quantproject-developers

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs1:/tmp/cvs-serv2874/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.cs 
Log Message:
Summary type has been fixed: now it is of type
Tables.Summary (it was a general ReportTable).

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** AccountReport.cs	8 Nov 2003 20:54:41 -0000	1.6
--- AccountReport.cs	28 Nov 2003 15:37:13 -0000	1.7
***************
*** 47,51 ****
      private ReportTable roundTrades;
      private ReportTable equity;
!     private ReportTable summary;
  
      public string Name
--- 47,51 ----
      private ReportTable roundTrades;
      private ReportTable equity;
!     private Tables.Summary summary;
  
      public string Name
***************
*** 81,85 ****
        get { return equity; }
      }
!     public ReportTable Summary
      {
        get { return summary; }
--- 81,85 ----
        get { return equity; }
      }
!     public Tables.Summary Summary
      {
        get { return summary; }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Account.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1:/tmp/cvs-serv2113/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Account.cs 
Log Message:
I've used better local variable names

Index: Account.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** Account.cs	24 Nov 2003 19:43:31 -0000	1.3
--- Account.cs	28 Nov 2003 15:32:10 -0000	1.4
***************
*** 180,194 ****
  
      public AccountReport CreateReport( string reportName ,
!       int numDaysForInterval , ExtendedDateTime extendedDateTime )
      {
        AccountReport accountReport = new AccountReport( this );
!       return accountReport.Create( reportName , numDaysForInterval , extendedDateTime );
      }
      public AccountReport CreateReport( string reportName ,
!       int numDaysForInterval , ExtendedDateTime extendedDateTime , string buyAndHoldTicker )
      {
        AccountReport accountReport = new AccountReport( this );
        return accountReport.Create( reportName , numDaysForInterval ,
!         extendedDateTime , buyAndHoldTicker );
      }
      public void Serialize( string filePathAndName )
--- 180,194 ----
  
      public AccountReport CreateReport( string reportName ,
!       int numDaysForInterval , ExtendedDateTime endDateTime )
      {
        AccountReport accountReport = new AccountReport( this );
!       return accountReport.Create( reportName , numDaysForInterval , endDateTime );
      }
      public AccountReport CreateReport( string reportName ,
!       int numDaysForInterval , ExtendedDateTime endDateTime , string buyAndHoldTicker )
      {
        AccountReport accountReport = new AccountReport( this );
        return accountReport.Create( reportName , numDaysForInterval ,
!         endDateTime , buyAndHoldTicker );
      }
      public void Serialize( string filePathAndName )

[Quantproject-developers] QuantProject/b91_QuantProject Form1.cs,1.1.1.1,NONE

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv32162

Removed Files:
	Form1.cs 
Log Message:
It was useless

--- Form1.cs DELETED ---

[Quantproject-developers] QuantProject/b91_QuantProject BackTestForm.cs,1.2,NONE

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv20337

Removed Files:
	BackTestForm.cs 
Log Message:
It was useless

--- BackTestForm.cs DELETED ---

[Quantproject-developers] QuantProject/b4_Business/a3_Testing BackTester.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing
In directory sc8-pr-cvs1:/tmp/cvs-serv26203/b4_Business/a3_Testing

Added Files:
	BackTester.cs 
Log Message:
Base class for back testers

--- NEW FILE: BackTester.cs ---
using System;
using QuantProject.ADT.Optimizing;
using QuantProject.ADT;
using QuantProject.Business.Financial.Accounting;

namespace QuantProject.Business.Testing
{
	/// <summary>
	/// Summary description for BackTester.
	/// </summary>
	public class BackTester : Optimizable
	{
    private Account account = new Account();

    public Account Account
    {
      get { return account; }
      set { account = value; }
    }
		public BackTester()
		{
			//
			// TODO: Add constructor logic here
			//
		}
    public override double Objective()
    {
      return 0;
    }
	}
}

[Quantproject-developers] QuantProject QuantProject.suo,1.15,1.16

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv22477

Modified Files:
	QuantProject.suo 
Log Message:
no message

Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
Binary files /tmp/cvsehIpPf and /tmp/cvsc59dcl differ

[Quantproject-developers] QuantDownloader/Downloader WebDownloader.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantDownloader/Downloader
In directory sc8-pr-cvs1:/tmp/cvs-serv8511/Downloader

Modified Files:
	WebDownloader.cs 
Log Message:
the call to downloadQuotes_deleteFrom_quotes() method is now useless

