[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination OTC_CTODail

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv521/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	TestDisplayer.cs StrategyType.cs LinearCombinationTest.cs 
	GenomeRepresentation.cs FixedPeriodOscillatorStrategy.cs 
	ExtremeCounterTrendStrategy.cs 
Added Files:
	OTC_CTODailyStrategy.cs 
Log Message:
Added  OTC_CTO strategy for the genome form displayer.
Updated other file strategies for the displayer.

Index: ExtremeCounterTrendStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/ExtremeCounterTrendStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ExtremeCounterTrendStrategy.cs	14 May 2006 18:13:17 -0000	1.1
--- ExtremeCounterTrendStrategy.cs	2 Jul 2006 19:22:12 -0000	1.2
***************
*** 43,46 ****
--- 43,47 ----
  		private Account account;
  		private string[] signedTickers;
+ 		private double[] weightsForSignedTickers;
  		private int numDaysForReturnCalculation;
      private int numOfClosesElapsed = 0;
***************
*** 48,56 ****

  		public ExtremeCounterTrendStrategy( Account account ,
! 			                              string[] signedTickers, 
                                      int numDaysForReturnCalculation)
  		{
  			this.account = account;
  			this.signedTickers = signedTickers;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
  		}
--- 49,59 ----

  		public ExtremeCounterTrendStrategy( Account account ,
! 			                              string[] signedTickers,
! 			                              double[] weightsForSignedTickers,
                                      int numDaysForReturnCalculation)
  		{
  			this.account = account;
  			this.signedTickers = signedTickers;
+ 			this.weightsForSignedTickers = weightsForSignedTickers;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
  		}
***************
*** 67,86 ****

      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 );
--- 70,89 ----

      private long marketCloseEventHandler_addOrder_getQuantity(
! 			int indexForSignedTicker)
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( SignedTicker.GetTicker(this.signedTickers[indexForSignedTicker]) );
  			double maxPositionValueForThisTicker =
! 				accountValue*this.weightsForSignedTickers[indexForSignedTicker];
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void marketCloseEventHandler_addOrder( int indexForSignedTicker )
  		{
! 			OrderType orderType = GenomeRepresentation.GetOrderType( this.signedTickers[indexForSignedTicker] );
! 			string ticker = GenomeRepresentation.GetTicker( this.signedTickers[indexForSignedTicker] );
! 			long quantity = marketCloseEventHandler_addOrder_getQuantity( indexForSignedTicker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
  				quantity );
***************
*** 89,94 ****
  		private void marketCloseEventHandler_addOrders()
  		{
! 			foreach ( string signedTicker in this.signedTickers )
! 				marketCloseEventHandler_addOrder( signedTicker );
  		}

--- 92,97 ----
  		private void marketCloseEventHandler_addOrders()
  		{
! 			for(int i = 0; i<this.signedTickers.Length; i++)
! 				marketCloseEventHandler_addOrder( i );
  		}

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

OTC_CTODailyStrategy.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>
	/// Open to close - Close to open daily strategy
	/// </summary>
	[Serializable]
	public class OTC_CTODailyStrategy : IEndOfDayStrategy
	{
		private Account account;
		private string[] signedTickers;
		private double[] weightsForSignedTickers;

		public OTC_CTODailyStrategy( Account account ,
			string[] signedTickers, double[] weightsForSignedTickers)
		{
			this.account = account;
			this.signedTickers = signedTickers;
			this.weightsForSignedTickers = weightsForSignedTickers;
		}
		private long addOrders_addOrder_getQuantity(
			int indexForSignedTicker )
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( SignedTicker.GetTicker(this.signedTickers[indexForSignedTicker]) );
			double maxPositionValueForThisTicker =
				accountValue*this.weightsForSignedTickers[indexForSignedTicker];
			long quantity = Convert.ToInt64(	Math.Floor(
				maxPositionValueForThisTicker /	currentTickerAsk ) );
			return quantity;
		}
		private void addOrders_addOrder( int indexForSignedTicker )
		{
			OrderType orderType = GenomeRepresentation.GetOrderType( this.signedTickers[indexForSignedTicker] );
			string ticker = GenomeRepresentation.GetTicker( this.signedTickers[indexForSignedTicker] );
			long quantity = addOrders_addOrder_getQuantity( indexForSignedTicker );
			Order order = new Order( orderType , new Instrument( ticker ) ,
				quantity );
			this.account.AddOrder( order );
		}
		private void addOrders()
		{
			for(int i = 0; i<this.signedTickers.Length; i++)
				  this.addOrders_addOrder( i );
		}
		public void MarketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			this.closePositions();
      if ( ( this.account.CashAmount == 0 ) &&
				( this.account.Transactions.Count == 0 ) )
				// cash has not been added yet
				this.account.AddCash( 30000 );
			this.addOrders();
		}
		private void 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)
		{
      this.closePositions();
      SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
      this.addOrders();
      SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
		}

