[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.cs,

SourceForge Headquarters 1320 Columbia Street Suite 310 San Diego, CA 92101 +1 (858) 422-6466

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17551

Modified Files:
	RunEfficientPortfolio.cs RunLastChosenPortfolioOutOfSample.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: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.22
retrieving revision 1.23
diff -C2 -d -r1.22 -r1.23
*** RunEfficientPortfolio.cs	19 Aug 2008 17:13:06 -0000	1.22
--- RunEfficientPortfolio.cs	29 Sep 2008 21:19:35 -0000	1.23
***************
*** 62,69 ****

  		protected ReportTable reportTable;
! 		protected EndOfDayDateTime startDateTime;
! 		protected EndOfDayDateTime endDateTime;
  		//protected int numIntervalDays;// number of days for the equity line graph
! 		protected IHistoricalQuoteProvider historicalQuoteProvider;

--- 62,69 ----

  		protected ReportTable reportTable;
! 		protected DateTime startDateTime;
! 		protected DateTime endDateTime;
  		//protected int numIntervalDays;// number of days for the equity line graph
! 		protected HistoricalMarketValueProvider historicalMarketValueProvider;

***************
*** 74,78 ****
  		protected Account account;

! 		protected IEndOfDayTimer endOfDayTimer;

  		protected string benchmark;
--- 74,78 ----
  		protected Account account;

! 		protected QuantProject.Business.Timing.Timer endOfDayTimer;

  		protected string benchmark;
***************
*** 103,107 ****
  		public DateTime TimerLastDate
  		{
! 			get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
  		}

--- 103,107 ----
  		public DateTime TimerLastDate
  		{
! 			get{return this.endOfDayTimer.GetCurrentDateTime() ;}
  		}

***************
*** 112,119 ****
  		{

! 			this.startDateTime = new EndOfDayDateTime(
! 				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime = new EndOfDayDateTime(
! 				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "EfficientGeneric";
--- 112,123 ----
  		{

! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetFiveMinutesBeforeMarketClose( startDate );
! //			new EndOfDayDateTime(
! //				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( endDate );
! //			new EndOfDayDateTime(
! //				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "EfficientGeneric";
***************
*** 141,148 ****
  			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
  			this.reportTable = new ReportTable( "Summary_Reports" );
! 			this.startDateTime = new EndOfDayDateTime(
! 				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime = new EndOfDayDateTime(
! 				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "EfficientGeneric";
--- 145,156 ----
  			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
  			this.reportTable = new ReportTable( "Summary_Reports" );
! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetFiveMinutesBeforeMarketClose( startDate );
! //				new EndOfDayDateTime(
! //				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( endDate );
! //				new EndOfDayDateTime(
! //				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "EfficientGeneric";
***************
*** 181,187 ****
  			this.account = new Account( this.scriptName , this.endOfDayTimer ,
  			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalQuoteProvider ) ,
  			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalQuoteProvider ));

  		}
--- 189,195 ----
  			this.account = new Account( this.scriptName , this.endOfDayTimer ,
  			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
  			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ));

  		}
***************
*** 202,212 ****
  		}

! 		protected virtual void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
! 			if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
! 			   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 				//last date is reached by the timer or maxRunning hours
! 				//are elapsed from the time script started
! 				this.SaveScriptResults();
  		}

--- 210,224 ----
  		}

! 		protected virtual void checkDateForReport(
! 			Object sender , DateTime dateTime)
  		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 			{
! 				if( dateTime >= this.endDateTime ||
! 				   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 					//last date is reached by the timer or maxRunning hours
! 					//are elapsed from the time script started
! 					this.SaveScriptResults();
! 			}
  		}

***************
*** 239,243 ****
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
--- 251,255 ----
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
***************
*** 273,279 ****
  		protected virtual void run_addEventHandlers()
  		{
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.checkDateForReport);

  			//in inherited classes'override method:
--- 285,294 ----
  		protected virtual void run_addEventHandlers()
  		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);

  			//in inherited classes'override method:

Index: RunLastChosenPortfolioOutOfSample.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunLastChosenPortfolioOutOfSample.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunLastChosenPortfolioOutOfSample.cs	27 Jul 2005 22:30:56 -0000	1.3
--- RunLastChosenPortfolioOutOfSample.cs	29 Sep 2008 21:19:35 -0000	1.4
***************
*** 3,7 ****