Index: WebDownloader.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/WebDownloader.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WebDownloader.cs	20 Nov 2003 22:38:48 -0000	1.2
--- WebDownloader.cs	25 Nov 2003 14:52:16 -0000	1.3
***************
*** 351,355 ****
      {
        DataSet ds=new DataSet();
!       downloadQuotes_deleteFrom_quotes();
        downloadQuotes_createTickerDataSet( ds );
        //this.OleDbConnection1.Open();
--- 351,355 ----
      {
        DataSet ds=new DataSet();
!       //downloadQuotes_deleteFrom_quotes() - csv files aren't used anymore;
        downloadQuotes_createTickerDataSet( ds );
        //this.OleDbConnection1.Open();

[Quantproject-developers] QuantProject/b4_Business/a3_Testing WalkForwardTester.cs,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing
In directory sc8-pr-cvs1:/tmp/cvs-serv6930/b4_Business/a3_Testing

Modified Files:
	WalkForwardTester.cs 
Log Message:
- Fixed the class namespace
- Now WalkForwardTester inherits BackTester
- Now a single Account is considered and it is inherited from BackTester
- Now the Parameters object is inherited from BackTester (that inherits them from Optimizable)
- The final ReportToConsole method call has been commented out

Index: WalkForwardTester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing/WalkForwardTester.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** WalkForwardTester.cs	13 Oct 2003 21:59:28 -0000	1.1.1.1
--- WalkForwardTester.cs	24 Nov 2003 20:16:51 -0000	1.2
***************
*** 31,40 ****
  using QuantProject.Business.Strategies;
  
! namespace QuantProject.Business.Financial.Testing
  {
    /// <summary>
    /// Summary description for WalkForwardTester.
    /// </summary>
!   public class WalkForwardTester
    {
      private DateTime startDateTime;
--- 31,40 ----
  using QuantProject.Business.Strategies;
  
! namespace QuantProject.Business.Testing
  {
    /// <summary>
    /// Summary description for WalkForwardTester.
    /// </summary>
!   public class WalkForwardTester : BackTester
    {
      private DateTime startDateTime;
***************
*** 43,47 ****
      private int outOfSampleWindowNumDays;
      private TradingSystems tradingSystems = new TradingSystems();
-     private Accounts accounts = new Accounts();
      private TestWindows testWindows;
  
--- 43,46 ----
***************
*** 91,96 ****
      }
  
-     public Parameters Parameters = new Parameters();
- 
      public WalkForwardTester()
      {
--- 90,93 ----
***************
*** 102,120 ****
      }
  
-     public void Add( Account account )
-     {
-       accounts.AddAccount( account );
-     }
- 
-     public Account GetAccount( String accountName )
-     {
-       return accounts.GetAccount( accountName );
-     }
- 
      #region "Test"
  
      private Parameters getOptimizedParameters( TestWindow testWindow )
      {
!       Tester tester = new Tester( testWindow , this.tradingSystems , this.GetAccount( "account" ).CashAmount );
        tester.Parameters = this.Parameters.Copy();
        tester.Optimize();
--- 99,108 ----
      }
  
      #region "Test"
  
      private Parameters getOptimizedParameters( TestWindow testWindow )
      {
!       Tester tester = new Tester( testWindow , this.tradingSystems ,
!         this.Account.CashAmount );
        tester.Parameters = this.Parameters.Copy();
        tester.Optimize();
***************
*** 124,129 ****
      private void testNextStepOutOfSample( Parameters parameters , TestWindow testWindow )
      {
!       Tester tester = new Tester( testWindow , this.tradingSystems , accounts.GetAccount( "account" ).CashAmount );
!       tester.Account = this.GetAccount( "account" );
        tester.Parameters = parameters;
        tester.Test();
--- 112,117 ----
      private void testNextStepOutOfSample( Parameters parameters , TestWindow testWindow )
      {
!       Tester tester = new Tester( testWindow , this.tradingSystems , this.Account.CashAmount );
!       tester.Account = this.Account;
        tester.Parameters = parameters;
        tester.Test();
***************
*** 147,153 ****
        {
          testNextStep();
          lastDateTime = testWindows.OutOfSampleWindow.EndDateTime;
        }
!       this.accounts.ReportToConsole( lastDateTime );
        //this.accounts.Serialize( "c:\\quantProject.xml" );
      }
--- 135,142 ----
        {
          testNextStep();
+         Console.WriteLine( lastDateTime.ToString() );
          lastDateTime = testWindows.OutOfSampleWindow.EndDateTime;
        }
! //      this.accounts.ReportToConsole( lastDateTime );
        //this.accounts.Serialize( "c:\\quantProject.xml" );
      }

[Quantproject-developers] QuantProject/b4_Business/a3_Testing TestWindows.cs,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing
In directory sc8-pr-cvs1:/tmp/cvs-serv5945/b4_Business/a3_Testing

Modified Files:
	TestWindows.cs 
Log Message:
- Fixed the class namespace


Index: TestWindows.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing/TestWindows.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** TestWindows.cs	13 Oct 2003 21:59:23 -0000	1.1.1.1
--- TestWindows.cs	24 Nov 2003 20:11:58 -0000	1.2
***************
*** 23,27 ****
  using System;
  
