[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination ImmediateTrendFollowerStrategy.cs, 1.3, 1.4 LinearCombinationTest.cs, 1.13, 1.14

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17497/LinearCombination

Modified Files:
	ImmediateTrendFollowerStrategy.cs LinearCombinationTest.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: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** LinearCombinationTest.cs	14 Jan 2008 23:41:44 -0000	1.13
--- LinearCombinationTest.cs	29 Sep 2008 21:19:30 -0000	1.14
***************
*** 3,7 ****
  
  LinearCombinationTest.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  LinearCombinationTest.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 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 ****
  	/// <summary>
  	/// Object to test a linear combination strategy on given positions,
! 	/// on a given period of time 
  	/// </summary>
  	public class LinearCombinationTest
--- 40,44 ----
  	/// <summary>
  	/// Object to test a linear combination strategy on given positions,
! 	/// on a given period of time
  	/// </summary>
  	public class LinearCombinationTest
***************
*** 48,70 ****
  		private GenomeRepresentation[] genomeRepresentations;
  //		private bool openToCloseDaily;
!     private StrategyType strategyType;
!     private int numDaysForOscillatorStrategy;
!     private double stopLoss;
!     private double takeProfit;
  		private double oversoldThreshold;
  		private double overboughtThreshold;
  		private bool setDirectlyThresholdLevels;
  
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
! 		private IEndOfDayStrategy endOfDayStrategy;
!     private PortfolioType portfolioType;
  		
  		private void linearCombinationTest_commonInitialization(DateTime firstDate , DateTime lastDate ,
! 			GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 			PortfolioType portfolioType, int numDaysForOscillatorStrategy,
! 		  double stopLoss, double takeProfit,
!       double oversoldThreshold, double overboughtThreshold, bool setDirectlyThresholdLevels)
  		{
  			this.firstDate = firstDate;
--- 48,70 ----
  		private GenomeRepresentation[] genomeRepresentations;
  //		private bool openToCloseDaily;
! 		private StrategyType strategyType;
! 		private int numDaysForOscillatorStrategy;
! 		private double stopLoss;
! 		private double takeProfit;
  		private double oversoldThreshold;
  		private double overboughtThreshold;
  		private bool setDirectlyThresholdLevels;
  
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
! 		private IStrategy strategy;
! 		private PortfolioType portfolioType;
  		
  		private void linearCombinationTest_commonInitialization(DateTime firstDate , DateTime lastDate ,
! 		                                                        GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 		                                                        PortfolioType portfolioType, int numDaysForOscillatorStrategy,
! 		                                                        double stopLoss, double takeProfit,
! 		                                                        double oversoldThreshold, double overboughtThreshold, bool setDirectlyThresholdLevels)
  		{
  			this.firstDate = firstDate;
***************
*** 82,128 ****
  
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
!       GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
!       PortfolioType portfolioType)
  		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, 0,0,0,0,0,false);
!     }
!     
!     public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
!       GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
!       PortfolioType portfolioType,
!       int numDaysForOscillatorStrategy)
!     {
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 				0,0,0,0,false);
!     }
  
!     public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
!       GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
!       PortfolioType portfolioType,
!       int numDaysForOscillatorStrategy, double stopLoss, double takeProfit)
!     {
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 				stopLoss, takeProfit, 0,0,false);
!     }
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 			GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 			PortfolioType portfolioType,
! 			int numDaysForOscillatorStrategy, double stopLoss, double takeProfit,
! 			double oversoldThreshold, double overboughtThreshold, bool setDirectlyThresholdLevels)
  		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 				stopLoss, takeProfit, oversoldThreshold, overboughtThreshold,
! 				setDirectlyThresholdLevels);
  		}
!     private void oneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( this.account.EndOfDayTimer.GetCurrentTime().DateTime >=
! 				this.lastDate )
! 				this.account.EndOfDayTimer.Stop();
  		}
  
