[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator EndOfDayTimerHandlerPVO.cs, 1.10, 1.11 GenomeManagerPVO.cs, 1.4, 1.5 GenomeManagerPVO_OTC.cs, 1.1, 1.2

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16104/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	EndOfDayTimerHandlerPVO.cs GenomeManagerPVO.cs 
	GenomeManagerPVO_OTC.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: GenomeManagerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/GenomeManagerPVO.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManagerPVO.cs	14 Jan 2008 23:07:02 -0000	1.4
--- GenomeManagerPVO.cs	29 Sep 2008 21:17:25 -0000	1.5
***************
*** 3,7 ****
  
  GenomeManagerPVO.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  GenomeManagerPVO.cs
! Copyright (C) 2003
  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;
***************
*** 46,170 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerPVO : GenomeManagerForEfficientPortfolio
!   {
!     protected int minLevelForOversoldThreshold;
!     protected int maxLevelForOversoldThreshold;
!     protected int minLevelForOverboughtThreshold;
!     protected int maxLevelForOverboughtThreshold;
!     protected int divisorForThresholdComputation;
!     protected bool symmetricalThresholds = false;
!     protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
!     protected int numOfGenesDedicatedToThresholds;
!    	protected double currentOversoldThreshold = 0.0;
!     protected double currentOverboughtThreshold = 0.0;
!     protected int numDaysForOscillatingPeriod;
!     protected ReturnsManager returnsManager;
!     protected CorrelationProvider correlationProvider;//used for experimental
!     //tests using 2 tickers and PearsonCorrelationCoefficient as fitness
!         
!     private void genomeManagerPVO_checkParametersForThresholdsComputation()
!     {
!       if(this.maxLevelForOverboughtThreshold < this.minLevelForOverboughtThreshold || 
!          this.maxLevelForOversoldThreshold < this.minLevelForOversoldThreshold ||
!          this.divisorForThresholdComputation < this.maxLevelForOverboughtThreshold ||
!          this.divisorForThresholdComputation < this.maxLevelForOversoldThreshold ||
!          (this.symmetricalThresholds && (this.minLevelForOversoldThreshold != this.minLevelForOverboughtThreshold ||
!                                         this.maxLevelForOversoldThreshold != this.maxLevelForOverboughtThreshold) ) ||
!          (this.overboughtMoreThanOversoldForFixedPortfolio && 
!             (this.minLevelForOverboughtThreshold > Convert.ToInt32(Convert.ToDouble(this.minLevelForOversoldThreshold)* Convert.ToDouble(this.divisorForThresholdComputation) /
!                                                      (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.minLevelForOversoldThreshold) ) )  ||
!               this.maxLevelForOverboughtThreshold < Convert.ToInt32(Convert.ToDouble(this.maxLevelForOversoldThreshold) * Convert.ToDouble(this.divisorForThresholdComputation) /
!                                                      (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.maxLevelForOversoldThreshold) ) ) ) ) ) 
  
!           throw new Exception("Bad parameters for thresholds computation!");
!     }
  
!     public GenomeManagerPVO(DataTable setOfInitialTickers,
!                            DateTime firstQuoteDate,
!                            DateTime lastQuoteDate,
!                            int numberOfTickersInPortfolio,
!                            int numDaysForOscillatingPeriod,
!                            int minLevelForOversoldThreshold,
! 	                         int maxLevelForOversoldThreshold,
! 	                         int minLevelForOverboughtThreshold,
! 	                         int maxLevelForOverboughtThreshold,
!                            int divisorForThresholdComputation,
!                            bool symmetricalThresholds,
!                            bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
!                            :
!                           base(setOfInitialTickers,
!                           firstQuoteDate,
!                           lastQuoteDate,
!                           numberOfTickersInPortfolio,
!                           0.0,
!                           inSamplePortfolioType,
!                          	benchmark)
!                                 
!                           
!     {
!     	this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!     	this.divisorForThresholdComputation = divisorForThresholdComputation;
  			this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
!       this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
!       this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
!       this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
!       this.symmetricalThresholds = symmetricalThresholds;
!       this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
!       if(this.symmetricalThresholds)//value for thresholds must be unique
!  				numOfGenesDedicatedToThresholds = 1;
!       else
!       	numOfGenesDedicatedToThresholds = 2;
!     	this.genomeManagerPVO_checkParametersForThresholdsComputation();
!     	this.setReturnsManager(firstQuoteDate , lastQuoteDate);
!     }
!     
!     protected virtual void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
!     {
!     	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.numDaysForOscillatingPeriod),
! 														new HistoricalAdjustedQuoteProvider() );
!     }
!     
!     public override int GenomeSize
!     {
!       get{return this.genomeSize + this.numOfGenesDedicatedToThresholds;}
!     }
  
!     #region Get Min and Max Value
  
!     private int getMinValueForGenes_getMinValueForTicker()
!     {
!       int returnValue;
!       switch (this.portfolioType)
!       {
!         case PortfolioType.OnlyLong :
!           returnValue = 0;
!           break;
!         default://For ShortAndLong or OnlyShort portfolios
!           returnValue = - this.originalNumOfTickers;
!           break;
!       }
!       return returnValue;
!     }
  
