quantproject-developers

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm EquityChartTabPage.cs,1.2,1.3

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv5166/b5_Presentation/Reporting/WindowsForm

Modified Files:
	EquityChartTabPage.cs 
Log Message:
The benchmark buy and hold equity line has been added to the report

Index: EquityChartTabPage.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/EquityChartTabPage.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EquityChartTabPage.cs	1 Aug 2004 00:31:53 -0000	1.2
--- EquityChartTabPage.cs	20 Jan 2005 01:25:54 -0000	1.3
***************
*** 21,27 ****
--- 21,31 ----
  */
  using System;
+ using System.Drawing;
  using System.Windows.Forms;
  using QuantProject.ADT.Histories;
+ using QuantProject.Data.DataProviders;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting.Reporting;
+ using QuantProject.Business.Timing;
  using QuantProject.Presentation.Charting;
  
***************
*** 35,39 ****
  		private AccountReport accountReport;
  		private Chart equityChart;
! 
  		public EquityChartTabPage( AccountReport accountReport )
  		{
--- 39,65 ----
  		private AccountReport accountReport;
  		private Chart equityChart;
! 		private History equity = new History();
! 		private History benchmark;
! 		
! 		/// <summary>
! 		/// Returns the history for the BuyAndHoldTicker, normalized for
! 		/// a proper display, that is, to be displayed overlapped to
! 		/// the equity line
! 		/// </summary>
! 		/// <returns></returns>
! 		private History getBenchmark()
! 		{
! 			History buyAndHoldTickerEquityLine =
! 				HistoricalDataProvider.GetAdjustedCloseHistory(
! 				this.accountReport.BuyAndHoldTicker );
! 			HistoricalAdjustedQuoteProvider quoteProvider =
! 				new HistoricalAdjustedQuoteProvider();
! 			DateTime firstDate = (DateTime)this.equity.GetKey( 0 );
! 			double normalizingFactor =
! 				( double )this.equity[ firstDate ] /
! 				( double )quoteProvider.GetMarketValue( this.accountReport.BuyAndHoldTicker ,
! 				new EndOfDayDateTime( firstDate , EndOfDaySpecificTime.MarketClose ) );
! 			return buyAndHoldTickerEquityLine.MultiplyBy( normalizingFactor );
! 		}
  		public EquityChartTabPage( AccountReport accountReport )
  		{
***************
*** 42,50 ****
  			this.equityChart = new Chart();
  			this.equityChart.Dock = DockStyle.Fill;
! 			History historyToBeCharted = new History();
! 			historyToBeCharted.Import( this.accountReport.Equity.DataTable ,
  				QuantProject.Business.Financial.Accounting.Reporting.Tables.Equity.Date ,
  				QuantProject.Business.Financial.Accounting.Reporting.Tables.Equity.AccountValue );
! 			this.equityChart.Add( historyToBeCharted );
  			this.Controls.Add( this.equityChart );
  		}
--- 68,78 ----
  			this.equityChart = new Chart();
  			this.equityChart.Dock = DockStyle.Fill;
! 			this.equity.Import( this.accountReport.Equity.DataTable ,
  				QuantProject.Business.Financial.Accounting.Reporting.Tables.Equity.Date ,
  				QuantProject.Business.Financial.Accounting.Reporting.Tables.Equity.AccountValue );
! 			this.equityChart.Add( equity , Color.Red );
! 			this.benchmark = this.getBenchmark();
! 			this.equityChart.Add( benchmark , Color.Blue , (DateTime)this.equity.GetKey( 0 ) ,
! 				(DateTime)this.equity.GetKey( this.equity.Count - 1 ) );
  			this.Controls.Add( this.equityChart );
  		}

[Quantproject-developers] QuantProject/b1_ADT/Histories History.cs,1.6,1.7

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Histories
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4478/b1_ADT/Histories

Modified Files:
	History.cs 
Log Message:
The method MultiplyBy has been added

Index: History.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Histories/History.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** History.cs	11 Jan 2004 19:09:11 -0000	1.6
--- History.cs	20 Jan 2005 01:22:31 -0000	1.7
***************
*** 82,85 ****
--- 82,122 ----
      }
  
+ 		
+ 		#region MultiplyBy
+ 		private double multiplyBy_getCurrentValue( DateTime key )
+ 		{
+ 			double returnValue;
+ 			try
+ 			{
+ 				returnValue = Convert.ToDouble( this[ key ] );
+ 			}
+ 			catch ( Exception exception )
+ 			{
+ 				string errorMessage = "The current History object contains a value " +
+ 					"that cannot be converted to a double. The wrong value is at the date " +
+ 					key.ToString() + ".\nOriginal error message: " + exception.Message;
+ 				throw new Exception( errorMessage );
+ 			}
+ 			return returnValue;
+ 		}
+ 		/// <summary>
+ 		/// Returns an history where each value is multiplied by the given factor.
+ 		/// The History instance must contain only numeric values
+ 		/// </summary>
+ 		/// <param name="factor"></param>
+ 		/// <returns></returns>
+ 		public History MultiplyBy( double factor )
+ 		{
+ 			if ( factor == 0.0 )
+ 				throw new Exception( "factor can not be equal to zero" );
+ 			History returnValue = new History();
+ 			foreach ( DateTime key in this.Keys )
+ 			{				
+ 				double currentValue = this.multiplyBy_getCurrentValue( key );
+ 				returnValue.Add( key , currentValue * factor );
+ 			}
+ 			return returnValue;
+ 		}
+ 		#endregion
      public DateTime GetNextDay( DateTime dateTime )
      {

[Quantproject-developers] QuantProject/b3_Data/DataProviders HistoricalDataProvider.cs,1.6,1.7

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4264/b3_Data/DataProviders

Modified Files:
	HistoricalDataProvider.cs 
Log Message:
Minor code cleaning

Index: HistoricalDataProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/HistoricalDataProvider.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** HistoricalDataProvider.cs	9 Jan 2005 22:36:19 -0000	1.6
--- HistoricalDataProvider.cs	20 Jan 2005 01:21:21 -0000	1.7
***************
*** 85,94 ****
  //    }
  //
-     public static History GetOpenHistory( string instrumentKey )
-     {
-       return (History)((Hashtable)cachedHistories[ instrumentKey ])[
-         BarComponent.Open ];
-     }
- 
  		private static History getHistory( string instrumentKey , QuoteField quoteField )
  		{
--- 85,88 ----
***************
*** 103,106 ****
--- 97,105 ----
  		}
  
