quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.4,1.5 RunEfficientCTOPortfolio.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29542/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs RunEfficientCTOPortfolio.cs 
Log Message:
Updated script for TickerSelection Testing, using Efficient portfolio theory

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandler.cs	20 Dec 2004 20:25:11 -0000	1.4
--- EndOfDayTimerHandler.cs	27 Dec 2004 18:23:51 -0000	1.5
***************
*** 73,76 ****
--- 73,104 ----
  		    
      #region MarketOpenEventHandler
+     
+     private void marketOpenEventHandler_orderChosenTickers_addToOrderList_forTicker(
+       string ticker )
+     {
+  
+       double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
+       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);
+     }
+     
+     private void marketOpenEventHandler_orderChosenTickers_addToOrderList()
+     {
+       foreach ( string ticker in this.chosenTickers )
+       {
+         //if ( !this.account.Contains( ticker ) )
+         //{
+           marketOpenEventHandler_orderChosenTickers_addToOrderList_forTicker( ticker );
+         //}
+       }
+     }
+     
+     private void marketOpenEventHandler_orderChosenTickers()
+     {
+       this.marketOpenEventHandler_orderChosenTickers_addToOrderList();
+     }
+     
      /// <summary>
      /// Handles a "Market Open" event.
***************
*** 81,87 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       if(this.account.Transactions.Count == 0)
!         this.account.AddCash(endOfDayTimingEventArgs.EndOfDayDateTime,
!                               16000);
        foreach(object item in this.orders)
        {
--- 109,117 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(16000);     
!       
!       this.marketOpenEventHandler_orderChosenTickers();
!       
        foreach(object item in this.orders)
        {
***************
*** 112,130 ****
        } 
      }
!     private void marketCloseEventHandler_openPosition(
!       string ticker )
!     {
!       double maxPositionValue = this.account.CashAmount / this.numberOfTickersToBeChosen;
!       long sharesToBeBought = Convert.ToInt64(
!         Math.Floor( maxPositionValue /
!         this.account.DataStreamer.GetCurrentAsk( ticker ) ) );
!       this.account.AddOrder( new Order( OrderType.MarketBuy ,
!         new Instrument( ticker ) , sharesToBeBought ) );
!     }
!     private void marketCloseEventHandler_openPositions()
!     {
!       foreach ( string ticker in this.chosenTickers )
!         this.marketCloseEventHandler_openPosition( ticker );
!     }
      public void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
--- 142,146 ----
        } 
      }
!         
      public void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 132,136 ****
        
        this.marketCloseEventHandler_closePositions();
-       //fiveMinutesBeforeMarketCloseEventHandler_openPositions();
      }
      
--- 148,151 ----
***************
*** 138,191 ****
  
  		#region OneHourAfterMarketCloseEventHandler
!     private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions(
!       IEndOfDayTimer endOfDayTimer )
!     {
!       foreach ( Position position in this.account.Portfolio )
!         foreach(string ticker in this.chosenTickers)
!         {
!           if (position.Instrument.Key == ticker )
!           {
!             this.account.ClosePosition( position );
!           }
!         }
!         
!     }
!     private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker(
!       string ticker )
!     {
!       double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
!       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);
!     }
!     private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions()
!     {
!       foreach ( string ticker in this.chosenTickers )
!         if ( !this.account.Contains( ticker ) )
!         {
!           oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker( ticker );
!         }
!     }
!     private void oneHourAfterMarketCloseEventHandler_orderChosenTickers(
!       IEndOfDayTimer endOfDayTimer )
!     {
!       //this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions( endOfDayTimer );
!       this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions();
!     }
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!       this.orders.Clear();
!       oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
!     }
! 		
!     
      private void setTickers(DateTime currentDate)
      {
--- 153,157 ----
  
  		#region OneHourAfterMarketCloseEventHandler
!       
      private void setTickers(DateTime currentDate)
      {
***************
*** 204,207 ****
--- 170,187 ----
        this.chosenTickers = (string[])GO.BestGenome.Meaning;
      }
+ 
+     /// <summary>
+     /// Handles a "One hour after market close" event.
+     /// </summary>
+     /// <param name="sender"></param>
+     /// <param name="eventArgs"></param>
+     public void OneHourAfterMarketCloseEventHandler(
+       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
+     {
+       this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
+       //sets tickers to be chosen next Market Open event
+       this.orders.Clear();
+     }
+ 		   
      #endregion
  		

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunEfficientCTOPortfolio.cs	20 Dec 2004 20:25:12 -0000	1.3
--- RunEfficientCTOPortfolio.cs	27 Dec 2004 18:23:51 -0000	1.4
***************
*** 79,84 ****
          new DateTime( 2004 , 10 , 4 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 10 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 1;
  		}
      #region Run
--- 79,84 ----
          new DateTime( 2004 , 10 , 4 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 20 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 7;
  		}
      #region Run

[Quantproject-developers] QuantProject QuantProject.suo,1.44,1.45

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv7141

Modified Files:
	QuantProject.suo 
Log Message:
- bug fixed: totalDays is properly computed, now
- bug fixed: at the beginning, cash is added now

Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.44
retrieving revision 1.45
diff -C2 -d -r1.44 -r1.45
Binary files /tmp/cvsS1nV9t and /tmp/cvsqwTtgG differ

