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

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

Modified Files:
	EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs 
	GenomeManagerBiasedOTC_PVONoThresholds.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: EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedOTC_PVONoThresholds/EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs	29 Aug 2007 09:50:20 -0000	1.2
--- EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs	14 Jan 2008 23:07:04 -0000	1.3
***************
*** 25,28 ****
--- 25,29 ----
  
  using QuantProject.ADT;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Instruments;
***************
*** 30,33 ****
--- 31,36 ----
  using QuantProject.Business.Timing;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  using QuantProject.Data;
  using QuantProject.Data.DataProviders;
***************
*** 87,103 ****
      }
    
!     protected virtual double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
!                                                 int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
        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)
--- 90,104 ----
      }
    
!     protected virtual double getCurrentWeightedPositionsGainOrLoss(
! 			IndexBasedEndOfDayTimer timer,
! 			ReturnsManager returnsManager,
!       int indexForChosenWeightedPositions )
      {
        double returnValue = 999.0;
        try
        {
! 		    returnValue =
! 	      	 this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetReturn(
! 		    		0 , returnsManager);
        }
      	catch(MissingQuotesException ex)
***************
*** 118,124 ****
        double currentMaxAbsoluteMove = 0.0;
        double currentAbsoluteMove = 0.0;
        for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
        {
!         currentWeightedPositionsGainOrLoss = this.getCurrentWeightedPositionsGainOrLoss(timer, i);
        	currentAbsoluteMove =
          	Math.Abs( currentWeightedPositionsGainOrLoss );
--- 119,133 ----
        double currentMaxAbsoluteMove = 0.0;
        double currentAbsoluteMove = 0.0;
+       DateTime today = timer.GetCurrentTime().DateTime;
+ 		  DateTime lastMarketDay = timer.GetPreviousDateTime();
+ 		  ReturnsManager returnsManager = new ReturnsManager(
+ 		  	new CloseToOpenIntervals(new EndOfDayDateTime(lastMarketDay, EndOfDaySpecificTime.MarketClose),
+ 		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
+ 		  	                         this.benchmark),
+ 		  	new HistoricalAdjustedQuoteProvider() );
        for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
        {
!         currentWeightedPositionsGainOrLoss = this.getCurrentWeightedPositionsGainOrLoss(
!       																			 timer, returnsManager, i);
        	currentAbsoluteMove =
          	Math.Abs( currentWeightedPositionsGainOrLoss );
***************
*** 219,223 ****
            currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
            currentDate, this.numberOfTickersToBeChosen,
!           this.portfolioType);
        GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
--- 228,232 ----
            currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
            currentDate, this.numberOfTickersToBeChosen,
!           this.portfolioType, this.benchmark);
        GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 

Index: GenomeManagerBiasedOTC_PVONoThresholds.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedOTC_PVONoThresholds/GenomeManagerBiasedOTC_PVONoThresholds.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerBiasedOTC_PVONoThresholds.cs	9 Apr 2007 18:04:00 -0000	1.2
--- GenomeManagerBiasedOTC_PVONoThresholds.cs	14 Jan 2008 23:07:04 -0000	1.3
***************
*** 24,27 ****
--- 24,28 ----
  using System.Data;
  using System.Collections;
+ 
  using QuantProject.ADT;
  using QuantProject.ADT.Statistics;
***************
*** 29,32 ****
--- 30,39 ----
  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.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
***************
*** 41,50 ****
    public class GenomeManagerBiasedOTC_PVONoThresholds : GenomeManagerForEfficientPortfolio
    {
! 
      public GenomeManagerBiasedOTC_PVONoThresholds(DataTable setOfInitialTickers,
                             DateTime firstQuoteDate,
                             DateTime lastQuoteDate,
                             int numberOfTickersInPortfolio,
!                            PortfolioType inSamplePortfolioType)
                             :
                            base(setOfInitialTickers,
--- 48,59 ----
    public class GenomeManagerBiasedOTC_PVONoThresholds : GenomeManagerForEfficientPortfolio
    {
! 		private ReturnsManager returnsManager;
!   	
      public GenomeManagerBiasedOTC_PVONoThresholds(DataTable setOfInitialTickers,
                             DateTime firstQuoteDate,
                             DateTime lastQuoteDate,
                             int numberOfTickersInPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
                             :
                            base(setOfInitialTickers,
***************
*** 53,149 ****
                            numberOfTickersInPortfolio,
                            0.0,
!                           inSamplePortfolioType)
                                  
