quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.44,1.45

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23225

Modified Files:
	b7_Scripts.csproj 
Log Message:
IWalkForwardProgressNotifier has been moved in the WalkForwardTesting script root

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.44
retrieving revision 1.45
diff -C2 -d -r1.44 -r1.45
*** b7_Scripts.csproj	17 Nov 2005 21:40:58 -0000	1.44
--- b7_Scripts.csproj	22 Nov 2005 16:25:15 -0000	1.45
***************
*** 349,352 ****
--- 349,357 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\IWalkForwardProgressNotifier.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\GenomeRepresentation.cs"
                      SubType = "Code"
***************
*** 439,463 ****
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\BestPerformingTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\ChosenTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\ComparableAccount.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\EligibleTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\IWalkForwardProgressNotifier.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
--- 444,478 ----
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankDebugEndOfDayTimerHandler.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankDebugInSample.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankReportDebugger.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\BestPerformingTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\ChosenTickers.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\ComparableAccount.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\EligibleTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv31753/b7_Scripts/WalkForwardTesting

Added Files:
	IWalkForwardProgressNotifier.cs 
Log Message:
IWalkForwardProgressNotifier.cs has been moved to the folder WalkForwardTesting\WalkForwardOneRank\ to the folder WalkForwardTesting\

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

IWalkForwardProgressNotifier.cs
Copyright (C) 2004 
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;

namespace QuantProject.Scripts.WalkForwardTesting
{
	/// <summary>
	/// Interface to be implemented by time consuming walk forwarding scripts
	/// </summary>
	public interface IWalkForwardProgressNotifier
	{
		event NewProgressEventHandler InSampleNewProgress;
		event NewProgressEventHandler OutOfSampleNewProgress;
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank IWalkForwardProgressNotifier.cs,1.1,NONE

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv31753/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Removed Files:
	IWalkForwardProgressNotifier.cs 
Log Message:
IWalkForwardProgressNotifier.cs has been moved to the folder WalkForwardTesting\WalkForwardOneRank\ to the folder WalkForwardTesting\

--- IWalkForwardProgressNotifier.cs DELETED ---

Re: [Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.43,1.44

[Glauco S. <gl...@my...>]

At 09:41 PM 11/17/2005 +0000, you wrote:
>Now the project file points properly to IWalkForwardProgressNotifier.cs
>(to directory WalkForwardTesting\WalkForwardOneRank\)

Millo, magari ero ubriaco, ma credo proprio di averti scritto che il file 
va sotto WalkForwardTesting (cosi' e' qua da me ed e' giusto che sia li') e 
non sotto WalkForwardTesting\WalkForwardOneRank\

E' un interfaccia che vale per tutti gli script walk forward, non solo per 
la one rank.

Fammi sapere, ok?

[Quantproject-developers] QuantProject/b3_Data Data.prjx,1.9,1.10

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv19640/b3_Data

Modified Files:
	Data.prjx 
Log Message:
Updated #develop project files

Index: Data.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Data.prjx,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** Data.prjx	8 Nov 2005 18:43:18 -0000	1.9
--- Data.prjx	17 Nov 2005 21:41:39 -0000	1.10
***************
*** 38,41 ****
--- 38,42 ----
      <File name=".\DataProviders\Caching\MissingQuoteException.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\Selectors\SelectorByGroup.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\Selectors\SelectorByCloseToCloseCorrelationToBenchmark.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b91_QuantProject QuantProject.prjx,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv19640/b91_QuantProject

Modified Files:
	QuantProject.prjx 
Log Message:
Updated #develop project files

Index: QuantProject.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/QuantProject.prjx,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** QuantProject.prjx	11 Apr 2005 18:45:49 -0000	1.4
--- QuantProject.prjx	17 Nov 2005 21:41:39 -0000	1.5
***************
*** 6,9 ****
--- 6,10 ----
      <File name=".\app.config" subtype="Code" buildaction="Nothing" dependson="" data="" />
      <File name=".\App.ico" subtype="Code" buildaction="Nothing" dependson="" data="" />
+     <File name=".\QuantProject.Principale.Principale.resources" subtype="Code" buildaction="EmbedAsResource" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.43,1.44

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv19483/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Now the project file points properly to IWalkForwardProgressNotifier.cs
(to directory WalkForwardTesting\WalkForwardOneRank\)

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.43
retrieving revision 1.44
diff -C2 -d -r1.43 -r1.44
*** b7_Scripts.csproj	12 Nov 2005 18:35:02 -0000	1.43
--- b7_Scripts.csproj	17 Nov 2005 21:40:58 -0000	1.44
***************
*** 349,357 ****
                  />
                  <File
-                     RelPath = "WalkForwardTesting\IWalkForwardProgressNotifier.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\GenomeRepresentation.cs"
                      SubType = "Code"
--- 349,352 ----
***************
*** 464,467 ****
--- 459,467 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\WalkForwardOneRank\IWalkForwardProgressNotifier.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\WalkForwardOneRank\MyEndOfDayTimerHandler.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunTestOptimizedCTCPortfolio.cs,1.7,1.8 RunEfficientCTOPortfolio.cs,1.23,1.24 RunEfficientCTCPortfolio.cs,1.11,1.12 GenomeManagerForWeightedEfficientPortfolio.cs,1.1,1.2 GenomeManagerForEfficientCTOPortfolio.cs,1.14,1.15 GenomeManagerForEfficientCTCPortfolio.cs,1.10,1.11 EndOfDayTimerHandlerCTCTest.cs,1.4,1.5 EndOfDayTimerHandlerCTC.cs,1.17,1.18

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18464/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunTestOptimizedCTCPortfolio.cs RunEfficientCTOPortfolio.cs 
	RunEfficientCTCPortfolio.cs 
	GenomeManagerForWeightedEfficientPortfolio.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	GenomeManagerForEfficientCTCPortfolio.cs 
	EndOfDayTimerHandlerCTCTest.cs EndOfDayTimerHandlerCTC.cs 
Log Message:
Updated script files 

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** GenomeManagerForEfficientCTOPortfolio.cs	8 Nov 2005 18:36:48 -0000	1.14
--- GenomeManagerForEfficientCTOPortfolio.cs	17 Nov 2005 21:37:19 -0000	1.15
***************
*** 97,104 ****
      */
      
!     protected override double getFitnessValue_calculate()
!     {
!       return this.RateOfReturn/Math.Sqrt(this.Variance);
!     }
      
      
--- 97,104 ----
      */
      
! //    protected override double getFitnessValue_calculate()
! //    {
! //      return this.RateOfReturn/Math.Sqrt(this.Variance);
! //    }
      
      

Index: RunEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTCPortfolio.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** RunEfficientCTCPortfolio.cs	18 Sep 2005 21:13:36 -0000	1.11
--- RunEfficientCTCPortfolio.cs	17 Nov 2005 21:37:19 -0000	1.12
***************
*** 62,65 ****
--- 62,66 ----
      protected int numDaysForReturnCalculation;
      protected double maxAcceptableCloseToCloseDrawdown;
+     protected int numDaysBetweenEachOptimization;
  		
      public RunEfficientCTCPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
***************
*** 71,75 ****
                                     	double targetReturn,
                                      PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double maxRunningHours):
  																base(tickerGroupID, numberOfEligibleTickers, 
                                      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
--- 72,76 ----
                                     	double targetReturn,
                                      PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double maxRunningHours, int numDaysBetweenEachOptimization):
  																base(tickerGroupID, numberOfEligibleTickers, 
                                      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
***************
*** 79,86 ****
                                     	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "CloseToCloseScripts";
        this.numDayOfPortfolioLife = numDaysOfPortfolioLife;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
  		}
  
--- 80,89 ----
                                     	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "CloseToCloseScriptsDiscontinuos";
!       //this.ScriptName = "CloseToCloseScriptsDiscontinuosWithCoeff";
        this.numDayOfPortfolioLife = numDaysOfPortfolioLife;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
+       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
***************
*** 96,100 ****
      	                                                        this.numDayOfPortfolioLife, this.numDaysForReturnCalculation,
      	                                                        this.targetReturn,
!     	                                                       	this.portfolioType, this.maxAcceptableCloseToCloseDrawdown);
      }
      
--- 99,104 ----
      	                                                        this.numDayOfPortfolioLife, this.numDaysForReturnCalculation,
      	                                                        this.targetReturn,
!     	                                                       	this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
!                                                               this.numDaysBetweenEachOptimization);
      }
      

Index: RunTestOptimizedCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTCPortfolio.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** RunTestOptimizedCTCPortfolio.cs	18 Sep 2005 21:13:36 -0000	1.7
--- RunTestOptimizedCTCPortfolio.cs	17 Nov 2005 21:37:19 -0000	1.8
***************
*** 69,73 ****
                                     	double targetReturn,
                                      PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double maxRunningHours):
  																base(tickerGroupID, numberOfEligibleTickers, 
                                      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
--- 69,73 ----
                                     	double targetReturn,
                                      PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double maxRunningHours, int numDaysBetweenEachOptimization):
  																base(tickerGroupID, numberOfEligibleTickers, 
                                      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
***************
*** 78,82 ****
                                     	targetReturn,
                                      portfolioType, maxAcceptableCloseToCloseDrawdown, 
!                                     maxRunningHours)
  		{
        this.ScriptName = "TestOptimizedCTCPortfolio";
--- 78,82 ----
                                     	targetReturn,
                                      portfolioType, maxAcceptableCloseToCloseDrawdown, 
!                                     maxRunningHours, numDaysBetweenEachOptimization)
  		{
        this.ScriptName = "TestOptimizedCTCPortfolio";
***************
*** 94,98 ****
      	                                                        this.numDaysForReturnCalculation,
      	                                                        this.targetReturn,
!     	                                                       	this.portfolioType, this.maxAcceptableCloseToCloseDrawdown);
      }
      
--- 94,99 ----
      	                                                        this.numDaysForReturnCalculation,
      	                                                        this.targetReturn,
!     	                                                       	this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
!                                                               this.numDaysBetweenEachOptimization);
      }
      

Index: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** GenomeManagerForEfficientCTCPortfolio.cs	8 Nov 2005 18:36:48 -0000	1.10
--- GenomeManagerForEfficientCTCPortfolio.cs	17 Nov 2005 21:37:19 -0000	1.11
***************
*** 62,84 ****
        this.retrieveData();
      }
      