! namespace QuantProject.Business.Financial.Testing
  {
  	/// <summary>
--- 23,27 ----
  using System;
  
! namespace QuantProject.Business.Testing
  {
  	/// <summary>

[Quantproject-developers] QuantProject/b4_Business/a3_Testing TestWindow.cs,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing
In directory sc8-pr-cvs1:/tmp/cvs-serv5738/b4_Business/a3_Testing

Modified Files:
	TestWindow.cs 
Log Message:
- Fixed the class namespace


Index: TestWindow.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing/TestWindow.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** TestWindow.cs	13 Oct 2003 21:59:21 -0000	1.1.1.1
--- TestWindow.cs	24 Nov 2003 20:11:05 -0000	1.2
***************
*** 23,27 ****
  using System;
  
! namespace QuantProject.Business.Financial.Testing
  {
    /// <summary>
--- 23,27 ----
  using System;
  
! namespace QuantProject.Business.Testing
  {
    /// <summary>

[Quantproject-developers] QuantProject/b4_Business/a3_Testing Tester.cs,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing
In directory sc8-pr-cvs1:/tmp/cvs-serv5618/b4_Business/a3_Testing

Modified Files:
	Tester.cs 
Log Message:
- Fixed the class namespace
- Now Tester inherits BackTester
- Now Account is inherited from BackTester

Index: Tester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing/Tester.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** Tester.cs	13 Oct 2003 21:59:19 -0000	1.1.1.1
--- Tester.cs	24 Nov 2003 20:10:26 -0000	1.2
***************
*** 31,54 ****
  
  
! namespace QuantProject.Business.Financial.Testing
  {
  	/// <summary>
  	/// Summary description for Tester.
  	/// </summary>
! 	public class Tester : Optimizable
  	{
      private TestWindow testWindow;
      private TradingSystems tradingSystems;
-     private Account account = new Account( "test" );
      private OrderManager orderManager = new OrderManager();
      private double initialCash = 0.0;
      //private TestResults testResults;
  
-     public Account Account
-     {
-       get { return account; }
-       set { account = value; }
-     }
- 
      public OrderManager OrderManager
      {
--- 31,47 ----
  
  
! namespace QuantProject.Business.Testing
  {
  	/// <summary>
  	/// Summary description for Tester.
  	/// </summary>
! 	public class Tester : BackTester
  	{
      private TestWindow testWindow;
      private TradingSystems tradingSystems;
      private OrderManager orderManager = new OrderManager();
      private double initialCash = 0.0;
      //private TestResults testResults;
  
      public OrderManager OrderManager
      {
***************
*** 62,66 ****
        this.tradingSystems = tradingSystems;
        this.initialCash = initialCash;
!       this.account.AddCash( new ExtendedDateTime( testWindow.StartDateTime , BarComponent.Open ) ,
          initialCash );
  		}
--- 55,59 ----
        this.tradingSystems = tradingSystems;
        this.initialCash = initialCash;
!       this.Account.AddCash( new ExtendedDateTime( testWindow.StartDateTime , BarComponent.Open ) ,
          initialCash );
  		}
***************
*** 68,76 ****
      public override double Objective()
      {
!       this.account.Clear();
!       account.AddCash( new ExtendedDateTime( testWindow.StartDateTime , BarComponent.Open ) ,
          initialCash );
        this.Test();
!       return - account.GetProfitNetLoss(
          new ExtendedDateTime( testWindow.EndDateTime , BarComponent.Close ) );
      }
--- 61,69 ----
      public override double Objective()
      {
!       this.Account.Clear();
!       this.Account.AddCash( new ExtendedDateTime( testWindow.StartDateTime , BarComponent.Open ) ,
          initialCash );
        this.Test();
!       return - this.Account.GetProfitNetLoss(
          new ExtendedDateTime( testWindow.EndDateTime , BarComponent.Close ) );
      }
***************
*** 88,96 ****
      private void handleCurrentSignal( Signal signal )
      {
!       Orders orders = account.AccountStrategy.GetOrders( signal );
        foreach (Order order in orders )
        {
          TimedTransaction transaction = this.OrderManager.GetTransaction( order );
!         account.Add( transaction );
          //Debug.WriteLine( account.ToString( dateTime ) );
        }
--- 81,89 ----
      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 ) );
        }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables Summary.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs1:/tmp/cvs-serv5173/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Modified Files:
	Summary.cs 
Log Message:
Added control to avoid raised exception
for summaryRow.Value == null

