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

SourceForge Headquarters 1320 Columbia Street Suite 310 San Diego, CA 92101 +1 (858) 422-6466

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13724/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	EndOfDayTimerHandlerPVO.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: EndOfDayTimerHandlerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EndOfDayTimerHandlerPVO.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayTimerHandlerPVO.cs	9 Apr 2007 18:08:04 -0000	1.5
--- EndOfDayTimerHandlerPVO.cs	29 Aug 2007 09:50:20 -0000	1.6
***************
*** 57,65 ****
      protected double currentOverboughtThreshold;
      protected double maxAcceptableCloseToCloseDrawdown;
-     protected bool stopLossConditionReached;
-     protected double currentAccountValue;
-     protected double previousAccountValue;
-     protected int numDaysBetweenEachOptimization;
-     protected int numDaysElapsedSinceLastOptimization;
      protected DateTime lastCloseDate;
      protected IGenomeManager iGenomeManager;
--- 57,60 ----
***************
*** 118,133 ****
        this.previousAccountValue = this.currentAccountValue;
        this.currentAccountValue = this.account.GetMarketValue();
!       if((this.currentAccountValue - this.previousAccountValue)
!            /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
!       {
          this.stopLossConditionReached = true;
-       }
        else
-       {
          this.stopLossConditionReached = false;
-       }
      }    
  
!     protected virtual double getCurrentChosenTickersValue(IndexBasedEndOfDayTimer timer)
      {
        double returnValue = 999.0;
--- 113,124 ----
        this.previousAccountValue = this.currentAccountValue;
        this.currentAccountValue = this.account.GetMarketValue();
!       if( (this.currentAccountValue - this.previousAccountValue)/
!           this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown )
          this.stopLossConditionReached = true;
        else
          this.stopLossConditionReached = false;
      }    
  
!     protected virtual double getCurrentChosenWeightedPositionsValue(IndexBasedEndOfDayTimer timer)
      {
        double returnValue = 999.0;
***************
*** 141,147 ****
  	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
        	returnValue =
! 	      	 SignedTicker.GetCloseToClosePortfolioReturn(
! 	      	     this.chosenTickers, this.chosenTickersPortfolioWeights,
! 	      	     initialDate,finalDate) + 1.0;
        }
      	catch(MissingQuotesException ex)
--- 132,137 ----
  	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
        	returnValue =
! 	      	 this.chosenWeightedPositions.GetCloseToCloseReturn( initialDate,   	     
! 	      	     																		finalDate) + 1.0;
        }
      	catch(MissingQuotesException ex)
***************
*** 154,160 ****
      private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
      {
!       double currentChosenTickersValue = 
!         this.getCurrentChosenTickersValue(timer);
!       if(currentChosenTickersValue != 999.0)
          //currentChosenTickersValue has been properly computed
        {
--- 144,150 ----
      private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
      {
!       double currentChosenWeightedPositionsTickersValue = 
!         this.getCurrentChosenWeightedPositionsValue(timer);
!       if(currentChosenWeightedPositionsTickersValue != 999.0)
          //currentChosenTickersValue has been properly computed
        {
***************
*** 162,166 ****
        	//it is possible to reverse positions
        	{
!       		if(currentChosenTickersValue >= 1.0 + currentOverboughtThreshold &&
        	    this.portfolioHasBeenOversold)
        		//open positions derive from an overSold period but now
--- 152,156 ----
        	//it is possible to reverse positions
        	{
!       		if(currentChosenWeightedPositionsTickersValue >= 1.0 + currentOverboughtThreshold &&
        	    this.portfolioHasBeenOversold)
        		//open positions derive from an overSold period but now
***************
*** 171,175 ****
        			this.portfolioHasBeenOverbought = true;
        		}
!       		if(currentChosenTickersValue <= 1.0 - currentOversoldThreshold &&
        	    this.portfolioHasBeenOverbought)
        		//open positions derive from an overSold period but now
--- 161,165 ----
        			this.portfolioHasBeenOverbought = true;
        		}
!       		if(currentChosenWeightedPositionsTickersValue <= 1.0 - currentOversoldThreshold &&
        	    this.portfolioHasBeenOverbought)
        		//open positions derive from an overSold period but now
***************
*** 184,203 ****
      }
  
!     private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
      {
!       double currentChosenTickersValue = 
!       		this.getCurrentChosenTickersValue(timer);
!     	if(currentChosenTickersValue != 999.0)
      	//currentChosenTickersValue has been properly computed
      	{
!     		if(currentChosenTickersValue >= 1.0 + currentOverboughtThreshold &&
             this.portfolioType == PortfolioType.ShortAndLong)
      		{
!           SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
!          
!           //short the portfolio
            try
            {
!             base.openPositions(this.chosenTickers);
              this.portfolioHasBeenOverbought = true;
            	this.portfolioHasBeenOversold = false;
--- 174,194 ----
      }
  
