[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientCTCPortfolio.

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16912

Modified Files:
	RunEfficientCTCPortfolio.cs RunEfficientCTCWeeklyPortfolio.cs 
	RunEfficientCTO_WorstAtDayPortfolio.cs 
	RunEfficientCTOPortfolio.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: RunEfficientCTCWeeklyPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTCWeeklyPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunEfficientCTCWeeklyPortfolio.cs	18 Sep 2005 21:13:36 -0000	1.2
--- RunEfficientCTCWeeklyPortfolio.cs	29 Sep 2008 21:18:58 -0000	1.3
***************
*** 3,7 ****

  RunEfficientCTCWeeklyPorfolio.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  RunEfficientCTCWeeklyPorfolio.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;
***************
*** 36,40 ****
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 36,40 ----
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 54,118 ****
  	public class RunEfficientCTCWeeklyPortfolio : RunEfficientPortfolio
  	{
!     protected int numDaysForReturnCalculation;
!     protected double maxAcceptableCloseToCloseDrawdown;

!     public RunEfficientCTCWeeklyPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate,
!                                    	int numDaysForReturnCalculation, 
!                                    	double targetReturn,
!                                     PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double maxRunningHours):
! 																base(tickerGroupID, numberOfEligibleTickers, 
!                                     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     startDate, endDate, targetReturn,
!                                    	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "CloseToCloseScriptsWeeklyEfficientPortfolio";
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
  		}

!     #region auxiliary overriden methods for Run
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTCWeekly(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
!     	                                                        this.account,
!     	                                                        this.generationNumberForGeneticOptimizer,
!     	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
!     	                                                        this.numDaysForReturnCalculation,
!     	                                                        this.targetReturn,
!     	                                                       	this.portfolioType, this.maxAcceptableCloseToCloseDrawdown);
!     }
!     
!     protected override void run_initializeHistoricalQuoteProvider()
!     {
!     	this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!     protected override void run_addEventHandlers()
!     {
!            
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose += 
!       	new OneHourAfterMarketCloseEventHandler(
!       	   this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
!     }

!     
!     #endregion 
  	}
  }
--- 54,123 ----
  	public class RunEfficientCTCWeeklyPortfolio : RunEfficientPortfolio
  	{
! 		protected int numDaysForReturnCalculation;
! 		protected double maxAcceptableCloseToCloseDrawdown;

! 		public RunEfficientCTCWeeklyPortfolio(string tickerGroupID, int numberOfEligibleTickers,
! 		                                      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                      int generationNumberForGeneticOptimizer,
! 		                                      int populationSizeForGeneticOptimizer, string benchmark,
! 		                                      DateTime startDate, DateTime endDate,
! 		                                      int numDaysForReturnCalculation,
! 		                                      double targetReturn,
! 		                                      PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                                      double maxRunningHours):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, targetReturn,
! 			     portfolioType, maxRunningHours)
  		{
! 			this.ScriptName = "CloseToCloseScriptsWeeklyEfficientPortfolio";
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
  		}

! 		#region auxiliary overriden methods for Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTCWeekly(this.tickerGroupID, this.numberOfEligibleTickers,
! 			                                                              this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
! 			                                                              this.account,
! 			                                                              this.generationNumberForGeneticOptimizer,
! 			                                                              this.populationSizeForGeneticOptimizer, this.benchmark,
! 			                                                              this.numDaysForReturnCalculation,
! 			                                                              this.targetReturn,
! 			                                                              this.portfolioType, this.maxAcceptableCloseToCloseDrawdown);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		protected override void run_addEventHandlers()
! 		{
! 			
! 			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);
! 		}
! 
! 		
! 		#endregion
  	}
  }

Index: RunEfficientCTO_WorstAtDayPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTO_WorstAtDayPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunEfficientCTO_WorstAtDayPortfolio.cs	30 Jun 2007 18:52:48 -0000	1.1
--- RunEfficientCTO_WorstAtDayPortfolio.cs	29 Sep 2008 21:18:59 -0000	1.2
***************
*** 3,7 ****

