[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWo

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17462/TrendFollowing/BestAndWorst

Modified Files:
	EndOfDayTimerHandlerBWFollower.cs RunBestAndWorstFollower.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: EndOfDayTimerHandlerBWFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst/EndOfDayTimerHandlerBWFollower.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerBWFollower.cs	19 Aug 2008 17:11:26 -0000	1.2
--- EndOfDayTimerHandlerBWFollower.cs	29 Sep 2008 21:19:23 -0000	1.3
***************
*** 43,47 ****
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerBWFollower
  	{
  		private string tickerGroupID;
--- 43,47 ----
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerBWFollower : EndOfDayTimerHandler
  	{
  		private string tickerGroupID;
***************
*** 87,91 ****
  		}

! 		#region MarketOpenEventHandler

  		private void addOrderForTicker(string[] tickers,
--- 87,91 ----
  		}

! 		#region marketOpenEventHandler

  		private void addOrderForTicker(string[] tickers,
***************
*** 161,166 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
--- 161,166 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
***************
*** 179,183 ****
  		#endregion

! 		#region MarketCloseEventHandler

  		private void closePosition( string ticker )
--- 179,183 ----
  		#endregion

! 		#region marketCloseEventHandler

  		private void closePosition( string ticker )
***************
*** 195,200 ****
  		}

! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.account.Portfolio.Count > 0)
--- 195,200 ----
  		}

! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.account.Portfolio.Count > 0)
***************
*** 204,209 ****
  				{
  					this.closePositions();
! 					this.OneHourAfterMarketCloseEventHandler(sender,endOfDayTimingEventArgs);
! 					this.MarketOpenEventHandler(sender, endOfDayTimingEventArgs);
  					this.closesElapsedWithSomeOpenPosition = 0;
  				}
--- 204,209 ----
  				{
  					this.closePositions();
! 					this.oneHourAfterMarketCloseEventHandler(sender,dateTime);
! 					this.marketOpenEventHandler(sender, dateTime);
  					this.closesElapsedWithSomeOpenPosition = 0;
  				}
***************
*** 213,218 ****
  				if( ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition >= this.lengthInDaysForPerformance )
  				{
! 					this.OneHourAfterMarketCloseEventHandler(sender,endOfDayTimingEventArgs);
! 					this.MarketOpenEventHandler(sender, endOfDayTimingEventArgs);
  				}
  			}
--- 213,218 ----
  				if( ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition >= this.lengthInDaysForPerformance )
  				{
! 					this.oneHourAfterMarketCloseEventHandler(sender,dateTime);
! 					this.marketOpenEventHandler(sender, dateTime);
  				}
  			}
***************
*** 221,225 ****
  		#endregion

! 		#region OneHourAfterMarketCloseEventHandler

  		private void oneHourAfterMarketCloseEventHandler_clear()
--- 221,225 ----
  		#endregion

! 		#region oneHourAfterMarketCloseEventHandler

  		private void oneHourAfterMarketCloseEventHandler_clear()
***************
*** 239,247 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.oneHourAfterMarketCloseEventHandler_clear();
! 			DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
  			DateTime firstDateForPerformanceComputation =
--- 239,247 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.oneHourAfterMarketCloseEventHandler_clear();
! 			DateTime currentDate = dateTime;
  			int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
  			DateTime firstDateForPerformanceComputation =

Index: RunBestAndWorstFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst/RunBestAndWorstFollower.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunBestAndWorstFollower.cs	19 Aug 2008 17:13:03 -0000	1.3
--- RunBestAndWorstFollower.cs	29 Sep 2008 21:19:23 -0000	1.4
***************
*** 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;
***************
*** 39,176 ****
  	/// buying and shorting, accordingly, the l best tickers
  	/// and the s worst tickers.
! 	/// For chosing the best and worst tickers just the 
  	/// previous close to close ratio is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...) 
! 	/// that great moves are confirmed the next days 
  	/// (just the reversal of simpleOHTest)

