[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer
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[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer.cs,1.6,1.7 StrategyType.cs,1.1,1.2 LinearCombinationTest.cs,1.5,1.6
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From: Marco M. <mi...@us...> - 2006-05-14 18:18:27
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31410/b7_Scripts/WalkForwardTesting/LinearCombination Modified Files: TestDisplayer.cs StrategyType.cs LinearCombinationTest.cs Log Message: With the TestDisplayer is now possible to test genomes optimized for the FixedPeriodOscillator and the ExtremeCounterTrend strategies Index: LinearCombinationTest.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** LinearCombinationTest.cs 14 Mar 2006 14:53:54 -0000 1.5 --- LinearCombinationTest.cs 14 May 2006 18:18:23 -0000 1.6 *************** *** 46,49 **** --- 46,50 ---- // private bool openToCloseDaily; private StrategyType strategyType; + private int numDaysForOscillatorStrategy; private IHistoricalQuoteProvider historicalQuoteProvider; *************** *** 61,66 **** this.strategyType = strategyType; } ! ! private void oneHourAfterMarketCloseEventHandler( Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs ) { --- 62,79 ---- this.strategyType = strategyType; } ! ! public LinearCombinationTest( DateTime firstDate , DateTime lastDate , ! GenomeRepresentation genomeRepresentation , StrategyType strategyType, ! int numDaysForOscillatorStrategy) ! { ! this.firstDate = firstDate; ! this.lastDate = lastDate; ! this.genomeRepresentation = genomeRepresentation; ! // this.openToCloseDaily = openToCloseDaily; ! this.strategyType = strategyType; ! this.numDaysForOscillatorStrategy = numDaysForOscillatorStrategy; ! } ! ! private void oneHourAfterMarketCloseEventHandler( Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs ) { *************** *** 95,98 **** --- 108,121 ---- this.account , signedTickers ); break; + + case StrategyType.FixedPeriodOscillator: + this.endOfDayStrategy = new FixedPeriodOscillatorStrategy( + this.account , signedTickers , this.numDaysForOscillatorStrategy , this.numDaysForOscillatorStrategy ); + break; + + case StrategyType.ExtremeCounterTrend: + this.endOfDayStrategy = new ExtremeCounterTrendStrategy( + this.account , signedTickers , this.numDaysForOscillatorStrategy ); + break; } } *************** *** 121,125 **** new IndexBasedEndOfDayTimer( new EndOfDayDateTime( this.firstDate , ! EndOfDaySpecificTime.MarketOpen ) , "MSFT" ); run_setHistoricalQuoteProvider(); this.account = new Account( "LinearCombination" , historicalEndOfDayTimer , --- 144,148 ---- new IndexBasedEndOfDayTimer( new EndOfDayDateTime( this.firstDate , ! EndOfDaySpecificTime.MarketOpen ) , "^GSPC" ); run_setHistoricalQuoteProvider(); this.account = new Account( "LinearCombination" , historicalEndOfDayTimer , *************** *** 148,152 **** report.Create( "Linear Combination" , 1 , new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) , ! "MSFT" ); // ObjectArchiver.Archive( report.AccountReport , // @"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" ); --- 171,176 ---- report.Create( "Linear Combination" , 1 , new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) , ! "^GSPC"); ! // ObjectArchiver.Archive( report.AccountReport , // @"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" ); Index: StrategyType.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/StrategyType.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** StrategyType.cs 8 Jan 2006 23:33:52 -0000 1.1 --- StrategyType.cs 14 May 2006 18:18:23 -0000 1.2 *************** *** 32,36 **** OpenToCloseDaily, OpenToCloseWeekly, ! CloseToOpenDaily } } --- 32,38 ---- OpenToCloseDaily, OpenToCloseWeekly, ! CloseToOpenDaily, ! FixedPeriodOscillator, ! ExtremeCounterTrend } } Index: TestDisplayer.