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

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7565

Added Files:
	PVO_OTCLogItem.cs PVO_OTCMain.cs PVO_OTCStrategy.cs 
Log Message:
Added objects for the PVO implementation (OTC and CTC)

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

PVO_OTCLogItem.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 QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Financial.Accounting.AccountProviding;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Scripts.General.Reporting;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
  /// <summary>
  /// LogItem for the PVO_OTC strategy
  /// portfolio value oscillator strategy
  /// </summary>
  [Serializable]
  public class PVO_OTCLogItem : PVOLogItem
  {

		public PVO_OTCLogItem(EndOfDayDateTime endOfDayDateTime )
			: base( endOfDayDateTime )
		{

		}

		public override void Run()
		{
			//general
			int inSampleDays = 120;
			DateTime firstDateTime = this.SimulatedCreationTime.DateTime.AddDays(-inSampleDays);
			DateTime lastDateTime = this.SimulatedCreationTime.DateTime;
			double maxRunningHours = 1;
			Benchmark benchmark = new Benchmark( "^GSPC" );
			// definition for the Fitness Evaluator (for
			// objects that use it)
			int	numberOfPortfolioPositions =
				this.BestPVOPositionsInSample[0].WeightedPositions.Count;
			//cash and portfolio type
			double cashToStart = 30000;

			HistoricalQuoteProvider historicalQuoteProviderForBackTester,
				historicalQuoteProviderForInSampleChooser,
				historicalQuoteProviderForStrategy;
			historicalQuoteProviderForBackTester =
				new HistoricalAdjustedQuoteProvider();
			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;

			IEligiblesSelector eligiblesSelector =
				new DummyEligibleSelector();
			//strategyParameters
			TestingPositions[] positionsToTest =
				new TestingPositions[this.bestPVOPositionsInSample.Length];
			positionsToTest = this.bestPVOPositionsInSample;
			PVO_OTCStrategy strategy =
				new PVO_OTCStrategy(eligiblesSelector,
				positionsToTest, inSampleDays,
				benchmark ,
				int.MaxValue ,
				((PVOPositions)positionsToTest[0]).OversoldThreshold,
				((PVOPositions)positionsToTest[0]).OverboughtThreshold,
				historicalQuoteProviderForStrategy);

			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
				"PVO_OTC" , strategy ,
				historicalQuoteProviderForBackTester , 
				new SimpleAccountProvider(),
				firstDateTime ,
				lastDateTime , benchmark , cashToStart , maxRunningHours );

			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
			// constructor
			strategy.Account = endOfDayStrategyBackTester.Account;
			endOfDayStrategyBackTester.Run();
			BackTesterReportViewer.ShowReport( lastDateTime ,
				endOfDayStrategyBackTester );
		}
	}
}

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

PVO_OTCMain.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.Collections;
using System.IO;

using QuantProject.ADT;
using QuantProject.ADT.FileManaging;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Financial.Accounting.AccountProviding;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Presentation;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.Decoding;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.FitnessEvaluators;
using QuantProject.Scripts.General.Logging;
using QuantProject.Scripts.General.Reporting;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
	/// <summary>
	/// Entry point for the PVO_OTC strategy. If any strategy
	/// parameter had to be changed, this is the place where it should
	/// be done
	/// </summary>
	public class PVO_OTCMain
	{
		private string strategyIdentifier;
		private string fileNameWithoutExt;
		private string dirNameWhereToSaveResults;

		public PVO_OTCMain()
		{
			this.strategyIdentifier = "PVO_OTC";
		}

		private void setFileNamesAndDirectory(EndOfDayStrategyBackTester endOfDayStrategyBackTester)
		{
			if(this.fileNameWithoutExt == null)
			{
				this.fileNameWithoutExt = this.strategyIdentifier + "_" +
																	DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
    															DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
																	DateTime.Now.Second.ToString().PadLeft(2,'0');
			  this.dirNameWhereToSaveResults = System.Configuration.ConfigurationSettings.AppSettings["LogArchive"] +
                         								 "\\" + fileNameWithoutExt + "\\";

      	if( !Directory.Exists(dirNameWhereToSaveResults) )
    			Directory.CreateDirectory(dirNameWhereToSaveResults);
			}
		}