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank RunWalkForwardOneRank.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-serv7141/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	RunWalkForwardOneRank.cs 
Log Message:
- bug fixed: totalDays is properly computed, now
- bug fixed: at the beginning, cash is added now

Index: RunWalkForwardOneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/RunWalkForwardOneRank.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunWalkForwardOneRank.cs	20 Dec 2004 00:14:53 -0000	1.4
--- RunWalkForwardOneRank.cs	26 Dec 2004 17:47:20 -0000	1.5
***************
*** 62,69 ****
  			this.reportTable = new ReportTable( "Summary_Reports" );
  			this.startDateTime = new EndOfDayDateTime(
! 				new DateTime( 2002 , 1 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
  			this.endDateTime = new EndOfDayDateTime(
! 				new DateTime( 2002 , 12 , 31 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 7;
  		}
      #region Run
--- 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
***************
*** 102,106 ****
  				this.startDateTime.DateTime )).TotalDays );
  			double totalDays = Convert.ToDouble( ((TimeSpan)( this.endDateTime.DateTime - 
! 				this.startDateTime.DateTime )).TotalDays );
  			if ( Math.Floor( elapsedDays / totalDays * 100 ) >
  				Math.Floor( ( elapsedDays - 1 ) / totalDays * 100 ) )
--- 104,108 ----
  				this.startDateTime.DateTime )).TotalDays );
  			double totalDays = Convert.ToDouble( ((TimeSpan)( this.endDateTime.DateTime - 
! 				this.startDateTime.DateTime )).TotalDays + 1);
  			if ( Math.Floor( elapsedDays / totalDays * 100 ) >
  				Math.Floor( ( elapsedDays - 1 ) / totalDays * 100 ) )
***************
*** 112,115 ****
--- 114,123 ----
  			}
  		}
+ 		public void marketOpenEventHandler(
+ 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
+ 		{
+ 			if ( this.account.Transactions.Count == 0 )
+ 				this.account.AddCash( 30000 );
+ 		}
  		public void oneHourAfterMarketCloseEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 123,126 ****
--- 131,136 ----
  				this.account.EndOfDayTimer.Stop();
  				this.progressBarForm.Close();
+ 				Report report = new Report( this.account );
+ 				report.Show( "WFT One Rank" , this.numIntervalDays , this.endDateTime , "MSFT" );
  			}
  		}
***************
*** 128,136 ****
  		public override void Run()
  		{
- 			Report report;
  			run_initializeEndOfDayTimer();
  			run_initializeAccount();
  			run_initializeEndOfDayTimerHandler();
  			run_initializeProgressHandlers();
  			this.endOfDayTimer.OneHourAfterMarketClose +=
  				new OneHourAfterMarketCloseEventHandler(
--- 138,147 ----
  		public override void Run()
  		{
  			run_initializeEndOfDayTimer();
  			run_initializeAccount();
  			run_initializeEndOfDayTimerHandler();
  			run_initializeProgressHandlers();
+ 			this.endOfDayTimer.MarketOpen +=
+ 				new MarketOpenEventHandler( this.marketOpenEventHandler );
  			this.endOfDayTimer.OneHourAfterMarketClose +=
  				new OneHourAfterMarketCloseEventHandler(
***************
*** 144,149 ****
  			this.progressBarForm.Show();
  			this.endOfDayTimer.Start();
- 			report = new Report( this.account );
- 			report.Show( "WFT One Rank" , this.numIntervalDays , this.startDateTime , "MSFT" );
  		}
      #endregion
--- 155,158 ----

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/OneRank OneRank.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv6597/b7_Scripts/SimpleTesting/OneRank

Modified Files:
	OneRank.cs 
Log Message:
- the static method MaxBuyableShares has been added
- bug fixed: it was AddHours, now it is AddDays

Index: OneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank/OneRank.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** OneRank.cs	20 Dec 2004 00:14:03 -0000	1.4
--- OneRank.cs	26 Dec 2004 17:43:53 -0000	1.5
***************
*** 40,43 ****
--- 40,50 ----
  		private DateTime lastDateTime;
  
+ 
+ 		public static long MaxBuyableShares( string ticker , double cashAmount, IDataStreamer dataStreamer )
+ 		{
+ 			return Convert.ToInt64(
+ 				Math.Floor( cashAmount / dataStreamer.GetCurrentAsk( ticker ) ) );
+ 		}
+ 
  		private void marketOpenEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 54,58 ****
  				this.account.Key );
  			EndOfDayDateTime yesterdayAtClose = new
! 				EndOfDayDateTime( this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddHours( - 1 ) ,
  				EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose = HistoricalDataProvider.GetMarketValue(
--- 61,65 ----
  				this.account.Key );
  			EndOfDayDateTime yesterdayAtClose = new
! 				EndOfDayDateTime( this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
  				EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose = HistoricalDataProvider.GetMarketValue(
***************
*** 64,70 ****
  				// today close is higher than yesterday close and no position
  				// is kept in portfolio, yet
! 				sharesToBeBought = Convert.ToInt64(
! 					Math.Floor( this.account.CashAmount /
! 					this.account.DataStreamer.GetCurrentAsk( this.account.Key ) ) );
  				this.account.AddOrder( new Order( OrderType.MarketBuy ,
  					new Instrument( this.account.Key ) , sharesToBeBought ) );
--- 71,76 ----
  				// today close is higher than yesterday close and no position
  				// is kept in portfolio, yet
! 				sharesToBeBought = MaxBuyableShares( this.account.Key ,
! 					this.account.CashAmount , this.account.DataStreamer );
  				this.account.AddOrder( new Order( OrderType.MarketBuy ,
  					new Instrument( this.account.Key ) , sharesToBeBought ) );

