[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunTestOptimizedCTCPortfolio.cs, 1.9, 1.10 RunTestOptimizedOTCPortfolio.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17673

Modified Files:
	RunTestOptimizedCTCPortfolio.cs 
	RunTestOptimizedOTCPortfolio.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: RunTestOptimizedOTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedOTCPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunTestOptimizedOTCPortfolio.cs	7 Jan 2006 10:35:39 -0000	1.1
--- RunTestOptimizedOTCPortfolio.cs	29 Sep 2008 21:19:53 -0000	1.2
***************
*** 3,7 ****
  
  RunTestOptimizedOTCPorfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunTestOptimizedOTCPorfolio.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;
***************
*** 38,42 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 38,42 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 51,121 ****
  	/// </summary>
  	[Serializable]
!   public class RunTestOptimizedOTCPorfolio : RunEfficientOTCPortfolio
  	{
!    
!     public RunTestOptimizedOTCPorfolio(string tickerGroupID, int numberOfEligibleTickers, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime endDate, double targetReturn,
!                                     PortfolioType portfolioType, double maxRunningHours, 
!                                    	int numDaysBetweenEachOptimization):
!   																base(tickerGroupID, numberOfEligibleTickers, 
!                                      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     endDate.AddDays(-numDaysForOptimizationPeriod), endDate, targetReturn,
!                                    	portfolioType, maxRunningHours,
!                                    	numDaysBetweenEachOptimization)
  		{
!       //this.ScriptName = "TestOptimizedOTCPortfolio";
!       this.ScriptName = "TestOptimizedOTCWeightedPortfolio";
!     }
!   	
!   	protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCTest(this.tickerGroupID,
!                                                               this.numberOfEligibleTickers,
!                                                               this.numberOfTickersToBeChosen,
!                                                               this.numDaysForOptimizationPeriod,
!                                                               this.account,
!                                                               this.generationNumberForGeneticOptimizer, 
!                                                               this.populationSizeForGeneticOptimizer,
!                                                               this.benchmark,
!                                                               this.targetReturn,
!                                                               this.portfolioType,
!                                                              	this.numDaysBetweenEachOptimization);
!        
!     }
!   	
!   	public override void Run()
!     {
!   		base.Run();
!       ((EndOfDayTimerHandlerOTCTest)this.endOfDayTimerHandler).Reset();
!       
!       Report report = new Report( this.account , this.historicalQuoteProvider );
!       report.Create( "TestOptimizationOpenToCloseEfficientPortfolio", 1 ,
!         new EndOfDayDateTime( this.endDateTime.DateTime ,
!         EndOfDaySpecificTime.MarketClose ) ,
!         this.benchmark );
!       report.Show();
!       report.Text = this.getGenomeCounterInfo();
!     }
!      
!     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();
!       }
  
!     }
!     
!     
  
!         
  	}
  }
--- 51,124 ----
  	/// </summary>
  	[Serializable]
! 	public class RunTestOptimizedOTCPorfolio : RunEfficientOTCPortfolio
  	{
! 		
! 		public RunTestOptimizedOTCPorfolio(string tickerGroupID, int numberOfEligibleTickers,
! 		                                   int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                   int generationNumberForGeneticOptimizer,
! 		                                   int populationSizeForGeneticOptimizer, string benchmark,
! 		                                   DateTime endDate, double targetReturn,
! 		                                   PortfolioType portfolioType, double maxRunningHours,
! 		                                   int numDaysBetweenEachOptimization):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     endDate.AddDays(-numDaysForOptimizationPeriod), endDate, targetReturn,
! 			     portfolioType, maxRunningHours,
! 			     numDaysBetweenEachOptimization)
  		{
! 			//this.ScriptName = "TestOptimizedOTCPortfolio";
! 			this.ScriptName = "TestOptimizedOTCWeightedPortfolio";
! 		}
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCTest(this.tickerGroupID,
! 			                                                            this.numberOfEligibleTickers,
! 			                                                            this.numberOfTickersToBeChosen,
! 			                                                            this.numDaysForOptimizationPeriod,
! 			                                                            this.account,
! 			                                                            this.generationNumberForGeneticOptimizer,
! 			                                                            this.populationSizeForGeneticOptimizer,
! 			                                                            this.benchmark,
! 			                                                            this.targetReturn,
! 			                                                            this.portfolioType,
! 			                                                            this.numDaysBetweenEachOptimization);
! 			
! 		}
! 		
! 		public override void Run()
! 		{
! 			base.Run();
! 			((EndOfDayTimerHandlerOTCTest)this.endOfDayTimerHandler).Reset();
! 			
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Create(
! 				"TestOptimizationOpenToCloseEfficientPortfolio", 1 ,
! 				HistoricalEndOfDayTimer.GetMarketClose( this.endDateTime ) ,
! 				//        new EndOfDayDateTime( this.endDateTime.DateTime ,
! 				//        EndOfDaySpecificTime.MarketClose ) ,
! 				this.benchmark );
! 			report.Show();
! 			report.Text = this.getGenomeCounterInfo();
! 		}
! 		
! 		protected override void checkDateForReport(
! 			Object sender , DateTime 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();
! 			}
  
