[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend EndOfDayTimerHandlerECT.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10276/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend

Modified Files:
	EndOfDayTimerHandlerECT.cs 
Log Message:
Code has been re-organized in a more logical and Object Oriented way:
- WeightedPositions class has been used.
- Some static methods have been deleted from SignedTicker class. They have been moved
to WeightedPositions.
- Basic orders'management has been moved to the primitive base class EndOfDayTimerHandler
and to AccountManager class

Index: EndOfDayTimerHandlerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/EndOfDayTimerHandlerECT.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayTimerHandlerECT.cs	17 Sep 2006 21:48:39 -0000	1.5
--- EndOfDayTimerHandlerECT.cs	29 Aug 2007 09:43:30 -0000	1.6
***************
*** 49,57 ****
      private int numDaysForReturnCalculation;
      private double maxAcceptableCloseToCloseDrawdown;
-     private bool stopLossConditionReached;
-     private double currentAccountValue;
-     private double previousAccountValue;
-     private int numDaysBetweenEachOptimization;
-     private int numDaysElapsedSinceLastOptimization;
      private int daysCounterWithPositions;
  //    private int daysCounterWithRightPositions;
--- 49,52 ----
***************
*** 119,125 ****
  	      DateTime finalDateForHalfPeriod = 
  	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	returnValue =
! 	      	 SignedTicker.GetCloseToClosePortfolioReturn(
! 	      	     this.chosenTickers, this.chosenTickersPortfolioWeights,
  	      	     initialDateForHalfPeriod,finalDateForHalfPeriod);
        }
--- 114,118 ----
  	      DateTime finalDateForHalfPeriod = 
  	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	returnValue = this.chosenWeightedPositions.GetCloseToCloseReturn(
  	      	     initialDateForHalfPeriod,finalDateForHalfPeriod);
        }
***************
*** 139,150 ****
      	{
      		if(lastHalfPeriodGain < 0.0)
!     			base.openPositions(this.chosenTickers);
      		else if (lastHalfPeriodGain > 0.0 &&
                    this.portfolioType == PortfolioType.ShortAndLong)
      		{
!     			SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
      			//short the portfolio
      			try{
!             base.openPositions(this.chosenTickers);
            }
      			catch(Exception ex)
--- 132,145 ----
      	{
      		if(lastHalfPeriodGain < 0.0)
!     			AccountManager.OpenPositions(this.chosenWeightedPositions,
!     			                             this.account);
      		else if (lastHalfPeriodGain > 0.0 &&
                    this.portfolioType == PortfolioType.ShortAndLong)
      		{
!     			this.chosenWeightedPositions.Reverse();
      			//short the portfolio
      			try{
!             AccountManager.OpenPositions(this.chosenWeightedPositions,
!     				                             this.account);
            }
      			catch(Exception ex)
***************
*** 153,157 ****
            }
      			finally{
!             SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
            }
      		}
--- 148,152 ----
            }
      			finally{
!             this.chosenWeightedPositions.Reverse();
            }
      		}
***************
*** 165,170 ****
        {
        //Close if halfPeriod has elapsed or stop loss condition reached
!           base.closePositions();
!           this.daysCounterWithPositions = 0;
        }
      }    
--- 160,165 ----
        {
        //Close if halfPeriod has elapsed or stop loss condition reached
!       	AccountManager.ClosePositions(this.account);
!         this.daysCounterWithPositions = 0;
        }
      }    
***************
*** 177,181 ****
        //this.marketCloseEventHandler_updateStopLossCondition();  
        this.marketCloseEventHandler_closePositions();
!       if(this.chosenTickers[0] != null)
        //tickers to buy have been chosen
        {
--- 172,176 ----
        //this.marketCloseEventHandler_updateStopLossCondition();  
        this.marketCloseEventHandler_closePositions();
!       if(this.chosenWeightedPositions != null)
        //tickers to buy have been chosen
        {
***************
*** 253,260 ****
      {
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.chosenTickers.Length*2)
          //the optimization process is meaningful only if the initial set of tickers is 
          //larger than the number of tickers to be chosen                     
-       
        {
          this.iGenomeManager =
--- 248,254 ----
      {
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.chosenWeightedPositions.Count*2)
          //the optimization process is meaningful only if the initial set of tickers is 
          //larger than the number of tickers to be chosen                     
        {
          this.iGenomeManager =
***************
*** 281,286 ****
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
            this.numDaysForReturnCalculation, this.portfolioType, GO.GenerationCounter);
!         this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
!         this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
        }
        //else it will be buyed again the previous optimized portfolio
--- 275,284 ----
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
            this.numDaysForReturnCalculation, this.portfolioType, GO.GenerationCounter);
! //        this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
! //        this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
! 				SignedTickers signedTickers = new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers );
! 				this.chosenWeightedPositions = 
! 					new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					                       signedTickers);
        }
        //else it will be buyed again the previous optimized portfolio
***************
*** 299,303 ****
        this.seedForRandomGenerator++;
        this.numDaysElapsedSinceLastOptimization++;
-       this.orders.Clear();
        if((this.numDaysElapsedSinceLastOptimization - 1 == 
              this.numDaysBetweenEachOptimization)) //|| this.isTheFirstClose )
--- 297,300 ----