[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagEndOfDayT

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8338/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WFLagEndOfDayTimerHandler.cs 
Log Message:
WeightedPositions are used instead of SignedTickers

Index: WFLagEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagEndOfDayTimerHandler.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** WFLagEndOfDayTimerHandler.cs	18 Jun 2006 14:13:30 -0000	1.4
--- WFLagEndOfDayTimerHandler.cs	30 Jul 2006 13:39:56 -0000	1.5
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Financial.Instruments;
+ using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
  using QuantProject.Scripts.SimpleTesting;
***************
*** 61,64 ****
--- 62,66 ----
  
  		private DateTime lastOptimizationDate;
+ 		private bool arePositionsUpToDateWithChosenTickers;
  
  		public event InSampleNewProgressEventHandler InSampleNewProgress;
***************
*** 120,141 ****
  		}
  		#region fiveMinutesBeforeMarketCloseEventHandler_openPositions
! 		private string getTicker( string signedTicker )
! 		{
! 			string returnValue;
! 			if ( signedTicker.IndexOf( "-" ) == 0 )
! 				returnValue = signedTicker.Substring( 1 , signedTicker.Length - 1 );
! 			else
! 				returnValue = signedTicker;
! 			return returnValue;
! 		}
! 		private int getReturnMultiplier( string signedTicker )
! 		{
! 			int returnValue;
! 			if ( signedTicker.IndexOf( "-" ) == 0 )
! 				returnValue = -1;
! 			else
! 				returnValue = 1;
! 			return returnValue;
! 		}
  		private double getTodayReturnForTicker( string ticker )
  		{
--- 122,143 ----
  		}
  		#region fiveMinutesBeforeMarketCloseEventHandler_openPositions
! //		private string getTicker( string signedTicker )
! //		{
! //			string returnValue;
! //			if ( signedTicker.IndexOf( "-" ) == 0 )
! //				returnValue = signedTicker.Substring( 1 , signedTicker.Length - 1 );
! //			else
! //				returnValue = signedTicker;
! //			return returnValue;
! //		}
! //		private int getReturnMultiplier( string signedTicker )
! //		{
! //			int returnValue;
! //			if ( signedTicker.IndexOf( "-" ) == 0 )
! //				returnValue = -1;
! //			else
! //				returnValue = 1;
! //			return returnValue;
! //		}
  		private double getTodayReturnForTicker( string ticker )
  		{
***************
*** 154,162 ****
  			return returnValue;
  		}
! 		private double getTodayReturnForSignedTicker( string signedTicker )
  		{
  			double todayReturnForTicker = this.getTodayReturnForTicker(
! 				WFLagGenomeManager.GetTicker( signedTicker ) );
! 			int returnMultiplier = this.getReturnMultiplier( signedTicker );
  			return todayReturnForTicker * returnMultiplier;
  		}
--- 156,165 ----
  			return returnValue;
  		}
! 		private double getTodayReturn(
! 			WeightedPosition weightedPosition )
  		{
  			double todayReturnForTicker = this.getTodayReturnForTicker(
! 				weightedPosition.Ticker );
! 			double returnMultiplier = weightedPosition.Weight;
  			return todayReturnForTicker * returnMultiplier;
  		}
***************
*** 168,196 ****
  		{
  			double totalReturn = 0;
! 			foreach ( string signedTicker in this.chosenTickers.DrivingPositions.Keys )
! 				totalReturn += this.getTodayReturnForSignedTicker( signedTicker );
  			return totalReturn < 0;
  		}
  		private OrderType
  			fiveMinutesBeforeMarketCloseEventHandler_openPosition_getOrderType(
! 			string signedTicker , bool isToReverse )
  		{
  			OrderType orderType = OrderType.MarketBuy;
! 			if ( ( signedTicker.StartsWith( "-" ) && !isToReverse ) ||
! 				( !signedTicker.StartsWith( "-" ) && isToReverse ) )
  				orderType = OrderType.MarketSellShort;
  			return orderType;
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 			string signedTicker , bool isToReverse )
  		{
! 			string ticker = this.getTicker( signedTicker );
