[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-serv11381/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WFLagEndOfDayTimerHandler.cs 
Log Message:
Better OO approach now: an IWFLagWeightedPositionChooser interface has been introduced.
Now it will be easier to move both from a strategy to another, and from an optimization technique to another

Index: WFLagEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagEndOfDayTimerHandler.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WFLagEndOfDayTimerHandler.cs	3 Nov 2006 16:38:47 -0000	1.6
--- WFLagEndOfDayTimerHandler.cs	18 Feb 2007 01:00:11 -0000	1.7
***************
*** 36,41 ****
  namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
  {
! 	public delegate void NewChosenTickersEventHandler(
! 	Object sender , WFLagNewChosenTickersEventArgs eventArgs );

  	/// <summary>
--- 36,41 ----
  namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
  {
! 	public delegate void NewChosenPositionsEventHandler(
! 	Object sender , WFLagNewChosenPositionsEventArgs eventArgs );

  	/// <summary>
***************
*** 49,63 ****
  		private string benchmark;
  		private int numberEligibleTickers;
! 		private int numberOfPositionsToBeChosen;
! 		private int numberOfDrivingPositions;
! 		private int inSampleWindowDays;
  		private int outOfSampleWindowDays;
  		private Account account;
! 		private int generationNumberForGeneticOptimizer;
! 		private int populationSizeForGeneticOptimizer;
! 		private IEquityEvaluator equityEvaluator;

  		private WFLagEligibleTickers eligibleTickers;
! 		private WFLagChosenTickers chosenTickers;

  		private HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
--- 49,59 ----
  		private string benchmark;
  		private int numberEligibleTickers;
! 		IWFLagWeightedPositionsChooser wFLagWeightedPositionsChooser;
  		private int outOfSampleWindowDays;
  		private Account account;
! //		private IEquityEvaluator equityEvaluator;

  		private WFLagEligibleTickers eligibleTickers;
! //		private WFLagChosenTickers chosenTickers;

  		private HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
***************
*** 67,71 ****

  		public event InSampleNewProgressEventHandler InSampleNewProgress;
! 		public event NewChosenTickersEventHandler NewChosenTickers;

  		public WFLagEndOfDayTimerHandler(
--- 63,67 ----

  		public event InSampleNewProgressEventHandler InSampleNewProgress;
! 		public event NewChosenPositionsEventHandler NewChosenPositions;

  		public WFLagEndOfDayTimerHandler(
***************
*** 73,97 ****
  			string benchmark ,
  			int numberEligibleTickers ,
! 			int numberOfPositionsToBeChosen ,
! 			int numberOfDrivingPositions ,
! 			int inSampleWindowDays , int outOfSampleWindowDays ,
! 			Account account ,
! 			int generationNumberForGeneticOptimizer ,
! 			int populationSizeForGeneticOptimizer ,
! 			IEquityEvaluator equityEvaluator )
  		{
  			this.tickerGroupID = tickerGroupID;
  			this.benchmark = benchmark;
  			this.numberEligibleTickers = numberEligibleTickers;
! 			this.numberOfPositionsToBeChosen = numberOfPositionsToBeChosen;
! 			this.numberOfDrivingPositions = numberOfDrivingPositions;
! 			this.inSampleWindowDays = inSampleWindowDays;
  			this.outOfSampleWindowDays = outOfSampleWindowDays;
  			this.account = account;
- 			this.generationNumberForGeneticOptimizer =
- 				generationNumberForGeneticOptimizer;
- 			this.populationSizeForGeneticOptimizer =
- 				populationSizeForGeneticOptimizer;
- 			this.equityEvaluator = equityEvaluator;

  			this.eligibleTickers = new WFLagEligibleTickers(
--- 69,82 ----
  			string benchmark ,
  			int numberEligibleTickers ,
! 			IWFLagWeightedPositionsChooser wFLagWeightedPositionsChooser ,
! 			int outOfSampleWindowDays ,
! 			Account account )
  		{
  			this.tickerGroupID = tickerGroupID;
  			this.benchmark = benchmark;
  			this.numberEligibleTickers = numberEligibleTickers;
! 			this.wFLagWeightedPositionsChooser = wFLagWeightedPositionsChooser;
  			this.outOfSampleWindowDays = outOfSampleWindowDays;
  			this.account = account;

  			this.eligibleTickers = new WFLagEligibleTickers(
***************
*** 99,114 ****
  				this.benchmark ,
  				this.numberEligibleTickers ,
! 				this.inSampleWindowDays ,
  				this.account.EndOfDayTimer );

! 			this.chosenTickers = new WFLagChosenTickers(
! 				this.numberOfDrivingPositions ,
! 				this.numberOfPositionsToBeChosen ,
! 				this.inSampleWindowDays ,
! 				this.account.EndOfDayTimer ,
! 				this.generationNumberForGeneticOptimizer ,
! 				this.populationSizeForGeneticOptimizer ,
! 				this.equityEvaluator );
! 			this.chosenTickers.NewProgress +=
  				new NewProgressEventHandler( this.bestPerformingNewProgress );

