[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend EndOfDayTimerHandlerECT.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24647/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend

Modified Files:
	EndOfDayTimerHandlerECT.cs 
Log Message:
Updated the base handler for tickerSelection strategies (OTC, etc.) and for other
strategies (ECT, FixedPeriodOscillator, ImmediateTrendFollower).


Index: EndOfDayTimerHandlerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/EndOfDayTimerHandlerECT.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerECT.cs	3 Aug 2006 21:31:16 -0000	1.3
--- EndOfDayTimerHandlerECT.cs	7 Aug 2006 21:09:15 -0000	1.4
***************
*** 61,64 ****
--- 61,65 ----
      private DateTime lastCloseDate;
      private IGenomeManager iGenomeManager;
+     private int seedForRandomGenerator;
          
      public EndOfDayTimerHandlerECT(string tickerGroupID, int numberOfEligibleTickers, 
***************
*** 88,91 ****
--- 89,93 ----
  //      this.numDaysBetweenEachOptimization = 2* numDaysForReturnCalculation;
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
+       this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
      }
  	
***************
*** 138,148 ****
      		if(lastHalfPeriodGain < 0.0)
      			base.openPositions();
!     		else
      		{
      			SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
      			//short the portfolio
!     			try{ base.openPositions(); }
!     			catch(Exception ex){ ex = ex; }
!     			finally{SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);}
      		}
      	}
--- 140,158 ----
      		if(lastHalfPeriodGain < 0.0)
      			base.openPositions();
!     		else if (lastHalfPeriodGain > 0.0 &&
!                   this.portfolioType == PortfolioType.ShortAndLong)
      		{
      			SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
      			//short the portfolio
!     			try{
!             base.openPositions();
!           }
!     			catch(Exception ex)
!           {
!             ex = ex;
!           }
!     			finally{
!             SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
!           }
      		}
      	}
***************
*** 151,155 ****
      private void marketCloseEventHandler_closePositions()
      {
-       this.daysCounterWithPositions++;
        if(this.daysCounterWithPositions == this.numDaysForReturnCalculation ||
           this.stopLossConditionReached)
--- 161,164 ----
***************
*** 164,167 ****
--- 173,178 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
+       if(this.account.Portfolio.Count > 0)
+         this.daysCounterWithPositions++;
        //this.marketCloseEventHandler_updateStopLossCondition();  
        this.marketCloseEventHandler_closePositions();
***************
*** 186,194 ****
        int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
        
!       	SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate,
!       	                                  currentDate.AddDays(-30),
!       	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  30,500, 0.0001,100);
   
  //      SelectorByLiquidity mostLiquidSelector =
--- 197,205 ----
        int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
        
! //      	SelectorByAverageRawOpenPrice byPrice =
! //      		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate,
! //      	                                  currentDate.AddDays(-30),
! //      	                                  numOfTickersInGroupAtCurrentDate,
! //      	                                  30,500, 0.0001,100);
   
  //      SelectorByLiquidity mostLiquidSelector =
***************
*** 197,211 ****
  //        this.numberOfEligibleTickers);
        
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice = 
!         new SelectorByQuotationAtEachMarketDay(byPrice.GetTableOfSelectedTickers(),
          false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
          numOfTickersInGroupAtCurrentDate, this.benchmark);
       
!       SelectorByCloseToCloseVolatility lessVolatile =
!       	new SelectorByCloseToCloseVolatility(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
!       	                                     true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!       	                                     this.numberOfEligibleTickers);
!       
!       return lessVolatile.GetTableOfSelectedTickers();
      	//OLD for etf
      	//      SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
--- 208,224 ----
  //        this.numberOfEligibleTickers);
        
! //      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice = 
!         SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup =
!         new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
          false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
          numOfTickersInGroupAtCurrentDate, this.benchmark);
       
! //      SelectorByCloseToCloseVolatility lessVolatile =
! //      	new SelectorByCloseToCloseVolatility(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
! //      	                                     true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //      	                                     this.numberOfEligibleTickers);
! //      
! //      return lessVolatile.GetTableOfSelectedTickers();
!       return quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(); 
      	//OLD for etf
      	//      SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
***************
*** 254,258 ****
            this.populationSizeForGeneticOptimizer, 
            this.generationNumberForGeneticOptimizer,
!           ConstantsProvider.SeedForRandomGenerator);
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
--- 267,272 ----
            this.populationSizeForGeneticOptimizer, 
            this.generationNumberForGeneticOptimizer,
!           this.seedForRandomGenerator);
!         GO.CrossoverRate = 0.50;
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
***************
*** 260,264 ****
          GO.Run(false);
          this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
!           ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
          this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
--- 274,279 ----
          GO.Run(false);
          this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
!           ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
!           this.numDaysForReturnCalculation, this.portfolioType);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
          this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
***************
*** 277,281 ****
      {
        this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       ConstantsProvider.SeedForRandomGenerator++;
        this.numDaysElapsedSinceLastOptimization++;
        this.orders.Clear();
--- 292,296 ----
      {
        this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       this.seedForRandomGenerator++;
        this.numDaysElapsedSinceLastOptimization++;
        this.orders.Clear();