[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions WFLagDebugPositions.cs,1.2,1.3

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6293/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions

Modified Files:
	WFLagDebugPositions.cs 
Log Message:
Now, equity line for both driving positions (green line)
and portfolio positions (brown line) are added to the report chart.

Index: WFLagDebugPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions/WFLagDebugPositions.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFLagDebugPositions.cs	14 May 2006 21:23:56 -0000	1.2
--- WFLagDebugPositions.cs	31 May 2006 14:19:43 -0000	1.3
***************
*** 23,27 ****
--- 23,29 ----
  using System;
  using System.Collections;
+ using System.Drawing;
  
+ using QuantProject.ADT.Collections;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
***************
*** 113,118 ****
  				this.account.AddCash( 30000 );
  		}
! 		#region getEquityLineForDrivingPositions
! 
  		/// <summary>
  		/// Returns a virtual amount of quantities for each virtual ticker.
--- 115,120 ----
  				this.account.AddCash( 30000 );
  		}
! 		#region oneHourAfterMarketCloseEventHandler
! 		#region getEquityLineForSignedTickers
  		/// <summary>
  		/// Returns a virtual amount of quantities for each virtual ticker.
***************
*** 121,132 ****
  		/// </summary>
  		/// <returns></returns>
! 		private Hashtable getDrivingTickersVirtualQuantities(
  			DateTime dateTime )
  		{
! 			Hashtable drivingTickersVirtualQuantities = new Hashtable();
  			double valueForEachPosition = 30000 /
! 				this.wFLagChosenPositions.DrivingPositions.Count;
! 			foreach( string signedTicker in
! 				this.wFLagChosenPositions.DrivingPositions.Keys )
  			{
  				string ticker = SignedTicker.GetTicker( signedTicker );
--- 123,133 ----
  		/// </summary>
  		/// <returns></returns>
! 		private Hashtable getVirtualQuantities( ICollection positions ,
  			DateTime dateTime )
  		{
! 			Hashtable virtualQuantities = new Hashtable();
  			double valueForEachPosition = 30000 /
! 				positions.Count;
! 			foreach( string signedTicker in	positions )
  			{
  				string ticker = SignedTicker.GetTicker( signedTicker );
***************
*** 137,149 ****
  					ticker , endOfDayDateTime );
  				double virtualQuantity = valueForEachPosition / tickerQuote;
! 				drivingTickersVirtualQuantities.Add( ticker , virtualQuantity );
  			}
! 			return drivingTickersVirtualQuantities;
  		}
! 		private double getEquityLineForDrivingPositions( DateTime dateTime ,
  			Hashtable tickerVirtualQuantities )
  		{
! 			double equityValueForDrivingPositions = 30000;
! 			foreach( string ticker in tickerVirtualQuantities )
  			{
  				EndOfDayDateTime endOfDayDateTime =	new EndOfDayDateTime(
--- 138,169 ----
  					ticker , endOfDayDateTime );
  				double virtualQuantity = valueForEachPosition / tickerQuote;
! 				if ( SignedTicker.IsShort( signedTicker ) )
! 					virtualQuantity = -virtualQuantity;
! 				virtualQuantities.Add( ticker , virtualQuantity );
  			}
! 			return virtualQuantities;
  		}
! 		private double getCash( Hashtable drivingTickerVirtualQuantities )
! 		{
! 			double cash = 30000;
! 			double valueForEachPosition =
! 				cash / drivingTickerVirtualQuantities.Count;
! 			foreach ( double virtualQuantity in
! 				drivingTickerVirtualQuantities.Values )
! 			{
! 				if ( virtualQuantity > 0 )
! 					// long position
! 					cash -= valueForEachPosition;
! 				else
! 					// virtualQuantity > 0 i.e. short position
! 					cash += valueForEachPosition;
! 			}
! 			return cash;
! 		}
! 		private double getPortfolioValueForSignedTickers( DateTime dateTime ,
  			Hashtable tickerVirtualQuantities )
  		{
! 			double portfolioValueForDrivingPositions = 0;
