[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOs

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12371/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

Modified Files:
	EndOfDayTimerHandlerBiasedPVO.cs 
Log Message:
Changed inherited class: now this class derives from EndOfDayTimerHandlerBiasedPVONoThresholds
(in place of EndOfDayTimerHandlerPVO)
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: EndOfDayTimerHandlerBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerBiasedPVO.cs	9 Apr 2007 18:14:09 -0000	1.2
--- EndOfDayTimerHandlerBiasedPVO.cs	29 Aug 2007 09:47:54 -0000	1.3
***************
*** 39,42 ****
--- 39,43 ----
  using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator;
  using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.WeightedPVO.WeightedBalancedPVO;
+ using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.BiasedPVO.BiasedPVONoThresholds;
  
  namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.BiasedPVO
***************
*** 48,66 ****
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandlerBiasedPVO : EndOfDayTimerHandlerPVO
    {
-     protected int numOfDifferentGenomesToEvaluateOutOfSample;
-     protected double minimumAcceptableGain;
-     protected int currentGenomeIndex = 0;
-     protected double currentTickersGainOrLoss = 0.0;
-     protected Hashtable genomesCollector;
-     protected bool takeProfitConditionReached;
-     protected string[,] bestGenomesChosenTickers;
-     protected double[,] bestGenomesChosenTickersPortfolioWeights;
-     
-     new protected double[] currentOversoldThreshold;
      new protected double[] currentOverboughtThreshold;
!      
!     
      public EndOfDayTimerHandlerBiasedPVO(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
--- 49,57 ----
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandlerBiasedPVO : EndOfDayTimerHandlerBiasedPVONoThresholds
    {
      new protected double[] currentOverboughtThreshold;
! 		new protected double[] currentOversoldThreshold;
! 
      public EndOfDayTimerHandlerBiasedPVO(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
***************
*** 81,109 ****
                                  PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
                                  double minimumAcceptableGain):
!     														base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
!                                 account,                                
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark,
!                                 numDaysForOscillatingPeriod,
!                                 minLevelForOversoldThreshold,
!                                 maxLevelForOversoldThreshold,
!                                 minLevelForOverboughtThreshold,
!                                 maxLevelForOverboughtThreshold,
!                                 divisorForThresholdComputation,
!                                 symmetricalThresholds,
!                                 overboughtMoreThanOversoldForFixedPortfolio,
!                                 numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown)
      {
!       
!       this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
!       this.minimumAcceptableGain = minimumAcceptableGain;
!       this.bestGenomesChosenTickers = new string[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
!       this.bestGenomesChosenTickersPortfolioWeights = new double[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
!       this.currentOversoldThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
!       this.currentOverboughtThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
!       this.genomesCollector = new Hashtable();
      }
  	
--- 72,94 ----
                                  PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
                                  double minimumAcceptableGain):
! 																base(tickerGroupID, numberOfEligibleTickers, 
! 																numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 																account, generationNumberForGeneticOptimizer,
! 																populationSizeForGeneticOptimizer, benchmark,
! 																numOfDifferentGenomesToEvaluateOutOfSample,
! 																numDaysBetweenEachOptimization,
! 																portfolioType, maxAcceptableCloseToCloseDrawdown,
! 																minimumAcceptableGain)
      {
! 			this.currentOverboughtThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
! 			this.currentOversoldThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!       this.minLevelForOversoldThreshold = minLevelForOversoldThreshold;
!       this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
!       this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
!       this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
! 			this.divisorForThresholdComputation = divisorForThresholdComputation;
! 			this.symmetricalThresholds =symmetricalThresholds;
!       this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
      }
  	