		#region Run
		private MessageManager setMessageManager(
			IEligiblesSelector eligiblesSelector ,
			IInSampleChooser inSampleChooser ,
			IEndOfDayStrategy endOfDayStrategy ,
			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
		{
			this.setFileNamesAndDirectory(endOfDayStrategyBackTester);

      string fullPathFileNameForMessagesLog = dirNameWhereToSaveResults + 
      																				this.fileNameWithoutExt +
      																				"LogMessages.txt";
			MessageManager messageManager =
				new MessageManager( fullPathFileNameForMessagesLog );
			messageManager.Monitor( eligiblesSelector );
			messageManager.Monitor( inSampleChooser );
			//			messageManager.Monitor( endOfDayStrategy );
			messageManager.Monitor( endOfDayStrategyBackTester );
			return messageManager;
		}

		// TO DO check if you can add this to QuantProject.Presentation.Reporting.WindowsForm.Report
		// as a public method or as a new constructor
//		private void showReport(
//			DateTime lastDateTimeRequestedForTheScript ,
//			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
//		{			
////			DateTime lastReportDateTime = ExtendedDateTime.Min(
////				lastDateTimeRequestedForTheScript ,
////				endOfDayStrategyBackTester.EndOfDayTimer.GetCurrentTime().DateTime );
//			DateTime lastReportDateTime =
//				endOfDayStrategyBackTester.ActualLastDateTime;
//			Report report = new Report(
//				endOfDayStrategyBackTester.AccountReport ,
//				true );
//			report.Create( endOfDayStrategyBackTester.DescriptionForLogFileName , 1 ,
//				new EndOfDayDateTime( lastReportDateTime ,
//				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
//				endOfDayStrategyBackTester.Benchmark.Ticker );
//			report.Show();
//		}

		//Saves (in silent mode):
		//- a log file where the In Sample Analysis are
		//  stored;
		//- a report;
		//- a txt file with a full description of the
		//  strategy's features
		private void saveScriptResults( EndOfDayStrategyBackTester endOfDayStrategyBackTester )
		{
			this.setFileNamesAndDirectory(endOfDayStrategyBackTester);
      string fullPathFileNameForLog = dirNameWhereToSaveResults +
      																this.fileNameWithoutExt + ".qpL";
      string fullPathFileNameForReport = dirNameWhereToSaveResults + 
      																	 this.fileNameWithoutExt + ".qpR";
      string fullPathFileNameForParametersLog = dirNameWhereToSaveResults + 
      																					this.fileNameWithoutExt + "_Parameters.txt";
      ObjectArchiver.Archive(endOfDayStrategyBackTester.Log,
                             fullPathFileNameForLog);
      ObjectArchiver.Archive(endOfDayStrategyBackTester.AccountReport,
                             fullPathFileNameForReport);
      StreamWriter w = File.AppendText(fullPathFileNameForParametersLog);
      w.WriteLine ("\n---\r\n");
      w.WriteLine ( endOfDayStrategyBackTester.Description );
      w.WriteLine ("\n---\r\n");
			w.Flush();
			w.Close();
 		}

		public void Run()
		{
			//general
			DateTime firstDateTime = new DateTime( 2000 , 6 , 1 );
			DateTime lastDateTime = new DateTime( 2005 , 12 , 31 );
			double maxRunningHours = 1.5;
			Benchmark benchmark = new Benchmark( "^GSPC" );
			// definition for the Fitness Evaluator (for
			// objects that use it)
      //IEquityEvaluator equityEvaluator = new SharpeRatio();
     	//cash and portfolio type
			double cashToStart = 30000;
			//int numberOfPortfolioPositions = 4;

			// parameters for the in sample Chooser
			//double crossoverRate = 0.85;
			//double mutationRate = 0.02;
			//double elitismRate = 0.001;
			//int populationSizeForGeneticOptimizer = 500;
//			int generationNumberForGeneticOptimizer = 10;
			int numberOfBestTestingPositionsToBeReturnedInSample = 8;
//			int seedForRandomGenerator =
//				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
      int numDaysBetweenEachOptimization = 15;
//			int minLevelForOversoldThreshold = 50;
//      int maxLevelForOversoldThreshold = 100;
//      int minLevelForOverboughtThreshold = 50;
//      int maxLevelForOverboughtThreshold = 100;
//      int divisorForThresholdComputation = 10000;
//      int numDaysForOscillatingPeriodForChooser = 1; //for genetic optimization
//      bool symmetricalThresholds = true;
//      bool overboughtMoreThanOversoldForFixedPortfolio = false;
//      double maxAcceptableCloseToCloseDrawdown = 0.03;
//      double minimumAcceptableGain = 0.008;
//      IDecoderForTestingPositions decoderForTestingPositions
//      	= new BasicDecoderForPVOPositions(symmetricalThresholds, divisorForThresholdComputation ,
//																				  numDaysForOscillatingPeriodForChooser);
//      IFitnessEvaluator	fitnessEvaluator =
//				new PVOFitnessEvaluator( equityEvaluator );
      HistoricalQuoteProvider historicalQuoteProviderForBackTester,
															historicalQuoteProviderForInSampleChooser,
															historicalQuoteProviderForStrategy;
			historicalQuoteProviderForBackTester =
				new HistoricalAdjustedQuoteProvider();
			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;