--- 84,93 ----
  				this.benchmark ,
  				this.numberEligibleTickers ,
! 				this.wFLagWeightedPositionsChooser.NumberDaysForInSampleOptimization ,
  				this.account.EndOfDayTimer );

! //			this.chosenTickers = new WFLagChosenTickers(
! //				this.wFLagWeightedPositionsChooser );
! 			this.wFLagWeightedPositionsChooser.NewProgress +=
  				new NewProgressEventHandler( this.bestPerformingNewProgress );

***************
*** 177,181 ****
  			double totalReturn = 0;
  			foreach ( WeightedPosition weightedPosition in
! 				this.chosenTickers.DrivingWeightedPositions.Values )
  				totalReturn += this.getTodayReturn( weightedPosition );
  			return totalReturn < 0;
--- 156,160 ----
  			double totalReturn = 0;
  			foreach ( WeightedPosition weightedPosition in
! 				this.wFLagWeightedPositionsChooser.WFLagChosenPositions.DrivingWeightedPositions.Values )
  				totalReturn += this.getTodayReturn( weightedPosition );
  			return totalReturn < 0;
***************
*** 207,211 ****
  				weightedPosition , isToReverse );
  			double maxPositionValue = this.account.GetMarketValue() /
! 				this.numberOfPositionsToBeChosen;
  			long sharesToBeTraded = this.getMaxBuyableShares( weightedPosition );
  			this.account.AddOrder( new Order( orderType ,
--- 186,190 ----
  				weightedPosition , isToReverse );
  			double maxPositionValue = this.account.GetMarketValue() /
! 				this.wFLagWeightedPositionsChooser.NumberOfPortfolioPositions;
  			long sharesToBeTraded = this.getMaxBuyableShares( weightedPosition );
  			this.account.AddOrder( new Order( orderType ,
***************
*** 216,220 ****
  			bool isToReverse = this.isToReverse();
  			foreach ( WeightedPosition weightedPosition
! 									in this.chosenTickers.PortfolioWeightedPositions.Values )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( 
  					weightedPosition , isToReverse );
--- 195,199 ----
  			bool isToReverse = this.isToReverse();
  			foreach ( WeightedPosition weightedPosition
! 									in this.wFLagWeightedPositionsChooser.WFLagChosenPositions.PortfolioWeightedPositions.Values )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( 
  					weightedPosition , isToReverse );
***************
*** 223,227 ****
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
! 			if ( this.chosenTickers.DrivingWeightedPositions != null )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPositions_actually();
  		}
--- 202,206 ----
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
! 			if ( this.wFLagWeightedPositionsChooser.WFLagChosenPositions != null )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPositions_actually();
  		}
***************
*** 230,234 ****
  			double totalReturn = 0;
  			foreach ( WeightedPosition weightedPosition in
! 				this.chosenTickers.DrivingWeightedPositions.Values )
  				totalReturn += this.getTodayReturn( weightedPosition );
  			return totalReturn;
--- 209,213 ----
  			double totalReturn = 0;
  			foreach ( WeightedPosition weightedPosition in
! 				this.wFLagWeightedPositionsChooser.WFLagChosenPositions.DrivingWeightedPositions.Values )
  				totalReturn += this.getTodayReturn( weightedPosition );
  			return totalReturn;
***************
*** 317,321 ****
  		private WeightedPosition getWeightedPosition( string ticker )
  		{
! 			return this.chosenTickers.PortfolioWeightedPositions.GetWeightedPosition(
  				ticker );
  		}
--- 296,300 ----
  		private WeightedPosition getWeightedPosition( string ticker )
  		{
! 			return this.wFLagWeightedPositionsChooser.WFLagChosenPositions.PortfolioWeightedPositions.GetWeightedPosition(
  				ticker );
  		}
***************
*** 398,405 ****
  //				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 ) );
  				this.lastOptimizationDate = this.now().DateTime;
  			}
--- 377,390 ----
  //				Console.WriteLine( "Number of Eligible tickers: " +
  //					this.eligibleTickers.EligibleTickers.Rows.Count );
! //				this.chosenTickers.SetWeightedPositions( this.eligibleTickers ,
! //					this.account.EndOfDayTimer.GetCurrentTime() );
! 				this.wFLagWeightedPositionsChooser.ChosePositions(
! 					this.eligibleTickers ,
! 					this.eligibleTickers ,
! 					this.account.EndOfDayTimer.GetCurrentTime() );
  				this.arePositionsUpToDateWithChosenTickers = false;
! 				this.NewChosenPositions( this ,
! 					new WFLagNewChosenPositionsEventArgs(
! 					this.wFLagWeightedPositionsChooser.WFLagChosenPositions ) );
  				this.lastOptimizationDate = this.now().DateTime;
  			}

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

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagEndOfDayTimerHandler.cs, 1.6, 1.7