[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOs

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO

Modified Files:
	RunWeightedPVO.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunWeightedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/RunWeightedPVO.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunWeightedPVO.cs	14 Jan 2008 23:07:04 -0000	1.2
--- RunWeightedPVO.cs	19 Aug 2008 17:13:13 -0000	1.3
***************
*** 3,7 ****
  
  RunWeightedPVO.cs
! Copyright (C) 2006 
  Marco Milletti
  
--- 3,7 ----
  
  RunWeightedPVO.cs
! Copyright (C) 2006
  Marco Milletti
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 36,40 ****
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 36,40 ----
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 47,192 ****
  	/// <summary>
  	/// Script that implements an oscillating strategy using weights for tickers,
! 	/// based on the classical technical indicator 
! 	/// RelativeStrengthIndex - RSI 
  	/// </summary>
  	[Serializable]
  	public class RunWeightedPVO : RunEfficientPortfolio
  	{
!     protected int minLevelForOversoldThreshold;
!     protected int maxLevelForOversoldThreshold;
!     protected int minLevelForOverboughtThreshold;
!     protected int maxLevelForOverboughtThreshold;
!     protected int divisorForThresholdComputation;
!     //to be used by the optimizer
!     protected int numDaysBetweenEachOptimization;
!     protected double maxAcceptableCloseToCloseDrawdown;
!     protected double minimumAcceptableGain;
!     protected int numDaysForOscillatingPeriod;
!     protected bool symmetricalThresholds = false;
!     protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
!         
!     public RunWeightedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate,
!                                    	int numDaysForOscillatingPeriod,
!                                     int minLevelForOversoldThreshold,
!                                     int maxLevelForOversoldThreshold,
!                                     int minLevelForOverboughtThreshold,
!                                     int maxLevelForOverboughtThreshold,
!                                     int divisorForThresholdComputation,
!                                     bool symmetricalThresholds,
!                                     bool overboughtMoreThanOversoldForFixedPortfolio,
!                                    	int numDaysBetweenEachOptimization,
!                                     PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double minimumAcceptableGain,
!                                     double maxRunningHours):
! 																base(tickerGroupID, maxNumOfEligibleTickersForOptimization, 
!                                     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     startDate, endDate, 0.0,
!                                    	inSamplePortfolioType, maxRunningHours)
  		{
!       this.ScriptName = "PVO_SR_WithWeights_PriceSel";
!       this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
!       this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
!       this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
!       this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
!       this.divisorForThresholdComputation = divisorForThresholdComputation;
!       this.symmetricalThresholds = symmetricalThresholds;
!       this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.minimumAcceptableGain = minimumAcceptableGain;
!       this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
!     #region auxiliary overriden methods for Run
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerWeightedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
!                                                               this.account,
!     	                                                        this.generationNumberForGeneticOptimizer,
!     	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
!     	                                                        this.numDaysForOscillatingPeriod,
!     	                                                        this.minLevelForOversoldThreshold,
!                                                               this.maxLevelForOversoldThreshold,
!                                                               this.minLevelForOverboughtThreshold,
!                                                               this.maxLevelForOverboughtThreshold,
!                                                               this.divisorForThresholdComputation,
!                                                               this.symmetricalThresholds,
!                                                               this.overboughtMoreThanOversoldForFixedPortfolio,
!     	                                                        this.numDaysBetweenEachOptimization,
!                                                               this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
!                                                               this.minimumAcceptableGain);
!     }
!     
!     protected override void run_initializeHistoricalQuoteProvider()
!     {
!     	this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!     protected override void run_addEventHandlers()
!     {
!            
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose += 
!       	new OneHourAfterMarketCloseEventHandler(
!       	   this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
!     }
  
