[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOs

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7110/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO

Modified Files:
	EndOfDayTimerHandlerWeightedBalancedPVO.cs 
	GenomeManagerWeightedBalancedPVO.cs RunWeightedBalancedPVO.cs 
Log Message:
Several changes applied to the classes implementing the Portfolio Value 
Oscillator strategy (the most important one relates to the use of ReturnsManager)

Index: EndOfDayTimerHandlerWeightedBalancedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO/EndOfDayTimerHandlerWeightedBalancedPVO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerWeightedBalancedPVO.cs	29 Aug 2007 09:50:21 -0000	1.3
--- EndOfDayTimerHandlerWeightedBalancedPVO.cs	14 Jan 2008 23:07:05 -0000	1.4
***************
*** 68,72 ****
                                  bool overboughtMoreThanOversoldForFixedPortfolio,
                                  int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
--- 68,73 ----
                                  bool overboughtMoreThanOversoldForFixedPortfolio,
                                  int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 double minimumAcceptableGain):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
***************
*** 84,88 ****
                                  overboughtMoreThanOversoldForFixedPortfolio,
                                  numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown)
      {
        
--- 85,90 ----
                                  overboughtMoreThanOversoldForFixedPortfolio,
                                  numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown,
!                                 minimumAcceptableGain)
      {
        
***************
*** 144,148 ****
            this.symmetricalThresholds,
            this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
--- 146,150 ----
            this.symmetricalThresholds,
            this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType, this.benchmark);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
***************
*** 151,155 ****
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
!         GO.MutationRate = 0.1;
          GO.Run(false);
          
--- 153,157 ----
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
!         GO.MutationRate = 0.2;
          GO.Run(false);
          

Index: RunWeightedBalancedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO/RunWeightedBalancedPVO.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunWeightedBalancedPVO.cs	27 Feb 2007 22:52:40 -0000	1.1
--- RunWeightedBalancedPVO.cs	14 Jan 2008 23:07:05 -0000	1.2
***************
*** 61,64 ****
--- 61,65 ----
      protected int numDaysBetweenEachOptimization;
      protected double maxAcceptableCloseToCloseDrawdown;
+     protected double minimumAcceptableGain;
      protected int numDaysForOscillatingPeriod;
      protected bool symmetricalThresholds = false;
***************
*** 80,83 ****
--- 81,85 ----
                                     	int numDaysBetweenEachOptimization,
                                      PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown, 
+                                     double minimumAcceptableGain,
                                      double maxRunningHours):
  																base(tickerGroupID, maxNumOfEligibleTickersForOptimization, 
***************
*** 97,100 ****
--- 99,103 ----
        this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
+       this.minimumAcceptableGain = minimumAcceptableGain;
        this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
***************
*** 119,123 ****
                                                                this.overboughtMoreThanOversoldForFixedPortfolio,
      	                                                        this.numDaysBetweenEachOptimization,
!                                                               this.portfolioType, this.maxAcceptableCloseToCloseDrawdown);
      }
      
--- 122,127 ----
                                                                this.overboughtMoreThanOversoldForFixedPortfolio,
      	                                                        this.numDaysBetweenEachOptimization,
!                                                               this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
!                                                               this.minimumAcceptableGain);
      }
      

Index: GenomeManagerWeightedBalancedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO/GenomeManagerWeightedBalancedPVO.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerWeightedBalancedPVO.cs	9 Apr 2007 18:00:52 -0000	1.2
--- GenomeManagerWeightedBalancedPVO.cs	14 Jan 2008 23:07:05 -0000	1.3
***************
*** 83,87 ****
                             bool symmetricalThresholds,
                             bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType)
                             :
                            base(setOfInitialTickers,
--- 83,88 ----
                             bool symmetricalThresholds,
                             bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
                             :
                            base(setOfInitialTickers,
***************
*** 97,101 ****
                             symmetricalThresholds,
                             overboughtMoreThanOversoldForFixedPortfolio,
!                            inSamplePortfolioType)
      
      {
--- 98,103 ----
                             symmetricalThresholds,
                             overboughtMoreThanOversoldForFixedPortfolio,
!                            inSamplePortfolioType,
!                            benchmark)
      
      {