[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOs

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16791/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

Modified Files:
	EndOfDayTimerHandlerBiasedPVO.cs 
	EndOfDayTimerHandlerBiasedPVO_OTC.cs RunBiasedPVO.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: EndOfDayTimerHandlerBiasedPVO_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO_OTC.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerBiasedPVO_OTC.cs	9 Mar 2008 22:40:51 -0000	1.2
--- EndOfDayTimerHandlerBiasedPVO_OTC.cs	29 Sep 2008 21:18:34 -0000	1.3
***************
*** 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;
  using System.Data;
--- 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;
  using System.Data;
***************
*** 49,249 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the Biased Portfolio Value
!   /// Oscillator, using Open To Close returns
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerBiasedPVO_OTC : EndOfDayTimerHandlerBiasedPVO
!   {
!     
!     public EndOfDayTimerHandlerBiasedPVO_OTC(string tickerGroupID, int numberOfEligibleTickers,
!                                          double minPriceForTickersToBeChosen,
!                                          double maxPriceForTickersToBeChosen,
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,
!                                 string pathOfFileContainingGenomes,
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 int numOfDifferentGenomesToEvaluateOutOfSample,
!                                	bool resetThresholdsBeforeCheckingOutOfSample,
!                                	int numDaysForThresholdsReComputation,
!                                 double numOfStdDevForThresholdsComputation,
!                                 double maxCoefficientForDegreeComputationOfCrossingThreshold,
!                                 bool buyOnlyPositionsThatAreMovingTogether,
!                                 bool doNotOpenReversedPositionsThatHaveJustBeenClosed,
!                                 int numDaysOfStayingOnTheMarket,
!                                 int minLevelForOversoldThreshold,
!                                 int maxLevelForOversoldThreshold,
!                                 int minLevelForOverboughtThreshold,
!                                 int maxLevelForOverboughtThreshold,
!                                 int divisorForThresholdComputation,
!                                 bool symmetricalThresholds,
!                                 bool overboughtMoreThanOversoldForFixedPortfolio,
!                                 int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 double minimumAcceptableGain):
! 																base(tickerGroupID, numberOfEligibleTickers,
!                                 minPriceForTickersToBeChosen,
!                                 maxPriceForTickersToBeChosen,
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
!                                 account,
!                                 pathOfFileContainingGenomes,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark,
!                                 numOfDifferentGenomesToEvaluateOutOfSample,
!                                	resetThresholdsBeforeCheckingOutOfSample,
!                                	numDaysForThresholdsReComputation,
!                                 numOfStdDevForThresholdsComputation,
!                                 maxCoefficientForDegreeComputationOfCrossingThreshold,
!                                 buyOnlyPositionsThatAreMovingTogether,
!                                 doNotOpenReversedPositionsThatHaveJustBeenClosed,
!                                 1, numDaysOfStayingOnTheMarket,
!                                 minLevelForOversoldThreshold,
!                                 maxLevelForOversoldThreshold,
!                                 minLevelForOverboughtThreshold,
!                                 maxLevelForOverboughtThreshold,
!                                 divisorForThresholdComputation,
!                                 symmetricalThresholds,
!                                 overboughtMoreThanOversoldForFixedPortfolio,
!                                 numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown,
!                                 minimumAcceptableGain)
!       
!     {

