Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8597/b7_Scripts/WalkForwardTesting/WalkForwardLag
Modified Files:
WFLagChosenTickers.cs
Log Message:
The private method setWeightedPositions_withFixedPortfolio
has been added, to set positions with fixed portfolio.
Index: WFLagChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagChosenTickers.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** WFLagChosenTickers.cs 21 Aug 2006 21:21:37 -0000 1.5
--- WFLagChosenTickers.cs 8 Sep 2006 15:30:17 -0000 1.6
***************
*** 181,185 ****
0.85 ,
0.02 ,
! 0.1 ,
this.populationSizeForGeneticOptimizer ,
this.generationNumberForGeneticOptimizer ,
--- 181,185 ----
0.85 ,
0.02 ,
! 0.001 ,
this.populationSizeForGeneticOptimizer ,
this.generationNumberForGeneticOptimizer ,
***************
*** 243,246 ****
--- 243,292 ----
}
#endregion
+ #region setWeightedPositions_withFixedPortfolio
+ // private void newBruteForceOptimizerProgressEventHandler(
+ // object sender , NewProgressEventArgs e )
+ // {
+ // this.NewProgress( sender , e );
+ // }
+ public virtual void setWeightedPositions_withFixedPortfolio(
+ WFLagEligibleTickers eligibleTickers ,
+ string longPortfolioTicker , string shortPortfolioTicker )
+ {
+ this.firstOptimizationDate =
+ this.endOfDayTimer.GetCurrentTime().DateTime.AddDays(
+ -( this.inSampleDays - 1 ) );
+ this.lastOptimizationDate =
+ this.endOfDayTimer.GetCurrentTime().DateTime;
+
+ WFLagFixedPortfolioBruteForceOptimizableParametersManager
+ wFLagFixedPortfolioBruteForceOptimizableParametersManager=
+ new WFLagFixedPortfolioBruteForceOptimizableParametersManager(
+ eligibleTickers.EligibleTickers ,
+ longPortfolioTicker ,
+ shortPortfolioTicker ,
+ this.firstOptimizationDate ,
+ this.lastOptimizationDate ,
+ this.numberOfDrivingPositions );
+
+ BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer(
+ wFLagFixedPortfolioBruteForceOptimizableParametersManager );
+
+ bruteForceOptimizer.NewProgress +=
+ new NewProgressEventHandler(
+ this.newBruteForceOptimizerProgressEventHandler );
+
+ bruteForceOptimizer.Run( 100000 ,
+ wFLagFixedPortfolioBruteForceOptimizableParametersManager.TotalIterations );
+
+ BruteForceOptimizableParameters bestParameters =
+ bruteForceOptimizer.BestParameters;
+
+ WFLagWeightedPositions wFLagWeightedPositions =
+ ( WFLagWeightedPositions )wFLagFixedPortfolioBruteForceOptimizableParametersManager.Decode(
+ bestParameters );
+
+ this.setWeightedPositions( wFLagWeightedPositions );
+ }
+ #endregion
public virtual void SetWeightedPositions(
WFLagEligibleTickers eligibleTickers )
***************
*** 248,253 ****
// this.setWeightedPositions_usingTheGeneticOptimizer(
// eligibleTickers );
! this.setWeightedPositions_usingTheBruteForceOptimizer(
! eligibleTickers );
}
#endregion
--- 294,301 ----
// this.setWeightedPositions_usingTheGeneticOptimizer(
// eligibleTickers );
! // this.setWeightedPositions_usingTheBruteForceOptimizer(
! // eligibleTickers );
! this.setWeightedPositions_withFixedPortfolio(
! eligibleTickers , "SPY" , "IWM" );
}
#endregion
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