  			OrderType orderType =
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition_getOrderType(
! 				signedTicker , isToReverse );
  			double maxPositionValue = this.account.GetMarketValue() /
  				this.numberOfPositionsToBeChosen;
! 			long sharesToBeTraded = OneRank.MaxBuyableShares( ticker ,
! 				maxPositionValue , this.account.DataStreamer );
  			this.account.AddOrder( new Order( orderType ,
  				new Instrument( ticker ) , sharesToBeTraded ) );
--- 171,207 ----
  		{
  			double totalReturn = 0;
! 			foreach ( WeightedPosition weightedPosition in
! 				this.chosenTickers.DrivingWeightedPositions.Values )
! 				totalReturn += this.getTodayReturn( weightedPosition );
  			return totalReturn < 0;
  		}
  		private OrderType
  			fiveMinutesBeforeMarketCloseEventHandler_openPosition_getOrderType(
! 			WeightedPosition weightedPosition , bool isToReverse )
  		{
  			OrderType orderType = OrderType.MarketBuy;
! 			if ( ( weightedPosition.IsShort && !isToReverse ) ||
! 				( weightedPosition.IsLong && isToReverse ) )
  				orderType = OrderType.MarketSellShort;
  			return orderType;
  		}
+ 		private long getMaxBuyableShares( WeightedPosition weightedPosition )
+ 		{
+ 			double maxPositionValue =	this.account.GetMarketValue() *
+ 				Math.Abs( weightedPosition.Weight );
+ 			double currentAsk =
+ 				this.account.DataStreamer.GetCurrentAsk( weightedPosition.Ticker );
+ 			return Convert.ToInt64(	Math.Floor(	maxPositionValue / currentAsk ) );
+ 		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 			WeightedPosition weightedPosition , bool isToReverse )
  		{
! 			string ticker = weightedPosition.Ticker;
  			OrderType orderType =
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition_getOrderType(
! 				weightedPosition , isToReverse );
  			double maxPositionValue = this.account.GetMarketValue() /
  				this.numberOfPositionsToBeChosen;
! 			long sharesToBeTraded = this.getMaxBuyableShares( weightedPosition );
  			this.account.AddOrder( new Order( orderType ,
  				new Instrument( ticker ) , sharesToBeTraded ) );
***************
*** 199,210 ****
  		{
  			bool isToReverse = this.isToReverse();
! 			foreach ( string signedTicker
! 									in this.chosenTickers.PortfolioPositions.Keys )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( 
! 					signedTicker , isToReverse );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
! 			if ( this.chosenTickers.DrivingPositions != null )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPositions_actually();
  		}
--- 210,222 ----
  		{
  			bool isToReverse = this.isToReverse();
! 			foreach ( WeightedPosition weightedPosition
! 									in this.chosenTickers.PortfolioWeightedPositions.Values )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( 
! 					weightedPosition , isToReverse );
! 			this.arePositionsUpToDateWithChosenTickers = true;
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
! 			if ( this.chosenTickers.DrivingWeightedPositions != null )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPositions_actually();
  		}
***************
*** 212,218 ****
  		{
  			double totalReturn = 0;
! 			foreach ( string signedTicker in
! 				this.chosenTickers.DrivingPositions.Keys )
! 				totalReturn += this.getTodayReturnForSignedTicker( signedTicker );
  			return totalReturn;
  		}
--- 224,230 ----
  		{
  			double totalReturn = 0;
! 			foreach ( WeightedPosition weightedPosition in
! 				this.chosenTickers.DrivingWeightedPositions.Values )
! 				totalReturn += this.getTodayReturn( weightedPosition );
  			return totalReturn;
  		}
***************
*** 225,293 ****
  			return position;
  		}
! 		private string getSignedTicker( string ticker )
! 		{
! 			string signedTicker = "";
! 			if ( this.chosenTickers.PortfolioPositions.ContainsKey( ticker ) )