--- 82,128 ----
  
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 		                             GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 		                             PortfolioType portfolioType)
  		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 			                                                genomeRepresentations, strategyType, portfolioType, 0,0,0,0,0,false);
! 		}
! 		
! 		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 		                             GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 		                             PortfolioType portfolioType,
! 		                             int numDaysForOscillatorStrategy)
! 		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 			                                                genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 			                                                0,0,0,0,false);
! 		}
  
! 		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 		                             GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 		                             PortfolioType portfolioType,
! 		                             int numDaysForOscillatorStrategy, double stopLoss, double takeProfit)
! 		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 			                                                genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 			                                                stopLoss, takeProfit, 0,0,false);
! 		}
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 		                             GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 		                             PortfolioType portfolioType,
! 		                             int numDaysForOscillatorStrategy, double stopLoss, double takeProfit,
! 		                             double oversoldThreshold, double overboughtThreshold, bool setDirectlyThresholdLevels)
  		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 			                                                genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 			                                                stopLoss, takeProfit, oversoldThreshold, overboughtThreshold,
! 			                                                setDirectlyThresholdLevels);
  		}
! 		private void oneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                 DateTime dateTime )
  		{
! 			if ( this.account.Timer.GetCurrentDateTime() >=
! 			    this.lastDate )
! 				this.account.Timer.Stop();
  		}
  
***************
*** 130,170 ****
  		{
  			if ( this.strategyType == StrategyType.OpenToCloseDaily )
! 				this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
  			else
! 				this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		
! //    private void run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy()
! //    {
! //    	WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
! //    	for(int i = 0; i<this.genomeRepresentations.Length;i++)
! //      {
! //      	weightedPositions[i] = 
! //      		new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! //      		                      new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! //      		                      
! //      }
! //     
! //      this.endOfDayStrategy = new FixedLevelOscBiasedOTC_PVONoThresholdsStrategy(
! //        this.account , weightedPositions, 
! //        this.genomeRepresentations.Length);
! //    }
  
! //    private void run_setStrategy_setBiasedPVONoThresholdsStrategy()
! //    {
  //			WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
  //			for(int i = 0; i<this.genomeRepresentations.Length;i++)
  //			{
! //				weightedPositions[i] = 
  //					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
  //					new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! //      		                      
  //			}
! //      this.endOfDayStrategy = new FixedLevelOscillatorBiasedPVONoThresholdsStrategy(
! //        this.account , weightedPositions, 
! //        this.genomeRepresentations.Length,
! //        this.stopLoss,
! //        this.takeProfit);
! //    }
  
  		private double run_setStrategy_setBiasedPVOStrategy_getOversoldThreshold(int i)
--- 130,170 ----
  		{
  			if ( this.strategyType == StrategyType.OpenToCloseDaily )
! 				this.historicalMarketValueProvider = new HistoricalRawQuoteProvider();
  			else
! 				this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		
! 		//    private void run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy()
! 		//    {
! 		//    	WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
! 		//    	for(int i = 0; i<this.genomeRepresentations.Length;i++)
! 		//      {
! 		//      	weightedPositions[i] =
! 		//      		new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! 		//      		                      new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! //
! 		//      }
! //
! 		//      this.endOfDayStrategy = new FixedLevelOscBiasedOTC_PVONoThresholdsStrategy(
! 		//        this.account , weightedPositions,
! 		//        this.genomeRepresentations.Length);
! 		//    }
  
! 		//    private void run_setStrategy_setBiasedPVONoThresholdsStrategy()
! 		//    {
  //			WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
  //			for(int i = 0; i<this.genomeRepresentations.Length;i++)
  //			{
! //				weightedPositions[i] =
  //					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
  //					new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! //
  //			}
! 		//      this.endOfDayStrategy = new FixedLevelOscillatorBiasedPVONoThresholdsStrategy(
! 		//        this.account , weightedPositions,
! 		//        this.genomeRepresentations.Length,
! 		//        this.stopLoss,
! 		//        this.takeProfit);
! 		//    }
  