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
!       float[] returnValue = null;
        Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
        float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
        returnValue = new float[allAdjValues.Length/this.numDaysForReturnCalculation + 1];
        int i = 0; //index for ratesOfReturns array
! 	    for(int idx = 0; idx + this.numDaysForReturnCalculation < allAdjValues.Length; idx += this.numDaysForReturnCalculation )
! 	    {
! 	      returnValue[i] = (allAdjValues[idx+this.numDaysForReturnCalculation]/
! 	      	                    allAdjValues[idx] - 1);
! 	      i++;
! 	    }	
        this.numberOfExaminedReturns = returnValue.Length;
        
        return returnValue;
      }
!    	/*
      protected override double getFitnessValue_calculate()
      {
--- 62,131 ----
        this.retrieveData();
      }
+ // old implementation, where a "continuos" adjusted close to close ratio,
+ // based on a particular fixed interval of days, is considered
+ // In this case, there is no discontinuity between the returned ratesOfReturn
+ //
+ //    protected override float[] getArrayOfRatesOfReturn(string ticker)
+ //    {
+ //      float[] returnValue = null;
+ //      Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
+ //      float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
+ //      returnValue = new float[allAdjValues.Length/this.numDaysForReturnCalculation + 1];
+ //      int i = 0; //index for ratesOfReturns array
+ //	    for(int idx = 0; idx + this.numDaysForReturnCalculation < allAdjValues.Length; idx += this.numDaysForReturnCalculation )
+ //	    {
+ //	      returnValue[i] = (allAdjValues[idx+this.numDaysForReturnCalculation]/
+ //	      	                    allAdjValues[idx] - 1);
+ //	      i++;
+ //	    }	
+ //      this.numberOfExaminedReturns = returnValue.Length;
+ //      
+ //      return returnValue;
+ //    }
      
+     // new implementation, where a "discontinuos" adjusted close to close ratio,
+     // based on a particular fixed interval of days, is considered
+     // In this case, there is a discontinuity between each pair of ratesOfReturn,
+     // equal to the given interval of days
      protected override float[] getArrayOfRatesOfReturn(string ticker)
      {
!       /*
!     	float[] returnValue = null;
        Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
        float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
        returnValue = new float[allAdjValues.Length/this.numDaysForReturnCalculation + 1];
        int i = 0; //index for ratesOfReturns array
!       int lastIdxAccessed = 0;
!       for(int idx = 0;
!           (idx + this.numDaysForReturnCalculation) < allAdjValues.Length;
!           idx += this.numDaysForReturnCalculation )
!       {
!         if(idx-lastIdxAccessed>numDaysForReturnCalculation || idx == 0)
!           //there is a discontinuity, as wanted
!         {
!           returnValue[i] = (allAdjValues[idx+this.numDaysForReturnCalculation]/
!             allAdjValues[idx] - 1);
!           lastIdxAccessed = idx;
!           i++;
!         }
!       }	
        this.numberOfExaminedReturns = returnValue.Length;
        
        return returnValue;
+       */
+       float[] returnValue = null;
+       returnValue = 
+       	QuantProject.Data.DataTables.Quotes.GetArrayOfCloseToCloseRatios(ticker,
+                                                             this.firstQuoteDate,
+                                                             this.lastQuoteDate,
+                                                             this.numDaysForReturnCalculation);
+       	
+       this.numberOfExaminedReturns = returnValue.Length;
+       
+       return returnValue;
+                                                                         
      }
!     
!     /*LPM as fitness
      protected override double getFitnessValue_calculate()
      {

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** EndOfDayTimerHandlerCTC.cs	8 Nov 2005 18:36:48 -0000	1.17
--- EndOfDayTimerHandlerCTC.cs	17 Nov 2005 21:37:19 -0000	1.18
***************
*** 47,54 ****
--- 47,57 ----
      protected int numDaysForReturnCalculation;
      protected int daysCounter;
+     protected int daysWithNoPositions;
      protected double maxAcceptableCloseToCloseDrawdown;
      protected bool stopLossConditionReached;
      protected double currentAccountValue;
      protected double previousAccountValue;
+     protected int numDaysBetweenEachOptimization;
+     private int numDaysElapsedSinceLastOptimization;
      
      public EndOfDayTimerHandlerCTC(string tickerGroupID, int numberOfEligibleTickers, 
***************
*** 61,65 ****
                                  int numDaysForReturnCalculation,
                                  double targetReturn,
!                                	PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
--- 64,69 ----
                                  int numDaysForReturnCalculation,
                                  double targetReturn,
!                                	PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 int numDaysBetweenEachOptimization):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
***************
*** 76,79 ****
--- 80,84 ----
        this.currentAccountValue = 0.0;
        this.previousAccountValue = 0.0;
+       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      }
  	
***************
*** 101,105 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       bool positionsJustClosed = false;
        this.updateStopLossCondition();
        if(this.account.Portfolio.Count > 0)
--- 106,110 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       //bool positionsJustClosed = false;
        this.updateStopLossCondition();
        if(this.account.Portfolio.Count > 0)
***************
*** 114,129 ****
            this.closePositions();
            this.daysCounter = 0;
!           positionsJustClosed = true;
          }
        }
!       
!       if(this.account.Portfolio.Count == 0 &&
!          !positionsJustClosed)
!         //portfolio is empty but it has not been closed
!         //at the current close
        {
!         this.openPositions();
!         this.daysCounter = 0;
!       }
      }
      
--- 119,145 ----
            this.closePositions();
            this.daysCounter = 0;
!           //positionsJustClosed = true;
          }
        }
! //old      
! //      if(this.account.Portfolio.Count == 0 &&
! //         !positionsJustClosed)
! //        //portfolio is empty but it has not been closed
! //        //at the current close
! //      {
! //        this.openPositions();
! //        this.daysCounter = 0;
! //      }
!             
! 			if(this.account.Portfolio.Count == 0)
!         //portfolio is empty
        {
! 				this.daysWithNoPositions++;
! 				if(this.daysWithNoPositions>this.numDaysOfPortfolioLife)
! 				{
! 					this.openPositions();
!         	this.daysWithNoPositions = 0;
! 				}
! 			}
      }
      
***************
*** 136,141 ****
        SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
      	                                                      currentDate);
!                                       
!       this.eligibleTickers = temporizedGroup.GetTableOfSelectedTickers();
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
          new SelectorByQuotationAtEachMarketDay(this.eligibleTickers,
--- 152,168 ----
        SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
      	                                                      currentDate);
!       
!     	SelectorByCloseToCloseCorrelationToBenchmark lessCorrelatedFromTemporized = 
!     		new SelectorByCloseToCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
!       	                                              this.benchmark,true,
!       	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
!       	                                    					currentDate,
!       	                                    					this.numberOfEligibleTickers,
!       	                                    					this.numDaysForReturnCalculation);
!     	
!     		                                                 
!     		                                                 
!     		                                                 
!       this.eligibleTickers = lessCorrelatedFromTemporized.GetTableOfSelectedTickers();
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
          new SelectorByQuotationAtEachMarketDay(this.eligibleTickers,
***************
*** 194,202 ****
      {
        ConstantsProvider.SeedForRandomGenerator++;
!       if(this.account.Portfolio.Count == 0 )
        {
-         this.orders.Clear();
          this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
!         //it sets tickers to be chosen at next close
        }
      }
--- 221,243 ----
      {
        ConstantsProvider.SeedForRandomGenerator++;
! //old
! //      if(this.account.Portfolio.Count == 0 )
! //      {
! //        this.orders.Clear();
! //        this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
! //        //it sets tickers to be chosen at next close
! //      }
!       this.orders.Clear();
!       //this.oneHourAfterMarketCloseEventHandler_updatePrices();
!       if(this.numDaysElapsedSinceLastOptimization == 
!         this.numDaysBetweenEachOptimization - 1)
        {
          this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
!         //sets tickers to be chosen next Market Open event
!         this.numDaysElapsedSinceLastOptimization = 0;
!       }
!       else
!       {
!         this.numDaysElapsedSinceLastOptimization++;
        }
      }

Index: GenomeManagerForWeightedEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForWeightedEfficientPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerForWeightedEfficientPortfolio.cs	8 Nov 2005 18:34:02 -0000	1.1
--- GenomeManagerForWeightedEfficientPortfolio.cs	17 Nov 2005 21:37:19 -0000	1.2
***************
*** 123,132 ****
      #endregion
  
-     public override Genome[] GetChilds(Genome parent1, Genome parent2)
-     {
-       return
-         GenomeManipulator.MixGenesWithoutDuplicates(parent1, parent2);
-     }
-     
      public override int GetNewGeneValue(Genome genome, int genePosition)
      {
--- 123,126 ----

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.23
retrieving revision 1.24
diff -C2 -d -r1.23 -r1.24
*** RunEfficientCTOPortfolio.cs	8 Nov 2005 18:36:48 -0000	1.23
--- RunEfficientCTOPortfolio.cs	17 Nov 2005 21:37:19 -0000	1.24
***************
*** 71,76 ****
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "OpenCloseScriptsSharpeRatioWithCoeff";
        //this.ScriptName = "OpenCloseScriptsSharpeRatio";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      }
--- 71,77 ----
        portfolioType, maxRunningHours)
      {
!       //this.ScriptName = "OpenCloseScriptsSharpeRatioWithCoeff";
        //this.ScriptName = "OpenCloseScriptsSharpeRatio";
+       this.ScriptName = "OpenCloseScriptsWithCoeff";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      }

Index: EndOfDayTimerHandlerCTCTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTCTest.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerCTCTest.cs	18 Sep 2005 21:13:36 -0000	1.4
--- EndOfDayTimerHandlerCTCTest.cs	17 Nov 2005 21:37:19 -0000	1.5
***************
*** 56,60 ****
                                  int numDaysForReturnCalculation,
                                  double targetReturn,
!                                	PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
--- 56,61 ----
                                  int numDaysForReturnCalculation,
                                  double targetReturn,
!                                	PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 int numDaysBetweenEachOptimization):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
***************
*** 66,70 ****
                                  numDaysForReturnCalculation,
                                  targetReturn,
!                                	portfolioType, maxAcceptableCloseToCloseDrawdown)
      {
       
--- 67,72 ----
                                  numDaysForReturnCalculation,
                                  targetReturn,
!                                	portfolioType, maxAcceptableCloseToCloseDrawdown,
!                                 numDaysBetweenEachOptimization)
      {
       

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj,1.32,1.33

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17897/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
Added SelectorByCloseToCloseCorrelationToBenchmark to the project.

