Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27180/b7_Scripts/WalkForwardTesting/WalkForwardLag
Modified Files:
WFLagChosenTickers.cs
Log Message:
a WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility object is used instead of a WFLagFixedPortfolioBruteForceOptimizableParametersManager object (weights are used to normalize the portfolio's tickers volatility)
Index: WFLagChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagChosenTickers.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WFLagChosenTickers.cs 8 Sep 2006 15:30:17 -0000 1.6
--- WFLagChosenTickers.cs 20 Sep 2006 21:06:33 -0000 1.7
***************
*** 259,265 ****
this.endOfDayTimer.GetCurrentTime().DateTime;
! WFLagFixedPortfolioBruteForceOptimizableParametersManager
wFLagFixedPortfolioBruteForceOptimizableParametersManager=
! new WFLagFixedPortfolioBruteForceOptimizableParametersManager(
eligibleTickers.EligibleTickers ,
longPortfolioTicker ,
--- 259,275 ----
this.endOfDayTimer.GetCurrentTime().DateTime;
! // WFLagFixedPortfolioBruteForceOptimizableParametersManager
! // wFLagFixedPortfolioBruteForceOptimizableParametersManager=
! // new WFLagFixedPortfolioBruteForceOptimizableParametersManager(
! // eligibleTickers.EligibleTickers ,
! // longPortfolioTicker ,
! // shortPortfolioTicker ,
! // this.firstOptimizationDate ,
! // this.lastOptimizationDate ,
! // this.numberOfDrivingPositions );
! //
! WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility
wFLagFixedPortfolioBruteForceOptimizableParametersManager=
! new WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility(
eligibleTickers.EligibleTickers ,
longPortfolioTicker ,
***************
*** 298,301 ****
--- 308,315 ----
this.setWeightedPositions_withFixedPortfolio(
eligibleTickers , "SPY" , "IWM" );
+ // this.setWeightedPositions_withFixedPortfolio(
+ // eligibleTickers , "XLF" , "SMH" );
+ // this.setWeightedPositions_withFixedPortfolio(
+ // eligibleTickers , "QQQQ" , "SPY" );
}
#endregion
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