!     public override int GetMinValueForGenes(int genePosition)
!     {
!     	int returnValue;
!     	switch (genePosition)
!     	{
!     		case 0 ://gene for oversold threshold
  					returnValue = this.minLevelForOversoldThreshold;
  					break;
--- 46,172 ----
  	/// </summary>
  	[Serializable]
! 	public class GenomeManagerPVO : GenomeManagerForEfficientPortfolio
! 	{
! 		protected int minLevelForOversoldThreshold;
! 		protected int maxLevelForOversoldThreshold;
! 		protected int minLevelForOverboughtThreshold;
! 		protected int maxLevelForOverboughtThreshold;
! 		protected int divisorForThresholdComputation;
! 		protected bool symmetricalThresholds = false;
! 		protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
! 		protected int numOfGenesDedicatedToThresholds;
! 		protected double currentOversoldThreshold = 0.0;
! 		protected double currentOverboughtThreshold = 0.0;
! 		protected int numDaysForOscillatingPeriod;
! 		protected ReturnsManager returnsManager;
! 		protected CorrelationProvider correlationProvider;//used for experimental
! 		//tests using 2 tickers and PearsonCorrelationCoefficient as fitness
! 		
! 		private void genomeManagerPVO_checkParametersForThresholdsComputation()
! 		{
! 			if(this.maxLevelForOverboughtThreshold < this.minLevelForOverboughtThreshold ||
! 			   this.maxLevelForOversoldThreshold < this.minLevelForOversoldThreshold ||
! 			   this.divisorForThresholdComputation < this.maxLevelForOverboughtThreshold ||
! 			   this.divisorForThresholdComputation < this.maxLevelForOversoldThreshold ||
! 			   (this.symmetricalThresholds && (this.minLevelForOversoldThreshold != this.minLevelForOverboughtThreshold ||
! 			                                   this.maxLevelForOversoldThreshold != this.maxLevelForOverboughtThreshold) ) ||
! 			   (this.overboughtMoreThanOversoldForFixedPortfolio &&
! 			    (this.minLevelForOverboughtThreshold > Convert.ToInt32(Convert.ToDouble(this.minLevelForOversoldThreshold)* Convert.ToDouble(this.divisorForThresholdComputation) /
! 			                                                           (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.minLevelForOversoldThreshold) ) )  ||
! 			     this.maxLevelForOverboughtThreshold < Convert.ToInt32(Convert.ToDouble(this.maxLevelForOversoldThreshold) * Convert.ToDouble(this.divisorForThresholdComputation) /
! 			                                                           (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.maxLevelForOversoldThreshold) ) ) ) ) )
  
! 				throw new Exception("Bad parameters for thresholds computation!");
! 		}
  
! 		public GenomeManagerPVO(DataTable setOfInitialTickers,
! 		                        DateTime firstQuoteDate,
! 		                        DateTime lastQuoteDate,
! 		                        int numberOfTickersInPortfolio,
! 		                        int numDaysForOscillatingPeriod,
! 		                        int minLevelForOversoldThreshold,
! 		                        int maxLevelForOversoldThreshold,
! 		                        int minLevelForOverboughtThreshold,
! 		                        int maxLevelForOverboughtThreshold,
! 		                        int divisorForThresholdComputation,
! 		                        bool symmetricalThresholds,
! 		                        bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                        PortfolioType inSamplePortfolioType,
! 		                        string benchmark)
! 			:
! 			base(setOfInitialTickers,
! 			     firstQuoteDate,
! 			     lastQuoteDate,
! 			     numberOfTickersInPortfolio,
! 			     0.0,
! 			     inSamplePortfolioType,
! 			     benchmark)
! 			
! 			
! 		{
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
! 			this.divisorForThresholdComputation = divisorForThresholdComputation;
  			this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
! 			this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
! 			this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
! 			this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
! 			this.symmetricalThresholds = symmetricalThresholds;
! 			this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
! 			if(this.symmetricalThresholds)//value for thresholds must be unique
! 				numOfGenesDedicatedToThresholds = 1;
! 			else
! 				numOfGenesDedicatedToThresholds = 2;
! 			this.genomeManagerPVO_checkParametersForThresholdsComputation();
! 			this.setReturnsManager(firstQuoteDate , lastQuoteDate);
! 		}
! 		
! 		protected virtual void setReturnsManager(DateTime firstQuoteDate,
! 		                                         DateTime lastQuoteDate)
! 		{
! 			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.numDaysForOscillatingPeriod),
! 				                   new HistoricalAdjustedQuoteProvider() );
! 		}
! 		
! 		public override int GenomeSize
! 		{
! 			get{return this.genomeSize + this.numOfGenesDedicatedToThresholds;}
! 		}
  
! 		#region Get Min and Max Value
  
! 		private int getMinValueForGenes_getMinValueForTicker()
! 		{
! 			int returnValue;
! 			switch (this.portfolioType)
! 			{
! 				case PortfolioType.OnlyLong :
! 					returnValue = 0;
! 					break;
! 				default://For ShortAndLong or OnlyShort portfolios
! 					returnValue = - this.originalNumOfTickers;
! 					break;
! 			}
! 			return returnValue;
! 		}
  