+ 		public static History GetOpenHistory( string instrumentKey )
+ 		{
+ 			return getHistory( instrumentKey , QuoteField.Open );
+ 		}
+ 
  		public static History GetCloseHistory( string instrumentKey )
  		{
***************
*** 118,121 ****
--- 117,125 ----
  		}
  
+ 		public static History GetAdjustedCloseHistory( string instrumentKey )
+ 		{
+ 			return getHistory( instrumentKey , QuoteField.AdjustedClose );
+ 		}
+ 
  		private static void cache( string instrumentKey , QuoteField quoteField )
  		{

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ComparableAccount.cs,1.4,1.5

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3810/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	ComparableAccount.cs 
Log Message:
- bug fixed: proper max acceptable drop down is used now
- bug fixed: proper fitness value is computed now

Index: ComparableAccount.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/ComparableAccount.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** ComparableAccount.cs	9 Jan 2005 22:17:19 -0000	1.4
--- ComparableAccount.cs	20 Jan 2005 01:19:24 -0000	1.5
***************
*** 36,40 ****
  	public class ComparableAccount : Account
  	{
!     private double maxAcceptableDrawDown = 0.3;
  
  		private IHistoricalQuoteProvider historicalQuoteProvider =
--- 36,40 ----
  	public class ComparableAccount : Account
  	{
!     private double maxAcceptableDrawDown = 30;
  
  		private IHistoricalQuoteProvider historicalQuoteProvider =
***************
*** 70,74 ****
  			else
  				// max draw down is acceptable and the strategy is better than buy and hold
! 				returnValue = this.accountReport.Summary.TotalPnl -
  					this.accountReport.Summary.BuyAndHoldPercentageReturn;
  			return returnValue;
--- 70,74 ----
  			else
  				// max draw down is acceptable and the strategy is better than buy and hold
! 				returnValue = this.accountReport.Summary.ReturnOnAccount -
  					this.accountReport.Summary.BuyAndHoldPercentageReturn;
  			return returnValue;

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ChosenTickers.cs,1.4,1.5

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3375/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	ChosenTickers.cs 
Log Message:
Bug fixed: tickers are chosen among best performing, now

Index: ChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/ChosenTickers.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** ChosenTickers.cs	9 Jan 2005 22:16:23 -0000	1.4
--- ChosenTickers.cs	20 Jan 2005 01:17:16 -0000	1.5
***************
*** 63,69 ****
  			Account account )
  		{
! 			int index = bestPerformingTickers.Count - 1;
  			while ( ( this.Count < this.numberTickersToBeChosen ) &&
! 				( index >= 0) )
  			{
  				string ticker = ((Account)bestPerformingTickers[ index ]).Key;
--- 63,69 ----
  			Account account )
  		{
! 			int index = 0;
  			while ( ( this.Count < this.numberTickersToBeChosen ) &&
! 				( index <= ( bestPerformingTickers.Count - 1 ) ) )
  			{
  				string ticker = ((Account)bestPerformingTickers[ index ]).Key;
***************
*** 71,75 ****
  					setTickers_build_handleTicker( ticker ,
  						account );
! 				index--;
  			}
  		}
--- 71,75 ----
  					setTickers_build_handleTicker( ticker ,
  						account );
! 				index++;
  			}
  		}

[Quantproject-developers] QuantProject/b5_Presentation/Charting Chart.cs,1.3,1.4

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Charting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3005/b5_Presentation/Charting

Modified Files:
	Chart.cs 
Log Message:
New constructors have been added

Index: Chart.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Charting/Chart.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** Chart.cs	1 Aug 2004 00:27:14 -0000	1.3
--- Chart.cs	20 Jan 2005 01:15:53 -0000	1.4
***************
*** 52,61 ****
      /// </summary>
      /// <param name="history">History for the new ChartPlot</param>
!     public void Add( History history )
!     {
!       ChartPlot chartPlot = new ChartPlot( history );
!       this.chartPlots.Add( chartPlot );
!     }
!     /// <summary>
      /// Adds a new ChartPlot to the Chart, using the given arguments for the Color,
      /// the StartDate and the EndDate
--- 52,66 ----
      /// </summary>
      /// <param name="history">History for the new ChartPlot</param>
! 		public void Add( History history )
! 		{
! 			ChartPlot chartPlot = new ChartPlot( history , Color.Red );
! 			this.chartPlots.Add( chartPlot );
! 		}
! 		public void Add( History history , Color color )
! 		{
! 			ChartPlot chartPlot = new ChartPlot( history , color );
! 			this.chartPlots.Add( chartPlot );
! 		}
! 		/// <summary>
      /// Adds a new ChartPlot to the Chart, using the given arguments for the Color,
      /// the StartDate and the EndDate

[Quantproject-developers] QuantProject/b5_Presentation/Charting CharPlot.cs,1.1,1.2

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Charting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv2851/b5_Presentation/Charting

Modified Files:
	CharPlot.cs 
Log Message:
Several new constructors have been added

Index: CharPlot.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Charting/CharPlot.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** CharPlot.cs	24 Jan 2004 19:27:15 -0000	1.1
--- CharPlot.cs	20 Jan 2005 01:15:15 -0000	1.2
***************
*** 60,77 ****
      }
  
-     public ChartPlot( History history )
-     {
-       this.history = history;
-       this.color = Color.Red;
-       this.startDateTime = (DateTime)this.history.GetKey( 0 );
-       this.endDateTime = (DateTime)this.history.GetKey( this.history.Count - 1 );
-     }
  
!     public ChartPlot( History history , Color color , DateTime startDateTime , DateTime endDateTime )
      {
!       this.history = history;
!       this.color = color;
!       this.startDateTime = startDateTime;
!       this.endDateTime = endDateTime;
      }
    }
--- 60,86 ----
      }
  
  
! 		private void chartPlot( History history , Color color ,
! 			DateTime startDateTime , DateTime endDateTime )
! 		{
! 			this.history = history;
! 			this.color = color;
! 			this.startDateTime = startDateTime;
! 			this.endDateTime = endDateTime;
! 		}
! 		public ChartPlot( History history , Color color )
! 		{
! 			this.chartPlot( history , color ,
! 				(DateTime)history.GetKey( 0 ) , (DateTime)history.GetKey( history.Count - 1 ) );
! 		}
! 
! //		public ChartPlot( History history )
! //		{
! //			ChartPlot( history , Color.Red );
! //		}
! 
! 		public ChartPlot( History history , Color color , DateTime startDateTime , DateTime endDateTime )
      {
! 			this.chartPlot( history , color , startDateTime , endDateTime );
      }
    }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank BestPerformingTickers.cs,1.6,1.7

