
		
		#region GetFirstInterval
		
		#region getReturnIntervalCandidate
		private DateTime getFirstIntervalBegin(
			DateTime startingDateTime , DateTime lastAcceptableDateTime )
		{
			DateTime firstIntervalBegin =
				this.benchmark.GetThisOrNextDateTimeWhenTraded(
					startingDateTime , this.dailyTime , lastAcceptableDateTime );
			return firstIntervalBegin;
		}
		private DateTime getIntervalEnd(
			DateTime startingDateTime , DateTime lastAcceptableDateTime )
		{
			DateTime intervalEnd =
				this.benchmark.GetThisOrNextDateTimeWhenTraded(
					startingDateTime.AddMinutes( 1 ) , this.dailyTime , lastAcceptableDateTime );
			return intervalEnd;
		}
		private ReturnInterval getReturnIntervalCandidate(
			DateTime startingDateTime , DateTime lastAcceptableDateTime )
		{
			ReturnInterval intervalCandidate = null;
			DateTime intervalCandidateBegin =
				this.getFirstIntervalBegin( startingDateTime , lastAcceptableDateTime );
			DateTime intervalCandidateEnd = DateTime.MinValue;
			if ( intervalCandidateBegin != DateTime.MinValue )
				// a potentially valid first interval begin has been found
				intervalCandidateEnd =
					this.getIntervalEnd( intervalCandidateBegin , lastAcceptableDateTime );
			if ( ( intervalCandidateBegin != DateTime.MinValue ) &&
			    ( intervalCandidateEnd != DateTime.MinValue ) )
				// a potentially valida return interval has been found
				intervalCandidate = new ReturnInterval(
					intervalCandidateBegin , intervalCandidateEnd );
			return intervalCandidate;
		}
		#endregion getReturnIntervalCandidate
		
		public ReturnInterval GetFirstInterval(
			DateTime startingDateTime )
		{
			DateTime lastAcceptableDateTime = startingDateTime.Add( this.maxTimeSpanToLookAhead );
			ReturnInterval returnIntervalCandidate = this.getReturnIntervalCandidate(
				startingDateTime , lastAcceptableDateTime );
			while ( ( returnIntervalCandidate != null ) &&
			       !this.isValidReturnInterval( returnIntervalCandidate ) &&
			       ( returnIntervalCandidate.End < lastAcceptableDateTime ) )
				returnIntervalCandidate = this.getReturnIntervalCandidate(
					returnIntervalCandidate.End , lastAcceptableDateTime );
			return returnIntervalCandidate;
		}
		#endregion GetFirstInterval
		
		public ReturnInterval GetNextInterval( ReturnIntervals returnIntervals )
		{
			DateTime firstAcceptableDateTimeForNextInterval = returnIntervals.LastDateTime;
			ReturnInterval nextInterval = this.GetFirstInterval(
				firstAcceptableDateTimeForNextInterval );
			return nextInterval;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/ReturnIntervals ShiftedTimeIntervalSelectorForSignaling.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/ReturnIntervals
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv1250/WalkForwardTesting/LinearRegression/ReturnIntervals

Added Files:
	ShiftedTimeIntervalSelectorForSignaling.cs 
Log Message:
Given a trading ReturnInterval, builds a signaling ReturnInterval that is shifted the given time span

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

ShiftedTimeIntervalSelectorForSignaling.cs
Copyright (C) 2010
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 QuantProject.Business.Strategies.ReturnsManagement.Time;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Description of ShiftedTimeIntervalSelectorForSignaling.
	/// </summary>
	[Serializable]
	public class ShiftedTimeIntervalSelectorForSignaling :
		IReturnIntervalSelectorForSignaling
	{
		TimeSpan timeSpanToBeShifted;
		
		/// <summary>
		/// Given a trading ReturnInterval, builds a signaling ReturnInterval
		/// that is shifted the given time span
		/// </summary>
		/// <param name="timeSpanToBeShifted">time span used to build the
		/// signaling ReturnInterval; use a negative value in order to build
		/// a signaling ReturnInterval that is before the trading
		/// ReturnInterval</param>
		public ShiftedTimeIntervalSelectorForSignaling(
		TimeSpan timeSpanToBeShifted )
		{
			this.timeSpanToBeShifted = timeSpanToBeShifted;
		}
		
		public ReturnInterval GetReturnIntervalUsedForSignaling(
			ReturnInterval returnIntervalForTrading )
		{
			DateTime signalingReturnIntervalBegin =
				returnIntervalForTrading.Begin.Add( this.timeSpanToBeShifted );
			DateTime signalingReturnIntervalEnd =
				returnIntervalForTrading.End.Add( this.timeSpanToBeShifted );
			ReturnInterval returnIntervalUsedForSignaling = new ReturnInterval(
				signalingReturnIntervalBegin , signalingReturnIntervalEnd );
			return returnIntervalUsedForSignaling;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging LinearRegressionLogItem.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv414/WalkForwardTesting/LinearRegression/Logging

Added Files:
	LinearRegressionLogItem.cs 
Log Message:
Log item for the linear regression strategy

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

LinearRegressionLogItem.cs
Copyright (C) 2010
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 QuantProject.Business.Scripting;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Presentation;
using QuantProject.Scripts.General.Logging;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Log item for the linear regression strategy
	/// </summary>
	[Serializable]
	public class LinearRegressionLogItem : AnalyzableLogItem
	{
//		private LinearRegressionTestingPositions[] bestTestingPositionsInSample;
		
		public LinearRegressionLogItem(
			DateTime now ,
			TestingPositions[] bestTestingPositionsInSample ) :
			base( now , bestTestingPositionsInSample )
		{
//			this.bestTestingPositionsInSample = bestTestingPositionsInSample;
		}
		
