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

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv13897/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	PVO_CTOLogItem.cs PVO_CTOMain.cs PVO_OTCLogItem.cs 
	PVO_OTCMain.cs PVOLogItem.cs PVOMain.cs 
Log Message:
A new parameter of type Timer has been added to the EndOfDayStrategyBackTester

Index: PVO_OTCLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCLogItem.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PVO_OTCLogItem.cs	29 Sep 2008 21:17:48 -0000	1.5
--- PVO_OTCLogItem.cs	12 Nov 2008 20:42:39 -0000	1.6
***************
*** 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;
***************
*** 39,52 ****
  namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
  {
!   /// <summary>
!   /// LogItem for the PVO_OTC strategy
!   /// portfolio value oscillator strategy
!   /// </summary>
!   [Serializable]
!   public class PVO_OTCLogItem : PVOLogItem
!   {
  		
  		public PVO_OTCLogItem(DateTime dateTime,
!   	                      int numberOfInSampleDays)
  			: base( dateTime , numberOfInSampleDays )
  		{
--- 39,52 ----
  namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
  {
! 	/// <summary>
! 	/// LogItem for the PVO_OTC strategy
! 	/// portfolio value oscillator strategy
! 	/// </summary>
! 	[Serializable]
! 	public class PVO_OTCLogItem : PVOLogItem
! 	{
  		
  		public PVO_OTCLogItem(DateTime dateTime,
! 		                      int numberOfInSampleDays)
  			: base( dateTime , numberOfInSampleDays )
  		{
***************
*** 70,80 ****
  			
  			HistoricalMarketValueProvider historicalQuoteProviderForBackTester,
! 				historicalQuoteProviderForInSampleChooser,
! 				historicalQuoteProviderForStrategy;
  			historicalQuoteProviderForBackTester =
  				new HistoricalAdjustedQuoteProvider();
  			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
  			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
! 						
  			IEligiblesSelector eligiblesSelector =
  				new DummyEligibleSelector();
--- 70,80 ----
  			
  			HistoricalMarketValueProvider historicalQuoteProviderForBackTester,
! 			historicalQuoteProviderForInSampleChooser,
! 			historicalQuoteProviderForStrategy;
  			historicalQuoteProviderForBackTester =
  				new HistoricalAdjustedQuoteProvider();
  			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
  			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
! 			
  			IEligiblesSelector eligiblesSelector =
  				new DummyEligibleSelector();
***************
*** 85,103 ****
  			PVO_OTCStrategy strategy =
  				new PVO_OTCStrategy(eligiblesSelector, 1,
! 				positionsToTest, inSampleDays,
! 				benchmark ,
! 				int.MaxValue ,
! 				0 ,
! 				((PVOPositions)positionsToTest[0]).OversoldThreshold,
! 				((PVOPositions)positionsToTest[0]).OverboughtThreshold,
! 				historicalQuoteProviderForStrategy);
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				"PVO_OTC" , strategy ,
! 				historicalQuoteProviderForBackTester , 
! 				new SimpleAccountProvider(),
! 				firstDateTime ,
! 				lastDateTime , benchmark , cashToStart , maxRunningHours );
  
  			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
--- 85,107 ----
  			PVO_OTCStrategy strategy =
  				new PVO_OTCStrategy(eligiblesSelector, 1,
! 				                    positionsToTest, inSampleDays,
! 				                    benchmark ,
! 				                    int.MaxValue ,
! 				                    0 ,
! 				                    ((PVOPositions)positionsToTest[0]).OversoldThreshold,
! 				                    ((PVOPositions)positionsToTest[0]).OverboughtThreshold,
! 				                    historicalQuoteProviderForStrategy);
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					"PVO_OTC" ,
! 					new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
! 						HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
! 						benchmark.Ticker ) ,
! 					strategy ,
! 					historicalQuoteProviderForBackTester ,
! 					new SimpleAccountProvider(),
! 					firstDateTime ,
! 					lastDateTime , benchmark , cashToStart , maxRunningHours );
  
