[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHT

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8862/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest

Modified Files:
	EndOfDayTimerHandlerSimpleOHTest.cs RunSimpleOHTest.cs 
Log Message:
Minor changes to the strategy based on the simple over reaction hypothesis

Index: RunSimpleOHTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest/RunSimpleOHTest.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunSimpleOHTest.cs	9 Apr 2007 18:23:49 -0000	1.1
--- RunSimpleOHTest.cs	29 Aug 2007 09:40:11 -0000	1.2
***************
*** 37,47 ****
  	/// Script that implements the SimpleOHTest strategy:
  	/// at each open, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l tickers among the 
! 	/// b best that more moves down (at open) and the s tickers among the w worst
! 	/// that more moves up (at open).
  	/// The fundamental of the strategy should be the fact (to be verified ...) 
! 	/// that overreactions may be followed by opposite overreactions.
! 	/// For chosing the b best and w worst tickers it is considered just the 
! 	/// previous close.
  	/// At each close, open positions are closed.
  	/// </summary>
--- 37,47 ----
  	/// Script that implements the SimpleOHTest strategy:
  	/// at each open, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l worst tickers 
! 	/// and the s best tickers.
! 	/// For chosing the best and worst tickers just the 
! 	/// previous close to close ratio is considered.
  	/// The fundamental of the strategy should be the fact (to be verified ...) 
! 	/// that great moves are probably overreactions that may be followed by opposite moves (corrections).
! 	
  	/// At each close, open positions are closed.
  	/// </summary>
***************
*** 53,58 ****
      private string benchmark;
      private int numberOfEligibleTickers;
!     private int numOfBestTickers;
!     private int numOfWorstTickers;
      private int numOfTickersForBuying;
      private int numOfTickersForShortSelling;
--- 53,57 ----
      private string benchmark;
      private int numberOfEligibleTickers;
! 		private int lengthInDaysForPerformance;
      private int numOfTickersForBuying;
      private int numOfTickersForShortSelling;
***************
*** 66,71 ****
  
      public RunSimpleOHTest(string tickerGroupID, string benchmark,
!       int numberOfEligibleTickers, int numOfBestTickers, 
!       int numOfWorstTickers, int numOfTickersForBuying,
        int numOfTickersForShortSelling,
        DateTime startDate, DateTime endDate,
--- 65,70 ----
  
      public RunSimpleOHTest(string tickerGroupID, string benchmark,
!       int numberOfEligibleTickers, int lengthInDaysForPerformance,
! 			int numOfTickersForBuying,
        int numOfTickersForShortSelling,
        DateTime startDate, DateTime endDate,
***************
*** 75,80 ****
        this.benchmark = benchmark;
        this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numOfBestTickers = numOfBestTickers;
!       this.numOfWorstTickers = numOfWorstTickers;
        this.numOfTickersForBuying = numOfTickersForBuying;
        this.numOfTickersForShortSelling = numOfTickersForShortSelling;
--- 74,78 ----
        this.benchmark = benchmark;
        this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
        this.numOfTickersForBuying = numOfTickersForBuying;
        this.numOfTickersForShortSelling = numOfTickersForShortSelling;
***************
*** 83,87 ****
        this.maxRunningHours = maxRunningHours;
        this.scriptName = "SimpleOHTest";
!       this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
        this.endOfDayTimer = new IndexBasedEndOfDayTimer(
          new EndOfDayDateTime( this.startDate ,
--- 81,86 ----
        this.maxRunningHours = maxRunningHours;
        this.scriptName = "SimpleOHTest";
! //      this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
! 			this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
        this.endOfDayTimer = new IndexBasedEndOfDayTimer(
          new EndOfDayDateTime( this.startDate ,
***************
*** 93,109 ****
      {
        this.startingTimeForScript = DateTime.Now;
!       this.account = new Account( "SimpleOH" , this.endOfDayTimer ,
          new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
          this.historicalQuoteProvider ) ,
          new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
          this.historicalQuoteProvider ) );
!       EndOfDayTimerHandlerSimpleOHTest endOfDayTimerHandler =
          new EndOfDayTimerHandlerSimpleOHTest(this.tickerGroupID, this.numberOfEligibleTickers,
!         this.numOfBestTickers, this.numOfWorstTickers,
!         this.numOfTickersForBuying, this.numOfTickersForShortSelling, 
          this.account, this.benchmark);
!       this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
!         endOfDayTimerHandler.MarketOpenEventHandler );
! 
        this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
          endOfDayTimerHandler.MarketCloseEventHandler );
--- 92,107 ----
      {
        this.startingTimeForScript = DateTime.Now;
!       
! 			this.account = new Account( "SimpleOH" , this.endOfDayTimer ,
          new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
          this.historicalQuoteProvider ) ,
          new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
          this.historicalQuoteProvider ) );
!       
! 			EndOfDayTimerHandlerSimpleOHTest endOfDayTimerHandler =
          new EndOfDayTimerHandlerSimpleOHTest(this.tickerGroupID, this.numberOfEligibleTickers,
!         this.lengthInDaysForPerformance, this.numOfTickersForBuying, this.numOfTickersForShortSelling, 
          this.account, this.benchmark);
!  
        this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
          endOfDayTimerHandler.MarketCloseEventHandler );
***************
*** 111,117 ****
        this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
          this.checkDateForReport);
- 
-       this.endOfDayTimer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
-         endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
        