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv2563/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	BestPerformingTickers.cs 
Log Message:
Best performing tickers are actually chosen now

Index: BestPerformingTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/BestPerformingTickers.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** BestPerformingTickers.cs	9 Jan 2005 22:13:12 -0000	1.6
--- BestPerformingTickers.cs	20 Jan 2005 01:14:20 -0000	1.7
***************
*** 96,100 ****
  			}
  			this.eligibleAccounts.Sort();
! 			for ( int index=this.numberBestPerformingTickers - 1 ; index >= 0 ; index-- )
  				this.Add( this.eligibleAccounts[ index ] );
  		}
--- 96,102 ----
  			}
  			this.eligibleAccounts.Sort();
! 			for ( int index=this.eligibleAccounts.Count - 1 ;
! 				index >= this.eligibleAccounts.Count - this.numberBestPerformingTickers ;
! 				index-- )
  				this.Add( this.eligibleAccounts[ index ] );
  		}

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.17,1.18

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv1799/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Useless changes, required by a known bug of the
development tool we use.

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** b7_Scripts.csproj	9 Jan 2005 20:01:55 -0000	1.17
--- b7_Scripts.csproj	20 Jan 2005 01:11:33 -0000	1.18
***************
*** 74,82 ****
                  />
                  <Reference
-                     Name = "ADT"
-                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
-                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
-                 />
-                 <Reference
                      Name = "b4_Business"
                      Project = "{6EE31501-376E-491B-869E-F06D5B7C9C30}"
--- 74,77 ----
***************
*** 84,92 ****
                  />
                  <Reference
-                     Name = "b5_Presentation"
-                     Project = "{D3DC9EA6-3B06-4255-B19A-5FC5B66A1402}"
-                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
-                 />
-                 <Reference
                      Name = "System.Windows.Forms"
                      AssemblyName = "System.Windows.Forms"
--- 79,82 ----
***************
*** 103,106 ****
--- 93,106 ----
                      HintPath = "..\..\..\..\..\..\WINDOWS\Microsoft.NET\Framework\v1.0.3705\System.Drawing.dll"
                  />
+                 <Reference
+                     Name = "b5_Presentation"
+                     Project = "{D3DC9EA6-3B06-4255-B19A-5FC5B66A1402}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
+                 <Reference
+                     Name = "b1_ADT"
+                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
              </References>
          </Build>

[Quantproject-developers] QuantProject/b5_Presentation b5_Presentation.csproj,1.16,1.17

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv1799/b5_Presentation

Modified Files:
	b5_Presentation.csproj 
Log Message:
Useless changes, required by a known bug of the
development tool we use.

Index: b5_Presentation.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** b5_Presentation.csproj	20 Dec 2004 00:09:51 -0000	1.16
--- b5_Presentation.csproj	20 Jan 2005 01:11:32 -0000	1.17
***************
*** 121,129 ****
                  />
                  <Reference
-                     Name = "b1_ADT"
-                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
-                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
-                 />
-                 <Reference
                      Name = "Microsoft.Office.Core"
                      Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}"
--- 121,124 ----
***************
*** 134,140 ****
                  />
                  <Reference
                      Name = "scpl"
                      AssemblyName = "scpl"
!                     HintPath = "..\b91_QuantProject\bin\Debug\scpl.dll"
                  />
              </References>
--- 129,145 ----
                  />
                  <Reference
+                     Name = "b3_Data"
+                     Project = "{6AC0A2C1-B926-4921-A685-F5AA80E81C94}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
+                 <Reference
+                     Name = "b1_ADT"
+                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
+                 <Reference
                      Name = "scpl"
                      AssemblyName = "scpl"
!                     HintPath = "..\..\QuantDownloader\Downloader\bin\Debug\scpl.dll"
                  />
              </References>

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj,1.17,1.18

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv1799/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
Useless changes, required by a known bug of the
development tool we use.

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** b4_Business.csproj	9 Jan 2005 19:44:45 -0000	1.17
--- b4_Business.csproj	20 Jan 2005 01:11:32 -0000	1.18
***************
*** 74,82 ****
                  />
                  <Reference
-                     Name = "b1_ADT"
-                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
-                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
-                 />
-                 <Reference
                      Name = "b3_Data"
                      Project = "{6AC0A2C1-B926-4921-A685-F5AA80E81C94}"
--- 74,77 ----
***************
*** 138,141 ****
--- 133,141 ----
                      WrapperTool = "primary"
                  />
+                 <Reference
+                     Name = "b1_ADT"
+                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
              </References>
          </Build>

[Quantproject-developers] QuantProject/b2_DataAccess b2_DataAccess.csproj,1.13,1.14

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv1799/b2_DataAccess

Modified Files:
	b2_DataAccess.csproj 
Log Message:
Useless changes, required by a known bug of the
development tool we use.

Index: b2_DataAccess.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/b2_DataAccess.csproj,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** b2_DataAccess.csproj	9 Jan 2005 19:41:54 -0000	1.13
--- b2_DataAccess.csproj	20 Jan 2005 01:11:32 -0000	1.14
***************
*** 74,86 ****
                  />
                  <Reference
-                     Name = "b1_ADT"
-                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
-                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
-                 />
-                 <Reference
                      Name = "System.Windows.Forms"
                      AssemblyName = "System.Windows.Forms"
                      HintPath = "..\..\..\..\..\..\WINDOWS\Microsoft.NET\Framework\v1.0.3705\System.Windows.Forms.dll"
                  />
              </References>
          </Build>
--- 74,86 ----
                  />
                  <Reference
                      Name = "System.Windows.Forms"
                      AssemblyName = "System.Windows.Forms"
                      HintPath = "..\..\..\..\..\..\WINDOWS\Microsoft.NET\Framework\v1.0.3705\System.Windows.Forms.dll"
                  />
+                 <Reference
+                     Name = "b1_ADT"
+                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
              </References>
          </Build>

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj,1.21,1.22

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv1799/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
Useless changes, required by a known bug of the
development tool we use.

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.21
retrieving revision 1.22
diff -C2 -d -r1.21 -r1.22
*** b3_Data.csproj	9 Jan 2005 19:45:49 -0000	1.21
--- b3_Data.csproj	20 Jan 2005 01:11:32 -0000	1.22
***************
*** 74,82 ****
                  />
                  <Reference
-                     Name = "ADT"
-                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
-                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
-                 />
-                 <Reference
                      Name = "b2_DataAccess"
                      Project = "{8CF7C0D8-A8CB-43DC-B406-77DE62729487}"
--- 74,77 ----
***************
*** 133,136 ****
--- 128,136 ----
                      WrapperTool = "primary"
                  />
+                 <Reference
+                     Name = "b1_ADT"
+                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
              </References>
          </Build>

[Quantproject-developers] QuantProject/b91_QuantProject b91_QuantProject.csproj,1.5,1.6

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv1799/b91_QuantProject

Modified Files:
	b91_QuantProject.csproj 
Log Message:
Useless changes, required by a known bug of the
development tool we use.