!     }

!   	#region MarketOpen
!   			
! 		public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       if ( this.account.Portfolio.Count == 0 &&
!            this.weightedPositionsToEvaluateOutOfSample[0] != null )
! 			//portfolio is empty and optimization has been already launched
!      	   		this.openPositions( (IndexBasedEndOfDayTimer)sender );
!     }
!     
!     protected override void openPositions_chooseGenome_resetThresholds(DateTime today)
!     {
  			for(int i = 0; i < this.weightedPositionsToEvaluateOutOfSample.Length; i++)
!     	{
  				this.currentOversoldThreshold[i] = (double)this.maxLevelForOversoldThreshold/
  					(double)this.divisorForThresholdComputation;
!     		this.currentOverboughtThreshold[i] = (double)this.maxLevelForOverboughtThreshold/
  					(double)this.divisorForThresholdComputation;
!      	}			
! //  UPDATE WITH DailyOpenToCloseIntervals
! //    	ReturnsManager returnsManager = new ReturnsManager(
! //    		new CloseToOpenIntervals(new EndOfDayDateTime(today.AddDays(-this.numDaysForThresholdsReComputation), EndOfDaySpecificTime.MarketClose),
  //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
  //		  	                         this.benchmark),
  //		  	new HistoricalAdjustedQuoteProvider() );
! //    	//double returnsAverage;
! //    	double returnsStdDev;
! //    	for(int i = 0; i < this.weightedPositionsToEvaluateOutOfSample.Length; i++)
! //    	{
! ////				returnsAverage = BasicFunctions.GetSimpleAverage(
! ////					this.weightedPositionsToEvaluateOutOfSample[i].GetReturns(returnsManager) );
  //				returnsStdDev = BasicFunctions.GetStdDev(
! //    			this.weightedPositionsToEvaluateOutOfSample[i].GetReturns(returnsManager) );
! //     		this.currentOversoldThreshold[i] = -this.numOfStdDevForThresholdsComputation * returnsStdDev;
! //    		this.currentOverboughtThreshold[i] = this.numOfStdDevForThresholdsComputation * returnsStdDev;
! //     	}
!     }
!     //NEW IMPLEMENTATION of chooseBestGenome, now named chooseGenome
!     //sets currentGenomeIndex with the first genome's index that crosses an overbought/oversold threshold with the
!     //"acceptable" degree and sets currentWeightedPositionsGainOrLoss accordingly
!     protected override void openPositions_chooseGenome(IndexBasedEndOfDayTimer timer)
!     {
!       DateTime today = timer.GetCurrentTime().DateTime;
! 		  DateTime previousTradingDay = 
! 		  	timer.GetPreviousDateTime(1);
! 		  ReturnsManager returnsManager = new ReturnsManager(
! 		  	new CloseToOpenIntervals(new EndOfDayDateTime(previousTradingDay, EndOfDaySpecificTime.MarketClose),
! 		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
! 		  	                         this.benchmark),
! 		  	new HistoricalAdjustedQuoteProvider() );
! 		  if(this.resetThresholdsBeforeCheckingOutOfSample)
! 		  	this.openPositions_chooseGenome_resetThresholds(today);
! 		  this.currentWeightedPositionsGainOrLoss = double.MinValue;
! 		  double currentWeightedPositionsGainOrLoss_temp = double.MinValue;
!       for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
!       {
!         currentWeightedPositionsGainOrLoss_temp = 
!                  this.getCurrentWeightedPositionsGainOrLoss(
!         				 timer, returnsManager, i);
  				if( currentWeightedPositionsGainOrLoss_temp != double.MinValue &&
! 					  ( this.buyOnlyPositionsThatAreMovingTogether == false ||
!         	      ( this.buyOnlyPositionsThatAreMovingTogether == true && 
! 									this.areAllTickersMovingTogetherUpOrDown(timer, returnsManager, i) == true	 ) )		)
!         //currentWeightedPositionsGainOrLoss_temp has been properly computed and
! 				//only positions that are moving together can be bought
!         {
!           if( (currentWeightedPositionsGainOrLoss_temp >= this.currentOverboughtThreshold[i] &&
!                currentWeightedPositionsGainOrLoss_temp <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
!             																						 this.currentOverboughtThreshold[i] ) ||
! 						  (currentWeightedPositionsGainOrLoss_temp <= - this.currentOversoldThreshold[i] && 
!         	          Math.Abs(currentWeightedPositionsGainOrLoss_temp) <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
!             																						 								 this.currentOversoldThreshold[i] ) )
!           // if the current genome matches the requested criteria
!           {
  						this.currentGenomeIndex = i;
  						this.currentWeightedPositionsGainOrLoss = currentWeightedPositionsGainOrLoss_temp;
  						i = this.numOfDifferentGenomesToEvaluateOutOfSample; //exit from for
!           }
!         }
!       }
!     }
!         
  		#endregion