  		private double run_setStrategy_setBiasedPVOStrategy_getOversoldThreshold(int i)
***************
*** 193,275 ****
  			WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
  			double[] oversoldThresholds = new double[this.genomeRepresentations.Length];
!       double[] overboughtThresholds = new double[this.genomeRepresentations.Length];
  			for(int i = 0; i<this.genomeRepresentations.Length;i++)
  			{
! 				weightedPositions[i] = 
  					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! 					new SignedTickers(this.genomeRepresentations[i].SignedTickers));
  				oversoldThresholds[i] = this.run_setStrategy_setBiasedPVOStrategy_getOversoldThreshold(i);
  				overboughtThresholds[i] = this.run_setStrategy_setBiasedPVOStrategy_getOverboughtThreshold(i);
  			}
  			
! 		 	this.endOfDayStrategy = new FixedLevelOscillatorBiasedPVOStrategy(
!             this.account , weightedPositions, 
!             oversoldThresholds, overboughtThresholds,
!             overboughtThresholds.Length,
!             this.numDaysForOscillatorStrategy,this.stopLoss,
!             this.takeProfit);
  		}
  		
  		private void run_setStrategy()
  		{
! 			WeightedPositions weightedPositions = 
  				this.run_getWeightedPositions(this.genomeRepresentations[0]);
  			switch (this.strategyType)
!       {
!         case StrategyType.OpenToCloseDaily:
!           this.endOfDayStrategy = new OpenToCloseDailyStrategy(
! 					                            this.account , weightedPositions );
!           break;
!         case StrategyType.OpenToCloseWeekly:
!           this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
!                                       this.account , weightedPositions );
!           break;
!         case StrategyType.CloseToOpenDaily:
!           this.endOfDayStrategy = new CloseToOpenDailyStrategy(
!                                       this.account , weightedPositions );
!           break;
!         
!         case StrategyType.OpenToCloseCloseToOpenDaily:
!           this.endOfDayStrategy = new OTC_CTODailyStrategy(
!             this.account , weightedPositions);
!           break;
!         
!         case StrategyType.FixedPeriodOscillator:
!           this.endOfDayStrategy = new FixedPeriodOscillatorStrategy(
! 			            this.account , weightedPositions,
! 			            this.numDaysForOscillatorStrategy , 
! 			            this.numDaysForOscillatorStrategy );
!           break;
!         
!         case StrategyType.ExtremeCounterTrend:
!           this.endOfDayStrategy = new ExtremeCounterTrendStrategy(
!             this.account , weightedPositions, this.numDaysForOscillatorStrategy,
!             this.portfolioType);
!           break;
!         
!         case StrategyType.ImmediateTrendFollower:
!           this.endOfDayStrategy = new ImmediateTrendFollowerStrategy(
!             this.account , weightedPositions, this.numDaysForOscillatorStrategy );
!           break;
!         
!         case StrategyType.PortfolioValueOscillator:
!           this.endOfDayStrategy = new FixedLevelOscillatorPVOStrategy(
!             this.account , weightedPositions, 
!             this.genomeRepresentations[0].OversoldThreshold, this.genomeRepresentations[0].OverboughtThreshold,
!             this.numDaysForOscillatorStrategy );
!           break;
!           
!         case StrategyType.PortfolioValueOscillatorBiased:
!           this.run_setStrategy_setBiasedPVOStrategy();
!           break;
!         
! //        case StrategyType.PortfolioValueOscillatorBiasedNoThresholds:
! //          this.run_setStrategy_setBiasedPVONoThresholdsStrategy();
! //          break;
  //
! //        case StrategyType.OTC_PVOBiasedNoThresholds:
! //          this.run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy();
! //          break;
!       }
  		}
  		private string getDateString( DateTime dateTime )
--- 193,275 ----
  			WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
  			double[] oversoldThresholds = new double[this.genomeRepresentations.Length];
! 			double[] overboughtThresholds = new double[this.genomeRepresentations.Length];
  			for(int i = 0; i<this.genomeRepresentations.Length;i++)
  			{
! 				weightedPositions[i] =
  					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! 					                      new SignedTickers(this.genomeRepresentations[i].SignedTickers));
  				oversoldThresholds[i] = this.run_setStrategy_setBiasedPVOStrategy_getOversoldThreshold(i);
  				overboughtThresholds[i] = this.run_setStrategy_setBiasedPVOStrategy_getOverboughtThreshold(i);
  			}
  			
