[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOve

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15453/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce

Modified Files:
	RunDOR_WeekEndBounce.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: RunDOR_WeekEndBounce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce/RunDOR_WeekEndBounce.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunDOR_WeekEndBounce.cs	19 Aug 2008 17:13:04 -0000	1.2
--- RunDOR_WeekEndBounce.cs	29 Sep 2008 21:16:40 -0000	1.3
***************
*** 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;
***************
*** 37,170 ****
  	/// Script that implements the Double OverReaction Week End Bounce strategy:
  	/// at each Monday open, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l tickers among the 
  	/// b best that more moves down (at open) and the s tickers among the w worst
  	/// that more moves up (at open).
! 	/// For chosing the b best and w worst tickers the 
  	/// given previous lengthInDays Performance is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...) 
  	/// that overreactions may be followed by opposite overreactions.
  	/// At each wednesday open, positions are closed.
  	/// </summary>
!   [Serializable]
!   public class RunDOR_WeekEndBounce
!   {
!     private string scriptName;
!     private string tickerGroupID;
!     private string benchmark;
!     private int numberOfEligibleTickers;
!     private int numOfBestTickers;
!     private int numOfWorstTickers;
  		private int lengthInDaysForPerformance;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private DateTime startDate;
!     private DateTime endDate;
!     private double maxRunningHours;
!     private DateTime startingTimeForScript;
!     private Account account;
!     private IHistoricalQuoteProvider historicalQuoteProvider;
!     private IEndOfDayTimer endOfDayTimer;

!     public RunDOR_WeekEndBounce(string tickerGroupID, string benchmark,
!       int numberOfEligibleTickers, int numOfBestTickers, 
!       int numOfWorstTickers, int numOfTickersForBuying,
!       int numOfTickersForShortSelling,
!       DateTime startDate, DateTime endDate, int  lengthInDaysForPerformance,
!       double maxRunningHours)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.benchmark = benchmark;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numOfBestTickers = numOfBestTickers;
!       this.numOfWorstTickers = numOfWorstTickers;
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.startDate = startDate;
!       this.endDate = endDate;
!       this.maxRunningHours = maxRunningHours;
!       this.scriptName = "DoubleOverReaction_WeekEndBounce";
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!       this.endOfDayTimer = new IndexBasedEndOfDayTimer(
!         new EndOfDayDateTime( this.startDate ,
!         EndOfDaySpecificTime.MarketOpen ) , this.benchmark );
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
!     }

!     public void Run()
!     {
!       this.startingTimeForScript = DateTime.Now;
!       this.account = new Account( "WeekEndBounce" , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
!         this.historicalQuoteProvider ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
!         this.historicalQuoteProvider ) );
!       EndOfDayTimerHandlerDOR_WeekEndBounce endOfDayTimerHandler =
!         new EndOfDayTimerHandlerDOR_WeekEndBounce(this.tickerGroupID, this.numberOfEligibleTickers,
!         this.numOfBestTickers, this.numOfWorstTickers, this.lengthInDaysForPerformance,
!         this.numOfTickersForBuying, this.numOfTickersForShortSelling, 
!         this.account, this.benchmark);
!       this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
!         endOfDayTimerHandler.MarketOpenEventHandler );
! 
!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         endOfDayTimerHandler.MarketCloseEventHandler );

!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         this.checkDateForReport);

!       this.endOfDayTimer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
!         endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!       
!       this.endOfDayTimer.Start();
!     }

!     private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDate ||
!         DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
!         //last date is reached by the timer or maxRunning hours
!         //are elapsed from the time script started
!         this.SaveScriptResults();
!     }

!     private void checkDateForReport_createDirIfNotPresent(string dirPath)
!     {
!       if(!Directory.Exists(dirPath))
!         Directory.CreateDirectory(dirPath);
!     }

!     public void SaveScriptResults()
!     {
!       TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName = 
! 				"SecondsElapsed_" + 
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!         DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
!         this.scriptName +  "_From_" + this.tickerGroupID +
!         "_elig_" + this.numberOfEligibleTickers + 
!       	"_best_" + this.numOfBestTickers +
!       	"_worst_" + this.numOfWorstTickers +
!       	"_forLong_" + this.numOfTickersForBuying +
!       	"_forShort_" + this.numOfTickersForShortSelling;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
!         "\\" + this.scriptName + "\\";
!           
!       //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();
!     }
!   }   
  }
--- 37,178 ----
  	/// Script that implements the Double OverReaction Week End Bounce strategy:
  	/// at each Monday open, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l tickers among the
  	/// b best that more moves down (at open) and the s tickers among the w worst
  	/// that more moves up (at open).
! 	/// For chosing the b best and w worst tickers the
  	/// given previous lengthInDays Performance is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...)
  	/// that overreactions may be followed by opposite overreactions.
  	/// At each wednesday open, positions are closed.
  	/// </summary>
! 	[Serializable]
! 	public class RunDOR_WeekEndBounce
! 	{
! 		private string scriptName;
! 		private string tickerGroupID;
! 		private string benchmark;
! 		private int numberOfEligibleTickers;
! 		private int numOfBestTickers;
! 		private int numOfWorstTickers;
  		private int lengthInDaysForPerformance;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private DateTime startDate;
! 		private DateTime endDate;
! 		private double maxRunningHours;
! 		private DateTime startingTimeForScript;
! 		private Account account;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private Timer timer;