  			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
***************
*** 106,110 ****
  			endOfDayStrategyBackTester.Run();
  			BackTesterReportViewer.ShowReport( lastDateTime ,
! 				endOfDayStrategyBackTester );
  		}
  	}
--- 110,114 ----
  			endOfDayStrategyBackTester.Run();
  			BackTesterReportViewer.ShowReport( lastDateTime ,
! 			                                  endOfDayStrategyBackTester );
  		}
  	}

Index: PVO_OTCMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCMain.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** PVO_OTCMain.cs	29 Sep 2008 21:17:48 -0000	1.8
--- PVO_OTCMain.cs	12 Nov 2008 20:42:39 -0000	1.9
***************
*** 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;
***************
*** 76,80 ****
  			
  			int maxNumberOfEligiblesToBeChosen = 100;
! 						
  			string tickersGroupId = "SP500";
  			
--- 76,80 ----
  			
  			int maxNumberOfEligiblesToBeChosen = 100;
! 			
  			string tickersGroupId = "SP500";
  			
***************
*** 88,97 ****
  			IEligiblesSelector eligiblesSelector =
  				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 				tickersGroupId , temporizedGroup ,
! 				maxNumberOfEligiblesToBeChosen ,
! 				maxNumberOfMostLiquidTickersToBeChosen ,
! 			  numDaysForAverageRawOpenPriceComputation ,
! 				numDaysForVolatility ,
! 			 	minPrice , maxPrice );
  //			IEligiblesSelector eligiblesSelector =
  //				new ByPriceMostLiquidAlwaysQuoted(
--- 88,97 ----
  			IEligiblesSelector eligiblesSelector =
  				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 					tickersGroupId , temporizedGroup ,
! 					maxNumberOfEligiblesToBeChosen ,
! 					maxNumberOfMostLiquidTickersToBeChosen ,
! 					numDaysForAverageRawOpenPriceComputation ,
! 					numDaysForVolatility ,
! 					minPrice , maxPrice );
  //			IEligiblesSelector eligiblesSelector =
  //				new ByPriceMostLiquidAlwaysQuoted(
***************
*** 106,112 ****
  //			  numDaysForAverageRawOpenPriceComputation ,
  //			 	minPrice , maxPrice );
! //			eligiblesSelector = 
  //				new DummyEligibleSelector();
! //			
  			return eligiblesSelector;
  		}
--- 106,112 ----
  //			  numDaysForAverageRawOpenPriceComputation ,
  //			 	minPrice , maxPrice );
! //			eligiblesSelector =
  //				new DummyEligibleSelector();
! //
  			return eligiblesSelector;
  		}
***************
*** 134,145 ****
  			//correlation is computed only for returns
  			//between minimum and maximum
! //			IInSampleChooser inSampleChooser = 
! //				new PVO_OTCCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
  //						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  //					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
! 			IInSampleChooser inSampleChooser = 
! 				new PVO_OTCCTOCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
! 						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
! 					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
  //			//office
  //			inSampleChooser =
--- 134,145 ----
  			//correlation is computed only for returns
  			//between minimum and maximum
! //			IInSampleChooser inSampleChooser =
! //				new PVO_OTCCorrelationChooser(numberOfBestTestingPositionsToBeReturned,
  //						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  //					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
! 			IInSampleChooser inSampleChooser =
! 				new PVO_OTCCTOCorrelationChooser(numberOfBestTestingPositionsToBeReturned,
! 				                                 maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
! 				                                 minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
  //			//office
  //			inSampleChooser =
***************
*** 171,180 ****
  //				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
  //				oversoldThreshold , overboughtThreshold , historicalQuoteProvider);
! //			
  				= new PVO_OTCStrategy(eligiblesSelector ,
! 				minNumOfEligiblesForValidOptimization,                      inSampleChooser ,
! 				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsBeforeExit, oversoldThreshold , overboughtThreshold ,
! 				oversoldThresholdMAX , overboughtThresholdMAX , historicalQuoteProvider);
  			return strategyForBacktester;
  		}
--- 171,180 ----
  //				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
  //				oversoldThreshold , overboughtThreshold , historicalQuoteProvider);
! //
  				= new PVO_OTCStrategy(eligiblesSelector ,
! 				                      minNumOfEligiblesForValidOptimization,                      inSampleChooser ,
! 				                      inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				                      numOfClosingsBeforeExit, oversoldThreshold , overboughtThreshold ,
! 				                      oversoldThresholdMAX , overboughtThresholdMAX , historicalQuoteProvider);
  			return strategyForBacktester;
  		}
***************
*** 198,205 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.strategyForBacktester ,
! 				quoteProviderForBackTester , accountProvider ,
! 				firstDateTime ,	lastDateTime ,
! 				this.benchmark , cashToStart , maxRunningHours );
  			return endOfDayStrategyBackTester;
  		}
--- 198,209 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId ,
! 					new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
! 						HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
! 						this.benchmark.Ticker ) ,
! 					this.strategyForBacktester ,
! 					quoteProviderForBackTester , accountProvider ,
! 					firstDateTime ,	lastDateTime ,
! 					this.benchmark , cashToStart , maxRunningHours );
  			return endOfDayStrategyBackTester;
  		}
***************
*** 220,229 ****
  		{
  			string returnValue;
! 			string fullPathFileNameForMainAtHome = 
  				@"C:\Quant\QuantProject\b7_Scripts\TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCMain.cs";
  			if( File.Exists(fullPathFileNameForMainAtHome) )
  				returnValue = fullPathFileNameForMainAtHome;
  			else
! 				returnValue = 
  					@"C:\Utente\MarcoVarie\Vari\qP\QuantProject\b7_Scripts\TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCMain.cs";
  			
