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

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

Modified Files:
	PVO_CTOMain.cs PVO_CTOStrategy.cs PVO_OTCMain.cs 
	PVO_OTCStrategy.cs PVO_OTCStrategyLessCorrelated.cs PVOMain.cs 
	PVOStrategy.cs RunPVO.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: PVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOStrategy.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PVOStrategy.cs	14 Aug 2008 23:28:06 -0000	1.5
--- PVOStrategy.cs	19 Aug 2008 17:13:01 -0000	1.6
***************
*** 3,7 ****
  
  PVOStrategy.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  PVOStrategy.cs
! Copyright (C) 2008
  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;
  using System.Data;
--- 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;
  using System.Data;
***************
*** 51,108 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the Portfolio Value
!   /// Oscillator
!   /// </summary>
!   [Serializable]
!   public class PVOStrategy : IEndOfDayStrategyForBacktester
!   {
  		public event NewLogItemEventHandler NewLogItem;
  		public event NewMessageEventHandler NewMessage;
  
  		//initialized by the constructor
!   	protected int numberOfTickersToBeChosen;
!     protected int inSampleDays;
!     protected int numDaysBetweenEachOptimization;
!     protected IInSampleChooser inSampleChooser;
!     protected IEligiblesSelector eligiblesSelector;
!     protected Benchmark benchmark;
!     protected HistoricalQuoteProvider historicalQuoteProvider;
!     protected double maxAcceptableCloseToCloseDrawdown;
!     protected double minimumAcceptableGain;
!     protected int numDaysForOscillatingPeriod;
!     //initialized after constructor's call
!     protected int numDaysElapsedSinceLastOptimization;
!     protected ReturnsManager returnsManager;
  		protected TestingPositions[] chosenPVOPositions;
  		//chosen in sample: these are the eligible positions for out
  		//of sample testing
  		protected PVOPositions pvoPositionsForOutOfSample;
!     protected DateTime lastCloseDate;
!     protected bool portfolioHasBeenOverbought;
!     protected bool portfolioHasBeenOversold;
!     protected Account account;
!     public Account Account
  		{
  			get { return this.account; }
!     	set { this.account = value; }
  		}
!     protected bool stopLossConditionReached;
!     protected bool takeProfitConditionReached;
!     protected double currentAccountValue;
!     protected double previousAccountValue;
!     protected double oversoldThreshold;
!     protected double overboughtThreshold;
!     protected double oversoldThresholdMAX;
!     protected double overboughtThresholdMAX;
!      
!     private string description_GetDescriptionForChooser()
!     {
!     	if(this.inSampleChooser == null)
!     		return "ConstantChooser";
!     	else
!     		return this.inSampleChooser.Description;	
!     }
!     
  		public string Description
  		{
--- 51,108 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the Portfolio Value
! 	/// Oscillator
! 	/// </summary>
! 	[Serializable]
! 	public class PVOStrategy : IEndOfDayStrategyForBacktester
! 	{
  		public event NewLogItemEventHandler NewLogItem;
  		public event NewMessageEventHandler NewMessage;
  
  		//initialized by the constructor
! 		protected int numberOfTickersToBeChosen;
! 		protected int inSampleDays;
! 		protected int numDaysBetweenEachOptimization;
! 		protected IInSampleChooser inSampleChooser;
! 		protected IEligiblesSelector eligiblesSelector;
! 		protected Benchmark benchmark;
! 		protected HistoricalQuoteProvider historicalQuoteProvider;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		protected double minimumAcceptableGain;
! 		protected int numDaysForOscillatingPeriod;
! 		//initialized after constructor's call
! 		protected int numDaysElapsedSinceLastOptimization;
! 		protected ReturnsManager returnsManager;
  		protected TestingPositions[] chosenPVOPositions;
  		//chosen in sample: these are the eligible positions for out
  		//of sample testing
  		protected PVOPositions pvoPositionsForOutOfSample;
! 		protected DateTime lastCloseDate;
! 		protected bool portfolioHasBeenOverbought;
! 		protected bool portfolioHasBeenOversold;
! 		protected Account account;
! 		public Account Account
  		{
  			get { return this.account; }
! 			set { this.account = value; }
  		}
! 		protected bool stopLossConditionReached;
! 		protected bool takeProfitConditionReached;
! 		protected double currentAccountValue;
! 		protected double previousAccountValue;
! 		protected double oversoldThreshold;
! 		protected double overboughtThreshold;
! 		protected double oversoldThresholdMAX;
! 		protected double overboughtThresholdMAX;
! 		
! 		private string description_GetDescriptionForChooser()
! 		{
! 			if(this.inSampleChooser == null)
! 				return "ConstantChooser";
! 			else
! 				return this.inSampleChooser.Description;
! 		}
! 		
  		public string Description
  		{
***************
*** 128,143 ****
  
  		private void pvoStrategy(IEligiblesSelector eligiblesSelector,
! 			int inSampleDays,
! 			int numDaysForOscillatingPeriod,
! 			int numberOfTickersToBeChosen,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			double oversoldThresholdMAX,
! 			double overboughtThresholdMAX,
! 			HistoricalQuoteProvider historicalQuoteProvider,
! 			double maxAcceptableCloseToCloseDrawdown,
! 			double minimumAcceptableGain)
  		{
  			this.eligiblesSelector = eligiblesSelector;
--- 128,143 ----
  
  		private void pvoStrategy(IEligiblesSelector eligiblesSelector,
! 		                         int inSampleDays,
! 		                         int numDaysForOscillatingPeriod,
! 		                         int numberOfTickersToBeChosen,
! 		                         Benchmark benchmark,
! 		                         int numDaysBetweenEachOptimization,
! 		                         double oversoldThreshold,
! 		                         double overboughtThreshold,
! 		                         double oversoldThresholdMAX,
! 		                         double overboughtThresholdMAX,
! 		                         HistoricalQuoteProvider historicalQuoteProvider,
! 		                         double maxAcceptableCloseToCloseDrawdown,
! 		                         double minimumAcceptableGain)
  		{
  			this.eligiblesSelector = eligiblesSelector;
***************
*** 150,154 ****
  			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
  			this.minimumAcceptableGain = minimumAcceptableGain;
!       this.oversoldThreshold = oversoldThreshold;
  			this.overboughtThreshold = overboughtThreshold;
  			this.oversoldThresholdMAX = oversoldThresholdMAX;
--- 150,154 ----
  			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
  			this.minimumAcceptableGain = minimumAcceptableGain;
! 			this.oversoldThreshold = oversoldThreshold;
  			this.overboughtThreshold = overboughtThreshold;
  			this.oversoldThresholdMAX = oversoldThresholdMAX;
***************
*** 161,265 ****
  		}
  