! 				signedTicker = ticker;
! 			if ( this.chosenTickers.PortfolioPositions.ContainsKey( "-" + ticker ) )
! 				signedTicker = "-" + ticker;
! 			if ( signedTicker == "" )
! 				throw new Exception( "Nor ticker, nor '-'+ticker are contained in " +
! 					"chosenTickers.PortfolioPositions ; this is an unexpected " +
! 					"situation, when this method is invoked." );
! 			return signedTicker;
! 		}
! 		private bool isShort( string signedTicker )
! 		{
! 			return ( signedTicker.StartsWith( "-" ) );
! 		}
! 		private bool isLong( string signedTicker )
! 		{
! 			return ( !this.isShort( signedTicker ) );
! 		}
! 		private bool isContainedInPortfolio( string signedTicker )
! 		{
! 			string ticker = this.getTicker( signedTicker );
! 			bool isContained =
! 				( this.account.Portfolio.ContainsKey( ticker ) )
! 				&&
! 				( ( this.isLong( signedTicker ) &&
! 				this.account.Portfolio.IsLong( ticker ) ) ||
! 				( !this.isLong( signedTicker ) &&
! 				this.account.Portfolio.IsShort( ticker ) ) );
! 			return isContained;
! 		}
! 		private bool doPositionsCorrespondTo( ICollection signedTickers )
! 		{
! 			bool areUpTodate = true;
! 			foreach ( string signedTicker in signedTickers )
! 				areUpTodate = areUpTodate && this.isContainedInPortfolio( signedTicker );
! 			return areUpTodate;
! 		}
! 		private string reverse( string signedTicker )
! 		{
! 			string reversedSignedTicker = "";
! 			if ( this.isLong( signedTicker ) )
! 				reversedSignedTicker = "-" + signedTicker;
! 			if ( !this.isLong( signedTicker ) )
! 				// signedTicker starts with a "-" character
! 				reversedSignedTicker = signedTicker.Substring( 1 );
! 			return reversedSignedTicker;
! 		}
! 		private ICollection reverse( ICollection signedTickers )
! 		{
! 			Hashtable reversedCollection = new Hashtable();
! 			foreach ( string signedTicker in signedTickers )
! 				reversedCollection.Add( this.reverse( signedTicker ) , null );
! 			return reversedCollection.Keys;
! 		}
! 		private bool arePositionsUpToDateWithChosenTickers()
  		{
! 			bool areUpTodate =
! 				this.doPositionsCorrespondTo(
! 				this.chosenTickers.PortfolioPositions.Keys ) ||
! 				this.doPositionsCorrespondTo(
! 				this.reverse( this.chosenTickers.PortfolioPositions.Keys ) );
! 			return areUpTodate;
  		}
  		private bool isReversed()
--- 237,317 ----
  			return position;
  		}
! //		private string getSignedTicker( string ticker )
! //		{
! //			string signedTicker = "";
! //			if ( this.chosenTickers.PortfolioWeightedPositions.ContainsKey( ticker ) )
! //				signedTicker = ticker;
! //			if ( this.chosenTickers.PortfolioWeightedPositions.ContainsKey( "-" + ticker ) )
! //				signedTicker = "-" + ticker;
! //			if ( signedTicker == "" )
! //				throw new Exception( "Nor ticker, nor '-'+ticker are contained in " +
! //					"chosenTickers.PortfolioPositions ; this is an unexpected " +
! //					"situation, when this method is invoked." );
! //			return signedTicker;
! //		}
! //		private bool isShort( string signedTicker )
! //		{
! //			return ( signedTicker.StartsWith( "-" ) );
! //		}
! //		private bool isLong( string signedTicker )
! //		{
! //			return ( !this.isShort( signedTicker ) );
! //		}
! //		private bool isContainedInPortfolio( WeightedPosition weightedPosition )
! //		{
! //			bool isContained = false;
! //			if ( this.account.Portfolio.ContainsKey( weightedPosition.Ticker ) )
! //			{
! //				Position position =
! //					this.account.Portfolio.GetPosition( weightedPosition.Ticker );
! //				isContained = ( position.q
! //			}
! //			bool isContained =
! //				( this.account.Portfolio.ContainsKey( weightedPosition.Ticker ) )
! //				&&
! //				( ( weightedPosition.IsLong &&
! //				this.account.Portfolio.IsLong( weightedPosition.Ticker ) ) ||
! //				( weightedPosition.IsShort &&