		#region getAnalyzerForTestingPositions
		private void getAnalyzerForTestingPositions_checkParameters(
			TestingPositions testingPositions )
		{
			if ( ! ( testingPositions is LinearRegressionTestingPositions ) )
				throw new Exception(
					"TestingPositions here is expected to be " +
					"LinearRegressionTestingPositions. But the current TestingPositions " +
					"is not a LinearRegressionTestingPositions!" );
		}
		protected override IExecutable getAnalyzerForTestingPositions(
			DateTime now , TestingPositions testingPositionsInSample )
		{
			this.getAnalyzerForTestingPositions_checkParameters( testingPositionsInSample );
			AnalyzerForLinearRegressionTestingPositions
				analyzerForLinearRegressionTestingPositions =
				new AnalyzerForLinearRegressionTestingPositions(
					(LinearRegressionTestingPositions)testingPositionsInSample , now );
			return analyzerForLinearRegressionTestingPositions;
		}
		#endregion getAnalyzerForTestingPositions

//		public override void Run()
//		{
//			QuantProject.Presentation.ExecutablesListViewer executablesListViewer =
//				new ExecutablesListViewer(
//					this.analyzersForBestTestingPositionsInSample );
//			executablesListViewer.Show();
//		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging AnalyzerForLinearRegressionTestingPositions.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/Logging
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv346/WalkForwardTesting/LinearRegression/Logging

Added Files:
	AnalyzerForLinearRegressionTestingPositions.cs 
Log Message:
Analyzes a LinearRegressionTestingPositions that has been logged in sample

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

AnalyzerForLinearRegressionTestingPositions.cs
Copyright (C) 2010
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 QuantProject.Business.Scripting;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Analyzes a LinearRegressionTestingPositions that has been
	/// logged in sample
	/// </summary>
	[Serializable]
	public class AnalyzerForLinearRegressionTestingPositions : IExecutable
	{
		LinearRegressionTestingPositions linearRegressionTestingPositions;
		DateTime accountTimerDateTimeWhenThisObjectWasLogged;
		
		public AnalyzerForLinearRegressionTestingPositions(
			LinearRegressionTestingPositions linearRegressionTestingPositions ,
//			int numberOfInSampleDays ,
			DateTime accountTimerDateTimeWhenThisObjectWasLogged )
		{
			this.linearRegressionTestingPositions = linearRegressionTestingPositions;
			this.accountTimerDateTimeWhenThisObjectWasLogged =
				accountTimerDateTimeWhenThisObjectWasLogged;
		}
		public void Run()
		{
			// an idea would be to show some t-statistics for the
			// coefficients and then show which are those who seem to
			// be more significant
			System.Windows.Forms.MessageBox.Show(
				"A good analyzer has not yet been thought about, for " +
				"a LinearRegressionTestingPositions" );
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Genetic LinearRegressionGeneticChooser.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Genetic
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv32643/WalkForwardTesting/LinearRegression/InSampleChoosers/Genetic

Added Files:
	LinearRegressionGeneticChooser.cs 
Log Message:
enetic IInSampleChooser for the linear regression strategy

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

LinearRegressionGeneticChooser.cs
Copyright (C) 2010
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 QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.Optimizing.GenomeManagers;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// genetic IInSampleChooser for the linear regression strategy
	/// </summary>
	[Serializable]
	public class LinearRegressionGeneticChooser : GeneticChooser
	{
		private DecoderForLinearRegressionTestingPositions
			decoderForLinearRegressionTestingPositions;
		private IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling;
		private IReturnIntervalsBuilderForTradingAndForSignaling
			returnIntervalsBuilderForTradingAndForSignaling;
		private IEligiblesSelector eligiblesSelectorForSignalingTickers;
		private int seedForRandomGeneratorForGenomeManagerForTradingTickers;
		private int seedForRandomGeneratorForGenomeManagerForSignalingTickers;
		
		public LinearRegressionGeneticChooser(
			int numberOfBestTestingPositionsToBeReturned ,
			Benchmark benchmark ,
			DecoderForLinearRegressionTestingPositions decoderForLinearRegressionTestingPositions ,
			IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling ,
			IReturnIntervalsBuilderForTradingAndForSignaling
			returnIntervalsBuilderForTradingAndForSignaling ,
			IFitnessEvaluator fitnessEvaluator ,
			HistoricalMarketValueProvider historicalMarketValueProvider ,
			IEligiblesSelector eligiblesSelectorForSignalingTickers ,
			double crossoverRate , double mutationRate , double elitismRate ,
			int populationSizeForGeneticOptimizer ,
			int generationNumberForGeneticOptimizer ,
			int seedForRandomGeneratorForTheGeneticOptimizer ,
			int	seedForRandomGeneratorForGenomeManagerForTradingTickers ,
			int seedForRandomGeneratorForGenomeManagerForSignalingTickers ) :
			base(
				2 ,
				numberOfBestTestingPositionsToBeReturned ,
				benchmark ,
				new DummyDecoderForTestingPositions() ,
				fitnessEvaluator ,
				historicalMarketValueProvider ,
				crossoverRate ,
				mutationRate ,
				elitismRate ,
				populationSizeForGeneticOptimizer ,
				generationNumberForGeneticOptimizer ,
				seedForRandomGeneratorForTheGeneticOptimizer
			)
		{
			this.decoderForLinearRegressionTestingPositions =
				decoderForLinearRegressionTestingPositions;
			this.returnIntervalSelectorForSignaling = returnIntervalSelectorForSignaling;
			this.returnIntervalsBuilderForTradingAndForSignaling =
				returnIntervalsBuilderForTradingAndForSignaling;
			this.eligiblesSelectorForSignalingTickers = eligiblesSelectorForSignalingTickers;
			this.seedForRandomGeneratorForGenomeManagerForTradingTickers =
				seedForRandomGeneratorForGenomeManagerForTradingTickers;
			this.seedForRandomGeneratorForGenomeManagerForSignalingTickers =
				seedForRandomGeneratorForGenomeManagerForSignalingTickers;
		}
		