    public void OneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}

	}
}

Index: FixedPeriodOscillatorStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedPeriodOscillatorStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** FixedPeriodOscillatorStrategy.cs	14 May 2006 18:13:17 -0000	1.1
--- FixedPeriodOscillatorStrategy.cs	2 Jul 2006 19:22:12 -0000	1.2
***************
*** 41,44 ****
--- 41,45 ----
  		private Account account;
  		private string[] signedTickers;
+ 		private double[] weightsForSignedTickers;
      private int daysForRightPeriod;
      private int daysForReversalPeriod;
***************
*** 51,55 ****

  		public FixedPeriodOscillatorStrategy( Account account ,
! 			                                     string[] signedTickers, 
                                             int daysForRightPeriod,
                                             int daysForReversalPeriod)
--- 52,57 ----

  		public FixedPeriodOscillatorStrategy( Account account ,
! 			                                     string[] signedTickers,
! 			                                     double[] weightsForSignedTickers,
                                             int daysForRightPeriod,
                                             int daysForReversalPeriod)
***************
*** 57,80 ****
  			this.account = account;
  			this.signedTickers = signedTickers;
        this.daysForRightPeriod = daysForRightPeriod;
        this.daysForReversalPeriod = daysForReversalPeriod;
  		}
  		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 );
--- 59,83 ----
  			this.account = account;
  			this.signedTickers = signedTickers;
+ 			this.weightsForSignedTickers = weightsForSignedTickers;
        this.daysForRightPeriod = daysForRightPeriod;
        this.daysForReversalPeriod = daysForReversalPeriod;
  		}
  		private long marketCloseEventHandler_addOrder_getQuantity(
! 			int indexForSignedTicker)
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( SignedTicker.GetTicker(this.signedTickers[indexForSignedTicker]) );
  			double maxPositionValueForThisTicker =
! 				accountValue*this.weightsForSignedTickers[indexForSignedTicker];
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void marketCloseEventHandler_addOrder( int indexForSignedTicker )
  		{
! 			OrderType orderType = GenomeRepresentation.GetOrderType( this.signedTickers[indexForSignedTicker] );
! 			string ticker = GenomeRepresentation.GetTicker( this.signedTickers[indexForSignedTicker] );
! 			long quantity = marketCloseEventHandler_addOrder_getQuantity( indexForSignedTicker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
  				quantity );
***************
*** 83,88 ****
  		private void marketCloseEventHandler_addOrders()
  		{
! 			foreach ( string signedTicker in this.signedTickers )
! 				marketCloseEventHandler_addOrder( signedTicker );
  		}

--- 86,91 ----
  		private void marketCloseEventHandler_addOrders()
  		{
! 			for(int i = 0; i<this.signedTickers.Length; i++)
! 				marketCloseEventHandler_addOrder( i );
  		}

Index: StrategyType.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/StrategyType.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** StrategyType.cs	14 May 2006 18:18:23 -0000	1.2
--- StrategyType.cs	2 Jul 2006 19:22:12 -0000	1.3
***************
*** 33,36 ****
--- 33,37 ----
      OpenToCloseWeekly,
      CloseToOpenDaily,
+     OpenToCloseCloseToOpenDaily,
      FixedPeriodOscillator,
      ExtremeCounterTrend

Index: GenomeRepresentation.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/GenomeRepresentation.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeRepresentation.cs	23 Oct 2005 19:09:04 -0000	1.4
--- GenomeRepresentation.cs	2 Jul 2006 19:22:12 -0000	1.5
***************
*** 23,26 ****
--- 23,27 ----
  using System;

+ using QuantProject.ADT;
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.Business.Financial.Ordering;
***************
*** 68,76 ****
  		}

! 		public static string[] GetSignedTickers( string signedTickers )
  		{
! 			string[] returnValue = signedTickers.Split( ";".ToCharArray() );
  			return returnValue;
  		}
  		public static OrderType GetOrderType( string signedTicker )
  		{
--- 69,117 ----
  		}

