[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination StrategyType.

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29203/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	TestDisplayer.cs LinearCombinationTest.cs 
Added Files:
	StrategyType.cs CloseToOpenDailyStrategy.cs 
Log Message:
Close to open strategy type has been added to the TestDisplayer for examining in sample/outOfSample behaviour of genomes (for linear combination strategies)

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** LinearCombinationTest.cs	10 Aug 2005 16:51:31 -0000	1.3
--- LinearCombinationTest.cs	8 Jan 2006 23:33:52 -0000	1.4
***************
*** 44,48 ****
  		private DateTime lastDate;
  		private GenomeRepresentation genomeRepresentation;
! 		private bool openToCloseDaily;

  		private IHistoricalQuoteProvider historicalQuoteProvider;
--- 44,49 ----
  		private DateTime lastDate;
  		private GenomeRepresentation genomeRepresentation;
! //		private bool openToCloseDaily;
!     private StrategyType strategyType;

  		private IHistoricalQuoteProvider historicalQuoteProvider;
***************
*** 52,61 ****

  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 			GenomeRepresentation genomeRepresentation , bool openToCloseDaily )
  		{
  			this.firstDate = firstDate;
  			this.lastDate = lastDate;
  			this.genomeRepresentation = genomeRepresentation;
! 			this.openToCloseDaily = openToCloseDaily;
  		}

--- 53,63 ----

  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 			GenomeRepresentation genomeRepresentation , StrategyType strategyType)
  		{
  			this.firstDate = firstDate;
  			this.lastDate = lastDate;
  			this.genomeRepresentation = genomeRepresentation;
! //			this.openToCloseDaily = openToCloseDaily;
!       this.strategyType = strategyType;
  		}

***************
*** 70,74 ****
  		private void run_setHistoricalQuoteProvider()
  		{
! 			if ( this.openToCloseDaily )
  				this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
  			else
--- 72,76 ----
  		private void run_setHistoricalQuoteProvider()
  		{
! 			if ( this.strategyType == StrategyType.OpenToCloseDaily )
  				this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
  			else
***************
*** 79,88 ****
  			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
  				this.genomeRepresentation.SignedTickers );
! 			if ( this.openToCloseDaily )
! 				this.endOfDayStrategy = new OpenToCloseDailyStrategy(
! 					this.account , signedTickers );
! 			else
! 				this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
! 					this.account , signedTickers );
  		}
  		private string getDateString( DateTime dateTime )
--- 81,99 ----
  			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
  				this.genomeRepresentation.SignedTickers );
!       switch (this.strategyType)
!       {
!         case StrategyType.OpenToCloseDaily:
!           this.endOfDayStrategy = new OpenToCloseDailyStrategy(
! 					                            this.account , signedTickers );
!           break;
!         case StrategyType.OpenToCloseWeekly:
!           this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
!                                       this.account , signedTickers );
!           break;
!         case StrategyType.CloseToOpenDaily:
!           this.endOfDayStrategy = new CloseToOpenDailyStrategy(
!                                       this.account , signedTickers );
!           break;
!       }
  		}
  		private string getDateString( DateTime dateTime )
***************
*** 126,129 ****
--- 137,143 ----
  				new FiveMinutesBeforeMarketCloseEventHandler(
  				this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
+       this.historicalEndOfDayTimer.MarketClose +=
+         new MarketCloseEventHandler(
+         this.endOfDayStrategy.MarketCloseEventHandler );
  			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
  				new OneHourAfterMarketCloseEventHandler(

--- NEW FILE: StrategyType.cs ---
/*
QuantProject - Quantitative Finance Library

StrategyType.cs
Copyright (C) 2004 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
  /// <summary>
  /// Enumeration for strategy types based on linear combination
  /// </summary>
  public enum StrategyType
  {
    OpenToCloseDaily,
    OpenToCloseWeekly,
    CloseToOpenDaily
  }
}

--- NEW FILE: CloseToOpenDailyStrategy.cs ---
/*
QuantProject - Quantitative Finance Library