! 		public override int GetMinValueForGenes(int genePosition)
! 		{
! 			int returnValue;
! 			switch (genePosition)
! 			{
! 				case 0 ://gene for oversold threshold
  					returnValue = this.minLevelForOversoldThreshold;
  					break;
***************
*** 173,206 ****
  						returnValue = this.minLevelForOverboughtThreshold;
  					else
!             returnValue = this.getMinValueForGenes_getMinValueForTicker();
! 				  break;
  				default://gene for ticker
  					returnValue = this.getMinValueForGenes_getMinValueForTicker();
  					break;
!       }
!     	return returnValue;
!     }
!     
!     private int getMaxValueForGenes_getMaxValueForTicker()
!     {
!       int returnValue;
!       switch (this.portfolioType)
!       {
!         case PortfolioType.OnlyShort :
!           returnValue = - 1;
!           break;
!         default ://For ShortAndLong or OnlyLong portfolios
!           returnValue = this.originalNumOfTickers - 1;
!           break;
!       }
!       return returnValue;
!     }
  
!     public override int GetMaxValueForGenes(int genePosition)
!     {
!       int returnValue;
!     	switch (genePosition)
!     	{
!     		case 0 ://gene for oversold threshold
  					returnValue = this.maxLevelForOversoldThreshold;
  					break;
--- 175,208 ----
  						returnValue = this.minLevelForOverboughtThreshold;
  					else
! 						returnValue = this.getMinValueForGenes_getMinValueForTicker();
! 					break;
  				default://gene for ticker
  					returnValue = this.getMinValueForGenes_getMinValueForTicker();
  					break;
! 			}
! 			return returnValue;
! 		}
! 		
! 		private int getMaxValueForGenes_getMaxValueForTicker()
! 		{
! 			int returnValue;
! 			switch (this.portfolioType)
! 			{
! 				case PortfolioType.OnlyShort :
! 					returnValue = - 1;
! 					break;
! 					default ://For ShortAndLong or OnlyLong portfolios
! 						returnValue = this.originalNumOfTickers - 1;
! 					break;
! 			}
! 			return returnValue;
! 		}
  
! 		public override int GetMaxValueForGenes(int genePosition)
! 		{
! 			int returnValue;
! 			switch (genePosition)
! 			{
! 				case 0 ://gene for oversold threshold
  					returnValue = this.maxLevelForOversoldThreshold;
  					break;
***************
*** 214,228 ****
  					returnValue = this.getMaxValueForGenes_getMaxValueForTicker();
  					break;
!       }
!     	return returnValue;
!     }																
!   	
!     #endregion
  		
!     
!     #region getStrategyReturns
!     
!     private float[] getStrategyReturns_getReturnsActually(
!     									float[] plainReturns)
  		{
  			
--- 216,230 ----
  					returnValue = this.getMaxValueForGenes_getMaxValueForTicker();
  					break;
! 			}
! 			return returnValue;
! 		}
  		
! 		#endregion
! 		
! 		
! 		#region getStrategyReturns
! 		
! 		private float[] getStrategyReturns_getReturnsActually(
! 			float[] plainReturns)
  		{
  			
***************
*** 232,326 ****
  			//has been entered
  			float coefficient = 0;
!     	for(int i = 0; i < returnValue.Length - 1; i++)
!       {
!     		if( plainReturns[i] >= (float)this.currentOverboughtThreshold )
!     		//portfolio has been overbought
!     			coefficient = -1;
!     		else if( plainReturns[i] <= - (float)this.currentOversoldThreshold )
!  				//portfolio has been oversold   			
!         	coefficient = 1;
!     		//else the previous coeff is kept or, if no threshold has been
!     		//reached, then no positions will be opened (coefficient = 0) 
!     		returnValue[i + 1] = coefficient * plainReturns[i + 1];
!       }
!       return returnValue;
  			
  			//return plainReturns;
  		}
!     
!     protected override float[] getStrategyReturns()
  		{
  			float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
!              								 this.returnsManager);
  			return this.getStrategyReturns_getReturnsActually(plainReturns);
  		}
!     	
!     #endregion
!        
  
!     private void getFitnessValue_setCurrentThresholds(Genome genome)
!     {
!     	this.currentOversoldThreshold = Convert.ToDouble(genome.Genes()[0])/
!                                       Convert.ToDouble(this.divisorForThresholdComputation);
!     	
!     	if(this.symmetricalThresholds)
!     		this.currentOverboughtThreshold = this.currentOversoldThreshold;
!     	else
!      		this.currentOverboughtThreshold = Convert.ToDouble(genome.Genes()[1])/
!                                         	Convert.ToDouble(this.divisorForThresholdComputation);
!     }
!     
!     protected int getFitnessValue_getDaysOnTheMarket()
!     {
!       int returnValue = 0;
!       foreach(float strategyReturn in this.strategyReturns)
!         if(strategyReturn != 0)
!         //the applied strategy gets positions on the market
!           returnValue++;
  