                            
      {
!     	this.retrieveData();
      }
      
!     #region Get Min and Max Value
! 
!     public override int GetMinValueForGenes(int genePosition)
!     {
!     	int returnValue;
!       switch (this.portfolioType)
!       {
!         case PortfolioType.OnlyLong :
!           returnValue = 0;
!           break;
!         default://For ShortAndLong or OnlyShort portfolios
!           returnValue = - this.originalNumOfTickers;
!           break;
!       }
!     	return returnValue;
!     }
! 
!     public override int GetMaxValueForGenes(int genePosition)
!     {
!       int returnValue;
!       switch (this.portfolioType)
!       {
!         case PortfolioType.OnlyShort :
!           returnValue = - 1;
!           break;
!         default ://For ShortAndLong or OnlyLong portfolios
!           returnValue = this.originalNumOfTickers - 1;
!           break;
!       }
!     	return returnValue;
!     }																
!   	
!     #endregion
! 												
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       float[] returnValue = new float[2*tickerQuotes.Rows.Count - 1];
!       int j = 0;
!       for(int i = 0;i<tickerQuotes.Rows.Count; i++)
        {
!         //open to close
!         returnValue[j] = (float)tickerQuotes.Rows[i]["quClose"]/
!           (float)tickerQuotes.Rows[i]["quOpen"] - 1;
!         //close to open
!         if(i<tickerQuotes.Rows.Count-1)
!         {
!           returnValue[j+1] = 
!             ( (float)tickerQuotes.Rows[i+1]["quOpen"]*
!             (float)tickerQuotes.Rows[i+1]["quAdjustedClose"]/
!             (float)tickerQuotes.Rows[i+1]["quClose"] )
!             /(float)tickerQuotes.Rows[i]["quAdjustedClose"] - 1;
!         }
!         j += 2 ;
        }
-       this.numberOfExaminedReturns = returnValue.Length;
        return returnValue;
!     }
!     
!     //fitness is a number that indicates how much the portfolio
!     //tends to preserve equity (no gain and no loss), with a low std dev
! 	  public override double GetFitnessValue(Genome genome)
!     {
!       double returnValue = -1.0;
! 	  	this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn( genome.Genes() );
! 	  	//double[] asbolutePortfolioRatesOfReturns = new double[this.portfolioRatesOfReturn.Length];
! //	  	for( int i = 0; i<asbolutePortfolioRatesOfReturns.Length; i++ )
! //	  		asbolutePortfolioRatesOfReturns[i] = Math.Abs(this.portfolioRatesOfReturn[i]);
! 	  	returnValue = BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn);
!             //BasicFunctions.StdDev(this.portfolioRatesOfReturn)  );  //);
!       return returnValue;
!     }
      
!     public override object Decode(Genome genome)
!     {
!       string[] arrayOfTickers = new string[genome.Genes().Length];
!       int indexOfTicker;
!       for(int index = 0; index < genome.Genes().Length; index++)
!       {
!         indexOfTicker = (int)genome.Genes().GetValue(index);
!         arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
!       }
!       GenomeMeaningPVO meaning = new GenomeMeaningPVO(arrayOfTickers,
!                                                       0.0, 0.0, 2);
!       return meaning;
!     }
    }
  }
--- 62,120 ----
                            numberOfTickersInPortfolio,
                            0.0,
!                           inSamplePortfolioType,
!                           benchmark)
                                  
                            
      {
! 			this.setReturnsManager();
      }
      
! 		private void setReturnsManager()
! 		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager = 
! 				new ReturnsManager( new OpenToCloseCloseToOpenIntervals(
! 																firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark) ,
! 														new HistoricalAdjustedQuoteProvider() ); 
! 		}
! 		
!   	private float[] getStrategyReturns_getReturnsActually(
!     									float[] plainReturns)
! 		{
! 			float[] returnValue = new float[plainReturns.Length];
! 			returnValue[0] = 0; //at the very first day the
! 			//first strategy return is equal to 0 because no position
! 			//has been entered
! 			float coefficient = 0;
!     	for(int i = 0; i < returnValue.Length - 1; i++)
        {
!     		if( plainReturns[i] >= 0 )
!     		//portfolio is overbought
!     			coefficient = -1;
!     		else if( plainReturns[i] <= 0 )
!  				//portfolio is oversold   			
!         	coefficient = 1;
!     		//else 
!     		// coefficient = coefficient; the previous coeff is kept
!     		returnValue[i + 1] = coefficient * plainReturns[i + 1];
        }
        return returnValue;
! 		}
      
!     protected override float[] getStrategyReturns()
! 		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
!                							 this.returnsManager);
! 			return this.getStrategyReturns_getReturnsActually(plainReturns);
! 		}
    }
  }

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

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedOTC_PVONoThresholds EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs, 1.2, 1.3 GenomeManagerBiasedOTC_PVONoThresholds.cs, 1.2, 1.3