[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVOStrategyIntradayMain.cs, 1.5, 1.6 PVOPositionsStatus.cs, 1.2, 1.3 PVOStrategyIntraday.cs, 1.4, 1.5

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3961/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	PVOStrategyIntradayMain.cs PVOPositionsStatus.cs 
	PVOStrategyIntraday.cs 
Log Message:
PVOStrategyIntraday files have been updated.

Index: PVOStrategyIntraday.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOStrategyIntraday.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PVOStrategyIntraday.cs	13 Mar 2009 15:12:01 -0000	1.4
--- PVOStrategyIntraday.cs	29 Mar 2009 18:31:00 -0000	1.5
***************
*** 71,75 ****
  		protected IEligiblesSelector eligiblesSelector;
  		protected Benchmark benchmark;
! 		protected HistoricalMarketValueProvider 
  			historicalMarketValueProviderForInSample;
  		protected HistoricalMarketValueProvider
--- 71,75 ----
  		protected IEligiblesSelector eligiblesSelector;
  		protected Benchmark benchmark;
! 		protected HistoricalMarketValueProvider
  			historicalMarketValueProviderForInSample;
  		protected HistoricalMarketValueProvider
***************
*** 102,105 ****
--- 102,106 ----
  		protected bool takeProfitConditionReached;
  		protected double inefficiencyLengthInMinutes;
+ 		protected int numberOfPreviousEfficientPeriods;
  		protected double maxOpeningLengthInMinutes;
  		protected double minutesFromLastInefficiencyTimeToWaitBeforeOpening;
***************
*** 113,117 ****
  		protected double stopLoss;
  		protected double takeProfit;
! 				
  		private string description_GetDescriptionForChooser()
  		{
--- 114,118 ----
  		protected double stopLoss;
  		protected double takeProfit;
! 		
  		private string description_GetDescriptionForChooser()
  		{
***************
*** 162,181 ****
  		
  		private void pvoStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                             int minimumNumberOfEligiblesForValidOptimization,
! 		                             int inSampleDays,
! 		                             Benchmark benchmark,
! 		                             int numDaysBetweenEachOptimization,
! 		                             double oversoldThreshold,
! 		                             double overboughtThreshold,
! 		                             double oversoldThresholdMAX,
! 		                             double overboughtThresholdMAX,
! 		                             HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                             HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                             double inefficiencyLengthInMinutes,
! 		                             double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                             double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 																 double maxOpeningLengthInMinutes,
! 																 List<Time> openingTimesForAvailableBars,
! 																 double stopLoss, double takeProfit)
  		{
  			this.eligiblesSelector = eligiblesSelector;
--- 163,183 ----
  		
  		private void pvoStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                                 int minimumNumberOfEligiblesForValidOptimization,
! 		                                 int inSampleDays,
! 		                                 Benchmark benchmark,
! 		                                 int numDaysBetweenEachOptimization,
! 		                                 double oversoldThreshold,
! 		                                 double overboughtThreshold,
! 		                                 double oversoldThresholdMAX,
! 		                                 double overboughtThresholdMAX,
! 		                                 HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                                 HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                                 double inefficiencyLengthInMinutes,
! 		                                 int numberOfPreviousEfficientPeriods,
! 		                                 double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                                 double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                                 double maxOpeningLengthInMinutes,
! 		                                 List<Time> openingTimesForAvailableBars,
! 		                                 double stopLoss, double takeProfit)
  		{
  			this.eligiblesSelector = eligiblesSelector;
***************
*** 192,198 ****
  			this.historicalMarketValueProviderForOutOfSample = historicalMarketValueProviderForOutOfSample;
  			this.inefficiencyLengthInMinutes = inefficiencyLengthInMinutes;
! 			this.minutesFromLastInefficiencyTimeToWaitBeforeOpening = 
  				minutesFromLastInefficiencyTimeToWaitBeforeOpening;
! 			this.minutesFromLastLossOrProfitToWaitBeforeClosing = 
  				minutesFromLastLossOrProfitToWaitBeforeClosing;
  			this.maxOpeningLengthInMinutes = maxOpeningLengthInMinutes;
--- 194,201 ----
  			this.historicalMarketValueProviderForOutOfSample = historicalMarketValueProviderForOutOfSample;
  			this.inefficiencyLengthInMinutes = inefficiencyLengthInMinutes;
! 			this.numberOfPreviousEfficientPeriods = numberOfPreviousEfficientPeriods;
! 			this.minutesFromLastInefficiencyTimeToWaitBeforeOpening =
  				minutesFromLastInefficiencyTimeToWaitBeforeOpening;
! 			this.minutesFromLastLossOrProfitToWaitBeforeClosing =
  				minutesFromLastLossOrProfitToWaitBeforeClosing;
  			this.maxOpeningLengthInMinutes = maxOpeningLengthInMinutes;
***************
*** 209,346 ****
  
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       IInSampleChooser inSampleChooser,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       double oversoldThresholdMAX,
! 		                       double overboughtThresholdMAX,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                       double inefficiencyLengthInMinutes,
! 		                       double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 													 double maxOpeningLengthInMinutes,
! 													 List<Time> openingTimesForAvailableBars,
! 													 double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     oversoldThresholdMAX, overboughtThresholdMAX,
! 			                     historicalMarketValueProviderForInSample,
! 		                       historicalMarketValueProviderForOutOfSample,
! 		                       inefficiencyLengthInMinutes,
! 		                       minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       maxOpeningLengthInMinutes,
! 		                       openingTimesForAvailableBars,
! 		                       stopLoss, takeProfit);
  			this.inSampleChooser = inSampleChooser;
  		}
  		