Index: Summary.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/Summary.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** Summary.cs	16 Nov 2003 17:18:45 -0000	1.5
--- Summary.cs	24 Nov 2003 20:07:43 -0000	1.6
***************
*** 128,135 ****
      private void getSummary_setRow( SummaryRow summaryRow , DataTable summaryDataTable )
      {
!       DataRow summary = summaryDataTable.NewRow();
!       summary[ "Information" ] = summaryRow.Description;
!       summary[ "Value" ] = summaryRow.Value;
!       summaryDataTable.Rows.Add( summary );
      }
      private void getSummaryTable_setRows( DataTable summaryDataTable )
--- 128,138 ----
      private void getSummary_setRow( SummaryRow summaryRow , DataTable summaryDataTable )
      {
!       if ( summaryRow.Value != null )
!       {
!         DataRow summary = summaryDataTable.NewRow();
!         summary[ "Information" ] = summaryRow.Description;
!         summary[ "Value" ] = summaryRow.Value;
!         summaryDataTable.Rows.Add( summary );
!       }
      }
      private void getSummaryTable_setRows( DataTable summaryDataTable )

[Quantproject-developers] QuantProject QuantProject.suo,1.14,1.15

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv4865

Modified Files:
	QuantProject.suo 
Log Message:
no message

Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
Binary files /tmp/cvsMi4vHE and /tmp/cvsi0Hvkb differ

[Quantproject-developers] QuantProject/b91_QuantProject Main.cs,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv4770/b91_QuantProject

Modified Files:
	Main.cs 
Log Message:
- Some commented code has been cleaned up
- New scripts invoking (commented) lines have been added

Index: Main.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/Main.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** Main.cs	13 Oct 2003 22:01:58 -0000	1.1.1.1
--- Main.cs	24 Nov 2003 20:05:03 -0000	1.2
***************
*** 228,237 ****
        //try
        {
-         //Application.Run(new Principale());  //remove comment to come back to the Windows application
          new RunMSFTsimpleTest().Run();
! //        string pippo =
! //          ((string)Application.CommonAppDataPath).Substring(0, Application.CommonAppDataPath.LastIndexOf('\\'));
! //
! //        MessageBox.Show( Application.LocalUserAppDataPath );
        } 
        //catch ( Exception ex )
--- 228,234 ----
        //try
        {
          new RunMSFTsimpleTest().Run();
!         //new RunOneRank().Run();
!         //new RunMSFTwalkForward().Run();
        } 
        //catch ( Exception ex )

[Quantproject-developers] QuantProject/b91_QuantProject BackTestForm.cs,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv4278/b91_QuantProject

Modified Files:
	BackTestForm.cs 
Log Message:
Some fixing have been applied for compiling
pass through, but this class is not
used anymore.

Index: BackTestForm.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/BackTestForm.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** BackTestForm.cs	13 Oct 2003 22:00:26 -0000	1.1.1.1
--- BackTestForm.cs	24 Nov 2003 20:03:23 -0000	1.2
***************
*** 29,33 ****
  using QuantProject.ADT.Optimizing;
  using QuantProject.Business.Financial.Accounting;
! using QuantProject.Business.Financial.Testing;
  using QuantProject.Scripts;
  
--- 29,33 ----
  using QuantProject.ADT.Optimizing;
  using QuantProject.Business.Financial.Accounting;
! using QuantProject.Business.Testing;
  using QuantProject.Scripts;
  
***************
*** 115,122 ****
        tradingSystem.Parameters.Add( new Parameter( "CrossPercentage" , 0 , 5 , 1 ) );
  
-       Account account = new Account( "account" );
-       account.AddCash(
-         new ExtendedDateTime( new DateTime( 1995 , 1 , 1 ) , BarComponent.Open ) , 10000 );
- 
        WalkForwardTester walkForwardTester = new WalkForwardTester();
        walkForwardTester.StartDateTime = new DateTime( 1995 , 1 , 1 );
--- 115,118 ----
***************
*** 125,131 ****
        walkForwardTester.OutOfSampleWindowNumDays = 30;
        walkForwardTester.Add( tradingSystem );
!       walkForwardTester.Add( account );
        walkForwardTester.Test();
!       walkForwardTester.GetAccount( "account" ).DrawReport();
      }  
  	}
--- 121,128 ----
        walkForwardTester.OutOfSampleWindowNumDays = 30;
        walkForwardTester.Add( tradingSystem );
!       walkForwardTester.Account.AddCash(
!         new ExtendedDateTime( new DateTime( 1995 , 1 , 1 ) , BarComponent.Open ) , 10000 );
        walkForwardTester.Test();
!       walkForwardTester.Account.DrawReport();
      }  
  	}

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1:/tmp/cvs-serv4001

Modified Files:
	b7_Scripts.csproj 
Log Message:
- The script Funds has been removed.
- The script Profunds has been removed.
- The folder SimpleTesting has been added.
- The script MSFTsimpleTest has been moved under the folder SimpleTesting
- The script One Rank has been created under the folder SimpleTesting
- The folder WalkForwardTesting has been added
- The script MSFTwalkForward has been moved under the folder WalkForwardTesting