! 		}
! 		
! 		
  
! 		
  	}
  }

Index: RunTestOptimizedCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTCPortfolio.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** RunTestOptimizedCTCPortfolio.cs	28 Dec 2005 23:29:39 -0000	1.9
--- RunTestOptimizedCTCPortfolio.cs	29 Sep 2008 21:19:53 -0000	1.10
***************
*** 3,7 ****
  
  RunTestOptimizedCTCPortfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunTestOptimizedCTCPortfolio.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;
***************
*** 48,52 ****
  	/// <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
--- 48,52 ----
  	/// <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
***************
*** 60,130 ****
  	public class RunTestOptimizedCTCPortfolio : RunEfficientCTCPortfolio
  	{
!    
!     public RunTestOptimizedCTCPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     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,
!                                     endDate.AddDays(-numDaysForOptimizationPeriod), endDate,
!                                    	numDaysOfPortfolioLife, numDaysForReturnCalculation,
!                                     numDaysWithNoPositions,
!                                    	targetReturn,
!                                     portfolioType, maxAcceptableCloseToCloseDrawdown, 
!                                     maxRunningHours, numDaysBetweenEachOptimization)
  		{
!       this.ScriptName = "TestOptimizedCTCPortfolio";
!       
  		}
-     
-     protected override void run_initializeEndOfDayTimerHandler()
-     {
-       this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTCTest(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);
-     }
-     
-         
-     public override void Run()
-     {
-     	base.Run();
-       ((EndOfDayTimerHandlerCTCTest)this.endOfDayTimerHandler).Reset();
-        Report report = new Report( this.account , this.historicalQuoteProvider );
-       report.Create( "TestOptimizationCTCPortfolio", 1 ,
-         new EndOfDayDateTime( this.endDateTime.DateTime ,
-         EndOfDaySpecificTime.MarketClose ) ,
-         this.benchmark );
-       report.Show();
-       report.Text = this.getGenomeCounterInfo();
-     }
-     
-     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();
-       }
  
!     }
!    
  	}
  }
--- 60,147 ----
  	public class RunTestOptimizedCTCPortfolio : RunEfficientCTCPortfolio
  	{
! 		
! 		public RunTestOptimizedCTCPortfolio(string tickerGroupID, int numberOfEligibleTickers,
! 		                                    int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                    int generationNumberForGeneticOptimizer,
! 		                                    int populationSizeForGeneticOptimizer, string benchmark,
! 		                                    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,
! 			     endDate.AddDays(-numDaysForOptimizationPeriod), endDate,
! 			     numDaysOfPortfolioLife, numDaysForReturnCalculation,
! 			     numDaysWithNoPositions,
! 			     targetReturn,
! 			     portfolioType, maxAcceptableCloseToCloseDrawdown,
! 			     maxRunningHours, numDaysBetweenEachOptimization)
  		{
! 			this.ScriptName = "TestOptimizedCTCPortfolio";
! 			
! 		}
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTCTest(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);
! 		}
! 		
! 		
! 		public override void Run()
! 		{
! 			base.Run();
! 			((EndOfDayTimerHandlerCTCTest)this.endOfDayTimerHandler).Reset();
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Create(
! 				"TestOptimizationCTCPortfolio", 1 ,
! 				HistoricalEndOfDayTimer.GetMarketClose( this.endDateTime ) ,
! //				new EndOfDayDateTime( this.endDateTime.DateTime ,
! //				                     EndOfDaySpecificTime.MarketClose ) ,
! 				this.benchmark );
! 			report.Show();
! 			report.Text = this.getGenomeCounterInfo();
! 		}
! 		
! //		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();
! 			}
  		}
  
! 		
  	}
  }