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       IInSampleChooser inSampleChooser,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                       double inefficiencyLengthInMinutes,
! 		                       double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       double maxOpeningLengthInMinutes,
! 													 List<Time> openingTimesForAvailableBars,
! 													 double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     double.MaxValue, double.MaxValue,
! 			                     historicalMarketValueProviderForInSample,
! 		                       historicalMarketValueProviderForOutOfSample,
! 		                       inefficiencyLengthInMinutes,
! 		                       minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       maxOpeningLengthInMinutes,
! 		                       openingTimesForAvailableBars,
! 		                       stopLoss, takeProfit);
  			this.inSampleChooser = inSampleChooser;
  		}
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       TestingPositions[] chosenPVOPositions,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       double oversoldThresholdMAX,
! 		                       double overboughtThresholdMAX,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                       double inefficiencyLengthInMinutes,
! 		                       double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       double maxOpeningLengthInMinutes,
! 													 List<Time> openingTimesForAvailableBars,
! 													 double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     oversoldThresholdMAX, overboughtThresholdMAX,
! 			                     historicalMarketValueProviderForInSample,
! 		                       historicalMarketValueProviderForOutOfSample,
! 		                       inefficiencyLengthInMinutes,
! 		                       minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       maxOpeningLengthInMinutes,
! 		                       openingTimesForAvailableBars,
! 		                       stopLoss, takeProfit);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       TestingPositions[] chosenPVOPositions,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                       double inefficiencyLengthInMinutes,
! 		                       double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       double maxOpeningLengthInMinutes,
! 													 List<Time> openingTimesForAvailableBars,
! 													 double stopLoss, double takeProfit)
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     double.MaxValue, double.MaxValue,
! 			                     historicalMarketValueProviderForInSample,
! 		                       historicalMarketValueProviderForOutOfSample,
! 		                       inefficiencyLengthInMinutes,
! 		                       minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       maxOpeningLengthInMinutes,
! 													 openingTimesForAvailableBars,
! 													 stopLoss, takeProfit);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		
  		private bool allTickersAreExchangedBeforeLastAvailableTime(DateTime fromDateTime,
! 		                                    											 string[] tickers)
  		{
  			bool returnValue = true;
--- 212,357 ----
  
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                           int minimumNumberOfEligiblesForValidOptimization,
! 		                           IInSampleChooser inSampleChooser,
! 		                           int inSampleDays,
! 		                           Benchmark benchmark,
! 		                           int numDaysBetweenEachOptimization,
! 		                           double oversoldThreshold,
! 		                           double overboughtThreshold,
! 		                           double oversoldThresholdMAX,
! 		                           double overboughtThresholdMAX,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                           double inefficiencyLengthInMinutes,
! 		                           int numberOfPreviousEfficientPeriods,
! 		                           double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                           double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                           double maxOpeningLengthInMinutes,
! 		                           List<Time> openingTimesForAvailableBars,
! 		                           double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                         inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                         oversoldThreshold, overboughtThreshold,
! 			                         oversoldThresholdMAX, overboughtThresholdMAX,
! 			                         historicalMarketValueProviderForInSample,
! 			                         historicalMarketValueProviderForOutOfSample,
! 			                         inefficiencyLengthInMinutes,
! 			                         numberOfPreviousEfficientPeriods,
! 			                         minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 			                         minutesFromLastLossOrProfitToWaitBeforeClosing,
! 			                         maxOpeningLengthInMinutes,
! 			                         openingTimesForAvailableBars,
! 			                         stopLoss, takeProfit);
  			this.inSampleChooser = inSampleChooser;
  		}
  		
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                           int minimumNumberOfEligiblesForValidOptimization,
! 		                           IInSampleChooser inSampleChooser,
! 		                           int inSampleDays,
! 		                           Benchmark benchmark,
! 		                           int numDaysBetweenEachOptimization,
! 		                           double oversoldThreshold,
! 		                           double overboughtThreshold,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                           double inefficiencyLengthInMinutes,
! 		                           int numberOfPreviousEfficientPeriods,
! 		                           double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                           double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                           double maxOpeningLengthInMinutes,
! 		                           List<Time> openingTimesForAvailableBars,
! 		                           double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                         inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                         oversoldThreshold, overboughtThreshold,
! 			                         double.MaxValue, double.MaxValue,
! 			                         historicalMarketValueProviderForInSample,
! 			                         historicalMarketValueProviderForOutOfSample,
! 			                         inefficiencyLengthInMinutes,
! 			                         numberOfPreviousEfficientPeriods,
! 			                         minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 			                         minutesFromLastLossOrProfitToWaitBeforeClosing,
! 			                         maxOpeningLengthInMinutes,
! 			                         openingTimesForAvailableBars,
! 			                         stopLoss, takeProfit);
  			this.inSampleChooser = inSampleChooser;
  		}
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                           int minimumNumberOfEligiblesForValidOptimization,
! 		                           TestingPositions[] chosenPVOPositions,
! 		                           int inSampleDays,
! 		                           Benchmark benchmark,
! 		                           int numDaysBetweenEachOptimization,
! 		                           double oversoldThreshold,
! 		                           double overboughtThreshold,
! 		                           double oversoldThresholdMAX,
! 		                           double overboughtThresholdMAX,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                           double inefficiencyLengthInMinutes,
! 		                           int numberOfPreviousEfficientPeriods,
! 		                           double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                           double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                           double maxOpeningLengthInMinutes,
! 		                           List<Time> openingTimesForAvailableBars,
! 		                           double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                         inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                         oversoldThreshold, overboughtThreshold,
! 			                         oversoldThresholdMAX, overboughtThresholdMAX,
! 			                         historicalMarketValueProviderForInSample,
! 			                         historicalMarketValueProviderForOutOfSample,
! 			                         inefficiencyLengthInMinutes,
! 			                         numberOfPreviousEfficientPeriods,
! 			                         minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 			                         minutesFromLastLossOrProfitToWaitBeforeClosing,
! 			                         maxOpeningLengthInMinutes,
! 			                         openingTimesForAvailableBars,
! 			                         stopLoss, takeProfit);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                           int minimumNumberOfEligiblesForValidOptimization,
! 		                           TestingPositions[] chosenPVOPositions,
! 		                           int inSampleDays,
! 		                           Benchmark benchmark,
! 		                           int numDaysBetweenEachOptimization,
! 		                           double oversoldThreshold,
! 		                           double overboughtThreshold,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                           double inefficiencyLengthInMinutes,
! 		                           int numberOfPreviousEfficientPeriods,
! 		                           double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                           double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                           double maxOpeningLengthInMinutes,
! 		                           List<Time> openingTimesForAvailableBars,
! 		                           double stopLoss, double takeProfit)
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                         inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                         oversoldThreshold, overboughtThreshold,
! 			                         double.MaxValue, double.MaxValue,
! 			                         historicalMarketValueProviderForInSample,
! 			                         historicalMarketValueProviderForOutOfSample,
! 			                         inefficiencyLengthInMinutes,
! 			                         numberOfPreviousEfficientPeriods,
! 			                         minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 			                         minutesFromLastLossOrProfitToWaitBeforeClosing,
! 			                         maxOpeningLengthInMinutes,
! 			                         openingTimesForAvailableBars,
! 			                         stopLoss, takeProfit);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		
  		private bool allTickersAreExchangedBeforeLastAvailableTime(DateTime fromDateTime,
! 		                                                           string[] tickers)
  		{
  			bool returnValue = true;
***************
*** 348,352 ****
  				for( int i = 0; i < tickers.Length; i++ )
  				{
! 					Bars currentTickerBars = 
  						new Bars(tickers[i], fromDateTime,
  						         Time.GetDateTimeFromMerge(fromDateTime,
--- 359,363 ----
  				for( int i = 0; i < tickers.Length; i++ )
  				{
! 					Bars currentTickerBars =
  						new Bars(tickers[i], fromDateTime,
  						         Time.GetDateTimeFromMerge(fromDateTime,
***************
*** 389,411 ****
  			return returnValue;
  		}
! 				
  		#region newDateTimeEventHandler_closePositions
! 				
  		private void newDateTimeEventHandler_closePositions(Time currentDailyTime)
  		{
  			bool positionsHaveBeenOpenedEnough =
! 					(this.account.Portfolio.Count > 0 &&
! 					 this.lastEntryTime.AddMinutes(maxOpeningLengthInMinutes) <= currentDailyTime);
! 			bool isTimeToProfitOrToStopALoss = 
! 				  this.account.Portfolio.Count > 0 &&
! 			   	(this.takeProfitConditionReached  || this.stopLossConditionReached) &&
! 			   	(this.lastProfitOrLossTime.AddMinutes(this.minutesFromLastLossOrProfitToWaitBeforeClosing) == currentDailyTime);
  			