!     public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 																IInSampleChooser inSampleChooser,
! 																int inSampleDays,
! 																int numDaysForOscillatingPeriod,
!                                 int numberOfTickersToBeChosen,
!                                 Benchmark benchmark,
! 																int numDaysBetweenEachOptimization,
! 																double oversoldThreshold,
! 																double overboughtThreshold,
! 																double oversoldThresholdMAX,
! 																double overboughtThresholdMAX,
!                                 HistoricalQuoteProvider historicalQuoteProvider,
!                                 double maxAcceptableCloseToCloseDrawdown,
!                                 double minimumAcceptableGain)
!     														
!     {
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 				numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold, overboughtThreshold,
! 				oversoldThresholdMAX, overboughtThresholdMAX,
! 				historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown , 
! 				minimumAcceptableGain );
  			this.inSampleChooser = inSampleChooser;
!     }
! 	
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 			IInSampleChooser inSampleChooser,
! 			int inSampleDays,
! 			int numDaysForOscillatingPeriod,
! 			int numberOfTickersToBeChosen,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			HistoricalQuoteProvider historicalQuoteProvider,
! 			double maxAcceptableCloseToCloseDrawdown,
! 			double minimumAcceptableGain)
!     														
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 				numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold, overboughtThreshold,
! 				double.MaxValue, double.MaxValue,
! 				historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown , 
! 				minimumAcceptableGain );
  			this.inSampleChooser = inSampleChooser;
  		}
  
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 			TestingPositions[] chosenPVOPositions,
! 			int inSampleDays,
! 			int numDaysForOscillatingPeriod,
! 			int numberOfTickersToBeChosen,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			double oversoldThresholdMAX,
! 			double overboughtThresholdMAX,
! 			HistoricalQuoteProvider historicalQuoteProvider,
! 			double maxAcceptableCloseToCloseDrawdown,
! 			double minimumAcceptableGain)
!     														
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 				numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold, overboughtThreshold,
! 				oversoldThresholdMAX, overboughtThresholdMAX,
! 				historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown , 
! 				minimumAcceptableGain );
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 			TestingPositions[] chosenPVOPositions,
! 			int inSampleDays,
! 			int numDaysForOscillatingPeriod,
! 			int numberOfTickersToBeChosen,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			HistoricalQuoteProvider historicalQuoteProvider,
! 			double maxAcceptableCloseToCloseDrawdown,
! 			double minimumAcceptableGain)
!     														
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 				numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold, overboughtThreshold,
! 				double.MaxValue , double.MaxValue ,
! 				historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown , 
! 				minimumAcceptableGain );
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  
!     public virtual void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	;
!     }
  
  		public void FiveMinutesBeforeMarketCloseEventHandler(
--- 161,265 ----
  		}
  
! 		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 		                   IInSampleChooser inSampleChooser,
! 		                   int inSampleDays,
! 		                   int numDaysForOscillatingPeriod,
! 		                   int numberOfTickersToBeChosen,
! 		                   Benchmark benchmark,
! 		                   int numDaysBetweenEachOptimization,
! 		                   double oversoldThreshold,
! 		                   double overboughtThreshold,
! 		                   double oversoldThresholdMAX,
! 		                   double overboughtThresholdMAX,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
! 		                   double maxAcceptableCloseToCloseDrawdown,
! 		                   double minimumAcceptableGain)
! 			
! 		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 			                 numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 			                 oversoldThreshold, overboughtThreshold,
! 			                 oversoldThresholdMAX, overboughtThresholdMAX,
! 			                 historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown ,
! 			                 minimumAcceptableGain );
  			this.inSampleChooser = inSampleChooser;
! 		}
! 		
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 		                   IInSampleChooser inSampleChooser,
! 		                   int inSampleDays,
! 		                   int numDaysForOscillatingPeriod,
! 		                   int numberOfTickersToBeChosen,
! 		                   Benchmark benchmark,
! 		                   int numDaysBetweenEachOptimization,
! 		                   double oversoldThreshold,
! 		                   double overboughtThreshold,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
! 		                   double maxAcceptableCloseToCloseDrawdown,
! 		                   double minimumAcceptableGain)
! 			
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 			                 numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 			                 oversoldThreshold, overboughtThreshold,
! 			                 double.MaxValue, double.MaxValue,
! 			                 historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown ,
! 			                 minimumAcceptableGain );
  			this.inSampleChooser = inSampleChooser;
  		}
  