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.32
retrieving revision 1.33
diff -C2 -d -r1.32 -r1.33
*** b3_Data.csproj	21 Oct 2005 18:26:43 -0000	1.32
--- b3_Data.csproj	17 Nov 2005 21:34:40 -0000	1.33
***************
*** 278,281 ****
--- 278,286 ----
                  />
                  <File
+                     RelPath = "Selectors\SelectorByCloseToCloseCorrelationToBenchmark.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Selectors\SelectorByCloseToCloseLinearCorrelation.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs,1.18,1.19

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17897/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Added SelectorByCloseToCloseCorrelationToBenchmark to the project.

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** Quotes.cs	18 Sep 2005 21:03:43 -0000	1.18
--- Quotes.cs	17 Nov 2005 21:34:40 -0000	1.19
***************
*** 448,451 ****
--- 448,528 ----
      }
      
+     public static float[] GetArrayOfCloseToCloseRatios(string ticker,
+                                                       DateTime firstQuoteDate,
+                                                       DateTime lastQuoteDate,
+                                                      	int numDaysBetweenEachClose)
+     {
+       float[] returnValue = null;
+       Quotes tickerQuotes = new Quotes(ticker, firstQuoteDate, lastQuoteDate);
+       float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
+       returnValue = new float[allAdjValues.Length/(numDaysBetweenEachClose + 1)];
+       int i = 0; //index for ratesOfReturns array
+       int lastIdxAccessed = 0;
+       for(int idx = 0;
+           (idx + numDaysBetweenEachClose) < allAdjValues.Length;
+           idx += numDaysBetweenEachClose )
+       {
+         if(idx-lastIdxAccessed>numDaysBetweenEachClose || idx == 0)
+           //there is a discontinuity, as wanted
+         {
+           returnValue[i] = (allAdjValues[idx+numDaysBetweenEachClose]/
+             allAdjValues[idx] - 1);
+           lastIdxAccessed = idx;
+           i++;
+         }
+       }	
+       return returnValue;
+     }
+     
+     /// <summary>
+     /// returns tickers of a given set of tickers ordered by close to close 
+     /// correlation to a given benchmark
+     /// </summary>
+     public static DataTable GetTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
+       DataTable setOfTickers, string benchmark,
+       DateTime firstQuoteDate,
+       DateTime lastQuoteDate,
+       long maxNumOfReturnedTickers, int numDaysBetweenEachClose)
+     {
+       if(!setOfTickers.Columns.Contains("CloseToCloseCorrelationToBenchmark"))
+         setOfTickers.Columns.Add("CloseToCloseCorrelationToBenchmark", System.Type.GetType("System.Double"));
+       float[] benchmarkRatios = GetArrayOfCloseToCloseRatios(benchmark, firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose);
+       foreach(DataRow row in setOfTickers.Rows)
+       {
+         float[] tickerRatios = GetArrayOfCloseToCloseRatios((string)row[0], 
+           firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose );
+       	if(tickerRatios.Length == benchmarkRatios.Length)
+       		row["CloseToCloseCorrelationToBenchmark"] =
+           	Math.Abs(BasicFunctions.PearsonCorrelationCoefficient(benchmarkRatios, tickerRatios));
+       }
+       DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,
+                                                               "CloseToCloseCorrelationToBenchmark>=0.0",
+                                                               "CloseToCloseCorrelationToBenchmark",
+                                                               orderByASC);
+       ExtendedDataTable.DeleteRows(tableToReturn, maxNumOfReturnedTickers);
+       return tableToReturn;
+     }
+     
+     /// <summary>
+     /// returns tickers of a given set of tickers ordered by close to close 
+     /// correlation to a given benchmark
+     /// </summary>
+     public static DataTable GetTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
+ 																					      string groupID, string benchmark,
+ 																					      DateTime firstQuoteDate,
+ 																					      DateTime lastQuoteDate,
+ 																					      long maxNumOfReturnedTickers,
+ 																					      int numDaysBetweenEachClose)
+     {
+       DataTable tickersOfGroup = new Tickers_tickerGroups(groupID);
+       return GetTickersByCloseToCloseCorrelationToBenchmark(orderByASC,
+ 																					      tickersOfGroup, benchmark,
+ 																					      firstQuoteDate,
+ 																					      lastQuoteDate,
+ 																					      maxNumOfReturnedTickers,
+ 																					      numDaysBetweenEachClose);
+     }
+     
+     
      private History history;
  

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByCloseToCloseCorrelationToBenchmark.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17897/b3_Data/Selectors

Added Files:
	SelectorByCloseToCloseCorrelationToBenchmark.cs 
Log Message:
Added SelectorByCloseToCloseCorrelationToBenchmark to the project.

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

SelectorByCloseToCloseCorrelationToBenchmark.cs
Copyright (C) 2005 
Marco Milletti

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

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

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

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

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers by close to close absolute correlation to 
  /// a given benchmark
  /// </summary>
   public class SelectorByCloseToCloseCorrelationToBenchmark : TickerSelector, ITickerSelector
  {
    private string benchmark;
    private int numDaysBetweenEachClose;
    
    public SelectorByCloseToCloseCorrelationToBenchmark(DataTable setOfTickersToBeSelected,
                               string benchmark,
                               bool orderInASCmode,
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long maxNumOfReturnedTickers,
                               int numDaysBetweenEachClose):
                                    base(setOfTickersToBeSelected, 
                                         orderInASCmode,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         maxNumOfReturnedTickers)
    {
      this.benchmark = benchmark;
      this.numDaysBetweenEachClose = numDaysBetweenEachClose;
    }
     public SelectorByCloseToCloseCorrelationToBenchmark(string groupID, 
                                string benchmark,
                                bool orderInASCmode,
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long maxNumOfReturnedTickers,
                               	int numDaysBetweenEachClose):
                                  base(groupID, 
                                      orderInASCmode,
                                      firstQuoteDate,
                                      lastQuoteDate,
                                      maxNumOfReturnedTickers)
     {
        this.benchmark = benchmark;
        this.numDaysBetweenEachClose = numDaysBetweenEachClose;
     }


    public DataTable GetTableOfSelectedTickers()
    {
      if(this.setOfTickersToBeSelected == null)
        return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
                                    this.groupID,this.benchmark,
                                    this.firstQuoteDate, this.lastQuoteDate,
                                    this.maxNumOfReturnedTickers, this.numDaysBetweenEachClose);        

      else
        return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
          this.setOfTickersToBeSelected,this.benchmark,
          this.firstQuoteDate, this.lastQuoteDate,
          this.maxNumOfReturnedTickers, this.numDaysBetweenEachClose);      
    }
    public void SelectAllTickers()
    {
      ;
    }	
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankGenomeManager.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22267

Added Files:
	WFMultiOneRankGenomeManager.cs 
Log Message:
This class implements IGenomeManager, in order to find the
best position group with respect to the one rank strategy

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

WFMultiOneRankChosenTickers.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.Data;

using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.ADT.Statistics;
using QuantProject.Data.DataTables;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	/// <summary>
	/// This class implements IGenomeManager, in order to find the
	/// best position group with respect to the one rank strategy
	/// </summary>
	public class WFMultiOneRankGenomeManager : IGenomeManager
	{
		private DataTable eligibleTickers;
		private DateTime firstQuoteDate;
		private DateTime lastQuoteDate;
		private double targetPerformance;
		private int numberOfTickersInPortfolio;

		private int numberOfEligibleTickers;
		private GeneticOptimizer currentGeneticOptimizer;
		private CandidateProperties[] setOfCandidates;

		public int GenomeSize
		{
			get { return this.numberOfTickersInPortfolio; }
		}
		public int MinValueForGenes
		{
			get { return -this.numberOfEligibleTickers; }
		}
		public int MaxValueForGenes
		{
			get { return this.numberOfEligibleTickers - 1; }
		}
		public GeneticOptimizer CurrentGeneticOptimizer
		{
			get{ return this.currentGeneticOptimizer; }
			set{ this.currentGeneticOptimizer = value; }
		}

		public WFMultiOneRankGenomeManager(
			DataTable eligibleTickers ,
			DateTime firstQuoteDate,
			DateTime lastQuoteDate,
			int numberOfTickersInPortfolio,
			double targetPerformance )
		{
			this.eligibleTickers = eligibleTickers;
			this.numberOfEligibleTickers = eligibleTickers.Rows.Count;
			this.firstQuoteDate = firstQuoteDate;
			this.lastQuoteDate = lastQuoteDate;
			this.numberOfTickersInPortfolio = numberOfTickersInPortfolio;
			this.targetPerformance = targetPerformance;

			GenomeManagement.SetRandomGenerator(QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator);

			this.retrieveData();
		}
		#region retrieveData
		private float[] getArrayOfRatesOfReturn( string ticker )
		{
			float[] returnValue = null;
			Quotes tickerQuotes =
				new Quotes( ticker , this.firstQuoteDate , this.lastQuoteDate );
			float[] allAdjValues =
				QuantProject.Data.ExtendedDataTable.GetArrayOfFloatFromColumn(
				tickerQuotes , "quAdjustedClose");
			returnValue =	new float[ allAdjValues.Length ];
			int i = 0; //index for ratesOfReturns array
			for( int idx = 0 ; idx < allAdjValues.Length - 1 ; idx++ )
			{
				returnValue[ i ] = allAdjValues[ idx + 1 ] /	allAdjValues[ idx ] - 1;
				i++;
			}	
			return returnValue;
		}
		private void retrieveData()
		{
			this.setOfCandidates =
				new CandidateProperties[ this.eligibleTickers.Rows.Count ];
			for(int i = 0; i<this.eligibleTickers.Rows.Count; i++)
			{
				string ticker = (string)this.eligibleTickers.Rows[i][0];
				this.setOfCandidates[i] = new CandidateProperties( ticker,
					this.getArrayOfRatesOfReturn( ticker ) );
			}
		}
		#endregion


