[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerOTC.cs,1.1,1.2 EndOfDayTimerHandlerCTC.cs,1.19,1.20

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5688/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerOTC.cs EndOfDayTimerHandlerCTC.cs 
Log Message:
Updated EODHandlers for the Open to Close and Close to Open scripts

Index: EndOfDayTimerHandlerOTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerOTC.cs	7 Jan 2006 10:35:39 -0000	1.1
--- EndOfDayTimerHandlerOTC.cs	14 May 2006 18:39:14 -0000	1.2
***************
*** 142,146 ****
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!      	
       	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
        
--- 142,172 ----
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!      		SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
!       	new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
!       	                                              this.benchmark,true,
!       	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
!       	                                    					currentDate,
!       	                                    					this.numberOfEligibleTickers);
!       
!       this.eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
!         new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
!                                    false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                     currentDate, this.numberOfEligibleTickers, this.benchmark);
!       //SelectorByWinningOpenToClose winners =
!       //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
!       //	                                 false, currentDate.AddDays(-2),
!       //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
!       //return winners.GetTableOfSelectedTickers();
!       //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
!       //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
!       //                                                this.benchmark, true,
!       //                                                currentDate.AddDays(-this.numDaysForLiquidity),
!       //                                                currentDate, this.numberOfEligibleTickers/2);
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!     	
!     	
!     	/*
       	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
        
***************
*** 183,186 ****
--- 209,213 ----
        //return lessCorrelated.GetTableOfSelectedTickers();
        //return selectorByOpenPriceFromMostLiquid.GetTableOfSelectedTickers();
+       */
      }
      
***************
*** 196,206 ****
        {
          IGenomeManager genManEfficientOTCPortfolio = 
!           new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
!         	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!         	                                          currentDate,
!         	                                          this.numberOfTickersToBeChosen,
!         	                                          this.targetReturn,
!         	                                         	this.portfolioType);
!         
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
                                                      this.populationSizeForGeneticOptimizer,
--- 223,239 ----
        {
          IGenomeManager genManEfficientOTCPortfolio = 
! //          new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
! //        	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! //        	                                          currentDate,
! //        	                                          this.numberOfTickersToBeChosen,
! //        	                                          this.targetReturn,
! //        	                                         	this.portfolioType);
!           new GenomeManagerForEfficientOTCTypes (setOfTickersToBeOptimized,
!                                                     currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                                     currentDate,
!                                                     this.numberOfTickersToBeChosen,
!                                                     this.targetReturn,
!                                                     this.portfolioType);
! 
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
                                                      this.populationSizeForGeneticOptimizer,

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** EndOfDayTimerHandlerCTC.cs	28 Dec 2005 23:29:40 -0000	1.19
--- EndOfDayTimerHandlerCTC.cs	14 May 2006 18:39:14 -0000	1.20
***************
*** 164,182 ****
        this.eligibleTickers = quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers();
      	
!       SelectorByCloseToCloseCorrelationToBenchmark lessCorrelatedFromEligible = 
!     		new SelectorByCloseToCloseCorrelationToBenchmark(this.eligibleTickers,
!       	                                              this.benchmark,true,
!       	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
!       	                                    					currentDate,
!       	                                    					this.numberOfEligibleTickers/2,
!       	                                    					this.numDaysForReturnCalculation);
!     	SelectorByAbsolutePerformance mostQuietFromLessCorrelated = 
!           new SelectorByAbsolutePerformance(lessCorrelatedFromEligible.GetTableOfSelectedTickers(),
!                                             true,currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
!       	                                    currentDate,
!       	                                    this.numberOfEligibleTickers/4,
!       	                                    0.01f, 0.10f);
!  
!       return mostQuietFromLessCorrelated.GetTableOfSelectedTickers();
      }
      
--- 164,184 ----
        this.eligibleTickers = quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers();
      	
! //      SelectorByCloseToCloseCorrelationToBenchmark lessCorrelatedFromEligible = 
! //    		new SelectorByCloseToCloseCorrelationToBenchmark(this.eligibleTickers,
! //      	                                              this.benchmark,true,
! //      	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
! //      	                                    					currentDate,
! //      	                                    					this.numberOfEligibleTickers/2,
! //      	                                    					this.numDaysForReturnCalculation);
! //    	SelectorByAbsolutePerformance mostQuietFromLessCorrelated = 
! //          new SelectorByAbsolutePerformance(lessCorrelatedFromEligible.GetTableOfSelectedTickers(),
! //                                            true,currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
! //      	                                    currentDate,
! //      	                                    this.numberOfEligibleTickers/4,
! //      	                                    0.01f, 0.10f);
! // 
! //      return mostQuietFromLessCorrelated.GetTableOfSelectedTickers();
! 			
! 				return this.eligibleTickers;
      }
      
***************
*** 211,216 ****
          
          GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                     currentDate);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
          this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
--- 213,218 ----
          
          GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientCTCPortfolio)genManEfficientCTCPortfolio).FirstQuoteDate,
!                                     ((GenomeManagerForEfficientCTCPortfolio)genManEfficientCTCPortfolio).LastQuoteDate);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
          this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;