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 		                   TestingPositions[] chosenPVOPositions,
! 		                   int inSampleDays,
! 		                   int numDaysForOscillatingPeriod,
! 		                   int numberOfTickersToBeChosen,
! 		                   Benchmark benchmark,
! 		                   int numDaysBetweenEachOptimization,
! 		                   double oversoldThreshold,
! 		                   double overboughtThreshold,
! 		                   double oversoldThresholdMAX,
! 		                   double overboughtThresholdMAX,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
! 		                   double maxAcceptableCloseToCloseDrawdown,
! 		                   double minimumAcceptableGain)
! 			
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 			                 numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 			                 oversoldThreshold, overboughtThreshold,
! 			                 oversoldThresholdMAX, overboughtThresholdMAX,
! 			                 historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown ,
! 			                 minimumAcceptableGain );
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 		                   TestingPositions[] chosenPVOPositions,
! 		                   int inSampleDays,
! 		                   int numDaysForOscillatingPeriod,
! 		                   int numberOfTickersToBeChosen,
! 		                   Benchmark benchmark,
! 		                   int numDaysBetweenEachOptimization,
! 		                   double oversoldThreshold,
! 		                   double overboughtThreshold,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
! 		                   double maxAcceptableCloseToCloseDrawdown,
! 		                   double minimumAcceptableGain)
! 			
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 			                 numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 			                 oversoldThreshold, overboughtThreshold,
! 			                 double.MaxValue , double.MaxValue ,
! 			                 historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown ,
! 			                 minimumAcceptableGain );
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  
! 		public virtual void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			;
! 		}
  
  		public void FiveMinutesBeforeMarketCloseEventHandler(
***************
*** 273,464 ****
  		}
  
!     #region MarketCloseEventHandler
!     //forOutOfSampleTesting
  		protected virtual EndOfDayDateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
  		{
  			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-this.numDaysForOscillatingPeriod]["quDate"],
! 				EndOfDaySpecificTime.MarketClose );
  		}
  
!     private void marketCloseEventHandler_reverseIfNeeded_reverse(PVOPositionsStatus currentStatus)
!     {
!     	if(currentStatus == PVOPositionsStatus.Overbought)
!     	{
!     		this.portfolioHasBeenOversold = false;
!   			this.portfolioHasBeenOverbought = true;
!     	}
!     	else if(currentStatus == PVOPositionsStatus.Oversold)
!     	{
!     		this.portfolioHasBeenOversold = true;
!   			this.portfolioHasBeenOverbought = false;
!     	}
!     	AccountManager.ReversePositions(this.account);
!     	this.previousAccountValue = this.account.GetMarketValue();
!     }
  
!     private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
!     {
! 			EndOfDayDateTime today = timer.GetCurrentTime(); 
  			EndOfDayDateTime beginOfOscillatingPeriod = this.getBeginOfOscillatingPeriod(timer);
! 			PVOPositionsStatus pvoPositionsStatus = 
!       	this.pvoPositionsForOutOfSample.GetStatus(beginOfOscillatingPeriod, today , this.benchmark.Ticker, this.historicalQuoteProvider,
  				                                          double.MaxValue, double.MaxValue);
!   		if(pvoPositionsStatus == PVOPositionsStatus.Overbought &&
!     	   this.portfolioHasBeenOversold)
!   		//open positions derive from an overSold period but now
!   		//the overbought threshold has been reached
!   		   		this.marketCloseEventHandler_reverseIfNeeded_reverse(pvoPositionsStatus);
!   		
!   		if(pvoPositionsStatus == PVOPositionsStatus.Oversold &&
!     	   this.portfolioHasBeenOverbought)
!   		//open positions derive from an overBought period but now
!   		//the overSold threshold has been reached
!   					this.marketCloseEventHandler_reverseIfNeeded_reverse(pvoPositionsStatus);
!     }
!     private PVOPositionsStatus marketCloseEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
!     {
!     	EndOfDayDateTime today = timer.GetCurrentTime();
!     	EndOfDayDateTime beginOfOscillatingPeriod =
!     		this.getBeginOfOscillatingPeriod(timer);
!     	PVOPositionsStatus currentStatus = 
!     		PVOPositionsStatus.InTheMiddle;
!     	for(int i = 0; i<this.chosenPVOPositions.Length; i++)
!     	{
!     		if(this.chosenPVOPositions[i] != null)
!     			currentStatus = 
!     				((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
!     				                                     this.benchmark.Ticker, this.historicalQuoteProvider,
!     				                                     double.MaxValue, double.MaxValue);
!     		if(currentStatus == PVOPositionsStatus.Oversold ||
!     		   currentStatus == PVOPositionsStatus.Overbought )
!     		{	
  					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
  					i = this.chosenPVOPositions.Length;//exit from for
  				}
!      	}
!     		return currentStatus;
!     }
!     
!     protected void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
!     {
!       PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
!       if(timer.CurrentDateArrayPosition >= this.numDaysForOscillatingPeriod)
!       	pvoPositionsStatus = 
!       		this.marketCloseEventHandler_openPositions_getStatus(timer);
  			switch (pvoPositionsStatus){
!         case PVOPositionsStatus.Overbought:
!     		{
!     			#region manage Overbought case
!       		this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
!           try{
!             AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
!           	                            	this.account );
!             this.portfolioHasBeenOverbought = true;
!           	this.portfolioHasBeenOversold = false;
!           	this.previousAccountValue = this.account.GetMarketValue();
!           }
!           catch(Exception ex){
!             ex = ex;
!           }
!           finally{
!             this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
!           }
!       		#endregion
!       		break;
!     		}
!         case PVOPositionsStatus.Oversold:
!         {
!     			#region manage Oversold case
!       		AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
!           	                            this.account );
!           this.portfolioHasBeenOverbought = false;
!           this.portfolioHasBeenOversold = true;
!           this.previousAccountValue = this.account.GetMarketValue();
!           #endregion
!           break;
!     		}
!         case PVOPositionsStatus.InTheMiddle://that is
!       	{  //pvoPositionsForOutOfSample has not been set
!       		
!           this.previousAccountValue = this.account.GetMarketValue();
! 					break;
!       	}
  				default:
!         {
!       		//it should never been reached
!           this.previousAccountValue = this.account.GetMarketValue();
! 					break;
!       	}
!       }
!     }
!     
!     protected virtual void marketCloseEventHandler_closePositionsIfNeeded()
!     {
!       if(this.stopLossConditionReached ||
!     	   this.takeProfitConditionReached ||
!          this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
!       {    
!     		AccountManager.ClosePositions(this.account);
!         this.portfolioHasBeenOverbought = false;
!         this.portfolioHasBeenOversold = false;
!       }
!     }    
!     
!     protected virtual void marketCloseEventHandler_updateStopLossAndTakeProfitConditions()
!     {
!       //this.previousAccountValue has been set at opening positions
!       this.stopLossConditionReached = false;
!       this.takeProfitConditionReached = false;
!       this.currentAccountValue = this.account.GetMarketValue();
!       double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
!            													/this.previousAccountValue;
!       
!       if(!double.IsInfinity(portfolioGainOrLoss) &&
!          portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
!       {
!         this.stopLossConditionReached = true;
!         this.takeProfitConditionReached = false;
!       }
!       else if (!double.IsInfinity(portfolioGainOrLoss) &&
!       				 portfolioGainOrLoss >= this.minimumAcceptableGain )
!                
!       {
!         this.stopLossConditionReached = false;
!         this.takeProfitConditionReached = true;
!       }
!     }
!     
!     public virtual void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	try{
! 	    	this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
! 	      //this.marketCloseEventHandler_closePositionsIfNeeded();
! 	      if( this.chosenPVOPositions != null )
! 	      //PVOPositions have been chosen by the chooser
! 	      {
! 	      	if(this.account.Portfolio.Count == 0)
! 	      			this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
! 	        		//positions are opened only if thresholds are reached
! 	      	else//there are some opened positions
! 							this.marketCloseEventHandler_closePositionsIfNeeded();
! 	            //this.marketCloseEventHandler_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
! 	      }
!     	}
!     	catch(TickerNotExchangedException ex)
!     	{ex=ex;}
!     }
  