! 			this.strategy = new FixedLevelOscillatorBiasedPVOStrategy(
! 				this.account , weightedPositions,
! 				oversoldThresholds, overboughtThresholds,
! 				overboughtThresholds.Length,
! 				this.numDaysForOscillatorStrategy,this.stopLoss,
! 				this.takeProfit);
  		}
  		
  		private void run_setStrategy()
  		{
! 			WeightedPositions weightedPositions =
  				this.run_getWeightedPositions(this.genomeRepresentations[0]);
  			switch (this.strategyType)
! 			{
! 				case StrategyType.OpenToCloseDaily:
! 					this.strategy = new OpenToCloseDailyStrategy(
! 						this.account , weightedPositions );
! 					break;
! 				case StrategyType.OpenToCloseWeekly:
! 					this.strategy = new OpenToCloseWeeklyStrategy(
! 						this.account , weightedPositions );
! 					break;
! 				case StrategyType.CloseToOpenDaily:
! 					this.strategy = new CloseToOpenDailyStrategy(
! 						this.account , weightedPositions );
! 					break;
! 					
! 				case StrategyType.OpenToCloseCloseToOpenDaily:
! 					this.strategy = new OTC_CTODailyStrategy(
! 						this.account , weightedPositions);
! 					break;
! 					
! 				case StrategyType.FixedPeriodOscillator:
! 					this.strategy = new FixedPeriodOscillatorStrategy(
! 						this.account , weightedPositions,
! 						this.numDaysForOscillatorStrategy ,
! 						this.numDaysForOscillatorStrategy );
! 					break;
! 					
! 				case StrategyType.ExtremeCounterTrend:
! 					this.strategy = new ExtremeCounterTrendStrategy(
! 						this.account , weightedPositions, this.numDaysForOscillatorStrategy,
! 						this.portfolioType);
! 					break;
! 					
! 				case StrategyType.ImmediateTrendFollower:
! 					this.strategy = new ImmediateTrendFollowerStrategy(
! 						this.account , weightedPositions, this.numDaysForOscillatorStrategy );
! 					break;
! 					
! 				case StrategyType.PortfolioValueOscillator:
! 					this.strategy = new FixedLevelOscillatorPVOStrategy(
! 						this.account , weightedPositions,
! 						this.genomeRepresentations[0].OversoldThreshold, this.genomeRepresentations[0].OverboughtThreshold,
! 						this.numDaysForOscillatorStrategy );
! 					break;
! 					
! 				case StrategyType.PortfolioValueOscillatorBiased:
! 					this.run_setStrategy_setBiasedPVOStrategy();
! 					break;
! 					
! 					//        case StrategyType.PortfolioValueOscillatorBiasedNoThresholds:
! 					//          this.run_setStrategy_setBiasedPVONoThresholdsStrategy();
! 					//          break;
  //
! 					//        case StrategyType.OTC_PVOBiasedNoThresholds:
! 					//          this.run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy();
! 					//          break;
! 			}
  		}
  		private string getDateString( DateTime dateTime )
***************
*** 287,386 ****
  				" to " + this.getDateString( this.lastDate ) +
  				" opt. in sample from " + this.getDateString(
! 				this.genomeRepresentations[0].FirstOptimizationDate ) +
  				" to " + this.getDateString(
! 				this.genomeRepresentations[0].LastOptimizationDate );
  			return returnValue;
  		}
  		