  RunEfficientCTOPorfolio_WorstAtDay.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  RunEfficientCTOPorfolio_WorstAtDay.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;
***************
*** 39,43 ****
  using QuantProject.Business.Financial.Accounting.Slippage;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 39,43 ----
  using QuantProject.Business.Financial.Accounting.Slippage;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 47,144 ****
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close 
  	/// the efficient close to open daily portfolio
  	/// </summary>
!   [Serializable]
!   public class RunEfficientCTOPortfolio_WorstAtDay : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;
!     protected int numOfGenomesForOTCScanning;
!     public RunEfficientCTOPortfolio_WorstAtDay(string tickerGroupID, int numberOfEligibleTickers, 
!       int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!       int generationNumberForGeneticOptimizer,
!       int populationSizeForGeneticOptimizer, string benchmark,
!       DateTime startDate, DateTime endDate, double targetReturn,
!       PortfolioType portfolioType, double maxRunningHours,
!      	int numDaysBetweenEachOptimization,
!       int numOfGenomesForOTCScanning):
!       base(tickerGroupID, numberOfEligibleTickers, 
!       numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!       generationNumberForGeneticOptimizer,
!       populationSizeForGeneticOptimizer, benchmark,
!       startDate, endDate, targetReturn,
!       portfolioType, maxRunningHours)
!     {
!       this.ScriptName = "CTOWorstAtDay_NoCoeff_SharpeOTCCTO";
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.numOfGenomesForOTCScanning = numOfGenomesForOTCScanning;
!     }
!     
!         
!     // delete remark delimitations for having ib commission 
!     // and a fixed percentage calculation of slippage
!     protected override void run_initializeAccount()
!     {
!       this.account = new Account(this.ScriptName,
!                                  this.endOfDayTimer ,
!                                  new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
!                                                                     this.historicalQuoteProvider ) ,
!                                  new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
!                                                                      this.historicalQuoteProvider));
!                                                                     //, new FixedPercentageSlippageManager(this.historicalQuoteProvider,
!                                                                                                        // this.endOfDayTimer,0.08)),
!                                  //new IBCommissionManager());
!      
!     }
!     
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTO_WorstAtDay(this.tickerGroupID,
!                                           this.numberOfEligibleTickers,
!                                           this.numberOfTickersToBeChosen,
!                                           this.numDaysForOptimizationPeriod,
!                                           this.account,
!                                           this.generationNumberForGeneticOptimizer, 
!                                           this.populationSizeForGeneticOptimizer,
!                                           this.benchmark,
!                                           this.targetReturn,
!                                           this.portfolioType,
!                                           this.numDaysBetweenEachOptimization,
!                                           this.numOfGenomesForOTCScanning);
!     }
!     
!     protected override void run_initializeHistoricalQuoteProvider()
!     {
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!     protected override void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketOpen +=
!         new MarketOpenEventHandler(
!         this.endOfDayTimerHandler.MarketOpenEventHandler);

!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose +=
!         new OneHourAfterMarketCloseEventHandler(
!         this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!     }
!     
!     
!     
!     //necessary far calling RunEfficientPortfolio.Run()
!     //in classes that inherit from this class
!     public override void Run()
!     {
!       base.Run();
!     }
  	}
  }
--- 47,149 ----
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close
  	/// the efficient close to open daily portfolio
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientCTOPortfolio_WorstAtDay : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
! 		protected int numOfGenomesForOTCScanning;
! 		public RunEfficientCTOPortfolio_WorstAtDay(string tickerGroupID, int numberOfEligibleTickers,
! 		                                           int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                           int generationNumberForGeneticOptimizer,
! 		                                           int populationSizeForGeneticOptimizer, string benchmark,
! 		                                           DateTime startDate, DateTime endDate, double targetReturn,
! 		                                           PortfolioType portfolioType, double maxRunningHours,
! 		                                           int numDaysBetweenEachOptimization,
! 		                                           int numOfGenomesForOTCScanning):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, targetReturn,
! 			     portfolioType, maxRunningHours)
! 		{
! 			this.ScriptName = "CTOWorstAtDay_NoCoeff_SharpeOTCCTO";
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.numOfGenomesForOTCScanning = numOfGenomesForOTCScanning;
! 		}
! 		
! 		
! 		// delete remark delimitations for having ib commission
! 		// and a fixed percentage calculation of slippage
! 		protected override void run_initializeAccount()
! 		{
! 			this.account = new Account(this.ScriptName,
! 			                           this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider));
! 			//, new FixedPercentageSlippageManager(this.historicalQuoteProvider,
! 			// this.endOfDayTimer,0.08)),
! 			//new IBCommissionManager());
! 			
! 		}
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTO_WorstAtDay(this.tickerGroupID,
! 			                                                                   this.numberOfEligibleTickers,
! 			                                                                   this.numberOfTickersToBeChosen,
! 			                                                                   this.numDaysForOptimizationPeriod,
! 			                                                                   this.account,
! 			                                                                   this.generationNumberForGeneticOptimizer,
! 			                                                                   this.populationSizeForGeneticOptimizer,
! 			                                                                   this.benchmark,
! 			                                                                   this.targetReturn,
! 			                                                                   this.portfolioType,
! 			                                                                   this.numDaysBetweenEachOptimization,
! 			                                                                   this.numOfGenomesForOTCScanning);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		protected override void run_addEventHandlers()
! 		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );

! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //					this.endOfDayTimerHandler.MarketOpenEventHandler);
! //
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //			
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! //			
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 		}
! 		
! 		
! 		
! 		//necessary far calling RunEfficientPortfolio.Run()
! 		//in classes that inherit from this class
! 		public override void Run()
! 		{
! 			base.Run();
! 		}
  	}
  }

Index: RunEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTCPortfolio.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** RunEfficientCTCPortfolio.cs	28 Dec 2005 23:29:39 -0000	1.13
--- RunEfficientCTCPortfolio.cs	29 Sep 2008 21:18:58 -0000	1.14
***************
*** 3,7 ****

  RunEfficientCTCPorfolio.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  RunEfficientCTCPorfolio.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;
***************
*** 36,40 ****
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 36,40 ----
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 47,51 ****
  	/// <summary>
  	/// Script to buy at close and sell at close
! 	/// after a specified number of market days  
  	/// the efficient portfolio
  	/// The efficient portfolio's generation rules
--- 47,51 ----
  	/// <summary>
  	/// Script to buy at close and sell at close
! 	/// after a specified number of market days
  	/// the efficient portfolio
  	/// The efficient portfolio's generation rules
***************
*** 59,133 ****
  	public class RunEfficientCTCPortfolio : RunEfficientPortfolio
  	{
!     protected int numDayOfPortfolioLife;
!     protected int numDaysWithNoPositions;
!     protected int numDaysForReturnCalculation;
!     protected double maxAcceptableCloseToCloseDrawdown;
!     protected int numDaysBetweenEachOptimization;

!     public RunEfficientCTCPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate,
!                                    	int numDaysOfPortfolioLife, int numDaysForReturnCalculation,
!                                     int numDaysWithNoPositions,
!                                    	double targetReturn,
!                                     PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double maxRunningHours, int numDaysBetweenEachOptimization):
! 																base(tickerGroupID, numberOfEligibleTickers, 
!                                     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     startDate, endDate, targetReturn,
!                                    	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "CloseToCloseScriptsDiscontinuosWithSharpe";
!       //this.ScriptName = "CloseToCloseScriptsDiscontinuosWithCoeff";
!       this.numDayOfPortfolioLife = numDaysOfPortfolioLife;
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.numDaysWithNoPositions = numDaysWithNoPositions;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}

!     #region auxiliary overriden methods for Run
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTC(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
!     	                                                        this.account,
!     	                                                        this.generationNumberForGeneticOptimizer,
!     	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
!     	                                                        this.numDayOfPortfolioLife, this.numDaysForReturnCalculation,
!                                                               this.numDaysWithNoPositions,
!     	                                                        this.targetReturn,
!     	                                                       	this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
!                                                               this.numDaysBetweenEachOptimization);
!     }
!     
!     protected override void run_initializeHistoricalQuoteProvider()
!     {
!     	this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!     protected override void run_addEventHandlers()
!     {
!            
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose += 
!       	new OneHourAfterMarketCloseEventHandler(
!       	   this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
!     }

