quantproject-developers

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29615/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Modified Files:
	WFLagSharpeRatioComputer.cs 
Log Message:
- the private static method getCommonMarketDays returns the exact set of common market days, for a set of given tickers
- the public static method GetExpectancyScore has been added (I understand the class' name is not appropriate anymore; to be changed in the future)

Index: WFLagSharpeRatioComputer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagSharpeRatioComputer.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagSharpeRatioComputer.cs	29 Jun 2006 17:00:51 -0000	1.1
--- WFLagSharpeRatioComputer.cs	22 Jul 2006 20:25:06 -0000	1.2
***************
*** 95,110 ****
  			return strategyReturns;
  		}
  		private static double[] getStrategyReturns(
  			WFLagChosenPositions wFLagChosenPositions ,
  			DateTime firstDate , DateTime lastDate )
  		{
  			double[] drivingPositionsReturns =
  				SignedTicker.GetCloseToClosePortfolioReturns(
  				wFLagChosenPositions.DrivingPositions.Keys ,
! 				firstDate , lastDate );
  			double[] portfolioPositionsReturns =
  				SignedTicker.GetCloseToClosePortfolioReturns(
  				wFLagChosenPositions.PortfolioPositions.Keys ,
! 				firstDate , lastDate );
  			double[] strategyReturns = getStrategyReturns(
  				drivingPositionsReturns , portfolioPositionsReturns );
--- 95,124 ----
  			return strategyReturns;
  		}
+ 		private static SortedList getCommonMarketDays(
+ 			WFLagChosenPositions wFLagChosenPositions ,
+ 			DateTime firstDate , DateTime lastDate )
+ 		{
+ 			string[] tickers =
+ 				WFLagChosenPositionsDebugInfo.GetDrivingAndPortfolioTickers(
+ 				wFLagChosenPositions );
+ 			SortedList commonMarketDays =
+ 				QuantProject.Data.DataTables.Quotes.GetCommonMarketDays(
+ 				tickers , firstDate , lastDate );
+ 			return commonMarketDays;
+ 		}
  		private static double[] getStrategyReturns(
  			WFLagChosenPositions wFLagChosenPositions ,
  			DateTime firstDate , DateTime lastDate )
  		{
+ 			SortedList commonMarketDays =
+ 				getCommonMarketDays( wFLagChosenPositions , firstDate , lastDate );
  			double[] drivingPositionsReturns =
  				SignedTicker.GetCloseToClosePortfolioReturns(
  				wFLagChosenPositions.DrivingPositions.Keys ,
! 				commonMarketDays );
  			double[] portfolioPositionsReturns =
  				SignedTicker.GetCloseToClosePortfolioReturns(
  				wFLagChosenPositions.PortfolioPositions.Keys ,
! 				commonMarketDays );
  			double[] strategyReturns = getStrategyReturns(
  				drivingPositionsReturns , portfolioPositionsReturns );
***************
*** 131,134 ****
--- 145,167 ----
  			return sharpeRatio;
  		}
+ 		public static double GetExpectancyScore(
+ 			WFLagChosenPositions wFLagChosenPositions ,
+ 			DateTime firstDate , DateTime lastDate )
+ 		{
+ 			double expectancyScore = double.MinValue;
+ 			try
+ 			{
+ 				double[] strategyReturns = getStrategyReturns(
+ 					wFLagChosenPositions , firstDate , lastDate );
+ 				expectancyScore =
+ 					AdvancedFunctions.GetExpectancyScore( strategyReturns );
+ 			}
+ 			catch( MissingQuoteException ex )
+ 			{
+ 				expectancyScore = double.MinValue;
+ 				string dummy = ex.Message;
+ 			}
+ 			return expectancyScore;
+ 		}
  	}
  }