        this.endOfDayTimer.Start();
--- 109,112 ----
***************
*** 135,146 ****
      public void SaveScriptResults()
      {
!       string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
          DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
          this.scriptName +  "_From_" + this.tickerGroupID +
          "_elig_" + this.numberOfEligibleTickers + 
!       	"_best_" + this.numOfBestTickers +
!       	"_worst_" + this.numOfWorstTickers +
!       	"_forLong_" + this.numOfTickersForBuying +
!       	"_forShort_" + this.numOfTickersForShortSelling;
        string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
          "\\" + this.scriptName + "\\";
--- 130,146 ----
      public void SaveScriptResults()
      {
!       TimeSpan span;
! 			span = DateTime.Now.Subtract(this.startingTimeForScript);
! 			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName = 
! 				"SecondsElapsed_" + 
! 				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
          DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
          this.scriptName +  "_From_" + this.tickerGroupID +
          "_elig_" + this.numberOfEligibleTickers + 
!       	"_Long_" + this.numOfTickersForBuying +
!       	"_Short_" + this.numOfTickersForShortSelling +
! 				"_lenInDays_" + this.lengthInDaysForPerformance;
        string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
          "\\" + this.scriptName + "\\";
***************
*** 150,155 ****
          this.endOfDayTimer.GetCurrentTime(),
          this.benchmark,
!         new HistoricalRawQuoteProvider() );
! //        new HistoricalAdjustedQuoteProvider());
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
        ObjectArchiver.Archive(accountReport,
--- 150,155 ----
          this.endOfDayTimer.GetCurrentTime(),
          this.benchmark,
! //        new HistoricalRawQuoteProvider() );
!         new HistoricalAdjustedQuoteProvider());
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
        ObjectArchiver.Archive(accountReport,

Index: EndOfDayTimerHandlerSimpleOHTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest/EndOfDayTimerHandlerSimpleOHTest.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerSimpleOHTest.cs	7 Aug 2007 16:44:43 -0000	1.2
--- EndOfDayTimerHandlerSimpleOHTest.cs	29 Aug 2007 09:40:11 -0000	1.3
***************
*** 46,64 ****
      private string tickerGroupID;
      private int numberOfEligibleTickers;
      private string benchmark;
      private Account account;
-     private int numOfWorstTickers;
-     private int numOfBestTickers;
      private int numOfTickersForBuying;
      private int numOfTickersForShortSelling;
!     private string[] bestTickers;
!     private string[] worstTickers;
      private string[] chosenTickers;
      private string[] lastOrderedTickers;
      private ArrayList orders;
      
!     public EndOfDayTimerHandlerSimpleOHTest(string tickerGroupID, int numberOfEligibleTickers, 
!                                             int numOfBestTickers, 
! 																			      int numOfWorstTickers, int numOfTickersForBuying,
  																			      int numOfTickersForShortSelling,
  																			      Account account, string benchmark)
--- 46,67 ----
      private string tickerGroupID;
      private int numberOfEligibleTickers;
+ 		private int lengthInDaysForPerformance;
      private string benchmark;
      private Account account;
      private int numOfTickersForBuying;
      private int numOfTickersForShortSelling;
!     private string[] bestTickers = null;
!     private string[] worstTickers = null;
      private string[] chosenTickers;
      private string[] lastOrderedTickers;
      private ArrayList orders;
+ 		private bool thereAreEnoughBestTickers;
+ 		private bool thereAreEnoughWorstTickers;
+ 		private int closesElapsedWithSomeOpenPosition;
+ 
      
