[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.3,1.4 RunEfficientCTOPortfolio.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15522/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs RunEfficientCTOPortfolio.cs 
Log Message:
Updated script for TickerSelection Testing, using Efficient portfolio theory

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandler.cs	17 Dec 2004 19:49:09 -0000	1.3
--- EndOfDayTimerHandler.cs	20 Dec 2004 20:25:11 -0000	1.4
***************
*** 91,107 ****
  		#endregion
  
!     #region FiveMinutesBeforeMarketCloseEventHandler
      
!     private void fiveMinutesBeforeMarketCloseEventHandler_closePosition(
        string ticker )
      {
        this.account.ClosePosition( ticker );
      }
!     private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
      {
!       foreach ( string ticker in this.account.Portfolio.Keys )
!         fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker );
      }
!     private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
        string ticker )
      {
--- 91,116 ----
  		#endregion
  
!     #region MarketCloseEventHandler
      
!     private void marketCloseEventHandler_closePosition(
        string ticker )
      {
        this.account.ClosePosition( ticker );
      }
!     private void marketCloseEventHandler_closePositions()
      {
!       if(this.chosenTickers != null)
!       {
!         foreach( string ticker in this.chosenTickers)
!         {
!           for(int i = 0; i<this.account.Portfolio.Keys.Count; i++)
!           {
!             if(this.account.Portfolio[ticker]!=null)
!               marketCloseEventHandler_closePosition( ticker );
!           }
!         }
!       } 
      }
!     private void marketCloseEventHandler_openPosition(
        string ticker )
      {
***************
*** 113,125 ****
          new Instrument( ticker ) , sharesToBeBought ) );
      }
!     private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
      {
        foreach ( string ticker in this.chosenTickers )
!         this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( ticker );
      }
!     public void FiveMinutesBeforeMarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
        //fiveMinutesBeforeMarketCloseEventHandler_openPositions();
      }
--- 122,135 ----
          new Instrument( ticker ) , sharesToBeBought ) );
      }
!     private void marketCloseEventHandler_openPositions()
      {
        foreach ( string ticker in this.chosenTickers )
!         this.marketCloseEventHandler_openPosition( ticker );
      }
!     public void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       
!       this.marketCloseEventHandler_closePositions();
        //fiveMinutesBeforeMarketCloseEventHandler_openPositions();
      }
***************
*** 181,193 ****
      {
        TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
!         false, "STOCKMI", currentDate, currentDate.AddDays(60), this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
        IGenomeManager genManEfficientCTOPortfolio = 
!         new GenomeManagerForEfficientCTOPortfolio(this.eligibleTickers,currentDate, 
!         currentDate.AddDays(60), 
          this.numberOfTickersToBeChosen, 0.005, 0.05);
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio);
        //GO.KeepOnRunningUntilConvergenceIsReached = true;
!       GO.GenerationNumber = 4;
        GO.MutationRate = 0.05;
        GO.Run(false);
--- 191,203 ----
      {
        TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
!         false, "STOCKMI", currentDate.AddDays(-30), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
        IGenomeManager genManEfficientCTOPortfolio = 
!         new GenomeManagerForEfficientCTOPortfolio(this.eligibleTickers,currentDate.AddDays(-30), 
!         currentDate, 
          this.numberOfTickersToBeChosen, 0.005, 0.05);
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio);
        //GO.KeepOnRunningUntilConvergenceIsReached = true;
!       GO.GenerationNumber = 2;
        GO.MutationRate = 0.05;
        GO.Run(false);

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunEfficientCTOPortfolio.cs	14 Dec 2004 21:25:46 -0000	1.2
--- RunEfficientCTOPortfolio.cs	20 Dec 2004 20:25:12 -0000	1.3
***************
*** 77,84 ****
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2002 , 1 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2002 , 3 , 31 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 7;
  		}
      #region Run
--- 77,84 ----
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 4 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 10 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 1;
  		}
      #region Run
***************
*** 163,167 ****
--- 163,179 ----
      */
  		#endregion
+     
+     private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
+     {
+       Report report;
+ 
+       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime )
+       {
+         this.endOfDayTimer.Stop();
+         report = new Report( this.account );
+         report.Show("CTO_Portfolio" , this.numIntervalDays , this.startDateTime , "CTO_Portfolio" );
  
+       }
+     }
      public override void Run()
      {
***************
*** 169,173 ****
        //this.run_FindBestPortfolioForNextTrade();
        
-       Report report;
        run_initializeEndOfDayTimer();
        run_initializeAccount();
--- 181,184 ----
***************
*** 178,185 ****
          this.endOfDayTimerHandler.MarketOpenEventHandler);  
        
!       this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
!         new FiveMinutesBeforeMarketCloseEventHandler(
!         this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! 
        this.endOfDayTimer.OneHourAfterMarketClose +=
          new OneHourAfterMarketCloseEventHandler(
--- 189,200 ----
          this.endOfDayTimerHandler.MarketOpenEventHandler);  
        
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
        this.endOfDayTimer.OneHourAfterMarketClose +=
          new OneHourAfterMarketCloseEventHandler(
***************
*** 191,197 ****
        //this.progressBarForm.Show();
        this.endOfDayTimer.Start();
-       report = new Report( this.account );
-       report.Show("CTO_Portfolio" , this.numIntervalDays , this.startDateTime , "CTO_Portfolio" );
- 
        
      }
--- 206,209 ----