[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination FixedLevelO

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17302/LinearCombination

Modified Files:
	FixedLevelOscillatorBiasedPVOStrategy.cs 
	FixedLevelOscillatorPVOStrategy.cs 
	FixedPeriodOscillatorStrategy.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: FixedPeriodOscillatorStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedPeriodOscillatorStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** FixedPeriodOscillatorStrategy.cs	29 Aug 2007 09:43:36 -0000	1.3
--- FixedPeriodOscillatorStrategy.cs	29 Sep 2008 21:19:09 -0000	1.4
***************
*** 3,7 ****

  FixedPeriodOscillatorStrategy.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  FixedPeriodOscillatorStrategy.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;
***************
*** 37,134 ****
  	/// </summary>
  	[Serializable]
! 	public class FixedPeriodOscillatorStrategy : EndOfDayTimerHandler, IEndOfDayStrategy
  	{
  		private int daysForRightPeriod;
!     private int daysForReversalPeriod;
!     //length for movement upwards or downwards of the given tickers
!     private int daysCounterWithRightPositions;
!     private int daysCounterWithReversalPositions;
!     private bool isReversalPeriodOn = false;
!     private int numOfClosesElapsed = 0;
!      

  		public FixedPeriodOscillatorStrategy( Account account ,
! 			                                     WeightedPositions weightedPositions,
!                                            int daysForRightPeriod,
!                                            int daysForReversalPeriod):
!     																		 base("", 0, 
!                                 weightedPositions.Count, 0, account,
!                                 0,
!                                 0,
!                                 "^GSPC", 0.0,
!                                 PortfolioType.ShortAndLong)
  		{
  			this.account = account;
  			this.chosenWeightedPositions = weightedPositions;
!       this.daysForRightPeriod = daysForRightPeriod;
!       this.daysForReversalPeriod = daysForReversalPeriod;
  		}
! 				
!     public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
!     	
  		}
- 		    
-     private void marketCloseEventHandler_updateCounters(bool isTheFirstClose)
-     {
-       if(this.account.Portfolio.Count > 0 && isTheFirstClose == false)
-       {
-         if(this.isReversalPeriodOn)
-           this.daysCounterWithReversalPositions++ ;
-         else
-           this.daysCounterWithRightPositions++ ;
-       }
-     }

! 		public override void MarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       bool firstClose = false;
!       if( (this.numOfClosesElapsed + 1) >= 
!           (this.daysForRightPeriod + this.daysForReversalPeriod) )
!       //strategy can now be applied because it is tuned with the optimization's results
!       {
!         if (this.account.Transactions.Count == 0)
!           // it is the first close
!         {
!           firstClose = true;
!           this.openPositions();
!         }

!         this.marketCloseEventHandler_updateCounters(firstClose);

!         if(firstClose == false && this.isReversalPeriodOn == false &&
!            this.daysCounterWithRightPositions == this.daysForRightPeriod)
!       
!         {
!         	AccountManager.ReversePositions(this.account);
!           this.isReversalPeriodOn = true;
!         }
!       
!         if(this.isReversalPeriodOn == true &&
!            this.daysCounterWithReversalPositions == this.daysForReversalPeriod)
!       
!         {
!           AccountManager.ReversePositions(this.account);
!           this.isReversalPeriodOn = false;
!         }
!       }
!       
!       this.numOfClosesElapsed++;

  		}

!     public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       
  		}
!     
!     public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       
  		}
  	}
  }
--- 37,148 ----
  	/// </summary>
  	[Serializable]
! 	public class FixedPeriodOscillatorStrategy :
! 		QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler ,
! 	IStrategy
  	{
  		private int daysForRightPeriod;
! 		private int daysForReversalPeriod;
! 		//length for movement upwards or downwards of the given tickers
! 		private int daysCounterWithRightPositions;
! 		private int daysCounterWithReversalPositions;
! 		private bool isReversalPeriodOn = false;
! 		private int numOfClosesElapsed = 0;
! 		

  		public FixedPeriodOscillatorStrategy( Account account ,
! 		                                     WeightedPositions weightedPositions,
! 		                                     int daysForRightPeriod,
! 		                                     int daysForReversalPeriod):
! 			base("", 0,
! 			     weightedPositions.Count, 0, account,
! 			     0,
! 			     0,
! 			     "^GSPC", 0.0,
! 			     PortfolioType.ShortAndLong)
  		{
  			this.account = account;
  			this.chosenWeightedPositions = weightedPositions;
! 			this.daysForRightPeriod = daysForRightPeriod;
! 			this.daysForReversalPeriod = daysForReversalPeriod;
  		}
! 		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			
! 		}
! 		
! 		private void marketCloseEventHandler_updateCounters(bool isTheFirstClose)
! 		{
! 			if(this.account.Portfolio.Count > 0 && isTheFirstClose == false)
! 			{
! 				if(this.isReversalPeriodOn)
! 					this.daysCounterWithReversalPositions++ ;
! 				else
! 					this.daysCounterWithRightPositions++ ;
! 			}
  		}

! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{
! 			bool firstClose = false;
! 			if( (this.numOfClosesElapsed + 1) >=
! 			   (this.daysForRightPeriod + this.daysForReversalPeriod) )
! 				//strategy can now be applied because it is tuned with the optimization's results
! 			{
! 				if (this.account.Transactions.Count == 0)
! 					// it is the first close
! 				{
! 					firstClose = true;
! 					this.openPositions();
! 				}

! 				this.marketCloseEventHandler_updateCounters(firstClose);