  			if( (positionsHaveBeenOpenedEnough || isTimeToProfitOrToStopALoss ) &&
! 			     allTickersAreExchanged( this.now(), AccountManager.GetTickersInOpenedPositions(this.account) ) )
  			{
! 				  	AccountManager.ClosePositions( this.account );
! 				  	this.lastEntryTime = new Time("00:00:00");
! 				  	this.lastInefficiencyTime = new Time("00:00:00");
  			}
  		}
--- 400,425 ----
  			return returnValue;
  		}
! 		
  		#region newDateTimeEventHandler_closePositions
! 		
  		private void newDateTimeEventHandler_closePositions(Time currentDailyTime)
  		{
  			bool positionsHaveBeenOpenedEnough =
! 				(this.account.Portfolio.Count > 0 &&
! 				 this.lastEntryTime.AddMinutes(maxOpeningLengthInMinutes) <= currentDailyTime);
! 			bool isTimeToProfitOrToStopALoss =
! 				this.account.Portfolio.Count > 0 &&
! 				(this.takeProfitConditionReached  || this.stopLossConditionReached) &&
! 				(this.lastProfitOrLossTime.AddMinutes(this.minutesFromLastLossOrProfitToWaitBeforeClosing) == currentDailyTime);
  			
  			if( (positionsHaveBeenOpenedEnough || isTimeToProfitOrToStopALoss ) &&
! 			   allTickersAreExchanged( this.now(), AccountManager.GetTickersInOpenedPositions(this.account) ) )
  			{
! 				AccountManager.ClosePositions( this.account );
! 				this.lastEntryTime = new Time("00:00:00");
! 				this.lastInefficiencyTime = new Time("00:00:00");
! 				this.lastProfitOrLossTime = new Time("00:00:00");
! 				this.takeProfitConditionReached = false;
! 				this.stopLossConditionReached = false;
  			}
  		}
***************
*** 418,482 ****
  			DateTime dateTimeForClose = Time.GetDateTimeFromMerge( this.now(), timeForClose );
  			if(	this.account.Portfolio.Count == 0 &&
! 			   	this.positionsForOutOfSample != null &&
! 			   	timeForClose <= getLastEventTimeWithCachedBars() &&
! 			    this.allTickersAreExchanged( this.now(), this.positionsForOutOfSample.WeightedPositions.SignedTickers.Tickers ) &&
! 			    this.allTickersAreExchangedBeforeLastAvailableTime( dateTimeForClose, this.positionsForOutOfSample.WeightedPositions.SignedTickers.Tickers ) )
  			{
  				switch (this.positionsForOutOfSampleStatus)
  				{
  					case PVOPositionsStatus.Overbought:
- 					{
- 						#region manage Overbought case
- 						this.positionsForOutOfSample.WeightedPositions.Reverse();
- 						try
- 						{
- 							AccountManager.OpenPositions( this.positionsForOutOfSample.WeightedPositions,
- 							                             	this.account );
- 							this.lastEntryTime = currentDailyTime;
- 							this.previousAccountValue = this.account.GetMarketValue();
- 						}
- 						catch(Exception ex)
- 						{
- 							string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
- 						}
- 						finally
  						{
  							this.positionsForOutOfSample.WeightedPositions.Reverse();
  						}
- 						#endregion
- 						break;
- 					}
  					case PVOPositionsStatus.Oversold:
- 					{
- 						#region manage Oversold case
- 						try
  						{
! 							AccountManager.OpenPositions( this.positionsForOutOfSample.WeightedPositions,
! 							                             	this.account );
! 							this.lastEntryTime = currentDailyTime;
! 							this.previousAccountValue = this.account.GetMarketValue();
! 						}
! 						catch(Exception ex)
! 						{
! 							string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  						}
- 						#endregion oversold case
- 						break;
- 					}
  					case PVOPositionsStatus.InTheMiddle://that is
! 					{  //pvoPositionsForOutOfSample has not been set
! 						
! 						break;
! 					}
  					default:
! 					{
! 						//it should never been reached
! 						break;
! 					}
  				}
  			}
  		}
  		#endregion newDateTimeEventHandler_openPositions
  				