--- 224,233 ----
  		{
  			string returnValue;
! 			string fullPathFileNameForMainAtHome =
  				@"C:\Quant\QuantProject\b7_Scripts\TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCMain.cs";
  			if( File.Exists(fullPathFileNameForMainAtHome) )
  				returnValue = fullPathFileNameForMainAtHome;
  			else
! 				returnValue =
  					@"C:\Utente\MarcoVarie\Vari\qP\QuantProject\b7_Scripts\TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCMain.cs";
  			

Index: PVOLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOLogItem.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PVOLogItem.cs	29 Sep 2008 21:18:13 -0000	1.5
--- PVOLogItem.cs	12 Nov 2008 20:42:39 -0000	1.6
***************
*** 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;
***************
*** 40,53 ****
  namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
  {
!   /// <summary>
!   /// LogItem for the PVO strategy
!   /// portfolio value oscillator strategy
!   /// </summary>
!   [Serializable]
!   public class PVOLogItem : LogItem
!   {
  		protected DummyTesterForTestingPositions[]
  			dummyTestersForBestTestingPositionsInSample;
!   	protected TestingPositions[] bestPVOPositionsInSample;
  		protected int numberOfEligibleTickers;
  		protected double fitnessOfFirstPVOPositionsInSample;
--- 40,53 ----
  namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
  {
! 	/// <summary>
! 	/// LogItem for the PVO strategy
! 	/// portfolio value oscillator strategy
! 	/// </summary>
! 	[Serializable]
! 	public class PVOLogItem : LogItem
! 	{
  		protected DummyTesterForTestingPositions[]
  			dummyTestersForBestTestingPositionsInSample;
! 		protected TestingPositions[] bestPVOPositionsInSample;
  		protected int numberOfEligibleTickers;
  		protected double fitnessOfFirstPVOPositionsInSample;
***************
*** 67,72 ****
  				if ( this.bestPVOPositionsInSample == null )
  					throw new Exception( "This property has not " +
! 						"been assigned yet! If you are loading the LogItem from " +
! 						"a log, this property was not set before logging the LogItem." );
  				return this.bestPVOPositionsInSample;
  			}
--- 67,72 ----
  				if ( this.bestPVOPositionsInSample == null )
  					throw new Exception( "This property has not " +
! 					                    "been assigned yet! If you are loading the LogItem from " +
! 					                    "a log, this property was not set before logging the LogItem." );
  				return this.bestPVOPositionsInSample;
  			}
***************
*** 79,84 ****
  				if ( this.numberOfEligibleTickers == int.MinValue )
  					throw new Exception( "This property has not " +
! 						"been assigned yet! If you are loading the LogItem from " +
! 						"a log, this property was not set before logging the LogItem." );
  				return this.numberOfEligibleTickers;
  			}
--- 79,84 ----
  				if ( this.numberOfEligibleTickers == int.MinValue )
  					throw new Exception( "This property has not " +
! 					                    "been assigned yet! If you are loading the LogItem from " +
! 					                    "a log, this property was not set before logging the LogItem." );
  				return this.numberOfEligibleTickers;
  			}
***************
*** 91,96 ****
  				if ( this.fitnessOfFirstPVOPositionsInSample == double.MinValue )
  					throw new Exception( "This property has not " +
! 						"been assigned yet! If you are loading the LogItem from " +
! 						"a log, this property was not set before logging the LogItem." );
  				return this.fitnessOfFirstPVOPositionsInSample;
  			}
--- 91,96 ----
  				if ( this.fitnessOfFirstPVOPositionsInSample == double.MinValue )
  					throw new Exception( "This property has not " +
! 					                    "been assigned yet! If you are loading the LogItem from " +
! 					                    "a log, this property was not set before logging the LogItem." );
  				return this.fitnessOfFirstPVOPositionsInSample;
  			}
***************
*** 103,108 ****
  				if ( this.fitnessOfLastPVOPositionsInSample == double.MinValue )
  					throw new Exception( "This property has not " +
! 						"been assigned yet! If you are loading the LogItem from " +
! 						"a log, this property was not set before logging the LogItem." );
  				return this.fitnessOfLastPVOPositionsInSample;
  			}
--- 103,108 ----
  				if ( this.fitnessOfLastPVOPositionsInSample == double.MinValue )
  					throw new Exception( "This property has not " +
! 					                    "been assigned yet! If you are loading the LogItem from " +
! 					                    "a log, this property was not set before logging the LogItem." );
  				return this.fitnessOfLastPVOPositionsInSample;
  			}
***************
*** 168,178 ****
  			double minimumAcceptableGain = 0.007;
  			HistoricalMarketValueProvider historicalQuoteProviderForBackTester,
! 				historicalQuoteProviderForInSampleChooser,
! 				historicalQuoteProviderForStrategy;
  			historicalQuoteProviderForBackTester =
  				new HistoricalAdjustedQuoteProvider();
  			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
  			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
! 						
  			IEligiblesSelector eligiblesSelector =
  				new DummyEligibleSelector();
--- 168,178 ----
  			double minimumAcceptableGain = 0.007;
  			HistoricalMarketValueProvider historicalQuoteProviderForBackTester,
! 			historicalQuoteProviderForInSampleChooser,
! 			historicalQuoteProviderForStrategy;
  			historicalQuoteProviderForBackTester =
  				new HistoricalAdjustedQuoteProvider();
  			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
  			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
! 			
  			IEligiblesSelector eligiblesSelector =
  				new DummyEligibleSelector();
***************
*** 182,209 ****
  			TestingPositions[] positionsToTest =
  				//new TestingPositions[1];
! 			//			int idx = PVOLogItem.rand.Next(bestPVOPositionsInSample.Length);
! 			//positionsToTest[0] = this.bestPVOPositionsInSample[0];
! 			positionsToTest = this.BestPVOPositionsInSample;
  			PVOStrategy strategy =
  				new PVOStrategy(eligiblesSelector,
! 				positionsToTest, this.numberOfInSampleDays,
! 				numDaysForOscillatingPeriodForOutOfSample,
! 				numberOfPortfolioPositions , benchmark ,
! 				int.MaxValue ,
! 				((PVOPositions)positionsToTest[0]).OversoldThreshold,
! 				((PVOPositions)positionsToTest[0]).OverboughtThreshold,
! 				historicalQuoteProviderForStrategy ,
! 				maxAcceptableCloseToCloseDrawdown , minimumAcceptableGain );
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				"PVO" , strategy ,
! 				historicalQuoteProviderForBackTester ,
! 				new SimpleAccountProvider(), firstDateTime ,
! 				lastDateTime , benchmark , cashToStart , maxRunningHours );
  			
  			endOfDayStrategyBackTester.Run();
  			BackTesterReportViewer.ShowReport( lastDateTime ,
! 				endOfDayStrategyBackTester );
  		}
  		
