[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator GenomeManagerPVO_OTC.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4256/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Added Files:
	GenomeManagerPVO_OTC.cs 
Log Message:
Added Portfolio Value Oscillator strategy using Open To Close returns.
Fitness is based on correlation; 2 tickers portfolio is opened at market open
and closed at market close.

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

GenomeManagerPVO_OTC.cs
Copyright (C) 2008 
Marco Milletti

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 System.Data;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Statistics;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Data;
using QuantProject.Data.DataTables;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
	/// <summary>
	/// Implements what needed to use the Genetic Optimizer
	/// for finding the portfolio that best suites
	/// the Portfolio Value Oscillator strategy, based on
	/// open to close returns
	/// </summary>
	[Serializable]
  public class GenomeManagerPVO_OTC : GenomeManagerPVO
  {
       
    public GenomeManagerPVO_OTC(DataTable setOfInitialTickers,
                           DateTime firstQuoteDate,
                           DateTime lastQuoteDate,
                           int numberOfTickersInPortfolio,
                           int minLevelForOversoldThreshold,
	                         int maxLevelForOversoldThreshold,
	                         int minLevelForOverboughtThreshold,
	                         int maxLevelForOverboughtThreshold,
                           int divisorForThresholdComputation,
                           bool symmetricalThresholds,
                           bool overboughtMoreThanOversoldForFixedPortfolio,
                           PortfolioType inSamplePortfolioType,
                           string benchmark)
                           :
														base(setOfInitialTickers,
														firstQuoteDate,
														lastQuoteDate,
														numberOfTickersInPortfolio,
														1,
														minLevelForOversoldThreshold,
														maxLevelForOversoldThreshold,
														minLevelForOverboughtThreshold,
														maxLevelForOverboughtThreshold,
														divisorForThresholdComputation,
														symmetricalThresholds,
														overboughtMoreThanOversoldForFixedPortfolio,
														inSamplePortfolioType,
														benchmark)
                                
                          
    {
    	
    }
    
    protected override void setReturnsManager(DateTime firstQuoteDate,
                                   DateTime lastQuoteDate)
    {
    	EndOfDayDateTime firstEndOfDayDateTime =
				new EndOfDayDateTime(firstQuoteDate,
    		EndOfDaySpecificTime.MarketOpen);
			EndOfDayDateTime lastEndOfDayDateTime =
				new EndOfDayDateTime(lastQuoteDate,
				EndOfDaySpecificTime.MarketClose);
    	this.returnsManager = 
    		new ReturnsManager( new DailyOpenToCloseIntervals(
															  firstEndOfDayDateTime, 
																lastEndOfDayDateTime, 
																this.benchmark),
														new HistoricalRawQuoteProvider() );
    }
       
    
		//fitness is a sharpe-ratio based indicator for the equity line resulting
		//from applying the strategy
	  public override double GetFitnessValue(Genome genome)
    {
			//NEW implementation: fitness is just the pearson correlation
			//applied to two tickers. This kind of fitness is only valid
			//for tests with 2-tickers portfolios
			double returnValue = -2.0;
			if(this.correlationProvider == null)
				this.correlationProvider = new OpenToCloseCorrelationProvider(
					QuantProject.ADT.ExtendedDataTable.GetArrayOfStringFromColumn(this.setOfTickers, 0),
					this.returnsManager, 0.0001f, 0.5f);
			string firstTicker = this.getFitnessValue_getFirstTickerFromGenome(genome);
			string secondTicker = this.getFitnessValue_getSecondTickerFromGenome(genome);
			if(  ( firstTicker.StartsWith("-") && !secondTicker.StartsWith("-") ) ||
			   	 ( secondTicker.StartsWith("-") && !firstTicker.StartsWith("-") )     )
			//tickers have to be opposite in sign	
			{
				double correlationIndex = correlationProvider.GetPearsonCorrelation(
					SignedTicker.GetTicker(firstTicker),
					SignedTicker.GetTicker(secondTicker) );
				if(correlationIndex < 0.96)
				//	if correlation index is not too high to be 
				//  probably originated by the same instrument
					returnValue = correlationIndex;
			}
			return returnValue;
    }
  }
}