  		#region newDateTimeEventHandler_inefficiencyIsMovingBack
  		private bool newDateTimeEventHandler_inefficiencyIsMovingBack(Time currentDailyTime)
--- 432,538 ----
  			DateTime dateTimeForClose = Time.GetDateTimeFromMerge( this.now(), timeForClose );
  			if(	this.account.Portfolio.Count == 0 &&
! 			   this.positionsForOutOfSample != null &&
! 			   timeForClose <= getLastEventTimeWithCachedBars() &&
! 			   this.allTickersAreExchanged( this.now(), this.positionsForOutOfSample.WeightedPositions.SignedTickers.Tickers ) &&
! 			   this.allTickersAreExchangedBeforeLastAvailableTime( dateTimeForClose, this.positionsForOutOfSample.WeightedPositions.SignedTickers.Tickers ) )
  			{
  				switch (this.positionsForOutOfSampleStatus)
  				{
  					case PVOPositionsStatus.Overbought:
  						{
+ 							#region manage Overbought case
  							this.positionsForOutOfSample.WeightedPositions.Reverse();
+ 							try
+ 							{
+ 								AccountManager.OpenPositions( this.positionsForOutOfSample.WeightedPositions,
+ 								                             this.account );
+ 								this.lastEntryTime = currentDailyTime;
+ 								this.previousAccountValue = this.account.GetMarketValue();
+ 							}
+ 							catch(Exception ex)
+ 							{
+ 								string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
+ 							}
+ 							finally
+ 							{
+ 								this.positionsForOutOfSample.WeightedPositions.Reverse();
+ 							}
+ 							#endregion
+ 							break;
  						}
  					case PVOPositionsStatus.Oversold:
  						{
! 							#region manage Oversold case
! 							try
! 							{
! 								AccountManager.OpenPositions( this.positionsForOutOfSample.WeightedPositions,
! 								                             this.account );
! 								this.lastEntryTime = currentDailyTime;
! 								this.previousAccountValue = this.account.GetMarketValue();
! 							}
! 							catch(Exception ex)
! 							{
! 								string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 							}
! 							#endregion oversold case
! 							break;
  						}
  					case PVOPositionsStatus.InTheMiddle://that is
! 						{  //pvoPositionsForOutOfSample has not been set
! 							
! 							break;
! 						}
  					default:
! 						{
! 							//it should never been reached
! 							break;
! 						}
  				}
  			}
  		}
  		#endregion newDateTimeEventHandler_openPositions
+ 		
+ 		#region newDateTimeEventHandler_previousPeriodsWereEfficient
+ 		private PVOPositionsStatus newDateTimeEventHandler_previousPeriodsWereEfficient_getStatus( DateTime beginOfOscillatingPeriod,
+ 		                                                                                          DateTime endOfOscillatingPeriod )
+ 		{
+ 			PVOPositionsStatus returnValue = PVOPositionsStatus.NotComputable;
+ 			if(this.positionsForOutOfSample != null)
+ 				try{
+ 				returnValue =
+ 					this.positionsForOutOfSample.GetStatus( beginOfOscillatingPeriod, endOfOscillatingPeriod,
+ 					                                       this.benchmark.Ticker, this.historicalMarketValueProviderForOutOfSample,
+ 					                                       this.oversoldThreshold,
+ 					                                       this.oversoldThresholdMAX,
+ 					                                       this.overboughtThreshold,
+ 					                                       this.overboughtThresholdMAX );
  				