--- 182,213 ----
  			TestingPositions[] positionsToTest =
  				//new TestingPositions[1];
! 				//			int idx = PVOLogItem.rand.Next(bestPVOPositionsInSample.Length);
! 				//positionsToTest[0] = this.bestPVOPositionsInSample[0];
! 				positionsToTest = this.BestPVOPositionsInSample;
  			PVOStrategy strategy =
  				new PVOStrategy(eligiblesSelector,
! 				                positionsToTest, this.numberOfInSampleDays,
! 				                numDaysForOscillatingPeriodForOutOfSample,
! 				                numberOfPortfolioPositions , benchmark ,
! 				                int.MaxValue ,
! 				                ((PVOPositions)positionsToTest[0]).OversoldThreshold,
! 				                ((PVOPositions)positionsToTest[0]).OverboughtThreshold,
! 				                historicalQuoteProviderForStrategy ,
! 				                maxAcceptableCloseToCloseDrawdown , minimumAcceptableGain );
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					"PVO" ,
! 					new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
! 						HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
! 						benchmark.Ticker ) ,
! 					strategy ,
! 					historicalQuoteProviderForBackTester ,
! 					new SimpleAccountProvider(), firstDateTime ,
! 					lastDateTime , benchmark , cashToStart , maxRunningHours );
  			
  			endOfDayStrategyBackTester.Run();
  			BackTesterReportViewer.ShowReport( lastDateTime ,
! 			                                  endOfDayStrategyBackTester );
  		}
  		
***************
*** 219,223 ****
  					simulatedCreationDateTime );
  		}
! 				
  		private void showTestingPositionsClickEventHandler_setDummyTesters()
  		{
--- 223,227 ----
  					simulatedCreationDateTime );
  		}
! 		
  		private void showTestingPositionsClickEventHandler_setDummyTesters()
  		{
***************
*** 245,251 ****
  			menuItems[0] = new MenuItem("Run Strategy");
  			menuItems[1] = new MenuItem("Show TestingPositions");
! 			menuItems[0].Click += 
  				new System.EventHandler(this.runStrategyClickEventHandler);
! 			menuItems[1].Click += 
  				new System.EventHandler(this.showTestingPositionsClickEventHandler);
  			ContextMenu contextMenu = new ContextMenu(menuItems);
--- 249,255 ----
  			menuItems[0] = new MenuItem("Run Strategy");
  			menuItems[1] = new MenuItem("Show TestingPositions");
! 			menuItems[0].Click +=
  				new System.EventHandler(this.runStrategyClickEventHandler);
! 			menuItems[1].Click +=
  				new System.EventHandler(this.showTestingPositionsClickEventHandler);
  			ContextMenu contextMenu = new ContextMenu(menuItems);

Index: PVOMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOMain.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** PVOMain.cs	29 Sep 2008 21:18:13 -0000	1.7
--- PVOMain.cs	12 Nov 2008 20:42:39 -0000	1.8
***************
*** 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;
***************
*** 76,80 ****
  			
  			int maxNumberOfEligiblesToBeChosen = 100;
! 						
  			string tickersGroupId = "SP500";
  			
--- 76,80 ----
  			
  			int maxNumberOfEligiblesToBeChosen = 100;
! 			
  			string tickersGroupId = "SP500";
  			