! //				this.account.Portfolio.IsShort( weightedPosition.Ticker ) ) );
! //			return isContained;
! //		}
! //		private bool doPositionsCorrespondTo( ICollection signedTickers )
! //		{
! //			bool areUpTodate = true;
! //			foreach ( string signedTicker in signedTickers )
! //				areUpTodate = areUpTodate &&
! //					this.isContainedInPortfolio( signedTicker );
! //			return areUpTodate;
! //		}
! //		private string reverse( string signedTicker )
! //		{
! //			string reversedSignedTicker = "";
! //			if ( this.isLong( signedTicker ) )
! //				reversedSignedTicker = "-" + signedTicker;
! //			if ( !this.isLong( signedTicker ) )
! //				// signedTicker starts with a "-" character
! //				reversedSignedTicker = signedTicker.Substring( 1 );
! //			return reversedSignedTicker;
! //		}
! //		private ICollection reverse( ICollection signedTickers )
! //		{
! //			Hashtable reversedCollection = new Hashtable();
! //			foreach ( string signedTicker in signedTickers )
! //				reversedCollection.Add( this.reverse( signedTicker ) , null );
! //			return reversedCollection.Keys;
! //		}
! //		private bool arePositionsUpToDateWithChosenTickers()
! //		{
! //			bool areUpTodate =
! //				this.doPositionsCorrespondTo(
! //				this.chosenTickers.PortfolioWeightedPositions ) ||
! //				this.doPositionsCorrespondTo(
! //				this.reverse( this.chosenTickers.PortfolioWeightedPositions ) );
! //			return areUpTodate;
! //		}
! 		private WeightedPosition getWeightedPosition( string ticker )
  		{
! 			return this.chosenTickers.PortfolioWeightedPositions.GetWeightedPosition(
! 				ticker );
  		}
  		private bool isReversed()
***************
*** 295,304 ****
  			Position position = this.getFirstPosition();
  			PositionType positionType = position.Type;
! 			string positionTicker = position.Instrument.Key;
! 			String signedTicker = this.getSignedTicker( positionTicker );
  			bool isReversedPosition =
! 				( ( this.isLong( signedTicker )&&
  				( position.Type == PositionType.Short ) ) ||
! 				( !this.isLong( signedTicker ) &&
  				( position.Type == PositionType.Long ) ) );
  			return isReversedPosition;
--- 319,329 ----
  			Position position = this.getFirstPosition();
  			PositionType positionType = position.Type;
! 			string firstPositionTicker = position.Instrument.Key;
! 			WeightedPosition weightedPosition =
! 				this.getWeightedPosition( firstPositionTicker );
  			bool isReversedPosition =
! 				( ( weightedPosition.IsLong &&
  				( position.Type == PositionType.Short ) ) ||
! 				( weightedPosition.IsShort &&
  				( position.Type == PositionType.Long ) ) );
  			return isReversedPosition;
***************
*** 318,322 ****
  		{
  			bool areToBeClosed =
! 				(!this.arePositionsUpToDateWithChosenTickers()) ||
  				this.isReversingNeeded();
  			return areToBeClosed;
--- 343,347 ----
  		{
  			bool areToBeClosed =
! 				( !this.arePositionsUpToDateWithChosenTickers ) ||
  				this.isReversingNeeded();
  			return areToBeClosed;
***************
*** 368,372 ****
  //				Console.WriteLine( "Number of Eligible tickers: " +
  //					this.eligibleTickers.EligibleTickers.Rows.Count );
! 				this.chosenTickers.SetSignedTickers( this.eligibleTickers );
  				this.NewChosenTickers( this ,
  					new WFLagNewChosenTickersEventArgs( this.chosenTickers ) );
--- 393,398 ----
  //				Console.WriteLine( "Number of Eligible tickers: " +
  //					this.eligibleTickers.EligibleTickers.Rows.Count );
! 				this.chosenTickers.SetWeightedPositions( this.eligibleTickers );
! 				this.arePositionsUpToDateWithChosenTickers = false;
  				this.NewChosenTickers( this ,
  					new WFLagNewChosenTickersEventArgs( this.chosenTickers ) );

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagEndOfDayT

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagEndOfDayTimerHandler.cs, 1.4, 1.5