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** b7_Scripts.csproj	27 Oct 2003 19:12:24 -0000	1.4
--- b7_Scripts.csproj	24 Nov 2003 20:01:43 -0000	1.5
***************
*** 103,142 ****
                  />
                  <File
!                     RelPath = "Funds\AsFunds.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "Funds\RunFunds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "Funds\TsFunds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "MSFTsimpleTest\RunMSFTsimpleTest.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "MSFTsimpleTest\TsMSFTsimpleTest.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "Profunds\AsProfunds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "Profunds\RunProfunds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "Profunds\TsProfunds.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
--- 103,137 ----
                  />
                  <File
!                     RelPath = "SimpleTesting\MSFTsimpleTest\RunMSFTsimpleTest.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "SimpleTesting\MSFTsimpleTest\TsMSFTsimpleTest.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "SimpleTesting\OneRank\AsOneRank.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "SimpleTesting\OneRank\RunOneRank.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "SimpleTesting\OneRank\TsOneRank.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\MSFTwalkForward\RunMSFTwalkForward.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs"
                      SubType = "Code"
                      BuildAction = "Compile"

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs1:/tmp/cvs-serv2116/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
- Added the BackTester class.
- Tester and WalkForwardTester inherit such new class.

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** b4_Business.csproj	16 Nov 2003 17:18:45 -0000	1.6
--- b4_Business.csproj	24 Nov 2003 19:51:35 -0000	1.7
***************
*** 347,350 ****
--- 347,355 ----
                  />
                  <File
+                     RelPath = "a3_Testing\BackTester.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a3_Testing\Tester.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Account.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1:/tmp/cvs-serv32358/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Account.cs 
Log Message:
Some commented code has been cleaned up.

Index: Account.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Account.cs	2 Nov 2003 18:29:47 -0000	1.2
--- Account.cs	24 Nov 2003 19:43:31 -0000	1.3
***************
*** 71,77 ****
      public Account( string accountName ) : base ( accountName )
      {
        cashAmount = 0;
        accountStrategy = new AccountStrategy( this );
! //      accountReport = new AccountReport( this );
      }
  
--- 71,86 ----
      public Account( string accountName ) : base ( accountName )
      {
+       this.initialize();
+     }
+ 
+     private void initialize()
+     {
        cashAmount = 0;
        accountStrategy = new AccountStrategy( this );
!     }
! 
!     public Account() : base ( "account" )
!     {
!       this.initialize();
      }
  

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward RunMSFTwalkForward.cs,NONE,1.1 TsMSFTwalkForward.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward
In directory sc8-pr-cvs1:/tmp/cvs-serv31021

Added Files:
	RunMSFTwalkForward.cs TsMSFTwalkForward.cs 
Log Message:
The MSFTwalkForward strategy has
been moved under the WalkForwardTesting folder.

--- NEW FILE: RunMSFTwalkForward.cs ---
/*
QuantProject - Quantitative Finance Library

RunMSFTsimpleTest.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using QuantProject.ADT;
using QuantProject.ADT.Histories;
using QuantProject.ADT.Optimizing;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Testing;
using QuantProject.Presentation.MicrosoftExcel;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for runMSFTsimpleTest.
	/// </summary>
	public class RunMSFTwalkForward : Script
	{
    public RunMSFTwalkForward()
  	{
			//
			// TODO: Add constructor logic here
			//
		}

    public override void Run()
    {
      DateTime startDateTime = new DateTime( 1995 , 1 , 1 );
      DateTime endDateTime = new DateTime( 2003 , 9 , 1 );
      QuoteCache.Add( new Instrument( "MSFT" ) , BarComponent.Open );
      QuoteCache.Add( new Instrument( "MSFT" ) , BarComponent.Close );
      QuoteCache.SetCache( startDateTime , endDateTime );

      WalkForwardTester walkForwardTester = new WalkForwardTester();
      walkForwardTester.StartDateTime = startDateTime;
      walkForwardTester.EndDateTime = endDateTime;
      walkForwardTester.InSampleWindowNumDays = 300;
      walkForwardTester.OutOfSampleWindowNumDays = 60;
      walkForwardTester.Parameters.Add( new Parameter( "SMAdays" , 3 , 50 , 2 ) );
      walkForwardTester.Add( new TsMSFTsimpleTest() );
      walkForwardTester.Account.AddCash(
        new ExtendedDateTime( startDateTime , BarComponent.Open ) , 10000 );
      walkForwardTester.Test();
      
      
      AccountReport accountReport = walkForwardTester.Account.CreateReport( "MSFT" , 7 ,
        new ExtendedDateTime( endDateTime , BarComponent.Close ) , "MSFT" );
      ExcelManager.Add( accountReport );
      ExcelManager.ShowReport();
    }
	}
}