CloseToOpenDailyStrategy.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;

using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Close To Open daily strategy
	/// </summary>
	[Serializable]
	public class CloseToOpenDailyStrategy : IEndOfDayStrategy
	{
		private Account account;
		private string[] signedTickers;

		public CloseToOpenDailyStrategy( Account account ,
			string[] signedTickers)
		{
			this.account = account;
			this.signedTickers = signedTickers;
		}
		private long marketCloseEventHandler_addOrder_getQuantity(
			string ticker )
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( ticker );
			double maxPositionValueForThisTicker =
				accountValue/this.signedTickers.Length;
			long quantity = Convert.ToInt64(	Math.Floor(
				maxPositionValueForThisTicker /	currentTickerAsk ) );
			return quantity;
		}
		private void marketCloseEventHandler_addOrder( string signedTicker )
		{
			OrderType orderType = GenomeRepresentation.GetOrderType( signedTicker );
			string ticker = GenomeRepresentation.GetTicker( signedTicker );
			long quantity = marketCloseEventHandler_addOrder_getQuantity( ticker );
			Order order = new Order( orderType , new Instrument( ticker ) ,
				quantity );
			this.account.AddOrder( order );
		}
		private void marketCloseEventHandler_addOrders()
		{
			foreach ( string signedTicker in this.signedTickers )
				marketCloseEventHandler_addOrder( signedTicker );
		}
		public void MarketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			this.marketOpen_closePositions();
		}
		private void marketOpen_closePositions()
		{
			ArrayList tickers = new ArrayList();
			foreach ( Position position in this.account.Portfolio.Positions )
				tickers.Add( position.Instrument.Key );
			foreach ( string ticker in tickers )
				this.account.ClosePosition( ticker );
		}
		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}

		public void MarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
      if ( ( this.account.CashAmount == 0 ) &&
        ( this.account.Transactions.Count == 0 ) )
        // cash has not been added yet
        this.account.AddCash( 30000 );
      marketCloseEventHandler_addOrders();
		}
		public void OneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}
	}
}

Index: TestDisplayer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** TestDisplayer.cs	10 Aug 2005 16:53:45 -0000	1.5
--- TestDisplayer.cs	8 Jan 2006 23:33:52 -0000	1.6
***************
*** 48,52 ****
--- 48,54 ----
  		private System.Windows.Forms.RadioButton radioButtonOpenToCloseDaily;
  		private System.Windows.Forms.RadioButton radioButtonOpenToCloseWeekly;
+     private System.Windows.Forms.RadioButton radioButtonCloseToOpenDaily;
  		private GenomeRepresentation lastSelectedGenomeRepresentation;
+     private StrategyType selectedStrategyType = StrategyType.OpenToCloseDaily;

