[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EntryConditions AlwaysTrueEntryCondition.cs, NONE, 1.1 IEntryCondition.cs, NONE, 1.1 InefficiencyMovingBackEntryCondition.cs, NONE, 1.1 PreviousPeriodsWereEfficientEntryCondition.cs, NONE, 1.1 PriceRatioEntryCondition.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EntryConditions
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv22818

Added Files:
	AlwaysTrueEntryCondition.cs IEntryCondition.cs 
	InefficiencyMovingBackEntryCondition.cs 
	PreviousPeriodsWereEfficientEntryCondition.cs 
	PriceRatioEntryCondition.cs 
Log Message:
Added IEntryCondition interface and some classes implementing it, for the PVO strategy

--- NEW FILE: IEntryCondition.cs ---
/*
QuantProject - Quantitative Finance Library

IEntryCondition.cs
Copyright (C) 2009
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.Strategies.OutOfSample;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.EntryConditions
{
	/// <summary>
	/// decides if current positions satisfy the given condition
	/// </summary>
	public interface IEntryCondition
	{
		bool IsConditionSatisfiedByGivenPVOPositions(
			DateTime dateTime ,
			PVOPositions pvoPositions );
	}
}

--- NEW FILE: InefficiencyMovingBackEntryCondition.cs ---
/*
QuantProject - Quantitative Finance Library

InefficiencyMovingBackEntryCondition.cs
Copyright (C) 2009
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.EntryConditions
{
	/// <summary>
	/// Description of InefficiencyMovingBackEntryCondition.
	/// </summary>
	[Serializable]
	public class InefficiencyMovingBackEntryCondition : IEntryCondition
	{
		private double coefficientForThresholdLevelComputationForMovingBackSignal;
		private HistoricalMarketValueProvider marketValueProvider;
		private Benchmark benchmark;
		
		public InefficiencyMovingBackEntryCondition(double coefficientForThresholdLevelComputationForMovingBackSignal,
																		HistoricalMarketValueProvider marketValueProvider,
																		Benchmark benchmark)
		{
			this.coefficientForThresholdLevelComputationForMovingBackSignal =
				coefficientForThresholdLevelComputationForMovingBackSignal;
			this.marketValueProvider = marketValueProvider;
			this.benchmark = benchmark;
		}
				
		public bool IsConditionSatisfiedByGivenPVOPositions(DateTime dateTime ,
																										 		PVOPositions pvoPositionsForOutOfSample )
		{
			bool returnValue = false;
			DateTime beginOfOscillatingPeriod = pvoPositionsForOutOfSample.LastInefficiencyDateTime;
			DateTime endOfOscillatingPeriod = dateTime;
			PVOPositionsStatus currentStatusForCurrentPositions =
				PVOPositionsStatus.InTheMiddle;
			if( pvoPositionsForOutOfSample != null )
				try{
				currentStatusForCurrentPositions =
					pvoPositionsForOutOfSample.GetStatus( beginOfOscillatingPeriod, endOfOscillatingPeriod,
					                                       this.benchmark.Ticker, this.marketValueProvider,
					                                       pvoPositionsForOutOfSample.OversoldThreshold * coefficientForThresholdLevelComputationForMovingBackSignal,
					                                       pvoPositionsForOutOfSample.OversoldThreshold,
					                                       pvoPositionsForOutOfSample.OverboughtThreshold * coefficientForThresholdLevelComputationForMovingBackSignal,
					                                       pvoPositionsForOutOfSample.OverboughtThreshold );
				
			}catch{}
			returnValue = ( (currentStatusForCurrentPositions == PVOPositionsStatus.Overbought &&
			                 pvoPositionsForOutOfSample.StatusAtLastInefficiencyTime == PVOPositionsStatus.Oversold) ||
			               (currentStatusForCurrentPositions == PVOPositionsStatus.Oversold  &&
			                pvoPositionsForOutOfSample.StatusAtLastInefficiencyTime == PVOPositionsStatus.Overbought) );
			return returnValue;
		}
	}
}