--- NEW FILE: TsMSFTwalkForward.cs ---
/*
QuantProject - Quantitative Finance Library

TsMSFTsimpleTest.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using QuantProject.ADT;
using QuantProject.ADT.Histories;
using QuantProject.ADT.Optimizing;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for tsMSFTsimpleTest.
	/// </summary>
	public class TsMSFTwalkForward : TradingSystem
	{
		public TsMSFTwalkForward()
		{
			//
			// TODO: Add constructor logic here
			//
		}

    private History microsoftCloseHistory;
    private History microsoftCloseHistorySMA;

    public override void InitializeData()
    {
      Parameter parameter = (Parameter) this.Parameters[ "SMAdays" ];
      microsoftCloseHistory = QuoteCache.GetCloseHistory( "MSFT" );
      microsoftCloseHistorySMA = microsoftCloseHistory.GetSimpleMovingAverage( (int) parameter.Value );
    }

    public override Signals GetSignals( ExtendedDateTime extendedDateTime )
    {
      Signals signals = new Signals();
      if ( extendedDateTime.BarComponent == BarComponent.Close )
      {
        Signal signal = new Signal();
        if ( microsoftCloseHistory.Cross( microsoftCloseHistorySMA ,
          extendedDateTime.DateTime ) )
        {
          signal.Add( new Order( OrderType.MarketBuy , new Instrument( "MSFT" ) , 1 ,
            new ExtendedDateTime( new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
            BarComponent.Open ) ) );
          signals.Add( signal );
        }
        else
        {
          if ( microsoftCloseHistorySMA.Cross( microsoftCloseHistory ,
            extendedDateTime.DateTime ) )
          {
            signal.Add( new Order( OrderType.MarketSell , new Instrument( "MSFT" ) , 1 ,
              new ExtendedDateTime(
              new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
              BarComponent.Open ) ) );
            signals.Add( signal );
          }
        }
      }
      return signals;
    }
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward
In directory sc8-pr-cvs1:/tmp/cvs-serv30662/MSFTwalkForward

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting
In directory sc8-pr-cvs1:/tmp/cvs-serv30602/WalkForwardTesting

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/OneRank AsOneRank.cs,NONE,1.1 RunOneRank.cs,NONE,1.1 TsOneRank.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank
In directory sc8-pr-cvs1:/tmp/cvs-serv30545

Added Files:
	AsOneRank.cs RunOneRank.cs TsOneRank.cs 
Log Message:
This script implements the One Rank strategy.

--- NEW FILE: AsOneRank.cs ---
/*
QuantProject - Quantitative Finance Library

AsProfunds.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using QuantProject.ADT;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Strategies;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for AsProfunds.
	/// </summary>
	public class AsOneRank : AccountStrategy
	{
		public AsOneRank( Account account ) : base( account )
		{
			//
			// TODO: Add constructor logic here
			//
		}
    public override ArrayList GetOrdersForCurrentVirtualOrder( Order virtualOrder )
    {
      ArrayList orders = new ArrayList();
      switch(virtualOrder.Type)       
      {
        case OrderType.MarketBuy:
          if ( !this.account.Portfolio.IsLong( virtualOrder.Instrument ) )
            orders.Add( new Order( OrderType.MarketBuy ,
              virtualOrder.Instrument ,
              virtualOrder.Instrument.GetMaxBuyableQuantity(
              this.account.CashAmount +
              this.account.Portfolio.GetMarketValue( virtualOrder.ExtendedDateTime ) ,
              virtualOrder.ExtendedDateTime ) , virtualOrder.ExtendedDateTime ) );
          break;
        case OrderType.MarketSell:
          if ( this.account.Portfolio.IsLong( virtualOrder.Instrument ) )
            orders.Add( new Order( OrderType.MarketSell ,
              virtualOrder.Instrument ,
              (long) this.account.Portfolio.GetPosition( virtualOrder.Instrument ).Quantity ,
              virtualOrder.ExtendedDateTime ) );
          break;
        default:            
          break;      
      }
      return orders;
    }
	}
}

--- NEW FILE: RunOneRank.cs ---
/*
QuantProject - Quantitative Finance Library

RunProfunds.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using QuantProject.ADT;
using QuantProject.ADT.Histories;
using QuantProject.ADT.Optimizing;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Testing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Scripting;
using QuantProject.Presentation.MicrosoftExcel;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for RunProfunds.
	/// </summary>
	public class RunOneRank : Script
	{
    public RunOneRank()
    {
    }
    public override void Run()
    {
      //this.testTicker( "FSELX" , new DateTime( 2003 , 5 , 20 ) , new DateTime( 2003 , 9 , 26 ) );
      this.testTicker( "REPIX" , new DateTime( 2003 , 7 , 1 ) , new DateTime( 2003 , 11 , 20 ) );
    }
    private void testTicker( string ticker , DateTime startDateTime , DateTime endDateTime )
    {
      QuoteCache.Add( new Instrument( ticker ) , BarComponent.Open );
      QuoteCache.Add( new Instrument( ticker ) , BarComponent.Close );
      //QuoteCache.Add( new Instrument( "MSFT" ) , BarComponent.Close );
      QuoteCache.SetCache( startDateTime , endDateTime );

