[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCount
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From: Glauco S. <gla...@us...> - 2008-09-29 21:17:53
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16104/Oscillators/ExtremeCounterTrend Modified Files: EndOfDayTimerHandlerECT.cs GenomeManagerECT.cs RunExtremeCounterTrend.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: EndOfDayTimerHandlerECT.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/EndOfDayTimerHandlerECT.cs,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** EndOfDayTimerHandlerECT.cs 19 Aug 2008 17:11:28 -0000 1.9 --- EndOfDayTimerHandlerECT.cs 29 Sep 2008 21:17:25 -0000 1.10 *************** *** 48,52 **** /// </summary> [Serializable] ! public class EndOfDayTimerHandlerECT : EndOfDayTimerHandler { private int numDaysForReturnCalculation; --- 48,53 ---- /// </summary> [Serializable] ! public class EndOfDayTimerHandlerECT : ! QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler { private int numDaysForReturnCalculation; *************** *** 82,87 **** } ! public override void MarketOpenEventHandler( ! Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs ) { ; --- 83,88 ---- } ! protected override void marketOpenEventHandler( ! Object sender , DateTime dateTime ) { ; *************** *** 89,93 **** ! #region MarketCloseEventHandler protected void marketCloseEventHandler_updateStopLossCondition() --- 90,94 ---- ! #region marketCloseEventHandler protected void marketCloseEventHandler_updateStopLossCondition() *************** *** 115,125 **** DateTime finalDateForHalfPeriod = (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"]; ! ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals( ! new EndOfDayDateTime(initialDateForHalfPeriod, ! EndOfDaySpecificTime.MarketClose) , ! new EndOfDayDateTime(finalDateForHalfPeriod, ! EndOfDaySpecificTime.MarketClose) , ! this.benchmark , this.numDaysForReturnCalculation ) , ! new HistoricalAdjustedQuoteProvider() ); returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager); } --- 116,130 ---- DateTime finalDateForHalfPeriod = (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"]; ! ReturnsManager returnsManager = new ReturnsManager( ! new CloseToCloseIntervals( ! HistoricalEndOfDayTimer.GetMarketClose( initialDateForHalfPeriod ) , ! HistoricalEndOfDayTimer.GetMarketClose( finalDateForHalfPeriod ) , ! // new EndOfDayDateTime(initialDateForHalfPeriod, ! // EndOfDaySpecificTime.MarketClose) , ! // new EndOfDayDateTime(finalDateForHalfPeriod, ! // EndOfDaySpecificTime.MarketClose) , ! this.benchmark , ! this.numDaysForReturnCalculation ) , ! new HistoricalAdjustedQuoteProvider() ); returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager); } *************** *** 172,177 **** } ! public override void MarketCloseEventHandler( ! Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs ) { if(this.account.Portfolio.Count > 0) --- 177,181 ---- } ! protected override void marketCloseEventHandler( Object sender , DateTime dateTime ) { if(this.account.Portfolio.Count > 0) *************** *** 190,194 **** #endregion ! #region OneHourAfterMarketCloseEventHandler --- 194,198 ---- #endregion ! #region oneHourAfterMarketCloseEventHandler *************** *** 298,305 **** /// <param name="sender"></param> /// <param name="eventArgs"></param> ! public override void OneHourAfterMarketCloseEventHandler( ! Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs ) { ! this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime; this.seedForRandomGenerator++; this.numDaysElapsedSinceLastOptimization++; --- 302,309 ---- /// <param name="sender"></param> /// <param name="eventArgs"></param> ! protected override void oneHourAfterMarketCloseEventHandler( ! Object sender , DateTime dateTime ) { ! this.lastCloseDate = dateTime; this.seedForRandomGenerator++; this.numDaysElapsedSinceLastOptimization++; *************** *** 309,313 **** //it is the first close (OLD IMPLEMENTATION) { ! this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, true); //sets tickers to be chosen next Market Close event this.numDaysElapsedSinceLastOptimization = 0; --- 313,317 ---- //it is the first close (OLD IMPLEMENTATION) { ! this.setTickers(dateTime, true); //sets tickers to be chosen next Market Close event this.numDaysElapsedSinceLastOptimization = 0; Index: GenomeManagerECT.