!       return returnValue;
!     }
  		
!     private double getFitnessValue_calculate_calculateActually()
!     {
!     	return this.AverageOfStrategyReturns/Math.Sqrt(this.VarianceOfStrategyReturns);
  			//return Math.Sqrt(this.VarianceOfStrategyReturns);
!     }
!     
!     
!     protected override double getFitnessValue_calculate()
!     {
  			double returnValue = -1.0;
! 				if(this.getFitnessValue_getDaysOnTheMarket() >
!           this.strategyReturns.Length / 2)
! 	    	//if the genome represents a portfolio that stays on the market
! 	      //at least half of the theoretical days
! 						returnValue = 
! 							this.getFitnessValue_calculate_calculateActually();
  			return returnValue;
!     }
!     
!     protected string getFitnessValue_getFirstTickerFromGenome(Genome genome)
!     {
!     	GenomeMeaningPVO genomeMeaning = (GenomeMeaningPVO)genome.Meaning;
!     	return genomeMeaning.Tickers[0];
!     }
!     protected string getFitnessValue_getSecondTickerFromGenome(Genome genome)
!     {
!     	GenomeMeaningPVO genomeMeaning = (GenomeMeaningPVO)genome.Meaning;
!     	return genomeMeaning.Tickers[1];
!     }
!     
  		//fitness is a sharpe-ratio based indicator for the equity line resulting
  		//from applying the strategy
! 	  public override double GetFitnessValue(Genome genome)
!     {
! //OLD CLASSICAL IMPLEMENTATION (sharpeRatio applied to strategyReturns)
! //      this.getFitnessValue_setCurrentThresholds(genome);
! //      return base.GetFitnessValue(genome);
  
! //NEW implementation: fitness is just the pearson correlation
! //applied to two tickers. This kind of fitness is only valid
! //for experimental tests with 2-tickers portfolios
  			double returnValue = -2.0;
  			if(this.correlationProvider == null)
--- 234,328 ----
  			//has been entered
  			float coefficient = 0;
! 			for(int i = 0; i < returnValue.Length - 1; i++)
! 			{
! 				if( plainReturns[i] >= (float)this.currentOverboughtThreshold )
! 					//portfolio has been overbought
! 					coefficient = -1;
! 				else if( plainReturns[i] <= - (float)this.currentOversoldThreshold )
! 					//portfolio has been oversold
! 					coefficient = 1;
! 				//else the previous coeff is kept or, if no threshold has been
! 				//reached, then no positions will be opened (coefficient = 0)
! 				returnValue[i + 1] = coefficient * plainReturns[i + 1];
! 			}
! 			return returnValue;
  			
  			//return plainReturns;
  		}
! 		
! 		protected override float[] getStrategyReturns()
  		{
  			float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
! 				this.returnsManager);
  			return this.getStrategyReturns_getReturnsActually(plainReturns);
  		}
! 		
! 		#endregion
! 		
  
! 		private void getFitnessValue_setCurrentThresholds(Genome genome)
! 		{
! 			this.currentOversoldThreshold = Convert.ToDouble(genome.Genes()[0])/
! 				Convert.ToDouble(this.divisorForThresholdComputation);
! 			
! 			if(this.symmetricalThresholds)
! 				this.currentOverboughtThreshold = this.currentOversoldThreshold;
! 			else
! 				this.currentOverboughtThreshold = Convert.ToDouble(genome.Genes()[1])/
! 					Convert.ToDouble(this.divisorForThresholdComputation);
! 		}
! 		
! 		protected int getFitnessValue_getDaysOnTheMarket()
! 		{
! 			int returnValue = 0;
! 			foreach(float strategyReturn in this.strategyReturns)
! 				if(strategyReturn != 0)
! 				//the applied strategy gets positions on the market
! 				returnValue++;
  
! 			return returnValue;
! 		}
  		
! 		private double getFitnessValue_calculate_calculateActually()
! 		{
! 			return this.AverageOfStrategyReturns/Math.Sqrt(this.VarianceOfStrategyReturns);
  			//return Math.Sqrt(this.VarianceOfStrategyReturns);
! 		}
! 		
! 		
! 		protected override double getFitnessValue_calculate()
! 		{
  			double returnValue = -1.0;
! 			if(this.getFitnessValue_getDaysOnTheMarket() >
! 			   this.strategyReturns.Length / 2)
! 				//if the genome represents a portfolio that stays on the market
! 				//at least half of the theoretical days
! 				returnValue =
! 					this.getFitnessValue_calculate_calculateActually();
  			return returnValue;
! 		}
! 		
! 		protected string getFitnessValue_getFirstTickerFromGenome(Genome genome)
! 		{
! 			GenomeMeaningPVO genomeMeaning = (GenomeMeaningPVO)genome.Meaning;
! 			return genomeMeaning.Tickers[0];
! 		}
! 		protected string getFitnessValue_getSecondTickerFromGenome(Genome genome)
! 		{
! 			GenomeMeaningPVO genomeMeaning = (GenomeMeaningPVO)genome.Meaning;
! 			return genomeMeaning.Tickers[1];
! 		}
! 		
  		//fitness is a sharpe-ratio based indicator for the equity line resulting
  		//from applying the strategy
! 		public override double GetFitnessValue(Genome genome)
! 		{
! 			//OLD CLASSICAL IMPLEMENTATION (sharpeRatio applied to strategyReturns)
! 			//      this.getFitnessValue_setCurrentThresholds(genome);
! 			//      return base.GetFitnessValue(genome);
  