      TradingSystems tradingSystems = new TradingSystems();
     
      tradingSystems.Add( new TsOneRank( ticker  ) );

      Tester tester = new Tester(
        new TestWindow( startDateTime , endDateTime ) ,
        tradingSystems ,
        10000 );

      tester.Account.AccountStrategy = new AsOneRank( tester.Account );

      //tester.Parameters.Add( new Parameter( "SMAdays" , 10 , 10 , 2 ) );

      //tester.Optimize();

      tester.Test();

        //tester.Account.ReportToConsole( endDateTime );

      ((History)tester.Account.GetProfitNetLossHistory(
        new ExtendedDateTime( endDateTime , BarComponent.Close ) ) ).ReportToConsole();

      //      tester.Account.AccountReport.ReportToExcel( "MSFT" ,
      //        new ExtendedDateTime( endDateTime , BarComponent.Close ) );

      AccountReport accountReport = tester.Account.CreateReport( ticker , 7 ,
        new ExtendedDateTime( endDateTime , BarComponent.Close ) , ticker );
      ExcelManager.Add( accountReport );
      ExcelManager.ShowReport();
    }
	}
}

--- NEW FILE: TsOneRank.cs ---
/*
QuantProject - Quantitative Finance Library

TsProfunds.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using QuantProject.ADT;
using QuantProject.ADT.Histories;
using QuantProject.ADT.Optimizing;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for TsProfunds.
	/// </summary>
	public class TsOneRank : TradingSystem
	{
    private string ticker;
		public TsOneRank( string ticker )
		{
			this.ticker = ticker;
		}
    private History fund;
//    private History microsoftCloseHistorySMA;

    public override void InitializeData()
    {
      fund = QuoteCache.GetOpenHistory( this.ticker );
//      microsoftCloseHistorySMA = microsoftCloseHistory.GetSimpleMovingAverage( (int) parameter.Value );
    }

    public override Signals GetSignals( ExtendedDateTime extendedDateTime )
    {
      Signals signals = new Signals();
      if ( !fund.IsLastKey( extendedDateTime.DateTime ) &&
        ( extendedDateTime.BarComponent == BarComponent.Close ) )
      {
        DateTime previousMarketDay = (DateTime)((History)fund).GetKey(
          ((History)fund).IndexOfKeyOrPrevious( extendedDateTime.DateTime ) );
        DateTime nextMarketDay =
          new Instrument( this.ticker ).GetNextMarketDay( extendedDateTime.DateTime );
        Signal signal = new Signal();
        if ( (Single)fund[ nextMarketDay ] > (Single)fund[ previousMarketDay ] )
        {
          signal.Add( new Order( OrderType.MarketBuy , new Instrument( this.ticker ) , 1 ,
            new ExtendedDateTime( nextMarketDay , BarComponent.Open ) ) );
          signals.Add( signal );
        }
        if ( (Single)fund[ nextMarketDay ] < (Single)fund[ previousMarketDay ] )
        {
          signal.Add( new Order( OrderType.MarketSell , new Instrument( this.ticker ) , 1 ,
            new ExtendedDateTime( nextMarketDay , BarComponent.Open ) ) );
          signals.Add( signal );
        }
      }
      return signals;
    }
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/MSFTsimpleTest AsMSFTsimpleTest.cs,NONE,1.1 RunMSFTsimpleTest.cs,NONE,1.1 TsMSFTsimpleTest.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/MSFTsimpleTest
In directory sc8-pr-cvs1:/tmp/cvs-serv30362

Added Files:
	AsMSFTsimpleTest.cs RunMSFTsimpleTest.cs TsMSFTsimpleTest.cs 
Log Message:
This MSFTsimpleTest script has been
moved under the SimpleTesting folder.

