[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO EndOfDayTimerHandlerBiasedPVO.cs, 1.4, 1.5 EndOfDayTimerHandlerBiasedPVO_OTC.cs, 1.1, 1.2 RunBiasedPVO.cs, 1.3, 1.4 RunBiasedPVO_OTC.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1495/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

Modified Files:
	EndOfDayTimerHandlerBiasedPVO.cs 
	EndOfDayTimerHandlerBiasedPVO_OTC.cs RunBiasedPVO.cs 
	RunBiasedPVO_OTC.cs 
Log Message:
Updated old implementation of the PVO_OTC strategy 

Index: EndOfDayTimerHandlerBiasedPVO_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO_OTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerBiasedPVO_OTC.cs	14 Jan 2008 22:58:11 -0000	1.1
--- EndOfDayTimerHandlerBiasedPVO_OTC.cs	9 Mar 2008 22:40:51 -0000	1.2
***************
*** 138,145 ****
  //  UPDATE WITH DailyOpenToCloseIntervals
  //    	ReturnsManager returnsManager = new ReturnsManager(
! //    		new CloseToCloseIntervals(new EndOfDayDateTime(today.AddDays(-this.numDaysForThresholdsReComputation), EndOfDaySpecificTime.MarketClose),
! //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketClose),
! //		  	                         this.benchmark,
! //		  	                         this.numDaysForOscillatingPeriod),
  //		  	new HistoricalAdjustedQuoteProvider() );
  //    	//double returnsAverage;
--- 138,144 ----
  //  UPDATE WITH DailyOpenToCloseIntervals
  //    	ReturnsManager returnsManager = new ReturnsManager(
! //    		new CloseToOpenIntervals(new EndOfDayDateTime(today.AddDays(-this.numDaysForThresholdsReComputation), EndOfDaySpecificTime.MarketClose),
! //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
! //		  	                         this.benchmark),
  //		  	new HistoricalAdjustedQuoteProvider() );
  //    	//double returnsAverage;

Index: EndOfDayTimerHandlerBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerBiasedPVO.cs	14 Jan 2008 23:07:03 -0000	1.4
--- EndOfDayTimerHandlerBiasedPVO.cs	9 Mar 2008 22:40:51 -0000	1.5
***************
*** 353,357 ****
  			//positions that have just been closed
  			{
! 				AccountManager.OpenPositions(weightedPositions, this.account);
  				this.portfolioHasBeenOverbought = overboughtPortfolio;
  				this.portfolioHasBeenOversold = !overboughtPortfolio;
--- 353,357 ----
  			//positions that have just been closed
  			{
! 				AccountManager.OpenPositions(weightedPositions, this.account, 30000);
  				this.portfolioHasBeenOverbought = overboughtPortfolio;
  				this.portfolioHasBeenOversold = !overboughtPortfolio;

Index: RunBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunBiasedPVO.cs	14 Jan 2008 23:07:03 -0000	1.3
--- RunBiasedPVO.cs	9 Mar 2008 22:40:51 -0000	1.4
***************
*** 177,181 ****
      
         
! 		private void saveScriptResults_saveScriptFeaturesToLogFile(string nameForScriptFiles)
  		{
  			string pathFile = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
--- 177,181 ----
      
         
! 		protected void saveScriptResults_saveScriptFeaturesToLogFile(string nameForScriptFiles)
  		{
  			string pathFile = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +

Index: RunBiasedPVO_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO_OTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunBiasedPVO_OTC.cs	14 Jan 2008 22:58:11 -0000	1.1
--- RunBiasedPVO_OTC.cs	9 Mar 2008 22:40:51 -0000	1.2
***************
*** 115,122 ****
      }
      
! //		protected override void run_initializeHistoricalQuoteProvider()
! //    {
! //    	this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
! //    }
  		
  		protected override void run_initializeAccount()
--- 115,122 ----
      }
      
! 		protected override void run_initializeHistoricalQuoteProvider()
!     {
!     	this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
!     }
  		
  		protected override void run_initializeAccount()
***************
*** 171,174 ****
--- 171,216 ----
  			                                                              this.minimumAcceptableGain);
      }
+ 		
+ 		public override void SaveScriptResults()
+ 		{
+ 			string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
+ 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
+ 				DateTime.Now.Second.ToString().PadLeft(2,'0') + "_" +
+ 				this.scriptName +  "GenOS_" + this.numOfDifferentGenomesToEvaluateOutOfSample +
+ 				"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
+ 				"_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
+ 				this.numberOfTickersToBeChosen + "GenN°" + 
+ 				this.generationNumberForGeneticOptimizer +
+ 				"PopSize" + this.populationSizeForGeneticOptimizer +
+ 				Convert.ToString(this.portfolioType);
+ 			string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
+ 				"\\" + this.ScriptName + "\\";
+ 			string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
+ 				"\\" + this.ScriptName + "\\";
+ 			string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
+ 				"\\" + this.ScriptName + "\\";
+       
+ 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
+ 			if( this.PathOfFileContainingGenomes == null )
+ 			{
+ 				OptimizationOutput optimizationOutput = new OptimizationOutput();
+ 				foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
+ 					optimizationOutput.Add(genomeRepresentation);
+ 				ObjectArchiver.Archive(optimizationOutput,
+ 					dirNameWhereToSaveBestGenomes + 
+ 					fileName + ".bgn");
+ 			}
+ 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
+ 			AccountReport accountReport = this.account.CreateReport(fileName,1,
+ 				this.endOfDayTimer.GetCurrentTime(),
+ 				this.benchmark,
+ 				this.historicalQuoteProvider);
+ 			ObjectArchiver.Archive(accountReport,
+ 				dirNameWhereToSaveReports + 
+ 				fileName + ".qPr");
+ 			this.saveScriptResults_saveScriptFeaturesToLogFile(fileName);      
+ 			this.endOfDayTimer.Stop();
+ 		}
+ 
    }
  }