Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv304
Added Files:
RunWalkForwardLinearCombination.cs
Log Message:
Walk Forward test for the linear combination strategy
--- NEW FILE: RunWalkForwardLinearCombination.cs ---
/*
QuantProject - Quantitative Finance Library
RunWalkForwardLinearCombination.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.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;
using QuantProject.Business.Timing;
using QuantProject.Presentation.Reporting.WindowsForm;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
/// <summary>
/// Walk Forward test for the linear combination strategy
/// </summary>
public class RunWalkForwardLinearCombination
{
private string tickerGroupID;
private int numDaysForInSampleOptimization;
private int numberOfEligibleTickers;
private int numberOfTickersToBeChosen;
private int numDaysForLiquidity;
private int generationNumberForGeneticOptimizer;
private int populationSizeForGeneticOptimizer;
private string benchmark;
private DateTime firstDate;
private DateTime lastDate;
private double targetReturn;
private PortfolioType portfolioType;
private bool openToCloseDaily;
private IHistoricalQuoteProvider historicalQuoteProvider;
private HistoricalEndOfDayTimer historicalEndOfDayTimer;
private Account account;
private IEndOfDayStrategy endOfDayStrategy;
public RunWalkForwardLinearCombination(string tickerGroupID,
int numDaysForInSampleOptimization ,
int numberOfEligibleTickers,
int numberOfTickersToBeChosen, int numDaysForLiquidity,
int generationNumberForGeneticOptimizer,
int populationSizeForGeneticOptimizer, string benchmark,
DateTime firstDate, DateTime lastDate, double targetReturn,
PortfolioType portfolioType ,
bool openToCloseDaily )
{
this.tickerGroupID = tickerGroupID;
this.numDaysForInSampleOptimization = numDaysForInSampleOptimization;
this.numberOfEligibleTickers = numberOfEligibleTickers;
this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
this.numDaysForLiquidity = numDaysForLiquidity;
this.generationNumberForGeneticOptimizer =
generationNumberForGeneticOptimizer;
this.populationSizeForGeneticOptimizer =
populationSizeForGeneticOptimizer;
this.benchmark = benchmark;
this.firstDate = firstDate;
this.lastDate = lastDate;
this.targetReturn = targetReturn;
this.portfolioType = portfolioType;
this.openToCloseDaily = openToCloseDaily;
}
private void oneHourAfterMarketCloseEventHandler( Object sender ,
EndOfDayTimingEventArgs endOfDayTimingEventArgs )
{
if ( this.account.EndOfDayTimer.GetCurrentTime().DateTime >=
this.lastDate )
this.account.EndOfDayTimer.Stop();
}
private void run_setHistoricalQuoteProvider()
{
if ( this.openToCloseDaily )
this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
else
this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
}
private void run_setStrategy()
{
if ( this.openToCloseDaily )
this.endOfDayStrategy =
new WalkForwardOpenToCloseDailyStrategy(
this.account , this.tickerGroupID ,
this.numDaysForInSampleOptimization ,
this.numberOfEligibleTickers ,
this.numberOfTickersToBeChosen ,
this.benchmark , this.targetReturn , this.portfolioType ,
this.populationSizeForGeneticOptimizer ,
this.generationNumberForGeneticOptimizer );
// else
// this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
// this.account , this.signedTickers );
}
public void Run()
{
this.historicalEndOfDayTimer =
new IndexBasedEndOfDayTimer(
new EndOfDayDateTime( this.firstDate ,
EndOfDaySpecificTime.MarketOpen ) , "DYN" );
run_setHistoricalQuoteProvider();
this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
this.historicalQuoteProvider ) ,
new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
this.historicalQuoteProvider ) );
run_setStrategy();
// OneRank oneRank = new OneRank( account ,
// this.endDateTime );
this.historicalEndOfDayTimer.MarketOpen +=
new MarketOpenEventHandler(
this.endOfDayStrategy.MarketOpenEventHandler );
this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
new FiveMinutesBeforeMarketCloseEventHandler(
this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
new OneHourAfterMarketCloseEventHandler(
this.endOfDayStrategy.OneHourAfterMarketCloseEventHandler );
this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
new OneHourAfterMarketCloseEventHandler(
this.oneHourAfterMarketCloseEventHandler );
this.account.EndOfDayTimer.Start();
Report report = new Report( this.account , this.historicalQuoteProvider );
report.Create( "Linear Combination" , 1 ,
new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
"^SPX" );
// ObjectArchiver.Archive( report.AccountReport ,
// @"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" );
report.Show();
}
}
}
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