		#region GetFitnessValue
		#region getFitnessValue_getLinearCombinationReturns
		private int getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(
			int geneValueForTickerIdx )
		{
			int position = geneValueForTickerIdx;
			if( geneValueForTickerIdx < 0 )
				position = Math.Abs(geneValueForTickerIdx + 1);
			return position;
		}
		private float getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(
			int tickerIdx,
			int arrayElementPosition )
		{
			//			bool longReturns = false;
			//			if( tickerIdx > 0 )
			//				//the tickerIdx points to a ticker for which long returns are to be examined
			//				longReturns = true;
			int position =
				this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(tickerIdx);
			//			this.setOfCandidates[position].LongRatesOfReturn = longReturns;
			float[] arrayOfRatesOfReturn =
				this.setOfCandidates[ position ].ArrayOfRatesOfReturn;
			//the investment is assumed to be equally divided for each ticker
			return ( arrayOfRatesOfReturn[ arrayElementPosition ] / this.GenomeSize );
		}    
    
		private double[] getFitnessValue_getLinearCombinationReturns( int[] tickersIdx )
		{
			double[] returnValue =
				new double[ this.setOfCandidates[ 0 ].ArrayOfRatesOfReturn.Length ];
			for( int i = 0; i < returnValue.Length ; i++ )    
			{  
				foreach( int tickerIdx in tickersIdx )
					returnValue[ i ] +=
						this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(
						tickerIdx , i );
			}
			return returnValue;
		}
		#endregion
		private double[] getFitnessValue_getStrategyReturnForCurrentCandidates(
			double[] linearCombinationReturns )
		{
			// strategyReturns contains one element less than linearCombinationReturns,
			// because there is no strategy for the very first period (at least
			// one day signal is needed)
			double[] strategyReturns = new double[ linearCombinationReturns.Length - 1 ];
			for ( int i = 0 ; i < linearCombinationReturns.Length - 1 ; i++ )
				if ( linearCombinationReturns[ i ] < 0 )
					// the current linear combination of tickers, at period i
					// has a negative return
					
					// go short tomorrow
					strategyReturns[ i ] = -linearCombinationReturns[ i + 1 ];
				else
					// the current linear combination of tickers, at period i
					// has a positive return
					
					// go long tomorrow
					strategyReturns[ i ] = linearCombinationReturns[ i + 1 ];
			return strategyReturns;
		}
		public double GetFitnessValue( Genome genome )
		{
			ICollection tickers =
				( ICollection )this.Decode( genome );
			double[] linearCombinationReturns =
				this.getFitnessValue_getLinearCombinationReturns(
				genome.Genes() );
			double[] strategyReturns =
				this.getFitnessValue_getStrategyReturnForCurrentCandidates(
				linearCombinationReturns );
			double fitnessValue =
				AdvancedFunctions.GetSharpeRatio(
				strategyReturns );
			return fitnessValue;
		}
		#endregion
		public Genome[] GetChilds( Genome parent1 , Genome parent2 )
		{
			return
				GenomeManipulator.MixGenesWithoutDuplicates(parent1, parent2);
		}

		public void Mutate( Genome genome , double mutationRate )
		{
			// in this implementation only one gene is mutated
			// the new value has to be different from all the other genes of the genome
			int newValueForGene = GenomeManagement.RandomGenerator.Next(
				genome.MinValueForGenes ,
				genome.MaxValueForGenes + 1 );
			int genePositionToBeMutated =
				GenomeManagement.RandomGenerator.Next( genome.Size ); 
			while( GenomeManipulator.IsTickerContainedInGenome(
				newValueForGene ,	genome )  )
				// the portfolio, in this implementation, 
				// can't have a long position and a short position
				// for the same ticker
			{
				newValueForGene = GenomeManagement.RandomGenerator.Next(
					genome.MinValueForGenes ,
					genome.MaxValueForGenes + 1 );
			}
			GenomeManagement.MutateOneGene( genome , mutationRate ,
				genePositionToBeMutated , newValueForGene );
		}
		#region Decode
		private string decode_getTickerCodeForLongOrShortTrade(int geneValue)
		{
			string initialCharForTickerCode = "";
			int position = geneValue;
			if( geneValue < 0 )
			{
				position = Math.Abs( geneValue ) - 1;
				initialCharForTickerCode = "-";
			}  
			return initialCharForTickerCode +
				( string )this.eligibleTickers.Rows[ position ][ 0 ];
		}
		public virtual object Decode(Genome genome)
		{
    	
			string[] arrayOfTickers = new string[genome.Genes().Length];
			int indexOfTicker;
			for(int index = 0; index < genome.Genes().Length; index++)
			{
				indexOfTicker = (int)genome.Genes().GetValue(index);
				arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
			}
//			MeaningForGenome meaning = new MeaningForGenome(arrayOfTickers,
//				this.PortfolioRatesOfReturn[this.portfolioRatesOfReturn.Length - 1],
//				this.RateOfReturn,
//				this.Variance);
			return arrayOfTickers;
      
		}
    #endregion
		public int GetNewGeneValue( Genome genome , int i )
		{
			// in this implementation new gene values must be different from
			// the others already stored in the given genome
			int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
				genome.MaxValueForGenes + 1);
			while(GenomeManipulator.IsTickerContainedInGenome(returnValue,
				genome) )
				//the portfolio can't have a long position and a short one for the same ticker
			{
				returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
					genome.MaxValueForGenes + 1);
			}

			return returnValue;
		}

	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankEndOfDayTimerHandler.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv21464

Added Files:
	WFMultiOneRankEndOfDayTimerHandler.cs 
Log Message:
Implements OneHourAfterMarketCloseEventHandler and FiveMinutesBeforeMarketCloseEventHandler.
This is the core strategy!


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

WFMultiOneRankEndOfDayTimerHandler.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;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Data.DataProviders;
using QuantProject.Scripts.SimpleTesting;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	public delegate void InSampleNewProgressEventHandler(
	Object sender , NewProgressEventArgs eventArgs );

	/// <summary>
	/// Implements OneHourAfterMarketCloseEventHandler and FiveMinutesBeforeMarketCloseEventHandler.
	/// This is the core strategy!
	/// </summary>
	public class WFMultiOneRankEndOfDayTimerHandler
	{
    private WFMultiOneRankEligibleTickers eligibleTickers;
		private WFMultiOneRankChosenTickers chosenTickers;

		private string tickerGroupID;
    private int numberEligibleTickers;
		private int numberOfPositionsToBeChosen;
		private int inSampleWindowDays;
		private int outOfSampleWindowDays;
		private Account account;
		private int generationNumberForGeneticOptimizer;
		private int populationSizeForGeneticOptimizer;


		private DateTime lastOptimizationDate;


		private HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;

		public event InSampleNewProgressEventHandler InSampleNewProgress;

		public int NumberEligibleTickers
		{
			get { return this.numberEligibleTickers; }
		}
		public int NumberOfTickersToBeChosen
		{
			get { return this.numberOfPositionsToBeChosen; }
		}
		public Account Account
		{
			get { return this.account; }
		}
		/// <summary>
		/// 
		/// </summary>
		/// <param name="numberEligibleTickers">number of tickers to be chosen with the first selection:
		/// the best performers will be chosen among these first selected instruments</param>
		/// <param name="numberBestPeformingTickers">number of instruments to be chosen, as the best
		/// performers, among the eligible tickers</param>
		/// <param name="numberOfTickersToBeChosen">number of instruments to be chosen,
		/// among the best performers</param>
		/// <param name="windowDays">number of days between two consecutive
		/// best performing ticker calculation</param>
		public WFMultiOneRankEndOfDayTimerHandler(
			string tickerGroupID ,
			int numberEligibleTickers ,
			int numberOfPositionsToBeChosen ,
			int inSampleWindowDays , int outOfSampleWindowDays ,
			Account account ,
			int generationNumberForGeneticOptimizer ,
			int populationSizeForGeneticOptimizer )
		{
			this.tickerGroupID = tickerGroupID;
			this.numberEligibleTickers = numberEligibleTickers;
			this.numberOfPositionsToBeChosen = numberOfPositionsToBeChosen;
			this.inSampleWindowDays = inSampleWindowDays;
			this.outOfSampleWindowDays = outOfSampleWindowDays;
			this.account = account;
			this.generationNumberForGeneticOptimizer =
				generationNumberForGeneticOptimizer;
			this.populationSizeForGeneticOptimizer =
				populationSizeForGeneticOptimizer;

			this.eligibleTickers =
				new WFMultiOneRankEligibleTickers( this.tickerGroupID ,
				numberEligibleTickers ,	inSampleWindowDays ,
				this.account.EndOfDayTimer );
			this.chosenTickers = new WFMultiOneRankChosenTickers(
				this.eligibleTickers , this.numberOfPositionsToBeChosen ,
				this.inSampleWindowDays ,	this.account.EndOfDayTimer ,
				this.generationNumberForGeneticOptimizer ,
				this. populationSizeForGeneticOptimizer );
			this.chosenTickers.NewProgress +=
				new NewProgressEventHandler( this.bestPerformingNewProgress );

