[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVO_OTCStrategy.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32398/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	PVO_OTCStrategy.cs 
Log Message:
The updateReturnsManager method's implementation now depends on ReturnIntervalsType property.
It is now possible to choose how many MarketClosings are to be crossed before closing all positions.

Index: PVO_OTCStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PVO_OTCStrategy.cs	8 Apr 2008 22:03:00 -0000	1.3
--- PVO_OTCStrategy.cs	26 Apr 2008 09:51:23 -0000	1.4
***************
*** 45,48 ****
--- 45,49 ----
  using QuantProject.Data.DataTables;
  using QuantProject.ADT.Optimizing.Genetic;
+ using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
***************
*** 85,89 ****
      	set { this.account = value; }
  		}
!        
      private string description_GetDescriptionForChooser()
      {
--- 86,92 ----
      	set { this.account = value; }
  		}
!     private int numOfClosingsToCrossBeforeExit;
!     private int numOfClosingsWithOpenPositions;
!     
      private string description_GetDescriptionForChooser()
      {
***************
*** 123,134 ****
--- 126,140 ----
  			Benchmark benchmark,
  			int numDaysBetweenEachOptimization,
+ 			int numOfClosingsToCrossBeforeExit,
  			double oversoldThreshold,
  			double overboughtThreshold,
  			HistoricalQuoteProvider historicalQuoteProvider)
  		{
+ 			this.numOfClosingsWithOpenPositions = 0;
  			this.eligiblesSelector = eligiblesSelector;
  			this.inSampleDays = inSampleDays;
  			this.benchmark = benchmark;
  			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
+ 			this.numOfClosingsToCrossBeforeExit = numOfClosingsToCrossBeforeExit;
  			this.oversoldThreshold = oversoldThreshold;
  			this.overboughtThreshold = overboughtThreshold;
***************
*** 141,144 ****
--- 147,151 ----
  																Benchmark benchmark,
  																int numDaysBetweenEachOptimization,
+ 																int numOfClosingsToCrossBeforeExit,
  																double oversoldThreshold,
  																double overboughtThreshold,
***************
*** 147,151 ****
      {
  			this.pvo_otcStrategy(eligiblesSelector, inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold, overboughtThreshold,
  				historicalQuoteProvider);
  			this.inSampleChooser = inSampleChooser;
--- 154,158 ----
      {
  			this.pvo_otcStrategy(eligiblesSelector, inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsToCrossBeforeExit, oversoldThreshold, overboughtThreshold,
  				historicalQuoteProvider);
  			this.inSampleChooser = inSampleChooser;
***************
*** 157,160 ****
--- 164,168 ----
  			Benchmark benchmark,
  			int numDaysBetweenEachOptimization,
+ 			int numOfClosingsToCrossBeforeExit,
  			double oversoldThreshold,
  			double overboughtThreshold,
***************
*** 163,167 ****
  		{
  			this.pvo_otcStrategy(eligiblesSelector, inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold, overboughtThreshold, historicalQuoteProvider);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
--- 171,175 ----
  		{
  			this.pvo_otcStrategy(eligiblesSelector, inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsToCrossBeforeExit, oversoldThreshold, overboughtThreshold, historicalQuoteProvider);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
***************
*** 278,282 ****
      {
  			if(this.account.Portfolio.Count > 0)
! 				AccountManager.ClosePositions(this.account);
  		}
   
--- 286,297 ----
      {
  			if(this.account.Portfolio.Count > 0)
! 			{
! 				this.numOfClosingsWithOpenPositions++;
! 				if(this.numOfClosingsWithOpenPositions > this.numOfClosingsToCrossBeforeExit)
! 				{
! 					AccountManager.ClosePositions(this.account);
! 					this.numOfClosingsWithOpenPositions = 0;
! 				}
! 			}
  		}
   
***************
*** 286,293 ****
  			EndOfDayDateTime lastEndOfDayDateTime)
  		{
! 			this.returnsManager = 
! 				new ReturnsManager( new DailyOpenToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
! 				                                                  this.benchmark.Ticker ) ,
! 				                        this.historicalQuoteProvider);
  		}
  
--- 301,346 ----
  			EndOfDayDateTime lastEndOfDayDateTime)
  		{
! 			ReturnIntervals returnIntervals = 
! 				new DailyOpenToCloseIntervals( firstEndOfDayDateTime, lastEndOfDayDateTime,
! 																			 this.benchmark.Ticker );
! 			if( this.inSampleChooser is PVOCorrelationChooser )
! 			{
! 				switch ( ((PVOCorrelationChooser)this.inSampleChooser).IntervalsType )
! 				{
! 					case IntervalsType.CloseToCloseIntervals_OneDay:
! 						returnIntervals = new CloseToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
! 							this.benchmark.Ticker, 1);
! 						break;
! 					case IntervalsType.CloseToCloseIntervals_TwoDays:
! 						returnIntervals = new CloseToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
! 							this.benchmark.Ticker, 2);
! 						break;
! 					case IntervalsType.CloseToCloseIntervals_FiveDays:
! 						returnIntervals = new CloseToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
! 							this.benchmark.Ticker, 5);
! 						break;
! 					case IntervalsType.CloseToOpenIntervals:
! 						returnIntervals = new CloseToOpenIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
! 							this.benchmark.Ticker);
! 						break;
! 					case IntervalsType.DailyOpenToCloseIntervals:
! 						returnIntervals = new DailyOpenToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
! 							this.benchmark.Ticker );
! 						break;
! 					case IntervalsType.OpenToCloseCloseToOpenIntervals:
! 						returnIntervals = new OpenToCloseCloseToOpenIntervals(
! 							firstEndOfDayDateTime, lastEndOfDayDateTime, this.benchmark.Ticker);
! 						break;
! 					default:
! 						// it should never be reached
! 						returnIntervals = new DailyOpenToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
! 							this.benchmark.Ticker );
! 						break;
! 				}
! 			}
! 			
! 			this.returnsManager =
! 					new ReturnsManager( returnIntervals , this.historicalQuoteProvider);	
! 			
  		}