[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower EndOfDayTimerHandlerITF.cs, 1.1, 1.2

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

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

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


Index: EndOfDayTimerHandlerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/EndOfDayTimerHandlerITF.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerITF.cs	3 Aug 2006 21:14:13 -0000	1.1
--- EndOfDayTimerHandlerITF.cs	7 Aug 2006 21:09:15 -0000	1.2
***************
*** 57,60 ****
--- 57,61 ----
      private DateTime lastCloseDate;
      private IGenomeManager iGenomeManager;
+     private int seedForRandomGenerator;
          
      public EndOfDayTimerHandlerITF(string tickerGroupID, int numberOfEligibleTickers, 
***************
*** 81,84 ****
--- 82,86 ----
  //      this.numDaysBetweenEachOptimization = 2* numDaysForReturnCalculation;
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
+       this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
      }
  	
***************
*** 135,141 ****
      			SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
      			//short the portfolio
!     			try{ base.openPositions(); }
!     			catch(Exception ex){ ex = ex; }
!     			finally{SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);}
      		}
      	}
--- 137,150 ----
      			SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
      			//short the portfolio
!     			try{
!             base.openPositions();
!           }
!     			catch(Exception ex)
!           { 
!             ex = ex; 
!           }
!     			finally{
!             SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
!           }
      		}
      	}
***************
*** 144,148 ****
      private void marketCloseEventHandler_closePositions()
      {
-       this.daysCounterWithPositions++;
        if(this.daysCounterWithPositions == this.numDaysForReturnCalculation ||
           this.stopLossConditionReached)
--- 153,156 ----
***************
*** 158,161 ****
--- 166,171 ----
      {
        //this.marketCloseEventHandler_updateStopLossCondition();  
+       if(this.account.Portfolio.Count > 0)
+         this.daysCounterWithPositions++;
        this.marketCloseEventHandler_closePositions();
        if(this.chosenTickers[0] != null)
***************
*** 184,193 ****
        	                                  numOfTickersInGroupAtCurrentDate,
        	                                  30,500, 0.0001,100);
!  
! //      SelectorByLiquidity mostLiquidSelector =
! //      	new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! //        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //        this.numberOfEligibleTickers);
!       
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice = 
          new SelectorByQuotationAtEachMarketDay(byPrice.GetTableOfSelectedTickers(),
--- 194,198 ----
        	                                  numOfTickersInGroupAtCurrentDate,
        	                                  30,500, 0.0001,100);
!     
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice = 
          new SelectorByQuotationAtEachMarketDay(byPrice.GetTableOfSelectedTickers(),
***************
*** 195,204 ****
          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,
--- 200,215 ----
          numOfTickersInGroupAtCurrentDate, this.benchmark);
       
! //      SelectorByCloseToCloseVolatility lessVolatile =
! //      	new SelectorByCloseToCloseVolatility(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
! //      	                                     true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //      	                                     this.numberOfEligibleTickers);
        
!         SelectorByLiquidity mostLiquidSelector =
!       	new SelectorByLiquidity(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
!         true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers);
!       
!       
!       return mostLiquidSelector.GetTableOfSelectedTickers();
      	//OLD for etf
      	//      SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
***************
*** 247,251 ****
            this.populationSizeForGeneticOptimizer, 
            this.generationNumberForGeneticOptimizer,
!           ConstantsProvider.SeedForRandomGenerator);
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
--- 258,262 ----
            this.populationSizeForGeneticOptimizer, 
            this.generationNumberForGeneticOptimizer,
!           this.seedForRandomGenerator);
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
***************
*** 253,257 ****
          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;
--- 264,269 ----
          GO.Run(false);
          this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
!           ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
!           this.numDaysForReturnCalculation);
          this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
          this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
***************
*** 270,274 ****
      {
        this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       ConstantsProvider.SeedForRandomGenerator++;
        this.numDaysElapsedSinceLastOptimization++;
        this.orders.Clear();
--- 282,286 ----
      {
        this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       this.seedForRandomGenerator++;
        this.numDaysElapsedSinceLastOptimization++;
        this.orders.Clear();