			this.historicalAdjustedQuoteProvider =
				new HistoricalAdjustedQuoteProvider();
			this.lastOptimizationDate = DateTime.MinValue;
		}
		private EndOfDayDateTime now()
		{
			return this.account.EndOfDayTimer.GetCurrentTime();
		}
		private void bestPerformingNewProgress(
			Object sender , NewProgressEventArgs eventArgs )
		{
			this.InSampleNewProgress( sender , eventArgs );
		}
//		#region OneHourAfterMarketCloseEventHandler
//		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions(
//			IEndOfDayTimer endOfDayTimer )
//		{
//			foreach ( Position position in this.account.Portfolio )
//				if ( this.chosenTickers.Contains( position.Instrument.Key ) )
//				{
//					this.account.ClosePosition( position );
//				}
//		}
//		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker(
//			string ticker )
//		{
//			double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
//			long quantity =
//				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
//			Order order = new Order( OrderType.MarketBuy , new Instrument( ticker ) , quantity );
//			this.account.AddOrder( order );
//		}
//		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions()
//		{
//			foreach ( string ticker in this.chosenTickers.Keys )
//				if ( !this.account.Contains( ticker ) )
//				{
//					oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker( ticker );
//				}
//		}
//		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers(
//			IEndOfDayTimer endOfDayTimer )
//		{
//			this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions( endOfDayTimer );
//			this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions();
//		}
		private bool areBestTickersToBeChosen()
		{
			bool returnValue =
				( ( ( this.account.Portfolio.Count == 0 )
				&& ( ( this.lastOptimizationDate == DateTime.MinValue ) ) ) ||
				( this.now().DateTime >=
				this.lastOptimizationDate.AddDays( this.outOfSampleWindowDays ) ) );
			return returnValue;
		}
		/// <summary>
		/// Handles a "One hour after market close" event.
		/// </summary>
		/// <param name="sender"></param>
		/// <param name="eventArgs"></param>
		public void OneHourAfterMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( this.areBestTickersToBeChosen() )
				// the portfolio is empty and
				// either the lastOptimizationDate has not been set yet
				// or outOfSampleWindowDays elapsed since last optimization
			{
//				this.eligibleTickers.SetTickers( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime );
				this.eligibleTickers.SetTickers();
				this.chosenTickers.SetTickers( this.eligibleTickers );
				this.lastOptimizationDate = this.now().DateTime;
			}
//			oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
		}
//		#endregion
		#region FiveMinutesBeforeMarketCloseEventHandler
		private void fiveMinutesBeforeMarketCloseEventHandler_closePosition(
			string ticker )
		{
			this.account.ClosePosition( ticker );
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
		{
      ArrayList tickers = new ArrayList();
			foreach ( string ticker in this.account.Portfolio.Keys )
				tickers.Add( ticker );
			foreach ( string ticker in tickers )
				fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker );
		}
		private bool todayHigherThanYesterday( string ticker )
		{
			double todayMarketValueAtClose =
				this.account.DataStreamer.GetCurrentBid( ticker );
			EndOfDayDateTime yesterdayAtClose = new
				EndOfDayDateTime(
				this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
				EndOfDaySpecificTime.MarketClose );
			double yesterdayMarketValueAtClose =
				this.historicalAdjustedQuoteProvider.GetMarketValue(
				ticker , yesterdayAtClose );
			bool returnValue =
				( todayMarketValueAtClose > yesterdayMarketValueAtClose );
			return returnValue;
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
			string ticker )
		{
			double maxPositionValue = this.account.GetMarketValue() /
				this.numberOfPositionsToBeChosen;
			long sharesToBeTraded = OneRank.MaxBuyableShares( ticker ,
				maxPositionValue , this.account.DataStreamer );
			if ( this.todayHigherThanYesterday( ticker ) )
				// today close value for ticker is higher than yesterday
				// close for ticker
				this.account.AddOrder( new Order( OrderType.MarketBuy ,
					new Instrument( ticker ) , sharesToBeTraded ) );
			else
				// today close value for ticker is not higher than yesterday
				// close for ticker
				this.account.AddOrder( new Order( OrderType.MarketSellShort ,
					new Instrument( ticker ) , sharesToBeTraded ) );
		}
		private string getTicker( string signedTicker )
		{
			string returnValue;
			if ( signedTicker.IndexOf( "-" ) == 0 )
				returnValue = signedTicker.Substring( 1 , signedTicker.Length - 1 );
			else
				returnValue = signedTicker;
			return returnValue;
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
		{
			foreach ( string signedTicker in this.chosenTickers.Keys )
				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( 
					this.getTicker( signedTicker ) );
		}
		public void FiveMinutesBeforeMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
			fiveMinutesBeforeMarketCloseEventHandler_openPositions();
		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankEligibleTickers.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16448

Added Files:
	WFMultiOneRankEligibleTickers.cs 
Log Message:
Selects the tickers to among which best performers will be searched

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

WFMultiOneRankEligibleTickers.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.Data;

using QuantProject.Business.Timing;
using QuantProject.Data.Selectors;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	/// <summary>
	/// Selects the tickers to among which best performers will be searched
	/// </summary>
	public class WFMultiOneRankEligibleTickers
	{
		string tickerGroupID;
		private int numberEligibleTickersToBeChosen;
		private int numberDaysForPerformanceCalculation;
		private IEndOfDayTimer endOfDayTimer;

		private DataTable eligibleTickers;
		//		private int numDaysToComputeLiquidity = 10;

		public DataTable EligibleTickers
		{
			get { return this.eligibleTickers; }
		}
		public WFMultiOneRankEligibleTickers(
			string tickerGroupID ,
			int numberEligibleTickersToBeChosen ,
			int numberDaysForPerformanceCalculation ,
			IEndOfDayTimer endOfDayTimer )
		{
			this.tickerGroupID = tickerGroupID;
			this.numberEligibleTickersToBeChosen = numberEligibleTickersToBeChosen;
			this.numberDaysForPerformanceCalculation = numberDaysForPerformanceCalculation;
			this.endOfDayTimer = endOfDayTimer;
			this.eligibleTickers = new DataTable();
		}

		#region SetTickers
		private DataTable setTickers_build_getSelectedTickers()
		{
			DateTime dateTime = this.endOfDayTimer.GetCurrentTime().DateTime;
//			SelectorByGroup selectorByGroup =
//				new SelectorByGroup( "SP500" , dateTime );
			// use the following for fast test
			SelectorByGroup selectorByGroup =
				new SelectorByGroup( this.tickerGroupID , dateTime );
			DataTable eligibleTickers = selectorByGroup.GetTableOfSelectedTickers();
			
//			SelectorByLiquidity mostLiquid =
//				new SelectorByLiquidity("Test", false ,	dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime ,
//				this.numberEligibleTickersToBeChosen );
//			DataTable mostLiquidTickers =
//				mostLiquid.GetTableOfSelectedTickers();
			SelectorByQuotationAtEachMarketDay quotedInEachMarketDay = 
				new SelectorByQuotationAtEachMarketDay( eligibleTickers,
				false,	dateTime.AddDays( - this.numberDaysForPerformanceCalculation ) ,
				dateTime, this.numberEligibleTickersToBeChosen,"^SPX");
			return quotedInEachMarketDay.GetTableOfSelectedTickers();
		}
		private DataTable setTickers_buildQuickly_getSelectedTickers()
		{
			DataTable returnValue =
				new QuantProject.Data.DataTables.Tickers_tickerGroups( "millo" );
			returnValue.Columns[ 0 ].ColumnName = "tiTicker";
			return returnValue;
		}
		private void setTickers_build()
		{
			// for fast debug, comment the following line
			this.eligibleTickers = setTickers_build_getSelectedTickers();
			// for fast debug, uncomment the following line 
//			DataTable selectedTickers = setTickers_buildQuickly_getSelectedTickers();

//			foreach ( DataRow dataRow in this.eligibleTickers.Rows )
//				this.Add( dataRow[ "TickerId" ].ToString() ,
//					dataRow[ "TickerId" ].ToString() );
		}
		/// <summary>
		/// Populates the collection of eligible tickers
		/// </summary>
		/// <param name="dateTime"></param>
		public void SetTickers()
		{
			this.eligibleTickers.Clear();
			setTickers_build();
		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankChosenTickers.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16354

Added Files:
	WFMultiOneRankChosenTickers.cs 
Log Message:
Chooses the best linear combination of positions, with respect to the one rank strateg

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

WFMultiOneRankChosenTickers.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;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Timing;
using QuantProject.Scripts.WalkForwardTesting;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	/// <summary>
	/// Chooses the best linear combination of positions, with respect
	/// to the one rank strategy
	/// </summary>
	public class WFMultiOneRankChosenTickers : Hashtable , IProgressNotifier
	{
		private WFMultiOneRankEligibleTickers eligibleTickers;
		private int numberOfTickersInPortfolio;
		private int inSampleDays;
		private IEndOfDayTimer endOfDayTimer;
		private int generationNumberForGeneticOptimizer;
		private int populationSizeForGeneticOptimizer;

//		private ICollection chosenTickers;

		public WFMultiOneRankChosenTickers(
			WFMultiOneRankEligibleTickers eligibleTickers ,
			int numberOfTickersInPortfolio ,
			int inSampleDays ,
			IEndOfDayTimer endOfDayTimer ,
			int generationNumberForGeneticOptimizer ,
			int populationSizeForGeneticOptimizer
			)
		{
			this.eligibleTickers = eligibleTickers;
			this.numberOfTickersInPortfolio = numberOfTickersInPortfolio;
			this.inSampleDays = inSampleDays;
			this.endOfDayTimer = endOfDayTimer;
			this.generationNumberForGeneticOptimizer =
				generationNumberForGeneticOptimizer;
			this.populationSizeForGeneticOptimizer =
				populationSizeForGeneticOptimizer;
		}

		public event NewProgressEventHandler NewProgress;

		#region SetTickers
		private void newGenerationEventHandler(
			object sender , NewGenerationEventArgs e )
		{
			this.NewProgress( sender ,
				new NewProgressEventArgs( e.GenerationCounter , e.GenerationNumber ) );
		}
		private void setTickers_setTickersFromGenome(
			WFMultiOneRankGenomeManager genomeManager ,
			Genome genome )
		{
			string[] genomeMeaning = ( string[] )genomeManager.Decode( genome );
			foreach ( string signedTicker in genomeMeaning )
				this.Add( signedTicker , signedTicker );
		}
		public void SetTickers( WFMultiOneRankEligibleTickers eligibleTickers )
		{
			this.Clear();

			DateTime firstDate =
				this.endOfDayTimer.GetCurrentTime().DateTime.AddDays(
				-( this.inSampleDays - 1 ) );

			WFMultiOneRankGenomeManager genomeManager = 
				new WFMultiOneRankGenomeManager(
				eligibleTickers.EligibleTickers ,
				firstDate ,
				this.endOfDayTimer.GetCurrentTime().DateTime ,
				this.numberOfTickersInPortfolio ,
				0.0 );
        
			GeneticOptimizer geneticOptimizer = new GeneticOptimizer(
				genomeManager ,
				this.populationSizeForGeneticOptimizer ,
				this.generationNumberForGeneticOptimizer ,
				ConstantsProvider.SeedForRandomGenerator );

			geneticOptimizer.NewGeneration +=
				new NewGenerationEventHandler( this.newGenerationEventHandler );

			geneticOptimizer.Run( false );

			this.setTickers_setTickersFromGenome(
				genomeManager , geneticOptimizer.BestGenome );
		}
		#endregion

	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank RunWalkForwardMultiOneRank.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16012

Added Files:
	RunWalkForwardMultiOneRank.cs 
Log Message:
Script to test the One Rank strategy on many tickers, chosing the best group
when a fixed time span has elapsed.