! 			//NEW implementation: fitness is just the pearson correlation
! 			//applied to two tickers. This kind of fitness is only valid
! 			//for experimental tests with 2-tickers portfolios
  			double returnValue = -2.0;
  			if(this.correlationProvider == null)
***************
*** 331,336 ****
  			string secondTicker = this.getFitnessValue_getSecondTickerFromGenome(genome);
  			if(  ( firstTicker.StartsWith("-") && !secondTicker.StartsWith("-") ) ||
! 			   	 ( secondTicker.StartsWith("-") && !firstTicker.StartsWith("-") )     )
! 			//tickers have to be opposite in sign	
  			{
  				double correlationIndex = correlationProvider.GetPearsonCorrelation(
--- 333,338 ----
  			string secondTicker = this.getFitnessValue_getSecondTickerFromGenome(genome);
  			if(  ( firstTicker.StartsWith("-") && !secondTicker.StartsWith("-") ) ||
! 			   ( secondTicker.StartsWith("-") && !firstTicker.StartsWith("-") )     )
! 				//tickers have to be opposite in sign
  			{
  				double correlationIndex = correlationProvider.GetPearsonCorrelation(
***************
*** 338,463 ****
  					SignedTicker.GetTicker(secondTicker) );
  				if(correlationIndex < 0.96)
! 				//	if correlation index is not too high to be 
! 				//  probably originated by the same instrument
  					returnValue = correlationIndex;
  			}
  			return returnValue;
!     }
!     	  
!     public override object Decode(Genome genome)
!     {
!       string[] arrayOfTickers = 
!       	new string[genome.Genes().Length - this.numOfGenesDedicatedToThresholds];
!       int geneForTicker;
!       GenomeMeaningPVO meaning;
!       for(int genePosition = this.numOfGenesDedicatedToThresholds;
!           genePosition < genome.Genes().Length;
!           genePosition++)
!       {
!         geneForTicker = (int)genome.Genes().GetValue(genePosition);
!         arrayOfTickers[genePosition - this.numOfGenesDedicatedToThresholds] = 
!                   this.decode_getTickerCodeForLongOrShortTrade(geneForTicker);
!       }
!       	
!       double[] arrayOfWeights = ExtendedMath.ArrayOfAbs(
  				WeightedPositions.GetBalancedWeights(new SignedTickers(arrayOfTickers),
! 	                                     this.returnsManager) );
!       
!       if(this.symmetricalThresholds)
!       		meaning = new GenomeMeaningPVO(arrayOfTickers,
! 																			arrayOfWeights,
!                                       Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
!                                       Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
!                                      	this.numDaysForOscillatingPeriod);
!       else
!       		meaning = new GenomeMeaningPVO(arrayOfTickers,
! 																			arrayOfWeights,
!                                       Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
!                                       Convert.ToDouble(genome.Genes()[1])/Convert.ToDouble(this.divisorForThresholdComputation),
!                                      	this.numDaysForOscillatingPeriod);
!       return meaning;
!     }
  
!     public override Genome[] GetChilds(Genome parent1, Genome parent2)
!     {
!     	//in this simple implementation
!     	//child have the tickers of one parent
!     	//and the thresholds of the other
!     	Genome[] childs = new Genome[2];
!     	childs[0] = parent1.Clone();
!     	childs[1] = parent2.Clone();
!     	//exchange of genes coding thresholds
!      	
!     	if(this.symmetricalThresholds)//unique value for thresholds
!     	{
!     		childs[0].SetGeneValue(parent2.GetGeneValue(0),0);
!     		childs[1].SetGeneValue(parent1.GetGeneValue(0),0);
!     	}
!     	else//two different values for thresholds
!     	{
!     		childs[0].SetGeneValue(parent2.GetGeneValue(0),0);
!     		childs[1].SetGeneValue(parent1.GetGeneValue(0),0);
!     		childs[0].SetGeneValue(parent2.GetGeneValue(1),1);
!     		childs[1].SetGeneValue(parent1.GetGeneValue(1),1);
!     	}
!     	return childs;
!     }
  