!     #endregion
!  
!     #region OneHourAfterMarketCloseEventHandler
!     
  		protected virtual void updateReturnsManager(EndOfDayDateTime firstEndOfDayDateTime,
! 			EndOfDayDateTime lastEndOfDayDateTime)
  		{
! 			this.returnsManager = 
  				new ReturnsManager(new CloseToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
! 				this.benchmark.Ticker, this.numDaysForOscillatingPeriod),
! 				this.historicalQuoteProvider);
  		}
  
--- 273,468 ----
  		}
  
! 		#region MarketCloseEventHandler
! 		//forOutOfSampleTesting
  		protected virtual EndOfDayDateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
  		{
  			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-this.numDaysForOscillatingPeriod]["quDate"],
! 			                            EndOfDaySpecificTime.MarketClose );
  		}
  
! 		private void marketCloseEventHandler_reverseIfNeeded_reverse(PVOPositionsStatus currentStatus)
! 		{
! 			if(currentStatus == PVOPositionsStatus.Overbought)
! 			{
! 				this.portfolioHasBeenOversold = false;
! 				this.portfolioHasBeenOverbought = true;
! 			}
! 			else if(currentStatus == PVOPositionsStatus.Oversold)
! 			{
! 				this.portfolioHasBeenOversold = true;
! 				this.portfolioHasBeenOverbought = false;
! 			}
! 			AccountManager.ReversePositions(this.account);
! 			this.previousAccountValue = this.account.GetMarketValue();
! 		}
  