  RunLastChosenPortfolioOutOfSample.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  RunLastChosenPortfolioOutOfSample.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;
***************
*** 40,44 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 40,44 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 56,161 ****
  		private string[] tickers;
  		private PortfolioType typeOfPortfolio;
!     public RunLastChosenPortfolioOutOfSample(string[] chosenTickers,
!                                              PortfolioType typeOfPortfolio, 
  		                                         string benchmark,
!                                 						 DateTime startDate,
!                                 						 DateTime endDate,
!                                 						 double maxRunningHours):
! 																						base(benchmark,
!                                 						 		 startDate,
!                                 						     endDate,
!                                 						     typeOfPortfolio,
!                                 						     maxRunningHours)
  		{
!       this.tickers = chosenTickers;
!       this.typeOfPortfolio = typeOfPortfolio;
! 			this.startDateTime = new EndOfDayDateTime(
!         startDate, EndOfDaySpecificTime.MarketOpen );
!     	this.endDateTime = new EndOfDayDateTime(
!         endDate, EndOfDaySpecificTime.MarketClose );
!     	this.ScriptName = "LastChosenPortfolioOutOfSample";
!     	    	
  		}
-     #region Run
-  
-     protected override void run_initializeEndOfDayTimerHandler()
-     {
-     	this.endOfDayTimerHandler =
-     		new EndOfDayTimerHandlerLastChosenPortfolio(this.tickers,
-     		                                            this.typeOfPortfolio,
-     		                                            this.account,
-     		                                            this.benchmark,
-     		                                           	this.startDateTime,
-     		                                           	this.endDateTime);
-     }
-     
-     protected override void run_initializeEndOfDayTimer()
-     {
-     	this.endOfDayTimer = 
-     		new HistoricalEndOfDayTimer(this.startDateTime);
-     }
-     
-     protected override void run_initializeHistoricalQuoteProvider()
-     {
-     	this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
-      		
-     }
-     protected override void run_initializeAccount()
-     {
-       //default account with no commissions
-     	this.account =  new Account( this.scriptName , this.endOfDayTimer ,
-         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
- 					this.historicalQuoteProvider ) ,
-         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
- 					this.historicalQuoteProvider ));
-      
-     }
-     
-     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 );
-       
-     }
-       
-     
-     public override void Run()
-     {
-     	base.Run();
-   	 	Report report = new Report( this.account , this.historicalQuoteProvider );
-     	report.Create( "Run last chosen tickers out of sample", 1 ,
-       new EndOfDayDateTime( this.endDateTime.DateTime ,
-       EndOfDaySpecificTime.MarketClose ) ,
-       "^SPX" );
-     	report.Show();
-     }
-     
-      protected override void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
-     {
-       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
-         DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
-         //last date is reached by the timer or maxRunning hours
-         //are elapsed from the time script started
-       {
-         this.endOfDayTimer.Stop();
-       }

!     }
!     
!     #endregion 
!     
  	}
  }
--- 56,191 ----
  		private string[] tickers;
  		private PortfolioType typeOfPortfolio;
! 		public RunLastChosenPortfolioOutOfSample(string[] chosenTickers,
! 		                                         PortfolioType typeOfPortfolio,
  		                                         string benchmark,
! 		                                         DateTime startDate,
! 		                                         DateTime endDate,
! 		                                         double maxRunningHours):
! 			base(benchmark,
! 			     startDate,
! 			     endDate,
! 			     typeOfPortfolio,
! 			     maxRunningHours)
  		{
! 			this.tickers = chosenTickers;
! 			this.typeOfPortfolio = typeOfPortfolio;
! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( startDate );
! //			new EndOfDayDateTime(
! //				startDate, EndOfDaySpecificTime.MarketOpen );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( endDate );
! //			new EndOfDayDateTime(
! //				endDate, EndOfDaySpecificTime.MarketClose );
! 			this.ScriptName = "LastChosenPortfolioOutOfSample";
! 			
! 		}
! 		#region Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler =
! 				new EndOfDayTimerHandlerLastChosenPortfolio(this.tickers,
! 				                                            this.typeOfPortfolio,
! 				                                            this.account,
! 				                                            this.benchmark,
! 				                                            this.startDateTime,
! 				                                            this.endDateTime);
! 		}
! 		
! 		protected override void run_initializeEndOfDayTimer()
! 		{
! 			this.endOfDayTimer =
! 				new HistoricalEndOfDayTimer(this.startDateTime);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 			
! 		}
! 		protected override void run_initializeAccount()
! 		{
! 			//default account with no commissions
! 			this.account =  new Account( this.scriptName , this.endOfDayTimer ,
! 			                            new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) ,
! 			                            new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                                this.historicalMarketValueProvider ));
! 			
! 		}
! 		
! 		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.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 );
! 			
! 		}
! 		
! 		
! 		public override void Run()
! 		{
! 			base.Run();
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Create(
! 				"Run last chosen tickers out of sample", 1 ,
! 				HistoricalEndOfDayTimer.GetMarketClose( this.endDateTime ) ,
! //				new EndOfDayDateTime( this.endDateTime.DateTime ,
! //				                     EndOfDaySpecificTime.MarketClose ) ,
! 				"^SPX" );
! 			report.Show();
! 		}
! 		
! 		//     protected override void checkDateForReport(
! 		//    	Object sender , DateTime dateTime)
! 		//    {
! 		//      if(dateTime.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
! 		//        DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 		//        //last date is reached by the timer or maxRunning hours
! 		//        //are elapsed from the time script started
! 		//      {
! 		//        this.endOfDayTimer.Stop();
! 		//      }
! //
! 		//    }
! 
! 		protected override void checkDateForReport(
! 			Object sender , DateTime dateTime)
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 			{
! 				if( dateTime >= this.endDateTime ||
! 				   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 					//last date is reached by the timer or maxRunning hours
! 					//are elapsed from the time script started
! 					this.endOfDayTimer.Stop();
! 			}
! 		}
! 		#endregion
! 		
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.cs,

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.cs, 1.22, 1.23 RunLastChosenPortfolioOutOfSample.cs, 1.3, 1.4