			IInSampleChooser inSampleChooser =
				new PVO_OTCCorrelationChooser(numberOfBestTestingPositionsToBeReturnedInSample);
			//parameters for eligiblesSelector
			bool temporizedGroup = true;
			double minRawOpenPrice = 25;
			double maxRawOpenPrice = 500;
			int numDaysForAverageOpenRawPrice = 20;
			string tickersGroupId = "SP500";
      int maxNumberOfEligiblesToBeChosen = 100;
			IEligiblesSelector eligiblesSelector =
				new ByPriceMostLiquidAlwaysQuoted(
				tickersGroupId , temporizedGroup, maxNumberOfEligiblesToBeChosen,
				numDaysForAverageOpenRawPrice ,
				minRawOpenPrice , maxRawOpenPrice );
			//strategyParameters
			double oversoldThreshold = 0.0075;
			double overboughtThreshold = 0.0075;
			int inSampleDays = 120;
			PVO_OTCStrategy strategy =
				new PVO_OTCStrategy(eligiblesSelector,
					inSampleChooser, inSampleDays,
					benchmark ,
					numDaysBetweenEachOptimization ,
					oversoldThreshold , overboughtThreshold ,
					historicalQuoteProviderForStrategy );

			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
					this.strategyIdentifier , strategy ,
				historicalQuoteProviderForBackTester , new SimpleAccountProvider(),firstDateTime ,
					lastDateTime , benchmark , cashToStart , maxRunningHours );

			MessageManager messageManager = this.setMessageManager(
				eligiblesSelector , inSampleChooser ,
				strategy , endOfDayStrategyBackTester );
			endOfDayStrategyBackTester.Run();
			this.saveScriptResults(endOfDayStrategyBackTester);
		}

		#endregion Run

	}
}

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

PVO_OTCStrategy.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.Messaging;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Data;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Scripts.WalkForwardTesting.LinearCombination;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
	/// <summary>
  /// Implements MarketOpenEventHandler and MarketCloseEventHandler
  /// These handlers contain the core strategy for the Portfolio Value
  /// Oscillator
  /// </summary>
  [Serializable]
  public class PVO_OTCStrategy : IEndOfDayStrategyForBacktester
  {
		public event NewLogItemEventHandler NewLogItem;
		public event NewMessageEventHandler NewMessage;

		//initialized by the constructor
  	protected int inSampleDays;
    protected int numDaysBetweenEachOptimization;
    protected IInSampleChooser inSampleChooser;
    protected IEligiblesSelector eligiblesSelector;
    protected Benchmark benchmark;
    protected HistoricalQuoteProvider historicalQuoteProvider;
    protected double oversoldThreshold;
    protected double overboughtThreshold;
    //initialized after constructor's call
    protected int numDaysElapsedSinceLastOptimization;
    protected ReturnsManager returnsManager;
		protected TestingPositions[] chosenPVOPositions;
		//chosen in sample: these are the eligible positions for out
		//of sample testing
		protected PVOPositions pvoPositionsForOutOfSample;
    protected DateTime lastCloseDate;
    protected Account account;
    public Account Account
		{
    	get { return this.account; }
    	set { this.account = value; }
		}

    private string description_GetDescriptionForChooser()
    {
    	if(this.inSampleChooser == null)
    		return "ConstantChooser";
    	else
    		return this.inSampleChooser.Description;	
    }

		public string Description
		{
			get
			{
				string description =
					"PVO_OTC\n" +
					"Tickers_" + "2\n" +
					"_inSampleDays_" + this.inSampleDays.ToString() + "\n" +
					this.eligiblesSelector.Description + "\n" +
					"oversoldThreshold_" + this.oversoldThreshold.ToString() + "\n" +
					"overboughtThreshold_" + this.overboughtThreshold.ToString() + "\n" +
					this.description_GetDescriptionForChooser() + "\n" +
					"Optimization each " + this.numDaysBetweenEachOptimization.ToString() + " days";
				return description;
			}
		}

