quantproject-developers

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29006

Added Files:
	PairsTradingBruteForceOptimizableParametersManager.cs 
Log Message:
BruteForceOptimizableParametersManager to be used by the pairs
trading strategy.
Two TestingPositions are considered equivalent as TopBestPositions
(and only one is kept among them) iif they have the same tickers
(consider that if two WeightedPosition are highly correlated, the
two opposite WeightedPosition are highly correlated too)

--- NEW FILE: PairsTradingBruteForceOptimizableParametersManager.cs ---
/*
QuantProject - Quantitative Finance Library

PairsTradingBruteForceOptimizableParametersManager.cs
Copyright (C) 2008
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.BruteForce;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// BruteForceOptimizableParametersManager to be used by the pairs
	/// trading strategy.
	/// Two TestingPositions are considered equivalent as TopBestPositions
	/// (and only one is kept among them) iif they have the same tickers
	/// (consider that if two WeightedPosition are highly correlated, the
	/// two opposite WeightedPosition are highly correlated too)
	/// </summary>
	public class PairsTradingBruteForceOptimizableParametersManager :
		BruteForceOptimizableParametersManagerForBalancedVolatility
	{
		public PairsTradingBruteForceOptimizableParametersManager(
			EligibleTickers eligibleTickers ,
			int numberOfPositions ,
			IDecoderForTestingPositions decoderForTestingPositions ,
			IFitnessEvaluator fitnessEvaluator ,
			ReturnsManager returnsManager ) :
			base(
			eligibleTickers ,
			numberOfPositions ,
			decoderForTestingPositions ,
			fitnessEvaluator ,
			returnsManager )
		{
		}

		#region AreEquivalentAsTopBestParameters
		private void areEquivalentAsTopBestParameters_checkParameters(
			object meaning1 , object meaning2 )
		{
			if ( !(meaning1 is TestingPositions) )
				throw new Exception( "The first parameter is expected " +
					"to be a TestingPositions!" );
			if ( !(meaning2 is TestingPositions) )
				throw new Exception( "The second parameter is expected " +
					"to be a TestingPositions!" );
		}
		/// Two TestingPositions are considered equivalent as TopBestPositions
		/// (and only one is kept among them) iif they have the same tickers
		/// (consider that if two WeightedPosition are highly correlated, the
		/// two opposite WeightedPosition are highly correlated too)
		public override bool AreEquivalentAsTopBestParameters(
			object meaning1 , object meaning2 )
		{
			this.areEquivalentAsTopBestParameters_checkParameters(
				meaning1 , meaning2 );
			string hashCodeForMeaning1 =
				((TestingPositions)meaning1).HashCodeForTickerComposition;
			string hashCodeForMeaning2 =
				((TestingPositions)meaning2).HashCodeForTickerComposition;
			bool areEquivalentAsTopBestParameters =
				( hashCodeForMeaning1 == hashCodeForMeaning2 );
			return areEquivalentAsTopBestParameters;
		}
		#endregion AreEquivalentAsTopBestParameters
	}
}