[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower EndOfDayTimerHandlerITF.cs, 1.7, 1.8 GenomeManagerITF.cs, 1.3, 1.4 RunImmediateTrendFollower.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17578/TrendFollowing/ImmediateTrendFollower

Modified Files:
	EndOfDayTimerHandlerITF.cs GenomeManagerITF.cs 
	RunImmediateTrendFollower.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: GenomeManagerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/GenomeManagerITF.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GenomeManagerITF.cs	14 Jan 2008 23:38:36 -0000	1.3
--- GenomeManagerITF.cs	29 Sep 2008 21:19:39 -0000	1.4
***************
*** 72,83 ****
       private void setReturnsManager()
      {
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  			this.returnsManager =
  				 new ReturnsManager( new CloseToCloseIntervals(
! 																 firstEndOfDayDateTime, 
! 																 lastEndOfDayDateTime, 
  																 this.benchmark,
  																 this.numDaysForReturnCalculation) ,
--- 72,85 ----
       private void setReturnsManager()
      {
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  			this.returnsManager =
  				 new ReturnsManager( new CloseToCloseIntervals(
! 																 firstDateTime, 
! 																 lastDateTime, 
  																 this.benchmark,
  																 this.numDaysForReturnCalculation) ,
***************
*** 107,114 ****
      protected override float[] getStrategyReturns()
  		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
                							 this.returnsManager);
--- 109,118 ----
      protected override float[] getStrategyReturns()
  		{
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
                							 this.returnsManager);

Index: EndOfDayTimerHandlerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/EndOfDayTimerHandlerITF.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** EndOfDayTimerHandlerITF.cs	19 Aug 2008 17:11:28 -0000	1.7
--- EndOfDayTimerHandlerITF.cs	29 Sep 2008 21:19:39 -0000	1.8
***************
*** 45,49 ****
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerITF : EndOfDayTimerHandler
  	{
  		private int numDaysForReturnCalculation;
--- 45,50 ----
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerITF :
! 		QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler
  	{
  		private int numDaysForReturnCalculation;
***************
*** 80,91 ****
  		}
  		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			;
  		}
  
! 		#region MarketCloseEventHandler
! 		
  		protected void marketCloseEventHandler_updateStopLossCondition()
  		{
--- 81,91 ----
  		}
  		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			;
  		}
  
! 		#region marketCloseEventHandler
  		protected void marketCloseEventHandler_updateStopLossCondition()
  		{
***************
*** 160,165 ****
  		}
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			//this.marketCloseEventHandler_updateStopLossCondition();
--- 160,165 ----
  		}
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			//this.marketCloseEventHandler_updateStopLossCondition();
***************
*** 176,184 ****
  		}
  
! 		#endregion
! 		
! 		#region OneHourAfterMarketCloseEventHandler
  		
! 
  		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
  		{
--- 176,182 ----
  		}
  
! 		#endregion marketCloseEventHandler
  		
! 		#region oneHourAfterMarketCloseEventHandler
  		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
  		{
***************
*** 276,283 ****
  		/// <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++;
--- 274,281 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			this.lastCloseDate = dateTime;
  			this.seedForRandomGenerator++;
  			this.numDaysElapsedSinceLastOptimization++;
***************
*** 287,291 ****
  				//it is the first close (OLD IMPLEMENTATION)
  			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 285,289 ----
  				//it is the first close (OLD IMPLEMENTATION)
  			{
! 				this.setTickers(dateTime, false);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
***************
*** 293,297 ****
  			
  		}
! 		#endregion
  	}
  }
--- 291,295 ----
  			
  		}
! 		#endregion oneHourAfterMarketCloseEventHandler
  	}
  }

Index: RunImmediateTrendFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/RunImmediateTrendFollower.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunImmediateTrendFollower.cs	19 Aug 2008 17:13:08 -0000	1.2
--- RunImmediateTrendFollower.cs	29 Sep 2008 21:19:39 -0000	1.3
***************
*** 95,115 ****
  		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);
  		}
  
--- 95,120 ----
  		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);
  		}
  
***************
*** 134,138 ****
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
--- 139,143 ----
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());