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** TestDisplayer.cs 8 Jan 2006 23:33:52 -0000 1.6 --- TestDisplayer.cs 14 May 2006 18:18:23 -0000 1.7 *************** *** 35,38 **** --- 35,48 ---- public class TestDisplayer : System.Windows.Forms.Form { + private System.Windows.Forms.Label labelDays; + private System.Windows.Forms.TextBox textBoxDaysFPOscillatorAndRevOneRank; + private System.Windows.Forms.Label label1; + private System.Windows.Forms.RadioButton radioButtonOpenToCloseDaily; + private System.Windows.Forms.RadioButton radioButtonReversalOneRank; + private System.Windows.Forms.DateTimePicker dtpLastDate; + private System.Windows.Forms.DateTimePicker dtpFirstDate; + private System.Windows.Forms.RadioButton radioButtonFixedPeriodOscillator; + private System.Windows.Forms.RadioButton radioButtonOpenToCloseWeekly; + private System.Windows.Forms.RadioButton radioButtonCloseToOpenDaily; private System.Windows.Forms.DataGrid dgBestGenomes; /// <summary> *************** *** 40,52 **** /// </summary> private System.ComponentModel.Container components = null; - private System.Windows.Forms.DateTimePicker dtpFirstDate; - private System.Windows.Forms.DateTimePicker dtpLastDate; // Glauco code private ArrayList bestGenomes; - private System.Windows.Forms.Label label1; - 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; --- 50,56 ---- *************** *** 98,193 **** /// the contents of this method with the code editor. /// </summary> ! 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 --- 102,234 ---- /// the contents of this method with the code editor. /// </summary> ! private void InitializeComponent() { ! this.dgBestGenomes = new System.Windows.Forms.DataGrid(); ! this.radioButtonCloseToOpenDaily = new System.Windows.Forms.RadioButton(); ! this.radioButtonOpenToCloseWeekly = new System.Windows.Forms.RadioButton(); ! this.radioButtonFixedPeriodOscillator = new System.Windows.Forms.RadioButton(); ! this.dtpFirstDate = new System.Windows.Forms.DateTimePicker(); ! this.dtpLastDate = new System.Windows.Forms.DateTimePicker(); ! this.radioButtonReversalOneRank = new System.Windows.Forms.RadioButton(); ! this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton(); ! this.label1 = new System.Windows.Forms.Label(); ! this.textBoxDaysFPOscillatorAndRevOneRank = new System.Windows.Forms.TextBox(); ! this.labelDays = new System.Windows.Forms.Label(); ! ((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, 205); ! this.dgBestGenomes.Name = "dgBestGenomes"; ! this.dgBestGenomes.Size = new System.Drawing.Size(584, 168); ! this.dgBestGenomes.TabIndex = 0; ! this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp); ! // ! // radioButtonCloseToOpenDaily ! // ! this.radioButtonCloseToOpenDaily.Location = new System.Drawing.Point(64, 120); ! 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); ! // ! // radioButtonOpenToCloseWeekly ! // ! this.radioButtonOpenToCloseWeekly.Location = new System.Drawing.Point(64, 144); ! 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); ! // ! // radioButtonFixedPeriodOscillator ! // ! this.radioButtonFixedPeriodOscillator.Location = new System.Drawing.Point(232, 96); ! this.radioButtonFixedPeriodOscillator.Name = "radioButtonFixedPeriodOscillator"; ! this.radioButtonFixedPeriodOscillator.Size = new System.Drawing.Size(192, 24); ! this.radioButtonFixedPeriodOscillator.TabIndex = 7; ! this.radioButtonFixedPeriodOscillator.Text = "Fixed Period n-days oscillator"; ! this.radioButtonFixedPeriodOscillator.CheckedChanged += new System.EventHandler(this.radioButtonFixedPeriodOscillator_CheckedChanged); ! // ! // 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, 21); ! this.dtpLastDate.TabIndex = 2; ! // ! // radioButtonReversalOneRank ! // ! this.radioButtonReversalOneRank.Location = new System.Drawing.Point(232, 120); ! this.radioButtonReversalOneRank.Name = "radioButtonReversalOneRank"; ! this.radioButtonReversalOneRank.Size = new System.Drawing.Size(192, 24); ! this.radioButtonReversalOneRank.TabIndex = 10; ! this.radioButtonReversalOneRank.Text = "Extreme counter trend"; ! this.radioButtonReversalOneRank.CheckedChanged += new System.EventHandler(this.radioButtonReversalOneRank_CheckedChanged); ! // ! // radioButtonOpenToCloseDaily ! // ! 