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/GenomeManagerECT.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** GenomeManagerECT.cs 14 Jan 2008 23:38:36 -0000 1.5 --- GenomeManagerECT.cs 29 Sep 2008 21:17:25 -0000 1.6 *************** *** 73,84 **** private void setReturnsManager() { ! EndOfDayDateTime firstEndOfDayDateTime = ! new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose); ! EndOfDayDateTime lastEndOfDayDateTime = ! new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose); this.returnsManager = new ReturnsManager( new CloseToCloseIntervals( ! firstEndOfDayDateTime, ! lastEndOfDayDateTime, this.benchmark, this.numDaysForReturnCalculation) , --- 73,86 ---- private void setReturnsManager() { ! DateTime firstDateTime = ! HistoricalEndOfDayTimer.GetMarketClose( firstQuoteDate ); ! // new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose); ! DateTime lastDateTime = ! HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate ); ! // new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose); this.returnsManager = new ReturnsManager( new CloseToCloseIntervals( ! firstDateTime, ! lastDateTime, this.benchmark, this.numDaysForReturnCalculation) , *************** *** 110,117 **** protected override float[] getStrategyReturns() { ! EndOfDayDateTime firstEndOfDayDateTime = ! new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose); ! EndOfDayDateTime lastEndOfDayDateTime = ! new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose); float[] plainReturns = this.weightedPositionsFromGenome.GetReturns( this.returnsManager); --- 112,121 ---- protected override float[] getStrategyReturns() { ! DateTime firstDateTime = ! HistoricalEndOfDayTimer.GetMarketClose( firstQuoteDate ); ! // new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose); ! DateTime lastDateTime = ! HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate ); ! // new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose); float[] plainReturns = this.weightedPositionsFromGenome.GetReturns( this.returnsManager); Index: RunExtremeCounterTrend.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/RunExtremeCounterTrend.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** RunExtremeCounterTrend.cs 19 Aug 2008 17:13:06 -0000 1.5 --- RunExtremeCounterTrend.cs 29 Sep 2008 21:17:25 -0000 1.6 *************** *** 95,99 **** protected override void run_initializeHistoricalQuoteProvider() { ! this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider(); } --- 95,99 ---- protected override void run_initializeHistoricalQuoteProvider() { ! this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider(); } *************** *** 101,115 **** { ! this.endOfDayTimer.MarketClose += ! new MarketCloseEventHandler( ! this.endOfDayTimerHandler.MarketCloseEventHandler); ! ! this.endOfDayTimer.MarketClose += ! new MarketCloseEventHandler( ! this.checkDateForReport); ! ! this.endOfDayTimer.OneHourAfterMarketClose += ! new OneHourAfterMarketCloseEventHandler( ! this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler); } --- 101,120 ---- { ! this.endOfDayTimer.NewDateTime += ! new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler ); ! this.endOfDayTimer.NewDateTime += ! new NewDateTimeEventHandler( this.checkDateForReport ); ! ! // this.endOfDayTimer.MarketClose += ! // new MarketCloseEventHandler( ! // this.endOfDayTimerHandler.MarketCloseEventHandler); ! // ! // this.endOfDayTimer.MarketClose += ! // new MarketCloseEventHandler( ! // this.checkDateForReport); ! // ! // this.endOfDayTimer.OneHourAfterMarketClose += ! // new OneHourAfterMarketCloseEventHandler( ! // this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler); } *************** *** 134,138 **** //default report with numIntervalDays = 1 AccountReport accountReport = this.account.CreateReport(fileName,1, ! this.endOfDayTimer.GetCurrentTime(), this.benchmark, new HistoricalAdjustedQuoteProvider()); --- 139,143 ---- //default report with numIntervalDays = 1 AccountReport accountReport = this.account.CreateReport(fileName,1, ! this.endOfDayTimer.GetCurrentDateTime(), this.benchmark, new HistoricalAdjustedQuoteProvider()); |