		public bool StopBacktestIfMaxRunningHoursHasBeenReached
		{
			get
			{
				return true;
			}
		}

		private void pvo_otcStrategy(IEligiblesSelector eligiblesSelector,
			int inSampleDays,
			Benchmark benchmark,
			int numDaysBetweenEachOptimization,
			double oversoldThreshold,
			double overboughtThreshold,
			HistoricalQuoteProvider historicalQuoteProvider)
		{
			this.eligiblesSelector = eligiblesSelector;
			this.inSampleDays = inSampleDays;
			this.benchmark = benchmark;
			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
			this.oversoldThreshold = oversoldThreshold;
			this.overboughtThreshold = overboughtThreshold;
			this.historicalQuoteProvider = historicalQuoteProvider;
		}

    public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
																IInSampleChooser inSampleChooser,
																int inSampleDays,
																Benchmark benchmark,
																int numDaysBetweenEachOptimization,
																double oversoldThreshold,
																double overboughtThreshold,
                                HistoricalQuoteProvider historicalQuoteProvider)

    {
			this.pvo_otcStrategy(eligiblesSelector, inSampleDays , benchmark , numDaysBetweenEachOptimization ,
				oversoldThreshold, overboughtThreshold,
				historicalQuoteProvider);
			this.inSampleChooser = inSampleChooser;
    }

		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
			TestingPositions[] chosenPVOPositions,
			int inSampleDays,
			Benchmark benchmark,
			int numDaysBetweenEachOptimization,
			double oversoldThreshold,
			double overboughtThreshold,
			HistoricalQuoteProvider historicalQuoteProvider)

		{
			this.pvo_otcStrategy(eligiblesSelector, inSampleDays , benchmark , numDaysBetweenEachOptimization ,
				oversoldThreshold, overboughtThreshold, historicalQuoteProvider);
			this.chosenPVOPositions = chosenPVOPositions;
		}

		#region MarketOpenEventHandler

		protected virtual EndOfDayDateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
		{
			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"],
				EndOfDaySpecificTime.MarketClose );
		}

		private PVOPositionsStatus marketOpenEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
    {
    	EndOfDayDateTime today = timer.GetCurrentTime();
    	EndOfDayDateTime beginOfOscillatingPeriod =
    		this.getBeginOfOscillatingPeriod(timer);
    	PVOPositionsStatus currentStatus = 
    		PVOPositionsStatus.InTheMiddle;
    	for(int i = 0; i<this.chosenPVOPositions.Length; i++)
    	{
    		if(this.chosenPVOPositions[i] != null)
    			currentStatus = 
    				((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
    				                                     this.benchmark.Ticker, this.historicalQuoteProvider);
    		if(currentStatus == PVOPositionsStatus.Oversold ||
    		   currentStatus == PVOPositionsStatus.Overbought )
    		{	
					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
					i = this.chosenPVOPositions.Length;//exit from for
				}
     	}
    		return currentStatus;
    }

		protected void marketOpenEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
		{
			PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
			if(timer.CurrentDateArrayPosition >= 1)
				pvoPositionsStatus = 
					this.marketOpenEventHandler_openPositions_getStatus(timer);
			switch (pvoPositionsStatus)
			{
				case PVOPositionsStatus.Overbought:
				{
    			#region manage Overbought case
					this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
					try
					{
						AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
							this.account );
					}
					catch(Exception ex)
					{
						ex = ex;
					}
					finally
					{
						this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
					}
      		#endregion
					break;
				}
				case PVOPositionsStatus.Oversold:
				{
    			AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
						this.account );
					break;
				}
				case PVOPositionsStatus.InTheMiddle://that is
				{  //pvoPositionsForOutOfSample has not been set

					break;
				}
				default:
				{
					//it should never been reached
					break;
				}
			}
		}

    public virtual void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
			if ( this.account.Portfolio.Count == 0 &&
					 this.chosenPVOPositions != null )
					//portfolio is empty and optimization has
				  //been already launched
			{
				try{
					this.marketOpenEventHandler_openPositions( (IndexBasedEndOfDayTimer)sender );
				}
				catch(TickerNotExchangedException ex)
				{ex=ex;}
			}
    }

		#endregion

		public void FiveMinutesBeforeMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
		}

		private EndOfDayDateTime now()
		{
			return this.account.EndOfDayTimer.GetCurrentTime();
		}

    public virtual void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
			if(this.account.Portfolio.Count > 0)
				AccountManager.ClosePositions(this.account);
		}