		#region GetGenomeManager
		public override IGenomeManager GetGenomeManager(
			EligibleTickers eligibleTickersForTrading ,
			ReturnsManager returnsManager )
		{
//			IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling =
//				new ShiftedTimeIntervalSelectorForSignaling( new TimeSpan( -24 , 0 , 0 ) );
			EligibleTickers eligibleTickersForSignaling =
				this.eligiblesSelectorForSignalingTickers.GetEligibleTickers(
					returnsManager.ReturnIntervals.BordersHistory );
			ReturnIntervals returnIntervalsForTrading;
			ReturnIntervals returnIntervalsForSignaling;
			this.returnIntervalsBuilderForTradingAndForSignaling.BuildIntervals(
				returnsManager , this.returnIntervalSelectorForSignaling ,
				eligibleTickersForTrading.Tickers , eligibleTickersForSignaling.Tickers ,
				out returnIntervalsForTrading , out returnIntervalsForSignaling );
			ReturnsManager returnsManagerForTradingTickers =
				new ReturnsManager(
					returnIntervalsForTrading ,
					this.historicalMarketValueProvider );
			ReturnsManager returnsManagerForSignalingTickers =
				new ReturnsManager(
					returnIntervalsForSignaling ,
					this.historicalMarketValueProvider );
			

			GenomeManagerForLinearRegression genomeManagerForLinearRegression =
				new GenomeManagerForLinearRegression(
					eligibleTickersForTrading ,
					eligibleTickersForSignaling ,
//					returnsManager ,
					returnsManagerForTradingTickers ,
					returnsManagerForSignalingTickers ,
					this.decoderForLinearRegressionTestingPositions ,
					this.fitnessEvaluator ,
					GenomeManagerType.ShortAndLong ,
					this.seedForRandomGeneratorForGenomeManagerForTradingTickers ,
					this.seedForRandomGeneratorForGenomeManagerForSignalingTickers );
			return genomeManagerForLinearRegression;
		}
		#endregion GetGenomeManager
		
		protected override string getHashCodeForGenome( Genome genome )
		{
			return ((TestingPositions)(genome.Meaning)).HashCodeForTickerComposition;
		}
		
		public override object AnalyzeInSample(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			TestingPositions[] bestTestingPositionsInSample =
				(TestingPositions[])base.AnalyzeInSample( eligibleTickers , returnsManager );
			foreach ( LinearRegressionTestingPositions linearRegressionTestingPositions in
			         bestTestingPositionsInSample )
				linearRegressionTestingPositions.LinearRegression =
					((LinearRegressionFitnessEvaluator)this.fitnessEvaluator).SetUpAndRunLinearRegression(
						linearRegressionTestingPositions );
			return bestTestingPositionsInSample;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Genetic GenomeManagerForLinearRegression.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/Genetic
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv32529/WalkForwardTesting/LinearRegression/InSampleChoosers/Genetic

Added Files:
	GenomeManagerForLinearRegression.cs 
Log Message:
Decodes genes when two groups of eligibles are given

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

GenomeManagerForLinearRegressionWithRatios.cs
Copyright (C) 2010
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 QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.Optimizing.GenomeManagers;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Decodes genes when two groups of eligibles are given
	/// </summary>
	[Serializable]
	public class GenomeManagerForLinearRegression : GenomeManagerWithDuplicateGenes
	{
		private EligibleTickers eligibleTickersForTrading;
		private EligibleTickers eligibleTickersForSignaling;
		private IReturnsManager returnsManagerForTradingTickers;
		private IReturnsManager returnsManagerForSignalingTickers;
		private IGenomeManager genomeManagerForTradingTickers;
		private IGenomeManager genomeManagerForSignalingTickers;
		private DecoderForLinearRegressionTestingPositions
			decoderForLinearRegressionTestingPositions;
		
		public GenomeManagerForLinearRegression(
			EligibleTickers eligibleTickersForTrading ,
			EligibleTickers eligibleTickersForSignaling ,
//			ReturnsManager returnsManager ,
			IReturnsManager returnsManagerForTradingTickers ,
			IReturnsManager returnsManagerForSignalingTickers ,
			DecoderForLinearRegressionTestingPositions
			decoderForLinearRegressionTestingPositions ,
			IFitnessEvaluator fitnessEvaluator ,
			GenomeManagerType genomeManagerType ,
			int seedForRandomGeneratorForTradingTickers ,
			int seedForRandomGeneratorForSignalingTickers ) :
			base(
				decoderForLinearRegressionTestingPositions.NumberOfTickersForTrading ,
				eligibleTickersForTrading ,
				returnsManagerForTradingTickers ,	// this one should not be used
				new BasicDecoderForTestingPositions() ,
				fitnessEvaluator ,
				genomeManagerType ,
				seedForRandomGeneratorForTradingTickers )
			
		{
			this.eligibleTickersForTrading = eligibleTickersForTrading;
			this.eligibleTickersForSignaling = eligibleTickersForSignaling;
			this.returnsManagerForTradingTickers = returnsManagerForTradingTickers;
			this.returnsManagerForSignalingTickers = returnsManagerForSignalingTickers;
			((LinearRegressionFitnessEvaluator)this.fitnessEvaluator).ReturnsManagerForTradingTickers =
				this.returnsManagerForTradingTickers;
			((LinearRegressionFitnessEvaluator)this.fitnessEvaluator).ReturnsManagerForSignalingTickers =
				this.returnsManagerForSignalingTickers;
			this.genomeManagerForTradingTickers =
				new GenomeManagerWithDuplicateGenes(
					decoderForLinearRegressionTestingPositions.NumberOfTickersForTrading ,
					this.eligibleTickersForTrading ,
					this.returnsManagerForTradingTickers ,
					new BasicDecoderForTestingPositions() ,
					fitnessEvaluator ,
					GenomeManagerType.ShortAndLong ,
					seedForRandomGeneratorForTradingTickers );
			this.genomeManagerForSignalingTickers =
				new GenomeManagerWithDuplicateGenes(
					decoderForLinearRegressionTestingPositions.NumberOfSignalingPortfolios ,
					this.eligibleTickersForSignaling ,
					this.returnsManagerForSignalingTickers ,
					new BasicDecoderForTestingPositions() ,
					fitnessEvaluator ,
					GenomeManagerType.ShortAndLong ,
					seedForRandomGeneratorForSignalingTickers );
			this.decoderForLinearRegressionTestingPositions =
				new DecoderForLinearRegressionTestingPositions(
//					decoderForLinearRegressionTestingPositions.NumberOfTickersForTrading ,
					decoderForLinearRegressionTestingPositions.NumberOfSignalingPortfolios );
			this.genomeSize =
				decoderForLinearRegressionTestingPositions.NumberOfTickersForTrading +
				decoderForLinearRegressionTestingPositions.NumberOfSignalingPortfolios;
		}
		
