[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVO_OTCMain.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-serv15288/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	PVO_OTCMain.cs 
Log Message:
Changed the main file for the PVO_OTC strategy

Index: PVO_OTCMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCMain.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PVO_OTCMain.cs	1 Apr 2008 21:34:52 -0000	1.2
--- PVO_OTCMain.cs	8 Apr 2008 22:03:48 -0000	1.3
***************
*** 44,47 ****
--- 44,48 ----
  using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.Decoding;
  using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.FitnessEvaluators;
+ using QuantProject.Scripts.General;
  using QuantProject.Scripts.General.Logging;
  using QuantProject.Scripts.General.Reporting;
***************
*** 55,242 ****
  	/// 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
! 				
  	}
  }
--- 56,189 ----
  	/// be done
  	/// </summary>
! 	public class PVO_OTCMain : BasicScriptForBacktesting
  	{
! 		private Benchmark benchmark;
! 		private HistoricalQuoteProvider historicalQuoteProvider;
  		
! 		public PVO_OTCMain()
  		{
! 			this.benchmark = new Benchmark( "BMC" );
! 
! 			this.historicalQuoteProvider =
! 				new HistoricalAdjustedQuoteProvider();
! 
! 			// definition for the Fitness Evaluator
! 			//      IEquityEvaluator equityEvaluator = new SharpeRatio();
  		}
! 
! 		protected override void setEligiblesSelector()
  		{
! 			int maxNumberOfEligiblesToBeChosen = 100;
  			
! 			string tickersGroupId = "SP500";
! 			// uncomment the following line for a faster script
! 			//tickersGroupId = "fastTest";
! 
! //			this.eligiblesSelector =
! //				new MostLiquidAndLessVolatile(
! //				tickersGroupId ,
! //				maxNumberOfEligiblesToBeChosen );
! 			
! 			bool temporizedGroup = true;
! 			int numDaysForAverageRawOpenPriceComputation = 20;
! 			double minPrice = 20;
! 			double maxPrice = 7000;
! 			
! 			this.eligiblesSelector =
! 				new ByPriceMostLiquidAlwaysQuoted(
! 				tickersGroupId , temporizedGroup ,
! 				maxNumberOfEligiblesToBeChosen ,
! 			  numDaysForAverageRawOpenPriceComputation ,
! 			 	minPrice , maxPrice );
! 			this.eligiblesSelector = 
! 				new DummyEligibleSelector();
  		}
  
! 		protected override void setInSampleChooser()
  		{
! 			// parameters for the genetic optimizer
! //			double crossoverRate = 0.85;
! //			double mutationRate = 0.02;
! //			double elitismRate = 0.001;
! //			int populationSizeForGeneticOptimizer = 3000;
! //			int generationNumberForGeneticOptimizer = 4;
! //			int seedForRandomGenerator =
! //				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
  
! //			IDecoderForTestingPositions decoderForWeightedPositions =
! //				new DecoderForPairsTradingTestingPositionsWithBalancedWeights();
! 
! 			double maxCorrelationAllowed = 0.96;
! 			int numberOfBestTestingPositionsToBeReturned = 10;
! 			bool balancedWeightsOnVolatilityBase = true;
! 			float minimumAbsoluteReturnValue = 0.000001f;
! 			float maximumAbsoluteReturnValue = 100000f;
! 			//correlation is computed only for returns
! 			//between minimum and maximum
! 			this.inSampleChooser =
! 				new PVO_OTCCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
! 						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
! 					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue);
! 			this.inSampleChooser = 
! 				new PVOChooserFromSavedBackTestLog(
! 					@"C:\Utente\MarcoVarie\Vari\qP\LogArchive\2008_04_07_12_17_18_PVO_OTC_from_2001_01_01_to_2001_03_31_annlRtrn_232,37_maxDD_5,04\2008_04_07_12_17_18_PVO_OTC_from_2001_01_01_to_2001_03_31_annlRtrn_232,37_maxDD_5,04.qpL");
! 		}
! 
! 		protected override void setEndOfDayStrategy()
  		{
! 			int inSampleDays = 180;
! 			// uncomment the following line for a faster script
! 			//inSampleDays = 50;
! 			int numDaysBetweenEachOptimization = 7;
! 			double oversoldThreshold = 0.006;
! 			double overboughtThreshold = 0.006;
! 			this.endOfDayStrategy =
! 				new PVO_OTCStrategy(eligiblesSelector ,inSampleChooser ,
! 				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold , overboughtThreshold , historicalQuoteProvider);
! 		}
! 		protected override void setEndOfDayStrategyBackTester()
! 		{
! 			string backTestId = "PVO_OTC";
! 			IAccountProvider accountProvider = new SimpleAccountProvider();
  			double cashToStart = 30000;
! 
! 			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 3, 31 );
! 			double maxRunningHours = 3;
  			
! 			this.endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.endOfDayStrategy ,
! 				historicalQuoteProvider , accountProvider ,
! 				firstDateTime ,	lastDateTime ,
! 				this.benchmark , cashToStart , maxRunningHours );
! 		}
  
! 		protected override string getPathForTheMainFolderWhereScriptsResultsAreToBeSaved()
! 		{
! 			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				System.Configuration.ConfigurationSettings.AppSettings["LogArchive"];
! 			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
  		}
  
! 		protected override string getCustomSmallTextForFolderName()
! 		{
! 			return "PVO_OTC";
! 		}
! 
! 		protected override string getFullPathFileNameForMain()
! 		{
! 			string returnValue;
! 			string fullPathFileNameForMainAtHome = 
! 				@"C:\Quant\QuantProject\b7_Scripts\TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCMain.cs";
! 			if( File.Exists(fullPathFileNameForMainAtHome) )
! 				returnValue = fullPathFileNameForMainAtHome;
! 			else
! 				returnValue = 
! 					@"C:\Utente\MarcoVarie\Vari\qP\QuantProject\b7_Scripts\TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCMain.cs";
! 			
! 			return returnValue;
! 		}
  	}
  }