--- NEW FILE: AsMSFTsimpleTest.cs ---
using System;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Strategies;

namespace QuantProject.Scripts.MSFTsimpleTest
{
  /// <summary>
  /// Summary description for AsMSFTsimpleTest.
  /// </summary>
  public class AsMSFTsimpleTest : AccountStrategy
  {
    public AsMSFTsimpleTest( Account account )
    {
      //
      // TODO: Add constructor logic here
      //
    }

//    public virtual Orders GetOrders( Signal signal )
//    {
//      Orders orders = new Orders();
//      foreach ( Order virtualOrder in signal )
//      {
//        ArrayList ordersForCurrentVirtualOrder =
//          this.getOrdersForCurrentVirtualOrder( virtualOrder , dateTime );
//        foreach( Order order in ordersForCurrentVirtualOrder )
//          orders.Add( order );
//      }
//      return orders;
//    }
  }
}

--- NEW FILE: RunMSFTsimpleTest.cs ---
/*
QuantProject - Quantitative Finance Library

RunMSFTsimpleTest.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using QuantProject.ADT;
using QuantProject.ADT.Histories;
using QuantProject.ADT.Optimizing;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Testing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Scripting;
using QuantProject.Presentation.MicrosoftExcel;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for runMSFTsimpleTest.
	/// </summary>
	public class RunMSFTsimpleTest : Script
	{
    public RunMSFTsimpleTest()
  	{
			//
			// TODO: Add constructor logic here
			//
		}

    public override void Run()
    {
      DateTime startDateTime = new DateTime( 2000 , 1 , 1 );
      DateTime endDateTime = new DateTime( 2000 , 12 , 31 );
      QuoteCache.Add( new Instrument( "MSFT" ) , BarComponent.Open );
      QuoteCache.Add( new Instrument( "MSFT" ) , BarComponent.Close );
      QuoteCache.SetCache( startDateTime , endDateTime );

      TradingSystems tradingSystems = new TradingSystems();
     
      tradingSystems.Add( new TsMSFTsimpleTest() );

      Tester tester = new Tester(
        new TestWindow( startDateTime , endDateTime ) ,
        tradingSystems ,
        10000 );

      tester.Parameters.Add( new Parameter( "SMAdays" , 10 , 10 , 2 ) );

      tester.Optimize();

      tester.OptimalParameters.ReportToConsole();

      tester.Parameters = tester.OptimalParameters;

      tester.Objective();

      tester.Account.ReportToConsole( endDateTime );

      ((History)tester.Account.GetProfitNetLossHistory(
        new ExtendedDateTime( endDateTime , BarComponent.Close ) ) ).ReportToConsole();

//      tester.Account.AccountReport.ReportToExcel( "MSFT" ,
//        new ExtendedDateTime( endDateTime , BarComponent.Close ) );

      AccountReport accountReport = tester.Account.CreateReport( "MSFT" , 7 ,
        new ExtendedDateTime( endDateTime , BarComponent.Close ) , "MSFT" );
      ExcelManager.Add( accountReport );
      ExcelManager.ShowReport();
    }
	}
}

--- NEW FILE: TsMSFTsimpleTest.cs ---
/*
QuantProject - Quantitative Finance Library

TsMSFTsimpleTest.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using QuantProject.ADT;
using QuantProject.ADT.Histories;
using QuantProject.ADT.Optimizing;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for tsMSFTsimpleTest.
	/// </summary>
	public class TsMSFTsimpleTest : TradingSystem
	{
		public TsMSFTsimpleTest()
		{
			//
			// TODO: Add constructor logic here
			//
		}

    private History microsoftCloseHistory;
    private History microsoftCloseHistorySMA;

    public override void InitializeData()
    {
      Parameter parameter = (Parameter) this.Parameters[ "SMAdays" ];
      microsoftCloseHistory = QuoteCache.GetCloseHistory( "MSFT" );
      microsoftCloseHistorySMA = microsoftCloseHistory.GetSimpleMovingAverage( (int) parameter.Value );
    }

    public override Signals GetSignals( ExtendedDateTime extendedDateTime )
    {
      Signals signals = new Signals();
      if ( extendedDateTime.BarComponent == BarComponent.Close )
      {
        Signal signal = new Signal();
        if ( microsoftCloseHistory.Cross( microsoftCloseHistorySMA ,
          extendedDateTime.DateTime ) )
        {
          signal.Add( new Order( OrderType.MarketBuy , new Instrument( "MSFT" ) , 1 ,
            new ExtendedDateTime( new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
            BarComponent.Open ) ) );
          signals.Add( signal );
        }
        else
        {
          if ( microsoftCloseHistorySMA.Cross( microsoftCloseHistory ,
            extendedDateTime.DateTime ) )
          {
            signal.Add( new Order( OrderType.MarketSell , new Instrument( "MSFT" ) , 1 ,
              new ExtendedDateTime(
              new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
              BarComponent.Open ) ) );
            signals.Add( signal );
          }
        }
      }
      return signals;
    }
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/OneRank - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank
In directory sc8-pr-cvs1:/tmp/cvs-serv30009/OneRank

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/MSFTsimpleTest - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/MSFTsimpleTest
In directory sc8-pr-cvs1:/tmp/cvs-serv29940/MSFTsimpleTest

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/MSFTsimpleTest added to the repository