--- NEW FILE: PreviousPeriodsWereEfficientEntryCondition.cs ---
/*
QuantProject - Quantitative Finance Library

PreviousPeriodsWereEfficientEntryCondition.cs
Copyright (C) 2009
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies;
//using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Business.Timing;
using QuantProject.Business.Timing.TimingManagement;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.EntryConditions
{
	/// <summary>
	/// Description of PreviousPeriodsWereEfficientEntryCondition.
	/// </summary>
	[Serializable]
	public class PreviousPeriodsWereEfficientEntryCondition : IEntryCondition
	{
		private int numberOfPreviousPeriods;
		private HistoricalMarketValueProvider marketValueProvider;
		private double numberOfIntervalsForEachPeriod;
		private MarketIntervalsManager marketIntervalsManager;
		private string tickerForBenchmark;
		
		public PreviousPeriodsWereEfficientEntryCondition(int numberOfPreviousPeriods,
																		HistoricalMarketValueProvider marketValueProvider,
																		double numberOfIntervalsForEachPeriod,
																		MarketIntervalsManager marketIntervalsManager)
		{
			this.numberOfPreviousPeriods = numberOfPreviousPeriods;
			this.marketValueProvider = marketValueProvider;
			this.numberOfIntervalsForEachPeriod = numberOfIntervalsForEachPeriod;
			this.marketIntervalsManager = marketIntervalsManager;
			this.tickerForBenchmark = marketIntervalsManager.Benchmark.Ticker;
		}
//		public PreviousPeriodsWereEfficientEntryCondition(int numberOfPreviousPeriods,
//																		HistoricalMarketValueProvider marketValueProvider,
//																		double numberOfIntervalsForEachPeriod,
//																	  Benchmark benchmark)
//		{
//			this.numberOfPreviousPeriods = numberOfPreviousPeriods;
//			this.marketValueProvider = marketValueProvider;
//			this.numberOfIntervalsForEachPeriod = numberOfIntervalsForEachPeriod;
//			this.tickerForBenchmark = benchmark.Ticker;
//			this.marketIntervalsManager = new MarketDaysManager(benchmark,
//		}
		private PVOPositionsStatus isConditionSatisfiedByGivenPVOPositions_getStatus( DateTime beginOfOscillatingPeriod,
		                                                                              DateTime endOfOscillatingPeriod,
		                                                                             	PVOPositions pvoPositionsForOutOfSample)
		{
			PVOPositionsStatus returnValue = PVOPositionsStatus.NotComputable;
			if(pvoPositionsForOutOfSample != null)
				try{
				returnValue =
					pvoPositionsForOutOfSample.GetStatus(beginOfOscillatingPeriod, endOfOscillatingPeriod,
					                                     this.tickerForBenchmark, this.marketValueProvider);
			}catch{}
			return returnValue;
		}
		public bool IsConditionSatisfiedByGivenPVOPositions(DateTime dateTime ,
																										 		PVOPositions pvoPositionsForOutOfSample )
		{
			bool returnValue = true;
			PVOPositionsStatus statusForCurrentPreviousPeriod;
			for( int i = 1; i <= this.numberOfPreviousPeriods; i++ )
			{
				DateTime beginOfOscillatingPeriod =
					this.marketIntervalsManager.AddMarketIntervals(dateTime, 
					                                       -(i+1)*(int)this.numberOfIntervalsForEachPeriod);
				DateTime endOfOscillatingPeriod =
					this.marketIntervalsManager.AddMarketIntervals (dateTime, 
					                                       -i*(int)this.numberOfIntervalsForEachPeriod);
				statusForCurrentPreviousPeriod =
					this.isConditionSatisfiedByGivenPVOPositions_getStatus( beginOfOscillatingPeriod,
					                                                        endOfOscillatingPeriod,
					                                                        pvoPositionsForOutOfSample );
				if( statusForCurrentPreviousPeriod != PVOPositionsStatus.InTheMiddle )
				{
					returnValue = false;
					i = this.numberOfPreviousPeriods;
				}
			}
			return returnValue;
		}
	}
}