  	/// At each close, open positions are closed.
  	/// </summary>
!   [Serializable]
!   public class RunBestAndWorstFollower
!   {
!     private string scriptName;
!     private string tickerGroupID;
!     private string benchmark;
!     private int numberOfEligibleTickers;
  		private int lengthInDaysForPerformance;
!     private int numOfBestTickers;
!     private int numOfWorstTickers;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private DateTime startDate;
!     private DateTime endDate;
!     private double maxRunningHours;
!     private DateTime startingTimeForScript;
!     private Account account;
!     private IHistoricalQuoteProvider historicalQuoteProvider;
!     private IEndOfDayTimer endOfDayTimer;

!     public RunBestAndWorstFollower(string tickerGroupID, string benchmark,
!       int numberOfEligibleTickers, int lengthInDaysForPerformance,
! 			int numOfBestTickers, 
!       int numOfWorstTickers, int numOfTickersForBuying,
!       int numOfTickersForShortSelling,
!       DateTime startDate, DateTime endDate,
!       double maxRunningHours)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.benchmark = benchmark;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
!       this.numOfBestTickers = numOfBestTickers;
!       this.numOfWorstTickers = numOfWorstTickers;
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.startDate = startDate;
!       this.endDate = endDate;
!       this.maxRunningHours = maxRunningHours;
!       this.scriptName = "BWFollower";
! //      this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
! 			this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!       this.endOfDayTimer = new IndexBasedEndOfDayTimer(
!         new EndOfDayDateTime( this.startDate ,
!         EndOfDaySpecificTime.MarketOpen ) , this.benchmark );
!     }

!     public void Run()
!     {
!       this.startingTimeForScript = DateTime.Now;
!       this.account = new Account( "BestAndWorstFollower" , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
!         this.historicalQuoteProvider ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
!         this.historicalQuoteProvider ) );
!       EndOfDayTimerHandlerBWFollower endOfDayTimerHandler =
!         new EndOfDayTimerHandlerBWFollower(this.tickerGroupID, this.numberOfEligibleTickers,
!         this.lengthInDaysForPerformance, this.numOfBestTickers, this.numOfWorstTickers,
!         this.numOfTickersForBuying, this.numOfTickersForShortSelling, 
!         this.account, this.benchmark);
!       
  //			this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
! //        endOfDayTimerHandler.MarketOpenEventHandler );

!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         endOfDayTimerHandler.MarketCloseEventHandler );

!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         this.checkDateForReport);

! //      this.endOfDayTimer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
! //        endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!       
!       this.endOfDayTimer.Start();
!     }

!     private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDate ||
!         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();
!     }

!     private void checkDateForReport_createDirIfNotPresent(string dirPath)
!     {
!       if(!Directory.Exists(dirPath))
!         Directory.CreateDirectory(dirPath);
!     }

!     public void SaveScriptResults()
!     {
!       TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName = 
! 				"SecondsElapsed_" + 
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!         DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
!         this.scriptName +  "_From_" + this.tickerGroupID +
!         "_elig_" + this.numberOfEligibleTickers + 
!       	"_best_" + this.numOfBestTickers +
!       	"_worst_" + this.numOfWorstTickers +
!       	"_Long_" + this.numOfTickersForBuying +
!       	"_Short_" + this.numOfTickersForShortSelling +
  				"_lenInDays_" + this.lengthInDaysForPerformance;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
!         "\\" + this.scriptName + "\\";
!           
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!         this.endOfDayTimer.GetCurrentTime(),
!         this.benchmark,
! //        new HistoricalRawQuoteProvider() );
!         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!         dirNameWhereToSaveReports + 
!         fileName + ".qPr");
!             
!       this.endOfDayTimer.Stop();
!     }
!   }   
  }
--- 39,183 ----
  	/// buying and shorting, accordingly, the l best tickers
  	/// and the s worst tickers.
! 	/// For chosing the best and worst tickers just the
  	/// previous close to close ratio is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...)
! 	/// that great moves are confirmed the next days
  	/// (just the reversal of simpleOHTest)