!     private void run_addEquityLineForWeightedPositions(
!       WeightedPositions weightedPositions , Color color , Report report )
!     {
!       EquityLine equityLineForWeightedPositions =
!         weightedPositions.GetVirtualEquityLine(
!         15000 , report.AccountReport.EquityLine );
!       report.AddEquityLine( equityLineForWeightedPositions ,
!         color );
!     }
!     
  		private void run_addEquityLineForEachPositionInWeightedPositions(
!       WeightedPositions weightedPositions , Color color , Report report )
!     {
  			foreach(WeightedPosition position in weightedPositions.Values)
  			{
  				WeightedPositions wp = new WeightedPositions(new SignedTickers(
! 																										 position.Ticker));
  				EquityLine equityLineForWeightedPositions =
!         wp.GetVirtualEquityLine(
!         15000 , report.AccountReport.EquityLine );
!       	report.AddEquityLine( equityLineForWeightedPositions ,
!         color );
  			}
! 	  }
  		
!     private WeightedPositions run_getWeightedPositions(GenomeRepresentation genomeRepresentation)
!       
!     {
!       double[] normalizedWeights = 
!         GenomeRepresentation.GetWeightsArray(genomeRepresentation.WeightsForSignedTickers);
!       string[] tickers = 
!         GenomeRepresentation.GetSignedTickers(genomeRepresentation.SignedTickers);
!       for(int i = 0; i<tickers.Length; i++)
!       {
!         if(tickers[i].StartsWith("-"))
!         {
!           tickers[i] = SignedTicker.GetTicker(tickers[i]);
!           normalizedWeights[i] = -1.0 * normalizedWeights[i];
!         }
!       }
!       return new WeightedPositions(normalizedWeights, tickers);
!     }
  
!     public void Run()
  		{
  			this.historicalEndOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 				new EndOfDayDateTime( this.firstDate ,
! 				EndOfDaySpecificTime.MarketOpen ) , "^GSPC" );
  			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) );
  			run_setStrategy();
  			//			OneRank oneRank = new OneRank( account ,
  			//				this.endDateTime );
! 			this.historicalEndOfDayTimer.MarketOpen +=
! 				new MarketOpenEventHandler(
! 				this.endOfDayStrategy.MarketOpenEventHandler );
! 			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
! 				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
!       this.historicalEndOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayStrategy.MarketCloseEventHandler );
! 			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.oneHourAfterMarketCloseEventHandler );
! 			this.account.EndOfDayTimer.Start();
  
! 			Report report = new Report( this.account , this.historicalQuoteProvider );
!       report.Create( "Linear Combination" , 1 ,
! 				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
! 			"^GSPC");
!       foreach(GenomeRepresentation genomeRepresentation in this.genomeRepresentations)
!       { 	
!       	WeightedPositions weightedPositions = this.run_getWeightedPositions( genomeRepresentation );
!       	this.run_addEquityLineForWeightedPositions(
!       		weightedPositions,
!       		Color.Brown,
!       		report);
!       	this.run_addEquityLineForEachPositionInWeightedPositions(
!       		weightedPositions,
!       		Color.DimGray,
!       		report);
!       		
!       }
!       report.Text = this.run_getReportTitle();
  			report.Show();
  		}
--- 287,392 ----
  				" to " + this.getDateString( this.lastDate ) +
  				" opt. in sample from " + this.getDateString(
! 					this.genomeRepresentations[0].FirstOptimizationDate ) +
  				" to " + this.getDateString(
! 					this.genomeRepresentations[0].LastOptimizationDate );
  			return returnValue;
  		}
  		
! 		private void run_addEquityLineForWeightedPositions(
! 			WeightedPositions weightedPositions , Color color , Report report )
! 		{
! 			EquityLine equityLineForWeightedPositions =
! 				weightedPositions.GetVirtualEquityLine(
! 					15000 , report.AccountReport.EquityLine );
! 			report.AddEquityLine( equityLineForWeightedPositions ,
! 			                     color );
! 		}
! 		
  		private void run_addEquityLineForEachPositionInWeightedPositions(
! 			WeightedPositions weightedPositions , Color color , Report report )
! 		{
  			foreach(WeightedPosition position in weightedPositions.Values)
  			{
  				WeightedPositions wp = new WeightedPositions(new SignedTickers(
! 					position.Ticker));
  				EquityLine equityLineForWeightedPositions =
! 					wp.GetVirtualEquityLine(
! 						15000 , report.AccountReport.EquityLine );
! 				report.AddEquityLine( equityLineForWeightedPositions ,
! 				                     color );
  			}
! 		}
  		