!     public override int GetNewGeneValue(Genome genome, int genePosition)
!     {
!       // in this implementation only new gene values pointing to tickers
!       // must be different from the others already stored
!       int minValueForGene = genome.GetMinValueForGenes(genePosition);
!       int maxValueForGene = genome.GetMaxValueForGenes(genePosition);
!       int returnValue = GenomeManagement.RandomGenerator.Next(minValueForGene,
!                                       maxValueForGene + 1);
!       
!       if(this.numOfGenesDedicatedToThresholds == 2 &&
!          this.overboughtMoreThanOversoldForFixedPortfolio && genePosition == 1)
!       //genePosition points to overbought threshold,
!       //dipendent from the oversold one such that the portfolio tends to be fix
!       	  returnValue = Convert.ToInt32(Convert.ToDouble(genome.GetGeneValue(0)) * Convert.ToDouble(this.divisorForThresholdComputation) /
!       					      (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(genome.GetGeneValue(0))));
!       
!       while(genePosition > this.numOfGenesDedicatedToThresholds - 1
! 	          && GenomeManipulator.IsTickerContainedInGenome(returnValue,
!       	                                                genome,
!       	                                                this.numOfGenesDedicatedToThresholds,
!       	                                                genome.Size - 1))
! 	    //while in the given position has to be stored
! 	    //a new gene pointing to a ticker and
! 	    //the proposed returnValue points to a ticker
! 	    //already stored in the given genome
! 	              returnValue = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 	        														maxValueForGene + 1);
! 	    
!       return returnValue;
!     }
!         
!     public override void Mutate(Genome genome)
!     {
!       // in this implementation only one gene is mutated
!       int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
!       int minValueForGene = genome.GetMinValueForGenes(genePositionToBeMutated);
!       int maxValueForGene = genome.GetMaxValueForGenes(genePositionToBeMutated);
!       int newValueForGene = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 	        																maxValueForGene +1);
!       while(genePositionToBeMutated > this.numOfGenesDedicatedToThresholds - 1 &&
! 	          GenomeManipulator.IsTickerContainedInGenome(newValueForGene,
!       	                                            genome,
!       	                                            this.numOfGenesDedicatedToThresholds,
!       	                                            genome.Size - 1))
! 	    //while in the proposed genePositionToBeMutated has to be stored
! 	    //a new gene pointing to a ticker and
! 	    //the proposed newValueForGene points to a ticker
! 	    //already stored in the given genome
! 	          newValueForGene = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 	        																	maxValueForGene +1);
!       //TODO add if when it is mutated a threshold 
!       //(just a single threshold or the pair of thresholds)
! 	    if(genePositionToBeMutated > this.numOfGenesDedicatedToThresholds - 1)
! 	        GenomeManagement.MutateOneGene(genome,
! 	          genePositionToBeMutated, newValueForGene);
!     }
!   }
  }
--- 340,465 ----
  					SignedTicker.GetTicker(secondTicker) );
  				if(correlationIndex < 0.96)
! 					//	if correlation index is not too high to be
! 					//  probably originated by the same instrument
  					returnValue = correlationIndex;
  			}
  			return returnValue;
! 		}
! 		
! 		public override object Decode(Genome genome)
! 		{
! 			string[] arrayOfTickers =
! 				new string[genome.Genes().Length - this.numOfGenesDedicatedToThresholds];
! 			int geneForTicker;
! 			GenomeMeaningPVO meaning;
! 			for(int genePosition = this.numOfGenesDedicatedToThresholds;
! 			    genePosition < genome.Genes().Length;
! 			    genePosition++)
! 			{
! 				geneForTicker = (int)genome.Genes().GetValue(genePosition);
! 				arrayOfTickers[genePosition - this.numOfGenesDedicatedToThresholds] =
! 					this.decode_getTickerCodeForLongOrShortTrade(geneForTicker);
! 			}
! 			
! 			double[] arrayOfWeights = ExtendedMath.ArrayOfAbs(
  				WeightedPositions.GetBalancedWeights(new SignedTickers(arrayOfTickers),
! 				                                     this.returnsManager) );
! 			
! 			if(this.symmetricalThresholds)
! 				meaning = new GenomeMeaningPVO(arrayOfTickers,
! 				                               arrayOfWeights,
! 				                               Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
! 				                               Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
! 				                               this.numDaysForOscillatingPeriod);
! 			else
! 				meaning = new GenomeMeaningPVO(arrayOfTickers,
! 				                               arrayOfWeights,
! 				                               Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
! 				                               Convert.ToDouble(genome.Genes()[1])/Convert.ToDouble(this.divisorForThresholdComputation),
! 				                               this.numDaysForOscillatingPeriod);
! 			return meaning;
! 		}
  
! 		public override Genome[] GetChilds(Genome parent1, Genome parent2)
! 		{
! 			//in this simple implementation
! 			//child have the tickers of one parent
! 			//and the thresholds of the other
! 			Genome[] childs = new Genome[2];
! 			childs[0] = parent1.Clone();
! 			childs[1] = parent2.Clone();
! 			//exchange of genes coding thresholds
! 			
! 			if(this.symmetricalThresholds)//unique value for thresholds
! 			{
! 				childs[0].SetGeneValue(parent2.GetGeneValue(0),0);
! 				childs[1].SetGeneValue(parent1.GetGeneValue(0),0);
! 			}
! 			else//two different values for thresholds
! 			{
! 				childs[0].SetGeneValue(parent2.GetGeneValue(0),0);
! 				childs[1].SetGeneValue(parent1.GetGeneValue(0),0);
! 				childs[0].SetGeneValue(parent2.GetGeneValue(1),1);
! 				childs[1].SetGeneValue(parent1.GetGeneValue(1),1);
! 			}
! 			return childs;
! 		}
  