!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!      	if(this.account.Portfolio.Count > 0)
!      	{
!      		this.lastWeightedPositionsClosed = AccountManager.GetWeightedPositions(this.account);
  				AccountManager.ClosePositions(this.account);
!      	}
!     }
!    
!     #region OneHourAfterMarketCloseEventHandler
!         
!     protected override void setTickers(DateTime currentDate,
!       bool setGenomeCounter)
!     {
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       this.iGenomeManager =
!           new GenomeManagerPVO_OTC(setOfTickersToBeOptimized,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
!           currentDate, this.numberOfTickersToBeChosen,
!           this.minLevelForOversoldThreshold,
!           this.maxLevelForOversoldThreshold,
!           this.minLevelForOverboughtThreshold,
!           this.maxLevelForOverboughtThreshold,
!           this.divisorForThresholdComputation,
!           this.symmetricalThresholds,
!           this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType, this.benchmark);
!       GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
!           this.populationSizeForGeneticOptimizer, 
!           this.generationNumberForGeneticOptimizer,
!           this.seedForRandomGenerator);
! //      if(setGenomeCounter)
! //        this.genomeCounter = new GenomeCounter(GO);
!       GO.MutationRate = 0.1;
!       GO.CrossoverRate = 0.85;
!       GO.Run(false);
!        
!       this.setTickers_updateTickersWeightsAndThresholdsAndAddGenomesForLog(GO, setOfTickersToBeOptimized.Rows.Count);
!            	
!     }
!     
!              
!     #endregion

!   }
  }
--- 49,252 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the Biased Portfolio Value
! 	/// Oscillator, using Open To Close returns
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerBiasedPVO_OTC : EndOfDayTimerHandlerBiasedPVO
! 	{
! 		
! 		public EndOfDayTimerHandlerBiasedPVO_OTC(string tickerGroupID, int numberOfEligibleTickers,
! 		                                         double minPriceForTickersToBeChosen,
! 		                                         double maxPriceForTickersToBeChosen,
! 		                                         int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                         Account account,
! 		                                         string pathOfFileContainingGenomes,
! 		                                         int generationNumberForGeneticOptimizer,
! 		                                         int populationSizeForGeneticOptimizer,
! 		                                         string benchmark,
! 		                                         int numOfDifferentGenomesToEvaluateOutOfSample,
! 		                                         bool resetThresholdsBeforeCheckingOutOfSample,
! 		                                         int numDaysForThresholdsReComputation,
! 		                                         double numOfStdDevForThresholdsComputation,
! 		                                         double maxCoefficientForDegreeComputationOfCrossingThreshold,
! 		                                         bool buyOnlyPositionsThatAreMovingTogether,
! 		                                         bool doNotOpenReversedPositionsThatHaveJustBeenClosed,
! 		                                         int numDaysOfStayingOnTheMarket,
! 		                                         int minLevelForOversoldThreshold,
! 		                                         int maxLevelForOversoldThreshold,
! 		                                         int minLevelForOverboughtThreshold,
! 		                                         int maxLevelForOverboughtThreshold,
! 		                                         int divisorForThresholdComputation,
! 		                                         bool symmetricalThresholds,
! 		                                         bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                                         int numDaysBetweenEachOptimization,
! 		                                         PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                                         double minimumAcceptableGain):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     minPriceForTickersToBeChosen,
! 			     maxPriceForTickersToBeChosen,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     account,
! 			     pathOfFileContainingGenomes,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark,
! 			     numOfDifferentGenomesToEvaluateOutOfSample,
! 			     resetThresholdsBeforeCheckingOutOfSample,
! 			     numDaysForThresholdsReComputation,
! 			     numOfStdDevForThresholdsComputation,
! 			     maxCoefficientForDegreeComputationOfCrossingThreshold,
! 			     buyOnlyPositionsThatAreMovingTogether,
! 			     doNotOpenReversedPositionsThatHaveJustBeenClosed,
! 			     1, numDaysOfStayingOnTheMarket,
! 			     minLevelForOversoldThreshold,
! 			     maxLevelForOversoldThreshold,
! 			     minLevelForOverboughtThreshold,
! 			     maxLevelForOverboughtThreshold,
! 			     divisorForThresholdComputation,
! 			     symmetricalThresholds,
! 			     overboughtMoreThanOversoldForFixedPortfolio,
! 			     numDaysBetweenEachOptimization,
! 			     portfolioType, maxAcceptableCloseToCloseDrawdown,
! 			     minimumAcceptableGain)

