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

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedPVONoThresholds
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12786/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedPVONoThresholds

Modified Files:
	EndOfDayTimerHandlerBiasedPVONoThresholds.cs 
Log Message:
Changed inherited class: now this class derives from EndOfDayTimerHandlerBiasedOTC_PVONoThresholds
(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: EndOfDayTimerHandlerBiasedPVONoThresholds.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedPVONoThresholds/EndOfDayTimerHandlerBiasedPVONoThresholds.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerBiasedPVONoThresholds.cs	27 Feb 2007 22:52:40 -0000	1.1
--- EndOfDayTimerHandlerBiasedPVONoThresholds.cs	29 Aug 2007 09:48:18 -0000	1.2
***************
*** 38,41 ****
--- 38,43 ----
  using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
  using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator;
+ using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.BiasedPVO.BiasedOTC_PVONoThresholds; 
+ 
  
  namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.BiasedPVO.BiasedPVONoThresholds
***************
*** 47,62 ****
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandlerBiasedPVONoThresholds : EndOfDayTimerHandlerPVO
    {
-     protected int numOfDifferentGenomesToEvaluateOutOfSample;
      protected double minimumAcceptableGain;
!     protected int currentGenomeIndex = 0;
!     protected double currentTickersGainOrLoss = 0.0;
!     protected Hashtable genomesCollector;
!     protected bool takeProfitConditionReached;
!     
!     new protected string[,] chosenTickers;
!     new protected double[,] chosenTickersPortfolioWeights;
!         
      public EndOfDayTimerHandlerBiasedPVONoThresholds(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
--- 49,56 ----
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandlerBiasedPVONoThresholds : EndOfDayTimerHandlerBiasedOTC_PVONoThresholds
    {
      protected double minimumAcceptableGain;
! 
      public EndOfDayTimerHandlerBiasedPVONoThresholds(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
***************
*** 74,177 ****
                                  generationNumberForGeneticOptimizer,
                                  populationSizeForGeneticOptimizer,
!                                 benchmark,
!                                 2,
!                                 0,
!                                 0,
!                                 0,
!                                 0,
!                                 1,
!                                 true,
!                                 false,
!                                 numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown)
      {
-       this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
        this.minimumAcceptableGain = minimumAcceptableGain;
!       this.chosenTickers = new string[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
!       this.chosenTickersPortfolioWeights = new double[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
!       this.genomesCollector = new Hashtable();
      }
      
  	  #region MarketCloseEventHandler
      
!     protected virtual double getCurrentChosenTickersGainOrLoss(IndexBasedEndOfDayTimer timer,
!                                                 int indexForChosenTickers)
!     {
!       double returnValue = 999.0;
!       try
!       {
! 		    DateTime date = 
! 	          (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.chosenTickers[indexForChosenTickers,i];
!           tickerWeights[i] = this.chosenTickersPortfolioWeights[indexForChosenTickers,i];
!         }
!         returnValue =
! 	      	 SignedTicker.GetCloseToClosePortfolioReturn(
! 	      	     tickers, tickerWeights,
! 	      	     date,date);
!       }
!     	catch(MissingQuotesException ex)
!     	{
!     		ex = ex;
!     	}
!     	return returnValue;
!     }   
! 
! 	  //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 genome index is the first
!       //genome (with the highest plain fitness), if no other genome
!       //presents a gain or a loss greater than the first genome
!       double currentTickersGainOrLoss = 0.0;
!       double currentMaxAbsoluteMove = 0.0;
!       double currentAbsoluteMove = 0.0;
!       for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
!       {
!         currentTickersGainOrLoss = this.getCurrentChosenTickersGainOrLoss(timer, i);
!       	currentAbsoluteMove =
!         	Math.Abs( currentTickersGainOrLoss );
!         if(currentAbsoluteMove != 999.0 && 
!            currentAbsoluteMove > currentMaxAbsoluteMove)
!           //currentAbsoluteMove has been properly computed and it is
!         	//greater than the current greatest move up to date
!         {
!           currentMaxAbsoluteMove = currentAbsoluteMove;
!         	this.currentGenomeIndex = i;
!         	this.currentTickersGainOrLoss = currentTickersGainOrLoss;
!         }
!       }
!     }
! 
! 
!     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];
!         for(int i = 0; i < this.numberOfTickersToBeChosen; i++)
!           tickers[i] = this.chosenTickers[this.currentGenomeIndex,i];
!         if(this.currentTickersGainOrLoss > 0.0)
!     		{
!           SignedTicker.ChangeSignOfEachTicker(tickers);
!           base.openPositions(tickers);
!         }
!         else //(currentChosenTickersGainOrLoss < 0.0)
!     		{
!           base.openPositions(tickers);
!         }
!         this.currentAccountValue = this.account.GetMarketValue();
!     	}
!     }
!         
!     private void marketCloseEventHandler_closeIfItIsTimeToClose_updateStopLossAndTakeProfitConditions()
      {
        this.previousAccountValue = this.currentAccountValue;
--- 68,103 ----
                                  generationNumberForGeneticOptimizer,
                                  populationSizeForGeneticOptimizer,
!                                 benchmark,numOfDifferentGenomesToEvaluateOutOfSample,
!                                 numDaysBetweenEachOptimization,portfolioType)
!                                 
      {
        this.minimumAcceptableGain = minimumAcceptableGain;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
      }
      