!     public EndOfDayTimerHandlerSimpleOHTest(string tickerGroupID, int numberOfEligibleTickers,
! 																						int lengthInDaysForPerformance,
!                                             int numOfTickersForBuying,
  																			      int numOfTickersForShortSelling,
  																			      Account account, string benchmark)
***************
*** 66,75 ****
        this.tickerGroupID = tickerGroupID;
        this.numberOfEligibleTickers = numberOfEligibleTickers;
        this.account = account;
        this.benchmark = benchmark;
-       this.numOfBestTickers = numOfBestTickers;
-       this.bestTickers = new string[this.numOfBestTickers];
-       this.numOfWorstTickers = numOfWorstTickers;
-       this.worstTickers = new string[this.numOfWorstTickers];
        this.numOfTickersForBuying = numOfTickersForBuying;
        this.numOfTickersForShortSelling = numOfTickersForShortSelling;
--- 69,75 ----
        this.tickerGroupID = tickerGroupID;
        this.numberOfEligibleTickers = numberOfEligibleTickers;
+ 			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
        this.account = account;
        this.benchmark = benchmark;
        this.numOfTickersForBuying = numOfTickersForBuying;
        this.numOfTickersForShortSelling = numOfTickersForShortSelling;
***************
*** 116,187 ****
          this.account.AddOrder((Order)item);
      }
-     
-     private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
-     {
-       IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
-       ExtendedDateTime nowAtOpen = 
-         new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
-         BarComponent.Open);
-       ExtendedDateTime previousClose =
-         new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
-         BarComponent.Close);
-       double currentValueAtOpen =
-         HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), nowAtOpen);
-       double previousValueAtClose = 
-         HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), previousClose);
-       
-       return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose; 
-     }
  
      private void setChosenTickers_addTickersForShorting()
      {
!       DataTable worstTickersOrderedByGainAtOpen = new DataTable();
!       worstTickersOrderedByGainAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
!       worstTickersOrderedByGainAtOpen.Columns.Add("gainAtOpen", Type.GetType("System.Double"));
!       object[] values = new object[2];
!       for (int i = 0; i<this.worstTickers.Length; i++)
!       {
!         values[0] = this.worstTickers[i];
!         values[1] = this.setChosenTickers_getGainOrLossFromPreviousClose(this.worstTickers[i]);
!         worstTickersOrderedByGainAtOpen.Rows.Add(values);
!       }
!       DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
!       orderedRows = worstTickersOrderedByGainAtOpen.Select("", "gainAtOpen DESC");
!       for(int i = 0;i<this.numOfTickersForBuying; i++)
!           if( (double)orderedRows[i]["gainAtOpen"] > 0 )
!           //at open, current ticker is gaining
!              this.chosenTickers[this.numOfTickersForBuying + i] = "-" +
!                                               (string)orderedRows[i]["ticker"];
      }
        
      private void setChosenTickers_addTickersForBuying()
      {
!       DataTable bestTickersOrderedByLossAtOpen = new DataTable();
!       bestTickersOrderedByLossAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
!       bestTickersOrderedByLossAtOpen.Columns.Add("lossAtOpen", Type.GetType("System.Double"));
!       object[] values = new object[2];
!       for (int i = 0; i<this.bestTickers.Length; i++)
!       {
!         values[0] = this.bestTickers[i];
!         values[1] = - this.setChosenTickers_getGainOrLossFromPreviousClose(this.bestTickers[i]);
!         bestTickersOrderedByLossAtOpen.Rows.Add(values);
!       }
!       DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
!       orderedRows = bestTickersOrderedByLossAtOpen.Select("", "lossAtOpen DESC");
!       for( int i = 0; i<this.numOfTickersForShortSelling; i++)
!            if( (double)orderedRows[i]["lossAtOpen"] > 0 )
!            //at open, current ticker is losing
!               this.chosenTickers[i] = (string)orderedRows[i]["ticker"];
      }
  
