Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6744/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
Modified Files:
WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs
Log Message:
A ReturnsManager is now used instead of a CloseToCloseReturnsManager. Furthermore, a ReturnIntervals object (named returnIntervalsForOptimization) is now used instead of a history object (that was named timeLineForOptimization)
Index: WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs 27 Aug 2007 22:24:21 -0000 1.5
--- WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs 16 Sep 2007 22:17:18 -0000 1.6
***************
*** 28,34 ****
--- 28,36 ----
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.ADT.Statistics;
+ using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.EquityEvaluation;
***************
*** 48,53 ****
private int numberOfDrivingPositions;
private SignedTickers portfolioSignedTickers;
! private History timeLineForOptimization; // this time line goes from
! // the first optimization date for driving positions to the
// last optimization date; this optimization is meant to be
// launched one hour after the last market close
--- 50,55 ----
private int numberOfDrivingPositions;
private SignedTickers portfolioSignedTickers;
! private ReturnIntervals returnIntervalsForOptimization; // this time line
! // goes from the first optimization date for driving positions to the
// last optimization date; this optimization is meant to be
// launched one hour after the last market close
***************
*** 69,73 ****
private WFLagMeaningForUndecodableGenomes wFLagMeaningForUndecodableGenomes;
private string[] tickersForPortfolioPositions;
! private CloseToCloseReturnsManager closeToCloseReturnsManager;
--- 71,75 ----
private WFLagMeaningForUndecodableGenomes wFLagMeaningForUndecodableGenomes;
private string[] tickersForPortfolioPositions;
! private ReturnsManager closeToCloseReturnsManager;
***************
*** 100,104 ****
DataTable eligibleTickersForDrivingWeightedPositions ,
SignedTickers portfolioSignedTickers ,
! History timeLineForOptimization ,
IEquityEvaluator equityEvaluator ,
int seedForRandomGenerator )
--- 102,106 ----
DataTable eligibleTickersForDrivingWeightedPositions ,
SignedTickers portfolioSignedTickers ,
! ReturnIntervals returnIntervalsForOptimization ,
IEquityEvaluator equityEvaluator ,
int seedForRandomGenerator )
***************
*** 113,117 ****
// eligibleTickersForPortfolioWeightedPositions;
this.portfolioSignedTickers = portfolioSignedTickers;
! this.timeLineForOptimization = timeLineForOptimization;
// this.minimumPositionWeight = 0.2; // TO DO this value should become a constructor parameter
--- 115,119 ----
// eligibleTickersForPortfolioWeightedPositions;
this.portfolioSignedTickers = portfolioSignedTickers;
! this.returnIntervalsForOptimization = returnIntervalsForOptimization;
// this.minimumPositionWeight = 0.2; // TO DO this value should become a constructor parameter
***************
*** 125,134 ****
// 11 );
GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
!
! // this.wFLagCandidates = new WFLagCandidates(
! // this.eligibleTickersForDrivingWeightedPositions ,
! // this.firstOptimizationDateForDrivingPositions , this.lastOptimizationDate );
this.closeToCloseReturnsManager =
! new CloseToCloseReturnsManager( this.timeLineForOptimization );
this.wFLagMeaningForUndecodableGenomes =
--- 127,135 ----
// 11 );
GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
! IHistoricalQuoteProvider historicalQuoteProvider =
! new HistoricalAdjustedQuoteProvider();
this.closeToCloseReturnsManager =
! new ReturnsManager( this.returnIntervalsForOptimization ,
! historicalQuoteProvider );
this.wFLagMeaningForUndecodableGenomes =
|