Index: b91_QuantProject.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/b91_QuantProject.csproj,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** b91_QuantProject.csproj	1 Dec 2004 15:42:54 -0000	1.5
--- b91_QuantProject.csproj	20 Jan 2005 01:11:33 -0000	1.6
***************
*** 84,92 ****
                  />
                  <Reference
-                     Name = "b1_ADT"
-                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
-                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
-                 />
-                 <Reference
                      Name = "b4_Business"
                      Project = "{6EE31501-376E-491B-869E-F06D5B7C9C30}"
--- 84,87 ----

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.7,1.8 RunEfficientCTOPortfolio.cs,1.8,1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24121/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs RunEfficientCTOPortfolio.cs 
Log Message:
Setted the RunEfficientCTOPortfolio script to be tested on 2000.


Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** EndOfDayTimerHandler.cs	8 Jan 2005 11:59:14 -0000	1.7
--- EndOfDayTimerHandler.cs	15 Jan 2005 10:56:02 -0000	1.8
***************
*** 86,90 ****
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = new Order( OrderType.MarketBuy , new Instrument( ticker ) , quantity );
        this.orders.Add(order);
      }
--- 86,90 ----
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = new Order( OrderType.MarketBuy, new Instrument( ticker ) , quantity );
        this.orders.Add(order);
      }
***************
*** 170,174 ****
        DataTable setOfTickersToBeOptimized =
            quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
!       // to check this: it doesn't work !                               
        IGenomeManager genManEfficientCTOPortfolio = 
          new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized, currentDate.AddDays(-30), 
--- 170,174 ----
        DataTable setOfTickersToBeOptimized =
            quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
!                                     
        IGenomeManager genManEfficientCTOPortfolio = 
          new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized, currentDate.AddDays(-30), 

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** RunEfficientCTOPortfolio.cs	9 Jan 2005 23:44:53 -0000	1.8
--- RunEfficientCTOPortfolio.cs	15 Jan 2005 10:56:03 -0000	1.9
***************
*** 83,87 ****
          new DateTime( 2000 , 1 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2000 , 1 , 10 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
        this.numIntervalDays = 7;
  		}
--- 83,87 ----
          new DateTime( 2000 , 1 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2000 , 12 , 31 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
        this.numIntervalDays = 7;
  		}
***************
*** 124,128 ****
      private void run_initializeEndOfDayTimerHandler()
      {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandler("STOCKMI",70,6,this.account,10);
      }
      /*
--- 124,128 ----
      private void run_initializeEndOfDayTimerHandler()
      {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandler("STOCKMI",70,6,this.account,7);
      }
      /*

[Quantproject-developers] QuantProject/b4_Business/a05_Timing HistoricalEndOfDayTimer.cs,1.4,1.5 IndexBasedEndOfDayTimer.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23847/b4_Business/a05_Timing

Modified Files:
	HistoricalEndOfDayTimer.cs IndexBasedEndOfDayTimer.cs 
Log Message:
Reorganized the classes, in order to avoid code duplication (the virtual method Start() has been divided into sub-methods)

Index: HistoricalEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/HistoricalEndOfDayTimer.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** HistoricalEndOfDayTimer.cs	8 Jan 2005 11:38:53 -0000	1.4
--- HistoricalEndOfDayTimer.cs	15 Jan 2005 10:54:14 -0000	1.5
***************
*** 53,60 ****
  //		}
  
! 		public virtual event MarketOpenEventHandler MarketOpen;
! 		public virtual event FiveMinutesBeforeMarketCloseEventHandler FiveMinutesBeforeMarketClose;
! 		public virtual event MarketCloseEventHandler MarketClose;
! 		public virtual event OneHourAfterMarketCloseEventHandler OneHourAfterMarketClose;
  
  		public HistoricalEndOfDayTimer( EndOfDayDateTime startDateTime )
--- 53,60 ----
  //		}
  
! 		public event MarketOpenEventHandler MarketOpen;
! 		public event FiveMinutesBeforeMarketCloseEventHandler FiveMinutesBeforeMarketClose;
! 		public event MarketCloseEventHandler MarketClose;
! 		public event OneHourAfterMarketCloseEventHandler OneHourAfterMarketClose;
  
  		public HistoricalEndOfDayTimer( EndOfDayDateTime startDateTime )
***************
*** 64,68 ****
--- 64,94 ----
  			this.tickers = new Hashtable();
  		}
+     
+     protected void callEvents()
+     {
+       if ( ( this.MarketOpen != null ) && ( this.currentTime.EndOfDaySpecificTime ==
+         EndOfDaySpecificTime.MarketOpen ) )
+         this.MarketOpen( this , new EndOfDayTimingEventArgs( this.currentTime ) );
+       if ( ( this.FiveMinutesBeforeMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
+         EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) )
+         this.FiveMinutesBeforeMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
+       if ( ( this.MarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
+         EndOfDaySpecificTime.MarketClose ) )
+         this.MarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
+       if ( ( this.OneHourAfterMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
+         EndOfDaySpecificTime.OneHourAfterMarketClose ) )
+         this.OneHourAfterMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
+     }
  
+     protected virtual void moveNext()
+     {
+       this.currentTime.MoveNext();
+     }
+     
+     protected virtual void activeTimer()
+     {
+       this.isActive = true;
+       this.currentTime = this.startDateTime.Copy();
+     }
  		/// <summary>
  		/// Starts the time walking simulation
***************
*** 70,90 ****
  		public virtual void Start()
  		{
! 			this.isActive = true;
! 			this.currentTime = this.startDateTime.Copy();
  			while ( this.isActive )
  			{
! 				if ( ( this.MarketOpen != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.MarketOpen ) )
! 					this.MarketOpen( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( ( this.FiveMinutesBeforeMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) )
! 					this.FiveMinutesBeforeMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( ( this.MarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.MarketClose ) )
! 					this.MarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( ( this.OneHourAfterMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.OneHourAfterMarketClose ) )
! 					this.OneHourAfterMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				this.currentTime.MoveNext();
  			}
  		}
--- 96,104 ----
  		public virtual void Start()
  		{
!       this.activeTimer();
  			while ( this.isActive )
  			{
!         this.callEvents();
! 				this.moveNext();
  			}
  		}