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.Text = "Open To Close Daily"; ! this.radioButtonOpenToCloseDaily.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseDaily_CheckedChanged); ! // ! // 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."; ! // ! // textBoxDaysFPOscillatorAndRevOneRank ! // ! this.textBoxDaysFPOscillatorAndRevOneRank.Location = new System.Drawing.Point(320, 152); ! this.textBoxDaysFPOscillatorAndRevOneRank.Name = "textBoxDaysFPOscillatorAndRevOneRank"; ! this.textBoxDaysFPOscillatorAndRevOneRank.Size = new System.Drawing.Size(56, 21); ! this.textBoxDaysFPOscillatorAndRevOneRank.TabIndex = 8; ! this.textBoxDaysFPOscillatorAndRevOneRank.Text = ""; ! // ! // labelDays ! // ! this.labelDays.Location = new System.Drawing.Point(272, 152); ! this.labelDays.Name = "labelDays"; ! this.labelDays.Size = new System.Drawing.Size(40, 16); ! this.labelDays.TabIndex = 9; ! this.labelDays.Text = "days"; ! // ! // TestDisplayer ! // ! this.AutoScaleBaseSize = new System.Drawing.Size(5, 14); ! this.ClientSize = new System.Drawing.Size(584, 373); ! this.Controls.Add(this.radioButtonReversalOneRank); ! this.Controls.Add(this.labelDays); ! this.Controls.Add(this.textBoxDaysFPOscillatorAndRevOneRank); ! this.Controls.Add(this.radioButtonFixedPeriodOscillator); ! this.Controls.Add(this.radioButtonCloseToOpenDaily); ! this.Controls.Add(this.radioButtonOpenToCloseWeekly); ! this.Controls.Add(this.radioButtonOpenToCloseDaily); ! this.Controls.Add(this.label1); ! this.Controls.Add(this.dtpLastDate); ! this.Controls.Add(this.dtpFirstDate); ! this.Controls.Add(this.dgBestGenomes); ! this.Name = "TestDisplayer"; ! this.Text = "TestDisplayer"; ! ((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit(); ! this.ResumeLayout(false); ! } #endregion *************** *** 239,243 **** new LinearCombinationTest( this.dtpFirstDate.Value , this.dtpLastDate.Value , genomeRepresentation , ! this.selectedStrategyType); linearCombinationTest.Run(); this.lastSelectedGenomeRepresentation = genomeRepresentation; --- 280,284 ---- new LinearCombinationTest( this.dtpFirstDate.Value , this.dtpLastDate.Value , genomeRepresentation , ! this.selectedStrategyType, Convert.ToInt32(this.textBoxDaysFPOscillatorAndRevOneRank.Text)); linearCombinationTest.Run(); this.lastSelectedGenomeRepresentation = genomeRepresentation; *************** *** 278,282 **** --- 319,328 ---- else if(this.radioButtonCloseToOpenDaily.Checked) this.selectedStrategyType = StrategyType.CloseToOpenDaily; + else if(this.radioButtonFixedPeriodOscillator.Checked) + this.selectedStrategyType = StrategyType.FixedPeriodOscillator; + else if(this.radioButtonReversalOneRank.Checked) + this.selectedStrategyType = StrategyType.ExtremeCounterTrend; } + private void radioButtonOpenToCloseDaily_CheckedChanged(object sender, System.EventArgs e) { *************** *** 293,296 **** --- 339,352 ---- this.update_selectedStrategyType(); } + + private void radioButtonFixedPeriodOscillator_CheckedChanged(object sender, System.EventArgs e) + { + this.update_selectedStrategyType(); + } + + private void radioButtonReversalOneRank_CheckedChanged(object sender, System.EventArgs e) + { + this.update_selectedStrategyType(); + } } } |