! 		public override int GetNewGeneValue(Genome genome, int genePosition)
! 		{
! 			// in this implementation only new gene values pointing to tickers
! 			// must be different from the others already stored
! 			int minValueForGene = genome.GetMinValueForGenes(genePosition);
! 			int maxValueForGene = genome.GetMaxValueForGenes(genePosition);
! 			int returnValue = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 			                                                        maxValueForGene + 1);
! 			
! 			if(this.numOfGenesDedicatedToThresholds == 2 &&
! 			   this.overboughtMoreThanOversoldForFixedPortfolio && genePosition == 1)
! 				//genePosition points to overbought threshold,
! 				//dipendent from the oversold one such that the portfolio tends to be fix
! 				returnValue = Convert.ToInt32(Convert.ToDouble(genome.GetGeneValue(0)) * Convert.ToDouble(this.divisorForThresholdComputation) /
! 				                              (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(genome.GetGeneValue(0))));
! 			
! 			while(genePosition > this.numOfGenesDedicatedToThresholds - 1
! 			      && GenomeManipulator.IsTickerContainedInGenome(returnValue,
! 			                                                     genome,
! 			                                                     this.numOfGenesDedicatedToThresholds,
! 			                                                     genome.Size - 1))
! 				//while in the given position has to be stored
! 				//a new gene pointing to a ticker and
! 				//the proposed returnValue points to a ticker
! 				//already stored in the given genome
! 				returnValue = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 				                                                    maxValueForGene + 1);
! 			
! 			return returnValue;
! 		}
! 		
! 		public override void Mutate(Genome genome)
! 		{
! 			// in this implementation only one gene is mutated
! 			int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
! 			int minValueForGene = genome.GetMinValueForGenes(genePositionToBeMutated);
! 			int maxValueForGene = genome.GetMaxValueForGenes(genePositionToBeMutated);
! 			int newValueForGene = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 			                                                            maxValueForGene +1);
! 			while(genePositionToBeMutated > this.numOfGenesDedicatedToThresholds - 1 &&
! 			      GenomeManipulator.IsTickerContainedInGenome(newValueForGene,
! 			                                                  genome,
! 			                                                  this.numOfGenesDedicatedToThresholds,
! 			                                                  genome.Size - 1))
! 				//while in the proposed genePositionToBeMutated has to be stored
! 				//a new gene pointing to a ticker and
! 				//the proposed newValueForGene points to a ticker
! 				//already stored in the given genome
! 				newValueForGene = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 				                                                        maxValueForGene +1);
! 			//TODO add if when it is mutated a threshold
! 			//(just a single threshold or the pair of thresholds)
! 			if(genePositionToBeMutated > this.numOfGenesDedicatedToThresholds - 1)
! 				GenomeManagement.MutateOneGene(genome,
! 				                               genePositionToBeMutated, newValueForGene);
! 		}
! 	}
  }

Index: EndOfDayTimerHandlerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EndOfDayTimerHandlerPVO.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** EndOfDayTimerHandlerPVO.cs	19 Aug 2008 17:11:28 -0000	1.10
--- EndOfDayTimerHandlerPVO.cs	29 Sep 2008 21:17:25 -0000	1.11
***************
*** 51,55 ****
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerPVO : EndOfDayTimerHandler
  	{
  		protected int minLevelForOversoldThreshold;
--- 51,56 ----
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerPVO :
! 		QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler
  	{
  		protected int minLevelForOversoldThreshold;
***************
*** 116,126 ****
  		}
  		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			;
  		}
  
! 		#region MarketCloseEventHandler
  		
  		protected virtual double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
--- 117,127 ----
  		}
  		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			;
  		}
  
! 		#region marketCloseEventHandler
  		
  		protected virtual double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
***************
*** 133,143 ****
  				DateTime today =
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
! 					new EndOfDayDateTime(firstDayOfOscillatingPeriod,
! 					                     EndOfDaySpecificTime.MarketClose) ,
! 					new EndOfDayDateTime(today,
! 					                     EndOfDaySpecificTime.MarketClose) ,
! 					this.benchmark , this.numDaysForOscillatingPeriod ) ,
! 				                                                   this.historicalQuoteProvider );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
  			}
--- 134,149 ----
  				DateTime today =
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				ReturnsManager returnsManager = new ReturnsManager(
! 					new CloseToCloseIntervals(
! 						HistoricalEndOfDayTimer.GetMarketClose(
! 							firstDayOfOscillatingPeriod ) ,
! 						HistoricalEndOfDayTimer.GetMarketClose( today ) ,
! //					new EndOfDayDateTime(firstDayOfOscillatingPeriod,
! //					                     EndOfDaySpecificTime.MarketClose) ,
! //					new EndOfDayDateTime(today,
! //					                     EndOfDaySpecificTime.MarketClose) ,
! 						this.benchmark ,
! 						this.numDaysForOscillatingPeriod ) ,
! 					this.historicalQuoteProvider );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
  			}
***************
*** 254,259 ****
  		}
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
--- 260,265 ----
  		}
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
***************
*** 272,276 ****
  		#endregion
  		
! 		#region OneHourAfterMarketCloseEventHandler
  		
  		protected virtual DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
--- 278,282 ----
  		#endregion
  		
! 		#region oneHourAfterMarketCloseEventHandler
  		
  		protected virtual DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
***************
*** 404,411 ****
  		/// <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++;
--- 410,417 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			this.lastCloseDate = dateTime;
  			this.seedForRandomGenerator++;
  			this.numDaysElapsedSinceLastOptimization++;
***************
*** 414,418 ****
  				//num days without optimization has elapsed
  			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 420,424 ----
  				//num days without optimization has elapsed
  			{
! 				this.setTickers(dateTime, false);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
***************
*** 421,424 ****
--- 427,441 ----
  		}
  		#endregion
+ 		
+ 		public virtual void NewTimeEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ 				this.marketOpenEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ 				this.marketCloseEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ 				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ 		}
  	}
  }

Index: GenomeManagerPVO_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/GenomeManagerPVO_OTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerPVO_OTC.cs	14 Jan 2008 22:58:11 -0000	1.1
--- GenomeManagerPVO_OTC.cs	29 Sep 2008 21:17:25 -0000	1.2
***************
*** 3,7 ****
  