Index: IndexBasedEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/IndexBasedEndOfDayTimer.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IndexBasedEndOfDayTimer.cs	8 Jan 2005 11:44:33 -0000	1.1
--- IndexBasedEndOfDayTimer.cs	15 Jan 2005 10:54:20 -0000	1.2
***************
*** 41,49 ****
      private Quotes indexQuotes;
  
-     public override event MarketOpenEventHandler MarketOpen;
-     public override event FiveMinutesBeforeMarketCloseEventHandler FiveMinutesBeforeMarketClose;
-     public override event MarketCloseEventHandler MarketClose;
-     public override event OneHourAfterMarketCloseEventHandler OneHourAfterMarketClose;
- 
  		public IndexBasedEndOfDayTimer( EndOfDayDateTime startDateTime,
                                      string marketIndex): base(startDateTime)
--- 41,44 ----
***************
*** 62,96 ****
  		public override void Start()
  		{
! 			this.isActive = true;
! 			this.currentTime = this.startDateTime.Copy();
  			while ( this.isActive )
  			{
! 				if ( ( this.MarketOpen != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.MarketOpen ) )
! 					this.MarketOpen( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( ( this.FiveMinutesBeforeMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) )
! 					this.FiveMinutesBeforeMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( ( this.MarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.MarketClose ) )
! 					this.MarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( ( this.OneHourAfterMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.OneHourAfterMarketClose ) )
! 					this.OneHourAfterMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				this.moveNext(this.currentTime);
  			}
  		}
      //move the current endOfDayDateTime to the next moment
      //at which the market is surely open
!     private void moveNext( EndOfDayDateTime endOfDayDateTimeToMove)
      {
!       EndOfDaySpecificTime nextSpecificTime = endOfDayDateTimeToMove.GetNextEndOfDaySpecificTime();
!       if ( nextSpecificTime < endOfDayDateTimeToMove.EndOfDaySpecificTime )
        {
          // the current end of day specific time is the last end of day specific time in the day
!         endOfDayDateTimeToMove.DateTime =
!                         this.indexQuotes.GetFollowingDate(endOfDayDateTimeToMove.DateTime, 1);
        }
!       endOfDayDateTimeToMove.EndOfDaySpecificTime = nextSpecificTime;
      }
  
--- 57,79 ----
  		public override void Start()
  		{
! 			base.activeTimer();
  			while ( this.isActive )
  			{
!         base.callEvents();
! 				this.moveNext();
  			}
  		}
      //move the current endOfDayDateTime to the next moment
      //at which the market is surely open
!     protected override void moveNext()
      {
!       EndOfDaySpecificTime nextSpecificTime = this.currentTime.GetNextEndOfDaySpecificTime();
!       if ( nextSpecificTime < this.currentTime.EndOfDaySpecificTime )
        {
          // the current end of day specific time is the last end of day specific time in the day
!         this.currentTime.DateTime =
!                         this.indexQuotes.GetFollowingDate(this.currentTime.DateTime, 1);
        }
!       this.currentTime.EndOfDaySpecificTime = nextSpecificTime;
      }
  

Re: [Quantproject-developers] Account Report

[Glauco S. <gl...@my...>]

At 06:56 PM 1/10/2005 +0100, you wrote:

> >if ( this.accountReport =3D=3D null )
> >// the account report has not been computed yet
> >{
> >   AccountReport accountReport =3D new AccountReport( this ,
> >   new HistoricalAdjustedQuoteProvider() );
> >   this.accountReport =3D accountReport.Create( this.Key ,
> >               1 , this.endOfDayTimer.GetCurrentTime() );
> >}
>
>Non =E8 che, per caso, il problema che ho riscontrato sia dovuto al fatto=
=20
>che l'account report, nel ricreare la storia dell'account, utilizza=20
>l'AdjustedQuoteProvider mentre il mio script si basa sul RawQuoteProvider?

No, lo usa solo nel GetFitnessValue, che non dovrebbe essere mai chiamata=20
nella classe base Account (o comunque, modificata in futuro).

>Domanda: in teoria non sarebbe meglio che l'unico parametro per il=20
>costruttore dell'account report fosse l'account stesso e basta (cos=EC=20
>saremmo sicuri che il tipo di IHistoricalQuoteProvider utilizzato sarebbe=
=20
>lo stesso dell'account - che immagino usi da qualche parte un=20
>IHistoricalQuoteProvider)?

L'Account non usa alcun IHistoricalQuoteProvider (dopo averci pensato per=20
un po' di tempo, non sono riuscito a trovare un motivo ragionevole per cui=
=20
un Account dovrebbe avere un IHistoricalQuoteProvider).

[Quantproject-developers] Account Report

[marco\.milletti\@l <mar...@li...>]

> - the CreateReport method uses the the IHistoricalQuoteProvider "conc=
ept"
> now

>if ( this.accountReport =3D=3D null )
>// the account re=
port has not been computed yet
>{
>   AccountReport accountReport =3D n=
ew AccountReport( this ,
>   new HistoricalAdjustedQuoteProvider() );=0D
=
>   this.accountReport =3D accountReport.Create( this.Key ,
>		1 , this.=
endOfDayTimer.GetCurrentTime() );
>}

Non =E8 che, per caso, il proble=
ma che ho riscontrato sia dovuto al fatto che l'account report, nel ricre=
are la storia dell'account, utilizza l'AdjustedQuoteProvider mentre il mi=
o script si basa sul RawQuoteProvider?

Domanda: in teoria non sarebbe =
meglio che l'unico parametro per il costruttore dell'account report fosse=
 l'account stesso e basta (cos=EC saremmo sicuri che il tipo di IHistoric=
alQuoteProvider utilizzato sarebbe lo stesso dell'account - che immagino =
usi da qualche parte un IHistoricalQuoteProvider)?

