[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator EndOfDayTimerHandlerPVO.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28641/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	EndOfDayTimerHandlerPVO.cs 
Log Message:
Updated the handler for the plain PVO strategy

Index: EndOfDayTimerHandlerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EndOfDayTimerHandlerPVO.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerPVO.cs	22 Oct 2006 18:49:20 -0000	1.2
--- EndOfDayTimerHandlerPVO.cs	3 Jan 2007 23:02:58 -0000	1.3
***************
*** 68,71 ****
--- 68,72 ----
      protected bool portfolioHasBeenOversold;
      protected bool symmetricalThresholds;
+     protected bool overboughtMoreThanOversoldForFixedPortfolio;
          
      public EndOfDayTimerHandlerPVO(string tickerGroupID, int numberOfEligibleTickers, 
***************
*** 82,85 ****
--- 83,87 ----
                                  int divisorForThresholdComputation,
                                  bool symmetricalThresholds,
+                                 bool overboughtMoreThanOversoldForFixedPortfolio,
                                  int numDaysBetweenEachOptimization,
                                  PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
***************
*** 98,101 ****
--- 100,104 ----
        this.divisorForThresholdComputation = divisorForThresholdComputation;
        this.symmetricalThresholds = symmetricalThresholds;
+       this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
        this.stopLossConditionReached = false;
***************
*** 272,276 ****
        	                                  currentDate,
        	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  25,500, 0.0001,100);
   
        SelectorByLiquidity mostLiquidSelector =
--- 275,279 ----
        	                                  currentDate,
        	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  20,500, 0.0001,100);
   
        SelectorByLiquidity mostLiquidSelector =
***************
*** 279,293 ****
          this.numberOfEligibleTickers);
        
!       SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
!       	new SelectorByCloseToCloseCorrelationToBenchmark(mostLiquidSelector.GetTableOfSelectedTickers(),
!       	                                                 "^GSPC",false,
!       	                                                 currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!       	                                                 this.numberOfEligibleTickers/2,false);
!       
        
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
!         new SelectorByQuotationAtEachMarketDay(byCorrelationToBenchmark.GetTableOfSelectedTickers(),
          false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers/2, this.benchmark);
       
        return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(); 
--- 282,296 ----
          this.numberOfEligibleTickers);
        
! //      SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
! //      	new SelectorByCloseToCloseCorrelationToBenchmark(mostLiquidSelector.GetTableOfSelectedTickers(),
! //      	                                                 "^GSPC",false,
! //      	                                                 currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //      	                                                 this.numberOfEligibleTickers/2,false);
! //      
        
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
!         new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
          false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
       
        return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(); 
***************
*** 335,338 ****
--- 338,342 ----
            this.divisorForThresholdComputation,
            this.symmetricalThresholds,
+           this.overboughtMoreThanOversoldForFixedPortfolio,
            this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
***************
*** 342,346 ****
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
!         GO.MutationRate = 0.4;
          GO.Run(false);
          
--- 346,350 ----
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
!         GO.MutationRate = 0.2;
          GO.Run(false);