[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination FixedLevelO

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7110/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs 
	FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs 
	FixedLevelOscillatorBiasedPVOStrategy.cs 
	FixedLevelOscillatorPVOStrategy.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: FixedLevelOscillatorBiasedPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorBiasedPVOStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** FixedLevelOscillatorBiasedPVOStrategy.cs	29 Aug 2007 09:43:36 -0000	1.3
--- FixedLevelOscillatorBiasedPVOStrategy.cs	14 Jan 2008 23:07:06 -0000	1.4
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Timing;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
***************
*** 53,60 ****
                                             double maxAcceptableCloseToCloseDrawdown,
                                             double minimumAcceptableGain):
!                                         base("", 0, 
!                                         weightedPositionsToEvaluateOutOfSample[0].Count, 0, accountPVO, 0, 0,
!                                         "", numOfDifferentGenomesToEvaluateOutOfSample,
!                                         numDaysForOscillatingPeriod,1,1,1,1,1,false,false,0,
                                          PortfolioType.ShortAndLong,maxAcceptableCloseToCloseDrawdown,
                                          minimumAcceptableGain)
--- 54,66 ----
                                             double maxAcceptableCloseToCloseDrawdown,
                                             double minimumAcceptableGain):
!                                         base("", 0, 0, 0, 
!                                         weightedPositionsToEvaluateOutOfSample[0].Count, 0, accountPVO, null, 0, 0,
!                                         "^GSPC", numOfDifferentGenomesToEvaluateOutOfSample,
! 																				false,0,
! 																				1.0,
! 																				1000.0,
! 																				false,
! 																				false,
!                                         numDaysForOscillatingPeriod,numDaysForOscillatingPeriod,1,1,1,1,1,false,false,0,
                                          PortfolioType.ShortAndLong,maxAcceptableCloseToCloseDrawdown,
                                          minimumAcceptableGain)
***************
*** 73,81 ****
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
! 																																		int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition + 2 >= this.numDaysForOscillatingPeriod)
        //if there are sufficient data for computing currentChosenTickersValue
        //that's why the method has been overriden
--- 79,89 ----
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(
! 			IndexBasedEndOfDayTimer timer,
! 	  	ReturnsManager returnsManager,
! 	  	int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod >= 0)
        //if there are sufficient data for computing currentChosenTickersValue
        //that's why the method has been overriden
***************
*** 88,93 ****
  						(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
  					returnValue =
! 						this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetCloseToCloseReturn(
! 						lastMarketDay, today);
  				}
  				catch(MissingQuotesException ex)
--- 96,101 ----
  						(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
  					returnValue =
! 						this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetReturn(
! 						0, returnsManager);
  				}
  				catch(MissingQuotesException ex)

Index: FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs	29 Aug 2007 09:43:35 -0000	1.2
--- FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs	14 Jan 2008 23:07:06 -0000	1.3
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Timing;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
***************
*** 71,76 ****
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
! 		                                                       int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
--- 72,79 ----
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(
! 			IndexBasedEndOfDayTimer timer,
! 			ReturnsManager returnsManager,
!       int indexForChosenWeightedPositions )
      {
        double returnValue = 999.0;
***************
*** 81,91 ****
  	      try
  	      {
!           DateTime today = 
!             (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!           DateTime lastMarketDay = 
!             (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
! 	      
!           returnValue = this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetLastNightReturn(
! 																																            lastMarketDay, today);
  	      }
  	    	catch(MissingQuotesException ex)
--- 84,90 ----
  	      try
  	      {
!           returnValue = 
!           	this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetReturn(
! 		    		0 , returnsManager);
  	      }
  	    	catch(MissingQuotesException ex)

Index: FixedLevelOscillatorPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorPVOStrategy.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** FixedLevelOscillatorPVOStrategy.cs	30 Aug 2007 18:15:37 -0000	1.6
--- FixedLevelOscillatorPVOStrategy.cs	14 Jan 2008 23:07:06 -0000	1.7
***************
*** 52,56 ****
                                            "^GSPC",
                                            0, 0, 0, 0, 0, 0, false, false, 0, 
!                                           PortfolioType.ShortAndLong, 0.5)
  		{
  			this.chosenWeightedPositions = chosenWeightedPositions;
--- 52,56 ----
                                            "^GSPC",
                                            0, 0, 0, 0, 0, 0, false, false, 0, 
!                                           PortfolioType.ShortAndLong, 0.5, 0.5)
  		{
  			this.chosenWeightedPositions = chosenWeightedPositions;
***************
*** 65,92 ****
      }
  
!     protected override double getCurrentChosenWeightedPositionsValue(IndexBasedEndOfDayTimer timer)
      {
        double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition + 2 >= this.numDaysForOscillatingPeriod)
!       //if there are sufficient data for computing currentChosenTickersValue
        //that's why the method has been overriden
!       {
!         try
!         {
!           DateTime initialDate = 
!             (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod + 2]["quDate"];
!           //so to replicate exactly in sample scheme, where only numOscillatingDay - 1 returns
!           //are computed
!           DateTime finalDate = 
!             (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!           returnValue =
!             this.chosenWeightedPositions.GetCloseToCloseReturn(initialDate,finalDate) 
!           	+ 1.0;
!         }
!         catch(Exception ex)
!         {
!           ex = ex;
!         }
!       }
        return returnValue;
      }   
--- 65,77 ----
      }
  
!     protected override double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
      {
        double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod >= 0)
!       //if there are sufficient data for computing currentChosenWeightedPositionsReturn
        //that's why the method has been overriden
!       	returnValue = 
!       		 base.getCurrentChosenWeightedPositionsReturn(timer);
!       
        return returnValue;
      }   

Index: FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs	29 Aug 2007 09:43:35 -0000	1.2
--- FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs	14 Jan 2008 23:07:06 -0000	1.3
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Timing;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
***************
*** 66,71 ****
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
! 		                                                       int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
--- 67,74 ----
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(
! 			IndexBasedEndOfDayTimer timer,
! 	  	ReturnsManager returnsManager,
! 	  	int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;