		public override int GetMaxValueForGenes( int genePosition )
		{
			int maxValueForGenes = 0;
			if ( genePosition < this.genomeManagerForTradingTickers.GenomeSize )
				// genePosition referst to a tradable ticker
				maxValueForGenes =
					this.genomeManagerForTradingTickers.GetMaxValueForGenes(
						genePosition );
			else
			{
				// genePosition referst to a signaling ticker
				int genePositionInTheSecondGroup = genePosition -
					this.genomeManagerForTradingTickers.GenomeSize;
				maxValueForGenes = this.genomeManagerForSignalingTickers.GetMaxValueForGenes(
					genePositionInTheSecondGroup );
			}
			return maxValueForGenes;
		}

		public override int GetMinValueForGenes( int genePosition )
		{
			int minValueForGenes = 0;
			if ( genePosition < this.genomeManagerForTradingTickers.GenomeSize )
				// genePosition referst to a tradable ticker
				minValueForGenes = this.genomeManagerForTradingTickers.GetMinValueForGenes(
					genePosition );
			else
			{
				// genePosition referst to a signaling ticker
				int genePositionInTheSecondGroup = genePosition -
					genomeManagerForTradingTickers.GenomeSize;
				minValueForGenes = this.genomeManagerForSignalingTickers.GetMinValueForGenes(
					genePositionInTheSecondGroup );				
			}
			return minValueForGenes;
		}
		
//		public override int GetNewGeneValue( Genome genome, int genePosition )
//		{
//			double newGeneValue = 0;
//			if ( genePosition < genomeManagerForTradingTickers.GenomeSize )
//				// genePosition referst to the first group of eligibles
//				minValueForGenes = genomeManagerForTradingTickers.GetNewGeneValue(
//					genePosition );
//			else
//			{
//				// genePosition referst to the second group of eligibles
//				int genePositionInTheSecondGroup = genePosition -
//					genomeManagerForTradingTickers.GenomeSize;
//				minValueForGenes = genomeManagerForSignalingTickers.GetNewGeneValue(
//					genePositionInTheSecondGroup );
//
//			}
//			return minValueForGenes;
//		}
		
		/// <summary>
		/// Returns an array with two TestingPositions. The first element contains
		/// the decoding for the first group of eligibles, the second element contains
		/// the decoding for the second group of eligibles
		/// </summary>
		/// <param name="genome"></param>
		/// <returns></returns>
		public override object Decode(Genome genome)
		{
			object decoded =
				this.decoderForLinearRegressionTestingPositions.Decode(
					genome.Genes() ,
					this.eligibleTickersForTrading ,
					this.eligibleTickersForSignaling ,
					this.returnsManagerForTradingTickers ,
					this.returnsManagerForSignalingTickers );
//					this.returnsManager );
			return decoded;
		}
//		public virtual double GetFitnessValue(Genome genome)
//		{
//			double fitnessValue =
//					this.fitnessEvaluator.GetFitnessValue(genome.Meaning, this.returnsManager);
//
//			return fitnessValue;
//		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation ReturnIntervalsBuilderForTradingAndForSignaling.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv32161/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation

Added Files:
	ReturnIntervalsBuilderForTradingAndForSignaling.cs 
Log Message:
Builds (in sample) return intervals for trading and return intervals for signaling

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

ReturnIntervalsBuilderForTradingAndForSignaling.cs
Copyright (C) 2010
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 QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Builds (in sample) return intervals for trading and return intervals
	/// for signaling
	/// </summary>
	[Serializable]
	public class ReturnIntervalsBuilderForTradingAndForSignaling :
		IReturnIntervalsBuilderForTradingAndForSignaling
	{
//		private IReturnIntervalFilter returnIntervalFilterForTrading;
//		private IReturnIntervalFilter returnIntervalFilterForSignaling;
		
		public ReturnIntervalsBuilderForTradingAndForSignaling()
//			IReturnIntervalFilter returnIntervalFilterForTrading ,
//			IReturnIntervalFilter returnIntervalFilterForSignaling )
		{
//			this.returnIntervalFilterForTrading = returnIntervalFilterForTrading;
//			this.returnIntervalFilterForSignaling = returnIntervalFilterForSignaling;
		}
		
		#region BuildIntervals
		
		#region addReturnIntervalForTradingAndReturnIntervalForSignalingIfTheCase
		
		private bool wereAllTickersExchanged(
			string[] tickers ,
			ReturnInterval returnInterval ,
			IHistoricalMarketValueProvider historicalMarketValueProvider )
		{
			bool wereAllExchanged = true;
			int tickerIndex = 0;
			while ( wereAllExchanged && ( tickerIndex < tickers.Length ) )
			{
				string ticker = tickers[ tickerIndex ];
				bool wasExchanged = (
					historicalMarketValueProvider.WasExchanged( ticker , returnInterval.Begin ) &&
					historicalMarketValueProvider.WasExchanged( ticker , returnInterval.End ) );
				wereAllExchanged = wasExchanged;
				tickerIndex++;
			}
			return wereAllExchanged;
		}
		