! //		public static string[] GetSignedTickers( string signedTickers )
! //		{
! //			string[] returnValue = signedTickers.Split( ";".ToCharArray());
! //			return returnValue;
! //		}
! 		
! 		public static string[] GetSignedTickers( string signedTickersWithWeights )
  		{
! 			string[] returnValue = 
!         signedTickersWithWeights.Split( ConstantsProvider.SeparatorForTickers.ToCharArray());
! 			if( signedTickersWithWeights.Split( ConstantsProvider.SeparatorForWeights.ToCharArray() ).Length > 1 )
! 			//the separator char for tickers is contained in signedTickersWithWeights: 
! 			//so weights have been saved within tickers, separated by this special char
! 			{
! 				for(int i = 0; i<returnValue.Length; i++)
! 				{
! 					returnValue[i] = 
! 						 returnValue[i].Split( ConstantsProvider.SeparatorForWeights.ToCharArray() )[0];
! 				}
! 			}	
! 			return returnValue;
! 		}
! 		
! 		public static double[] GetWeightsForSignedTickers( string signedTickersWithWeights )
! 		{
! 			string[] signedTickersWithWeightsArray = 
! 								signedTickersWithWeights.Split( ConstantsProvider.SeparatorForTickers.ToCharArray() );
! 			double[] returnValue =
! 				new double[signedTickersWithWeightsArray.Length];
! 			for(int i = 0; i<returnValue.Length; i++)
! 				returnValue[i] = 1.0/returnValue.Length;
! 			
! 			if((signedTickersWithWeights.Split(ConstantsProvider.SeparatorForWeights.ToCharArray())).Length > 1)
! 			//the separator for weights is contained in signedTickersWithWeights: 
! 			//so weights have been saved within tickers, separated by this char
! 			{
! 				for(int i = 0; i<returnValue.Length; i++)
! 				{
! 					returnValue[i] = 
! 						Convert.ToDouble( signedTickersWithWeightsArray[i].Split( ConstantsProvider.SeparatorForWeights.ToCharArray() )[1] );
! 				}
! 			}	
  			return returnValue;
  		}
+ 		
  		public static OrderType GetOrderType( string signedTicker )
  		{
***************
*** 91,94 ****
--- 132,136 ----
  			return returnValue;
  		}
+ 
  		private string getSignedTickers( Genome genome )
  		{
***************
*** 100,103 ****
--- 142,162 ----
  			return signedTickers;
  		}
+ 		private string getSignedTickersWithWeights( Genome genome )
+ 		{
+ 			string signedTickersWithWeights = "";
+ 			for ( int i = 0; i<((GenomeMeaning)genome.Meaning).Tickers.Length; i++ )
+ 			{
+ 				signedTickersWithWeights +=
+ 					((GenomeMeaning)genome.Meaning).Tickers[i] + 
+ 					ConstantsProvider.SeparatorForWeights +
+ 					((GenomeMeaning)genome.Meaning).TickersPortfolioWeights[i] +
+ 					ConstantsProvider.SeparatorForTickers;
+ 			}
+ 			signedTickersWithWeights = signedTickersWithWeights.Substring( 0 ,
+ 					signedTickersWithWeights.Length - 1 );
+ 			
+ 			return signedTickersWithWeights;
+ 		}
+ 		
  		private void genomeRepresentation( Genome genome ,
  			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
***************
*** 105,109 ****
  		{
  			this.fitness = genome.Fitness;
! 			this.signedTickers = this.getSignedTickers( genome );
  			this.firstOptimizationDate = firstOptimizationDate;
  			this.lastOptimizationDate = lastOptimizationDate;
--- 164,169 ----
  		{
  			this.fitness = genome.Fitness;
! 			this.signedTickers = this.getSignedTickersWithWeights( genome );
! 			//this.signedTickers = this.getSignedTickers( genome );
  			this.firstOptimizationDate = firstOptimizationDate;
  			this.lastOptimizationDate = lastOptimizationDate;

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** LinearCombinationTest.cs	14 May 2006 18:18:23 -0000	1.6
--- LinearCombinationTest.cs	2 Jul 2006 19:22:12 -0000	1.7
***************
*** 94,102 ****
  			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
  				this.genomeRepresentation.SignedTickers );
        switch (this.strategyType)
        {
          case StrategyType.OpenToCloseDaily:
            this.endOfDayStrategy = new OpenToCloseDailyStrategy(
! 					                            this.account , signedTickers );
            break;
          case StrategyType.OpenToCloseWeekly:
--- 94,105 ----
  			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
  				this.genomeRepresentation.SignedTickers );
+ 			double[] weightsForSignedTickers = GenomeRepresentation.GetWeightsForSignedTickers(
+ 				this.genomeRepresentation.SignedTickers );
        switch (this.strategyType)
        {
          case StrategyType.OpenToCloseDaily:
            this.endOfDayStrategy = new OpenToCloseDailyStrategy(
! 					                            this.account , signedTickers,
! 					                            weightsForSignedTickers );
            break;
          case StrategyType.OpenToCloseWeekly:
***************
*** 109,120 ****
            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;
        }
--- 112,130 ----
            break;