!     protected void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
      {
!       if(this.account.CashAmount == 0.0 && this.account.Transactions.Count == 0)
! 				this.account.AddCash(15000);
! 			double currentChosenWeightedPositionsValue = 
!       		this.getCurrentChosenWeightedPositionsValue(timer);
!     	if(currentChosenWeightedPositionsValue != 999.0)
      	//currentChosenTickersValue has been properly computed
      	{
!     		if(currentChosenWeightedPositionsValue >= 1.0 + currentOverboughtThreshold &&
             this.portfolioType == PortfolioType.ShortAndLong)
      		{
!     			this.chosenWeightedPositions.Reverse();
            try
            {
!             AccountManager.OpenPositions( this.chosenWeightedPositions,
!           	                            	this.account );
              this.portfolioHasBeenOverbought = true;
            	this.portfolioHasBeenOversold = false;
***************
*** 209,218 ****
            finally
            {
!             SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
            }
      		}
!         else if (currentChosenTickersValue <= 1.0 - currentOversoldThreshold)
      		{
!           base.openPositions(this.chosenTickers);
            this.portfolioHasBeenOverbought = false;
            this.portfolioHasBeenOversold = true;
--- 200,210 ----
            finally
            {
!             this.chosenWeightedPositions.Reverse();
            }
      		}
!         else if (currentChosenWeightedPositionsValue <= 1.0 - currentOversoldThreshold)
      		{
!           AccountManager.OpenPositions( this.chosenWeightedPositions,
!           	                            	this.account );
            this.portfolioHasBeenOverbought = false;
            this.portfolioHasBeenOversold = true;
***************
*** 226,232 ****
          this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
        {    
!         base.closePositions();
          //a new optimization is needed, now
!         this.chosenTickers[0] = null;
          //when positions are closed, these parameters
          //have to be reset to false
--- 218,224 ----
          this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
        {    
!     		AccountManager.ClosePositions(this.account);
          //a new optimization is needed, now
!         this.chosenWeightedPositions = null;
          //when positions are closed, these parameters
          //have to be reset to false
***************
*** 241,245 ****
        //this.marketCloseEventHandler_updateStopLossCondition();  
        this.marketCloseEventHandler_closePositionsIfNeeded();
!       if(this.chosenTickers[0] != null)
        //tickers to buy have been chosen by the optimizer
        {
--- 233,237 ----
        //this.marketCloseEventHandler_updateStopLossCondition();  
        this.marketCloseEventHandler_closePositionsIfNeeded();
!       if(this.chosenWeightedPositions != null)
        //tickers to buy have been chosen by the optimizer
        {
***************
*** 248,252 ****
          		//positions are opened only if thresholds are reached
          else//there are some opened positions
!             this.marketCloseEventHandler_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);;
        }
           
--- 240,244 ----
          		//positions are opened only if thresholds are reached
          else//there are some opened positions
!             this.marketCloseEventHandler_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
        }
           
***************
*** 320,324 ****
      {
        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                     
--- 312,316 ----
      {
        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                     
***************
*** 347,352 ****
          GO.Run(false);
          
!         this.chosenTickers = ((GenomeMeaningPVO)GO.BestGenome.Meaning).Tickers;
!         this.chosenTickersPortfolioWeights = ((GenomeMeaningPVO)GO.BestGenome.Meaning).TickersPortfolioWeights;
          this.currentOversoldThreshold = ((GenomeMeaningPVO)GO.BestGenome.Meaning).OversoldThreshold;
          this.currentOverboughtThreshold = ((GenomeMeaningPVO)GO.BestGenome.Meaning).OverboughtThreshold;
--- 339,344 ----
          GO.Run(false);
          
!         this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaningPVO)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaningPVO)GO.BestGenome.Meaning).Tickers) );
          this.currentOversoldThreshold = ((GenomeMeaningPVO)GO.BestGenome.Meaning).OversoldThreshold;
          this.currentOverboughtThreshold = ((GenomeMeaningPVO)GO.BestGenome.Meaning).OverboughtThreshold;
***************
*** 371,375 ****
        this.seedForRandomGenerator++;
        this.numDaysElapsedSinceLastOptimization++;
-       this.orders.Clear();
        if((this.numDaysElapsedSinceLastOptimization == 
              this.numDaysBetweenEachOptimization))
--- 363,366 ----

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

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator EndOfDayTimerHandlerPVO.cs, 1.5, 1.6