[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination ExtremeCounterTrendStrategy.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25183/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	ExtremeCounterTrendStrategy.cs 
Log Message:
Minor changes for ECT strategy.

Index: ExtremeCounterTrendStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/ExtremeCounterTrendStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ExtremeCounterTrendStrategy.cs	2 Jul 2006 19:22:12 -0000	1.2
--- ExtremeCounterTrendStrategy.cs	7 Aug 2006 21:10:36 -0000	1.3
***************
*** 47,55 ****
      private int numOfClosesElapsed = 0;
      private int numOfDaysWithOpenPosition = 0;
  
  		public ExtremeCounterTrendStrategy( Account account ,
  			                              string[] signedTickers,
  			                              double[] weightsForSignedTickers,
!                                     int numDaysForReturnCalculation)
  		{
  			this.account = account;
--- 47,57 ----
      private int numOfClosesElapsed = 0;
      private int numOfDaysWithOpenPosition = 0;
+     private PortfolioType portfolioType;
  
  		public ExtremeCounterTrendStrategy( Account account ,
  			                              string[] signedTickers,
  			                              double[] weightsForSignedTickers,
!                                     int numDaysForReturnCalculation,
!                                     PortfolioType portfolioType)
  		{
  			this.account = account;
***************
*** 57,60 ****
--- 59,63 ----
  			this.weightsForSignedTickers = weightsForSignedTickers;
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
+       this.portfolioType = portfolioType;
  		}
      
***************
*** 125,135 ****
      		if(lastHalfPeriodGain < 0.0)
      			this.marketCloseEventHandler_addOrders();
!     		else
      		{
      			SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
!     			//short the portfolio
!     			try{this.marketCloseEventHandler_addOrders();}
!     			catch(Exception ex){ex = ex;}
!     			finally{SignedTicker.ChangeSignOfEachTicker(this.signedTickers);}
      		}
      	}
--- 128,148 ----
      		if(lastHalfPeriodGain < 0.0)
      			this.marketCloseEventHandler_addOrders();
!     		else if (lastHalfPeriodGain > 0.0 &&
!                  this.portfolioType == PortfolioType.ShortAndLong )
!         //if gain of the last half period is positive and
!         //original positions can be reversed        
      		{
      			SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
!     			//short the portfolio (short --> long; long --> short)
!     			try{
!             this.marketCloseEventHandler_addOrders();
!           }
!     			catch(Exception ex)
!           {
!             ex = ex;
!           }
!     			finally{
!             SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
!           }
      		}
      	}
***************
*** 149,152 ****
--- 162,167 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
+       this.numOfClosesElapsed++;
+ 
        if(this.account.Transactions.Count == 0)
          this.account.AddCash(30000);
***************
*** 157,168 ****
        if(this.numOfDaysWithOpenPosition == this.numDaysForReturnCalculation)
            this.marketCloseEventHandler_closePositions();
!       
        if(this.account.Portfolio.Count == 0 &&
!           (this.numOfClosesElapsed + 1) >= this.numDaysForReturnCalculation)
!         //portfolio is empty and previous closes can be now checked
!       	if(this.account.Portfolio.Count == 0)
        		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
-       
-       this.numOfClosesElapsed++;
      }
  		
--- 172,180 ----
        if(this.numOfDaysWithOpenPosition == this.numDaysForReturnCalculation)
            this.marketCloseEventHandler_closePositions();
!      
        if(this.account.Portfolio.Count == 0 &&
!           this.numOfClosesElapsed >= this.numDaysForReturnCalculation)
!       //portfolio is empty and previous closes can be now checked
        		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
      }