! 		{
! 			
! 		}

! 		#region MarketOpen
! 		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			if ( this.account.Portfolio.Count == 0 &&
! 			    this.weightedPositionsToEvaluateOutOfSample[0] != null )
! 				//portfolio is empty and optimization has been already launched
! 				this.openPositions( (IndexBasedEndOfDayTimer)sender );
! 		}
! 		
! 		protected override void openPositions_chooseGenome_resetThresholds(DateTime today)
! 		{
  			for(int i = 0; i < this.weightedPositionsToEvaluateOutOfSample.Length; i++)
! 			{
  				this.currentOversoldThreshold[i] = (double)this.maxLevelForOversoldThreshold/
  					(double)this.divisorForThresholdComputation;
! 				this.currentOverboughtThreshold[i] = (double)this.maxLevelForOverboughtThreshold/
  					(double)this.divisorForThresholdComputation;
! 			}
! 			//  UPDATE WITH DailyOpenToCloseIntervals
! 			//    	ReturnsManager returnsManager = new ReturnsManager(
! 			//    		new CloseToOpenIntervals(new EndOfDayDateTime(today.AddDays(-this.numDaysForThresholdsReComputation), EndOfDaySpecificTime.MarketClose),
  //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
  //		  	                         this.benchmark),
  //		  	new HistoricalAdjustedQuoteProvider() );
! 			//    	//double returnsAverage;
! 			//    	double returnsStdDev;
! 			//    	for(int i = 0; i < this.weightedPositionsToEvaluateOutOfSample.Length; i++)
! 			//    	{
! 			////				returnsAverage = BasicFunctions.GetSimpleAverage(
! 			////					this.weightedPositionsToEvaluateOutOfSample[i].GetReturns(returnsManager) );
  //				returnsStdDev = BasicFunctions.GetStdDev(
! 			//    			this.weightedPositionsToEvaluateOutOfSample[i].GetReturns(returnsManager) );
! 			//     		this.currentOversoldThreshold[i] = -this.numOfStdDevForThresholdsComputation * returnsStdDev;
! 			//    		this.currentOverboughtThreshold[i] = this.numOfStdDevForThresholdsComputation * returnsStdDev;
! 			//     	}
! 		}
! 		//NEW IMPLEMENTATION of chooseBestGenome, now named chooseGenome
! 		//sets currentGenomeIndex with the first genome's index that crosses an overbought/oversold threshold with the
! 		//"acceptable" degree and sets currentWeightedPositionsGainOrLoss accordingly
! 		protected override void openPositions_chooseGenome(IndexBasedEndOfDayTimer timer)
! 		{
! 			DateTime today = timer.GetCurrentDateTime();
! 			DateTime previousTradingDay =
! 				timer.GetPreviousDateTime(1);
! 			ReturnsManager returnsManager = new ReturnsManager(
! 				new CloseToOpenIntervals(
! 					HistoricalEndOfDayTimer.GetMarketClose( previousTradingDay ) ,
! 					HistoricalEndOfDayTimer.GetMarketOpen( today ) ,
! //		  		new EndOfDayDateTime(previousTradingDay, EndOfDaySpecificTime.MarketClose),
! //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
! 					this.benchmark),
! 				new HistoricalAdjustedQuoteProvider() );
! 			if(this.resetThresholdsBeforeCheckingOutOfSample)
! 				this.openPositions_chooseGenome_resetThresholds(today);
! 			this.currentWeightedPositionsGainOrLoss = double.MinValue;
! 			double currentWeightedPositionsGainOrLoss_temp = double.MinValue;
! 			for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
! 			{
! 				currentWeightedPositionsGainOrLoss_temp =
! 					this.getCurrentWeightedPositionsGainOrLoss(
! 						timer, returnsManager, i);
  				if( currentWeightedPositionsGainOrLoss_temp != double.MinValue &&
! 				   ( this.buyOnlyPositionsThatAreMovingTogether == false ||
! 				    ( this.buyOnlyPositionsThatAreMovingTogether == true &&
! 				     this.areAllTickersMovingTogetherUpOrDown(timer, returnsManager, i) == true	 ) )		)
! 					//currentWeightedPositionsGainOrLoss_temp has been properly computed and
! 					//only positions that are moving together can be bought
! 				{
! 					if( (currentWeightedPositionsGainOrLoss_temp >= this.currentOverboughtThreshold[i] &&
! 					     currentWeightedPositionsGainOrLoss_temp <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
! 					     this.currentOverboughtThreshold[i] ) ||
! 					   (currentWeightedPositionsGainOrLoss_temp <= - this.currentOversoldThreshold[i] &&
! 					    Math.Abs(currentWeightedPositionsGainOrLoss_temp) <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
! 					    this.currentOversoldThreshold[i] ) )
! 						// if the current genome matches the requested criteria
! 					{
  						this.currentGenomeIndex = i;
  						this.currentWeightedPositionsGainOrLoss = currentWeightedPositionsGainOrLoss_temp;
  						i = this.numOfDifferentGenomesToEvaluateOutOfSample; //exit from for
! 					}
! 				}
! 			}
! 		}
! 		
  		#endregion

! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			if(this.account.Portfolio.Count > 0)
! 			{
! 				this.lastWeightedPositionsClosed = AccountManager.GetWeightedPositions(this.account);
  				AccountManager.ClosePositions(this.account);
! 			}
! 		}
! 		
! 		#region OneHourAfterMarketCloseEventHandler
! 		
! 		protected override void setTickers(DateTime currentDate,
! 		                                   bool setGenomeCounter)
! 		{
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			this.iGenomeManager =
! 				new GenomeManagerPVO_OTC(setOfTickersToBeOptimized,
! 				                         currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				                         currentDate, this.numberOfTickersToBeChosen,
! 				                         this.minLevelForOversoldThreshold,
! 				                         this.maxLevelForOversoldThreshold,
! 				                         this.minLevelForOverboughtThreshold,
! 				                         this.maxLevelForOverboughtThreshold,
! 				                         this.divisorForThresholdComputation,
! 				                         this.symmetricalThresholds,
! 				                         this.overboughtMoreThanOversoldForFixedPortfolio,
! 				                         this.portfolioType, this.benchmark);
! 			GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
! 			                                           this.populationSizeForGeneticOptimizer,
! 			                                           this.generationNumberForGeneticOptimizer,
! 			                                           this.seedForRandomGenerator);
! 			//      if(setGenomeCounter)
! 			//        this.genomeCounter = new GenomeCounter(GO);
! 			GO.MutationRate = 0.1;
! 			GO.CrossoverRate = 0.85;
! 			GO.Run(false);
! 			
! 			this.setTickers_updateTickersWeightsAndThresholdsAndAddGenomesForLog(GO, setOfTickersToBeOptimized.Rows.Count);
! 			
! 		}
! 		
! 		
! 		#endregion

! 	}
  }

Index: RunBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** RunBiasedPVO.cs	19 Aug 2008 17:13:03 -0000	1.5
--- RunBiasedPVO.cs	29 Sep 2008 21:18:34 -0000	1.6
***************
*** 196,201 ****
  			w.Write("\r\nOptimization each (num of days): {0}\r", this.numDaysBetweenEachOptimization.ToString());
  			w.Write("\r\nBenchmark: {0}\r", this.benchmark);
! 			w.Write("\r\nStart date: {0}\r", this.startDateTime.DateTime.ToLongDateString());
! 			w.Write("\r\nEnd date: {0}\r", this.endDateTime.DateTime.ToLongDateString());
  			w.Write("\r\nNum of genomes to check out of sample: {0}\r", this.numOfDifferentGenomesToEvaluateOutOfSample.ToString());
  			w.Write("\r\nReset thresholds out of sample: {0}\r", this.resetThresholdsBeforeCheckingOutOfSample.ToString());
--- 196,201 ----
  			w.Write("\r\nOptimization each (num of days): {0}\r", this.numDaysBetweenEachOptimization.ToString());
  			w.Write("\r\nBenchmark: {0}\r", this.benchmark);
! 			w.Write("\r\nStart date: {0}\r", this.startDateTime.ToLongDateString());
! 			w.Write("\r\nEnd date: {0}\r", this.endDateTime.ToLongDateString());
  			w.Write("\r\nNum of genomes to check out of sample: {0}\r", this.numOfDifferentGenomesToEvaluateOutOfSample.ToString());
  			w.Write("\r\nReset thresholds out of sample: {0}\r", this.resetThresholdsBeforeCheckingOutOfSample.ToString());
***************
*** 262,266 ****
  			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
--- 262,266 ----
  			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());

Index: EndOfDayTimerHandlerBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** EndOfDayTimerHandlerBiasedPVO.cs	19 Aug 2008 17:11:26 -0000	1.6
--- EndOfDayTimerHandlerBiasedPVO.cs	29 Sep 2008 21:18:34 -0000	1.7
***************
*** 142,147 ****

  		//to avoid handlers in inherited classes
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			;
--- 142,147 ----

  		//to avoid handlers in inherited classes
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			;
***************
*** 224,235 ****
  		protected virtual void openPositions_chooseGenome(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime today = timer.GetCurrentTime().DateTime;
  			DateTime firstMarketDayForOscillatingPeriod =
  				timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
  			ReturnsManager returnsManager = new ReturnsManager(
! 				new CloseToCloseIntervals(new EndOfDayDateTime(firstMarketDayForOscillatingPeriod, EndOfDaySpecificTime.MarketClose),
! 				                          new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketClose),
! 				                          this.benchmark,
! 				                          this.numDaysForOscillatingPeriod),
  				new HistoricalAdjustedQuoteProvider() );
  			if(this.resetThresholdsBeforeCheckingOutOfSample)
--- 224,239 ----
  		protected virtual void openPositions_chooseGenome(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime today = timer.GetCurrentDateTime();
  			DateTime firstMarketDayForOscillatingPeriod =
  				timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
  			ReturnsManager returnsManager = new ReturnsManager(
! 				new CloseToCloseIntervals(
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						firstMarketDayForOscillatingPeriod ) ,
! 					HistoricalEndOfDayTimer.GetMarketClose( today ) ,
! //					new EndOfDayDateTime(firstMarketDayForOscillatingPeriod, EndOfDaySpecificTime.MarketClose),
! //				                          new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketClose),
! 					this.benchmark,
! 					this.numDaysForOscillatingPeriod),
  				new HistoricalAdjustedQuoteProvider() );
  			if(this.resetThresholdsBeforeCheckingOutOfSample)
***************
*** 401,405 ****
  		{
  			bool returnValue;
! 			DateTime currentTime =  timer.GetCurrentTime().DateTime;
  			DateTime firstDateOfOscillatingPeriod =
  				timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
--- 405,409 ----
  		{
  			bool returnValue;
! 			DateTime currentTime =  timer.GetCurrentDateTime();
  			DateTime firstDateOfOscillatingPeriod =
  				timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
***************
*** 424,429 ****
  		}

! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.account.Portfolio.Count > 0)
--- 428,433 ----
  		}

! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.account.Portfolio.Count > 0)
***************
*** 603,610 ****
  		/// <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++;
--- 607,614 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			this.lastCloseDate = dateTime;
  			this.seedForRandomGenerator++;
  			this.numDaysElapsedSinceLastOptimization++;
***************
*** 615,622 ****
  				if(this.pathOfFileContainingGenomes == null)
  					//tickers have to be set by a new optimization process (in sample)
! 					this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
  				//sets tickers to be chosen next Market Close event
  				else//this.pathOfFileContainingGenomes != null
! 					this.setTickersFromFile(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
  				//set tickers from file
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 619,626 ----
  				if(this.pathOfFileContainingGenomes == null)
  					//tickers have to be set by a new optimization process (in sample)
! 					this.setTickers(dateTime, false);
  				//sets tickers to be chosen next Market Close event
  				else//this.pathOfFileContainingGenomes != null
! 					this.setTickersFromFile(dateTime);
  				//set tickers from file
  				this.numDaysElapsedSinceLastOptimization = 0;
***************
*** 625,629 ****

  		#endregion
- 
  	}
  }
--- 629,632 ----

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOs

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO EndOfDayTimerHandlerBiasedPVO.cs, 1.6, 1.7 EndOfDayTimerHandlerBiasedPVO_OTC.cs, 1.2, 1.3 RunBiasedPVO.cs, 1.5, 1.6