Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1959/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
Modified Files:
WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs
Log Message:
CloseToCloseIntervals is now used instead of timeLineForOptimization (that was an History)
Index: WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs 7 Aug 2007 16:54:17 -0000 1.6
--- WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs 16 Sep 2007 22:12:48 -0000 1.7
***************
*** 28,31 ****
--- 28,32 ----
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.EquityEvaluation;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Timing;
using QuantProject.Data.DataTables;
***************
*** 127,131 ****
}
#region setChosenPositions_usingTheGeneticOptimizer
! private History getTimeLineForOptimization( EndOfDayDateTime now )
{
DateTime firstInSampleDateForDrivingPositions =
--- 128,132 ----
}
#region setChosenPositions_usingTheGeneticOptimizer
! private ReturnIntervals getReturnIntervals( EndOfDayDateTime now )
{
DateTime firstInSampleDateForDrivingPositions =
***************
*** 134,139 ****
DateTime lastInSampleOptimizationDate =
now.DateTime;
! return Quotes.GetMarketDays( this.benchmark ,
! firstInSampleDateForDrivingPositions , lastInSampleOptimizationDate );
}
private void newGenerationEventHandler(
--- 135,146 ----
DateTime lastInSampleOptimizationDate =
now.DateTime;
! ReturnIntervals returnIntervals =
! new CloseToCloseIntervals(
! new EndOfDayDateTime( firstInSampleDateForDrivingPositions ,
! EndOfDaySpecificTime.MarketClose ) ,
! new EndOfDayDateTime( lastInSampleOptimizationDate ,
! EndOfDaySpecificTime.MarketClose ) ,
! this.benchmark );
! return returnIntervals;
}
private void newGenerationEventHandler(
***************
*** 182,187 ****
EndOfDayDateTime now )
{
! History timeLineForOptimization =
! this.getTimeLineForOptimization( now );
WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio
--- 189,194 ----
EndOfDayDateTime now )
{
! ReturnIntervals returnIntervals =
! this.getReturnIntervals( now );
WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio
***************
*** 191,195 ****
eligibleTickersForDrivingPositions.EligibleTickers ,
this.portfolioSignedTickers ,
! timeLineForOptimization ,
this.equityEvaluator ,
QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator );
--- 198,202 ----
eligibleTickersForDrivingPositions.EligibleTickers ,
this.portfolioSignedTickers ,
! returnIntervals ,
this.equityEvaluator ,
QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator );
|
