quantproject-developers

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32724/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Added the OTC - CTO strategy using a brute force optimizer:
Decode method has been overloaded with a BruteForceOptimizableParameter parameter.

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.24
retrieving revision 1.25
diff -C2 -d -r1.24 -r1.25
*** GenomeManagerForEfficientPortfolio.cs	7 Aug 2006 21:03:24 -0000	1.24
--- GenomeManagerForEfficientPortfolio.cs	17 Sep 2006 21:41:37 -0000	1.25
***************
*** 26,29 ****
--- 26,30 ----
  using QuantProject.ADT.Statistics;
  using QuantProject.ADT.Optimizing.Genetic;
+ using QuantProject.ADT.Optimizing.BruteForce;
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
***************
*** 68,82 ****
      
      //IGenomeManager implementation for properties 
!     public int GenomeSize
      {
        get{return this.genomeSize;}
      }
      
!     public int GetMinValueForGenes(int genePosition)
      {
        return this.minValueForGenes;
      }
      
!     public int GetMaxValueForGenes(int genePosition)
      {
        return this.maxValueForGenes;
--- 69,83 ----
      
      //IGenomeManager implementation for properties 
!     public virtual int GenomeSize
      {
        get{return this.genomeSize;}
      }
      
!     public virtual int GetMinValueForGenes(int genePosition)
      {
        return this.minValueForGenes;
      }
      
!     public virtual int GetMaxValueForGenes(int genePosition)
      {
        return this.maxValueForGenes;
***************
*** 239,242 ****
--- 240,271 ----
      }
      
+     public virtual double GetFitnessValue(BruteForceOptimizableParameters bruteForceOptimizableParameters)
+     {
+       double returnValue = 0;
+       this.portfolioRatesOfReturn = 
+       	this.getPortfolioRatesOfReturn(bruteForceOptimizableParameters.GetValues());
+       double averagePortfolioRateOfReturn = 
+             BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn);
+         
+       double portfolioVariance = 
+             BasicFunctions.Variance(this.portfolioRatesOfReturn);
+ 
+       if(!Double.IsInfinity(portfolioVariance) &&
+          !Double.IsInfinity(averagePortfolioRateOfReturn) &&
+          !Double.IsNaN(portfolioVariance) &&
+          !Double.IsNaN(averagePortfolioRateOfReturn) &&
+         	portfolioVariance > 0.0)
+       //both variance and rate of return are 
+       //double values computed in the right way:
+       // so it's possible to assign fitness
+       {
+ 	      this.variance = portfolioVariance;
+       	this.rateOfReturn = averagePortfolioRateOfReturn;
+       	returnValue = this.getFitnessValue_calculate();
+       }
+       
+       return returnValue;
+     }
+     
      #endregion
  
***************
*** 301,304 ****
--- 330,347 ----
      }
  
+     public virtual object Decode(BruteForceOptimizableParameters bruteForceOptimizableParameters)
+     {
+      	string[] arrayOfTickers = 
+     		new string[bruteForceOptimizableParameters.GetValues().Length];
+       int indexOfTicker;
+       for(int index = 0; index < bruteForceOptimizableParameters.GetValues().Length; index++)
+       {
+       	indexOfTicker = bruteForceOptimizableParameters.GetValues()[index];
+         arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
+       }
+       GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers);
+       return meaning;
+     }
+     
      public virtual object Decode(Genome genome)
      {
***************
*** 388,392 ****
      #region getPortfolioRatesOfReturn
      
!     protected int getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(int geneValueForTickerIdx)
      {
        int position = geneValueForTickerIdx;
--- 431,435 ----
      #region getPortfolioRatesOfReturn
      
!     protected int getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInSetOfCandidates(int geneValueForTickerIdx)
      {
        int position = geneValueForTickerIdx;
***************
*** 404,408 ****
          //genes[tickerPositionInGenes], the code for ticker, points to a ticker for which long returns are to be examined
          longReturns = true;
!       int position = this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(genes[tickerPositionInGenes]);
        this.setOfCandidates[position].LongRatesOfReturn = longReturns;
        float[] arrayOfRatesOfReturn = this.setOfCandidates[position].ArrayOfRatesOfReturn;
--- 447,451 ----
          //genes[tickerPositionInGenes], the code for ticker, points to a ticker for which long returns are to be examined
          longReturns = true;
!       int position = this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInSetOfCandidates(genes[tickerPositionInGenes]);
        this.setOfCandidates[position].LongRatesOfReturn = longReturns;
        float[] arrayOfRatesOfReturn = this.setOfCandidates[position].ArrayOfRatesOfReturn;