+ 			}catch{}
+ 			return returnValue;
+ 		}
+ 		
+ 		private bool newDateTimeEventHandler_previousPeriodsWereEfficient(Time currentDailyTime)
+ 		{
+ 			bool returnValue = true;
+ 			PVOPositionsStatus statusForCurrentPeriodBeforeInefficiencyTime;
+ 			for( int i = 1; i <= this.numberOfPreviousEfficientPeriods; i++ )
+ 			{
+ 				DateTime beginOfOscillatingPeriod =
+ 					Time.GetDateTimeFromMerge( this.now() , this.lastInefficiencyTime.AddMinutes( - (i+1)*this.inefficiencyLengthInMinutes ) );
+ 				DateTime endOfOscillatingPeriod =
+ 					Time.GetDateTimeFromMerge( this.now() , this.lastInefficiencyTime.AddMinutes( - i*this.inefficiencyLengthInMinutes ) );
+ 				statusForCurrentPeriodBeforeInefficiencyTime =
+ 					this.newDateTimeEventHandler_previousPeriodsWereEfficient_getStatus( beginOfOscillatingPeriod,
+ 					                                                                    endOfOscillatingPeriod );
+ 				if( statusForCurrentPeriodBeforeInefficiencyTime != PVOPositionsStatus.InTheMiddle )
+ 				{
+ 					returnValue = false;
+ 					i = this.numberOfPreviousEfficientPeriods;
+ 				}
+ 			}
+ 			return returnValue;
+ 		}
+ 		#endregion newDateTimeEventHandler_previousPeriodsWereEfficient
+ 		
  		#region newDateTimeEventHandler_inefficiencyIsMovingBack
  		private bool newDateTimeEventHandler_inefficiencyIsMovingBack(Time currentDailyTime)
***************
*** 485,530 ****
  			DateTime beginOfOscillatingPeriod =
  				Time.GetDateTimeFromMerge( this.now() , this.lastInefficiencyTime );
! 			DateTime endOfOscillatingPeriod = 
  				Time.GetDateTimeFromMerge( this.now() , currentDailyTime );
  			PVOPositionsStatus currentStatusForCurrentPositions =
  				PVOPositionsStatus.InTheMiddle;
! 			double coefficientForThresholdLevelComputationForMovingBackSignal = 
  				//(this.overboughtThreshold - this.takeProfit)/this.overboughtThreshold;
  				this.minutesFromLastInefficiencyTimeToWaitBeforeOpening/
  //				this.inefficiencyLengthInMinutes;
! 					100000;
  			if(this.positionsForOutOfSample != null)
  				try{
! 					currentStatusForCurrentPositions =
! 						this.positionsForOutOfSample.GetStatus( beginOfOscillatingPeriod, endOfOscillatingPeriod,
! 					                                          this.benchmark.Ticker, this.historicalMarketValueProviderForOutOfSample,
! 					                                          this.oversoldThreshold * coefficientForThresholdLevelComputationForMovingBackSignal,
! 					                                          this.oversoldThreshold,
! 					                                          this.overboughtThreshold * coefficientForThresholdLevelComputationForMovingBackSignal,
! 					                                          this.overboughtThreshold );
! 							
  			}catch{}
  			returnValue = ( (currentStatusForCurrentPositions == PVOPositionsStatus.Overbought &&
! 			          this.positionsForOutOfSampleStatus == PVOPositionsStatus.Oversold) || 
! 			          (currentStatusForCurrentPositions == PVOPositionsStatus.Oversold  &&
! 			           this.positionsForOutOfSampleStatus == PVOPositionsStatus.Overbought) );
! 			if( (returnValue == false && 
! 			     currentDailyTime >= this.lastInefficiencyTime.AddMinutes(this.inefficiencyLengthInMinutes) ) ||
! 			     returnValue == true )
! 			//positions are not moving back and the same n° of minutes as inefficiency length 
! 		  //has elapsed OR positions are moving back (the gap is closing)
! 				this.lastInefficiencyTime = new Time(0,0,0); //it forces a new research of an inefficiency
  			return returnValue;
  		}
- 		
- 		
  		#endregion newDateTimeEventHandler_inefficiencyIsMovingBack
! 				
  		#region newDateTimeEventHandler_updateStatus
  		private void newDateTimeEventHandler_setPositionsAndStatus(Time currentDailyTime)
  		{
! 			DateTime beginOfOscillatingPeriod = 
  				Time.GetDateTimeFromMerge(this.now() , currentDailyTime.AddMinutes(-inefficiencyLengthInMinutes) );
! 			DateTime endOfOscillatingPeriod = 
  				Time.GetDateTimeFromMerge(this.now() , currentDailyTime);
  //			this.positionsForOutOfSample = null;
--- 541,578 ----
  			DateTime beginOfOscillatingPeriod =
  				Time.GetDateTimeFromMerge( this.now() , this.lastInefficiencyTime );
! 			DateTime endOfOscillatingPeriod =
  				Time.GetDateTimeFromMerge( this.now() , currentDailyTime );
  			PVOPositionsStatus currentStatusForCurrentPositions =
  				PVOPositionsStatus.InTheMiddle;
! 			double coefficientForThresholdLevelComputationForMovingBackSignal =
  				//(this.overboughtThreshold - this.takeProfit)/this.overboughtThreshold;
  				this.minutesFromLastInefficiencyTimeToWaitBeforeOpening/
  //				this.inefficiencyLengthInMinutes;
! 				100000;
  			if(this.positionsForOutOfSample != null)
  				try{
! 				currentStatusForCurrentPositions =
! 					this.positionsForOutOfSample.GetStatus( beginOfOscillatingPeriod, endOfOscillatingPeriod,
! 					                                       this.benchmark.Ticker, this.historicalMarketValueProviderForOutOfSample,
! 					                                       this.oversoldThreshold * coefficientForThresholdLevelComputationForMovingBackSignal,
! 					                                       this.oversoldThreshold,
! 					                                       this.overboughtThreshold * coefficientForThresholdLevelComputationForMovingBackSignal,
! 					                                       this.overboughtThreshold );
! 				
  			}catch{}
  			returnValue = ( (currentStatusForCurrentPositions == PVOPositionsStatus.Overbought &&
! 			                 this.positionsForOutOfSampleStatus == PVOPositionsStatus.Oversold) ||
! 			               (currentStatusForCurrentPositions == PVOPositionsStatus.Oversold  &&
! 			                this.positionsForOutOfSampleStatus == PVOPositionsStatus.Overbought) );
  			return returnValue;
  		}
  		#endregion newDateTimeEventHandler_inefficiencyIsMovingBack
! 		
  		#region newDateTimeEventHandler_updateStatus
  		private void newDateTimeEventHandler_setPositionsAndStatus(Time currentDailyTime)
  		{
! 			DateTime beginOfOscillatingPeriod =
  				Time.GetDateTimeFromMerge(this.now() , currentDailyTime.AddMinutes(-inefficiencyLengthInMinutes) );
! 			DateTime endOfOscillatingPeriod =
  				Time.GetDateTimeFromMerge(this.now() , currentDailyTime);
  //			this.positionsForOutOfSample = null;
***************
*** 536,546 ****
  				if(this.chosenPVOPositions[i] != null)
  					try{
! 						this.positionsForOutOfSampleStatus =
! 							((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, endOfOscillatingPeriod,
  						                                                     this.benchmark.Ticker, this.historicalMarketValueProviderForOutOfSample,
  						                                                     this.oversoldThresholdMAX, this.overboughtThresholdMAX);
- 								
- 				}catch(Exception ex){string str = ex.ToString();}
  					
  				if(this.positionsForOutOfSampleStatus == PVOPositionsStatus.Oversold ||
  				   this.positionsForOutOfSampleStatus == PVOPositionsStatus.Overbought )
--- 584,594 ----
  				if(this.chosenPVOPositions[i] != null)
  					try{
! 					this.positionsForOutOfSampleStatus =
! 						((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, endOfOscillatingPeriod,
  						                                                     this.benchmark.Ticker, this.historicalMarketValueProviderForOutOfSample,
  						                                                     this.oversoldThresholdMAX, this.overboughtThresholdMAX);
  					
