quantproject-developers

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5128/b7_Scripts/TickerSelectionTesting/SimpleSelection

Modified Files:
	CandidatePropertiesForSimpleSelection.cs 
Log Message:
Fitness is now computed through sharpe ratio formula

Index: CandidatePropertiesForSimpleSelection.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/CandidatePropertiesForSimpleSelection.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** CandidatePropertiesForSimpleSelection.cs	21 Oct 2005 17:54:11 -0000	1.1
--- CandidatePropertiesForSimpleSelection.cs	14 May 2006 18:38:03 -0000	1.2
***************
*** 44,53 ****
      }
    
      public override void setFitness()
      {
!       NormalDistribution normal = 
!          new NormalDistribution(BasicFunctions.SimpleAverage(this.ArrayOfRatesOfReturn),
!                                 BasicFunctions.StdDev(this.ArrayOfRatesOfReturn));
!       this.fitness = 1-normal.GetProbability(this.targetPerformance);
      }
    }
--- 44,59 ----
      }
    
+ //    public override void setFitness()
+ //    {
+ //      NormalDistribution normal = 
+ //         new NormalDistribution(BasicFunctions.SimpleAverage(this.ArrayOfRatesOfReturn),
+ //                                BasicFunctions.StdDev(this.ArrayOfRatesOfReturn));
+ //      this.fitness = 1-normal.GetProbability(this.targetPerformance);
+ //    }
+     //sharpe ratio as fitness
      public override void setFitness()
      {
!       this.fitness = BasicFunctions.SimpleAverage(this.ArrayOfRatesOfReturn)/
!                       BasicFunctions.StdDev(this.ArrayOfRatesOfReturn);
      }
    }