--- NEW FILE: PriceRatioEntryCondition.cs ---
/*
QuantProject - Quantitative Finance Library

PriceRatioEntryCondition.cs
Copyright (C) 2009
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.EntryConditions
{
	/// <summary>
	/// Description of PriceRatioEntryCondition.
	/// </summary>
	[Serializable]
	public class PriceRatioEntryCondition : IEntryCondition
	{
		private int lengthInDaysForAveragePriceRatioCalculation;
		private HistoricalMarketValueProvider marketValueProvider;
		private double numOfStdDevForSignificantPriceMovements;
		
		public PriceRatioEntryCondition(int lengthInDaysForAveragePriceRatioCalculation,
																		HistoricalMarketValueProvider marketValueProvider,
																		double numOfStdDevForSignificantPriceMovements)
		{
			this.lengthInDaysForAveragePriceRatioCalculation = 
				lengthInDaysForAveragePriceRatioCalculation;
			this.marketValueProvider = marketValueProvider;
			this.numOfStdDevForSignificantPriceMovements = 
				numOfStdDevForSignificantPriceMovements;
		}
		//da rifare usando marketIntervalsManager
		public bool IsConditionSatisfiedByGivenPVOPositions(DateTime dateTime ,
																										 PVOPositions pvoPositionsForOutOfSample )
		{
			bool returnValue = false;
			try{
				if( pvoPositionsForOutOfSample.WeightedPositions.Count != 2 )
					throw new Exception("Price ratio condition can be verified only by pairs");
				SignedTickers signedTickers =
					pvoPositionsForOutOfSample.WeightedPositions.SignedTickers;
				double priceRatioAverage =
					PriceRatioProvider.GetPriceRatioAverage(signedTickers[0].Ticker, signedTickers[1].Ticker,
			                                            dateTime.AddDays(-this.lengthInDaysForAveragePriceRatioCalculation),
			                                            dateTime.AddDays(-1) );
				double priceRatioStdDev = 
					PriceRatioProvider.GetPriceRatioStandardDeviation(signedTickers[0].Ticker, signedTickers[1].Ticker,
			                                            dateTime.AddDays(-this.lengthInDaysForAveragePriceRatioCalculation),
			                                            dateTime.AddDays(-1) );
				double currentPriceRatio =
					this.marketValueProvider.GetMarketValue(signedTickers[0].Ticker, dateTime ) /
					this.marketValueProvider.GetMarketValue(signedTickers[1].Ticker, dateTime );
				if(currentPriceRatio > priceRatioAverage + this.numOfStdDevForSignificantPriceMovements * priceRatioStdDev ||
			   	currentPriceRatio < priceRatioAverage - this.numOfStdDevForSignificantPriceMovements * priceRatioStdDev )
						returnValue = true;
			}
			catch(Exception ex){
				string s = ex.ToString();
			}
			return returnValue;
		}
	}
}

--- NEW FILE: AlwaysTrueEntryCondition.cs ---
/*
QuantProject - Quantitative Finance Library

AlwaysTrueEntryCondition.cs
Copyright (C) 2009
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.EntryConditions
{
	/// <summary>
	/// Description of AlwaysTrueEntryCondition.
	/// </summary>
	[Serializable]
	public class AlwaysTrueEntryCondition : IEntryCondition
	{
	
		public AlwaysTrueEntryCondition()
		{
		}
		
		public bool IsConditionSatisfiedByGivenPVOPositions(DateTime dateTime ,
																										    PVOPositions pvoPositionsForOutOfSample )
		{
			return true;
		}
	}
}