+         case StrategyType.OpenToCloseCloseToOpenDaily:
+           this.endOfDayStrategy = new OTC_CTODailyStrategy(
+             this.account , signedTickers , weightsForSignedTickers);
+           break;
+         
          case StrategyType.FixedPeriodOscillator:
            this.endOfDayStrategy = new FixedPeriodOscillatorStrategy(
! 			            this.account , signedTickers , weightsForSignedTickers,
! 			            this.numDaysForOscillatorStrategy , 
! 			            this.numDaysForOscillatorStrategy );
            break;

          case StrategyType.ExtremeCounterTrend:
            this.endOfDayStrategy = new ExtremeCounterTrendStrategy(
!             this.account , signedTickers , weightsForSignedTickers, this.numDaysForOscillatorStrategy );
            break;
        }

Index: TestDisplayer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** TestDisplayer.cs	14 May 2006 18:18:23 -0000	1.7
--- TestDisplayer.cs	2 Jul 2006 19:22:12 -0000	1.8
***************
*** 36,46 ****
  	{
  		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;
--- 36,46 ----
  	{
  		private System.Windows.Forms.Label labelDays;
! 		private System.Windows.Forms.RadioButton radioButtonFixedPeriodOscillator;
  		private System.Windows.Forms.RadioButton radioButtonOpenToCloseDaily;
  		private System.Windows.Forms.RadioButton radioButtonReversalOneRank;
  		private System.Windows.Forms.DateTimePicker dtpLastDate;
+ 		private System.Windows.Forms.Label label1;
  		private System.Windows.Forms.DateTimePicker dtpFirstDate;
! 		private System.Windows.Forms.TextBox textBoxDaysFPOscillatorAndRevOneRank;
  		private System.Windows.Forms.RadioButton radioButtonOpenToCloseWeekly;
  		private System.Windows.Forms.RadioButton radioButtonCloseToOpenDaily;
***************
*** 54,57 ****
--- 54,58 ----
  		private ArrayList bestGenomes;
  		private GenomeRepresentation lastSelectedGenomeRepresentation;
+     private System.Windows.Forms.RadioButton radioButtonOTCCTODaily;
      private StrategyType selectedStrategyType = StrategyType.OpenToCloseDaily;

***************
*** 103,234 ****
  		/// </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

--- 104,247 ----
  		/// </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.textBoxDaysFPOscillatorAndRevOneRank = new System.Windows.Forms.TextBox();
!       this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
!       this.label1 = new System.Windows.Forms.Label();
!       this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
!       this.radioButtonReversalOneRank = new System.Windows.Forms.RadioButton();
!       this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton();
!       this.radioButtonFixedPeriodOscillator = new System.Windows.Forms.RadioButton();
!       this.labelDays = new System.Windows.Forms.Label();
!       this.radioButtonOTCCTODaily = 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, 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);
!       // 
!       // textBoxDaysFPOscillatorAndRevOneRank
!       // 
!       this.textBoxDaysFPOscillatorAndRevOneRank.Location = new System.Drawing.Point(320, 152);
!       this.textBoxDaysFPOscillatorAndRevOneRank.Name = "textBoxDaysFPOscillatorAndRevOneRank";
!       this.textBoxDaysFPOscillatorAndRevOneRank.Size = new System.Drawing.Size(56, 20);
!       this.textBoxDaysFPOscillatorAndRevOneRank.TabIndex = 8;
!       this.textBoxDaysFPOscillatorAndRevOneRank.Text = "1";
!       // 
!       // dtpFirstDate
!       // 
!       this.dtpFirstDate.Location = new System.Drawing.Point(16, 24);
!       this.dtpFirstDate.Name = "dtpFirstDate";
!       this.dtpFirstDate.TabIndex = 1;
!       // 
!       // 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.";
!       // 
!       // 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;
!       // 
!       // 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);
!       // 
!       // 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);
!       // 
!       // 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";
!       // 
!       // radioButtonOTCCTODaily
!       // 
!       this.radioButtonOTCCTODaily.Location = new System.Drawing.Point(64, 168);
!       this.radioButtonOTCCTODaily.Name = "radioButtonOTCCTODaily";
!       this.radioButtonOTCCTODaily.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonOTCCTODaily.TabIndex = 11;
!       this.radioButtonOTCCTODaily.Text = "OTC - CTO Daily";
!       // 
!       // 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.radioButtonOTCCTODaily,
!                                                                   this.radioButtonReversalOneRank,
!                                                                   this.labelDays,
!                                                                   this.textBoxDaysFPOscillatorAndRevOneRank,
!                                                                   this.radioButtonFixedPeriodOscillator,
!                                                                   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

***************
*** 323,326 ****
--- 336,341 ----
        else if(this.radioButtonReversalOneRank.Checked)
          this.selectedStrategyType = StrategyType.ExtremeCounterTrend;
+       else if(this.radioButtonOTCCTODaily.Checked)
+         this.selectedStrategyType = StrategyType.OpenToCloseCloseToOpenDaily;
      }