!     
!     #endregion 
  	}
  }
--- 59,144 ----
  	public class RunEfficientCTCPortfolio : RunEfficientPortfolio
  	{
! 		protected int numDayOfPortfolioLife;
! 		protected int numDaysWithNoPositions;
! 		protected int numDaysForReturnCalculation;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		protected int numDaysBetweenEachOptimization;

! 		public RunEfficientCTCPortfolio(string tickerGroupID, int numberOfEligibleTickers,
! 		                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                int generationNumberForGeneticOptimizer,
! 		                                int populationSizeForGeneticOptimizer, string benchmark,
! 		                                DateTime startDate, DateTime endDate,
! 		                                int numDaysOfPortfolioLife, int numDaysForReturnCalculation,
! 		                                int numDaysWithNoPositions,
! 		                                double targetReturn,
! 		                                PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                                double maxRunningHours, int numDaysBetweenEachOptimization):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, targetReturn,
! 			     portfolioType, maxRunningHours)
  		{
! 			this.ScriptName = "CloseToCloseScriptsDiscontinuosWithSharpe";
! 			//this.ScriptName = "CloseToCloseScriptsDiscontinuosWithCoeff";
! 			this.numDayOfPortfolioLife = numDaysOfPortfolioLife;
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.numDaysWithNoPositions = numDaysWithNoPositions;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}

! 		#region auxiliary overriden methods for Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTC(this.tickerGroupID, this.numberOfEligibleTickers,
! 			                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
! 			                                                        this.account,
! 			                                                        this.generationNumberForGeneticOptimizer,
! 			                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
! 			                                                        this.numDayOfPortfolioLife, this.numDaysForReturnCalculation,
! 			                                                        this.numDaysWithNoPositions,
! 			                                                        this.targetReturn,
! 			                                                        this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
! 			                                                        this.numDaysBetweenEachOptimization);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		private void newDateTimeEventHandler( object sender , DateTime dateTime )
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 				this.checkDateForReport( sender , dateTime );
! 		}
! 		
! 		protected override void run_addEventHandlers()
! 		{
! 			
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );

! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //			
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! //			
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
! 		}
! 
! 		
! 		#endregion
  	}
  }

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.27
retrieving revision 1.28
diff -C2 -d -r1.27 -r1.28
*** RunEfficientCTOPortfolio.cs	14 May 2006 18:21:47 -0000	1.27
--- RunEfficientCTOPortfolio.cs	29 Sep 2008 21:18:59 -0000	1.28
***************
*** 3,7 ****

