[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers PVOCorrelationChooser.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8127/InSampleChoosers

Modified Files:
	PVOCorrelationChooser.cs 
Log Message:
Updated objects implementing the PVO strategy

Index: PVOCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVOCorrelationChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVOCorrelationChooser.cs	9 Mar 2008 22:49:23 -0000	1.1
--- PVOCorrelationChooser.cs	12 Mar 2008 22:05:32 -0000	1.2
***************
*** 40,44 ****
  	/// requested number of PVOPositions (positions for the PVO strategy)
  	/// </summary>
! 	public class PVOCorrelationChooser : IInSampleChooser
  	{
  		public event NewProgressEventHandler NewProgress;
--- 40,44 ----
  	/// requested number of PVOPositions (positions for the PVO strategy)
  	/// </summary>
! 	public abstract class PVOCorrelationChooser : IInSampleChooser
  	{
  		public event NewProgressEventHandler NewProgress;
***************
*** 47,52 ****
  		protected CorrelationProvider correlationProvider;
  		protected int numberOfBestTestingPositionsToBeReturned;
- 		protected double oversoldThreshold;
- 		protected double overboughtThreshold;
  		protected int numDaysForOscillatingPeriod;
  		
--- 47,50 ----
***************
*** 55,60 ****
  			get
  			{
! 				string description = "PVOCorrelationChooser_" +
! 														 this.correlationProvider.GetType().ToString();
  				return description;
  			}
--- 53,60 ----
  			get
  			{
! 				string description = "CorrelationChooserType:\n" +
! 														 this.correlationProvider.GetType().ToString() + "\n" +
! 														 "NumOfTickersReturned:\n" +
! 														 this.numberOfBestTestingPositionsToBeReturned.ToString();
  				return description;
  			}
***************
*** 75,84 ****
  		/// </param>
  		public PVOCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
! 			double oversoldThreshold, double overboughtThreshold,
! 			int numDaysForOscillatingPeriod)
  		{
  			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
- 			this.oversoldThreshold = oversoldThreshold;
- 			this.overboughtThreshold = overboughtThreshold;
  			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
  		}
--- 75,81 ----
  		/// </param>
  		public PVOCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
! 														     int numDaysForOscillatingPeriod)
  		{
  			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
  			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
  		}
***************
*** 95,109 ****
  		}
  								
! 		protected virtual void setCorrelationProvider(EligibleTickers eligibleTickers ,
! 			ReturnsManager returnsManager)
! 		{
! 			this.correlationProvider = 
! 				new OpenToCloseCorrelationProvider(eligibleTickers.Tickers, returnsManager,
! 																					 0.0001f, 0.5f);
! 		}
  		
! 		protected virtual PVOPositions getTestingPositions(WeightedPositions weightedPositions)
  		{
! 			return new PVOPositions(weightedPositions, this.oversoldThreshold, this.overboughtThreshold, this.numDaysForOscillatingPeriod );
  		}
  
--- 92,102 ----
  		}
  								
! 		protected abstract void setCorrelationProvider(EligibleTickers eligibleTickers ,
! 			ReturnsManager returnsManager);
  		
! 		protected PVOPositions getTestingPositions(WeightedPositions weightedPositions)
  		{
! 			return new PVOPositions(weightedPositions, 0.0, 0.0,
! 			                        this.numDaysForOscillatingPeriod );
  		}
  
***************
*** 124,127 ****
--- 117,122 ----
  				WeightedPositions weightedPositions = new WeightedPositions(signedTickers);
  				bestTestingPositions[i] = this.getTestingPositions(weightedPositions);
+ 				((PVOPositions)bestTestingPositions[i]).FitnessInSample = 
+ 					correlations[correlations.Length - 1 -i].CorrelationValue;
  			}	
  			return bestTestingPositions;