  GenomeManagerPVO_OTC.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  GenomeManagerPVO_OTC.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;
--- 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;
***************
*** 47,109 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerPVO_OTC : GenomeManagerPVO
!   {
!        
!     public GenomeManagerPVO_OTC(DataTable setOfInitialTickers,
!                            DateTime firstQuoteDate,
!                            DateTime lastQuoteDate,
!                            int numberOfTickersInPortfolio,
!                            int minLevelForOversoldThreshold,
! 	                         int maxLevelForOversoldThreshold,
! 	                         int minLevelForOverboughtThreshold,
! 	                         int maxLevelForOverboughtThreshold,
!                            int divisorForThresholdComputation,
!                            bool symmetricalThresholds,
!                            bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
!                            :
! 														base(setOfInitialTickers,
! 														firstQuoteDate,
! 														lastQuoteDate,
! 														numberOfTickersInPortfolio,
! 														1,
! 														minLevelForOversoldThreshold,
! 														maxLevelForOversoldThreshold,
! 														minLevelForOverboughtThreshold,
! 														maxLevelForOverboughtThreshold,
! 														divisorForThresholdComputation,
! 														symmetricalThresholds,
! 														overboughtMoreThanOversoldForFixedPortfolio,
! 														inSamplePortfolioType,
! 														benchmark)
!                                 
!                           
!     {
!     	
!     }
!     
!     protected override void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
!     {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate,
!     		EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate,
! 				EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( new DailyOpenToCloseIntervals(
! 															  firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark),
! 														new HistoricalRawQuoteProvider() );
!     }
!        
!     
  		//fitness is a sharpe-ratio based indicator for the equity line resulting
  		//from applying the strategy
! 	  public override double GetFitnessValue(Genome genome)
!     {
  			//NEW implementation: fitness is just the pearson correlation
  			//applied to two tickers. This kind of fitness is only valid
--- 47,111 ----
  	/// </summary>
  	[Serializable]
! 	public class GenomeManagerPVO_OTC : GenomeManagerPVO
! 	{
! 		
! 		public GenomeManagerPVO_OTC(DataTable setOfInitialTickers,
! 		                            DateTime firstQuoteDate,
! 		                            DateTime lastQuoteDate,
! 		                            int numberOfTickersInPortfolio,
! 		                            int minLevelForOversoldThreshold,
! 		                            int maxLevelForOversoldThreshold,
! 		                            int minLevelForOverboughtThreshold,
! 		                            int maxLevelForOverboughtThreshold,
! 		                            int divisorForThresholdComputation,
! 		                            bool symmetricalThresholds,
! 		                            bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                            PortfolioType inSamplePortfolioType,
! 		                            string benchmark)
! 			:
! 			base(setOfInitialTickers,
! 			     firstQuoteDate,
! 			     lastQuoteDate,
! 			     numberOfTickersInPortfolio,
! 			     1,
! 			     minLevelForOversoldThreshold,
! 			     maxLevelForOversoldThreshold,
! 			     minLevelForOverboughtThreshold,
! 			     maxLevelForOverboughtThreshold,
! 			     divisorForThresholdComputation,
! 			     symmetricalThresholds,
! 			     overboughtMoreThanOversoldForFixedPortfolio,
! 			     inSamplePortfolioType,
! 			     benchmark)
! 			
! 			
! 		{
! 			
! 		}
! 		
! 		protected override void setReturnsManager(DateTime firstQuoteDate,
! 		                                          DateTime lastQuoteDate)
! 		{
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate,
! 			//    		EndOfDaySpecificTime.MarketOpen);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate,
! //				EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager =
! 				new ReturnsManager( new DailyOpenToCloseIntervals(
! 					firstDateTime,
! 					lastDateTime,
! 					this.benchmark),
! 				                   new HistoricalRawQuoteProvider() );
! 		}
! 		
! 		
  		//fitness is a sharpe-ratio based indicator for the equity line resulting
  		//from applying the strategy
! 		public override double GetFitnessValue(Genome genome)
! 		{
  			//NEW implementation: fitness is just the pearson correlation
  			//applied to two tickers. This kind of fitness is only valid
***************
*** 117,122 ****
  			string secondTicker = this.getFitnessValue_getSecondTickerFromGenome(genome);
  			if(  ( firstTicker.StartsWith("-") && !secondTicker.StartsWith("-") ) ||
! 			   	 ( secondTicker.StartsWith("-") && !firstTicker.StartsWith("-") )     )
! 			//tickers have to be opposite in sign	
  			{
  				double correlationIndex = correlationProvider.GetPearsonCorrelation(
--- 119,124 ----
  			string secondTicker = this.getFitnessValue_getSecondTickerFromGenome(genome);
  			if(  ( firstTicker.StartsWith("-") && !secondTicker.StartsWith("-") ) ||
! 			   ( secondTicker.StartsWith("-") && !firstTicker.StartsWith("-") )     )
! 				//tickers have to be opposite in sign
  			{
  				double correlationIndex = correlationProvider.GetPearsonCorrelation(
***************
*** 124,133 ****
  					SignedTicker.GetTicker(secondTicker) );
  				if(correlationIndex < 0.96)
! 				//	if correlation index is not too high to be 
! 				//  probably originated by the same instrument
  					returnValue = correlationIndex;
  			}
  			return returnValue;
!     }
!   }
  }
--- 126,135 ----
  					SignedTicker.GetTicker(secondTicker) );
  				if(correlationIndex < 0.96)
! 					//	if correlation index is not too high to be
! 					//  probably originated by the same instrument
  					returnValue = correlationIndex;
  			}
  			return returnValue;
! 		}
! 	}
  }