Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18104/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
Modified Files:
WFLagChosenPositionsDebugInfo.cs
Log Message:
- a WFLagLog parameter has been added to the WFLagChosenPositionsDebugInfo constructor
- the InSampleDays property has been added
- the InSampleSharpeRatio property has been added
- the PreSampleSharpeRatio30 property has been added
- the PostSampleSharpeRatio30 property has been added
- the InSampleDays property has been added
- the InSampleDays property has been added
- the InSampleDays property has been added
Index: WFLagChosenPositionsDebugInfo.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagChosenPositionsDebugInfo.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagChosenPositionsDebugInfo.cs 24 Jun 2006 14:49:54 -0000 1.1
--- WFLagChosenPositionsDebugInfo.cs 29 Jun 2006 17:46:49 -0000 1.2
***************
*** 31,34 ****
--- 31,38 ----
{
private WFLagChosenPositions wFLagChosenPositions;
+ private WFLagLog wFLagLog;
+ private double inSampleSharpeRatio;
+ private double preSampleSharpeRatio30;
+ private double postSampleSharpeRatio30;
public string DrivingPositions
***************
*** 44,48 ****
get { return this.wFLagChosenPositions.LastOptimizationDate; }
}
! public WFLagChosenPositionsDebugInfo( WFLagChosenPositions wFLagChosenPositions )
{
//
--- 48,70 ----
get { return this.wFLagChosenPositions.LastOptimizationDate; }
}
! public int InSampleDays
! {
! get { return this.wFLagLog.InSampleDays; }
! }
! public double InSampleSharpeRatio
! {
! get { return this.inSampleSharpeRatio; }
! }
! public double PreSampleSharpeRatio30
! {
! get { return this.preSampleSharpeRatio30; }
! }
! public double PostSampleSharpeRatio30
! {
! get { return this.postSampleSharpeRatio30; }
! }
! public WFLagChosenPositionsDebugInfo(
! WFLagChosenPositions wFLagChosenPositions ,
! WFLagLog wFLagLog )
{
//
***************
*** 50,53 ****
--- 72,110 ----
//
this.wFLagChosenPositions = wFLagChosenPositions;
+ this.wFLagLog = wFLagLog;
+ this.inSampleSharpeRatio = this.getInSampleSharpeRatio();
+ this.preSampleSharpeRatio30 = this.getPreSampleSharpeRatio( 30 );
+ this.postSampleSharpeRatio30 = this.getPostSampleSharpeRatio( 30 );
+ }
+ private DateTime getInSampleFirstDate()
+ {
+ DateTime inSampleFirstDate = this.LastOptimization.AddDays(
+ -( this.wFLagLog.InSampleDays - 1 ) );
+ return inSampleFirstDate;
+ }
+ private double getInSampleSharpeRatio()
+ {
+ DateTime firstDateTime = this.getInSampleFirstDate();
+ return WFLagSharpeRatioComputer.GetSharpeRatio(
+ this.wFLagChosenPositions , firstDateTime ,
+ this.LastOptimization );
+ }
+ private double getPreSampleSharpeRatio( int days )
+ {
+ DateTime lastDateTime = this.getInSampleFirstDate();
+ DateTime firstDateTime = lastDateTime.AddDays( -days - 1 ); // I subtract one more day, so I have days daily returns
+ return WFLagSharpeRatioComputer.GetSharpeRatio(
+ this.wFLagChosenPositions , firstDateTime ,
+ lastDateTime );
+ }
+ private double getPostSampleSharpeRatio( int days )
+ {
+ DateTime firstDateTime =
+ this.LastOptimization; // add one day if you want to exclude the first day after the optimization;
+ // consider that the real out of sample jumps out that day
+ DateTime lastDateTime = firstDateTime.AddDays( days + 1 ); // I add one day, so I have days daily returns
+ return WFLagSharpeRatioComputer.GetSharpeRatio(
+ this.wFLagChosenPositions , firstDateTime ,
+ lastDateTime );
}
}
|