***************
*** 88,97 ****
  			IEligiblesSelector eligiblesSelector =
  				new ByPriceMostLiquidLessVolatileCTCAlwaysQuoted(
! 				tickersGroupId , temporizedGroup ,
! 				maxNumberOfEligiblesToBeChosen ,
! 				maxNumberOfMostLiquidTickersToBeChosen ,
! 				numDaysForAverageRawOpenPriceComputation ,
! 				numDaysForVolatility ,
! 				minPrice , maxPrice );
  			//			IEligiblesSelector eligiblesSelector =
  			//				new ByPriceMostLiquidAlwaysQuoted(
--- 88,97 ----
  			IEligiblesSelector eligiblesSelector =
  				new ByPriceMostLiquidLessVolatileCTCAlwaysQuoted(
! 					tickersGroupId , temporizedGroup ,
! 					maxNumberOfEligiblesToBeChosen ,
! 					maxNumberOfMostLiquidTickersToBeChosen ,
! 					numDaysForAverageRawOpenPriceComputation ,
! 					numDaysForVolatility ,
! 					minPrice , maxPrice );
  			//			IEligiblesSelector eligiblesSelector =
  			//				new ByPriceMostLiquidAlwaysQuoted(
***************
*** 106,112 ****
  			//			  numDaysForAverageRawOpenPriceComputation ,
  			//			 	minPrice , maxPrice );
! 			eligiblesSelector = 
  				new DummyEligibleSelector();
! 			//			
  			return eligiblesSelector;
  		}
--- 106,112 ----
  			//			  numDaysForAverageRawOpenPriceComputation ,
  			//			 	minPrice , maxPrice );
! 			eligiblesSelector =
  				new DummyEligibleSelector();
! 			//
  			return eligiblesSelector;
  		}
***************
*** 135,147 ****
  			//correlation is computed only for returns
  			//between minimum and maximum
! 			IInSampleChooser inSampleChooser = 
! //				new PVO_CTCCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
  //				closeToCloseIntervalLengthForCorrelation , maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  //				minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker );
! 				new PVO_CTCStrongCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
! 				maxCorrelationAllowed , minimumAbsoluteReturnValue , maximumAbsoluteReturnValue,
! 				balancedWeightsOnVolatilityBase, this.benchmark.Ticker );
! 			//			IInSampleChooser inSampleChooser = 
! 			//				new PVO_OTCCTOCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
  			//						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  			//					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue);
--- 135,147 ----
  			//correlation is computed only for returns
  			//between minimum and maximum
! 			IInSampleChooser inSampleChooser =
! //				new PVO_CTCCorrelationChooser(numberOfBestTestingPositionsToBeReturned,
  //				closeToCloseIntervalLengthForCorrelation , maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  //				minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker );
! 				new PVO_CTCStrongCorrelationChooser(numberOfBestTestingPositionsToBeReturned,
! 				                                    maxCorrelationAllowed , minimumAbsoluteReturnValue , maximumAbsoluteReturnValue,
! 				                                    balancedWeightsOnVolatilityBase, this.benchmark.Ticker );
! 			//			IInSampleChooser inSampleChooser =
! 			//				new PVO_OTCCTOCorrelationChooser(numberOfBestTestingPositionsToBeReturned,
  			//						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  			//					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue);
***************
*** 152,159 ****
  //				numberOfBestTestingPositionsToBeReturned);