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

RunWalkForwardOneRank.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.Data;
using System.Drawing;
using System.Threading;
using System.Windows.Forms;

using QuantProject.ADT;
using QuantProject.ADT.FileManaging;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Testing;
using QuantProject.Business.Timing;
using QuantProject.Data.DataProviders;
using QuantProject.Presentation.Reporting.WindowsForm;
using QuantProject.Scripts.SimpleTesting;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	/// <summary>
	/// Script to test the One Rank strategy on many tickers, chosing the best group
	/// when a fixed time span has elapsed.
	/// </summary>
	public class RunWalkForwardMultiOneRank : Script
	{
		private IHistoricalQuoteProvider historicalQuoteProvider;
    private ReportTable reportTable;

		private string tickerGroupID;
		private int numberEligibleTickers;
		private int numberOfPositionsToBeChosen;
		private int numberDaysForInSampleOptimization;
		private int numDaysBetweenEachOptimization;
		private int generationNumberForGeneticOptimizer;
		private int populationSizeForGeneticOptimizer;
		private string benchmark;
		private DateTime firstDateTime;
		private DateTime lastDateTime;
		private double maxRunningHours;

		private WFMultiOneRankEndOfDayTimerHandler endOfDayTimerHandler;

		private Account account;
		
		private IEndOfDayTimer endOfDayTimer;

		public RunWalkForwardMultiOneRank(
			string tickerGroupID ,
			int numberEligibleTickers ,
			int numberOfPositionsToBeChosen ,
			int numberDaysForInSampleOptimization ,
			int numDaysBetweenEachOptimization ,
			int generationNumberForGeneticOptimizer ,
			int populationSizeForGeneticOptimizer ,
			string benchmark ,
			DateTime firstDateTime ,
			DateTime lastDateTime ,
			double maxRunningHours )
		{
			this.tickerGroupID = tickerGroupID;
			this.numberEligibleTickers = numberEligibleTickers;
			this.numberOfPositionsToBeChosen = numberOfPositionsToBeChosen;
			this.numberDaysForInSampleOptimization = numberDaysForInSampleOptimization;
			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
			this.benchmark = benchmark;
			this.firstDateTime = firstDateTime;
			this.lastDateTime = lastDateTime;

			this.maxRunningHours = maxRunningHours;

			this.reportTable = new ReportTable( "Summary_Reports" );
		}

		public event NewProgressEventHandler InSampleNewProgress;
//		public event NewProgressEventHandler OutOfSampleNewProgress;

    #region Run
		private void run_initializeHistoricalQuoteProvider()
		{
			this.historicalQuoteProvider =
				new HistoricalAdjustedQuoteProvider();
		}
		private void run_initializeEndOfDayTimer()
		{
			EndOfDayDateTime endOfDayDateTime =
				new EndOfDayDateTime( firstDateTime ,
				EndOfDaySpecificTime.MarketOpen );
			this.endOfDayTimer =
				new IndexBasedEndOfDayTimer( endOfDayDateTime ,
					this.benchmark );
		}
		private void run_initializeAccount()
		{
			this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer ,
				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
					this.historicalQuoteProvider ) ,
				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
					this.historicalQuoteProvider ) );
		}
		private void run_initializeEndOfDayTimerHandler()
		{
			this.endOfDayTimerHandler =
				new WFMultiOneRankEndOfDayTimerHandler(
				this.tickerGroupID ,
				this.numberEligibleTickers ,
				this.numberOfPositionsToBeChosen ,
				this.numberDaysForInSampleOptimization ,
				this.numDaysBetweenEachOptimization ,
				this.account ,
				this.generationNumberForGeneticOptimizer ,
				this.populationSizeForGeneticOptimizer );
//			this.endOfDayTimerHandler = new EndOfDayTimerHandler( 4 , 3 , 2 , 100 , 30 ,
//				this.account );
		}
		private  void inSampleNewProgressEventHandler(
			Object sender , NewProgressEventArgs eventArgs )
		{
			if ( !(this.InSampleNewProgress == null) )
				this.InSampleNewProgress( this , eventArgs );
			Console.WriteLine(
				eventArgs.CurrentProgress.ToString() + " / " +
				eventArgs.Goal.ToString() +
				" - " +
				DateTime.Now.ToString() );
		}
//		private void run_initializeProgressBar_newThread()
//		{
//			this.progressBarForm = new ProgressBarForm( this );
//			this.progressBarForm.ShowDialog();
//		}
//		private void run_initializeProgressBar()
//		{
//			Thread thread = new Thread(new ThreadStart(run_initializeProgressBar_newThread));
////			thread.IsBackground = true;
//			thread.Start();
//		}
		private void run_initializeProgressHandlers()
		{
			this.endOfDayTimerHandler.InSampleNewProgress +=
				new InSampleNewProgressEventHandler( this.inSampleNewProgressEventHandler );
		}
		#region oneHourAfterMarketCloseEventHandler
		//		private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
		//			IEndOfDayTimer endOfDayTimer )
		//		{
		//			long elapsedDays = Convert.ToInt64( ((TimeSpan)( endOfDayTimer.GetCurrentTime().DateTime - 
		//				this.startDateTime.DateTime )).TotalDays );
		//			double totalDays = Convert.ToDouble( ((TimeSpan)( this.endDateTime.DateTime - 
		//				this.startDateTime.DateTime )).TotalDays + 1);
		//			if ( Math.Floor( elapsedDays / totalDays * 100 ) >
		//				Math.Floor( ( elapsedDays - 1 ) / totalDays * 100 ) )
		//			{
		//				// a new out of sample time percentage point has been elapsed
		//				int currentProgress = Convert.ToInt16( Math.Floor( elapsedDays / totalDays * 100 ) );
		//				NewProgressEventArgs newProgressEventArgs =
		//					new NewProgressEventArgs( currentProgress , 100 );
		//				this.OutOfSampleNewProgress( this , newProgressEventArgs );
		//			}
		//		}
		private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
			IEndOfDayTimer endOfDayTimer )
		{
			string progress = "Current out of sample date:" +
				endOfDayTimer.GetCurrentTime().DateTime.ToString() + " - " +
				"First date:" + this.firstDateTime.ToString() + " - " +
				"Last date:" + this.lastDateTime.ToString();
			Console.WriteLine( progress );
		}
		public void marketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( this.account.Transactions.Count == 0 )
				this.account.AddCash( 30000 );
		}
		#region oneHourAfterMarketCloseEventHandler
		private void showOneRankForm( object sender ,
			MouseEventArgs eventArgs )
		{
			DataGrid dataGrid = (DataGrid)sender;
			Point point = new Point( eventArgs.X , eventArgs.Y );
			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
			DataTable dataTable = (DataTable)dataGrid.DataSource;
			DataRow dataRow = dataTable.Rows[ hitTestInfo.Row ];
			//			MessageBox.Show( dataRow[ "DateTime" ].ToString() );
			DateTime rowDateTime = (DateTime)dataRow[ "DateTime" ];
			string rowTicker = (string)dataRow[ "InstrumentKey"];
			OneRankForm oneRankForm = new OneRankForm();
			oneRankForm.FirstDateTime =
				rowDateTime.AddDays( -this.numberDaysForInSampleOptimization );
			oneRankForm.LastDateTime = rowDateTime;
			oneRankForm.Ticker = rowTicker;
			oneRankForm.Show();
		}
		private void mouseEventHandler( object sender , MouseEventArgs eventArgs )
		{
			if ( eventArgs.Button == MouseButtons.Right )
				this.showOneRankForm( sender , eventArgs );
		}
		#endregion
		public void oneHourAfterMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
				this.lastDateTime )
			{
				// the simulation has reached the ending date
				this.account.EndOfDayTimer.Stop();
//				this.progressBarForm.Close();
//				ObjectArchiver.Archive( this.account ,
//					@"C:\Documents and Settings\Glauco\Desktop\reports\final.qP" );
				Report report = new Report( this.account , this.historicalQuoteProvider );
				report.Create( "WFT One Rank" , 1 ,
					new EndOfDayDateTime( this.lastDateTime ,
					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
					this.benchmark );
				report.TransactionGrid.MouseUp +=
					new MouseEventHandler( this.mouseEventHandler );
				report.Show();
			}
			else
				// the simulation has not reached the ending date, yet
				this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
					( IEndOfDayTimer )sender );
		}
		#endregion
		private void run_addEventHandlers()
		{
			this.endOfDayTimer.MarketOpen +=
				new MarketOpenEventHandler( this.marketOpenEventHandler );
			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
				new FiveMinutesBeforeMarketCloseEventHandler(
				this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
			this.endOfDayTimer.OneHourAfterMarketClose +=
				new OneHourAfterMarketCloseEventHandler(
				this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
			this.endOfDayTimer.OneHourAfterMarketClose +=
				new OneHourAfterMarketCloseEventHandler(
				this.oneHourAfterMarketCloseEventHandler );
		}
		public override void Run()
		{
			run_initializeHistoricalQuoteProvider();
			run_initializeEndOfDayTimer();
			run_initializeAccount();
			run_initializeEndOfDayTimerHandler();
//			run_initializeProgressBar();
			run_initializeProgressHandlers();
			run_addEventHandlers();
//			this.progressBarForm.Show();
			this.endOfDayTimer.Start();
		}
    #endregion
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15846/WalkForwardMultiOneRank

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank added to the repository

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15393/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:

The walk forward one rank on multiple tickers has been added. Namely:

- WalkForwardTesting\WalkForwardMultiOneRank\RunWalkForwardMultiOneRank.cs has been added
- WalkForwardTesting\WalkForwardMultiOneRank\WFMultiOneRankChosenTickers.cs has been added
- WalkForwardTesting\WalkForwardMultiOneRank\WFMultiOneRankEligibleTickers.cs has been added
- WalkForwardTesting\WalkForwardMultiOneRank\WFMultiOneRankEndOfDayTimerHandler.cs has been added
- WalkForwardTesting\WalkForwardMultiOneRank\WFMultiOneRankGenomeManager.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.42
retrieving revision 1.43
diff -C2 -d -r1.42 -r1.43
*** b7_Scripts.csproj	8 Nov 2005 18:59:02 -0000	1.42
--- b7_Scripts.csproj	12 Nov 2005 18:35:02 -0000	1.43
***************
*** 349,352 ****
--- 349,357 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\IWalkForwardProgressNotifier.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\GenomeRepresentation.cs"
                      SubType = "Code"
***************
*** 414,438 ****
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\BestPerformingTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\ChosenTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\ComparableAccount.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\EligibleTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\IWalkForwardProgressNotifier.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
--- 419,463 ----
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\RunWalkForwardMultiOneRank.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\WFMultiOneRankChosenTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\WFMultiOneRankEligibleTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\WFMultiOneRankEndOfDayTimerHandler.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\WFMultiOneRankGenomeManager.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\BestPerformingTickers.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\ChosenTickers.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\ComparableAccount.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "WalkForwardTesting\WalkForwardOneRank\EligibleTickers.cs"
                      SubType = "Code"
                      BuildAction = "Compile"

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.41,1.42

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv31995/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Added GenomeManagerForWeightedEfficientPortfolio to the project.