+ 				}catch(Exception ex){string str = ex.ToString();}
+ 				
  				if(this.positionsForOutOfSampleStatus == PVOPositionsStatus.Oversold ||
  				   this.positionsForOutOfSampleStatus == PVOPositionsStatus.Overbought )
***************
*** 558,565 ****
  		{
  			//this.previousAccountValue has been set at opening positions
! 			this.stopLossConditionReached = false;
! 			this.takeProfitConditionReached = false;
! 			this.lastProfitOrLossTime = new Time("00:00:00");
! 			if(this.account.Portfolio.Count > 0)
  			{
  				try{
--- 606,613 ----
  		{
  			//this.previousAccountValue has been set at opening positions
! 			if( this.account.Portfolio.Count > 0 &&
! 			   this.takeProfitConditionReached == false &&
! 			   this.stopLossConditionReached == false &&
! 			   this.lastProfitOrLossTime == new Time("00:00:00") )
  			{
  				try{
***************
*** 583,587 ****
  				}
  				catch(Exception ex)
! 					{string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";}
  			}
  		}
--- 631,635 ----
  				}
  				catch(Exception ex)
! 				{string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";}
  			}
  		}
***************
*** 589,592 ****
--- 637,650 ----
  		#endregion newDateTimeEventHandler_updateStopLossAndTakeProfitConditions
  		
+ 		private void newDateTimeEventHandler_resetForNewResearch(bool inefficiencyIsMovingBack,
+ 		                                                         bool previousPeriodsWereEfficient,
+ 		                                                         Time currentTime)
+ 		{
+ 			if( currentTime > this.lastInefficiencyTime.AddMinutes(this.minutesFromLastInefficiencyTimeToWaitBeforeOpening) ||
+ 			   (inefficiencyIsMovingBack == true && previousPeriodsWereEfficient == true) )
+ 				
+ 			   this.lastInefficiencyTime = new Time(0,0,0); //it forces a new research of an inefficiency
+ 		}
+ 		
  		public virtual void NewDateTimeEventHandler(
  			Object sender , DateTime dateTime )
***************
*** 596,618 ****
  			this.newDateTimeEventHandler_closePositions(currentTime);
  			if( this.account.Portfolio.Count == 0 &&
! 			   	this.chosenPVOPositions != null &&
! 			   	this.lastInefficiencyTime == new Time(0,0,0) &&
! 			   	currentTime < getLastEventTimeWithCachedBars() &&
! 			   	currentTime >=
! 			    getFirstEventTimeWithCachedBars().AddMinutes(inefficiencyLengthInMinutes) )
! 			//portfolio empty, optimization done, no inefficiency found, time OK	
  				this.newDateTimeEventHandler_setPositionsAndStatus(currentTime);
  			
  			if( this.account.Portfolio.Count == 0 &&
! 			   	currentTime >=
! 			    this.lastInefficiencyTime.AddMinutes(this.minutesFromLastInefficiencyTimeToWaitBeforeOpening)
! 			    &&
! 			    this.newDateTimeEventHandler_inefficiencyIsMovingBack(currentTime) 
! 			   )
! 			//it's time for starting checking if the last inefficiency found is moving back
  				this.newDateTimeEventHandler_openPositions(currentTime);
! 			
  			if( currentTime == getLastEventTimeWithCachedBars() )
! 			//it's time for new optimization, if the case
  			{
  				this.newDateTimeEventHandler_updateTestingPositions( dateTime );
--- 654,682 ----
  			this.newDateTimeEventHandler_closePositions(currentTime);
  			if( this.account.Portfolio.Count == 0 &&
! 			   this.chosenPVOPositions != null &&
! 			   this.lastInefficiencyTime == new Time(0,0,0) &&
! 			   currentTime < getLastEventTimeWithCachedBars() &&
! 			   currentTime >=
! 			   getFirstEventTimeWithCachedBars().AddMinutes( inefficiencyLengthInMinutes +
! 			                                                inefficiencyLengthInMinutes * this.numberOfPreviousEfficientPeriods ) )
! 				//portfolio empty, optimization done, no inefficiency found (or found but not deployed), time OK
  				this.newDateTimeEventHandler_setPositionsAndStatus(currentTime);
  			
+ 			bool inefficiencyIsMovingBack =
+ 				this.newDateTimeEventHandler_inefficiencyIsMovingBack(currentTime);
+ 			bool previousPeriodsWereEfficient = 
+ 				this.newDateTimeEventHandler_previousPeriodsWereEfficient(currentTime);
  			if( this.account.Portfolio.Count == 0 &&
! 				   this.lastInefficiencyTime != new Time(0, 0, 0) &&
! 				   currentTime >=
! 				   this.lastInefficiencyTime.AddMinutes(this.minutesFromLastInefficiencyTimeToWaitBeforeOpening)
! 				   && inefficiencyIsMovingBack && previousPeriodsWereEfficient 
! 				  )
  				this.newDateTimeEventHandler_openPositions(currentTime);
! 			this.newDateTimeEventHandler_resetForNewResearch(inefficiencyIsMovingBack,
! 			                                                 previousPeriodsWereEfficient,
! 			                                                 currentTime);
  			if( currentTime == getLastEventTimeWithCachedBars() )
! 				//it's time for new optimization, if the case
  			{
  				this.newDateTimeEventHandler_updateTestingPositions( dateTime );
***************
*** 621,625 ****
  				this.lastInefficiencyTime = new Time(0,0,0);
  			}
- 				
  		}
  		
--- 685,688 ----
***************
*** 688,695 ****
  				                              this.benchmark.Ticker );
  			if(this.inSampleChooser is PVOIntradayCorrelationChooser)
! 					returnIntervals = 
! 						new IntradayIntervals(firstDateTime, lastDateTime,
! 						    ((PVOIntradayCorrelationChooser)this.inSampleChooser).ReturnIntervalLengthInMinutes,
! 			          this.benchmark.Ticker);
  			
  			if( this.inSampleChooser is PVOCorrelationChooser )
--- 751,758 ----
  				                              this.benchmark.Ticker );
  			if(this.inSampleChooser is PVOIntradayCorrelationChooser)
! 				returnIntervals =
! 					new IntradayIntervals(firstDateTime, lastDateTime,
! 					                      ((PVOIntradayCorrelationChooser)this.inSampleChooser).ReturnIntervalLengthInMinutes,
! 					                      this.benchmark.Ticker);
  			
  			if( this.inSampleChooser is PVOCorrelationChooser )