! 		private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
! 		{
! 			EndOfDayDateTime today = timer.GetCurrentTime();
  			EndOfDayDateTime beginOfOscillatingPeriod = this.getBeginOfOscillatingPeriod(timer);
! 			PVOPositionsStatus pvoPositionsStatus =
! 				this.pvoPositionsForOutOfSample.GetStatus(beginOfOscillatingPeriod, today , this.benchmark.Ticker, this.historicalQuoteProvider,
  				                                          double.MaxValue, double.MaxValue);
! 			if(pvoPositionsStatus == PVOPositionsStatus.Overbought &&
! 			   this.portfolioHasBeenOversold)
! 				//open positions derive from an overSold period but now
! 				//the overbought threshold has been reached
! 				this.marketCloseEventHandler_reverseIfNeeded_reverse(pvoPositionsStatus);
! 			
! 			if(pvoPositionsStatus == PVOPositionsStatus.Oversold &&
! 			   this.portfolioHasBeenOverbought)
! 				//open positions derive from an overBought period but now
! 				//the overSold threshold has been reached
! 				this.marketCloseEventHandler_reverseIfNeeded_reverse(pvoPositionsStatus);
! 		}
! 		private PVOPositionsStatus marketCloseEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
! 		{
! 			EndOfDayDateTime today = timer.GetCurrentTime();
! 			EndOfDayDateTime beginOfOscillatingPeriod =
! 				this.getBeginOfOscillatingPeriod(timer);
! 			PVOPositionsStatus currentStatus =
! 				PVOPositionsStatus.InTheMiddle;
! 			for(int i = 0; i<this.chosenPVOPositions.Length; i++)
! 			{
! 				if(this.chosenPVOPositions[i] != null)
! 					currentStatus =
! 						((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
! 						                                                     this.benchmark.Ticker, this.historicalQuoteProvider,
! 						                                                     double.MaxValue, double.MaxValue);
! 				if(currentStatus == PVOPositionsStatus.Oversold ||
! 				   currentStatus == PVOPositionsStatus.Overbought )
! 				{
  					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
  					i = this.chosenPVOPositions.Length;//exit from for
  				}
! 			}
! 			return currentStatus;
! 		}
! 		
! 		protected void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
! 		{
! 			PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
! 			if(timer.CurrentDateArrayPosition >= this.numDaysForOscillatingPeriod)
! 				pvoPositionsStatus =
! 					this.marketCloseEventHandler_openPositions_getStatus(timer);
  			switch (pvoPositionsStatus){
! 				case PVOPositionsStatus.Overbought:
! 					{
! 						#region manage Overbought case
! 						this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
! 						try{
! 							AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
! 							                             this.account );
! 							this.portfolioHasBeenOverbought = true;
! 							this.portfolioHasBeenOversold = false;
! 							this.previousAccountValue = this.account.GetMarketValue();
! 						}
! 						catch(Exception ex)
! 						{
! 							string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 						}
! 
! 						finally{
! 							this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
! 						}
! 						#endregion
! 						break;
! 					}
! 				case PVOPositionsStatus.Oversold:
! 					{
! 						#region manage Oversold case
! 						AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
! 						                             this.account );
! 						this.portfolioHasBeenOverbought = false;
! 						this.portfolioHasBeenOversold = true;
! 						this.previousAccountValue = this.account.GetMarketValue();
! 						#endregion
! 						break;
! 					}
! 				case PVOPositionsStatus.InTheMiddle://that is
! 					{  //pvoPositionsForOutOfSample has not been set
! 						
! 						this.previousAccountValue = this.account.GetMarketValue();
! 						break;
! 					}
  				default:
! 					{
! 						//it should never been reached
! 						this.previousAccountValue = this.account.GetMarketValue();
! 						break;
! 					}
! 			}
! 		}
! 		
! 		protected virtual void marketCloseEventHandler_closePositionsIfNeeded()
! 		{
! 			if(this.stopLossConditionReached ||
! 			   this.takeProfitConditionReached ||
! 			   this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
! 			{
! 				AccountManager.ClosePositions(this.account);
! 				this.portfolioHasBeenOverbought = false;
! 				this.portfolioHasBeenOversold = false;
! 			}
! 		}
! 		
! 		protected virtual void marketCloseEventHandler_updateStopLossAndTakeProfitConditions()
! 		{
! 			//this.previousAccountValue has been set at opening positions
! 			this.stopLossConditionReached = false;
! 			this.takeProfitConditionReached = false;
! 			this.currentAccountValue = this.account.GetMarketValue();
! 			double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
! 				/this.previousAccountValue;
! 			
! 			if(!double.IsInfinity(portfolioGainOrLoss) &&
! 			   portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
! 			{
! 				this.stopLossConditionReached = true;
! 				this.takeProfitConditionReached = false;
! 			}
! 			else if (!double.IsInfinity(portfolioGainOrLoss) &&
! 			         portfolioGainOrLoss >= this.minimumAcceptableGain )
! 				
! 			{
! 				this.stopLossConditionReached = false;
! 				this.takeProfitConditionReached = true;
! 			}
! 		}
! 		
! 		public virtual void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			try{
! 				this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
! 				//this.marketCloseEventHandler_closePositionsIfNeeded();
! 				if( this.chosenPVOPositions != null )
! 					//PVOPositions have been chosen by the chooser
! 				{
! 					if(this.account.Portfolio.Count == 0)
! 						this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
! 					//positions are opened only if thresholds are reached
! 					else//there are some opened positions
! 						this.marketCloseEventHandler_closePositionsIfNeeded();
! 					//this.marketCloseEventHandler_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
! 				}
! 			}
! 			catch(TickerNotExchangedException ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 		}
  
! 		#endregion
! 		
! 		#region OneHourAfterMarketCloseEventHandler
! 		
  		protected virtual void updateReturnsManager(EndOfDayDateTime firstEndOfDayDateTime,
! 		                                            EndOfDayDateTime lastEndOfDayDateTime)
  		{
! 			this.returnsManager =
  				new ReturnsManager(new CloseToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
! 				                                             this.benchmark.Ticker, this.numDaysForOscillatingPeriod),
! 				                   this.historicalQuoteProvider);
  		}
  
***************
*** 471,491 ****
  			logItem.NumberOfEligibleTickers =
  				eligibleTickers.Count;
! 			logItem.FitnessOfFirst = 
  				this.chosenPVOPositions[0].FitnessInSample;
! 			logItem.FitnessOfLast = 
  				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].FitnessInSample;
! 			logItem.GenerationOfFirst = 
  				((IGeneticallyOptimizable)this.chosenPVOPositions[0]).Generation;
! 			logItem.GenerationOfLast = 
  				((IGeneticallyOptimizable)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).Generation;
! 			logItem.ThresholdsOfFirst = 
  				((PVOPositions)this.chosenPVOPositions[0]).OversoldThreshold.ToString() + ";" +
  				((PVOPositions)this.chosenPVOPositions[0]).OverboughtThreshold.ToString();
! 			logItem.ThresholdsOfLast = 
  				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OversoldThreshold.ToString() + ";" +
  				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OverboughtThreshold.ToString();
! 			logItem.TickersOfFirst = 
  				this.chosenPVOPositions[0].HashCodeForTickerComposition;
! 			logItem.TickersOfLast = 
  				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].HashCodeForTickerComposition;
  			return logItem;
--- 475,495 ----
  			logItem.NumberOfEligibleTickers =
  				eligibleTickers.Count;
! 			logItem.FitnessOfFirst =
  				this.chosenPVOPositions[0].FitnessInSample;
! 			logItem.FitnessOfLast =
  				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].FitnessInSample;
! 			logItem.GenerationOfFirst =
  				((IGeneticallyOptimizable)this.chosenPVOPositions[0]).Generation;
! 			logItem.GenerationOfLast =
  				((IGeneticallyOptimizable)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).Generation;
! 			logItem.ThresholdsOfFirst =
  				((PVOPositions)this.chosenPVOPositions[0]).OversoldThreshold.ToString() + ";" +
  				((PVOPositions)this.chosenPVOPositions[0]).OverboughtThreshold.ToString();
! 			logItem.ThresholdsOfLast =
  				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OversoldThreshold.ToString() + ";" +
  				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OverboughtThreshold.ToString();
! 			logItem.TickersOfFirst =
  				this.chosenPVOPositions[0].HashCodeForTickerComposition;
! 			logItem.TickersOfLast =
  				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].HashCodeForTickerComposition;
  			return logItem;
***************
*** 524,536 ****
  		}
  