		/// <summary>
		/// A return interval is added to returnIntervalsForTrading only if
		/// all eligibles for trading are traded on that interval, and the
		/// interval is a trading interval.
		/// A return interval is added to returnIntervalsForSignaling only if
		/// all eligibles for signaling are traded on that interval, and the
		/// interval is a signaling interval.
		/// </summary>
		/// <param name="returnInterval"></param>
		/// <param name="historicalMarketValueProvider"></param>
		/// <param name="eligibleTickersForTrading"></param>
		/// <param name="eligibleTickersForSignaling"></param>
		/// <param name="returnIntervalsForTrading"></param>
		/// <param name="returnIntervalsForSignaling"></param>
		private void addReturnIntervalForTradingAndReturnIntervalForSignalingIfTheCase(
			ReturnInterval returnIntervalCandidateForTrading ,
			IHistoricalMarketValueProvider historicalMarketValueProvider ,
			IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling ,
			string[] eligibleTickersForTrading ,
			string[] eligibleTickersForSignaling ,
			ReturnIntervals returnIntervalsForTrading ,
			ReturnIntervals returnIntervalsForSignaling )
		{
			ReturnInterval returnIntervalForSignaling =
				returnIntervalSelectorForSignaling.GetReturnIntervalUsedForSignaling(
					returnIntervalCandidateForTrading );
			if ( this.wereAllTickersExchanged(
				eligibleTickersForTrading ,
				returnIntervalCandidateForTrading , historicalMarketValueProvider ) &&
			    this.wereAllTickersExchanged(
			    	eligibleTickersForSignaling ,
			    	returnIntervalForSignaling , historicalMarketValueProvider ) )
			{
				// all eligible tickers for trading were exchanged in the current
				// return interval candidate for trading, and all eligible tickers
				// for signaling were exchanged in the current return interval candidate
				// for signaling
				returnIntervalsForTrading.Add( returnIntervalCandidateForTrading );
				returnIntervalsForSignaling.Add( returnIntervalForSignaling );
			}				
//				bool wereAllEligibleTickersForTradingExchanged =
//					this.wereAllTickersExchanged(
//						eligibleTickersForTrading ,
//						returnIntervalCandidateForTrading , historicalMarketValueProvider );
//			bool isReturnIntervalValidForTrading =
//				this.returnIntervalFilterForTrading.IsValid( returnIntervalCandidateForTrading );
//			bool isReturnIntervalToBeAddedToReturnIntervalsForTrading = (
//				wereAllEligibleTickersForTradingExchanged &&
//				isReturnIntervalValidForTrading );
//			if ( isReturnIntervalToBeAddedToReturnIntervalsForTrading )
//				returnIntervalsForTrading.Add( returnIntervalCandidateForTrading );
//			
//			bool wereAllEligibleTickersForSignalingExchanged =
//				this.wereAllTickersExchanged(
//					eligibleTickersForSignaling ,
//					returnIntervalCandidateForTrading , historicalMarketValueProvider );
//			bool isReturnIntervalValidForSignaling =
//				this.returnIntervalFilterForSignaling.IsValid( returnIntervalCandidateForTrading );
//			bool isReturnIntervalToBeAddedToReturnIntervalsForSignaling = (
//				wereAllEligibleTickersForSignalingExchanged &&
//				isReturnIntervalValidForSignaling );
//			if ( isReturnIntervalToBeAddedToReturnIntervalsForSignaling )
//				returnIntervalsForSignaling.Add( returnIntervalCandidateForTrading );
		}
		#endregion addReturnIntervalForTradingAndReturnIntervalForSignalingIfTheCase
		
		
		#region removeReturnIntervalsFromSignalingIfTheCorrespondingIsNotInTradingAndViceversa
		private void
			removeReturnIntervalsFromSignalingIfTheCorrespondingIsNotInTradingAndViceversa(
				ReturnIntervals returnIntervalsCandidates ,
				ReturnIntervals returnIntervalsForTrading ,
				ReturnIntervals returnIntervalsForSignaling )
		{
//			int indexForCurrentCandidate = 0;
//			int indexForTradingThatCouldBeRemoved = 0;
//			int indexForSignalingThatCouldBeRemoved = 0;
//			while ( indexForCurrentCandidate < returnIntervalsCandidates.Count )
//			{
//				ReturnInterval currentCandidate =
//					returnIntervalsCandidates[ indexForCurrentCandidate ];
//				if ( this.isToBeRemovedFromTrading( currentCandidate
//			}
		}
		#endregion removeReturnIntervalsFromSignalingIfTheCorrespondingIsNotInTradingAndViceversa
		
		/// <summary>
		/// Builds returnIntervalsForTrading and returnIntervalsForSignaling
		/// </summary>
		/// <param name="returnsManager">contains the ReturnIntervals for the
		/// trading tickers; it also contains the IHistoricalMarketValueProvider
		/// to be used to see if eligibleTickersForTrading and eligibleTickersForSignaling
		/// were exchanged at given DateTime(s)</param></param>
		/// <param name="eligibleTickersForTrading"></param>
		/// <param name="eligibleTickersForSignaling"></param>
		/// <param name="returnIntervalsForTrading"></param>
		/// <param name="returnIntervalsForSignaling"></param>
		public void BuildIntervals(
			IReturnsManager returnsManager ,
			IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling ,
			string[] eligibleTickersForTrading ,
			string[] eligibleTickersForSignaling ,
			out ReturnIntervals returnIntervalsForTrading ,
			out ReturnIntervals returnIntervalsForSignaling )
		{
			ReturnIntervals returnIntervalsCandidatesForTrading = returnsManager.ReturnIntervals;
			returnIntervalsForTrading = new ReturnIntervals();
			returnIntervalsForSignaling = new ReturnIntervals();
			foreach ( ReturnInterval returnIntervalCandidateForTrading in
			         returnIntervalsCandidatesForTrading )
				this.addReturnIntervalForTradingAndReturnIntervalForSignalingIfTheCase(
					returnIntervalCandidateForTrading , returnsManager.HistoricalMarketValueProvider ,
					returnIntervalSelectorForSignaling ,
					eligibleTickersForTrading , eligibleTickersForSignaling ,
					returnIntervalsForTrading , returnIntervalsForSignaling );
			this.removeReturnIntervalsFromSignalingIfTheCorrespondingIsNotInTradingAndViceversa(
				returnIntervalsCandidatesForTrading , returnIntervalsForTrading , returnIntervalsForSignaling );
		}
		#endregion BuildIntervals
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation LinearRegressionValues.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv30842/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation

Added Files:
	LinearRegressionValues.cs 
Log Message:
Values needed to set up a regression

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

LinearRegressionValues.cs
Copyright (C) 2010
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.LinearRegression
{
	/// <summary>
	/// Values needed to set up a regression
	/// </summary>
	[Serializable]
	public class LinearRegressionValues : ILinearRegressionValues
	{
		private double[] regressand;
		
		public double[] Regressand {
			get { return this.regressand; }
		}
		
		private double[,] regressors;
		
		public double[,] Regressors {
			get { return this.regressors; }
		}
		
		private double[] regressorWeights;
		
		public double[] RegressorWeights {
			get { return this.regressorWeights; }
		}
		
		public LinearRegressionValues(
			double[] regressand ,
			double[,] regressors ,
			double[] regressorWeights )
		{
			this.regressand = regressand;
			this.regressors = regressors;
			this.regressorWeights = regressorWeights;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation LinearRegressionSetUpManager.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv30683/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation

Added Files:
	LinearRegressionSetUpManager.cs 
Log Message:
Sets up a linear regression so that it then can be evaluated

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

LinearRegressionSetUpManager.cs
Copyright (C) 2010
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 QuantProject.ADT.Collections;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Sets up a linear regression so that it then can be evaluated
	/// </summary>
	[Serializable]
	public class LinearRegressionSetupManager : ILinearRegressionSetupManager
	{


		public LinearRegressionSetupManager()
		{
		}
		
		#region SetUpTheLinearRegression
		
		#region getRegressand

		protected double[] getRegressand(
			IReturnsCalculator returnsCalculatorForTheRegressand , IReturnsManager returnsManager )
		{
//			WeightedPositions weightedPositionsForRegressand =
//				this.getWeightedPositionsForRegressand(
//					weightedPositions , returnsManager );
			float[] floatReturns = returnsCalculatorForTheRegressand.GetReturns(
				returnsManager , 0 , returnsManager.NumberOfReturns - 1 );
			double[] returns = FloatArrayManager.ConvertToDouble( floatReturns );
			return returns;
		}
		#endregion getRegressand
		
		#region getRegressors
		private void addConstantRegressor( double[,] regressors )
		{
			for( int j = 0 ; j < regressors.GetLength( 1 ) ; j++ )
				regressors[ j , 0 ] = 1;
		}
		
		#region addVariableRegressors
		
		#region addVariableRegressor
		private void addVariableRegressor(
			int regressorIndex ,
			IReturnsCalculator[] returnCalculatorForTheRegressors ,
			IReturnsManager returnsManager ,
			double[,] regressors )
		{
			IReturnsCalculator returnCalculatorForCurrentRegressor =
				returnCalculatorForTheRegressors[ regressorIndex - 1 ];  // the first regressor is the constant
//				this.getWeightedPositionsForRegressor(
//					regressorIndex , weightedPositions , returnsManager );
			for( int j = 0 ; j < regressors.GetLength( 0 ) ; j++ )
				regressors[ j , regressorIndex ] =
					returnCalculatorForCurrentRegressor.GetReturn( j , returnsManager );
		}
		#endregion addVariableRegressor
		
		private void addVariableRegressors(
			IReturnsCalculator[] returnCalculatorForTheRegressors ,
			IReturnsManager returnsManager ,
			double[,] regressors )
		{
			for( int i = 1 ; i < regressors.GetLength( 1 ) ; i++ )
				this.addVariableRegressor(
					i , returnCalculatorForTheRegressors , returnsManager , regressors );
		}
		#endregion addVariableRegressors
		
		protected double[,] getRegressors(
			IReturnsCalculator[] returnCalculatorForTheRegressors ,
			IReturnsManager returnsManagerForTheRegressor )
		{
			int numberOfObservations = returnsManagerForTheRegressor.NumberOfReturns;
			int numberOfRegressors = returnCalculatorForTheRegressors.Length + 1;  // one is added for the constant
			double[,] regressors = new double[ numberOfObservations , numberOfRegressors ];
			this.addConstantRegressor( regressors );
			this.addVariableRegressors(
				returnCalculatorForTheRegressors , returnsManagerForTheRegressor , regressors );
			return regressors;
		}
		#endregion getRegressors
		
		private double[] getRegressionWeights( int numberOfObservations )
		{
			double[] regressionWeights = new double[ numberOfObservations ];
			for( int i = 0 ; i < numberOfObservations ; i++ )
				regressionWeights[ i ] = 1;
			return regressionWeights;
		}
		
