Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8376/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
Modified Files:
WFLagSharpeRatioComputer.cs
Log Message:
The GetSharpeRatio method now takes a WFLagWeightedPositions as an argument, it took a WFLagChosenPositions in the previous revision
Index: WFLagSharpeRatioComputer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagSharpeRatioComputer.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFLagSharpeRatioComputer.cs 30 Jul 2006 13:37:05 -0000 1.3
--- WFLagSharpeRatioComputer.cs 28 Oct 2007 22:19:18 -0000 1.4
***************
*** 96,105 ****
}
private static SortedList getCommonMarketDays(
! WFLagChosenPositions wFLagChosenPositions ,
DateTime firstDate , DateTime lastDate )
{
string[] tickers =
WFLagChosenPositionsDebugInfo.GetDrivingAndPortfolioTickers(
! wFLagChosenPositions );
SortedList commonMarketDays =
QuantProject.Data.DataTables.Quotes.GetCommonMarketDays(
--- 96,105 ----
}
private static SortedList getCommonMarketDays(
! WFLagWeightedPositions wFLagWeightedPositions ,
DateTime firstDate , DateTime lastDate )
{
string[] tickers =
WFLagChosenPositionsDebugInfo.GetDrivingAndPortfolioTickers(
! wFLagWeightedPositions );
SortedList commonMarketDays =
QuantProject.Data.DataTables.Quotes.GetCommonMarketDays(
***************
*** 108,121 ****
}
private static double[] getStrategyReturns(
! WFLagChosenPositions wFLagChosenPositions ,
DateTime firstDate , DateTime lastDate )
{
SortedList commonMarketDays =
! getCommonMarketDays( wFLagChosenPositions , firstDate , lastDate );
double[] drivingPositionsReturns =
! wFLagChosenPositions.DrivingWeightedPositions.GetCloseToClosePortfolioReturns(
commonMarketDays );
double[] portfolioPositionsReturns =
! wFLagChosenPositions.PortfolioWeightedPositions.GetCloseToClosePortfolioReturns(
commonMarketDays );
double[] strategyReturns = getStrategyReturns(
--- 108,121 ----
}
private static double[] getStrategyReturns(
! WFLagWeightedPositions wFLagWeightedPositions ,
DateTime firstDate , DateTime lastDate )
{
SortedList commonMarketDays =
! getCommonMarketDays( wFLagWeightedPositions , firstDate , lastDate );
double[] drivingPositionsReturns =
! wFLagWeightedPositions.DrivingWeightedPositions.GetCloseToClosePortfolioReturns(
commonMarketDays );
double[] portfolioPositionsReturns =
! wFLagWeightedPositions.PortfolioWeightedPositions.GetCloseToClosePortfolioReturns(
commonMarketDays );
double[] strategyReturns = getStrategyReturns(
***************
*** 126,130 ****
public static double GetSharpeRatio(
! WFLagChosenPositions wFLagChosenPositions ,
DateTime firstDate , DateTime lastDate )
{
--- 126,130 ----
public static double GetSharpeRatio(
! WFLagWeightedPositions wFLagWeightedPositions ,
DateTime firstDate , DateTime lastDate )
{
***************
*** 133,137 ****
{
double[] strategyReturns = getStrategyReturns(
! wFLagChosenPositions , firstDate , lastDate );
sharpeRatio = AdvancedFunctions.GetSharpeRatio( strategyReturns );
}
--- 133,137 ----
{
double[] strategyReturns = getStrategyReturns(
! wFLagWeightedPositions , firstDate , lastDate );
sharpeRatio = AdvancedFunctions.GetSharpeRatio( strategyReturns );
}
***************
*** 144,148 ****
}
public static double GetExpectancyScore(
! WFLagChosenPositions wFLagChosenPositions ,
DateTime firstDate , DateTime lastDate )
{
--- 144,148 ----
}
public static double GetExpectancyScore(
! WFLagWeightedPositions wFLagWeightedPositions ,
DateTime firstDate , DateTime lastDate )
{
***************
*** 151,155 ****
{
double[] strategyReturns = getStrategyReturns(
! wFLagChosenPositions , firstDate , lastDate );
expectancyScore =
AdvancedFunctions.GetExpectancyScore( strategyReturns );
--- 151,155 ----
{
double[] strategyReturns = getStrategyReturns(
! wFLagWeightedPositions , firstDate , lastDate );
expectancyScore =
AdvancedFunctions.GetExpectancyScore( strategyReturns );
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