!     protected virtual void updateTestingPositions(DateTime currentDate)
!     {
  			EndOfDayHistory endOfDayHistory =
  				this.benchmark.GetEndOfDayHistory(
! 				new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
! 				EndOfDaySpecificTime.MarketClose),
! 				new EndOfDayDateTime(currentDate,
! 				EndOfDaySpecificTime.MarketClose));
! 			EligibleTickers eligibles = 
  				this.eligiblesSelector.GetEligibleTickers(endOfDayHistory);
  			this.updateReturnsManager(endOfDayHistory.FirstEndOfDayDateTime,
--- 528,540 ----
  		}
  
! 		protected virtual void updateTestingPositions(DateTime currentDate)
! 		{
  			EndOfDayHistory endOfDayHistory =
  				this.benchmark.GetEndOfDayHistory(
! 					new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
! 					                     EndOfDaySpecificTime.MarketClose),
! 					new EndOfDayDateTime(currentDate,
! 					                     EndOfDaySpecificTime.MarketClose));
! 			EligibleTickers eligibles =
  				this.eligiblesSelector.GetEligibleTickers(endOfDayHistory);
  			this.updateReturnsManager(endOfDayHistory.FirstEndOfDayDateTime,
***************
*** 540,566 ****
  			this.updateTestingPositions_updateThresholds();
  			this.logOptimizationInfo(eligibles);
!     }
!     
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public virtual void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       this.numDaysElapsedSinceLastOptimization++;
!       if((this.numDaysElapsedSinceLastOptimization == 
!             this.numDaysBetweenEachOptimization))
!       //num days without optimization has elapsed
!       {
!         this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!         //sets tickers to be chosen next Market Close event
!         this.numDaysElapsedSinceLastOptimization = 0;
!       }
! 		      
!     }
  		#endregion
!   }
  }
--- 544,570 ----
  			this.updateTestingPositions_updateThresholds();
  			this.logOptimizationInfo(eligibles);
! 		}
! 		
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public virtual void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
! 			this.numDaysElapsedSinceLastOptimization++;
! 			if((this.numDaysElapsedSinceLastOptimization ==
! 			    this.numDaysBetweenEachOptimization))
! 				//num days without optimization has elapsed
! 			{
! 				this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
! 				//sets tickers to be chosen next Market Close event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			
! 		}
  		#endregion
! 	}
  }

Index: PVO_OTCMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCMain.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** PVO_OTCMain.cs	14 Aug 2008 23:28:06 -0000	1.6
--- PVO_OTCMain.cs	19 Aug 2008 17:12:59 -0000	1.7
***************
*** 208,212 ****
  		{
  			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				System.Configuration.ConfigurationSettings.AppSettings["LogArchive"];
  			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
  		}
--- 208,212 ----
  		{
  			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				System.Configuration.ConfigurationManager.AppSettings["LogArchive"];
  			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
  		}

Index: PVO_OTCStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCStrategy.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PVO_OTCStrategy.cs	14 Aug 2008 23:28:06 -0000	1.5
--- PVO_OTCStrategy.cs	19 Aug 2008 17:13:00 -0000	1.6
***************
*** 3,7 ****
  
  PVO_OTCStrategy.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  PVO_OTCStrategy.cs
! Copyright (C) 2008
  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;
  using System.Data;
--- 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;
  using System.Data;
***************
*** 52,104 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the Portfolio Value
!   /// Oscillator
!   /// </summary>
!   [Serializable]
!   public class PVO_OTCStrategy : IEndOfDayStrategyForBacktester
!   {
  		public event NewLogItemEventHandler NewLogItem;
  		public event NewMessageEventHandler NewMessage;
  
  		//initialized by the constructor
!   	protected int inSampleDays;
!     protected int numDaysBetweenEachOptimization;
!     protected IInSampleChooser inSampleChooser;
!     protected IEligiblesSelector eligiblesSelector;
!     protected Benchmark benchmark;
!     protected HistoricalQuoteProvider historicalQuoteProvider;
!     protected double oversoldThreshold;
!     protected double overboughtThreshold;
!     protected double oversoldThresholdMAX;
!     protected double overboughtThresholdMAX;
!     //initialized after constructor's call
!     protected int numDaysElapsedSinceLastOptimization;
!     protected ReturnsManager returnsManager;
  		protected TestingPositions[] chosenPVOPositions;
  		//chosen in sample: these are the eligible positions for out
  		//of sample testing
  		protected PVOPositions pvoPositionsForOutOfSample;
!     protected DateTime lastCloseDate;
  		protected DateTime lastOptimizationDateTime;
!     protected Account account;
!     public Account Account
  		{
!     	get { return this.account; }
!     	set { this.account = value; }
  		}
!     private int numOfClosingsToCrossBeforeExit;
!     private int numOfClosingsWithOpenPositions;
!     private int minimumNumberOfEligiblesForValidOptimization;
!     private bool optimalPositionsHaveBeenUpdated;
!     
!     private string description_GetDescriptionForChooser()
!     {
!     	if(this.inSampleChooser == null)
!     		return "ConstantChooser";
!     	else
!     		return this.inSampleChooser.Description;	
!     }
!     
  		public string Description
  		{
--- 52,104 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the Portfolio Value
! 	/// Oscillator
! 	/// </summary>
! 	[Serializable]
! 	public class PVO_OTCStrategy : IEndOfDayStrategyForBacktester
! 	{
  		public event NewLogItemEventHandler NewLogItem;
  		public event NewMessageEventHandler NewMessage;
  
