[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTC.cs,1.9,1.10

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26639/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerCTC.cs 
Log Message:
Now the EndOfDayTimerHandler for the Close To Close efficient portfolio contains a handler for the OneHourAfterMarketCloseEvent.
Now, if at a given Close some positions are closed, new positions are opened at the next Close.


Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayTimerHandlerCTC.cs	24 Jun 2005 22:52:25 -0000	1.9
--- EndOfDayTimerHandlerCTC.cs	25 Jul 2005 22:59:57 -0000	1.10
***************
*** 51,55 ****
      protected double currentAccountValue;
      protected double previousAccountValue;
! 
      public EndOfDayTimerHandlerCTC(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity,
--- 51,55 ----
      protected double currentAccountValue;
      protected double previousAccountValue;
!     
      public EndOfDayTimerHandlerCTC(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity,
***************
*** 71,75 ****
        this.numDaysOfPortfolioLife = numDaysOfPortfolioLife;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.daysCounter = -1;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
        this.stopLossConditionReached = false;
--- 71,75 ----
        this.numDaysOfPortfolioLife = numDaysOfPortfolioLife;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.daysCounter = 0;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
        this.stopLossConditionReached = false;
***************
*** 77,82 ****
        this.previousAccountValue = 0.0;
      }
! 		    
!     #region MarketOpenEventHandler
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
--- 77,135 ----
        this.previousAccountValue = 0.0;
      }
! 	
! 
!     #region MarketCloseEventHandler
!     
!    
!     
!     protected void updateStopLossCondition()
!     {
!       this.previousAccountValue = this.currentAccountValue;
!       this.currentAccountValue = this.account.GetMarketValue();
!       if((this.currentAccountValue - this.previousAccountValue)
!            /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
!       {
!         this.stopLossConditionReached = true;
!       }
!       else
!       {
!         this.stopLossConditionReached = false;
!       }
!     }    
!     
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       bool positionsJustClosed = false;
!       this.updateStopLossCondition();
!       if(this.account.Portfolio.Count > 0)
!       //portfolio is not empty
!       {
!         this.daysCounter++;
!         if(this.daysCounter == this.numDaysOfPortfolioLife ||
!            this.stopLossConditionReached)
!         //num days of portfolio life or 
!         //max acceptable close to close drawdown reached
!         {
!           this.closePositions();
!           this.daysCounter = 0;
!           positionsJustClosed = true;
!         }
!       }
!       
!       if(this.account.Portfolio.Count == 0 &&
!          !positionsJustClosed)
!         //portfolio is empty but it has not been closed
!         //at the current close
!       {
!         this.openPositions();
!         this.daysCounter = 0;
!       }
!     }
!     
!     #endregion
!     
!     #region OneHourAfterMarketCloseEventHandler
!     
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
***************
*** 125,191 ****
      }
  
      /// <summary>
!     /// Handles a "Market Open" event.
      /// </summary>
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void MarketOpenEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       this.updateStopLossCondition();
!       if(this.daysCounter == -1 || this.daysCounter == this.numDaysOfPortfolioLife - 1  ||
!           this.stopLossConditionReached )
!       //at the beginning, after num days of porfolio life has elasped,
!       //or when the stop loss condition is reached
        {
          this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
          //it sets tickers to be chosen at next close
-         this.orders.Clear();
        }
      }
  		#endregion
- 
-     #region MarketCloseEventHandler
-     
-    
-     
-     protected void updateStopLossCondition()
-     {
-       this.previousAccountValue = this.currentAccountValue;
-       this.currentAccountValue = this.account.GetMarketValue();
-       if((this.currentAccountValue - this.previousAccountValue)
-            /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
-       {
-         this.stopLossConditionReached = true;
-       }
-       else
-       {
-         this.stopLossConditionReached = false;
-       }
-     }    
-     
-     public override void MarketCloseEventHandler(
-       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
-     {
-       if(this.daysCounter == -1 || 
-           this.daysCounter == this.numDaysOfPortfolioLife ||
-           this.stopLossConditionReached)
-       //it is the first day or num days of portfolio life or 
-       //max acceptable close to close draw down
-       //has been reached
-       {
-         this.closePositions();
-         this.openPositions();
-         this.daysCounter = 0;
-       }
-       else
-       {
-         this.daysCounter++;
-       }
-     }
-     
-     #endregion
- 
- 		
    }
  }
--- 178,199 ----
      }
  
+     
      /// <summary>
!     /// Handles a "One hour after market close" event.
      /// </summary>
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!      
!       if(this.account.Portfolio.Count == 0 )
        {
+         this.orders.Clear();
          this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
          //it sets tickers to be chosen at next close
        }
      }
  		#endregion
    }
  }