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.41
retrieving revision 1.42
diff -C2 -d -r1.41 -r1.42
*** b7_Scripts.csproj	23 Oct 2005 19:04:29 -0000	1.41
--- b7_Scripts.csproj	8 Nov 2005 18:59:02 -0000	1.42
***************
*** 244,247 ****
--- 244,252 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\GenomeManagerForWeightedEfficientPortfolio.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TickerSelectionTesting\GenomeManipulator.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b3_Data Data.prjx,1.8,1.9

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26929/b3_Data

Modified Files:
	Data.prjx 
Log Message:
Updated #develop project files

Index: Data.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Data.prjx,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** Data.prjx	3 Aug 2005 18:59:57 -0000	1.8
--- Data.prjx	8 Nov 2005 18:43:18 -0000	1.9
***************
*** 32,36 ****
      <File name=".\Selectors\SelectorByAverageRawOpenPrice.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\Selectors\TickerSelector.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
-     <File name=".\QuantProject.Applications.Downloader.TickerSelectors.TickerSelectorForm.resources" subtype="Code" buildaction="EmbedAsResource" dependson="" data="" />
      <File name=".\Selectors\SelectorByWinningOpenToClose.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\Selectors\SelectorByOpenCloseCorrelationToBenchmark.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
--- 32,35 ----

[Quantproject-developers] QuantProject/b7_Scripts Scripts.prjx,1.14,1.15

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26929/b7_Scripts

Modified Files:
	Scripts.prjx 
Log Message:
Updated #develop project files

Index: Scripts.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts.prjx,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** Scripts.prjx	21 Oct 2005 18:07:45 -0000	1.14
--- Scripts.prjx	8 Nov 2005 18:43:18 -0000	1.15
***************
*** 70,74 ****
      <File name=".\TickerSelectionTesting\SimpleSelection\RunSimpleSelection.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\WalkForwardTesting\WalkForwardOneRank\MyEndOfDayTimerHandler.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
!     <File name=".\TickerSelectionTesting\MeaningForGenome.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>
--- 70,75 ----
      <File name=".\TickerSelectionTesting\SimpleSelection\RunSimpleSelection.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\WalkForwardTesting\WalkForwardOneRank\MyEndOfDayTimerHandler.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
!     <File name=".\TickerSelectionTesting\GenomeMeaning.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
!     <File name=".\TickerSelectionTesting\GenomeManagerForWeightedEfficientPortfolio.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b1_ADT ConstantsProvider.cs,1.14,1.15

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25246/b1_ADT

Modified Files:
	ConstantsProvider.cs 
Log Message:
Adde constant for minimum weight for tickers chosen by GeneticOptimizer based on IGenomeManager deriving from GenomeManagerForEfficientPortfolio.

Index: ConstantsProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ConstantsProvider.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** ConstantsProvider.cs	27 Aug 2005 19:20:26 -0000	1.14
--- ConstantsProvider.cs	8 Nov 2005 18:38:07 -0000	1.15
***************
*** 39,43 ****
      public static DateTime DefaultDateForTickersAddedToGroups = new DateTime(1980,1,1);
      //conventional date for new tickers added to groups 
!                                                         
      
  	}
--- 39,44 ----
      public static DateTime DefaultDateForTickersAddedToGroups = new DateTime(1980,1,1);
      //conventional date for new tickers added to groups 
!     public static double MinimumPortfolioWeightForTicker = 0.10;
!     //default minimum weight for ticker, used by GenomeManagerForWeightedEfficientPortfolio                                                    
      
  	}

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientCTOPortfolio.cs,1.22,1.23 GenomeManagerForEfficientCTOPortfolio.cs,1.13,1.14 GenomeManagerForEfficientCTCPortfolio.cs,1.9,1.10 EndOfDayTimerHandlerOTCMultiday.cs,1.2,1.3 EndOfDayTimerHandlerOTCCTO.cs,1.1,1.2 EndOfDayTimerHandlerCTO.cs,1.20,1.21 EndOfDayTimerHandlerCTCWeekly.cs,1.4,1.5 EndOfDayTimerHandlerCTC.cs,1.16,1.17 EndOfDayTimerHandler.cs,1.17,1.18

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24791/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunEfficientCTOPortfolio.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	GenomeManagerForEfficientCTCPortfolio.cs 
	EndOfDayTimerHandlerOTCMultiday.cs 
	EndOfDayTimerHandlerOTCCTO.cs EndOfDayTimerHandlerCTO.cs 
	EndOfDayTimerHandlerCTCWeekly.cs EndOfDayTimerHandlerCTC.cs 
	EndOfDayTimerHandler.cs 
Log Message:
Added GenomeManagerForWeightedEfficientPortfolio to the project.
Updated script files for managing weights returned by the new Meaning implementation for genomes.

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** EndOfDayTimerHandler.cs	18 Sep 2005 21:13:36 -0000	1.17
--- EndOfDayTimerHandler.cs	8 Nov 2005 18:36:48 -0000	1.18
***************
*** 46,49 ****
--- 46,50 ----
      protected DataTable eligibleTickers;
      protected string[] chosenTickers;
+     protected double[] chosenTickersPortfolioWeights;
      protected string[] lastOrderedTickers;
      
***************
*** 118,121 ****
--- 119,123 ----
        this.targetReturn = targetReturn;
        this.portfolioType = portfolioType;
+       this.setDefaultChosenTickersPortfolioWeights();
        
      }
***************
*** 134,144 ****
        this.lastOrderedTickers = new string[chosenTickers.Length];
        this.portfolioType = portfolioType;
      }
      
!     protected virtual void addOrderForTicker(string ticker )
      {
      	string tickerCode = 
!     			GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!       double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( tickerCode ) ) );
--- 136,155 ----
        this.lastOrderedTickers = new string[chosenTickers.Length];
        this.portfolioType = portfolioType;
+       this.setDefaultChosenTickersPortfolioWeights();
      }
      
!     private void setDefaultChosenTickersPortfolioWeights()
!     {
!     	this.chosenTickersPortfolioWeights = new double[this.chosenTickers.Length];
!     	for(int i = 0;i<this.chosenTickers.Length;i++)
!     		this.chosenTickersPortfolioWeights[i]=1.0/this.chosenTickers.Length;
! 		}
!      
!     protected virtual void addOrderForTicker(int tickerPosition )
      {
      	string tickerCode = 
!     		GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.chosenTickers[tickerPosition]);
!       double cashForSinglePosition = 
!       	this.account.CashAmount * this.chosenTickersPortfolioWeights[tickerPosition];
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( tickerCode ) ) );
***************
*** 146,150 ****
        if(this.portfolioType == PortfolioType.OnlyShort ||
           		(this.portfolioType == PortfolioType.ShortAndLong &&
!               ticker != tickerCode))
          order = new Order( OrderType.MarketSellShort, new Instrument( tickerCode ) , quantity );  
        else      		
--- 157,161 ----
        if(this.portfolioType == PortfolioType.OnlyShort ||
           		(this.portfolioType == PortfolioType.ShortAndLong &&
!           this.chosenTickers[tickerPosition] != tickerCode))
          order = new Order( OrderType.MarketSellShort, new Instrument( tickerCode ) , quantity );  
        else      		
***************
*** 180,193 ****
      protected virtual void addChosenTickersToOrderList()
      {
!       int idx = 0;
!       foreach ( string ticker in this.chosenTickers )
        {
!         if(ticker != null)
          {  
!           this.addOrderForTicker( ticker );
!           this.lastOrderedTickers[idx] = 
!           		GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
          }
-         idx++;
        }
      }
--- 191,202 ----
      protected virtual void addChosenTickersToOrderList()
      {
!       for( int i = 0; i<this.chosenTickers.Length; i++)
        {
!       	if(this.chosenTickers[i] != null)
          {  
!           this.addOrderForTicker( i );
!           this.lastOrderedTickers[i] = 
!           	GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.chosenTickers[i]);
          }
        }
      }

Index: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** GenomeManagerForEfficientCTCPortfolio.cs	27 Jul 2005 22:30:55 -0000	1.9
--- GenomeManagerForEfficientCTCPortfolio.cs	8 Nov 2005 18:36:48 -0000	1.10
***************
*** 109,112 ****
--- 109,120 ----
      }
  		*/
+ 		
+ 		//sharpe ratio as fitness
+ 		/*
+ 		protected override double getFitnessValue_calculate()
+     {
+ 			return this.RateOfReturn/Math.Sqrt(this.Variance);
+     }
+ 		*/
    }
  

Index: EndOfDayTimerHandlerOTCCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCCTO.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerOTCCTO.cs	21 Oct 2005 18:07:45 -0000	1.1
--- EndOfDayTimerHandlerOTCCTO.cs	8 Nov 2005 18:36:48 -0000	1.2
***************
*** 106,110 ****
        this.reverseSignOfChosenTickers();
        this.openPositions();
! 
      }
      
--- 106,110 ----
        this.reverseSignOfChosenTickers();
        this.openPositions();
!       this.reverseSignOfChosenTickers();
      }
      
***************
*** 179,183 ****
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = (string[])GO.BestGenome.Meaning;
        }
        //else it will be buyed again the previous optimized portfolio
--- 179,183 ----
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
        }
        //else it will be buyed again the previous optimized portfolio

