[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVO_OTCStrategy.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14571/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	PVO_OTCStrategy.cs 
Log Message:
NumDaysBetweenEachOptimization now stands for calendar days (optimization 
is launched the same days as the PairTrading strategy)

Index: PVO_OTCStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PVO_OTCStrategy.cs	1 Apr 2008 21:34:52 -0000	1.2
--- PVO_OTCStrategy.cs	8 Apr 2008 22:03:00 -0000	1.3
***************
*** 78,81 ****
--- 78,82 ----
  		protected PVOPositions pvoPositionsForOutOfSample;
      protected DateTime lastCloseDate;
+ 		protected DateTime lastOptimizationDateTime;
      protected Account account;
      public Account Account
***************
*** 294,298 ****
  		{
  			PVO_OTCLogItem logItem =
! 				new PVO_OTCLogItem( this.now() );
  			logItem.BestPVOPositionsInSample =
  				this.chosenPVOPositions;
--- 295,299 ----
  		{
  			PVO_OTCLogItem logItem =
! 				new PVO_OTCLogItem( this.now() , this.inSampleDays );
  			logItem.BestPVOPositionsInSample =
  				this.chosenPVOPositions;
***************
*** 371,374 ****
--- 372,391 ----
      }
      
+ 		private bool optimalTestingPositionsAreToBeUpdated()
+ 		{
+ 			bool areToBeUpdated = false;
+ 			if(this.inSampleChooser != null)
+ 			{
+ 				DateTime dateTimeForNextOptimization =
+ 					this.lastOptimizationDateTime.AddDays(
+ 					this.numDaysBetweenEachOptimization );
+ 				areToBeUpdated =
+ 					( ( ( this.account.Portfolio.Count == 0 )
+ 					&& ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
+ 					( this.now().DateTime >= dateTimeForNextOptimization ) );
+ 			}
+ 			return areToBeUpdated;
+ 		}
+ 
      /// <summary>
      /// Handles a "One hour after market close" event.
***************
*** 381,393 ****
        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
--- 398,415 ----
        this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
        this.numDaysElapsedSinceLastOptimization++;
! //OLD - numDaysBetweenEachOptimization --> market days      
! //			if( this.account.Transactions.Count <= 1 || 
! //				  (this.numDaysElapsedSinceLastOptimization == 
! //            this.numDaysBetweenEachOptimization) )
! 				//num days without optimization has elapsed or
! 				//no transaction, except for adding cash, has been executed	
! //NEW - numDaysBetweenEachOptimization --> calendar days 
! 			if ( this.optimalTestingPositionsAreToBeUpdated() )
        {
          this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
          //sets tickers to be chosen next Market Close event
          this.numDaysElapsedSinceLastOptimization = 0;
+ 				this.lastOptimizationDateTime = this.now().DateTime;
        }
      }
  		#endregion