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank EndOfDayTimerHandler.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv6180/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	EndOfDayTimerHandler.cs 
Log Message:
- The strategy has been fixed: now a ticker is
chosen only if today's close is higher than
yesterday's close.
- OneRank.MaxBuyableShares is used now

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/EndOfDayTimerHandler.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandler.cs	20 Dec 2004 00:26:58 -0000	1.2
--- EndOfDayTimerHandler.cs	26 Dec 2004 17:42:08 -0000	1.3
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
+ using QuantProject.Scripts.SimpleTesting;
  
  namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank
***************
*** 153,158 ****
  					endOfDayTimingEventArgs.EndOfDayDateTime.DateTime );
  			}
! 			this.chosenTickers.SetTickers( this.bestPerformingTickers );
! 			oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
  		}
  		#endregion
--- 154,158 ----
  					endOfDayTimingEventArgs.EndOfDayDateTime.DateTime );
  			}
! //			oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
  		}
  		#endregion
***************
*** 165,169 ****
--- 165,172 ----
  		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
  		{
+       ArrayList tickers = new ArrayList();
  			foreach ( string ticker in this.account.Portfolio.Keys )
+ 				tickers.Add( ticker );
+ 			foreach ( string ticker in tickers )
  				fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker );
  		}
***************
*** 172,178 ****
  		{
  			double maxPositionValue = this.account.CashAmount / this.numberOfTickersToBeChosen;
! 			long sharesToBeBought = Convert.ToInt64(
! 				Math.Floor( maxPositionValue /
! 				this.account.DataStreamer.GetCurrentAsk( ticker ) ) );
  			this.account.AddOrder( new Order( OrderType.MarketBuy ,
  				new Instrument( ticker ) , sharesToBeBought ) );
--- 175,180 ----
  		{
  			double maxPositionValue = this.account.CashAmount / this.numberOfTickersToBeChosen;
! 			long sharesToBeBought = OneRank.MaxBuyableShares( ticker ,
! 				maxPositionValue , this.account.DataStreamer );
  			this.account.AddOrder( new Order( OrderType.MarketBuy ,
  				new Instrument( ticker ) , sharesToBeBought ) );
***************
*** 180,183 ****
--- 182,186 ----
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
+ 			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
  			foreach ( string ticker in this.chosenTickers.Keys )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( ticker );

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ChosenTickers.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv5830/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	ChosenTickers.cs 
Log Message:
The strategy has been fixed: now a ticker is
chosen only if today's close is higher than
yesterday's close.

Index: ChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/ChosenTickers.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ChosenTickers.cs	20 Dec 2004 00:24:21 -0000	1.2
--- ChosenTickers.cs	26 Dec 2004 17:39:59 -0000	1.3
***************
*** 23,26 ****
--- 23,31 ----
  using System.Collections;
  
+ using QuantProject.Business.Financial.Accounting;
+ using QuantProject.Business.Timing;
+ using QuantProject.Data;
+ using QuantProject.Data.DataProviders;
+ 
  namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank
  {
***************
*** 37,49 ****
  		}
  		#region SetTickers
! 		private void setTickers_build( BestPerformingTickers bestPerformingTickers )
  		{
! 			SortedList sortedList = new SortedList();
! 			foreach ( string ticker in bestPerformingTickers.Keys )
! 				sortedList.Add( ticker , ( ( ComparableAccount )bestPerformingTickers[ ticker ]).Goodness );
! 			for ( int n=0; n<=this.numberTickersToBeChosen ; n++ )
  			{
! 				string key = (string)sortedList.GetKey( n );
! 				this.Add( key , key );
  			}
  		}
--- 42,71 ----
  		}
  		#region SetTickers
! 		private void setTickers_build_handleTicker( string ticker , Account account )
  		{
! 			double todayMarketValueAtClose = account.DataStreamer.GetCurrentBid(
! 				ticker );
! 			EndOfDayDateTime yesterdayAtClose = new
! 				EndOfDayDateTime( account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
! 				EndOfDaySpecificTime.MarketClose );
! 			double yesterdayMarketValueAtClose = HistoricalDataProvider.GetMarketValue(
! 				ticker ,
! 				yesterdayAtClose.GetNearestExtendedDateTime() );
! 			if ( todayMarketValueAtClose > yesterdayMarketValueAtClose )
! 				// today close is higher than yesterday close
! 				this.Add( ticker , ticker );
! 		}
! 		private void setTickers_build( BestPerformingTickers bestPerformingTickers ,
! 			Account account )
! 		{
! 			int index = bestPerformingTickers.Count - 1;
! 			while ( ( this.Count < this.numberTickersToBeChosen ) &&
! 				( index >= 0) )
  			{
! 				string ticker = ((Account)bestPerformingTickers[ index ]).Key;
! 				if ( account.DataStreamer.IsExchanged( ticker ) )
! 					setTickers_build_handleTicker( ticker ,
! 						account );
! 				index--;
  			}
  		}
***************
*** 52,59 ****
  		/// </summary>
  		/// <param name="dateTime"></param>
! 		public void SetTickers( BestPerformingTickers bestPerformingTickers )
  		{
  			this.Clear();
! 			this.setTickers_build( bestPerformingTickers );
  		}
  		#endregion
--- 74,82 ----
  		/// </summary>
  		/// <param name="dateTime"></param>
! 		public void SetTickers( BestPerformingTickers bestPerformingTickers ,
! 			Account account )
  		{
  			this.Clear();
! 			this.setTickers_build( bestPerformingTickers , account );
  		}
  		#endregion

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank BestPerformingTickers.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-serv5434/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	BestPerformingTickers.cs 
Log Message:
It was an HashTable, it is an ArrayList, now.