***************
*** 111,207 ****
      #region MarketCloseEventHandler
      
!     protected virtual double getCurrentChosenTickersGainOrLoss(IndexBasedEndOfDayTimer timer,
!                                                 int indexForChosenTickers)
!     {
!       double returnValue = 999.0;
!       try
!       {
! 		    DateTime initialDate = 
! 	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod + 2]["quDate"];
! 	      //so to replicate exactly in sample scheme, where only numOscillatingDay - 1 returns
!         //are computed
!         DateTime finalDate = 
! 	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	string[] tickers = new string[this.numberOfTickersToBeChosen];
!         double[] tickerWeights = new double[this.numberOfTickersToBeChosen];
!         for(int i = 0; i < this.numberOfTickersToBeChosen; i++)
!         {
!           tickers[i] = this.bestGenomesChosenTickers[indexForChosenTickers,i];
!           tickerWeights[i] = this.bestGenomesChosenTickersPortfolioWeights[indexForChosenTickers,i];
!         }
!         returnValue =
! 	      	 SignedTicker.GetCloseToClosePortfolioReturn(
! 	      	     tickers, tickerWeights,
! 	      	     initialDate,finalDate) + 1.0;
!       }
!     	catch(MissingQuotesException ex)
!     	{
!     		ex = ex;
!     	}
!     	return returnValue;
!     }   
! 
!     private void marketCloseEventHandler_reverseOrClose(IndexBasedEndOfDayTimer timer)
!     {
!       double currentChosenTickersGainOrLoss = 
!         this.getCurrentChosenTickersGainOrLoss(timer, this.currentGenomeIndex);
!       this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
!       if(currentChosenTickersGainOrLoss != 999.0)
!         //currentChosenTickersValue has been properly computed
!       {
!     		if(currentChosenTickersGainOrLoss >= 1.0 + currentOverboughtThreshold[this.currentGenomeIndex] &&
!     	    this.portfolioHasBeenOversold)
!     		//open positions derive from an overSold period but now
!     		//the overbought threshold has been reached
!     		{
!     			this.reversePositions();
!     			this.portfolioHasBeenOversold = false;
!     			this.portfolioHasBeenOverbought = true;
!     		}
!     		else if(currentChosenTickersGainOrLoss <= 1.0 - currentOversoldThreshold[this.currentGenomeIndex] &&
!     	    			this.portfolioHasBeenOverbought)
!     		//open positions derive from an overBought period but now
!     		//the overSold threshold has been reached
!     		{
!     			this.reversePositions();
!     			this.portfolioHasBeenOversold = true;
!     			this.portfolioHasBeenOverbought = false;
!     		}
!       	else if(this.stopLossConditionReached ||
!          	 			this.takeProfitConditionReached ||
!         	 			this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
!       	//reversal conditions have not been reached but 
!       	//stop loss or take profit conditions yes
!       	//or after the close it is necessary to run
!       	//another optimization
!       	{
! 	        base.closePositions();
!           this.orders.Clear();
! 	        this.portfolioHasBeenOverbought = false;
! 	        this.portfolioHasBeenOversold = false;
!       	}
!       }
!     }
! 
!     private void marketCloseEventHandler_closeIfItIsTimeToClose()
!     {
!       this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
!       if(this.stopLossConditionReached ||
!           this.takeProfitConditionReached ||
!           this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
!           //stop loss or take profit conditions yes
!           //or after the next close it is necessary to run
!           //another optimization
!       {
!         base.closePositions();
!         this.orders.Clear();
!         this.portfolioHasBeenOverbought = false;
!         this.portfolioHasBeenOversold = false;
!       }
!     }
! 
      //sets currentGenomeIndex with the genome's index that crosses an overbought/oversold threshold with the
      //highest degree and sets currentTickersGainOrLoss accordingly
!     private void marketCloseEventHandler_openPositions_chooseBestGenome(IndexBasedEndOfDayTimer timer)
      {
        //default index is the first
--- 96,103 ----
      #region MarketCloseEventHandler
      
! 		
      //sets currentGenomeIndex with the genome's index that crosses an overbought/oversold threshold with the
      //highest degree and sets currentTickersGainOrLoss accordingly
!     protected override void openPositions_chooseBestGenome(IndexBasedEndOfDayTimer timer)
      {
        //default index is the first
***************
*** 212,232 ****
        for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
        {
!         double currentChosenTickersGainOrLoss = 
!                  this.getCurrentChosenTickersGainOrLoss(timer, i);
!         if(currentChosenTickersGainOrLoss != 999.0)
            //currentChosenTickersValue has been properly computed
          {
            //computing degree of crossing threshold 
!           if(currentChosenTickersGainOrLoss >= 1.0 + this.currentOverboughtThreshold[i])
            {
              currentDegreeOfCrossingThreshold = 
!               (currentChosenTickersGainOrLoss - 1.0 - this.currentOverboughtThreshold[i])/
              		(1 + this.currentOverboughtThreshold[i]);
   