!     public override void SaveScriptResults()
!     {
!     	string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!     										DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
!     		        				this.scriptName +  "OsDays_" + numDaysForOscillatingPeriod +
!       								"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
!                       "_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
!                       this.numberOfTickersToBeChosen + "GenN°" + 
!                       this.generationNumberForGeneticOptimizer +
!                       "PopSize" + this.populationSizeForGeneticOptimizer +
!         							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!                          								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
!                        									"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
!                                         "\\" + this.ScriptName + "\\";
!       
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!       		optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
!                                     		this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!                              dirNameWhereToSaveReports + 
!                              fileName + ".qPr");
!             
!       this.endOfDayTimer.Stop();
!        
!     }
!     
!     
!     #endregion 
  	}
  }
--- 47,195 ----
  	/// <summary>
  	/// Script that implements an oscillating strategy using weights for tickers,
! 	/// based on the classical technical indicator
! 	/// RelativeStrengthIndex - RSI
  	/// </summary>
  	[Serializable]
  	public class RunWeightedPVO : RunEfficientPortfolio
  	{
! 		protected int minLevelForOversoldThreshold;
! 		protected int maxLevelForOversoldThreshold;
! 		protected int minLevelForOverboughtThreshold;
! 		protected int maxLevelForOverboughtThreshold;
! 		protected int divisorForThresholdComputation;
! 		//to be used by the optimizer
! 		protected int numDaysBetweenEachOptimization;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		protected double minimumAcceptableGain;
! 		protected int numDaysForOscillatingPeriod;
! 		protected bool symmetricalThresholds = false;
! 		protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
! 		
! 		public RunWeightedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization,
! 		                      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                      int generationNumberForGeneticOptimizer,
! 		                      int populationSizeForGeneticOptimizer, string benchmark,
! 		                      DateTime startDate, DateTime endDate,
! 		                      int numDaysForOscillatingPeriod,
! 		                      int minLevelForOversoldThreshold,
! 		                      int maxLevelForOversoldThreshold,
! 		                      int minLevelForOverboughtThreshold,
! 		                      int maxLevelForOverboughtThreshold,
! 		                      int divisorForThresholdComputation,
! 		                      bool symmetricalThresholds,
! 		                      bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                      int numDaysBetweenEachOptimization,
! 		                      PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                      double minimumAcceptableGain,
! 		                      double maxRunningHours):
! 			base(tickerGroupID, maxNumOfEligibleTickersForOptimization,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, 0.0,
! 			     inSamplePortfolioType, maxRunningHours)
  		{
! 			this.ScriptName = "PVO_SR_WithWeights_PriceSel";
! 			this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
! 			this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
! 			this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
! 			this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
! 			this.divisorForThresholdComputation = divisorForThresholdComputation;
! 			this.symmetricalThresholds = symmetricalThresholds;
! 			this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.minimumAcceptableGain = minimumAcceptableGain;
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
! 		#region auxiliary overriden methods for Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerWeightedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
! 			                                                                this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
! 			                                                                this.account,
! 			                                                                this.generationNumberForGeneticOptimizer,
! 			                                                                this.populationSizeForGeneticOptimizer, this.benchmark,
! 			                                                                this.numDaysForOscillatingPeriod,
! 			                                                                this.minLevelForOversoldThreshold,
! 			                                                                this.maxLevelForOversoldThreshold,
! 			                                                                this.minLevelForOverboughtThreshold,
! 			                                                                this.maxLevelForOverboughtThreshold,
! 			                                                                this.divisorForThresholdComputation,
! 			                                                                this.symmetricalThresholds,
! 			                                                                this.overboughtMoreThanOversoldForFixedPortfolio,
! 			                                                                this.numDaysBetweenEachOptimization,
! 			                                                                this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
! 			                                                                this.minimumAcceptableGain);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		protected override void run_addEventHandlers()
! 		{
! 			
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.endOfDayTimerHandler.MarketCloseEventHandler);
! 			
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.checkDateForReport);
! 			
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
! 		}
  
! 		public override void SaveScriptResults()
! 		{
! 			string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				this.scriptName +  "OsDays_" + numDaysForOscillatingPeriod +
! 				"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
! 				"_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
! 				this.numberOfTickersToBeChosen + "GenN°" +
! 				this.generationNumberForGeneticOptimizer +
! 				"PopSize" + this.populationSizeForGeneticOptimizer +
! 				Convert.ToString(this.portfolioType);
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 				optimizationOutput.Add(genomeRepresentation);
! 			ObjectArchiver.Archive(optimizationOutput,
! 			                       dirNameWhereToSaveBestGenomes +
! 			                       fileName + ".bgn");
! 			
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			
! 			this.endOfDayTimer.Stop();
! 			
! 		}
! 		
! 		
! 		#endregion
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOs

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO RunWeightedPVO.cs, 1.2, 1.3