  		private void testdisplayer()
***************
*** 98,178 ****
  		private void InitializeComponent()
  		{
! 			this.dgBestGenomes = new System.Windows.Forms.DataGrid();
! 			this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
! 			this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
! 			this.label1 = new System.Windows.Forms.Label();
! 			this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton();
! 			this.radioButtonOpenToCloseWeekly = new System.Windows.Forms.RadioButton();
! 			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
! 			this.SuspendLayout();
! 			// 
! 			// dgBestGenomes
! 			// 
! 			this.dgBestGenomes.DataMember = "";
! 			this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
! 			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
! 			this.dgBestGenomes.Location = new System.Drawing.Point(0, 125);
! 			this.dgBestGenomes.Name = "dgBestGenomes";
! 			this.dgBestGenomes.Size = new System.Drawing.Size(520, 248);
! 			this.dgBestGenomes.TabIndex = 0;
! 			this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
! 			// 
! 			// dtpFirstDate
! 			// 
! 			this.dtpFirstDate.Location = new System.Drawing.Point(16, 24);
! 			this.dtpFirstDate.Name = "dtpFirstDate";
! 			this.dtpFirstDate.TabIndex = 1;
! 			// 
! 			// dtpLastDate
! 			// 
! 			this.dtpLastDate.Location = new System.Drawing.Point(264, 24);
! 			this.dtpLastDate.Name = "dtpLastDate";
! 			this.dtpLastDate.Size = new System.Drawing.Size(208, 20);
! 			this.dtpLastDate.TabIndex = 2;
! 			// 
! 			// label1
! 			// 
! 			this.label1.Location = new System.Drawing.Point(32, 64);
! 			this.label1.Name = "label1";
! 			this.label1.Size = new System.Drawing.Size(400, 40);
! 			this.label1.TabIndex = 3;
! 			this.label1.Text = "Left click data grid rows to reset dates to the optimization period. Right click " +
! 				"to preserve date displacements and backtest.";
! 			// 
! 			// radioButtonOpenToCloseDaily
! 			// 
! 			this.radioButtonOpenToCloseDaily.Checked = true;
! 			this.radioButtonOpenToCloseDaily.Location = new System.Drawing.Point(64, 96);
! 			this.radioButtonOpenToCloseDaily.Name = "radioButtonOpenToCloseDaily";
! 			this.radioButtonOpenToCloseDaily.Size = new System.Drawing.Size(144, 24);
! 			this.radioButtonOpenToCloseDaily.TabIndex = 4;
! 			this.radioButtonOpenToCloseDaily.TabStop = true;
! 			this.radioButtonOpenToCloseDaily.Text = "Open To Close Daily";
! 			// 
! 			// radioButtonOpenToCloseWeekly
! 			// 
! 			this.radioButtonOpenToCloseWeekly.Location = new System.Drawing.Point(224, 96);
! 			this.radioButtonOpenToCloseWeekly.Name = "radioButtonOpenToCloseWeekly";
! 			this.radioButtonOpenToCloseWeekly.Size = new System.Drawing.Size(144, 24);
! 			this.radioButtonOpenToCloseWeekly.TabIndex = 5;
! 			this.radioButtonOpenToCloseWeekly.Text = "Open To Close Weekly";
! 			// 
! 			// TestDisplayer
! 			// 
! 			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
! 			this.ClientSize = new System.Drawing.Size(520, 373);
! 			this.Controls.AddRange(new System.Windows.Forms.Control[] {
! 																																	this.radioButtonOpenToCloseWeekly,
! 																																	this.radioButtonOpenToCloseDaily,
! 																																	this.label1,
! 																																	this.dtpLastDate,
! 																																	this.dtpFirstDate,
! 																																	this.dgBestGenomes});
! 			this.Name = "TestDisplayer";
! 			this.Text = "TestDisplayer";
! 			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit();
! 			this.ResumeLayout(false);

! 		}
  		#endregion

--- 100,193 ----
  		private void InitializeComponent()
  		{
!       this.dgBestGenomes = new System.Windows.Forms.DataGrid();
!       this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
!       this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
!       this.label1 = new System.Windows.Forms.Label();
!       this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton();
!       this.radioButtonOpenToCloseWeekly = new System.Windows.Forms.RadioButton();
!       this.radioButtonCloseToOpenDaily = new System.Windows.Forms.RadioButton();
!       ((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
!       this.SuspendLayout();
!       // 
!       // dgBestGenomes
!       // 
!       this.dgBestGenomes.DataMember = "";
!       this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
!       this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
!       this.dgBestGenomes.Location = new System.Drawing.Point(0, 157);
!       this.dgBestGenomes.Name = "dgBestGenomes";
!       this.dgBestGenomes.Size = new System.Drawing.Size(584, 216);
!       this.dgBestGenomes.TabIndex = 0;
!       this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
!       // 
!       // dtpFirstDate
!       // 
!       this.dtpFirstDate.Location = new System.Drawing.Point(16, 24);
!       this.dtpFirstDate.Name = "dtpFirstDate";
!       this.dtpFirstDate.TabIndex = 1;
!       // 
!       // dtpLastDate
!       // 
!       this.dtpLastDate.Location = new System.Drawing.Point(264, 24);
!       this.dtpLastDate.Name = "dtpLastDate";
!       this.dtpLastDate.Size = new System.Drawing.Size(208, 20);
!       this.dtpLastDate.TabIndex = 2;
!       // 
!       // label1
!       // 
!       this.label1.Location = new System.Drawing.Point(32, 64);
!       this.label1.Name = "label1";
!       this.label1.Size = new System.Drawing.Size(400, 40);
!       this.label1.TabIndex = 3;
!       this.label1.Text = "Left click data grid rows to reset dates to the optimization period. Right click " +
!         "to preserve date displacements and backtest.";
!       // 
!       // radioButtonOpenToCloseDaily
!       // 
!       this.radioButtonOpenToCloseDaily.Checked = true;
!       this.radioButtonOpenToCloseDaily.Location = new System.Drawing.Point(64, 96);
!       this.radioButtonOpenToCloseDaily.Name = "radioButtonOpenToCloseDaily";
!       this.radioButtonOpenToCloseDaily.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonOpenToCloseDaily.TabIndex = 4;
!       this.radioButtonOpenToCloseDaily.TabStop = true;
!       this.radioButtonOpenToCloseDaily.Text = "Open To Close Daily";
!       this.radioButtonOpenToCloseDaily.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseDaily_CheckedChanged);
!       // 
!       // radioButtonOpenToCloseWeekly
!       // 
!       this.radioButtonOpenToCloseWeekly.Location = new System.Drawing.Point(224, 96);
!       this.radioButtonOpenToCloseWeekly.Name = "radioButtonOpenToCloseWeekly";
!       this.radioButtonOpenToCloseWeekly.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonOpenToCloseWeekly.TabIndex = 5;
!       this.radioButtonOpenToCloseWeekly.Text = "Open To Close Weekly";
!       this.radioButtonOpenToCloseWeekly.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseWeekly_CheckedChanged);
!       // 
!       // radioButtonCloseToOpenDaily
!       // 
!       this.radioButtonCloseToOpenDaily.Location = new System.Drawing.Point(64, 128);
!       this.radioButtonCloseToOpenDaily.Name = "radioButtonCloseToOpenDaily";
!       this.radioButtonCloseToOpenDaily.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonCloseToOpenDaily.TabIndex = 6;
!       this.radioButtonCloseToOpenDaily.Text = "Close To Open Daily";
!       this.radioButtonCloseToOpenDaily.CheckedChanged += new System.EventHandler(this.radioButtonCloseToOpenDaily_CheckedChanged);
!       // 
!       // TestDisplayer
!       // 
!       this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
!       this.ClientSize = new System.Drawing.Size(584, 373);
!       this.Controls.AddRange(new System.Windows.Forms.Control[] {
!                                                                   this.radioButtonCloseToOpenDaily,
!                                                                   this.radioButtonOpenToCloseWeekly,
!                                                                   this.radioButtonOpenToCloseDaily,
!                                                                   this.label1,
!                                                                   this.dtpLastDate,
!                                                                   this.dtpFirstDate,
!                                                                   this.dgBestGenomes});
!       this.Name = "TestDisplayer";
!       this.Text = "TestDisplayer";
!       ((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit();
!       this.ResumeLayout(false);