Index: BestPerformingTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/BestPerformingTickers.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** BestPerformingTickers.cs	20 Dec 2004 00:20:05 -0000	1.4
--- BestPerformingTickers.cs	26 Dec 2004 17:37:34 -0000	1.5
***************
*** 35,39 ****
  	/// The collection of best performing tickers, among the eligible ones
  	/// </summary>
! 	public class BestPerformingTickers : Hashtable,IProgressNotifier
  	{
  		private int numberBestPerformingTickers;
--- 35,39 ----
  	/// The collection of best performing tickers, among the eligible ones
  	/// </summary>
! 	public class BestPerformingTickers : ArrayList,IProgressNotifier
  	{
  		private int numberBestPerformingTickers;
***************
*** 73,76 ****
--- 73,77 ----
  			OneRank oneRank = new OneRank( account ,
  				dateTime.AddDays( this.numberDaysForPerformanceCalculation ) );
+ 			double goodness = account.Goodness;  // forces Goodness computation here (for a better ProgressBar effect)
  			this.eligibleAccounts.Add( account );
  		}
***************
*** 89,94 ****
  			}
  			this.eligibleAccounts.Sort();
! 			for ( int index=0 ; index < this.numberBestPerformingTickers ; index++ )
! 				this.Add( ((Account)this.eligibleAccounts[ index ]).Key , this.eligibleAccounts[ index ] );
  		}
  		/// <summary>
--- 90,95 ----
  			}
  			this.eligibleAccounts.Sort();
! 			for ( int index=this.numberBestPerformingTickers - 1 ; index >= 0 ; index-- )
! 				this.Add( this.eligibleAccounts[ index ] );
  		}
  		/// <summary>

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.3,1.4 RunEfficientCTOPortfolio.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15522/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs RunEfficientCTOPortfolio.cs 
Log Message:
Updated script for TickerSelection Testing, using Efficient portfolio theory

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandler.cs	17 Dec 2004 19:49:09 -0000	1.3
--- EndOfDayTimerHandler.cs	20 Dec 2004 20:25:11 -0000	1.4
***************
*** 91,107 ****
  		#endregion
  
!     #region FiveMinutesBeforeMarketCloseEventHandler
      
!     private void fiveMinutesBeforeMarketCloseEventHandler_closePosition(
        string ticker )
      {
        this.account.ClosePosition( ticker );
      }
!     private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
      {
!       foreach ( string ticker in this.account.Portfolio.Keys )
!         fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker );
      }
!     private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
        string ticker )
      {
--- 91,116 ----
  		#endregion
  
!     #region MarketCloseEventHandler
      
!     private void marketCloseEventHandler_closePosition(
        string ticker )
      {
        this.account.ClosePosition( ticker );
      }
!     private void marketCloseEventHandler_closePositions()
      {
!       if(this.chosenTickers != null)
!       {
!         foreach( string ticker in this.chosenTickers)
!         {
!           for(int i = 0; i<this.account.Portfolio.Keys.Count; i++)
!           {
!             if(this.account.Portfolio[ticker]!=null)
!               marketCloseEventHandler_closePosition( ticker );
!           }
!         }
!       } 
      }
!     private void marketCloseEventHandler_openPosition(
        string ticker )
      {
***************
*** 113,125 ****
          new Instrument( ticker ) , sharesToBeBought ) );
      }
!     private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
      {
        foreach ( string ticker in this.chosenTickers )
!         this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( ticker );
      }
!     public void FiveMinutesBeforeMarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
        //fiveMinutesBeforeMarketCloseEventHandler_openPositions();
      }
--- 122,135 ----
          new Instrument( ticker ) , sharesToBeBought ) );
      }
!     private void marketCloseEventHandler_openPositions()
      {
        foreach ( string ticker in this.chosenTickers )
!         this.marketCloseEventHandler_openPosition( ticker );
      }
!     public void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       
!       this.marketCloseEventHandler_closePositions();
        //fiveMinutesBeforeMarketCloseEventHandler_openPositions();
      }
***************
*** 181,193 ****
      {
        TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
!         false, "STOCKMI", currentDate, currentDate.AddDays(60), this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
        IGenomeManager genManEfficientCTOPortfolio = 
!         new GenomeManagerForEfficientCTOPortfolio(this.eligibleTickers,currentDate, 
!         currentDate.AddDays(60), 
          this.numberOfTickersToBeChosen, 0.005, 0.05);
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio);
        //GO.KeepOnRunningUntilConvergenceIsReached = true;
!       GO.GenerationNumber = 4;
        GO.MutationRate = 0.05;
        GO.Run(false);
--- 191,203 ----
      {
        TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
!         false, "STOCKMI", currentDate.AddDays(-30), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
        IGenomeManager genManEfficientCTOPortfolio = 
!         new GenomeManagerForEfficientCTOPortfolio(this.eligibleTickers,currentDate.AddDays(-30), 
!         currentDate, 
          this.numberOfTickersToBeChosen, 0.005, 0.05);
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio);
        //GO.KeepOnRunningUntilConvergenceIsReached = true;
!       GO.GenerationNumber = 2;
        GO.MutationRate = 0.05;
        GO.Run(false);