!     private void setChosenTickers()
      {
!       for(int i = 0; i<this.chosenTickers.Length;i++)
!         this.chosenTickers[i] = null;
!       if( this.bestTickers[0] != null &&
!           this.worstTickers[0] != null )
        {
!         this.setChosenTickers_addTickersForBuying();
!         this.setChosenTickers_addTickersForShorting();
        }
      }
--- 116,144 ----
          this.account.AddOrder((Order)item);
      }
  
      private void setChosenTickers_addTickersForShorting()
      {
!       for( int i = 0;i<this.numOfTickersForShortSelling; i++)
!             this.chosenTickers[this.numOfTickersForBuying + i] = "-" + this.bestTickers[i];
      }
        
      private void setChosenTickers_addTickersForBuying()
      {
!       for( int i = 0; i<this.numOfTickersForBuying; i++ )
!             this.chosenTickers[i] = this.worstTickers[i];
      }
  
!     private void setChosenTickersBothForLongAndShort()
      {
! 			if( this.thereAreEnoughBestTickers && 
! 					this.thereAreEnoughWorstTickers )
        {
! 				try
! 				{
! 					this.setChosenTickers_addTickersForBuying();
! 					this.setChosenTickers_addTickersForShorting();
! 				}
! 				catch(Exception ex)
! 				{ex = ex;}
        }
      }
***************
*** 195,209 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(30000);
!       this.setChosenTickers();
!       bool allTickerHasBeenChosen = true;
!       for( int i = 0; i<this.chosenTickers.Length; i++)
!       {
!         if(this.chosenTickers[i] == null)
!           allTickerHasBeenChosen = false;
!       }
!       if(allTickerHasBeenChosen)
!         this.openPositions(this.chosenTickers);
      }
  
--- 152,166 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
! 			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
! 				this.account.AddCash(30000);
! 			this.setChosenTickersBothForLongAndShort();
! 			bool allTickersHasBeenChosenForLongAndShort = true;
! 			for( int i = 0; i<this.chosenTickers.Length; i++)
! 			{
! 				if(this.chosenTickers[i] == null)
! 					allTickersHasBeenChosenForLongAndShort = false;
! 			}
! 			if(allTickersHasBeenChosenForLongAndShort)
! 				this.openPositions(this.chosenTickers);
      }
  
***************
*** 229,233 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!      	this.closePositions();
      }
  
--- 186,208 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!      	if(this.account.Portfolio.Count > 0)
! 			{
! 				this.closesElapsedWithSomeOpenPosition++;
! 				if(this.closesElapsedWithSomeOpenPosition == this.lengthInDaysForPerformance)
! 				{
! 					this.closePositions();
! 					this.OneHourAfterMarketCloseEventHandler(sender,endOfDayTimingEventArgs);
! 					this.MarketOpenEventHandler(sender, endOfDayTimingEventArgs);
! 					this.closesElapsedWithSomeOpenPosition = 0;
! 				}
! 			}
! 			else//this.account.Portfolio.Count == 0 
! 			{
! 				if( ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition >= this.lengthInDaysForPerformance )
! 				{
! 					this.OneHourAfterMarketCloseEventHandler(sender,endOfDayTimingEventArgs);
! 					this.MarketOpenEventHandler(sender, endOfDayTimingEventArgs);
! 				}
! 			}
      }
  
***************
*** 235,239 ****
  
      #region OneHourAfterMarketCloseEventHandler
!      
      /// <summary>
      /// Handles a "One hour after market close" event.
--- 210,225 ----
  
      #region OneHourAfterMarketCloseEventHandler
!     
! 		private void oneHourAfterMarketCloseEventHandler_clear()
! 		{
! 			this.orders.Clear();
! 			this.thereAreEnoughBestTickers = false;
! 			this.thereAreEnoughWorstTickers = false;
! 			
! 			for(int i = 0; i<this.chosenTickers.Length;i++)
! 				this.chosenTickers[i] = null;
! 		}
!  
! 
      /// <summary>
      /// Handles a "One hour after market close" event.
***************
*** 244,291 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       this.orders.Clear();
!       DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!                                             currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       //remark from here for DEBUG
!       SelectorByAverageRawOpenPrice byPrice = 
!         new SelectorByAverageRawOpenPrice( tickersFromGroup,false,currentDate.AddDays(-10),
!                                     currentDate,
!                                     tickersFromGroup.Rows.Count,
!                                     25 );
        