		/// <summary>
		/// Sets up a linear regression so that it then can be evaluated.
		/// A constant regressor is always added
		/// </summary>
		/// <param name="weightedPositionsForTheRegressand"></param>
		/// <param name="weightedPositionsForTheRegressors"></param>
		/// <param name="returnsManager"></param>
		public ILinearRegressionValues SetUpTheLinearRegressionValues(
			IReturnsCalculator returnsCalculatorForTheRegressand ,
			IReturnsCalculator[] returnCalculatorForTheRegressors ,
			IReturnsManager returnsManagerForTheRegressand ,
			IReturnsManager returnsManagerForTheRegressor )
		{
			double[] regressand = this.getRegressand(
				returnsCalculatorForTheRegressand , returnsManagerForTheRegressand );
			double[,] regressors = this.getRegressors(
				returnCalculatorForTheRegressors , returnsManagerForTheRegressor );
			double[] regressionWeights = this.getRegressionWeights( regressand.Length );
//			QuantProject.ADT.Econometrics.LinearRegression linearRegression =
//				new QuantProject.ADT.Econometrics.LinearRegression();
//			linearRegression.Regress( regressand , regressors , regressionWeights );
			LinearRegressionValues linearRegressionValues = new LinearRegressionValues(
				regressand , regressors , regressionWeights );
			return linearRegressionValues;
		}
		#endregion SetUpTheLinearRegression
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation LinearRegressionFitnessEvaluator.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv30391/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation

Added Files:
	LinearRegressionFitnessEvaluator.cs 
Log Message:
Computes (in sample) the OLS estimate of the following regression:
the regressand is the return of the TradingPortfolio; the regressors are the constant and the SignalingPortfolios

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

LinearRegressionFitnessEvaluator.cs
Copyright (C) 2010
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 QuantProject.ADT.Econometrics;
using QuantProject.ADT.Statistics;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Computes (in sample) the OLS estimate of the following regression:
	/// the regressand is the return of the TradingPortfolio; the regressors
	/// are the constant and the SignalingPortfolios
	/// </summary>
	[Serializable]
	public class LinearRegressionFitnessEvaluator : // MarshalByRefObject ,	// MarshalByRefObject added for testing
	ILinearRegressionFitnessEvaluator
	{
//		private bool hasReturnsManagerForTradingTickersBeenSetSinceLastGetFitnessValueRequest;
//		private bool hasReturnsManagerForSignalingTickersBeenSetSinceLastGetFitnessValueRequest;
		
//		private ILinearRegressionValues linearRegressionValues;
		private ILinearRegressionSetupManager linearRegressionSetupManger;
		
		private IReturnsManager returnsManagerForTradingTickers;
		
		public IReturnsManager ReturnsManagerForTradingTickers {
			get { return this.returnsManagerForTradingTickers; }
			set
			{
				this.returnsManagerForTradingTickers = value;
//				this.hasReturnsManagerForTradingTickersBeenSetSinceLastGetFitnessValueRequest =
//					true;
			}
		}
		
		private IReturnsManager returnsManagerForSignalingTickers;
		
		public IReturnsManager ReturnsManagerForSignalingTickers {
			get { return this.returnsManagerForSignalingTickers; }
			set
			{
				this.returnsManagerForSignalingTickers = value;
//				this.hasReturnsManagerForSignalingTickersBeenSetSinceLastGetFitnessValueRequest =
//					true;
			}
		}
		
		public string Description
		{
			get
			{
				return "lnrRgrssnRSquare";
			}
		}

		public LinearRegressionFitnessEvaluator(
			ILinearRegressionSetupManager linearRegressionSetupManger )
		{
			this.linearRegressionSetupManger = linearRegressionSetupManger;
//			this.hasReturnsManagerForTradingTickersBeenSetSinceLastGetFitnessValueRequest =
//				false;
//			this.hasReturnsManagerForSignalingTickersBeenSetSinceLastGetFitnessValueRequest =
//				false;
		}
		
		public QuantProject.ADT.Econometrics.LinearRegression SetUpAndRunLinearRegression(
			LinearRegressionTestingPositions testingPositions )
		{
			ILinearRegressionValues linearRegressionValues =
				this.linearRegressionSetupManger.SetUpTheLinearRegressionValues(
					testingPositions.TradingPortfolio , testingPositions.SignalingPortfolios ,
					this.returnsManagerForTradingTickers ,
					this.returnsManagerForSignalingTickers );
			QuantProject.ADT.Econometrics.LinearRegression linearRegression =
				new QuantProject.ADT.Econometrics.LinearRegression();
			linearRegression.RunRegression(
				linearRegressionValues.Regressand ,
				linearRegressionValues.Regressors );
//				linearRegressionValues.RegressorWeights );
			return linearRegression;
		}
		
		#region GetFitnessValue
		private void getFitnessValue_checkParameters( object meaning )
		{
			if ( !( meaning is TestingPositionsForUndecodableEncoded ) &&
			    !( meaning is LinearRegressionTestingPositions ) )
				throw new Exception(
					"The meaning should always be a LinearRegressionTestingPositions!" );
			if ( this.returnsManagerForTradingTickers == null )
				throw new Exception(
					"The property ReturnsManagerForTradingTickers has not been set. It must " +
					"be set before invoking GetFitnessValue()!" );
			if ( this.returnsManagerForSignalingTickers == null )
				throw new Exception(
					"The property ReturnsManagerForSignalingTickers has not been set. It must " +
					"be set before invoking GetFitnessValue()!" );
		}

		#region getFitnessValue

		private double getFitnessValue(
			WeightedPositions tradingPortfolio ,
			WeightedPositions[] signalingPortfolios )
		{
			ILinearRegressionValues linearRegressionValues =
				this.linearRegressionSetupManger.SetUpTheLinearRegressionValues(
					tradingPortfolio , signalingPortfolios ,
					this.returnsManagerForTradingTickers ,
					this.returnsManagerForSignalingTickers );
//			this.getFitnessValue_checkWeightedPositions( weightedPositions );
//			QuantProject.ADT.Econometrics.LinearRegression linearRegression =
//				this.setupAndRunTheLinearRegression(
//					tradingPortfolio , signalingPortfolios , returnsManager );
			QuantProject.ADT.Econometrics.LinearRegression linearRegression =
				new QuantProject.ADT.Econometrics.LinearRegression();
			linearRegression.RunRegression(
				linearRegressionValues.Regressand ,
				linearRegressionValues.Regressors );
//				linearRegressionValues.RegressorWeights );
			double fitnessValue = linearRegression.CenteredRSquare;
			return fitnessValue;
		}
		private double getFitnessValue( LinearRegressionTestingPositions testingPositions )
		{
			QuantProject.ADT.Econometrics.LinearRegression linearRegression =
				this.SetUpAndRunLinearRegression( testingPositions );
			double fitnessValue = linearRegression.CenteredRSquare;
			return fitnessValue;
//
//			double fitnessValue;
//			fitnessValue = this.getFitnessValue(
//				testingPositions.TradingPortfolio ,
//				testingPositions.SignalingPortfolios );
//			return fitnessValue;
		}
		#endregion getFitnessValue
		