!     }
  		#endregion

***************
*** 224,228 ****
  				new LinearCombinationTest( this.dtpFirstDate.Value ,
  				this.dtpLastDate.Value , genomeRepresentation ,
! 				this.radioButtonOpenToCloseDaily.Checked );
  			linearCombinationTest.Run();
  			this.lastSelectedGenomeRepresentation = genomeRepresentation;
--- 239,243 ----
  				new LinearCombinationTest( this.dtpFirstDate.Value ,
  				this.dtpLastDate.Value , genomeRepresentation ,
! 				this.selectedStrategyType);
  			linearCombinationTest.Run();
  			this.lastSelectedGenomeRepresentation = genomeRepresentation;
***************
*** 254,257 ****
--- 269,296 ----
  				this.dgBestGenomes_MouseUp_leftButton( sender , e );
  		}
+     
+     private void update_selectedStrategyType()
+     {
+       if(this.radioButtonOpenToCloseDaily.Checked)
+         this.selectedStrategyType = StrategyType.OpenToCloseDaily;
+       else if(this.radioButtonOpenToCloseWeekly.Checked)
+         this.selectedStrategyType = StrategyType.OpenToCloseWeekly;
+       else if(this.radioButtonCloseToOpenDaily.Checked)
+         this.selectedStrategyType = StrategyType.CloseToOpenDaily;
+     }
+     private void radioButtonOpenToCloseDaily_CheckedChanged(object sender, System.EventArgs e)
+     {
+       this.update_selectedStrategyType();
+     }
+ 
+     private void radioButtonOpenToCloseWeekly_CheckedChanged(object sender, System.EventArgs e)
+     {
+       this.update_selectedStrategyType();
+     }
+ 
+     private void radioButtonCloseToOpenDaily_CheckedChanged(object sender, System.EventArgs e)
+     {
+       this.update_selectedStrategyType();
+     }
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination StrategyType.

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination StrategyType.cs,NONE,1.1 CloseToOpenDailyStrategy.cs,NONE,1.1 TestDisplayer.cs,1.5,1.6 LinearCombinationTest.cs,1.3,1.4