  RunEfficientCTOPorfolio.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  RunEfficientCTOPorfolio.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;
***************
*** 39,43 ****
  using QuantProject.Business.Financial.Accounting.Slippage;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 39,43 ----
  using QuantProject.Business.Financial.Accounting.Slippage;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 47,140 ****
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close 
  	/// the efficient close to open daily portfolio
  	/// </summary>
!   [Serializable]
!   public class RunEfficientCTOPortfolio : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;	
!     public RunEfficientCTOPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
!       int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!       int generationNumberForGeneticOptimizer,
!       int populationSizeForGeneticOptimizer, string benchmark,
!       DateTime startDate, DateTime endDate, double targetReturn,
!       PortfolioType portfolioType, double maxRunningHours,
!      	int numDaysBetweenEachOptimization):
!       base(tickerGroupID, numberOfEligibleTickers, 
!       numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!       generationNumberForGeneticOptimizer,
!       populationSizeForGeneticOptimizer, benchmark,
!       startDate, endDate, targetReturn,
!       portfolioType, maxRunningHours)
!     {
!       this.ScriptName = "CloseToOpenScriptsNoCoeffSharpeRatioCombined";
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!     }
!     
!         
!     // delete remark delimitations for having ib commission 
!     // and a fixed percentage calculation of slippage
!     protected override void run_initializeAccount()
!     {
!       this.account = new Account(this.ScriptName,
!                                  this.endOfDayTimer ,
!                                  new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
!                                                                     this.historicalQuoteProvider ) ,
!                                  new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
!                                                                      this.historicalQuoteProvider));
!                                                                     //, new FixedPercentageSlippageManager(this.historicalQuoteProvider,
!                                                                                                        // this.endOfDayTimer,0.08)),
!                                  //new IBCommissionManager());
!      
!     }
!     
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTO(this.tickerGroupID,
!                                           this.numberOfEligibleTickers,
!                                           this.numberOfTickersToBeChosen,
!                                           this.numDaysForOptimizationPeriod,
!                                           this.account,
!                                           this.generationNumberForGeneticOptimizer, 
!                                           this.populationSizeForGeneticOptimizer,
!                                           this.benchmark,
!                                           this.targetReturn,
!                                           this.portfolioType,
!                                           this.numDaysBetweenEachOptimization);
!     }
!     
!     protected override void run_initializeHistoricalQuoteProvider()
!     {
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!     protected override void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketOpen +=
!         new MarketOpenEventHandler(
!         this.endOfDayTimerHandler.MarketOpenEventHandler);
! 
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose +=
!         new OneHourAfterMarketCloseEventHandler(
!         this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!     }
!     
!     
!     
!     //necessary far calling RunEfficientPortfolio.Run()
!     //in classes that inherit from this class
!     public override void Run()
!     {
!       base.Run();
!     }
  	}
  }
--- 47,145 ----
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close
  	/// the efficient close to open daily portfolio
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientCTOPortfolio : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
! 		public RunEfficientCTOPortfolio(string tickerGroupID, int numberOfEligibleTickers,
! 		                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                int generationNumberForGeneticOptimizer,
! 		                                int populationSizeForGeneticOptimizer, string benchmark,
! 		                                DateTime startDate, DateTime endDate, double targetReturn,
! 		                                PortfolioType portfolioType, double maxRunningHours,
! 		                                int numDaysBetweenEachOptimization):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, targetReturn,
! 			     portfolioType, maxRunningHours)
! 		{
! 			this.ScriptName = "CloseToOpenScriptsNoCoeffSharpeRatioCombined";
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 		}
! 		
! 		
! 		// delete remark delimitations for having ib commission
! 		// and a fixed percentage calculation of slippage
! 		protected override void run_initializeAccount()
! 		{
! 			this.account = new Account(this.ScriptName,
! 			                           this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider));
! 			//, new FixedPercentageSlippageManager(this.historicalQuoteProvider,
! 			// this.endOfDayTimer,0.08)),
! 			//new IBCommissionManager());
! 			
! 		}
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTO(this.tickerGroupID,
! 			                                                        this.numberOfEligibleTickers,
! 			                                                        this.numberOfTickersToBeChosen,
! 			                                                        this.numDaysForOptimizationPeriod,
! 			                                                        this.account,
! 			                                                        this.generationNumberForGeneticOptimizer,
! 			                                                        this.populationSizeForGeneticOptimizer,
! 			                                                        this.benchmark,
! 			                                                        this.targetReturn,
! 			                                                        this.portfolioType,
! 			                                                        this.numDaysBetweenEachOptimization);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		protected override void run_addEventHandlers()
! 		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 			
! //			this.endOfDayTimer.MarketOpen +=
! 			//        new MarketOpenEventHandler(
! 			//        this.endOfDayTimerHandler.MarketOpenEventHandler);
! //
! 			//      this.endOfDayTimer.MarketClose +=
! 			//        new MarketCloseEventHandler(
! 			//        this.endOfDayTimerHandler.MarketCloseEventHandler);
! //
! 			//      this.endOfDayTimer.MarketClose +=
! 			//        new MarketCloseEventHandler(
! 			//        this.checkDateForReport);
! //
! 			//      this.endOfDayTimer.OneHourAfterMarketClose +=
! 			//        new OneHourAfterMarketCloseEventHandler(
! 			//        this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 		}
! 		
! 		
! 		
! 		//necessary far calling RunEfficientPortfolio.Run()
! 		//in classes that inherit from this class
! 		public override void Run()
! 		{
! 			base.Run();
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientCTCPortfolio.

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientCTCPortfolio.cs, 1.13, 1.14 RunEfficientCTCWeeklyPortfolio.cs, 1.2, 1.3 RunEfficientCTO_WorstAtDayPortfolio.cs, 1.1, 1.2 RunEfficientCTOPortfolio.cs, 1.27, 1.28