		
		public double GetFitnessValue( object meaning , IReturnsManager returnsManager )
		{
			this.getFitnessValue_checkParameters( meaning );
			double fitnessValue = -3;  // value if the encoded was not properly decodable
			if ( !(meaning is TestingPositionsForUndecodableEncoded ) )
				// the encoded was actually decodable; meaning is a LinearRegressionTestingPositions
				
				// this method doesn't use returnsManager. It uses
				// this.returnsManagerForTradingTickers and this.returnsMangerForSignalingTickers instead
				fitnessValue =
					this.getFitnessValue( (LinearRegressionTestingPositions)meaning );
//			this.hasReturnsManagerForTradingTickersBeenSetSinceLastGetFitnessValueRequest =
//				false;
//			this.hasReturnsManagerForSignalingTickersBeenSetSinceLastGetFitnessValueRequest =
//				false;
			return fitnessValue;
		}
		#endregion GetFitnessValue
		
		#region GetIndependentVariablesValues
		private bool wereAllSignalingTickersExchanged(
			LinearRegressionTestingPositions linearRegressionTestingPositions ,
			ReturnInterval outOfSampleReturnIntervalForSignaling ,
			HistoricalMarketValueProvider historicalMarketValueProvider )
		{
			bool wereExchanged =
				( historicalMarketValueProvider.WereAllExchanged(
					linearRegressionTestingPositions.SignalingTickers , outOfSampleReturnIntervalForSignaling.Begin )
				 && historicalMarketValueProvider.WereAllExchanged(
				 	linearRegressionTestingPositions.SignalingTickers , outOfSampleReturnIntervalForSignaling.End ) );
			return wereExchanged;
		}

		private double[] getIndependentVariablesValuesOnValidReturnedInterval(
			LinearRegressionTestingPositions linearRegressionTestingPositions ,
			ReturnInterval returnInterval ,
			HistoricalMarketValueProvider historicalMarketValueProvider )
		{
			double[] independentVariablesValues =
//				new double[ weightedPositions.Count - 2 + 1 ];  // one is added for the constant
				new double[ linearRegressionTestingPositions.SignalingPortfolios.Length + 1 ]; // one is added for the constant
			independentVariablesValues[ 0 ] = 0; // regressors include the constant and the constant's return is zero
			ReturnsManager returnsManager = new ReturnsManager(
				new ReturnIntervals( returnInterval ) , historicalMarketValueProvider );
			for( int j = 0 ; j < linearRegressionTestingPositions.SignalingPortfolios.Length ; j++ )
			{
				WeightedPositions portfolioForCurrentIndependentVariable =
					linearRegressionTestingPositions.SignalingPortfolios[ j ];
				independentVariablesValues[ j + 1 ] =
					portfolioForCurrentIndependentVariable.GetReturn( 0 , returnsManager );
			}
			return independentVariablesValues;
		}
		/// <summary>
		/// returns an array with the values for the independent variables. This is
		/// going to be used out of sample and it should be coherent with how
		/// the regressors are built in sample. If
		/// </summary>
		public virtual double[] GetIndependentVariablesValues(
			LinearRegressionTestingPositions linearRegressionTestingPositions ,
			ReturnInterval outOfSampleReturnIntervalForSignaling ,
			HistoricalMarketValueProvider historicalMarketValueProvider )
		{
			double[] independentVariablesValues = null;
			if ( this.wereAllSignalingTickersExchanged (
				linearRegressionTestingPositions , outOfSampleReturnIntervalForSignaling ,
				historicalMarketValueProvider ) )
				independentVariablesValues =
					this.getIndependentVariablesValuesOnValidReturnedInterval(
						linearRegressionTestingPositions , outOfSampleReturnIntervalForSignaling ,
						historicalMarketValueProvider );
			return independentVariablesValues;
		}
		#endregion GetIndependentVariablesValues
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation ILinearRegressionValues.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv28405/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation

Added Files:
	ILinearRegressionValues.cs 
Log Message:
Interface to be implemented by those classes that compute values for a linear regression

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

IILinearRegressionValues.cs
Copyright (C) 2010
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.LinearRegression
{
	/// <summary>
	/// Interface to be implemented by those classes that compute values
	/// for a linear regression
	/// </summary>
	public interface ILinearRegressionValues
	{
		double[] Regressand { get; }
		
		double[,] Regressors { get; }
		
		double[] RegressorWeights {	get; }
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation ILinearRegressionSetupManager.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv28250/WalkForwardTesting/LinearRegression/InSampleChoosers/FitnessEvaluation

Added Files:
	ILinearRegressionSetupManager.cs 
Log Message:
Interface to be implemented by those classes that build up a linear regression, ready to be run

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

ILinearRegressionSetupManager.cs
Copyright (C) 2010
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 QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.WalkForwardTesting.LinearRegression
{
	/// <summary>
	/// Interface to be implemented by those classes that build up
	/// a linear regression, ready to be run
	/// </summary>
	public interface ILinearRegressionSetupManager
	{
		ILinearRegressionValues SetUpTheLinearRegressionValues(
			IReturnsCalculator returnsCalculatorForTheRegressand ,
			IReturnsCalculator[] returnCalculatorForTheRegressors ,
			IReturnsManager returnsManagerForTheRegressand ,
			IReturnsManager returnsManagerForTheRegressor );		
	}
}