! 				if(firstClose == false && this.isReversalPeriodOn == false &&
! 				   this.daysCounterWithRightPositions == this.daysForRightPeriod)
! 					
! 				{
! 					AccountManager.ReversePositions(this.account);
! 					this.isReversalPeriodOn = true;
! 				}
! 				
! 				if(this.isReversalPeriodOn == true &&
! 				   this.daysCounterWithReversalPositions == this.daysForReversalPeriod)
! 					
! 				{
! 					AccountManager.ReversePositions(this.account);
! 					this.isReversalPeriodOn = false;
! 				}
! 			}
! 			
! 			this.numOfClosesElapsed++;

  		}

! 		protected override void oneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                            DateTime dateTime)
  		{
! 			
  		}
! 		
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     DateTime dateTime)
  		{
! 			
! 		}
! 		
! 		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: FixedLevelOscillatorBiasedPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorBiasedPVOStrategy.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** FixedLevelOscillatorBiasedPVOStrategy.cs	19 Aug 2008 17:11:29 -0000	1.6
--- FixedLevelOscillatorBiasedPVOStrategy.cs	29 Sep 2008 21:19:08 -0000	1.7
***************
*** 43,47 ****
  	/// </summary>
  	[Serializable]
! 	public class FixedLevelOscillatorBiasedPVOStrategy : EndOfDayTimerHandlerBiasedPVO, IEndOfDayStrategy
  	{

--- 43,48 ----
  	/// </summary>
  	[Serializable]
! 	public class FixedLevelOscillatorBiasedPVOStrategy :
! 		EndOfDayTimerHandlerBiasedPVO, IStrategy
  	{

***************
*** 74,79 ****
  		}

! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  		}
--- 75,80 ----
  		}

! 		protected void fiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{
  		}
***************
*** 107,112 ****
  		}

! 		public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                         EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{

--- 108,113 ----
  		}

! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{

Index: FixedLevelOscillatorPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorPVOStrategy.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** FixedLevelOscillatorPVOStrategy.cs	12 Mar 2008 22:09:04 -0000	1.8
--- FixedLevelOscillatorPVOStrategy.cs	29 Sep 2008 21:19:08 -0000	1.9
***************
*** 3,7 ****

  FixedLevelOscillatorPVOStrategy.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  FixedLevelOscillatorPVOStrategy.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;
***************
*** 35,84 ****
  {
  	/// <summary>
! 	/// Fixed Level Oscillators 
  	/// Portfolio Value Oscillator strategy
  	/// </summary>
  	[Serializable]
! 	public class FixedLevelOscillatorPVOStrategy : EndOfDayTimerHandlerPVO, IEndOfDayStrategy
  	{
! 				
  		public FixedLevelOscillatorPVOStrategy( Account accountPVO ,
! 			                                     WeightedPositions chosenWeightedPositions,
!                                            double oversoldThreshold,
!                                            double overboughtThreshold,
!                                            int numDaysForOscillatingPeriod):
!                                           base("", 0, chosenWeightedPositions.Count, 0,
!                                           accountPVO,                                
!                                           0,0,
!                                           "^GSPC",
!                                           0, 0, 0, 0, 0, 0, false, false, 0, 
!                                           PortfolioType.ShortAndLong, 0.5, 0.5)
  		{
  			this.chosenWeightedPositions = chosenWeightedPositions;
!       this.currentOversoldThreshold = oversoldThreshold;
!       this.currentOverboughtThreshold = overboughtThreshold;
!       this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
  		}

!     public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
!       EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!     }

!     protected override double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
!     {
!       double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod >= 0)
!       //if there are sufficient data for computing currentChosenWeightedPositionsReturn
!       //that's why the method has been overriden
!       	returnValue = 
!       		 base.getCurrentChosenWeightedPositionsReturn(timer);
!       
!       return returnValue;
!     }   

!     public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       
  		}
  	}
--- 35,84 ----
  {
  	/// <summary>
! 	/// Fixed Level Oscillators
  	/// Portfolio Value Oscillator strategy
  	/// </summary>
  	[Serializable]
! 	public class FixedLevelOscillatorPVOStrategy : EndOfDayTimerHandlerPVO, IStrategy
  	{
! 		
  		public FixedLevelOscillatorPVOStrategy( Account accountPVO ,
! 		                                       WeightedPositions chosenWeightedPositions,
! 		                                       double oversoldThreshold,
! 		                                       double overboughtThreshold,
! 		                                       int numDaysForOscillatingPeriod):
! 			base("", 0, chosenWeightedPositions.Count, 0,
! 			     accountPVO,
! 			     0,0,
! 			     "^GSPC",
! 			     0, 0, 0, 0, 0, 0, false, false, 0,
! 			     PortfolioType.ShortAndLong, 0.5, 0.5)
  		{
  			this.chosenWeightedPositions = chosenWeightedPositions;
! 			this.currentOversoldThreshold = oversoldThreshold;
! 			this.currentOverboughtThreshold = overboughtThreshold;
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
  		}

! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     DateTime dateTime)
! 		{
! 		}

! 		protected override double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
! 		{
! 			double returnValue = 999.0;
! 			if(timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod >= 0)
! 				//if there are sufficient data for computing currentChosenWeightedPositionsReturn
! 				//that's why the method has been overriden
! 				returnValue =
! 					base.getCurrentChosenWeightedPositionsReturn(timer);
! 			
! 			return returnValue;
! 		}

! 		protected override void oneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                         DateTime dateTime)
  		{
! 			
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination FixedLevelO

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination FixedLevelOscillatorBiasedPVOStrategy.cs, 1.6, 1.7 FixedLevelOscillatorPVOStrategy.cs, 1.8, 1.9 FixedPeriodOscillatorStrategy.cs, 1.3, 1.4