    #region OneHourAfterMarketCloseEventHandler

		protected virtual void updateReturnsManager(EndOfDayDateTime firstEndOfDayDateTime,
			EndOfDayDateTime lastEndOfDayDateTime)
		{
			this.returnsManager = 
				new ReturnsManager( new DailyOpenToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
				                                                  this.benchmark.Ticker ) ,
				                        this.historicalQuoteProvider);
		}

		private PVO_OTCLogItem getLogItem( EligibleTickers eligibleTickers )
		{
			PVO_OTCLogItem logItem =
				new PVO_OTCLogItem( this.now() );
			logItem.BestPVOPositionsInSample =
				this.chosenPVOPositions;
			logItem.NumberOfEligibleTickers =
				eligibleTickers.Count;
			logItem.FitnessOfFirst = 
				this.chosenPVOPositions[0].FitnessInSample;
			logItem.FitnessOfLast = 
				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].FitnessInSample;
//			logItem.GenerationOfFirst = 
//				((IGeneticallyOptimizable)this.chosenPVOPositions[0]).Generation;
//			logItem.GenerationOfLast = 
//				((IGeneticallyOptimizable)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).Generation;
			logItem.ThresholdsOfFirst = 
				((PVOPositions)this.chosenPVOPositions[0]).OversoldThreshold.ToString() + ";" +
				((PVOPositions)this.chosenPVOPositions[0]).OverboughtThreshold.ToString();
			logItem.ThresholdsOfLast = 
				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OversoldThreshold.ToString() + ";" +
				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OverboughtThreshold.ToString();
			logItem.TickersOfFirst = 
				this.chosenPVOPositions[0].HashCodeForTickerComposition;
			logItem.TickersOfLast = 
				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].HashCodeForTickerComposition;
			return logItem;
		}
		private void raiseNewLogItem( EligibleTickers eligibleTickers )
		{
			PVO_OTCLogItem logItem =
				this.getLogItem( eligibleTickers );
			NewLogItemEventArgs newLogItemEventArgs =
				new NewLogItemEventArgs( logItem );
			this.NewLogItem( this , newLogItemEventArgs );
		}
		private void notifyMessage( EligibleTickers eligibleTickers )
		{
			string message = "Number of Eligible tickers: " +
				eligibleTickers.Count;
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if ( this.NewMessage != null )
				this.NewMessage( this , newMessageEventArgs );
		}
		private void logOptimizationInfo( EligibleTickers eligibleTickers )
		{
			this.raiseNewLogItem( eligibleTickers );
			this.notifyMessage( eligibleTickers );
		}

		private void updateTestingPositions_updateThresholds()
		{
			for(int i = 0; i<this.chosenPVOPositions.Length; i++)
			{
				((PVOPositions)this.chosenPVOPositions[i]).OversoldThreshold =
					this.oversoldThreshold;
				((PVOPositions)this.chosenPVOPositions[i]).OverboughtThreshold =
					this.overboughtThreshold;
			}
		}

    protected virtual void updateTestingPositions(DateTime currentDate)
    {
			EndOfDayHistory endOfDayHistory =
				this.benchmark.GetEndOfDayHistory(
				new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
				EndOfDaySpecificTime.MarketOpen),
				new EndOfDayDateTime(currentDate,
				EndOfDaySpecificTime.MarketClose));
			EligibleTickers eligibles = 
				this.eligiblesSelector.GetEligibleTickers(endOfDayHistory);
			this.updateReturnsManager(endOfDayHistory.FirstEndOfDayDateTime,
			                          endOfDayHistory.LastEndOfDayDateTime);
			if(this.inSampleChooser != null)
				this.chosenPVOPositions = (TestingPositions[])inSampleChooser.AnalyzeInSample(eligibles, this.returnsManager);
			this.updateTestingPositions_updateThresholds();
			this.logOptimizationInfo(eligibles);
    }

    /// <summary>
    /// Handles a "One hour after market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public virtual void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
      this.numDaysElapsedSinceLastOptimization++;
      if((this.numDaysElapsedSinceLastOptimization == 
            this.numDaysBetweenEachOptimization))
      //num days without optimization has elapsed
      {
        this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
        //sets tickers to be chosen next Market Close event
        this.numDaysElapsedSinceLastOptimization = 0;
      }

    }
		#endregion
  }
}

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

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