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunEfficientCTOPortfolio.cs	14 Dec 2004 21:25:46 -0000	1.2
--- RunEfficientCTOPortfolio.cs	20 Dec 2004 20:25:12 -0000	1.3
***************
*** 77,84 ****
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2002 , 1 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2002 , 3 , 31 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 7;
  		}
      #region Run
--- 77,84 ----
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 4 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 10 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 1;
  		}
      #region Run
***************
*** 163,167 ****
--- 163,179 ----
      */
  		#endregion
+     
+     private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
+     {
+       Report report;
+ 
+       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime )
+       {
+         this.endOfDayTimer.Stop();
+         report = new Report( this.account );
+         report.Show("CTO_Portfolio" , this.numIntervalDays , this.startDateTime , "CTO_Portfolio" );
  
+       }
+     }
      public override void Run()
      {
***************
*** 169,173 ****
        //this.run_FindBestPortfolioForNextTrade();
        
-       Report report;
        run_initializeEndOfDayTimer();
        run_initializeAccount();
--- 181,184 ----
***************
*** 178,185 ****
          this.endOfDayTimerHandler.MarketOpenEventHandler);  
        
!       this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
!         new FiveMinutesBeforeMarketCloseEventHandler(
!         this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! 
        this.endOfDayTimer.OneHourAfterMarketClose +=
          new OneHourAfterMarketCloseEventHandler(
--- 189,200 ----
          this.endOfDayTimerHandler.MarketOpenEventHandler);  
        
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
        this.endOfDayTimer.OneHourAfterMarketClose +=
          new OneHourAfterMarketCloseEventHandler(
***************
*** 191,197 ****
        //this.progressBarForm.Show();
        this.endOfDayTimer.Start();
-       report = new Report( this.account );
-       report.Show("CTO_Portfolio" , this.numIntervalDays , this.startDateTime , "CTO_Portfolio" );
- 
        
      }
--- 206,209 ----

[Quantproject-developers] QuantProject QuantProject.suo,1.43,1.44

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv32102

Modified Files:
	QuantProject.suo 
Log Message:
no message

Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.43
retrieving revision 1.44
diff -C2 -d -r1.43 -r1.44
Binary files /tmp/cvsgt3gj7 and /tmp/cvsGJ5G83 differ

[Quantproject-developers] QuantProject/b4_Business/a05_Timing HistoricalEndOfDayTimer.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv31639/b4_Business/a05_Timing

Modified Files:
	HistoricalEndOfDayTimer.cs 
Log Message:
Bug fixed: this.currentTime is now assigned with
a copy of this.startDateTime

Index: HistoricalEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/HistoricalEndOfDayTimer.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** HistoricalEndOfDayTimer.cs	13 Dec 2004 01:47:27 -0000	1.2
--- HistoricalEndOfDayTimer.cs	20 Dec 2004 00:29:05 -0000	1.3
***************
*** 71,75 ****
  		{
  			this.isActive = true;
! 			this.currentTime = this.startDateTime;
  			while ( this.isActive )
  			{
--- 71,75 ----
  		{
  			this.isActive = true;
! 			this.currentTime = this.startDateTime.Copy();
  			while ( this.isActive )
  			{

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank EndOfDayTimerHandler.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv31143/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	EndOfDayTimerHandler.cs 
Log Message:
Bug fixed: foreach now iterates through this.chosenTickers.Keys 

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/EndOfDayTimerHandler.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandler.cs	29 Nov 2004 14:27:51 -0000	1.1
--- EndOfDayTimerHandler.cs	20 Dec 2004 00:26:58 -0000	1.2
***************
*** 123,127 ****
  		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions()
  		{
! 			foreach ( string ticker in this.chosenTickers )
  				if ( !this.account.Contains( ticker ) )
  				{
--- 123,127 ----
  		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions()
  		{
! 			foreach ( string ticker in this.chosenTickers.Keys )
  				if ( !this.account.Contains( ticker ) )
  				{
***************
*** 180,184 ****
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
! 			foreach ( string ticker in this.chosenTickers )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( ticker );
  		}
--- 180,184 ----
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
! 			foreach ( string ticker in this.chosenTickers.Keys )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( ticker );
  		}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing EndOfDayDateTime.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv30744/b4_Business/a05_Timing

Modified Files:
	EndOfDayDateTime.cs 
Log Message:
The Copy method has been added