  		//initialized by the constructor
! 		protected int inSampleDays;
! 		protected int numDaysBetweenEachOptimization;
! 		protected IInSampleChooser inSampleChooser;
! 		protected IEligiblesSelector eligiblesSelector;
! 		protected Benchmark benchmark;
! 		protected HistoricalQuoteProvider historicalQuoteProvider;
! 		protected double oversoldThreshold;
! 		protected double overboughtThreshold;
! 		protected double oversoldThresholdMAX;
! 		protected double overboughtThresholdMAX;
! 		//initialized after constructor's call
! 		protected int numDaysElapsedSinceLastOptimization;
! 		protected ReturnsManager returnsManager;
  		protected TestingPositions[] chosenPVOPositions;
  		//chosen in sample: these are the eligible positions for out
  		//of sample testing
  		protected PVOPositions pvoPositionsForOutOfSample;
! 		protected DateTime lastCloseDate;
  		protected DateTime lastOptimizationDateTime;
! 		protected Account account;
! 		public Account Account
  		{
! 			get { return this.account; }
! 			set { this.account = value; }
  		}
! 		private int numOfClosingsToCrossBeforeExit;
! 		private int numOfClosingsWithOpenPositions;
! 		private int minimumNumberOfEligiblesForValidOptimization;
! 		private bool optimalPositionsHaveBeenUpdated;
! 		
! 		private string description_GetDescriptionForChooser()
! 		{
! 			if(this.inSampleChooser == null)
! 				return "ConstantChooser";
! 			else
! 				return this.inSampleChooser.Description;
! 		}
! 		
  		public string Description
  		{
***************
*** 127,140 ****
  
  		private void pvo_otcStrategy(IEligiblesSelector eligiblesSelector,
! 			int minimumNumberOfEligiblesForValidOptimization,
! 		  int inSampleDays,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			int numOfClosingsToCrossBeforeExit,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			double oversoldThresholdMAX,
! 			double overboughtThresholdMAX,
! 			HistoricalQuoteProvider historicalQuoteProvider)
  		{
  			this.numOfClosingsWithOpenPositions = 0;
--- 127,140 ----
  
  		private void pvo_otcStrategy(IEligiblesSelector eligiblesSelector,
! 		                             int minimumNumberOfEligiblesForValidOptimization,
! 		                             int inSampleDays,
! 		                             Benchmark benchmark,
! 		                             int numDaysBetweenEachOptimization,
! 		                             int numOfClosingsToCrossBeforeExit,
! 		                             double oversoldThreshold,
! 		                             double overboughtThreshold,
! 		                             double oversoldThresholdMAX,
! 		                             double overboughtThresholdMAX,
! 		                             HistoricalQuoteProvider historicalQuoteProvider)
  		{
  			this.numOfClosingsWithOpenPositions = 0;
***************
*** 154,238 ****
  		}
  
!     public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 		                       			int minimumNumberOfEligiblesForValidOptimization,
! 																IInSampleChooser inSampleChooser,
! 																int inSampleDays,
! 																Benchmark benchmark,
! 																int numDaysBetweenEachOptimization,
! 																int numOfClosingsToCrossBeforeExit,
! 																double oversoldThreshold,
! 																double overboughtThreshold,
! 																double oversoldThresholdMAX,
! 																double overboughtThresholdMAX,
!                                 HistoricalQuoteProvider historicalQuoteProvider)
!     														
!     {
! 			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization, 
! 			  inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsToCrossBeforeExit, oversoldThreshold, overboughtThreshold,
! 				oversoldThresholdMAX, overboughtThresholdMAX,
! 				historicalQuoteProvider);
  			this.inSampleChooser = inSampleChooser;
!     }
! 	 	
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 	                     			int minimumNumberOfEligiblesForValidOptimization,
! 														IInSampleChooser inSampleChooser,
! 														int inSampleDays,
! 														Benchmark benchmark,
! 														int numDaysBetweenEachOptimization,
! 														int numOfClosingsToCrossBeforeExit,
! 														double oversoldThreshold,
! 														double overboughtThreshold,
! 	                          HistoricalQuoteProvider historicalQuoteProvider)
!     														
!     {
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			  inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsToCrossBeforeExit, oversoldThreshold, overboughtThreshold,
! 				double.MaxValue, double.MaxValue,
! 				historicalQuoteProvider);
  			this.inSampleChooser = inSampleChooser;
!     }
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 			int minimumNumberOfEligiblesForValidOptimization,
! 			TestingPositions[] chosenPVOPositions,
! 			int inSampleDays,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			int numOfClosingsToCrossBeforeExit,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			double oversoldThresholdMAX,
! 			double overboughtThresholdMAX,
! 			HistoricalQuoteProvider historicalQuoteProvider)
!     														
  		{
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			  inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsToCrossBeforeExit,
! 				oversoldThreshold, overboughtThreshold,
! 				oversoldThresholdMAX, overboughtThresholdMAX,
! 				historicalQuoteProvider);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 			int minimumNumberOfEligiblesForValidOptimization,
! 			TestingPositions[] chosenPVOPositions,
! 			int inSampleDays,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			int numOfClosingsToCrossBeforeExit,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			HistoricalQuoteProvider historicalQuoteProvider)
!     														
  		{
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			  inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsToCrossBeforeExit,
! 				oversoldThreshold, overboughtThreshold,
! 				double.MaxValue, double.MaxValue,
! 				historicalQuoteProvider);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
--- 154,238 ----
  		}
  