! 			foreach( string ticker in tickerVirtualQuantities.Keys )
  			{
  				EndOfDayDateTime endOfDayDateTime =	new EndOfDayDateTime(
***************
*** 152,179 ****
  					ticker , endOfDayDateTime );
  				double virtualQuantity = (double)tickerVirtualQuantities[ ticker ];
! 				equityValueForDrivingPositions +=	virtualQuantity * tickerQuote;
  			}
! 			return equityValueForDrivingPositions;
  		}
! 		private EquityLine getEquityLineForDrivingPositions(
! 			Report report )
  		{
  			EquityLine equityLineForPortfolioPositions =
  				report.AccountReport.EquityLine;
! 			EquityLine equityLineForDrivingPositions =
  				new EquityLine();
! 			Hashtable drivingTickerQuantities =
! 				this.getDrivingTickersVirtualQuantities(
  				(DateTime)equityLineForPortfolioPositions.GetKey( 0 ) );
! 			foreach( DateTime dateTime in equityLineForPortfolioPositions )
! 				equityLineForDrivingPositions.Add( dateTime ,
! 					this.getEquityLineForDrivingPositions( dateTime ,
! 					drivingTickerQuantities ) );
! //			double normalizingFactor =
! //				( double )equityLineForPortfolioPositions.GetByIndex( 0 ) /
! //				( double )equityLineForDrivingPositions.GetByIndex( 0 );
! 			return equityLineForDrivingPositions;
  		}
  		#endregion
  		public void oneHourAfterMarketCloseEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
--- 172,207 ----
  					ticker , endOfDayDateTime );
  				double virtualQuantity = (double)tickerVirtualQuantities[ ticker ];
! 				portfolioValueForDrivingPositions +=	virtualQuantity * tickerQuote;
  			}
! 			return portfolioValueForDrivingPositions;
  		}
! 		private EquityLine getEquityLineForSignedTickers(
! 			ICollection signedTickers , Report report )
  		{
  			EquityLine equityLineForPortfolioPositions =
  				report.AccountReport.EquityLine;
! 			EquityLine equityLineForSignedTickers =
  				new EquityLine();
! 			Hashtable virtualQuantities =
! 				this.getVirtualQuantities( signedTickers ,
  				(DateTime)equityLineForPortfolioPositions.GetKey( 0 ) );
! 			double cash = this.getCash( virtualQuantities ); 
! 			foreach( DateTime dateTime in
! 				equityLineForPortfolioPositions.Keys )
! 				equityLineForSignedTickers.Add( dateTime ,
! 					cash + this.getPortfolioValueForSignedTickers( dateTime ,
! 					virtualQuantities ) );
! 			return equityLineForSignedTickers;
  		}
  		#endregion
+ 		private void addEquityLineForSignedTickers(
+ 			ICollection signedTickers , Color color , Report report )
+ 		{
+ 			EquityLine equityLineSignedTickers =
+ 				this.getEquityLineForSignedTickers(
+ 				signedTickers , report );
+ 			report.AddEquityLine( equityLineSignedTickers ,
+ 				color );
+ 		}
  		public void oneHourAfterMarketCloseEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 188,198 ****
  					new EndOfDayDateTime( this.postSampleLastDateTime ,
  					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
! 					this.benchmark );
! 				EquityLine equityLineForDrivingPositions =
! 					this.getEquityLineForDrivingPositions( report );
! //				report.AddEquityLine( equityLineForDrivingPositions );
  				report.Show();
  			}
  		}
  		public void Run()
  		{
--- 216,232 ----
  					new EndOfDayDateTime( this.postSampleLastDateTime ,
  					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
! 					this.benchmark , false );
! //				EquityLine equityLineForDrivingPositions =
! //					this.getEquityLineForPositions( report );
! 				this.addEquityLineForSignedTickers(
! 					this.wFLagChosenPositions.DrivingPositions.Keys ,
! 					Color.YellowGreen ,	report );
! 				this.addEquityLineForSignedTickers(
! 					this.wFLagChosenPositions.PortfolioPositions.Keys ,
! 					Color.Brown ,	report );
  				report.Show();
  			}
  		}
+ 		#endregion
  		public void Run()
  		{