  			//home
! 						inSampleChooser =
! 							new PVOChooserFromSavedBackTestLog(
! 							@"C:\Utente\MarcoVarie\Vari\qP\LogArchive\2008_06_03_18_33_29_PVO_CTC_from_2001_01_01_to_2004_12_31_annlRtrn_4.72_maxDD_13.57\2008_06_03_18_33_29_PVO_CTC_from_2001_01_01_to_2004_12_31_annlRtrn_4.72_maxDD_13.57.qpL",
! 							numberOfBestTestingPositionsToBeReturned);
  			return inSampleChooser;
  		}
--- 152,159 ----
  //				numberOfBestTestingPositionsToBeReturned);
  			//home
! 			inSampleChooser =
! 				new PVOChooserFromSavedBackTestLog(
! 					@"C:\Utente\MarcoVarie\Vari\qP\LogArchive\2008_06_03_18_33_29_PVO_CTC_from_2001_01_01_to_2004_12_31_annlRtrn_4.72_maxDD_13.57\2008_06_03_18_33_29_PVO_CTC_from_2001_01_01_to_2004_12_31_annlRtrn_4.72_maxDD_13.57.qpL",
! 					numberOfBestTestingPositionsToBeReturned);
  			return inSampleChooser;
  		}
***************
*** 176,185 ****
  				//				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
  				//				oversoldThreshold , overboughtThreshold , historicalQuoteProvider);
! 				//			
  				= new PVOStrategy(eligiblesSelector , inSampleChooser ,
! 				inSampleDays , closeToCloseIntervalLength , 2 , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold , overboughtThreshold ,
! 				oversoldThresholdMAX , overboughtThresholdMAX , historicalQuoteProvider, 
! 				maxAcceptableDrawDown, minimumAcceptableGain );
  			return strategyForBacktester;
  		}
--- 176,185 ----
  				//				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
  				//				oversoldThreshold , overboughtThreshold , historicalQuoteProvider);
! 				//
  				= new PVOStrategy(eligiblesSelector , inSampleChooser ,
! 				                  inSampleDays , closeToCloseIntervalLength , 2 , benchmark , numDaysBetweenEachOptimization ,
! 				                  oversoldThreshold , overboughtThreshold ,
! 				                  oversoldThresholdMAX , overboughtThresholdMAX , historicalQuoteProvider,
! 				                  maxAcceptableDrawDown, minimumAcceptableGain );
  			return strategyForBacktester;
  		}
***************
*** 203,210 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.strategyForBacktester ,
! 				quoteProviderForBackTester , accountProvider ,
! 				firstDateTime ,	lastDateTime ,
! 				this.benchmark , cashToStart , maxRunningHours );
  			return endOfDayStrategyBackTester;
  		}
--- 203,214 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId ,
! 					new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
! 						HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
! 						this.benchmark.Ticker ) ,
! 					this.strategyForBacktester ,
! 					quoteProviderForBackTester , accountProvider ,
! 					firstDateTime ,	lastDateTime ,
! 					this.benchmark , cashToStart , maxRunningHours );
  			return endOfDayStrategyBackTester;
  		}
***************
*** 225,234 ****
  		{
  			string returnValue;
! 			string fullPathFileNameForMainAtHome = 
  				@"C:\Quant\QuantProject\b7_Scripts\TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOMain.cs";
  			if( File.Exists(fullPathFileNameForMainAtHome) )
  				returnValue = fullPathFileNameForMainAtHome;
  			else
! 				returnValue = 
  					@"C:\Utente\MarcoVarie\Vari\qP\QuantProject\b7_Scripts\TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOMain.cs";
  			