            }
!           else if (currentChosenTickersGainOrLoss <= 1.0 - this.currentOversoldThreshold[i])
            {
              currentDegreeOfCrossingThreshold = 
!               (1.0 - this.currentOversoldThreshold[i] - currentChosenTickersGainOrLoss)/
              		(1.0 - this.currentOversoldThreshold[i]);
            }
--- 108,128 ----
        for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
        {
!         double currentChosenWeightedPositionsGainOrLoss = 
!                  this.getCurrentWeightedPositionsGainOrLoss(timer, i);
!         if(currentChosenWeightedPositionsGainOrLoss != 999.0)
            //currentChosenTickersValue has been properly computed
          {
            //computing degree of crossing threshold 
!           if(currentChosenWeightedPositionsGainOrLoss >= 1.0 + this.currentOverboughtThreshold[i])
            {
              currentDegreeOfCrossingThreshold = 
!               (currentChosenWeightedPositionsGainOrLoss - 1.0 - this.currentOverboughtThreshold[i])/
              		(1 + this.currentOverboughtThreshold[i]);
   
            }
!           else if (currentChosenWeightedPositionsGainOrLoss <= 1.0 - this.currentOversoldThreshold[i])
            {
              currentDegreeOfCrossingThreshold = 
!               (1.0 - this.currentOversoldThreshold[i] - currentChosenWeightedPositionsGainOrLoss)/
              		(1.0 - this.currentOversoldThreshold[i]);
            }
***************
*** 235,270 ****
            	currentMaxDegreeOfCrossingThreshold = currentDegreeOfCrossingThreshold;
            	this.currentGenomeIndex = i;
!           	this.currentTickersGainOrLoss = currentChosenTickersGainOrLoss;
            }
          }
        }
!    }
! 
  
!     private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
      {
!       this.currentTickersGainOrLoss = 999.0; //
!     	this.marketCloseEventHandler_openPositions_chooseBestGenome(timer);
!       if(this.currentTickersGainOrLoss != 999.0)
!     	//currentChosenTickersValue has been properly computed
      	{
!         string[] tickers = new string[this.numberOfTickersToBeChosen];
!         double[] tickersWeights = new double[this.numberOfTickersToBeChosen];
!         for(int i = 0; i < this.numberOfTickersToBeChosen; i++)
!         {
!           tickers[i] = this.bestGenomesChosenTickers[this.currentGenomeIndex,i];
!           tickersWeights[i] = this.bestGenomesChosenTickersPortfolioWeights[this.currentGenomeIndex,i];
!         }
!           if(this.currentTickersGainOrLoss >= 1.0 + currentOverboughtThreshold[this.currentGenomeIndex] &&
             this.portfolioType == PortfolioType.ShortAndLong)
      		{
!           SignedTicker.ChangeSignOfEachTicker(tickers);
!           base.openPositions(tickers, tickersWeights);
!           this.portfolioHasBeenOverbought = true;
!           this.portfolioHasBeenOversold = false;
          }
!         else if (this.currentTickersGainOrLoss <= 1.0 - currentOversoldThreshold[this.currentGenomeIndex])
      		{
!           base.openPositions(tickers, tickersWeights);
            this.portfolioHasBeenOverbought = false;
            this.portfolioHasBeenOversold = true;
--- 131,168 ----
            	currentMaxDegreeOfCrossingThreshold = currentDegreeOfCrossingThreshold;
            	this.currentGenomeIndex = i;
!           	this.currentWeightedPositionsGainOrLoss = currentChosenWeightedPositionsGainOrLoss;
            }
          }
        }
!     }
  