! 		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       IInSampleChooser inSampleChooser,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       int numOfClosingsToCrossBeforeExit,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       double oversoldThresholdMAX,
! 		                       double overboughtThresholdMAX,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
! 			
! 		{
! 			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     numOfClosingsToCrossBeforeExit, oversoldThreshold, overboughtThreshold,
! 			                     oversoldThresholdMAX, overboughtThresholdMAX,
! 			                     historicalQuoteProvider);
  			this.inSampleChooser = inSampleChooser;
! 		}
! 		
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       IInSampleChooser inSampleChooser,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       int numOfClosingsToCrossBeforeExit,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
! 			
! 		{
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     numOfClosingsToCrossBeforeExit, oversoldThreshold, overboughtThreshold,
! 			                     double.MaxValue, double.MaxValue,
! 			                     historicalQuoteProvider);
  			this.inSampleChooser = inSampleChooser;
! 		}
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       TestingPositions[] chosenPVOPositions,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       int numOfClosingsToCrossBeforeExit,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       double oversoldThresholdMAX,
! 		                       double overboughtThresholdMAX,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
! 			
  		{
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     numOfClosingsToCrossBeforeExit,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     oversoldThresholdMAX, overboughtThresholdMAX,
! 			                     historicalQuoteProvider);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       TestingPositions[] chosenPVOPositions,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       int numOfClosingsToCrossBeforeExit,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
! 			
  		{
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     numOfClosingsToCrossBeforeExit,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     double.MaxValue, double.MaxValue,
! 			                     historicalQuoteProvider);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
***************
*** 244,273 ****
  		{
  			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"],
! 				EndOfDaySpecificTime.MarketClose );
  		}
  		
  		private PVOPositionsStatus marketOpenEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
!     {
!     	EndOfDayDateTime today = timer.GetCurrentTime();
!     	EndOfDayDateTime beginOfOscillatingPeriod =
!     		this.getBeginOfOscillatingPeriod(timer);
!     	PVOPositionsStatus currentStatus = 
!     		PVOPositionsStatus.InTheMiddle;
!     	for(int i = 0; i<this.chosenPVOPositions.Length; i++)
!     	{
!     		if(this.chosenPVOPositions[i] != null)
!     			currentStatus = 
!     				((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
!     				                                     this.benchmark.Ticker, this.historicalQuoteProvider,
!     				                                     this.oversoldThresholdMAX, this.overboughtThresholdMAX);
!     		if(currentStatus == PVOPositionsStatus.Oversold ||
!     		   currentStatus == PVOPositionsStatus.Overbought )
!     		{	
  					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
  					i = this.chosenPVOPositions.Length;//exit from for
  				}
!      	}
!     		return currentStatus;
!     }
  		
  		protected void marketOpenEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
--- 244,273 ----
  		{
  			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"],
! 			                            EndOfDaySpecificTime.MarketClose );
  		}
  		
  		private PVOPositionsStatus marketOpenEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
! 		{
! 			EndOfDayDateTime today = timer.GetCurrentTime();
! 			EndOfDayDateTime beginOfOscillatingPeriod =
! 				this.getBeginOfOscillatingPeriod(timer);
! 			PVOPositionsStatus currentStatus =
! 				PVOPositionsStatus.InTheMiddle;
! 			for(int i = 0; i<this.chosenPVOPositions.Length; i++)
! 			{
! 				if(this.chosenPVOPositions[i] != null)
! 					currentStatus =
! 						((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
! 						                                                     this.benchmark.Ticker, this.historicalQuoteProvider,
! 						                                                     this.oversoldThresholdMAX, this.overboughtThresholdMAX);
! 				if(currentStatus == PVOPositionsStatus.Oversold ||
! 				   currentStatus == PVOPositionsStatus.Overbought )
! 				{
  					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
  					i = this.chosenPVOPositions.Length;//exit from for
  				}
! 			}
! 			return currentStatus;
! 		}
  		
  		protected void marketOpenEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
***************
*** 275,329 ****
  			PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
  			if(timer.CurrentDateArrayPosition >= 1)
! 				pvoPositionsStatus = 
  					this.marketOpenEventHandler_openPositions_getStatus(timer);
  			switch (pvoPositionsStatus)
  			{
  				case PVOPositionsStatus.Overbought:
- 				{
-     			#region manage Overbought case
- 					this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
- 					try
- 					{
- 						AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
- 							this.account );
- 					}
- 					catch(Exception ex)
- 					{
- 						ex = ex;
- 					}
- 					finally
  					{
  						this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
  					}
-       		#endregion
- 					break;
- 				}
  				case PVOPositionsStatus.Oversold:
! 				{
!     			AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
! 						this.account );
! 					break;
! 				}
  				case PVOPositionsStatus.InTheMiddle://that is
! 				{  //pvoPositionsForOutOfSample has not been set
!       		
! 					break;
! 				}
  				default:
! 				{
! 					//it should never been reached
! 					break;
! 				}
  			}
  		}
  
!     public virtual void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
  			if ( this.account.Portfolio.Count == 0 &&
! 					 this.chosenPVOPositions != null && 
! 					 this.optimalPositionsHaveBeenUpdated == true)
! 					//portfolio is empty and optimization has
! 				  //been already successfully launched
  			{
  				try{
--- 275,329 ----
  			PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
  			if(timer.CurrentDateArrayPosition >= 1)
! 				pvoPositionsStatus =
  					this.marketOpenEventHandler_openPositions_getStatus(timer);
  			switch (pvoPositionsStatus)
  			{
  				case PVOPositionsStatus.Overbought:
  					{
+ 						#region manage Overbought case
  						this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
+ 						try
+ 						{
+ 							AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
+ 							                             this.account );
+ 						}
+ 						catch(Exception ex)
+ 						{
+ 							string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
+ 						}
+ 						finally
+ 						{
+ 							this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
+ 						}
+ 						#endregion
+ 						break;
  					}
  				case PVOPositionsStatus.Oversold:
! 					{
! 						AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
! 						                             this.account );
! 						break;
! 					}
  				case PVOPositionsStatus.InTheMiddle://that is
! 					{  //pvoPositionsForOutOfSample has not been set
! 						
! 						break;
! 					}
  				default:
! 					{
! 						//it should never been reached
! 						break;
! 					}
  			}
  		}
  
! 		public virtual void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
  			if ( this.account.Portfolio.Count == 0 &&
! 			    this.chosenPVOPositions != null &&
! 			    this.optimalPositionsHaveBeenUpdated == true)
! 				//portfolio is empty and optimization has
! 				//been already successfully launched
  			{
  				try{
***************
*** 331,337 ****
...
 
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