!       SelectorByLiquidity mostLiquidSelector =
!         new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
!         false,currentDate.AddDays(-30), currentDate,
!         this.numberOfEligibleTickers);
        
!       SelectorByOpenToCloseVolatility lessVolatile = 
!       	new SelectorByOpenToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
!       	                                    true,currentDate.AddDays(-30), currentDate,
!       	                                    this.numberOfEligibleTickers/2);
   
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay(lessVolatile.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-30), currentDate,
!         this.numberOfEligibleTickers/2, this.benchmark);
!      
!       SelectorByAverageCloseToClosePerformance bestTickersFromQuoted =
!         new SelectorByAverageCloseToClosePerformance(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
!         false,currentDate,currentDate,this.bestTickers.Length);
! 
!       SelectorByAverageCloseToClosePerformance worstTickersFromQuoted =
!         new SelectorByAverageCloseToClosePerformance(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
!         true,currentDate,currentDate,this.worstTickers.Length);
  
!       DataTable tableOfBestTickers = bestTickersFromQuoted.GetTableOfSelectedTickers();
!       for(int i = 0;i<this.bestTickers.Length;i++)
!         if(tableOfBestTickers.Rows[i][0] != null)
!           this.bestTickers[i] = (string)tableOfBestTickers.Rows[i][0];
  
!       DataTable tableOfWorstTickers = worstTickersFromQuoted.GetTableOfSelectedTickers();
!       for(int i = 0;i<this.worstTickers.Length;i++)
!         if(tableOfWorstTickers.Rows[i][0] != null)
!           this.worstTickers[i] = (string)tableOfWorstTickers.Rows[i][0];
  //     //for DEBUG
  //     //remark from here for real running
--- 230,296 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
! 			this.oneHourAfterMarketCloseEventHandler_clear(); 
! 			DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
! 			int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
! 			DateTime firstDateForPerformanceComputation =
! 				(DateTime)((IndexBasedEndOfDayTimer)sender).IndexQuotes.Rows[currentDateArrayPositionInTimer - this.lengthInDaysForPerformance]["quDate"];
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 				currentDate);
! 			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
! 			//remark from here for DEBUG
        
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup = 
! 				new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 				false, currentDate.AddDays(-30), currentDate,
! 				tickersFromGroup.Rows.Count, this.benchmark);
! 
! 			SelectorByAverageRawOpenPrice byPrice = 
! 				new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 				false, currentDate.AddDays(-10), currentDate,
! 				tickersFromGroup.Rows.Count, 25 );
        
! 			SelectorByLiquidity mostLiquidSelector =
! 				new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 				false,currentDate.AddDays(-30), currentDate,
! 				this.numberOfEligibleTickers);
!       
! 			SelectorByCloseToCloseVolatility lessVolatile = 
! 				new SelectorByCloseToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
! 				true,currentDate.AddDays(-30), currentDate,
! 				this.numberOfEligibleTickers/2);
   
! 			SelectorByAbsolutePerformance bestTickersFromLessVolatile =
! 				new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				false,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
  
! 			SelectorByAbsolutePerformance worstTickersFromLessVolatile =
! 				new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				true,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
  
! 			DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
! 			if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 			{	
! 				this.thereAreEnoughBestTickers = true;
! 				for(int i = 0;i<this.bestTickers.Length;i++)
! 				{
! 					if( (double)tableOfBestTickers.Rows[i]["SimpleReturn"] > 0.0 )
! 						this.bestTickers[i] = (string)tableOfBestTickers.Rows[i][0];
! 					else//not all best tickers have gained
! 						this.thereAreEnoughBestTickers = false;
! 				}
! 			}
! 			
! 			DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
! 			if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 			{	
! 				this.thereAreEnoughWorstTickers = true;
! 				for(int i = 0;i<this.worstTickers.Length;i++)
! 				{
! 					if( (double)tableOfWorstTickers.Rows[i]["SimpleReturn"] < 0.0 )
! 						this.worstTickers[i] = (string)tableOfWorstTickers.Rows[i][0];
! 					else//not all best tickers have lost
! 						this.thereAreEnoughWorstTickers = false;
! 				}
! 			}
  //     //for DEBUG
  //     //remark from here for real running

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHT

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest EndOfDayTimerHandlerSimpleOHTest.cs, 1.2, 1.3 RunSimpleOHTest.cs, 1.1, 1.2