[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByMostDiscountedPrices.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv7575/a2_Strategies/Eligibles

Modified Files:
	ByMostDiscountedPrices.cs 
Log Message:
Updated ByMostDiscountedPrices IEligiblesSelectors

Index: ByMostDiscountedPrices.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByMostDiscountedPrices.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ByMostDiscountedPrices.cs	20 Nov 2010 18:55:41 -0000	1.1
--- ByMostDiscountedPrices.cs	16 Jan 2011 18:34:18 -0000	1.2
***************
*** 29,33 ****
  using QuantProject.Data.DataTables;
  using QuantProject.Data.Selectors;
! using QuantProject.Business.Financial.Fundamentals;
  
  namespace QuantProject.Business.Strategies.Eligibles
--- 29,33 ----
  using QuantProject.Data.DataTables;
  using QuantProject.Data.Selectors;
! using QuantProject.Business.Financial.Fundamentals.FairValueProviders;
  
  namespace QuantProject.Business.Strategies.Eligibles
***************
*** 40,50 ****
  	/// are returned depending on the time the selection is requested:
  	/// the group SP 500 should be like that);
! 	/// -step 2: from tickers selected by step 1, the ones
  	/// (not more than a given max number) that have
! 	/// the greatest (negative) relative difference between the current price
! 	/// and the fair price;
  	/// </summary>
  	[Serializable]
! 	public class ByMostDiscountedPrices : IEligiblesSelector
  	{
  		public event NewMessageEventHandler NewMessage;
--- 40,54 ----
  	/// are returned depending on the time the selection is requested:
  	/// the group SP 500 should be like that);
! 	/// -step 2: from tickers selected by step 1, only the ones
! 	/// that have incomes greater than a given minimum in the 
! 	/// last given times, in a row
! 	/// -step 3: from tickers selected by step 2, the ones
  	/// (not more than a given max number) that have
! 	/// the greatest relative difference between the fair price 
! 	/// (provided by a IFairValueProvider) and the average price
! 	/// computed for a given number of days
  	/// </summary>
  	[Serializable]
! 	public class ByMostDiscountedPrices :  IEligiblesSelector
  	{
  		public event NewMessageEventHandler NewMessage;
***************
*** 55,58 ****
--- 59,67 ----
  		private int numOfDaysForFundamentalAnalysis;
  		private IFairValueProvider fairValueProvider;
+ 		private int numDaysForFundamentalDataAvailability;
+ 		private double minimumIncome;
+ 		private int numberOfMinGrowingIncomesInARowForTickers;
+ 		private double minimumRelativeDifferenceBetweenFairAndAverageMarketPrice;
+ 		private	int numOfDaysForAverageMarketPriceComputation;
  		
  		public string Description
***************
*** 68,72 ****
  		public ByMostDiscountedPrices(IFairValueProvider fairValueProvider,
  			string tickersGroupID , bool temporizedGroup, 
! 			int maxNumberOfEligibleTickersToBeChosen, int numOfDaysForFundamentalAnalysis)
  		{
  			this.fairValueProvider = fairValueProvider;
--- 77,85 ----
  		public ByMostDiscountedPrices(IFairValueProvider fairValueProvider,
  			string tickersGroupID , bool temporizedGroup, 
! 			int maxNumberOfEligibleTickersToBeChosen, int numOfDaysForFundamentalAnalysis,
! 			int numDaysForFundamentalDataAvailability, double minimumIncome,
! 			int numberOfMinGrowingIncomesInARowForTickers,
! 			double minimumRelativeDifferenceBetweenFairAndAverageMarketPrice,
! 			int numOfDaysForAverageMarketPriceComputation)
  		{
  			this.fairValueProvider = fairValueProvider;
***************
*** 76,79 ****
--- 89,101 ----
  			this.tickersGroupID = tickersGroupID;
  			this.numOfDaysForFundamentalAnalysis = numOfDaysForFundamentalAnalysis;
+ 			this.numDaysForFundamentalDataAvailability = 
+ 				numDaysForFundamentalDataAvailability;
+ 			this.minimumIncome = minimumIncome;
+ 			this.numberOfMinGrowingIncomesInARowForTickers = 
+ 				numberOfMinGrowingIncomesInARowForTickers;
+ 			this.minimumRelativeDifferenceBetweenFairAndAverageMarketPrice =
+ 				minimumRelativeDifferenceBetweenFairAndAverageMarketPrice;
+ 			this.numOfDaysForAverageMarketPriceComputation =
+ 				numOfDaysForAverageMarketPriceComputation;
  		}
  		
