[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-serv8127

Modified Files:
	PVOLogItem.cs PVOMain.cs PVOStrategy.cs 
Log Message:
Updated objects implementing the PVO strategy

Index: PVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVOStrategy.cs	9 Mar 2008 22:49:25 -0000	1.1
--- PVOStrategy.cs	12 Mar 2008 22:05:33 -0000	1.2
***************
*** 84,88 ****
      public Account Account
  		{
! 			set { this.account = value; }
  		}
      protected bool stopLossConditionReached;
--- 84,89 ----
      public Account Account
  		{
! 			get { return this.account; }
!     	set { this.account = value; }
  		}
      protected bool stopLossConditionReached;

Index: PVOMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOMain.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVOMain.cs	9 Mar 2008 22:49:24 -0000	1.1
--- PVOMain.cs	12 Mar 2008 22:05:33 -0000	1.2
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Strategies.Eligibles;
  using QuantProject.Business.Strategies.EquityEvaluation;
***************
*** 100,125 ****
  			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
--- 101,105 ----
  			return messageManager;
  		}
! 			
  		//Saves (in silent mode):
  		//- a log file where the In Sample Analysis are
***************
*** 153,157 ****
  			//general
  			DateTime firstDateTime = new DateTime( 2000 , 6 , 1 );
! 			DateTime lastDateTime = new DateTime( 2000 , 7 , 31 );
  			double maxRunningHours = 5;
  			Benchmark benchmark = new Benchmark( "^GSPC" );
--- 133,137 ----
  			//general
  			DateTime firstDateTime = new DateTime( 2000 , 6 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 6 , 1 );
  			double maxRunningHours = 5;
  			Benchmark benchmark = new Benchmark( "^GSPC" );
***************
*** 164,184 ****
  			      
  			// 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 = 5;
  			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;
--- 144,164 ----
  			      
  			// 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 = 5;
  			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;
***************
*** 195,210 ****
  			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
  			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
! 						
  			IInSampleChooser inSampleChooser =
! 				new PVOGeneticChooser(numDaysForOscillatingPeriodForChooser ,
! 				numberOfPortfolioPositions , numberOfBestTestingPositionsToBeReturnedInSample, 
! 				benchmark, decoderForTestingPositions , fitnessEvaluator ,
! 				historicalQuoteProviderForInSampleChooser , 			 
! 				crossoverRate , mutationRate , elitismRate ,
! 				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
! 				seedForRandomGenerator , minLevelForOversoldThreshold ,
! 				maxLevelForOversoldThreshold , minLevelForOverboughtThreshold ,
! 				maxLevelForOverboughtThreshold , divisorForThresholdComputation , 
! 				symmetricalThresholds , overboughtMoreThanOversoldForFixedPortfolio );
  			//parameters for eligiblesSelector
  			bool temporizedGroup = true;
--- 175,194 ----
  			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
  			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
! 			
! //			IInSampleChooser inSampleChooser =
! //				new PVOGeneticChooser(numDaysForOscillatingPeriodForChooser ,
! //				numberOfPortfolioPositions , numberOfBestTestingPositionsToBeReturnedInSample, 
! //				benchmark, decoderForTestingPositions , fitnessEvaluator ,
! //				historicalQuoteProviderForInSampleChooser , 			 
! //				crossoverRate , mutationRate , elitismRate ,
! //				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
! //				seedForRandomGenerator , minLevelForOversoldThreshold ,
! //				maxLevelForOversoldThreshold , minLevelForOverboughtThreshold ,
! //				maxLevelForOverboughtThreshold , divisorForThresholdComputation , 
! //				symmetricalThresholds , overboughtMoreThanOversoldForFixedPortfolio );
! 			
  			IInSampleChooser inSampleChooser =
! 				new PVO_CTCCorrelationChooser(numberOfBestTestingPositionsToBeReturnedInSample,
! 				                              numDaysForOscillatingPeriodForChooser);
  			//parameters for eligiblesSelector
  			bool temporizedGroup = true;
***************
*** 235,245 ****
  				new EndOfDayStrategyBackTester(
  					this.strategyIdentifier , strategy ,
! 					historicalQuoteProviderForBackTester , firstDateTime ,
  					lastDateTime , benchmark , cashToStart , maxRunningHours );
  
