[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTC.cs,1.5,1.6 EndOfDayTimerHandlerCTO.cs,1.9,1.10 RunEfficientCTOPortfolio.cs,1.17,1.18 RunEfficientPortfolio.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv8274/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerCTC.cs EndOfDayTimerHandlerCTO.cs 
	RunEfficientCTOPortfolio.cs RunEfficientPortfolio.cs 
Log Message:
Updated files for the EfficientPortfolio script:
minimal changes

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayTimerHandlerCTO.cs	26 Apr 2005 19:02:12 -0000	1.9
--- EndOfDayTimerHandlerCTO.cs	4 May 2005 18:30:54 -0000	1.10
***************
*** 146,168 ****
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
        */
!      	/*SelectorByWinningOpenToClose selectorByWinningOpenToClose = 
!      					new SelectorByWinningOpenToClose(this.tickerGroupID, false, currentDate,
!      		                                 currentDate, this.numberOfEligibleTickers);
!      	DataTable winningOpenToCloseTickers = selectorByWinningOpenToClose.GetTableOfSelectedTickers();
!       */
       	SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID, false,
                                        currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
                                        this.numberOfEligibleTickers/2);
!       SelectorByOpenToCloseVolatility lessVolatile = 
!       	new SelectorByOpenToCloseVolatility(mostLiquid.GetTableOfSelectedTickers(),
!       	                                    false, currentDate.AddDays(-this.numDaysForLiquidity),
!       	                                    currentDate,
!       	                                    this.numberOfEligibleTickers/4);
        
!       this.eligibleTickers = lessVolatile.GetTableOfSelectedTickers();
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
          new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
                                     false, currentDate.AddDays(-this.numDaysForLiquidity),
!                                     currentDate, this.numberOfEligibleTickers/4, this.benchmark);
        return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
--- 146,169 ----
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
        */
!      	
       	SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID, false,
                                        currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
                                        this.numberOfEligibleTickers/2);
!       //SelectorByOpenToCloseVolatility lessVolatile = 
!       //	new SelectorByOpenToCloseVolatility(mostLiquid.GetTableOfSelectedTickers(),
!       //	                                    true, currentDate.AddDays(-this.numDaysForLiquidity/3),
!       //	                                    currentDate,
!       //	                                    this.numberOfEligibleTickers/4);
        
!       this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
          new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
                                     false, currentDate.AddDays(-this.numDaysForLiquidity),
!                                     currentDate, this.numberOfEligibleTickers/2, this.benchmark);
!       //SelectorByWinningOpenToClose winners =
!       //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
!       //	                                 false, currentDate.AddDays(-2),
!       //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
!       //return winners.GetTableOfSelectedTickers();
        return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** RunEfficientPortfolio.cs	26 Apr 2005 19:02:14 -0000	1.5
--- RunEfficientPortfolio.cs	4 May 2005 18:30:54 -0000	1.6
***************
*** 53,57 ****
    public class RunEfficientPorfolio
  	{
!     public static double MaxNumberOfHoursForScript = 10;
      //if MaxNumberOfHoursForScript has elapsed and the script
      //is still running, it will be stopped.
--- 53,57 ----
    public class RunEfficientPorfolio
  	{
!     public static double MaxNumberOfHoursForScript = 6;
      //if MaxNumberOfHoursForScript has elapsed and the script
      //is still running, it will be stopped.
***************
*** 129,132 ****
--- 129,133 ----
      	this.endOfDayTimer =
          new IndexBasedEndOfDayTimer( this.startDateTime, this.benchmark );
+     	
      }
      
***************
*** 206,209 ****
--- 207,211 ----
          this.checkDateForReport);
        
+       //in inherited classes'override method: 
        //add here TimerHandler's handlers to timer's events
        //example

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayTimerHandlerCTC.cs	26 Apr 2005 19:02:11 -0000	1.5
--- EndOfDayTimerHandlerCTC.cs	4 May 2005 18:30:54 -0000	1.6
***************
*** 70,79 ****
      {
        SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID,false,
!                                       currentDate.AddDays(-this.numDaysForLiquidity), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
        SelectorByQuotationAtEachMarketDay quotedInEachMarketDayFromMostLiquid = 
          new SelectorByQuotationAtEachMarketDay(this.eligibleTickers,
                                    false, currentDate.AddDays(-this.numDaysForLiquidity),currentDate,
!                                   this.numberOfEligibleTickers, this.benchmark);
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
--- 70,81 ----
      {
        SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID,false,
!                                       currentDate.AddDays(-this.numDaysForLiquidity),
!                                       currentDate,
!                                       this.numberOfEligibleTickers/2);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
        SelectorByQuotationAtEachMarketDay quotedInEachMarketDayFromMostLiquid = 
          new SelectorByQuotationAtEachMarketDay(this.eligibleTickers,
                                    false, currentDate.AddDays(-this.numDaysForLiquidity),currentDate,
!                                   this.numberOfEligibleTickers/2, this.benchmark);
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
***************
*** 150,154 ****
      {
        if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(15000);     
        
        this.marketCloseEventHandler_orderChosenTickers();
--- 152,156 ----
      {
        if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(17000);     
        
        this.marketCloseEventHandler_orderChosenTickers();

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** RunEfficientCTOPortfolio.cs	11 Apr 2005 18:52:32 -0000	1.17
--- RunEfficientCTOPortfolio.cs	4 May 2005 18:30:54 -0000	1.18
***************
*** 99,103 ****
                                                                this.targetReturn,
                                                                this.portfolioType);
!         
          
      }
--- 99,103 ----
                                                                this.targetReturn,
                                                                this.portfolioType);
!        
          
      }