!     protected override void openPositions(IndexBasedEndOfDayTimer timer)
      {
!       this.currentWeightedPositionsGainOrLoss = 999.0; //
!     	this.openPositions_chooseBestGenome(timer);
!       if(this.currentWeightedPositionsGainOrLoss != 999.0)
!     	//currentWeightedPositionsGainOrLoss has been properly computed
      	{
!         if(this.currentWeightedPositionsGainOrLoss >= 1.0 + currentOverboughtThreshold[this.currentGenomeIndex] &&
             this.portfolioType == PortfolioType.ShortAndLong)
      		{
! 					this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex].Reverse();
! 					try{
! 						AccountManager.OpenPositions(this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex],
! 							this.account);
! 						this.portfolioHasBeenOverbought = true;
! 						this.portfolioHasBeenOversold = false;
! 					}
! 					catch(Exception ex){
! 						ex=ex;
! 					}
! 					finally{
! 						this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex].Reverse();
! 					}
          }
!         else if (this.currentWeightedPositionsGainOrLoss <= 1.0 - currentOversoldThreshold[this.currentGenomeIndex])
      		{
! 					AccountManager.OpenPositions(this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex],
! 						this.account);
            this.portfolioHasBeenOverbought = false;
            this.portfolioHasBeenOversold = true;
***************
*** 273,312 ****
      	}
      }
!         
!     private void marketCloseEventHandler_updateStopLossAndTakeProfitConditions()
!     {
!       this.previousAccountValue = this.currentAccountValue;
!       this.currentAccountValue = this.account.GetMarketValue();
!       double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
!            													/this.previousAccountValue;
!       
!       if( portfolioGainOrLoss < -this.maxAcceptableCloseToCloseDrawdown )
!       {
!         this.stopLossConditionReached = true;
!         this.takeProfitConditionReached = false;
!       }
!       else if (portfolioGainOrLoss >= this.minimumAcceptableGain)
!                
!       {
!         this.stopLossConditionReached = false;
!         this.takeProfitConditionReached = true;
!       }
!       else
!       {
!       	this.stopLossConditionReached = false;
!         this.takeProfitConditionReached = false;
!       }
!     }   
! 
      public override void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
       	if(this.account.Portfolio.Count > 0)
-     	 	//this.marketCloseEventHandler_reverseOrClose((IndexBasedEndOfDayTimer)sender);
       	  this.marketCloseEventHandler_closeIfItIsTimeToClose();
        else if ( this.account.Portfolio.Count == 0 &&
!     	         this.bestGenomesChosenTickers[0,0] != null )
  			//portfolio is empty and optimization has been already launched    		
!     		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
      }
  
--- 171,184 ----
      	}
      }
!    
      public override void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
       	if(this.account.Portfolio.Count > 0)
       	  this.marketCloseEventHandler_closeIfItIsTimeToClose();
        else if ( this.account.Portfolio.Count == 0 &&
!     	          this.weightedPositionsToEvaluateOutOfSample != null )
  			//portfolio is empty and optimization has been already launched    		
!     		this.openPositions((IndexBasedEndOfDayTimer)sender);
      }
  
***************
*** 334,349 ****
        	// fitness has been added to the hashtable yet
        	{
!       		for(int i = 0; i<this.numberOfTickersToBeChosen; i++)
!       		{
!       			this.bestGenomesChosenTickers[addedGenomes,i] = 
!       				((GenomeMeaningPVO)currentGenome.Meaning).Tickers[i];
!       			this.bestGenomesChosenTickersPortfolioWeights[addedGenomes,i] =
!       				((GenomeMeaningPVO)currentGenome.Meaning).TickersPortfolioWeights[i];
!       		}
        		this.currentOversoldThreshold[addedGenomes] = 
        				((GenomeMeaningPVO)currentGenome.Meaning).OversoldThreshold;
        		this.currentOverboughtThreshold[addedGenomes] = 
        				((GenomeMeaningPVO)currentGenome.Meaning).OverboughtThreshold;
-       		
        		this.genomesCollector.Add(
        		 ( (GenomeMeaning)currentGenome.Meaning ).HashCodeForTickerComposition, null);
--- 206,216 ----
        	// fitness has been added to the hashtable yet
        	{
! 					this.weightedPositionsToEvaluateOutOfSample[addedGenomes] = new WeightedPositions(
! 						((GenomeMeaningPVO)currentGenome.Meaning).TickersPortfolioWeights, 
! 						new SignedTickers( ((GenomeMeaningPVO)currentGenome.Meaning).Tickers ) );
        		this.currentOversoldThreshold[addedGenomes] = 
        				((GenomeMeaningPVO)currentGenome.Meaning).OversoldThreshold;
        		this.currentOverboughtThreshold[addedGenomes] = 
        				((GenomeMeaningPVO)currentGenome.Meaning).OverboughtThreshold;
        		this.genomesCollector.Add(
        		 ( (GenomeMeaning)currentGenome.Meaning ).HashCodeForTickerComposition, null);

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOs

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