Index: EndOfDayDateTime.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/EndOfDayDateTime.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayDateTime.cs	29 Nov 2004 14:38:17 -0000	1.1
--- EndOfDayDateTime.cs	20 Dec 2004 00:25:12 -0000	1.2
***************
*** 92,95 ****
--- 92,105 ----
  			return returnValue;
  		}
+ 		/// <summary>
+ 		/// Returns a deep copy of the current instance
+ 		/// </summary>
+ 		/// <returns></returns>
+ 		public EndOfDayDateTime Copy()
+ 		{
+ 			return new EndOfDayDateTime(
+ 				new DateTime( this.dateTime.Year , this.dateTime.Month , this.dateTime.Day ) ,
+ 				this.endOfDaySpecificTime );
+ 		}
  		#region MoveNext
  		private	EndOfDaySpecificTime getNextSpecificTime( )

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ChosenTickers.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv30566/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	ChosenTickers.cs 
Log Message:
Bug fixed: better use for SortedList now (ComparableAccount
is used as IComparer)

Index: ChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/ChosenTickers.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ChosenTickers.cs	29 Nov 2004 14:29:52 -0000	1.1
--- ChosenTickers.cs	20 Dec 2004 00:24:21 -0000	1.2
***************
*** 41,48 ****
  			SortedList sortedList = new SortedList();
  			foreach ( string ticker in bestPerformingTickers.Keys )
! 				sortedList.Add( ( ( ComparableAccount )bestPerformingTickers[ ticker ]).Goodness ,
! 					ticker );
  			for ( int n=0; n<=this.numberTickersToBeChosen ; n++ )
! 				this.Add( sortedList.GetByIndex( n ) , 1 );
  		}
  		/// <summary>
--- 41,50 ----
  			SortedList sortedList = new SortedList();
  			foreach ( string ticker in bestPerformingTickers.Keys )
! 				sortedList.Add( ticker , ( ( ComparableAccount )bestPerformingTickers[ ticker ]).Goodness );
  			for ( int n=0; n<=this.numberTickersToBeChosen ; n++ )
! 			{
! 				string key = (string)sortedList.GetKey( n );
! 				this.Add( key , key );
! 			}
  		}
  		/// <summary>

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank BestPerformingTickers.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29783/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	BestPerformingTickers.cs 
Log Message:
- The historicalEndOfDayTimer starts from a
EndOfDaySpecificTime.MarketOpen now
- private variables now are properly cleaned up
for subsequent SetTickers calls

Index: BestPerformingTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/BestPerformingTickers.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** BestPerformingTickers.cs	15 Dec 2004 23:17:24 -0000	1.3
--- BestPerformingTickers.cs	20 Dec 2004 00:20:05 -0000	1.4
***************
*** 67,71 ****
  				new HistoricalEndOfDayTimer(
  				new EndOfDayDateTime( dateTime.AddYears( -1 ).AddDays( -1 ) ,
! 				EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) );
  			ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ) ,
--- 67,71 ----
  				new HistoricalEndOfDayTimer(
  				new EndOfDayDateTime( dateTime.AddYears( -1 ).AddDays( -1 ) ,
! 				EndOfDaySpecificTime.MarketOpen ) );
  			ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ) ,
***************
*** 73,77 ****
  			OneRank oneRank = new OneRank( account ,
  				dateTime.AddDays( this.numberDaysForPerformanceCalculation ) );
- 			account.Key = ticker;
  			this.eligibleAccounts.Add( account );
  		}
--- 73,76 ----
***************
*** 99,104 ****
--- 98,105 ----
  		public void SetTickers( EligibleTickers eligibleTickers , DateTime dateTime )
  		{
+ 			this.calculatedTickers = 0;
  			this.NewProgress( this , new NewProgressEventArgs( 0 , 100 ) );
  			this.Clear();
+ 			this.eligibleAccounts.Clear();
  			this.setTickers_build( eligibleTickers , dateTime );
  			this.lastUpdate = dateTime;

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank RunWalkForwardOneRank.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28316/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	RunWalkForwardOneRank.cs 
Log Message:
The out of sample progress bar is
handled in a better way now

Index: RunWalkForwardOneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/RunWalkForwardOneRank.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunWalkForwardOneRank.cs	5 Dec 2004 02:49:50 -0000	1.3
--- RunWalkForwardOneRank.cs	20 Dec 2004 00:14:53 -0000	1.4
***************
*** 101,111 ****
  			long elapsedDays = Convert.ToInt64( ((TimeSpan)( endOfDayTimer.GetCurrentTime().DateTime - 
  				this.startDateTime.DateTime )).TotalDays );
! 			long totalDays = Convert.ToInt64( ((TimeSpan)( this.endDateTime.DateTime - 
  				this.startDateTime.DateTime )).TotalDays );
  			if ( Math.Floor( elapsedDays / totalDays * 100 ) >
  				Math.Floor( ( elapsedDays - 1 ) / totalDays * 100 ) )
  				// a new out of sample time percentage point has been elapsed
  				this.progressBarForm.ProgressBarOutOfSample.Value =
  					Convert.ToInt16( Math.Floor( elapsedDays / totalDays * 100 ) );
  		}
  		public void oneHourAfterMarketCloseEventHandler(
--- 101,114 ----
  			long elapsedDays = Convert.ToInt64( ((TimeSpan)( endOfDayTimer.GetCurrentTime().DateTime - 
  				this.startDateTime.DateTime )).TotalDays );
! 			double totalDays = Convert.ToDouble( ((TimeSpan)( this.endDateTime.DateTime - 
  				this.startDateTime.DateTime )).TotalDays );
  			if ( Math.Floor( elapsedDays / totalDays * 100 ) >
  				Math.Floor( ( elapsedDays - 1 ) / totalDays * 100 ) )
+ 			{
  				// a new out of sample time percentage point has been elapsed
  				this.progressBarForm.ProgressBarOutOfSample.Value =
  					Convert.ToInt16( Math.Floor( elapsedDays / totalDays * 100 ) );
+ 				this.progressBarForm.ProgressBarOutOfSample.Refresh();
+ 			}
  		}
  		public void oneHourAfterMarketCloseEventHandler(

