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

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

Modified Files:
	EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.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: EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedOTC_PVONoThresholds/EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs	27 Feb 2007 22:52:41 -0000	1.1
--- EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs	29 Aug 2007 09:50:20 -0000	1.2
***************
*** 51,59 ****
      protected int numOfDifferentGenomesToEvaluateOutOfSample;
      protected int currentGenomeIndex = 0;
!     protected double currentTickersGainOrLoss = 0.0;
      protected Hashtable genomesCollector;

!     new protected string[,] chosenTickers;
!     new protected double[,] chosenTickersPortfolioWeights;

      public EndOfDayTimerHandlerBiasedOTC_PVONoThresholds(string tickerGroupID, int numberOfEligibleTickers, 
--- 51,58 ----
      protected int numOfDifferentGenomesToEvaluateOutOfSample;
      protected int currentGenomeIndex = 0;
!     protected double currentWeightedPositionsGainOrLoss = 0.0;
      protected Hashtable genomesCollector;

! 		protected WeightedPositions[] weightedPositionsToEvaluateOutOfSample;

      public EndOfDayTimerHandlerBiasedOTC_PVONoThresholds(string tickerGroupID, int numberOfEligibleTickers, 
***************
*** 84,94 ****
      {
        this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
!       this.chosenTickers = new string[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
!       this.chosenTickersPortfolioWeights = new double[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
        this.genomesCollector = new Hashtable();
      }

!     protected virtual double getCurrentChosenTickersGainOrLoss(IndexBasedEndOfDayTimer timer,
!                                                 int indexForChosenTickers)
      {
        double returnValue = 999.0;
--- 83,92 ----
      {
        this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
! 			this.weightedPositionsToEvaluateOutOfSample = new WeightedPositions[numOfDifferentGenomesToEvaluateOutOfSample];
        this.genomesCollector = new Hashtable();
      }

!     protected virtual double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
!                                                 int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
***************
*** 99,114 ****
          DateTime lastMarketDay = 
            (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["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.GetLastNightPortfolioReturn(
! 	      	     tickers, tickerWeights,
! 	      	     lastMarketDay, today);
        }
      	catch(MissingQuotesException ex)
--- 97,103 ----
          DateTime lastMarketDay = 
            (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
          returnValue =
! 	      	 this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetLastNightReturn(
! 	      	      	     lastMarketDay, today);
        }
      	catch(MissingQuotesException ex)
***************
*** 121,137 ****
  	  //sets currentGenomeIndex with the genome's index that crosses an overbought/oversold threshold with the
      //highest degree and sets currentTickersGainOrLoss accordingly
!     private void marketOpenEventHandler_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)
--- 110,126 ----
  	  //sets currentGenomeIndex with the genome's index that crosses an overbought/oversold threshold with the
      //highest degree and sets currentTickersGainOrLoss accordingly
!     protected virtual void 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 currentWeightedPositionsGainOrLoss = 0.0;
        double currentMaxAbsoluteMove = 0.0;
        double currentAbsoluteMove = 0.0;
        for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
        {
!         currentWeightedPositionsGainOrLoss = this.getCurrentWeightedPositionsGainOrLoss(timer, i);
        	currentAbsoluteMove =
!         	Math.Abs( currentWeightedPositionsGainOrLoss );
          if(currentAbsoluteMove != 999.0 && 
             currentAbsoluteMove > currentMaxAbsoluteMove)
***************
*** 141,168 ****
            currentMaxAbsoluteMove = currentAbsoluteMove;
          	this.currentGenomeIndex = i;
!         	this.currentTickersGainOrLoss = currentTickersGainOrLoss;
          }
        }
      }
! 
! 
!     protected void marketOpenEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
      {
!       this.currentTickersGainOrLoss = 999.0;
!     	this.marketOpenEventHandler_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);
          }
      	}
--- 130,164 ----
            currentMaxAbsoluteMove = currentAbsoluteMove;
          	this.currentGenomeIndex = i;
!         	this.currentWeightedPositionsGainOrLoss = currentWeightedPositionsGainOrLoss;
          }
        }
      }
!     //no thresholds
! 		protected virtual 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 > 0.0)
      		{
!           this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex].Reverse();
! 					try
! 					{
! 						AccountManager.OpenPositions(this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex],
! 																				 this.account);
! 					}
! 					catch(Exception ex)
! 					{ex=ex;}
! 					finally
! 					{
! 						this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex].Reverse();
! 					}
          }
          else //(currentChosenTickersGainOrLoss < 0.0)
      		{
! 					AccountManager.OpenPositions(this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex],
! 						this.account);
          }
      	}
***************
*** 174,178 ****
        if(this.account.Portfolio.Count == 0 &&
           this.genomesCollector.Count > 0)
!             this.marketOpenEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
      }

--- 170,174 ----
        if(this.account.Portfolio.Count == 0 &&
           this.genomesCollector.Count > 0)
!             this.openPositions((IndexBasedEndOfDayTimer)sender);
      }

***************
*** 180,190 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       base.closePositions();
!       this.orders.Clear();
      }

      #region OneHourAfterMarketCloseEventHandler

!     private void setTickers_updateTickersListAndAddGenomesForLog(GeneticOptimizer GO,
                                                                   int eligibleTickersForGO)
      {
--- 176,185 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       AccountManager.ClosePositions(this.account);
      }

      #region OneHourAfterMarketCloseEventHandler

!     protected void setTickers_updateTickersListAndAddGenomesForLog(GeneticOptimizer GO,
                                                                   int eligibleTickersForGO)
      {
***************
*** 202,215 ****
        	// 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,
--- 197,204 ----
        	// fitness has been added to the hashtable yet
        	{
!     				this.weightedPositionsToEvaluateOutOfSample[addedGenomes] = new WeightedPositions(
!       				((GenomeMeaningPVO)currentGenome.Meaning).TickersPortfolioWeights, 
! 							new SignedTickers( ((GenomeMeaningPVO)currentGenome.Meaning).Tickers ) );
        		this.genomesCollector.Add(currentGenome.Fitness, null);
        		this.addPVOGenomeToBestGenomes(currentGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, eligibleTickersForGO,

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

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