  	  #region MarketCloseEventHandler
      
! 		protected override double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
! 			int indexForChosenWeightedPositions)
! 		{
! 			double returnValue = 999.0;
! 			try
! 			{
! 				DateTime today = 
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				DateTime lastMarketDay = 
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
! 				returnValue =
! 					this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetCloseToCloseReturn(
! 					lastMarketDay, today);
! 			}
! 			catch(MissingQuotesException ex)
! 			{
! 				ex = ex;
! 			}
! 			return returnValue;
! 		}   
! 	          
!     protected virtual void marketCloseEventHandler_closeIfItIsTimeToClose_updateStopLossAndTakeProfitConditions()
      {
        this.previousAccountValue = this.currentAccountValue;
***************
*** 198,202 ****
      }   
  
!     private void marketCloseEventHandler_closeIfItIsTimeToClose()
      {
        this.marketCloseEventHandler_closeIfItIsTimeToClose_updateStopLossAndTakeProfitConditions();
--- 124,128 ----
      }   
  
!     protected virtual void marketCloseEventHandler_closeIfItIsTimeToClose()
      {
        this.marketCloseEventHandler_closeIfItIsTimeToClose_updateStopLossAndTakeProfitConditions();
***************
*** 209,214 ****
            //another optimization
        {
!         base.closePositions();
!         this.orders.Clear();
        }
      }
--- 135,139 ----
            //another optimization
        {
!         AccountManager.ClosePositions(this.account);
        }
      }
***************
*** 221,225 ****
       	  this.marketCloseEventHandler_closeIfItIsTimeToClose();
        else if ( this.account.Portfolio.Count == 0 &&
!     	         this.chosenTickers[0,0] != null )
  			//portfolio is empty and optimization has been already launched    		
      		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
--- 146,150 ----
       	  this.marketCloseEventHandler_closeIfItIsTimeToClose();
        else if ( this.account.Portfolio.Count == 0 &&
!     	         this.weightedPositionsToEvaluateOutOfSample != null )
  			//portfolio is empty and optimization has been already launched    		
      		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
***************
*** 231,270 ****
      #region OneHourAfterMarketCloseEventHandler
          
!     private void setTickers_updateTickersListAndAddGenomesForLog(GeneticOptimizer GO,
!                                                                  int eligibleTickersForGO)
!     {
!     	int addedGenomes = 0;
!       int counter = 0;
!       Genome currentGenome = null;
!       this.genomesCollector.Clear();
!       while(addedGenomes < this.numOfDifferentGenomesToEvaluateOutOfSample && 
!             counter < GO.PopulationSize)
!       {
!       	currentGenome = (Genome)GO.CurrentGeneration[GO.PopulationSize - 1 - counter];
!       	if(counter == 0 || 
!       	   !this.genomesCollector.ContainsKey(currentGenome.Fitness) )
!       	//it is the first genome to be added or no genome with the current
!       	// fitness has been added to the hashtable yet
!       	{
!       		for(int i = 0; i<this.numberOfTickersToBeChosen; i++)
!       		{
!       			this.chosenTickers[addedGenomes,i] = 
!       				((GenomeMeaningPVO)currentGenome.Meaning).Tickers[i];
!       			this.chosenTickersPortfolioWeights[addedGenomes,i] =
!       				((GenomeMeaningPVO)currentGenome.Meaning).TickersPortfolioWeights[i];
!       		}
!       		     		
!       		this.genomesCollector.Add(currentGenome.Fitness, null);
!       		
!       		this.addPVOGenomeToBestGenomes(currentGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
!           ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, eligibleTickersForGO,
!            2, this.portfolioType, GO.GenerationCounter,
!            0.0, 0.0);
!       	  addedGenomes ++ ;
!       	}
!       	counter ++ ;
!       }  
!     }
!     
      protected override void setTickers(DateTime currentDate,
        bool setGenomeCounter)
--- 156,160 ----
      #region OneHourAfterMarketCloseEventHandler
          
!         
      protected override void setTickers(DateTime currentDate,
        bool setGenomeCounter)

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

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedPVONoThresholds EndOfDayTimerHandlerBiasedPVONoThresholds.cs, 1.1, 1.2