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/OneRank OneRank.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27792/b7_Scripts/SimpleTesting/OneRank

Modified Files:
	OneRank.cs 
Log Message:
A parameter name is changed from account to account1
(strange debugging behavior was arising with the previous
naming)

Index: OneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank/OneRank.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** OneRank.cs	13 Dec 2004 01:50:43 -0000	1.3
--- OneRank.cs	20 Dec 2004 00:14:03 -0000	1.4
***************
*** 90,96 ****
  		/// <param name="account">Account with which to run the strategy</param>
  		/// <param name="lastDateTime">Date to stop the strategy</param>
! 		public OneRank( Account account , DateTime lastDateTime )
  		{
! 			this.account = account;
  			this.lastDateTime = lastDateTime;
  			this.account.EndOfDayTimer.MarketOpen +=
--- 90,96 ----
  		/// <param name="account">Account with which to run the strategy</param>
  		/// <param name="lastDateTime">Date to stop the strategy</param>
! 		public OneRank( Account account1 , DateTime lastDateTime )
  		{
! 			this.account = account1;
  			this.lastDateTime = lastDateTime;
  			this.account.EndOfDayTimer.MarketOpen +=

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.15,1.16

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26854/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Minor automatic changes

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** b7_Scripts.csproj	14 Dec 2004 21:21:41 -0000	1.15
--- b7_Scripts.csproj	20 Dec 2004 00:09:52 -0000	1.16
***************
*** 248,256 ****
                  />
                  <File
-                     RelPath = "WalkForwardTesting\WalkForwardOneRank\ProgressBarForm.resx"
-                     DependentUpon = "ProgressBarForm.cs"
-                     BuildAction = "EmbeddedResource"
-                 />
-                 <File
                      RelPath = "WalkForwardTesting\WalkForwardOneRank\RunWalkForwardOneRank.cs"
                      SubType = "Code"
--- 248,251 ----

[Quantproject-developers] QuantProject/b5_Presentation b5_Presentation.csproj,1.15,1.16

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26854/b5_Presentation

Modified Files:
	b5_Presentation.csproj 
Log Message:
Minor automatic changes

Index: b5_Presentation.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** b5_Presentation.csproj	15 Dec 2004 23:12:27 -0000	1.15
--- b5_Presentation.csproj	20 Dec 2004 00:09:51 -0000	1.16
***************
*** 159,163 ****
                  <File
                      RelPath = "Charting\Chart.cs"
!                     SubType = "Code"
                      BuildAction = "Compile"
                  />
--- 159,163 ----
                  <File
                      RelPath = "Charting\Chart.cs"
!                     SubType = "UserControl"
                      BuildAction = "Compile"
                  />

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj,1.19,1.20

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26854/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
Minor automatic changes

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** b3_Data.csproj	15 Dec 2004 23:12:26 -0000	1.19
--- b3_Data.csproj	20 Dec 2004 00:09:51 -0000	1.20
***************
*** 144,148 ****
                  <File
                      RelPath = "ExtendedDataTable.cs"
!                     SubType = "Code"
                      BuildAction = "Compile"
                  />
--- 144,148 ----
                  <File
                      RelPath = "ExtendedDataTable.cs"
!                     SubType = "Component"
                      BuildAction = "Compile"
                  />

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22301/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs 
Log Message:
Updated EndOfDayTimerHandler for TickerSelection Testing, using Efficient portfolio theory

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandler.cs	15 Dec 2004 23:21:41 -0000	1.2
--- EndOfDayTimerHandler.cs	17 Dec 2004 19:49:09 -0000	1.3
***************
*** 50,53 ****
--- 50,54 ----
  		
      private Account account;
+     private ArrayList orders;
  
      public int NumberOfEligibleTickers
***************
*** 68,72 ****
        this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
        this.account = account;
!       
      }
  		    
--- 69,73 ----
        this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
        this.account = account;
!       this.orders = new ArrayList();
      }
  		    
***************
*** 83,88 ****
          this.account.AddCash(endOfDayTimingEventArgs.EndOfDayDateTime,
                                16000);
!       
!       //this.account.ExecuteActiveOrders();
      }
  		#endregion
--- 84,91 ----
          this.account.AddCash(endOfDayTimingEventArgs.EndOfDayDateTime,
                                16000);
!       foreach(object item in this.orders)
!       {
!         this.account.AddOrder((Order)item);
!       }
      }
  		#endregion
***************
*** 145,149 ****
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
        Order order = new Order( OrderType.MarketBuy , new Instrument( ticker ) , quantity );
!       this.account.AddOrder( order );
      }
      private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions()
--- 148,152 ----
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
        Order order = new Order( OrderType.MarketBuy , new Instrument( ticker ) , quantity );
!       this.orders.Add(order);
      }
      private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions()
***************
*** 170,174 ****
      {
        this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!       //this.account.ClearOrders();
        oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
      }
--- 173,177 ----
      {
        this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!       this.orders.Clear();
        oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
      }