Index: EndOfDayTimerHandlerOTCMultiday.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCMultiday.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerOTCMultiday.cs	23 Oct 2005 19:09:04 -0000	1.2
--- EndOfDayTimerHandlerOTCMultiday.cs	8 Nov 2005 18:36:48 -0000	1.3
***************
*** 182,188 ****
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         //this.chosenTickers = ((MeaningForGenome)GO.BestGenome.Meaning).Tickers;
!         this.chosenTickers =
!         	this.setTickers_getBestTickersLosingAtLastDay(genManEfficientCTOPortfolio);
        }
        //else it will be buyed again the previous optimized portfolio
--- 182,189 ----
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
!         this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
!         //this.chosenTickers =
!         //	this.setTickers_getBestTickersLosingAtLastDay(genManEfficientCTOPortfolio);
        }
        //else it will be buyed again the previous optimized portfolio

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** GenomeManagerForEfficientCTOPortfolio.cs	25 Jul 2005 22:49:54 -0000	1.13
--- GenomeManagerForEfficientCTOPortfolio.cs	8 Nov 2005 18:36:48 -0000	1.14
***************
*** 38,42 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientCTOPortfolio : GenomeManagerForEfficientPortfolio
    {
      
--- 38,42 ----
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientCTOPortfolio : GenomeManagerForWeightedEfficientPortfolio
    {
      
***************
*** 67,71 ****
        return returnValue;
      }
!     /*
      protected override double getFitnessValue_calculate()
      {
--- 67,71 ----
        return returnValue;
      }
!     /*using LPM
      protected override double getFitnessValue_calculate()
      {
***************
*** 96,99 ****
--- 96,106 ----
      }
      */
+     
+     protected override double getFitnessValue_calculate()
+     {
+       return this.RateOfReturn/Math.Sqrt(this.Variance);
+     }
+     
+     
    }
  

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** EndOfDayTimerHandlerCTO.cs	23 Oct 2005 19:09:04 -0000	1.20
--- EndOfDayTimerHandlerCTO.cs	8 Nov 2005 18:36:48 -0000	1.21
***************
*** 163,166 ****
--- 163,167 ----
                                      currentDate);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
+         this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
        }
        //else it will be buyed again the previous optimized portfolio

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** EndOfDayTimerHandlerCTC.cs	23 Oct 2005 19:09:04 -0000	1.16
--- EndOfDayTimerHandlerCTC.cs	8 Nov 2005 18:36:48 -0000	1.17
***************
*** 178,181 ****
--- 178,182 ----
                                      currentDate);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
+         this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
        }
        //else it will be buyed again the previous optimized portfolio

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.22
retrieving revision 1.23
diff -C2 -d -r1.22 -r1.23
*** RunEfficientCTOPortfolio.cs	18 Sep 2005 21:13:36 -0000	1.22
--- RunEfficientCTOPortfolio.cs	8 Nov 2005 18:36:48 -0000	1.23
***************
*** 71,75 ****
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "OpenCloseScripts";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      }
--- 71,76 ----
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "OpenCloseScriptsSharpeRatioWithCoeff";
!       //this.ScriptName = "OpenCloseScriptsSharpeRatio";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      }
***************
*** 105,110 ****
      protected override void run_initializeHistoricalQuoteProvider()
      {
!       this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
!       //this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
      }
      
--- 106,111 ----
      protected override void run_initializeHistoricalQuoteProvider()
      {
!       //this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
      }
      

Index: EndOfDayTimerHandlerCTCWeekly.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTCWeekly.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerCTCWeekly.cs	23 Oct 2005 19:09:04 -0000	1.4
--- EndOfDayTimerHandlerCTCWeekly.cs	8 Nov 2005 18:36:48 -0000	1.5
***************
*** 153,156 ****
--- 153,157 ----
          GO.Run(false);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
+         this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
        }
        //else it will be buyed again the previous optimized portfolio

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23922/b7_Scripts/TickerSelectionTesting

Added Files:
	GenomeManagerForWeightedEfficientPortfolio.cs 
Log Message:
Added GenomeManagerForWeightedEfficientPortfolio to the project.

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

GenomeManagerForWeightedEfficientPortfolio.cs
Copyright (C) 2003 
Marco Milletti

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

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

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

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

namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
  /// <summary>
  /// This is the base class implementing IGenomeManager, in order to find
  /// efficient portfolios in which tickers are weighted differently
  /// </summary>
  [Serializable]
  public class GenomeManagerForWeightedEfficientPortfolio : GenomeManagerForEfficientPortfolio
  {
    public GenomeManagerForWeightedEfficientPortfolio(DataTable setOfInitialTickers,
      DateTime firstQuoteDate,
      DateTime lastQuoteDate,
      int numberOfTickersInPortfolio,
      double targetPerformance,
      PortfolioType portfolioType):base(setOfInitialTickers,
                                        firstQuoteDate,
                                        lastQuoteDate,
                                        numberOfTickersInPortfolio,
                                        targetPerformance,
                                        portfolioType)
                          
    {
      this.genomeSize = 2*this.genomeSize;
      //at even position the gene is used for finding
      //the coefficient for the ticker represented at the next odd position
    }
    
    #region override getPortfolioRatesOfReturn
    
    protected override double getTickerWeight(int[] genes, int tickerPositionInGenes)
    {
      double totalReturnedByWeights = 
        (1.0-ConstantsProvider.MinimumPortfolioWeightForTicker*genes.Length/2)/ConstantsProvider.MinimumPortfolioWeightForTicker;
      int totalOfAbsoluteValuesForWeightsInGenes = 0;
      for(int j = 0; j<genes.Length; j++)
      {
        if(j%2==0)
          //ticker weight is contained in genes at even position
          totalOfAbsoluteValuesForWeightsInGenes += (int)Math.Abs(genes[j]);
      }
      double min = ConstantsProvider.MinimumPortfolioWeightForTicker;

      return min*(1.0 + totalReturnedByWeights * Math.Abs(genes[tickerPositionInGenes-1])/totalOfAbsoluteValuesForWeightsInGenes);
    }
 
    protected override double[] getPortfolioRatesOfReturn(int[] genes)
    {
      double[] returnValue = new double[this.numberOfExaminedReturns];
      for(int i = 0; i<returnValue.Length; i++)    
      {  
        for(int j = 0; j<genes.Length; j++)
        {
        	if(j%2==1)
        	//ticker ID is contained in genes at odd position
	        	returnValue[i] +=
	        	this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(genes,j,i);
        }
      }
      return returnValue;
    }

    #endregion

    #region override Decode

    public override object Decode(Genome genome)
    {
      string[] arrayOfTickers = new string[genome.Genes().Length/2];
      double[] arrayOfTickersWeights = new double[genome.Genes().Length/2];
      int indexOfTicker;
      int i = 0;//for the arrayOfTickers
      for(int index = 0; index < genome.Genes().Length; index++)
      {
        if(index%2==1)
          //indexForTicker is contained in genes at odd position
        {
          indexOfTicker = (int)genome.Genes().GetValue(index);
          arrayOfTickers[i] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
          arrayOfTickersWeights[i] = this.getTickerWeight(genome.Genes(), index);
          i++;
        }
      }
      GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers,
																				        arrayOfTickersWeights,
																				        this.PortfolioRatesOfReturn[this.portfolioRatesOfReturn.Length - 1],
																				        this.RateOfReturn,
																				        this.Variance);
      return meaning;
      
    }
    #endregion

    public override Genome[] GetChilds(Genome parent1, Genome parent2)
    {
      return
        GenomeManipulator.MixGenesWithoutDuplicates(parent1, parent2);
    }
    
    public override int GetNewGeneValue(Genome genome, int genePosition)
    {
      // in this implementation only new gene values pointing to tickers
      // must be different from the others already stored (in odd positions of genome)
      int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
        																											genome.MaxValueForGenes + 1);
      while(genePosition%2 == 1 
            && GenomeManipulator.IsTickerContainedInGenome(returnValue,genome))
      //while in the given position has to be stored
      //a new gene pointing to a ticker and
      //the proposed returnValue points to a ticker
      //already stored in the given genome
      {
        // a new returnValue has to be generated
      	returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
          genome.MaxValueForGenes + 1);
      }

      return returnValue;
    }
        
    public override void Mutate(Genome genome, double mutationRate)
    {
      // in this implementation only one gene is mutated
      int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
        genome.MaxValueForGenes +1);
      int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
      while(genePositionToBeMutated%2 == 1 &&
            GenomeManipulator.IsTickerContainedInGenome(newValueForGene,genome))
      //while in the proposed genePositionToBeMutated has to be stored
      //a new gene pointing to a ticker and
      //the proposed newValueForGene points to a ticker
      //already stored in the given genome
      {
        newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
          genome.MaxValueForGenes + 1);
      }
      GenomeManagement.MutateOneGene(genome, mutationRate,
        genePositionToBeMutated, newValueForGene);
    }

  }

}

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToClose.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23365/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

Modified Files:
	RunTestingOptimizationOpenToClose.cs 
Log Message:
no message

Index: RunTestingOptimizationOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** RunTestingOptimizationOpenToClose.cs	23 Oct 2005 19:05:37 -0000	1.5
--- RunTestingOptimizationOpenToClose.cs	8 Nov 2005 18:32:43 -0000	1.6
***************
*** 136,145 ****
          }
          DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
!         Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
!           dateOutOfSample);
!         returnValue += 
!           (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
!           tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
! 	 			
        }
        return returnValue/genome.Size;
--- 136,163 ----
          }
          DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
!         //returnValue is the single return for the numDaysAfterLastOptimizationDay - th day
!         //after the given market date
!         
!         //Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
!         //  															 dateOutOfSample);
!         
!         //returnValue +=
!         //  (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
!         //  tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
! 	 			//
!         //returnValue is the average return for the interval between
! 	 			//the given market date and the numDaysAfterLastOptimizationDay - th
! 	 			//day after the given market date
! 	 			Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!           															 dateOutOfSample);
!         double close, open;
! 	 			for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 	 			{
! 		      close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
! 		      open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
! 	 				returnValue +=
! 		      	(close/open - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
! 		      	
! 	 			}
        }
        return returnValue/genome.Size;