[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers PVO_CTCCorrelationChooser.cs, 1.3, 1.4 PVO_OTCCorrelationChooser.cs, 1.3, 1.4 PVO_OTCCTOCorrelationChooser.cs, 1.1, 1.2 PVOCorrelationChooser.cs, 1.5, 1.6

[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-serv19183/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers

Modified Files:
	PVO_CTCCorrelationChooser.cs PVO_OTCCorrelationChooser.cs 
	PVO_OTCCTOCorrelationChooser.cs PVOCorrelationChooser.cs 
Log Message:
Minor changes for the some files implementing the PVO strategy 

Index: PVO_OTCCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVO_OTCCorrelationChooser.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PVO_OTCCorrelationChooser.cs	26 Apr 2008 09:53:14 -0000	1.3
--- PVO_OTCCorrelationChooser.cs	14 Aug 2008 23:28:06 -0000	1.4
***************
*** 61,70 ****
  																		 bool balancedWeightsOnVolatilityBase,
  																		 float minimumAbsoluteReturnValue,
! 																		 float maximumAbsoluteReturnValue) :
  																		base(numberOfBestTestingPositionsToBeReturned,
  																		1,
  																		maxCorrelationValue,
  																		balancedWeightsOnVolatilityBase,
! 																		IntervalsType.DailyOpenToCloseIntervals)
  		{
  			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
--- 61,72 ----
  																		 bool balancedWeightsOnVolatilityBase,
  																		 float minimumAbsoluteReturnValue,
! 																		 float maximumAbsoluteReturnValue,
! 																		 string benchmark) :
  																		base(numberOfBestTestingPositionsToBeReturned,
  																		1,
  																		maxCorrelationValue,
  																		balancedWeightsOnVolatilityBase,
! 																		IntervalsType.OpenToCloseIntervals,
! 																	  benchmark)
  		{
  			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;

Index: PVOCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVOCorrelationChooser.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PVOCorrelationChooser.cs	26 Apr 2008 09:41:26 -0000	1.5
--- PVOCorrelationChooser.cs	14 Aug 2008 23:28:06 -0000	1.6
***************
*** 54,57 ****
--- 54,58 ----
  		protected bool balancedWeightsOnVolatilityBase;
  		protected IntervalsType intervalsType;
+ 		protected string benchmark;
  		
  		public virtual string Description
***************
*** 78,81 ****
--- 79,90 ----
  		}
  
+ 		public int ReturnIntervalLength
+ 		{
+ 			get
+ 			{
+ 				return this.numDaysForOscillatingPeriod;
+ 			}
+ 		}
+ 		
  		/// <summary>
  		/// PVOCorrelationChooser to be used for
***************
*** 99,103 ****
  																 double maxCorrelationValue,
  															   bool balancedWeightsOnVolatilityBase,
! 																 IntervalsType intervalsType)
  		{
  			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
--- 108,113 ----
  																 double maxCorrelationValue,
  															   bool balancedWeightsOnVolatilityBase,
! 																 IntervalsType intervalsType,
! 																 string benchmark)
  		{
  			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
***************
*** 106,109 ****
--- 116,120 ----
  			this.balancedWeightsOnVolatilityBase = balancedWeightsOnVolatilityBase;
  			this.intervalsType = intervalsType;
+ 			this.benchmark = benchmark;
  		}
  

Index: PVO_OTCCTOCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVO_OTCCTOCorrelationChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVO_OTCCTOCorrelationChooser.cs	26 Apr 2008 09:17:47 -0000	1.1
--- PVO_OTCCTOCorrelationChooser.cs	14 Aug 2008 23:28:06 -0000	1.2
***************
*** 61,70 ****
  																		 bool balancedWeightsOnVolatilityBase,
  																		 float minimumAbsoluteReturnValue,
! 																		 float maximumAbsoluteReturnValue) :
  																		base(numberOfBestTestingPositionsToBeReturned,
  																		1,
  																		maxCorrelationValue,
  																		balancedWeightsOnVolatilityBase,
! 																		IntervalsType.OpenToCloseCloseToOpenIntervals)
  		{
  			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
--- 61,72 ----
  																		 bool balancedWeightsOnVolatilityBase,
  																		 float minimumAbsoluteReturnValue,
! 																		 float maximumAbsoluteReturnValue,
! 																		 string benchmark) :
  																		base(numberOfBestTestingPositionsToBeReturned,
  																		1,
  																		maxCorrelationValue,
  																		balancedWeightsOnVolatilityBase,
! 																		IntervalsType.OpenToCloseCloseToOpenIntervals,
! 																	  benchmark)
  		{
  			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;

Index: PVO_CTCCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVO_CTCCorrelationChooser.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PVO_CTCCorrelationChooser.cs	26 Apr 2008 09:53:14 -0000	1.3
--- PVO_CTCCorrelationChooser.cs	14 Aug 2008 23:28:06 -0000	1.4
***************
*** 44,47 ****
--- 44,52 ----
  	public class PVO_CTCCorrelationChooser : PVOCorrelationChooser
  	{
+ 		private float minimumAbsoluteReturnValue;
+ 		private float maximumAbsoluteReturnValue;
+ 		//correlation is computed only for returns
+ 		//between minimum and maximum
+ 		
  		/// <summary>
  		/// PVO_CTCCorrelationChooser to be used for
***************
*** 55,66 ****
  																		 int closeToCloseReturnIntervalLength,
  																		 double maxCorrelationValue,
! 																		 bool balancedWeightsOnVolatilityBase) :
  																		 base(numberOfBestTestingPositionsToBeReturned,
  			     															  closeToCloseReturnIntervalLength,
  																					maxCorrelationValue,
  																					balancedWeightsOnVolatilityBase,
! 																					IntervalsType.CloseToCloseIntervals_OneDay)
  		{
! 			
  		}
  				
--- 60,76 ----
  																		 int closeToCloseReturnIntervalLength,
  																		 double maxCorrelationValue,
! 																		 bool balancedWeightsOnVolatilityBase,
! 																		 float minimumAbsoluteReturnValue,
! 																		 float maximumAbsoluteReturnValue,
! 																		 string benchmark) :
  																		 base(numberOfBestTestingPositionsToBeReturned,
  			     															  closeToCloseReturnIntervalLength,
  																					maxCorrelationValue,
  																					balancedWeightsOnVolatilityBase,
! 																					IntervalsType.CloseToCloseIntervals,
! 																				  benchmark)
  		{
! 			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
! 			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
  		}
  				
***************
*** 73,77 ****
  				new CloseToCloseCorrelationProvider(eligibleTickers.Tickers, firstDate,
  				                                    lastDate, this.numDaysForOscillatingPeriod,
! 				                                    0.0001f, 0.5f, "^GSPC");
  		}
  	}
--- 83,89 ----
  				new CloseToCloseCorrelationProvider(eligibleTickers.Tickers, firstDate,
  				                                    lastDate, this.numDaysForOscillatingPeriod,
! 				                                    this.minimumAbsoluteReturnValue,
! 				                                    this.maximumAbsoluteReturnValue,
! 				                                    this.benchmark);
  		}
  	}