Index: PVOStrategyIntradayMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOStrategyIntradayMain.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PVOStrategyIntradayMain.cs	29 Mar 2009 18:04:32 -0000	1.5
--- PVOStrategyIntradayMain.cs	29 Mar 2009 18:31:00 -0000	1.6
***************
*** 66,69 ****
--- 66,70 ----
  		private HistoricalMarketValueProvider historicalMarketValueProviderForTheBackTester;
  		private double inefficiencyLengthInMinutes;
+ 		private int numberOfPreviousEfficientPeriods;
  		private double maxOpeningLengthInMinutes;
  		private double minutesFromLastInefficiencyToWaitBeforeOpening;
***************
*** 78,82 ****
  		{
  			this.inefficiencyLengthInMinutes = 30;
! 			this.maxOpeningLengthInMinutes = 240;
  			this.minutesFromLastInefficiencyToWaitBeforeOpening = 1;
  			this.minutesFromLastLossOrProfitToWaitBeforeClosing = 0;
--- 79,84 ----
  		{
  			this.inefficiencyLengthInMinutes = 30;
! 			this.numberOfPreviousEfficientPeriods = 1;
! 			this.maxOpeningLengthInMinutes = 180;
  			this.minutesFromLastInefficiencyToWaitBeforeOpening = 1;
  			this.minutesFromLastLossOrProfitToWaitBeforeClosing = 0;
***************
*** 84,88 ****
  			this.intervalFrameInSeconds = 60;
  			
! 			this.firstDateTime = new DateTime( 2006 , 2 , 1 );
  			this.lastDateTime = new DateTime( 2006 , 12, 31 );
  			
--- 86,90 ----
  			this.intervalFrameInSeconds = 60;
  			
! 			this.firstDateTime = new DateTime( 2006 , 1, 1 );
  			this.lastDateTime = new DateTime( 2006 , 12, 31 );
  			
***************
*** 93,98 ****
  			
  			this.historicalMarketValueProviderForInSample =
! //				new HistoricalAdjustedQuoteProvider();
! 				new HistoricalBarInterpolatingProvider( this.getBarCache() );
  			
  			this.historicalMarketValueProviderForTheBackTester =
--- 95,100 ----
  			
  			this.historicalMarketValueProviderForInSample =
! 				new HistoricalAdjustedQuoteProvider();
! //				new HistoricalBarInterpolatingProvider( this.getBarCache() );
  			
  			this.historicalMarketValueProviderForTheBackTester =
***************
*** 117,131 ****
  			
  			int maxNumberOfEligiblesToBeChosen = 100;
! 						
  			string tickersGroupId = "SP500";
  			
  			bool temporizedGroup = true;
  			int numDaysForAverageRawOpenPriceComputation = 10;
! 			double minPrice = 30;
  			double maxPrice = 300;
  			
! //			int maxNumberOfMostLiquidTickersToBeChosen = 150;
! //			int numDaysForVolatility = 10;
! 			int minimumNumberOfMinutelyBarsForEachDayForInSample = 20;
  						
  //			IEligiblesSelector eligiblesSelector =
--- 119,134 ----
  			
  			int maxNumberOfEligiblesToBeChosen = 100;
! 			//int numOfTopRowsToDeleteFromSelectorByLiquidity = 0;
! 			
  			string tickersGroupId = "SP500";
  			
  			bool temporizedGroup = true;
  			int numDaysForAverageRawOpenPriceComputation = 10;
! 			double minPrice = 25;
  			double maxPrice = 300;
  			
! 			int maxNumberOfMostLiquidTickersToBeChosen = 150;
! 			int numDaysForVolatility = 10;
! //			int minimumNumberOfMinutelyBarsForEachDayForInSample = 20;
  						
  //			IEligiblesSelector eligiblesSelector =
***************
*** 137,156 ****
  //			 	this.benchmark.Ticker );
  //		LAST	GOOD
- //			IEligiblesSelector eligiblesSelector =
- //				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
- //				tickersGroupId , temporizedGroup ,
- //				maxNumberOfEligiblesToBeChosen ,
- //				maxNumberOfMostLiquidTickersToBeChosen ,
- //			  numDaysForAverageRawOpenPriceComputation ,
- //				numDaysForVolatility ,
- //			 	minPrice , maxPrice );
- 			
  			IEligiblesSelector eligiblesSelector =
! 				new ByPriceMostLiquidAlwaysIntradayQuoted(
! 				tickersGroupId , this.benchmark, temporizedGroup ,
  				maxNumberOfEligiblesToBeChosen ,
! 				numDaysForAverageRawOpenPriceComputation ,
! 				minPrice , maxPrice,
! 				minimumNumberOfMinutelyBarsForEachDayForInSample  );
  			
  //			IEligiblesSelector eligiblesSelector =
--- 140,160 ----
  //			 	this.benchmark.Ticker );
  //		LAST	GOOD
  			IEligiblesSelector eligiblesSelector =
! 				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 				tickersGroupId , temporizedGroup ,
  				maxNumberOfEligiblesToBeChosen ,
! 				maxNumberOfMostLiquidTickersToBeChosen ,
! 			  numDaysForAverageRawOpenPriceComputation ,
! 				numDaysForVolatility ,
! 			 	minPrice , maxPrice );
! 			
! //			IEligiblesSelector eligiblesSelector =
! //				new ByPriceMostLiquidAlwaysIntradayQuoted(
! //				tickersGroupId , this.benchmark, temporizedGroup ,
! //				maxNumberOfEligiblesToBeChosen ,
! //				numOfTopRowsToDeleteFromSelectorByLiquidity,
! //				numDaysForAverageRawOpenPriceComputation ,
! //				minPrice , maxPrice,
! //				minimumNumberOfMinutelyBarsForEachDayForInSample  );
  			
