[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank RunWalkForwardOneRank.cs,1.6,1.7 EndOfDayTimerHandler.cs,1.4,1.5 EligibleTickers.cs,1.1,1.2

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17169/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	RunWalkForwardOneRank.cs EndOfDayTimerHandler.cs 
	EligibleTickers.cs 
Log Message:
An IndexBasedEndOfDayTimer is used, now.

Index: EligibleTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/EligibleTickers.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EligibleTickers.cs	29 Nov 2004 14:33:18 -0000	1.1
--- EligibleTickers.cs	3 Feb 2005 00:30:22 -0000	1.2
***************
*** 34,42 ****
  	{
  		private int numberEligibleTickersToBeChosen;
  		private int numDaysToComputeLiquidity = 10;
  
! 		public EligibleTickers( int numberEligibleTickersToBeChosen )
  		{
  			this.numberEligibleTickersToBeChosen = numberEligibleTickersToBeChosen;
  		}
  
--- 34,45 ----
  	{
  		private int numberEligibleTickersToBeChosen;
+ 		private int numberDaysForPerformanceCalculation;
  		private int numDaysToComputeLiquidity = 10;
  
! 		public EligibleTickers( int numberEligibleTickersToBeChosen ,
! 			int numberDaysForPerformanceCalculation )
  		{
  			this.numberEligibleTickersToBeChosen = numberEligibleTickersToBeChosen;
+ 			this.numberDaysForPerformanceCalculation = numberDaysForPerformanceCalculation;
  		}
  
***************
*** 44,53 ****
  		private void setTickers_build( DateTime dateTime )
  		{
! 			TickerSelector tickerSelector =
  				new TickerSelector( SelectionType.Liquidity , false , "Test" ,
  				dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime ,
  				this.numberEligibleTickersToBeChosen );
  			DataTable selectedTickers =
! 				tickerSelector.GetTableOfSelectedTickers();
  			foreach ( DataRow dataRow in selectedTickers.Rows )
  				this.Add( dataRow[ "tiTicker" ].ToString() ,
--- 47,64 ----
  		private void setTickers_build( DateTime dateTime )
  		{
! 			TickerSelector mostLiquid =
  				new TickerSelector( SelectionType.Liquidity , false , "Test" ,
  				dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime ,
  				this.numberEligibleTickersToBeChosen );
+ 			DataTable mostLiquidTickers =
+ 				mostLiquid.GetTableOfSelectedTickers();
+ 			TickerSelector quotedInEachMarketDayFromMostLiquid = 
+ 				new TickerSelector( mostLiquidTickers,
+ 				SelectionType.QuotedInEachMarketDay, false, "",
+ 				dateTime.AddDays( - this.numberDaysForPerformanceCalculation ) ,
+ 				dateTime, this.numberEligibleTickersToBeChosen);
+ 			quotedInEachMarketDayFromMostLiquid.MarketIndex = "^SPX";
  			DataTable selectedTickers =
! 				quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
  			foreach ( DataRow dataRow in selectedTickers.Rows )
  				this.Add( dataRow[ "tiTicker" ].ToString() ,

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/EndOfDayTimerHandler.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandler.cs	29 Dec 2004 17:10:00 -0000	1.4
--- EndOfDayTimerHandler.cs	3 Feb 2005 00:30:22 -0000	1.5
***************
*** 91,95 ****
  			this.account = account;
  
! 			this.eligibleTickers = new EligibleTickers( numberEligibleTickers );
  			this.bestPerformingTickers = new BestPerformingTickers( numberBestPeformingTickers ,
  				this.inSampleWindowDays );
--- 91,96 ----
  			this.account = account;
  
! 			this.eligibleTickers = new EligibleTickers( numberEligibleTickers ,
! 				inSampleWindowDays );
  			this.bestPerformingTickers = new BestPerformingTickers( numberBestPeformingTickers ,
  				this.inSampleWindowDays );

Index: RunWalkForwardOneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/RunWalkForwardOneRank.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** RunWalkForwardOneRank.cs	9 Jan 2005 23:45:20 -0000	1.6
--- RunWalkForwardOneRank.cs	3 Feb 2005 00:30:21 -0000	1.7
***************
*** 67,71 ****
  				new DateTime( 1998 , 1 , 1 ) , EndOfDaySpecificTime.MarketOpen );
  			this.endDateTime = new EndOfDayDateTime(
! 				new DateTime( 1998 , 1 , 30 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.numIntervalDays = 1;
  		}
--- 67,71 ----
  				new DateTime( 1998 , 1 , 1 ) , EndOfDaySpecificTime.MarketOpen );
  			this.endDateTime = new EndOfDayDateTime(
! 				new DateTime( 1998 , 8 , 31 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.numIntervalDays = 1;
  		}
***************
*** 74,78 ****
  		{
  			this.endOfDayTimer =
! 				new HistoricalEndOfDayTimer( this.startDateTime );
  		}
  		private void run_initializeAccount()
--- 74,78 ----
  		{
  			this.endOfDayTimer =
! 				new IndexBasedEndOfDayTimer( this.startDateTime, "^SPX" );
  		}
  		private void run_initializeAccount()
***************
*** 86,90 ****
  		private void run_initializeEndOfDayTimerHandler()
  		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandler( 50 , 20 , 5 , 360 , 30 ,
  				this.account );
  		}
--- 86,90 ----
  		private void run_initializeEndOfDayTimerHandler()
  		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandler( 200 , 20 , 5 , 360 , 30 ,
  				this.account );
  		}
***************
*** 126,131 ****
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
- 			this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
- 				 ( IEndOfDayTimer )sender );
  			if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
  				this.endDateTime.DateTime )
--- 126,129 ----
***************
*** 137,140 ****
--- 135,142 ----
  				report.Show( "WFT One Rank" , this.numIntervalDays , this.endDateTime , "MSFT" );
  			}
+ 			else
+ 				// the simulation has not reached the ending date, yet
+ 				this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
+ 					( IEndOfDayTimer )sender );
  		}
  		#endregion