Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10304/b3_Data/Selectors
Modified Files:
SelectorByCloseToCloseCorrelationToBenchmark.cs
Log Message:
The selector has been simplified
Index: SelectorByCloseToCloseCorrelationToBenchmark.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByCloseToCloseCorrelationToBenchmark.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** SelectorByCloseToCloseCorrelationToBenchmark.cs 3 Aug 2006 21:17:16 -0000 1.4
--- SelectorByCloseToCloseCorrelationToBenchmark.cs 14 Jan 2008 23:14:41 -0000 1.5
***************
*** 31,38 ****
/// Class for selection on tickers by close to close absolute correlation to
/// a given benchmark
- /// NOTE that
- /// close values are grouped in pairs and the first close value in each group is
- /// not the last close in the previous group. There is, in other words, a discontinuity
- /// between each group, with length equal to the group's length
/// </summary>
public class SelectorByCloseToCloseCorrelationToBenchmark : TickerSelector, ITickerSelector
--- 31,34 ----
***************
*** 131,143 ****
float[] tickerQuotes = QuantProject.Data.DataTables.Quotes.GetArrayOfAdjustedCloseQuotes((string)row[0],
firstQuoteDate, lastQuoteDate);
! if(tickerQuotes.Length == benchmarkQuotes.Length)
! {
! if((string)row[0] == benchmark)
! row["CloseToCloseCorrelationToBenchmark"] = 1;
! else
! row["CloseToCloseCorrelationToBenchmark"] =
BasicFunctions.PearsonCorrelationCoefficient(benchmarkQuotes, tickerQuotes);
- }
-
}
DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,
--- 127,132 ----
float[] tickerQuotes = QuantProject.Data.DataTables.Quotes.GetArrayOfAdjustedCloseQuotes((string)row[0],
firstQuoteDate, lastQuoteDate);
! row["CloseToCloseCorrelationToBenchmark"] =
BasicFunctions.PearsonCorrelationCoefficient(benchmarkQuotes, tickerQuotes);
}
DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,
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