  //			IEligiblesSelector eligiblesSelector =
***************
*** 187,196 ****
  
  			double maxCorrelationAllowed = 0.96;
! 			int numberOfBestTestingPositionsToBeReturned = 50;
! 			numberOfBestTestingPositionsToBeReturned = 50;
  			bool balancedWeightsOnVolatilityBase = true;
  			float minimumAbsoluteReturnValue = 0.00005f;
  			float maximumAbsoluteReturnValue = 100000f;
! 			int returnIntervalLengthInMinutesForCorrelationProvider = 120;
  			//correlation is computed only for returns
  			//between minimum and maximum
--- 191,199 ----
  
  			double maxCorrelationAllowed = 0.96;
! 			int numberOfBestTestingPositionsToBeReturned = 40;
  			bool balancedWeightsOnVolatilityBase = true;
  			float minimumAbsoluteReturnValue = 0.00005f;
  			float maximumAbsoluteReturnValue = 100000f;
! 			//int returnIntervalLengthInMinutesForCorrelationProvider = 120;
  			//correlation is computed only for returns
  			//between minimum and maximum
***************
*** 204,214 ****
  //					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
  			IInSampleChooser inSampleChooser = 
! //				new PVO_CTCCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
! //						1 , maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
! //						minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
! 					new PVOIntradayCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
! 						returnIntervalLengthInMinutesForCorrelationProvider ,
! 						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  						minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
  
  //			//office
--- 207,217 ----
  //					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
  			IInSampleChooser inSampleChooser = 
! 				new PVO_CTCCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
! 						1 , maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  						minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
+ //					new PVOIntradayCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
+ //						returnIntervalLengthInMinutesForCorrelationProvider ,
+ //						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
+ //						minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
  
  //			//office
***************
*** 220,224 ****
  //			inSampleChooser =
  //				new PVOChooserFromSavedBackTestLog(
! //				@"C:\Utente\MarcoVarie\Vari\qP\LogArchive\2009_02_17_23_17_03_PVOIntraday_from_2006_01_01_to_2007_12_31_annlRtrn_24.44_maxDD_3.05\2009_02_17_23_17_03_PVOIntraday_from_2006_01_01_to_2007_12_31_annlRtrn_24.44_maxDD_3.05.qpL",
  //				numberOfBestTestingPositionsToBeReturned);
  			return inSampleChooser;
--- 223,227 ----
  //			inSampleChooser =
  //				new PVOChooserFromSavedBackTestLog(
! //				@"C:\Utente\MarcoVarie\Vari\qP\LogArchive\2009_03_22_10_29_04_PVOIntraday_from_2006_02_01_to_2006_12_29_annlRtrn_.17_maxDD_5.03\2009_03_22_10_29_04_PVOIntraday_from_2006_02_01_to_2006_12_29_annlRtrn_.17_maxDD_5.03.qpL",
  //				numberOfBestTestingPositionsToBeReturned);
  			return inSampleChooser;
***************
*** 228,240 ****
  		{
  			//int inSampleDays = 90;
! 			int inSampleDays = 30;
! 			int numDaysBetweenEachOptimization = 4;
  			int minNumOfEligiblesForValidOptimization = 20;
! 			double oversoldThreshold = 0.005;//0.006
! 			double overboughtThreshold = 0.005;//0.006
! 			double oversoldThresholdMAX = 0.025;
! 			double overboughtThresholdMAX = 0.025;
  			double stopLoss = 0.02;
! 			double takeProfit = 0.0025;//0.0045
  			
  			IStrategyForBacktester strategyForBacktester
--- 231,243 ----
  		{
  			//int inSampleDays = 90;
! 			int inSampleDays = 90;
! 			int numDaysBetweenEachOptimization = 5;
  			int minNumOfEligiblesForValidOptimization = 20;
! 			double oversoldThreshold = 0.006;//0.006
! 			double overboughtThreshold = 0.006;//0.006
! 			double oversoldThresholdMAX = 0.02;
! 			double overboughtThresholdMAX = 0.02;
  			double stopLoss = 0.02;
! 			double takeProfit = 0.003;//0.0045
  			
  			IStrategyForBacktester strategyForBacktester
***************
*** 250,255 ****
  				historicalMarketValueProviderForInSample,
  			  historicalMarketValueProviderForOutOfSample,
! 			  inefficiencyLengthInMinutes , minutesFromLastInefficiencyToWaitBeforeOpening,
! 			  this.minutesFromLastLossOrProfitToWaitBeforeClosing,
  			  maxOpeningLengthInMinutes, this.getDailyTimes(),
  			  stopLoss , takeProfit );
--- 253,260 ----
  				historicalMarketValueProviderForInSample,
  			  historicalMarketValueProviderForOutOfSample,
! 			  inefficiencyLengthInMinutes ,
! 			  numberOfPreviousEfficientPeriods,
! 			  minutesFromLastInefficiencyToWaitBeforeOpening,
! 			  minutesFromLastLossOrProfitToWaitBeforeClosing,
  			  maxOpeningLengthInMinutes, this.getDailyTimes(),
  			  stopLoss , takeProfit );
***************
*** 291,295 ****
  //				new InteractiveBrokerAccountProvider(fixedPercentageSlippage);
  			double cashToStart = 25000;
! 			double maxRunningHours = 15;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
--- 296,300 ----
  //				new InteractiveBrokerAccountProvider(fixedPercentageSlippage);
  			double cashToStart = 25000;
! 			double maxRunningHours = 240;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(

Index: PVOPositionsStatus.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOPositionsStatus.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PVOPositionsStatus.cs	14 Aug 2008 23:28:06 -0000	1.2
--- PVOPositionsStatus.cs	29 Mar 2009 18:31:00 -0000	1.3
***************
*** 35,39 ****
      InTheMiddle,
      Overbought,
!     OverMaximumThresholds
    }
  }
--- 35,40 ----
      InTheMiddle,
      Overbought,
!     OverMaximumThresholds,
!     NotComputable
    }
  }