[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers PVO_CTOCorrelationChooser.cs, NONE, 1.1 PVO_OTOCorrelationChooser.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv25974/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers

Added Files:
	PVO_CTOCorrelationChooser.cs PVO_OTOCorrelationChooser.cs 
Log Message:
Added choosers for the PVO strategy based on CTO and OTO (OpenToOpen) correlations 

--- NEW FILE: PVO_CTOCorrelationChooser.cs ---
/*
QuantProject - Quantitative Finance Library

PVO_CTOCorrelationChooser.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.TickersRelationships; 
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers
{
	/// <summary>
	/// PVO_CTOCorrelationChooser to be used for
	/// in sample optimization
	/// By means of correlation, the AnalyzeInSample method returns the 
	/// requested number of PVOPositions (positions for the PVO strategy)
	/// </summary>
	public class PVO_CTOCorrelationChooser : PVOCorrelationChooser
	{
		private float minimumAbsoluteReturnValue;
		private float maximumAbsoluteReturnValue;
		//correlation is computed only for returns
		//between minimum and maximum
		
		/// <summary>
		/// PVO_CTOCorrelationChooser to be used for
		/// in sample optimization
		/// </summary>
		/// <param name="numberOfBestTestingPositionsToBeReturned">
		/// The number of PVOPositions that the
		/// AnalyzeInSample method will return
		/// </param>
		public PVO_CTOCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
																		 double maxCorrelationValue,
																		 bool balancedWeightsOnVolatilityBase,
																		 float minimumAbsoluteReturnValue,
																		 float maximumAbsoluteReturnValue,
																		 string benchmark) :
																		base(numberOfBestTestingPositionsToBeReturned,
																		1,
																		maxCorrelationValue,
																		balancedWeightsOnVolatilityBase,
																		IntervalsType.CloseToOpenIntervals,
																		benchmark)
		{
			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
		}

		protected override void setCorrelationProvider(EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager)
		{
			this.correlationProvider = 
				new CloseToOpenCorrelationProvider(eligibleTickers.Tickers, returnsManager,
																					 this.minimumAbsoluteReturnValue ,
																					 this.maximumAbsoluteReturnValue);
		}
	}
}



--- NEW FILE: PVO_OTOCorrelationChooser.cs ---
/*
QuantProject - Quantitative Finance Library

PVO_OTOCorrelationChooser.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.TickersRelationships; 
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers
{
	
	/// <summary>
	/// PVO_OTOCorrelationChooser to be used for
	/// in sample optimization
	/// By means of correlation, the AnalyzeInSample method returns the 
	/// requested number of PVOPositions (positions for the PVO strategy)
	/// </summary>
	public class PVO_OTOCorrelationChooser : PVOCorrelationChooser
	{
		private float minimumAbsoluteReturnValue;
		private float maximumAbsoluteReturnValue;
		//correlation is computed only for returns
		//between minimum and maximum
			
		/// <summary>
		/// PVO_OTOCorrelationChooser to be used for
		/// in sample optimization
		/// </summary>
		/// <param name="numberOfBestTestingPositionsToBeReturned">
		/// The number of PVOPositions that the
		/// AnalyzeInSample method will return
		/// </param>
		public PVO_OTOCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
																		 int openToOpenReturnIntervalLength,
																		 double maxCorrelationValue,
																		 bool balancedWeightsOnVolatilityBase,
																		 float minimumAbsoluteReturnValue,
																		 float maximumAbsoluteReturnValue,
																		 string benchmark) :
																		 base(numberOfBestTestingPositionsToBeReturned,
			     															  openToOpenReturnIntervalLength,
																					maxCorrelationValue,
																					balancedWeightsOnVolatilityBase,
																					IntervalsType.OpenToOpenIntervals,
																				  benchmark)
		{
			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
		}
				
		protected override void setCorrelationProvider(EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager)
		{
			DateTime firstDate = returnsManager.ReturnIntervals[0].Begin.DateTime;
			DateTime lastDate =  returnsManager.ReturnIntervals.LastEndOfDayDateTime.DateTime;
			this.correlationProvider =
				new OpenToOpenCorrelationProvider(eligibleTickers.Tickers, firstDate,
				                                  lastDate, this.numDaysForOscillatingPeriod,
				                                  minimumAbsoluteReturnValue,
				                                  maximumAbsoluteReturnValue,
				                                  this.benchmark);
		}
	}
}