--- 229,238 ----
  		{
  			string returnValue;
! 			string fullPathFileNameForMainAtHome =
  				@"C:\Quant\QuantProject\b7_Scripts\TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOMain.cs";
  			if( File.Exists(fullPathFileNameForMainAtHome) )
  				returnValue = fullPathFileNameForMainAtHome;
  			else
! 				returnValue =
  					@"C:\Utente\MarcoVarie\Vari\qP\QuantProject\b7_Scripts\TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOMain.cs";
  			

Index: PVO_CTOLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_CTOLogItem.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PVO_CTOLogItem.cs	29 Sep 2008 21:17:47 -0000	1.2
--- PVO_CTOLogItem.cs	12 Nov 2008 20:42:39 -0000	1.3
***************
*** 95,99 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				"PVO_CTO" , strategy ,
  				historicalQuoteProviderForBackTester , 
  				new SimpleAccountProvider(),
--- 95,103 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				"PVO_CTO" ,
! 				new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
! 					benchmark.Ticker ) ,
! 				strategy ,
  				historicalQuoteProviderForBackTester , 
  				new SimpleAccountProvider(),

Index: PVO_CTOMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_CTOMain.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PVO_CTOMain.cs	29 Sep 2008 21:17:48 -0000	1.3
--- PVO_CTOMain.cs	12 Nov 2008 20:42:39 -0000	1.4
***************
*** 216,220 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , this.strategyForBacktester ,
  					quoteProviderForBackTester , accountProvider ,
  					firstDateTime ,	lastDateTime ,
--- 216,224 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId ,
! 					new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
! 						HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
! 						this.benchmark.Ticker ) ,
! 					this.strategyForBacktester ,
  					quoteProviderForBackTester , accountProvider ,
  					firstDateTime ,	lastDateTime ,

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

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVO_CTOLogItem.cs, 1.2, 1.3 PVO_CTOMain.cs, 1.3, 1.4 PVO_OTCLogItem.cs, 1.5, 1.6 PVO_OTCMain.cs, 1.8, 1.9 PVOLogItem.cs, 1.5, 1.6 PVOMain.cs, 1.7, 1.8