[Quantproject-developers] QuantProject QuantProject.suo,1.42,1.43

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv372

Modified Files:
	QuantProject.suo 
Log Message:



Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.42
retrieving revision 1.43
diff -C2 -d -r1.42 -r1.43
Binary files /tmp/cvsnlf1zW and /tmp/cvs98sW68 differ

[Quantproject-developers] QuantProject/b3_Data/DataProviders HistoricalDataProvider.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv307/b3_Data/DataProviders

Modified Files:
	HistoricalDataProvider.cs 
Log Message:
GetMarketValue( string , DateTime , BarComponent )
has been fixed

Index: HistoricalDataProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/HistoricalDataProvider.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** HistoricalDataProvider.cs	13 Dec 2004 01:42:42 -0000	1.4
--- HistoricalDataProvider.cs	15 Dec 2004 23:24:08 -0000	1.5
***************
*** 159,167 ****
  		{
  			//DateTime dateTime = 
! 			return Convert.ToDouble(
! 				( (History) ((Hashtable)
! 				cachedHistories[ instrumentKey ])[ barComponent ] ).GetByIndex(
! 				( (History) ((Hashtable) cachedHistories[ instrumentKey ])[ barComponent ]
! 				).IndexOfKeyOrPrevious( dateTime ) ) );
  		}
  
--- 159,163 ----
  		{
  			//DateTime dateTime = 
! 			return GetMarketValue( instrumentKey , new ExtendedDateTime( dateTime , barComponent ) );
  		}
  

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv32233/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs 
Log Message:
- this.account.ExecuteActiveOrders() has been commented out
- this.account.ClearOrders() has been commented out

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandler.cs	14 Dec 2004 21:21:41 -0000	1.1
--- EndOfDayTimerHandler.cs	15 Dec 2004 23:21:41 -0000	1.2
***************
*** 84,88 ****
                                16000);
        
!       this.account.ExecuteActiveOrders();
      }
  		#endregion
--- 84,88 ----
                                16000);
        
!       //this.account.ExecuteActiveOrders();
      }
  		#endregion
***************
*** 170,174 ****
      {
        this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!       this.account.ClearOrders();
        oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
      }
--- 170,174 ----
      {
        this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!       //this.account.ClearOrders();
        oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
      }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ComparableAccount.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv31647/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	ComparableAccount.cs 
Log Message:
- The constructor has been changed
- The Goodness calculation has been fixed

Index: ComparableAccount.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/ComparableAccount.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ComparableAccount.cs	29 Nov 2004 14:32:10 -0000	1.1
--- ComparableAccount.cs	15 Dec 2004 23:19:56 -0000	1.2
***************
*** 24,27 ****
--- 24,30 ----
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Accounting.Reporting;
+ using QuantProject.Business.Financial.Ordering;
+ using QuantProject.Business.Timing;
+ using QuantProject.Data.DataProviders;
  
  namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank
***************
*** 46,64 ****
  			get {	return this.goodness(); }
  		}
! 		public ComparableAccount()
  		{
- 			//
- 			// TODO: Add constructor logic here
- 			//
  		}
- 
  		private double goodness()
  		{
  			double returnValue;
! 			if ( this.accountReport.Summary.MaxEquityDrawDown >= this.maxAcceptableDrawDown )
  				returnValue = Double.MinValue;
  			else
! 				// max draw down is acceptable
! 				returnValue = this.accountReport.Summary.TotalPnl /
  					this.accountReport.Summary.BuyAndHoldPercentageReturn;
  			return returnValue;
--- 49,69 ----
  			get {	return this.goodness(); }
  		}
! 		public ComparableAccount( string accountName , IEndOfDayTimer endOfDayTimer ,
! 			IDataStreamer dataStreamer , IOrderExecutor orderExecutor ) : base( accountName ,
! 			endOfDayTimer , dataStreamer , orderExecutor )
  		{
  		}
  		private double goodness()
  		{
  			double returnValue;
! 			if ( this.accountReport == null )
! 				this.accountReport = this.CreateReport( this.Key , 7 ,
! 					this.EndOfDayTimer.GetCurrentTime() , this.Key );
! 			if ( ( this.accountReport.Summary.MaxEquityDrawDown >= this.maxAcceptableDrawDown )
! 				|| ( this.accountReport.Summary.TotalPnl <= this.accountReport.Summary.BuyAndHoldPercentageReturn ) )
  				returnValue = Double.MinValue;
  			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;

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank BestPerformingTickers.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv31099/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	BestPerformingTickers.cs 
Log Message:
ComparableAccount(s) are used now, instead of Account(s)

Index: BestPerformingTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/BestPerformingTickers.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** BestPerformingTickers.cs	5 Dec 2004 02:44:37 -0000	1.2
--- BestPerformingTickers.cs	15 Dec 2004 23:17:24 -0000	1.3
***************
*** 68,72 ****
  				new EndOfDayDateTime( dateTime.AddYears( -1 ).AddDays( -1 ) ,
  				EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) );
! 			Account account = new Account( ticker , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ) ,
  				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ) );
--- 68,72 ----
  				new EndOfDayDateTime( dateTime.AddYears( -1 ).AddDays( -1 ) ,
  				EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) );
! 			ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ) ,
  				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ) );