=0A=0A=0A=0A_______=
_____________________________________________________=0ALibero ADSL: 3 me=
si gratis e navighi a 1.2 Mega. E poi hai l'Adsl senza limiti a meno di 1=
 euro al giorno. =0AAbbonati subito senza costi di attivazione su http://=
www.libero.it=0A=0A

[Quantproject-developers] Metodi HistoricalDataProvider

[marco\.milletti\@l <mar...@li...>]

> ! 		}
> ! 		/// <summary>
> ! 		/// Returns the adjusted market value=
 for the given ticker, at the given ExtendedDateTime
> ! 		/// </summary=
>
> ! 		/// <param name=3D"instrumentKey">instrument identifier</param>=0D
=
> ! 		/// <param name=3D"extendedDateTime"></param>
> ! 		/// <returns><=
/returns>
> ! 		public static double GetAdjustedMarketValue( string inst=
rumentKey , ExtendedDateTime extendedDateTime )
> ! 		{
> ! 			double r=
eturnValue;
> ! 			double adjustedClose =3D getQuote( instrumentKey ,=0D
=
> ! 				extendedDateTime.DateTime , QuoteField.AdjustedClose );
> ! 			i=
f ( extendedDateTime.BarComponent =3D=3D BarComponent.Close )
> ! 				re=
turnValue =3D adjustedClose;
> ! 			else
> ! 				// extendedDateTime.Ba=
rComponent is equal to BarComponent.Open
> ! 			{
> ! 				double open =3D=
 getQuote( instrumentKey ,
> ! 					extendedDateTime.DateTime , QuoteFie=
ld.Open );
> ! 				double close =3D getQuote( instrumentKey ,
> ! 					=
extendedDateTime.DateTime , QuoteField.Close );
> ! 				returnValue =3D =
open * adjustedClose / close;
> ! 			}
> ! 			return returnValue;
> ! =
		}
> ! 		/// <summary>
> ! 		/// Returns the raw market value for the =
given ticker, at the given ExtendedDateTime
> ! 		/// </summary>
> ! 		=
/// <param name=3D"instrumentKey">instrument identifier</param>
> ! 		//=
/ <param name=3D"extendedDateTime"></param>
> ! 		/// <returns></returns=
>
> ! 		public static double GetRawMarketValue( string instrumentKey , E=
xtendedDateTime extendedDateTime )
> ! 		{
> ! 			double returnValue;=0D
=
> ! 			if ( extendedDateTime.BarComponent =3D=3D BarComponent.Close )
> =
! 				returnValue =3D getQuote( instrumentKey ,
> ! 					extendedDateTim=
e.DateTime , QuoteField.Close );
> ! 			else
> ! 				// extendedDateTim=
e.BarComponent is equal to BarComponent.Open
> ! 				returnValue =3D get=
Quote( instrumentKey ,
> ! 					extendedDateTime.DateTime , QuoteField.O=
pen );
> ! 			return returnValue;
>   		}

Glauco:
come mai in quest=
i due metodi non utilizzi una switch case invece dell'if, in modo da pote=
r restituire, poniamo, anche l'high e il low (adjusted e close)?
Pu=F2 e=
ssere che in qualche strategia l'high e il low possano tornare buoni ...=0D
=


=0A=0A=0A=0A_________________________________________________________=
___=0ALibero ADSL: 3 mesi gratis e navighi a 1.2 Mega. E poi hai l'Adsl s=
enza limiti a meno di 1 euro al giorno. =0AAbbonati subito senza costi di=
 attivazione su http://www.libero.it=0A=0A

[Quantproject-developers] QuantProject/b4_Business/a3_Testing WalkForwardTester.cs,1.4,1.5

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17155/b4_Business/a3_Testing

Modified Files:
	WalkForwardTester.cs 
Log Message:
- the IDataStreamer "concept" has been introduced


Index: WalkForwardTester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing/WalkForwardTester.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** WalkForwardTester.cs	23 Aug 2004 22:36:48 -0000	1.4
--- WalkForwardTester.cs	9 Jan 2005 23:49:35 -0000	1.5
***************
*** 43,46 ****
--- 43,47 ----
      private int outOfSampleWindowNumDays;
      private TestWindows testWindows;
+ 		private IDataStreamer dataStreamer;
  
      public DateTime StartDateTime
***************
*** 89,94 ****
      }
  
!     public WalkForwardTester()
      {
      }
  
--- 90,96 ----
      }
  
!     public WalkForwardTester( IDataStreamer dataStreamer )
      {
+ 			this.dataStreamer = dataStreamer;
      }
  
***************
*** 103,107 ****
      {
        Tester tester = new Tester( testWindow , this.TradingSystems ,
!         this.Account.CashAmount );
        tester.Parameters = this.Parameters.Copy();
        tester.Optimize();
--- 105,109 ----
      {
        Tester tester = new Tester( testWindow , this.TradingSystems ,
!         this.Account.CashAmount , this.dataStreamer );
        tester.Parameters = this.Parameters.Copy();
        tester.Optimize();
***************
*** 111,115 ****
      private void testNextStepOutOfSample( Parameters parameters , TestWindow testWindow )
      {
!       Tester tester = new Tester( testWindow , this.TradingSystems , this.Account.CashAmount );
        tester.Account = this.Account;
        tester.Parameters = parameters;
--- 113,118 ----
      private void testNextStepOutOfSample( Parameters parameters , TestWindow testWindow )
      {
!       Tester tester = new Tester( testWindow , this.TradingSystems , this.Account.CashAmount ,
! 				this.dataStreamer );
        tester.Account = this.Account;
        tester.Parameters = parameters;
***************
*** 128,132 ****
      public override void Test()
      {
!       HistoricalDataProvider.SetCachedHistories( startDateTime , endDateTime );
        testWindows = new TestWindows( startDateTime , endDateTime , inSampleWindowNumDays , outOfSampleWindowNumDays );
        DateTime lastDateTime = new DateTime();
--- 131,135 ----
      public override void Test()
      {
! //      HistoricalDataProvider.SetCachedHistories( startDateTime , endDateTime );
        testWindows = new TestWindows( startDateTime , endDateTime , inSampleWindowNumDays , outOfSampleWindowNumDays );
        DateTime lastDateTime = new DateTime();

[Quantproject-developers] QuantProject/b4_Business/a3_Testing Tester.cs,1.6,1.7

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16981/b4_Business/a3_Testing

Modified Files:
	Tester.cs 
Log Message:
- the IDataStreamer "concept" has been introduced


Index: Tester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing/Tester.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** Tester.cs	5 Dec 2004 02:49:16 -0000	1.6
--- Tester.cs	9 Jan 2005 23:48:58 -0000	1.7
***************
*** 30,33 ****
--- 30,34 ----
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Timing;
+ using QuantProject.Data.DataProviders;
  
  
***************
*** 43,46 ****
--- 44,48 ----
      private OrderManager orderManager = new OrderManager();
      private double initialCash = 0.0;
+ 		private IDataStreamer dataStreamer;
      //private TestResults testResults;
  