! 		public RunDOR_WeekEndBounce(string tickerGroupID, string benchmark,
! 		                            int numberOfEligibleTickers, int numOfBestTickers,
! 		                            int numOfWorstTickers, int numOfTickersForBuying,
! 		                            int numOfTickersForShortSelling,
! 		                            DateTime startDate, DateTime endDate, int  lengthInDaysForPerformance,
! 		                            double maxRunningHours)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.benchmark = benchmark;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numOfBestTickers = numOfBestTickers;
! 			this.numOfWorstTickers = numOfWorstTickers;
! 			this.numOfTickersForBuying = numOfTickersForBuying;
! 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
! 			this.startDate = startDate;
! 			this.endDate = endDate;
! 			this.maxRunningHours = maxRunningHours;
! 			this.scriptName = "DoubleOverReaction_WeekEndBounce";
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 			this.timer = new IndexBasedEndOfDayTimer(
! 				HistoricalEndOfDayTimer.GetMarketOpen( this.startDate ) , this.benchmark );
! //				new EndOfDayDateTime( this.startDate ,
! //				                     EndOfDaySpecificTime.MarketOpen ) , this.benchmark );
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
! 		}

! 		public void Run()
! 		{
! 			this.startingTimeForScript = DateTime.Now;
! 			this.account = new Account( "WeekEndBounce" , this.timer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.timer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.timer ,
! 			                                                               this.historicalMarketValueProvider ) );
! 			EndOfDayTimerHandlerDOR_WeekEndBounce endOfDayTimerHandler =
! 				new EndOfDayTimerHandlerDOR_WeekEndBounce(this.tickerGroupID, this.numberOfEligibleTickers,
! 				                                          this.numOfBestTickers, this.numOfWorstTickers, this.lengthInDaysForPerformance,
! 				                                          this.numOfTickersForBuying, this.numOfTickersForShortSelling,
! 				                                          this.account, this.benchmark);
! 			this.timer.NewDateTime += new NewDateTimeEventHandler(
! 				endOfDayTimerHandler.NewDateTimeEventHandler );
! 			
! //			this.timer.MarketOpen += new MarketOpenEventHandler(
! //				endOfDayTimerHandler.MarketOpenEventHandler );
! //
! //			this.timer.MarketClose += new MarketCloseEventHandler(
! //				endOfDayTimerHandler.MarketCloseEventHandler );

! 			this.timer.NewDateTime += new NewDateTimeEventHandler(
! 				this.checkDateForReport);

! //			this.timer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
! //				endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 			
! 			this.timer.Start();
! 		}

! 		private void checkDateForReport(
! 			Object sender , DateTime dateTime)
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 			{
! 				if( dateTime >= this.endDate ||
! 				   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 					//last date is reached by the timer or maxRunning hours
! 					//are elapsed from the time script started
! 					this.SaveScriptResults();
! 			}
! 		}

! 		private void checkDateForReport_createDirIfNotPresent(string dirPath)
! 		{
! 			if(!Directory.Exists(dirPath))
! 				Directory.CreateDirectory(dirPath);
! 		}

! 		public void SaveScriptResults()
! 		{
! 			TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName =
! 				"SecondsElapsed_" +
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				this.scriptName +  "_From_" + this.tickerGroupID +
! 				"_elig_" + this.numberOfEligibleTickers +
! 				"_best_" + this.numOfBestTickers +
! 				"_worst_" + this.numOfWorstTickers +
! 				"_forLong_" + this.numOfTickersForBuying +
! 				"_forShort_" + this.numOfTickersForShortSelling;
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.scriptName + "\\";
! 			
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport( fileName,1,
! 			                                                        this.timer.GetCurrentDateTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider() );
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			
! 			this.timer.Stop();
! 		}
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOve

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce RunDOR_WeekEndBounce.cs, 1.2, 1.3