***************
*** 81,107 ****
  			DataTable initialTableFromWhichToChooseTheMostDiscountedTickers, DateTime date )
  		{
  			DataTable tableOfEligibleTickers;
  			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("FairPrice"))
          initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("FairPrice", System.Type.GetType("System.Double"));
! 			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("MarketPrice"))
!         initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("LastMonthAverageMarketPrice", System.Type.GetType("System.Double"));
  			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("RelativeDifferenceBetweenFairAndMarketPrice"))
          initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("RelativeDifferenceBetweenFairAndMarketPrice", System.Type.GetType("System.Double"));
        foreach(DataRow row in initialTableFromWhichToChooseTheMostDiscountedTickers.Rows)
        {
!       	row["FairPrice"] = 
!       		this.fairValueProvider.GetFairValue( (string)row[0],
!       	                                       date.AddDays(-this.numOfDaysForFundamentalAnalysis),
!       	                                       date );
!       	float[] lastMonthQuotes = 
!       		Quotes.GetArrayOfAdjustedCloseQuotes((string)row[0], date.AddDays(-30), date);
!       	row["LastMonthAverageMarketPrice"] = 
!       		ADT.Statistics.BasicFunctions.SimpleAverage(lastMonthQuotes);
!       	row["RelativeDifferenceBetweenFairAndMarketPrice"] = 
!       		((double)row["FairPrice"]-(double)row["LastMonthAverageMarketPrice"])/(double)row["FairPrice"];
        }
!       tableOfEligibleTickers = 
        	ExtendedDataTable.CopyAndSort(initialTableFromWhichToChooseTheMostDiscountedTickers,
!       	                              "RelativeDifferenceBetweenFairAndMarketPrice", true);
        ExtendedDataTable.DeleteRows(tableOfEligibleTickers, this.maxNumberOfEligibleTickersToBeChosen);
        
--- 103,147 ----
  			DataTable initialTableFromWhichToChooseTheMostDiscountedTickers, DateTime date )
  		{
+ 			double signOfCurrentFairPrice;
+ 			double currentFairPrice;
  			DataTable tableOfEligibleTickers;
  			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("FairPrice"))
          initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("FairPrice", System.Type.GetType("System.Double"));
! 			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("AverageMarketPrice"))
!         initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("AverageMarketPrice", System.Type.GetType("System.Double"));
  			if(!initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Contains("RelativeDifferenceBetweenFairAndMarketPrice"))
          initialTableFromWhichToChooseTheMostDiscountedTickers.Columns.Add("RelativeDifferenceBetweenFairAndMarketPrice", System.Type.GetType("System.Double"));
        foreach(DataRow row in initialTableFromWhichToChooseTheMostDiscountedTickers.Rows)
        {
!       	try{
! 	      	currentFairPrice = this.fairValueProvider.GetFairValue( (string)row[0],
! 	      	                                       date.AddDays(-this.numOfDaysForFundamentalAnalysis),
! 	      	                                       date );
! 	      	row["FairPrice"] = currentFairPrice;
! 	      	double[] quotesForAveragePriceComputation = 
! 	      		Quotes.GetDoubleArrayOfAdjustedCloseQuotes((string)row[0], date.AddDays(-this.numOfDaysForAverageMarketPriceComputation), date);
! 	      	row["AverageMarketPrice"] = 
! 	      		ADT.Statistics.BasicFunctions.SimpleAverage(quotesForAveragePriceComputation);
! 	      	if(currentFairPrice < 0.0)
! 	      		signOfCurrentFairPrice = -1.0;
! 	      	else
! 	      		signOfCurrentFairPrice = 1.0;
! 	      	row["RelativeDifferenceBetweenFairAndMarketPrice"] = signOfCurrentFairPrice *
! 	      		((double)row["FairPrice"]-(double)row["AverageMarketPrice"])/(double)row["AverageMarketPrice"];
!       	}
!       	catch(Exception ex)
!       	{
! 					string s = ex.ToString();
! 				}	
        }
!       string filterString = 
!       	"AverageMarketPrice is not null AND FairPrice is not null AND " +
!       	"RelativeDifferenceBetweenFairAndMarketPrice >" +
!       	this.minimumRelativeDifferenceBetweenFairAndAverageMarketPrice.ToString();
!       	
!       tableOfEligibleTickers =
        	ExtendedDataTable.CopyAndSort(initialTableFromWhichToChooseTheMostDiscountedTickers,
!       	                              filterString,
!       	                              "RelativeDifferenceBetweenFairAndMarketPrice", false);
        ExtendedDataTable.DeleteRows(tableOfEligibleTickers, this.maxNumberOfEligibleTickersToBeChosen);
        
***************
*** 127,132 ****
        	group = new SelectorByGroup(this.tickersGroupID);
        DataTable tickersFromGroup = group.GetTableOfSelectedTickers();
        
!       return this.getEligibleTickers_actually_getTableOfMostDiscountedTickers(tickersFromGroup, currentDate);
        
  		}
--- 167,179 ----
        	group = new SelectorByGroup(this.tickersGroupID);
        DataTable tickersFromGroup = group.GetTableOfSelectedTickers();
+       SelectorByNumOfMinGrowingIncomesInARow selectorByMinimumGrowingIncomes =
+       	new SelectorByNumOfMinGrowingIncomesInARow(tickersFromGroup, history.FirstDateTime,
+       	                                            history.LastDateTime, 
+       	                                            this.minimumIncome, this.numberOfMinGrowingIncomesInARowForTickers,
+       	                                            12, this.numDaysForFundamentalDataAvailability);
+       DataTable tickersWithPositiveGrowingIncomes = 
+       	selectorByMinimumGrowingIncomes.GetTableOfSelectedTickers();
        
!       return this.getEligibleTickers_actually_getTableOfMostDiscountedTickers(tickersWithPositiveGrowingIncomes, currentDate);
        
  		}