! 		private WeightedPositions run_getWeightedPositions(GenomeRepresentation genomeRepresentation)
! 			
! 		{
! 			double[] normalizedWeights =
! 				GenomeRepresentation.GetWeightsArray(genomeRepresentation.WeightsForSignedTickers);
! 			string[] tickers =
! 				GenomeRepresentation.GetSignedTickers(genomeRepresentation.SignedTickers);
! 			for(int i = 0; i<tickers.Length; i++)
! 			{
! 				if(tickers[i].StartsWith("-"))
! 				{
! 					tickers[i] = SignedTicker.GetTicker(tickers[i]);
! 					normalizedWeights[i] = -1.0 * normalizedWeights[i];
! 				}
! 			}
! 			return new WeightedPositions(normalizedWeights, tickers);
! 		}
  
! 		public void Run()
  		{
  			this.historicalEndOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen( this.firstDate ) ,
! //					new EndOfDayDateTime( this.firstDate ,
! //					                     EndOfDaySpecificTime.MarketOpen ) ,
! 					"^GSPC" );
  			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) );
  			run_setStrategy();
  			//			OneRank oneRank = new OneRank( account ,
  			//				this.endDateTime );
! 			this.historicalEndOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.strategy.NewDateTimeEventHandler );
! //			this.historicalEndOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //					this.strategy.MarketOpenEventHandler );
! //			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
! //				new FiveMinutesBeforeMarketCloseEventHandler(
! //					this.strategy.FiveMinutesBeforeMarketCloseEventHandler );
! //			this.historicalEndOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.strategy.MarketCloseEventHandler );
! //			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.oneHourAfterMarketCloseEventHandler );
! 			this.account.Timer.Start();
  
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Create(
! 				"Linear Combination" , 1 ,
! 				HistoricalEndOfDayTimer.GetMarketClose(	this.lastDate ) ,
! //				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
! 				"^GSPC");
! 			foreach(GenomeRepresentation genomeRepresentation in this.genomeRepresentations)
! 			{
! 				WeightedPositions weightedPositions = this.run_getWeightedPositions( genomeRepresentation );
! 				this.run_addEquityLineForWeightedPositions(
! 					weightedPositions,
! 					Color.Brown,
! 					report);
! 				this.run_addEquityLineForEachPositionInWeightedPositions(
! 					weightedPositions,
! 					Color.DimGray,
! 					report);
! 				
! 			}
! 			report.Text = this.run_getReportTitle();
  			report.Show();
  		}

Index: ImmediateTrendFollowerStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/ImmediateTrendFollowerStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** ImmediateTrendFollowerStrategy.cs	19 Aug 2008 17:11:29 -0000	1.3
--- ImmediateTrendFollowerStrategy.cs	29 Sep 2008 21:19:30 -0000	1.4
***************
*** 39,43 ****
  	/// </summary>
  	[Serializable]
! 	public class ImmediateTrendFollowerStrategy : EndOfDayTimerHandler, IEndOfDayStrategy
  	{
  		private int numDaysForReturnCalculation;
--- 39,45 ----
  	/// </summary>
  	[Serializable]
! 	public class ImmediateTrendFollowerStrategy :
! 		QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler ,
! 	IStrategy
  	{
  		private int numDaysForReturnCalculation;
***************
*** 60,70 ****
  		}
  		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  		}
  		
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  		}
--- 62,72 ----
  		}
  		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  		}
  		
! 		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{
  		}
***************
*** 113,118 ****
  		}
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.account.Portfolio.Count > 0)
--- 115,120 ----
  		}
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.account.Portfolio.Count > 0)
***************
*** 131,139 ****
  		}
  		
! 		public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                         EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  			
  		}
  	}
  }
--- 133,152 ----
  		}
  		
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{
  			
  		}
+ 		public virtual void NewTimeEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ 				this.marketOpenEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ 				this.marketCloseEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ 				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ 		}
+ 
  	}
  }