- 			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
- 			// constructor
- 			strategy.Account = endOfDayStrategyBackTester.Account;
- 
  			MessageManager messageManager = this.setMessageManager(
  				eligiblesSelector , inSampleChooser ,
--- 219,226 ----
  				new EndOfDayStrategyBackTester(
  					this.strategyIdentifier , strategy ,
! 					historicalQuoteProviderForBackTester ,
! 				  new SimpleAccountProvider(), firstDateTime ,
  					lastDateTime , benchmark , cashToStart , maxRunningHours );
  
  			MessageManager messageManager = this.setMessageManager(
  				eligiblesSelector , inSampleChooser ,
***************
*** 251,262 ****
  		#endregion Run
  		
- 		public void Run1()
- 		{
- 			BackTestLog backTestLog = 
- 				LogArchiver.Load( System.Configuration.ConfigurationSettings.AppSettings["LogArchive"] );
- 			LogViewer logViewer =
- 				new LogViewer( backTestLog );
- 			logViewer.Show();
- 		}
  	}
  }
--- 232,235 ----

Index: PVOLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOLogItem.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVOLogItem.cs	9 Mar 2008 22:49:24 -0000	1.1
--- PVOLogItem.cs	12 Mar 2008 22:05:33 -0000	1.2
***************
*** 25,28 ****
--- 25,29 ----
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Strategies.Eligibles;
  using QuantProject.Business.Strategies.InSample;
***************
*** 45,59 ****
    public class PVOLogItem : LogItem
    {
! //		static public Random rand = new Random(4676);
! 		private TestingPositions[] bestPVOPositionsInSample;
! 		private int numberOfEligibleTickers;
! 		private double fitnessOfFirstPVOPositionsInSample;
! 		private double fitnessOfLastPVOPositionsInSample;
! 		private int generationOfFirstPVOPositionsInSample;
! 		private int generationOfLastPVOPositionsInSample;
! 		private string thresholdsOfFirst;
! 		private string thresholdsOfLast;
! 		private string tickersOfFirst;
! 		private string tickersOfLast;
  		
  		public TestingPositions[] BestPVOPositionsInSample
--- 46,59 ----
    public class PVOLogItem : LogItem
    {
! 		protected TestingPositions[] bestPVOPositionsInSample;
! 		protected int numberOfEligibleTickers;
! 		protected double fitnessOfFirstPVOPositionsInSample;
! 		protected double fitnessOfLastPVOPositionsInSample;
! 		protected int generationOfFirstPVOPositionsInSample;
! 		protected int generationOfLastPVOPositionsInSample;
! 		protected string thresholdsOfFirst;
! 		protected string thresholdsOfLast;
! 		protected string tickersOfFirst;
! 		protected string tickersOfLast;
  		
  		public TestingPositions[] BestPVOPositionsInSample
***************
*** 191,195 ****
  				new EndOfDayStrategyBackTester(
  				"PVO" , strategy ,
! 				historicalQuoteProviderForBackTester , firstDateTime ,
  				lastDateTime , benchmark , cashToStart , maxRunningHours );
  
--- 191,196 ----
  				new EndOfDayStrategyBackTester(
  				"PVO" , strategy ,
! 				historicalQuoteProviderForBackTester ,
! 				new SimpleAccountProvider(), firstDateTime ,
  				lastDateTime , benchmark , cashToStart , maxRunningHours );

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

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVOLogItem.cs, 1.1, 1.2 PVOMain.cs, 1.1, 1.2 PVOStrategy.cs, 1.1, 1.2