***************
*** 51,58 ****
      }
  
!     public Tester(TestWindow testWindow , TradingSystems tradingSystems , double initialCash)
  		{
  			this.testWindow = testWindow;
!       this.TradingSystems = tradingSystems;
        this.initialCash = initialCash;
        this.Account.AddCash( new EndOfDayDateTime( testWindow.StartDateTime , EndOfDaySpecificTime.MarketOpen ) ,
--- 53,62 ----
      }
  
!     public Tester(TestWindow testWindow , TradingSystems tradingSystems , double initialCash ,
! 			IDataStreamer dataStreamer )
  		{
  			this.testWindow = testWindow;
! 			this.dataStreamer = dataStreamer;
! 			this.TradingSystems = tradingSystems;
        this.initialCash = initialCash;
        this.Account.AddCash( new EndOfDayDateTime( testWindow.StartDateTime , EndOfDaySpecificTime.MarketOpen ) ,
***************
*** 66,71 ****
          initialCash );
        this.Test();
!       return - this.Account.GetProfitNetLoss(
!         new EndOfDayDateTime( testWindow.EndDateTime , EndOfDaySpecificTime.MarketClose ) );
      }
  
--- 70,74 ----
          initialCash );
        this.Test();
!       return - this.Account.GetFitnessValue();
      }
  
***************
*** 80,89 ****
        }
      }
!     private void handleCurrentSignal( Signal signal )
      {
!       Orders orders = this.Account.AccountStrategy.GetOrders( signal );
        foreach (Order order in orders )
        {
!         TimedTransaction transaction = this.OrderManager.GetTransaction( order );
          this.Account.Add( transaction );
          //Debug.WriteLine( account.ToString( dateTime ) );
--- 83,93 ----
        }
      }
!     private void handleCurrentSignal( Signal signal , IDataStreamer dataStreamer )
      {
!       Orders orders = this.Account.AccountStrategy.GetOrders( signal , dataStreamer );
        foreach (Order order in orders )
        {
!         TimedTransaction transaction = this.OrderManager.GetTransaction( order ,
! 					dataStreamer );
          this.Account.Add( transaction );
          //Debug.WriteLine( account.ToString( dateTime ) );
***************
*** 91,104 ****
      }
      private void testCurrentDateForTradingSystem( TradingSystem tradingSystem ,
!       ExtendedDateTime extendedDateTime )
      {
        Signals signals = tradingSystem.GetSignals( extendedDateTime );
        foreach (Signal signal in signals)
!         handleCurrentSignal( signal );
      }
!     private void testCurrentExtendedDateTime( ExtendedDateTime extendedDateTime )
      {
        foreach (TradingSystem tradingSystem in this.TradingSystems)
!         testCurrentDateForTradingSystem( tradingSystem , extendedDateTime );
      }
      public override void Test()
--- 95,109 ----
      }
      private void testCurrentDateForTradingSystem( TradingSystem tradingSystem ,
!       ExtendedDateTime extendedDateTime , IDataStreamer dataStreamer )
      {
        Signals signals = tradingSystem.GetSignals( extendedDateTime );
        foreach (Signal signal in signals)
!         handleCurrentSignal( signal , dataStreamer );
      }
!     private void testCurrentExtendedDateTime( ExtendedDateTime extendedDateTime ,
! 			IDataStreamer dataStreamer )
      {
        foreach (TradingSystem tradingSystem in this.TradingSystems)
!         testCurrentDateForTradingSystem( tradingSystem , extendedDateTime ,dataStreamer );
      }
      public override void Test()
***************
*** 108,113 ****
        while (dateTime <= this.testWindow.EndDateTime)
        {
!         testCurrentExtendedDateTime( new ExtendedDateTime( dateTime , BarComponent.Open ) );
!         testCurrentExtendedDateTime( new ExtendedDateTime( dateTime , BarComponent.Close ) );
          dateTime = dateTime.AddDays( 1 );
        }
--- 113,120 ----
        while (dateTime <= this.testWindow.EndDateTime)
        {
!         testCurrentExtendedDateTime( new ExtendedDateTime( dateTime , BarComponent.Open ) ,
! 					dataStreamer );
!         testCurrentExtendedDateTime( new ExtendedDateTime( dateTime , BarComponent.Close ) ,
! 					dataStreamer );
          dateTime = dateTime.AddDays( 1 );
        }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables Summary.cs,1.9,1.10

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16679/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Modified Files:
	Summary.cs 
Log Message:
- the IHistoricalQuoteProvider "concept" has been introduced


Index: Summary.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/Summary.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** Summary.cs	6 Aug 2004 13:47:42 -0000	1.9
--- Summary.cs	9 Jan 2005 23:47:31 -0000	1.10
***************
*** 2,5 ****
--- 2,6 ----
  using System.Data;
  using QuantProject.ADT;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Financial.Accounting.Reporting;
***************
*** 14,17 ****
--- 15,19 ----
    {
      private AccountReport accountReport;
+ 		private IHistoricalQuoteProvider historicalQuoteProvider;
      private double totalPnl;
      private double buyAndHoldPercentageReturn;
***************
*** 98,107 ****
  
  
!     public Summary( AccountReport accountReport ) :
!       base( accountReport.Name + " - Summary" )
!     {
!       this.accountReport = accountReport;
!       this.getSummary();
!     }
      #region "getSummary"
      private void getSummaryTable_setColumns( DataTable equityDataTable )
--- 100,120 ----
  
  
! 		private void summary( AccountReport accountReport )
! 		{
! 			this.accountReport = accountReport;
! 			this.getSummary();
! 		}
! 		public Summary( AccountReport accountReport ) :
! 			base( accountReport.Name + " - Summary" )
! 		{
! 			this.summary( accountReport );
! 		}
! 		public Summary( AccountReport accountReport ,
! 			IHistoricalQuoteProvider historicalDataProvider ) :
! 			base( accountReport.Name + " - Summary" )
! 		{
! 			this.historicalQuoteProvider = historicalDataProvider;
! 			this.summary( accountReport );
! 		}
      #region "getSummary"
      private void getSummaryTable_setColumns( DataTable equityDataTable )
***************
*** 125,129 ****
        getSummary_setRow( new TotalNetProfit( this ) , summaryDataTable );
        getSummary_setRow( new ReturnOnAccount( this ) , summaryDataTable );
!       getSummary_setRow( new BuyAndHoldPercentageReturn( this ) , summaryDataTable );
        getSummary_setRow( new AnnualSystemPercentageReturn( this ) , summaryDataTable );
  			this.maxEquityDrawDown = new MaxEquityDrawDown( this );
--- 138,143 ----
        getSummary_setRow( new TotalNetProfit( this ) , summaryDataTable );
        getSummary_setRow( new ReturnOnAccount( this ) , summaryDataTable );
!       getSummary_setRow( new BuyAndHoldPercentageReturn( this , this.historicalQuoteProvider ) ,
! 				summaryDataTable );
        getSummary_setRow( new AnnualSystemPercentageReturn( this ) , summaryDataTable );
  			this.maxEquityDrawDown = new MaxEquityDrawDown( this );

