[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVO_OTCMain.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv815/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	PVO_OTCMain.cs 
Log Message:
Updated 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 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PVO_OTCMain.cs	13 Apr 2008 17:10:07 -0000	1.4
--- PVO_OTCMain.cs	26 Apr 2008 09:53:54 -0000	1.5
***************
*** 86,101 ****
  			
  			bool temporizedGroup = true;
! 			int numDaysForAverageRawOpenPriceComputation = 20;
! 			double minPrice = 20;
! 			double maxPrice = 7000;
  			
  			IEligiblesSelector eligiblesSelector =
! 				new ByPriceMostLiquidAlwaysQuoted(
  				tickersGroupId , temporizedGroup ,
  				maxNumberOfEligiblesToBeChosen ,
  			  numDaysForAverageRawOpenPriceComputation ,
  			 	minPrice , maxPrice );
! 			eligiblesSelector = 
! 				new DummyEligibleSelector();
  			return eligiblesSelector;
  		}
--- 86,108 ----
  			
  			bool temporizedGroup = true;
! 			int numDaysForAverageRawOpenPriceComputation = 10;
! 			double minPrice = 30;
! 			double maxPrice = 75;
  			
+ //			IEligiblesSelector eligiblesSelector =
+ //				new ByPriceMostLiquidAlwaysQuoted(
+ //				tickersGroupId , temporizedGroup ,
+ //				maxNumberOfEligiblesToBeChosen ,
+ //			  numDaysForAverageRawOpenPriceComputation ,
+ //			 	minPrice , maxPrice );
  			IEligiblesSelector eligiblesSelector =
! 				new ByPriceLessVolatileOTCAlwaysQuoted(
  				tickersGroupId , temporizedGroup ,
  				maxNumberOfEligiblesToBeChosen ,
  			  numDaysForAverageRawOpenPriceComputation ,
  			 	minPrice , maxPrice );
! //			eligiblesSelector = 
! //				new DummyEligibleSelector();
! 			
  			return eligiblesSelector;
  		}
***************
*** 116,120 ****
  
  			double maxCorrelationAllowed = 0.96;
! 			int numberOfBestTestingPositionsToBeReturned = 10;
  			bool balancedWeightsOnVolatilityBase = true;
  			float minimumAbsoluteReturnValue = 0.000001f;
--- 123,128 ----
  
  			double maxCorrelationAllowed = 0.96;
! 			int numberOfBestTestingPositionsToBeReturned = 200;
! 			numberOfBestTestingPositionsToBeReturned = 200;
  			bool balancedWeightsOnVolatilityBase = true;
  			float minimumAbsoluteReturnValue = 0.000001f;
***************
*** 126,132 ****
  						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue);
! 			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");
  			return inSampleChooser;
  		}
--- 134,151 ----
  						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue);
! //			IInSampleChooser inSampleChooser = 
! //				new PVO_OTCCTOCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
! //						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
! //					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue);
! //			//office
! //			inSampleChooser =
! //				new PVOChooserFromSavedBackTestLog(
! //					@"C:\Utente\MarcoVarie\Vari\qP\LogArchive\2008_04_14_18_21_45_PVO_OTC_from_2001_01_01_to_2004_12_31_annlRtrn_182,80_maxDD_8,57\2008_04_14_18_21_45_PVO_OTC_from_2001_01_01_to_2004_12_31_annlRtrn_182,80_maxDD_8,57.qpL",
! //				  numberOfBestTestingPositionsToBeReturned);
! 			//home
! //			inSampleChooser =
! //				new PVOChooserFromSavedBackTestLog(
! //				@"C:\Utente\MarcoVarie\Vari\qP\LogArchive\2008_04_13_12_03_16_PVO_OTC_from_2001_01_01_to_2004_12_31_annlRtrn_183.39_maxDD_8.71\2008_04_13_12_03_16_PVO_OTC_from_2001_01_01_to_2004_12_31_annlRtrn_183.39_maxDD_8.71.qpL",
! //				numberOfBestTestingPositionsToBeReturned);
  			return inSampleChooser;
  		}
***************
*** 137,147 ****
  			// uncomment the following line for a faster script
  			//inSampleDays = 50;
! 			int numDaysBetweenEachOptimization = 7;
! 			double oversoldThreshold = 0.006;
! 			double overboughtThreshold = 0.006;
! 			IEndOfDayStrategyForBacktester endOfDayStrategy =
! 				new PVO_OTCStrategy(eligiblesSelector ,inSampleChooser ,
  				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold , overboughtThreshold , historicalQuoteProvider);
  			return endOfDayStrategy;
  		}
--- 156,171 ----
  			// uncomment the following line for a faster script
  			//inSampleDays = 50;
! 			int numDaysBetweenEachOptimization = 5;
! 			int numOfClosingsBeforeExit = 0;
! 			double oversoldThreshold = 0.01;
! 			double overboughtThreshold = 0.01;
! 			IEndOfDayStrategyForBacktester endOfDayStrategy
! //				 = new PVO_OTCStrategyLessCorrelated(eligiblesSelector ,inSampleChooser ,
! //				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! //				oversoldThreshold , overboughtThreshold , historicalQuoteProvider);
! //			
! 				= new PVO_OTCStrategy(eligiblesSelector ,inSampleChooser ,
  				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsBeforeExit, oversoldThreshold , overboughtThreshold , historicalQuoteProvider);
  			return endOfDayStrategy;
  		}
***************
*** 153,163 ****
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 3, 31 );
! 			double maxRunningHours = 3;
! 			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
  				backTestId , this.endOfDayStrategy ,
! 				historicalQuoteProvider , accountProvider ,
  				firstDateTime ,	lastDateTime ,
  				this.benchmark , cashToStart , maxRunningHours );
--- 177,190 ----
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2004 , 12, 31 );
! 			double maxRunningHours = 10;
! 			HistoricalQuoteProvider quoteProviderForBackTester =
! 				this.historicalQuoteProvider;
! 			quoteProviderForBackTester =
! 				new HistoricalRawQuoteProvider();
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
  				backTestId , this.endOfDayStrategy ,
! 				quoteProviderForBackTester , accountProvider ,
  				firstDateTime ,	lastDateTime ,
  				this.benchmark , cashToStart , maxRunningHours );