[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower EndOfDayTimerHandlerITF.cs, 1.3, 1.4

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

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

Modified Files:
	EndOfDayTimerHandlerITF.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: EndOfDayTimerHandlerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/EndOfDayTimerHandlerITF.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerITF.cs	17 Sep 2006 21:48:39 -0000	1.3
--- EndOfDayTimerHandlerITF.cs	29 Aug 2007 09:43:31 -0000	1.4
***************
*** 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 DateTime lastCloseDate;
--- 49,52 ----
***************
*** 113,119 ****
  	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
        	returnValue =
! 	      	 SignedTicker.GetCloseToClosePortfolioReturn(
! 	      	     this.chosenTickers, this.chosenTickersPortfolioWeights,
! 	      	     initialDateForHalfPeriod,finalDateForHalfPeriod);
        }
      	catch(MissingQuotesException ex)
--- 108,112 ----
  	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
        	returnValue =
! 	      	 chosenWeightedPositions.GetCloseToCloseReturn(initialDateForHalfPeriod,finalDateForHalfPeriod);
        }
      	catch(MissingQuotesException ex)
***************
*** 132,142 ****
      	{
      		if(lastHalfPeriodGain > 0.0)
!     			base.openPositions(this.chosenTickers);
      		else//the last HalfPeriodGain has been negative
      		{
!     			SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
      			//short the portfolio
      			try{
!             base.openPositions(this.chosenTickers);
            }
      			catch(Exception ex)
--- 125,135 ----
      	{
      		if(lastHalfPeriodGain > 0.0)
!     			AccountManager.OpenPositions(chosenWeightedPositions, this.account);
      		else//the last HalfPeriodGain has been negative
      		{
!     			chosenWeightedPositions.Reverse();
      			//short the portfolio
      			try{
!             AccountManager.OpenPositions(chosenWeightedPositions, this.account);
            }
      			catch(Exception ex)
***************
*** 145,149 ****
            }
      			finally{
!             SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
            }
      		}
--- 138,142 ----
            }
      			finally{
!             chosenWeightedPositions.Reverse();
            }
      		}
***************
*** 157,161 ****
        {
        //Close if halfPeriod has elapsed or stop loss condition reached
!           base.closePositions();
            this.daysCounterWithPositions = 0;
        }
--- 150,154 ----
        {
        //Close if halfPeriod has elapsed or stop loss condition reached
!           AccountManager.ClosePositions(this.account);
            this.daysCounterWithPositions = 0;
        }
***************
*** 169,173 ****
          this.daysCounterWithPositions++;
        this.marketCloseEventHandler_closePositions();
!       if(this.chosenTickers[0] != null)
        //tickers to buy have been chosen
        {
--- 162,166 ----
          this.daysCounterWithPositions++;
        this.marketCloseEventHandler_closePositions();
!       if(chosenWeightedPositions != null)
        //tickers to buy have been chosen
        {
***************
*** 244,248 ****
      {
        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                     
--- 237,241 ----
      {
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
          //the optimization process is meaningful only if the initial set of tickers is 
          //larger than the number of tickers to be chosen                     
***************
*** 266,271 ****
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
            this.numDaysForReturnCalculation);
!         this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
!         this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
        }
        //else it will be buyed again the previous optimized portfolio
--- 259,264 ----
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
            this.numDaysForReturnCalculation);
! 				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
        }
        //else it will be buyed again the previous optimized portfolio
***************
*** 284,288 ****
        this.seedForRandomGenerator++;
        this.numDaysElapsedSinceLastOptimization++;
-       this.orders.Clear();
        if((this.numDaysElapsedSinceLastOptimization - 1 == 
              this.numDaysBetweenEachOptimization)) //|| this.isTheFirstClose )
--- 277,280 ----