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank RunWalkForwardOneRank.cs,1.5,1.6

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16106/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	RunWalkForwardOneRank.cs 
Log Message:
- the IHistoricalQuoteProvider "concept" has been introduced
- the HistoricalAdjustedQuoteProvider is used


Index: RunWalkForwardOneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/RunWalkForwardOneRank.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** RunWalkForwardOneRank.cs	26 Dec 2004 17:47:20 -0000	1.5
--- RunWalkForwardOneRank.cs	9 Jan 2005 23:45:20 -0000	1.6
***************
*** 25,28 ****
--- 25,29 ----
  using System.Data;
  using QuantProject.ADT;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Accounting.Reporting;
***************
*** 44,47 ****
--- 45,50 ----
  	public class RunWalkForwardOneRank : Script
  	{
+ 		private IHistoricalQuoteProvider historicalQuoteProvider =
+ 			new HistoricalAdjustedQuoteProvider();
      private ReportTable reportTable;
      private EndOfDayDateTime startDateTime;
***************
*** 62,71 ****
  			this.reportTable = new ReportTable( "Summary_Reports" );
  			this.startDateTime = new EndOfDayDateTime(
! 				new DateTime( 2002 , 1 , 1 ) , EndOfDaySpecificTime.MarketOpen );
! //			this.endDateTime = new EndOfDayDateTime(
! //				new DateTime( 2002 , 12 , 31 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.endDateTime = new EndOfDayDateTime(
! 				new DateTime( 2002 , 2 , 28 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			this.numIntervalDays = 7;
  		}
      #region Run
--- 65,72 ----
  			this.reportTable = new ReportTable( "Summary_Reports" );
  			this.startDateTime = new EndOfDayDateTime(
! 				new DateTime( 1998 , 1 , 1 ) , EndOfDaySpecificTime.MarketOpen );
  			this.endDateTime = new EndOfDayDateTime(
! 				new DateTime( 1998 , 1 , 30 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			this.numIntervalDays = 1;
  		}
      #region Run
***************
*** 78,83 ****
  		{
  			this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ) ,
! 				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
--- 79,86 ----
  		{
  			this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
***************
*** 131,135 ****
  				this.account.EndOfDayTimer.Stop();
  				this.progressBarForm.Close();
! 				Report report = new Report( this.account );
  				report.Show( "WFT One Rank" , this.numIntervalDays , this.endDateTime , "MSFT" );
  			}
--- 134,138 ----
  				this.account.EndOfDayTimer.Stop();
  				this.progressBarForm.Close();
! 				Report report = new Report( this.account , this.historicalQuoteProvider );
  				report.Show( "WFT One Rank" , this.numIntervalDays , this.endDateTime , "MSFT" );
  			}

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientCTOPortfolio.cs,1.7,1.8

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15937/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunEfficientCTOPortfolio.cs 
Log Message:
- the IHistoricalQuoteProvider "concept" has been introduced
- the HistoricalRawQuoteProvider is used


Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** RunEfficientCTOPortfolio.cs	8 Jan 2005 12:01:38 -0000	1.7
--- RunEfficientCTOPortfolio.cs	9 Jan 2005 23:44:53 -0000	1.8
***************
*** 26,29 ****
--- 26,30 ----
  using QuantProject.ADT;
  using QuantProject.ADT.Optimizing.Genetic;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Accounting.Reporting;
***************
*** 63,66 ****
--- 64,70 ----
      private EndOfDayDateTime endDateTime;
      private int numIntervalDays;// number of days for the equity line graph
+ 		private IHistoricalQuoteProvider historicalQuoteProvider =
+ 			new HistoricalRawQuoteProvider();
+ 
  
      //private ProgressBarForm progressBarForm;
***************
*** 112,117 ****
      {
        this.account = new Account( "EfficientCloseToOpenPortfolio" , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ) );
       
      }
--- 116,123 ----
      {
        this.account = new Account( "EfficientCloseToOpenPortfolio" , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) );
       
      }
***************
*** 171,175 ****
        {
          this.endOfDayTimer.Stop();
!         report = new Report( this.account );
          report.Show("CTO_Portfolio" , this.numIntervalDays , this.endDateTime , "^MIBTEL" );
  
--- 177,181 ----
        {
          this.endOfDayTimer.Stop();
!         report = new Report( this.account , this.historicalQuoteProvider );
          report.Show("CTO_Portfolio" , this.numIntervalDays , this.endDateTime , "^MIBTEL" );
  

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm Report.cs,1.3,1.4

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15780/b5_Presentation/Reporting/WindowsForm

Modified Files:
	Report.cs 
Log Message:
- the IHistoricalQuoteProvider "concept" has been introduced


Index: Report.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/Report.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** Report.cs	29 Nov 2004 16:20:00 -0000	1.3
--- Report.cs	9 Jan 2005 23:44:15 -0000	1.4
***************
*** 23,26 ****
--- 23,27 ----
  using System.Windows.Forms;
  using QuantProject.ADT;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Accounting.Reporting;
***************
*** 35,44 ****
  	{
  		private Account account;
  		private AccountReport accountReport;
  		private ReportTabControl reportTabControl;
  
! 		public Report( Account account )
  		{
  			this.account = account;
  		}
  
--- 36,47 ----
  	{
  		private Account account;
+ 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private AccountReport accountReport;
  		private ReportTabControl reportTabControl;
  
! 		public Report( Account account , IHistoricalQuoteProvider historicalQuoteProvider )
  		{
  			this.account = account;
+ 			this.historicalQuoteProvider = historicalQuoteProvider;
  		}
  
***************
*** 51,55 ****
  			if ( this.accountReport == null )
  				this.accountReport = this.account.CreateReport( reportName ,
! 					numDaysForInterval , endDateTime , buyAndHoldTicker );
  		}
  		private void show_populateForm()
--- 54,59 ----
  			if ( this.accountReport == null )
  				this.accountReport = this.account.CreateReport( reportName ,
! 					numDaysForInterval , endDateTime , buyAndHoldTicker ,
! 					this.historicalQuoteProvider );
  		}
  		private void show_populateForm()