  	/// At each close, open positions are closed.
  	/// </summary>
! 	[Serializable]
! 	public class RunBestAndWorstFollower
! 	{
! 		private string scriptName;
! 		private string tickerGroupID;
! 		private string benchmark;
! 		private int numberOfEligibleTickers;
  		private int lengthInDaysForPerformance;
! 		private int numOfBestTickers;
! 		private int numOfWorstTickers;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private DateTime startDate;
! 		private DateTime endDate;
! 		private double maxRunningHours;
! 		private DateTime startingTimeForScript;
! 		private Account account;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private Timer endOfDayTimer;

! 		public RunBestAndWorstFollower(string tickerGroupID, string benchmark,
! 		                               int numberOfEligibleTickers, int lengthInDaysForPerformance,
! 		                               int numOfBestTickers,
! 		                               int numOfWorstTickers, int numOfTickersForBuying,
! 		                               int numOfTickersForShortSelling,
! 		                               DateTime startDate, DateTime endDate,
! 		                               double maxRunningHours)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.benchmark = benchmark;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
! 			this.numOfBestTickers = numOfBestTickers;
! 			this.numOfWorstTickers = numOfWorstTickers;
! 			this.numOfTickersForBuying = numOfTickersForBuying;
! 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
! 			this.startDate = startDate;
! 			this.endDate = endDate;
! 			this.maxRunningHours = maxRunningHours;
! 			this.scriptName = "BWFollower";
! 			//      this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 			this.endOfDayTimer = new IndexBasedEndOfDayTimer(
! 				HistoricalEndOfDayTimer.GetMarketOpen( this.startDate ) ,
! 				//        new EndOfDayDateTime( this.startDate ,
! 				//        EndOfDaySpecificTime.MarketOpen ) ,
! 				this.benchmark );
! 		}

! 		public void Run()
! 		{
! 			this.startingTimeForScript = DateTime.Now;
! 			this.account = new Account( "BestAndWorstFollower" , this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) );
! 			EndOfDayTimerHandlerBWFollower endOfDayTimerHandler =
! 				new EndOfDayTimerHandlerBWFollower(this.tickerGroupID, this.numberOfEligibleTickers,
! 				                                   this.lengthInDaysForPerformance, this.numOfBestTickers, this.numOfWorstTickers,
! 				                                   this.numOfTickersForBuying, this.numOfTickersForShortSelling,
! 				                                   this.account, this.benchmark);
! 			
  //			this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
! 			//        endOfDayTimerHandler.MarketOpenEventHandler );

! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );

! //			this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
! //				endOfDayTimerHandler.MarketCloseEventHandler );
! //
! //			this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
! //				this.checkDateForReport);

! 			//      this.endOfDayTimer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
! 			//        endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 			
! 			this.endOfDayTimer.Start();
! 		}

! 		private void checkDateForReport(Object sender , DateTime dateTime)
! 		{
! 			if(dateTime>=this.endDate ||
! 			   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();
! 		}

! 		private void checkDateForReport_createDirIfNotPresent(string dirPath)
! 		{
! 			if(!Directory.Exists(dirPath))
! 				Directory.CreateDirectory(dirPath);
! 		}

! 		public void SaveScriptResults()
! 		{
! 			TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName =
! 				"SecondsElapsed_" +
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				this.scriptName +  "_From_" + this.tickerGroupID +
! 				"_elig_" + this.numberOfEligibleTickers +
! 				"_best_" + this.numOfBestTickers +
! 				"_worst_" + this.numOfWorstTickers +
! 				"_Long_" + this.numOfTickersForBuying +
! 				"_Short_" + this.numOfTickersForShortSelling +
  				"_lenInDays_" + this.lengthInDaysForPerformance;
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.scriptName + "\\";
! 			
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
! 			                                                        this.benchmark,
! 			                                                        //        new HistoricalRawQuoteProvider() );
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			
! 			this.endOfDayTimer.Stop();
! 		}
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWo

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst EndOfDayTimerHandlerBWFollower.cs, 1.2, 1.3 RunBestAndWorstFollower.cs, 1.3, 1.4