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[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables RoundTrades.cs, 1.4, 1.5

From: Marco M. <mi...@us...> - 2009-08-30 15:57:17

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv23402/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Modified Files:
	RoundTrades.cs 
Log Message:
Fixed minor bug

Index: RoundTrades.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/RoundTrades.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RoundTrades.cs	30 Mar 2009 21:35:23 -0000	1.4
--- RoundTrades.cs	30 Aug 2009 15:57:08 -0000	1.5
***************
*** 123,127 ****
        getRoundTradeTable_setRows( roundTradeDataTable );
        DataTable roundTradeDataTable_ordered =	
!       	ExtendedDataTable.CopyAndSort(roundTradeDataTable, "EntryDate", true);
        return roundTradeDataTable_ordered;
      }
--- 123,128 ----
        getRoundTradeTable_setRows( roundTradeDataTable );
        DataTable roundTradeDataTable_ordered =	
!       	ExtendedDataTable.CopyAndSort(roundTradeDataTable, "ExitPrice > 0",
!       	                              "EntryDate", true);
        return roundTradeDataTable_ordered;
      }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables Summary.cs, 1.24, 1.25

From: Marco M. <mi...@us...> - 2009-08-30 15:56:07

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv23219/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Modified Files:
	Summary.cs 
Log Message:
AverageShortTradePercentageReturn summary row has been added to Summary

Index: Summary.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/Summary.cs,v
retrieving revision 1.24
retrieving revision 1.25
diff -C2 -d -r1.24 -r1.25
*** Summary.cs	21 Mar 2009 09:55:33 -0000	1.24
--- Summary.cs	30 Aug 2009 15:55:55 -0000	1.25
***************
*** 37,40 ****
--- 37,41 ----
  		private NumberWinningLongTrades numberWinningLongTrades;
  		private AverageLongTradePercentageReturn averageLongTradePercentageReturn;
+ 		private AverageShortTradePercentageReturn averageShortTradePercentageReturn;
  		private NumberWinningShortTrades numberWinningShortTrades;
  		private TotalNumberOfLongTrades totalNumberOfLongTrades;
***************
*** 161,164 ****
--- 162,169 ----
  			get { return this.averageLongTradePercentageReturn; }
  		}
+ 		public AverageShortTradePercentageReturn AverageShortTradePercentageReturn
+ 		{
+ 			get { return this.averageShortTradePercentageReturn; }
+ 		}
  		public TotalNumberOfShortTrades TotalNumberOfShortTrades
  		{
***************
*** 290,293 ****
--- 295,299 ----
  			this.numberWinningLongTrades = new NumberWinningLongTrades( this );
  			this.averageLongTradePercentageReturn = new AverageLongTradePercentageReturn( this );
+ 			this.averageShortTradePercentageReturn = new AverageShortTradePercentageReturn( this );
  			this.totalNumberOfShortTrades = new TotalNumberOfShortTrades( this );
  			this.numberWinningShortTrades = new NumberWinningShortTrades( this );

[Quantproject-developers] QuantProject/b4_Business/a05_Timing IndexBasedEndOfDayTimer.cs, 1.10, 1.11

From: Marco M. <mi...@us...> - 2009-08-30 15:54:23

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv23145/b4_Business/a05_Timing

Modified Files:
	IndexBasedEndOfDayTimer.cs 
Log Message:
The isDone method has been overriden

Index: IndexBasedEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/IndexBasedEndOfDayTimer.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** IndexBasedEndOfDayTimer.cs	29 Sep 2008 21:22:45 -0000	1.10
--- IndexBasedEndOfDayTimer.cs	30 Aug 2009 15:54:12 -0000	1.11
***************
*** 112,115 ****
--- 112,123 ----
  //		}
  		
+ 		protected override bool isDone()
+ 		{
+ 			bool lastDateHasAlreadyBeenLaunched;
+ 			lastDateHasAlreadyBeenLaunched = 
+ 				this.IndexQuotes.Rows.Count - 1 == this.currentDateArrayPosition;
+ 			return lastDateHasAlreadyBeenLaunched;
+ 		}
+ 		
  		#region moveNext
  		private void moveNext_with_currentDateTime_properlyInitialized()

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding BasicDecoderForTestingPositions.cs, 1.8, 1.9

From: Marco M. <mi...@us...> - 2009-08-30 15:46:58

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv22386/b4_Business/a2_Strategies/Optimizing/Decoding

Modified Files:
	BasicDecoderForTestingPositions.cs 
Log Message:
The class is not abstract anymore

Index: BasicDecoderForTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding/BasicDecoderForTestingPositions.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** BasicDecoderForTestingPositions.cs	29 Sep 2008 21:14:23 -0000	1.8
--- BasicDecoderForTestingPositions.cs	30 Aug 2009 15:46:50 -0000	1.9
***************
*** 38,42 ****
  	/// </summary>
  	[Serializable]
! 	public abstract class BasicDecoderForTestingPositions :
  		IDecoderForTestingPositions
  	{
--- 38,42 ----
  	/// </summary>
  	[Serializable]
! 	public class BasicDecoderForTestingPositions :
  		IDecoderForTestingPositions
  	{
***************
*** 50,55 ****
  		/// </summary>
  		/// <returns></returns>
! 		protected abstract string getDescription();
! 
  		public string Description
  		{
--- 50,57 ----
  		/// </summary>
  		/// <returns></returns>
! 		protected virtual string getDescription()
! 		{
! 			return "BscFrTstngPstns";
! 		}
  		public string Description
  		{
***************
*** 118,122 ****
  		#endregion decodeSignedTickers
  
! 		protected abstract TestingPositions getMeaningForUndecodable();
  
  		#region isDecodable
--- 120,127 ----
  		#endregion decodeSignedTickers
  
! 		protected virtual TestingPositions getMeaningForUndecodable()
! 		{
! 			return new TestingPositions();
! 		}
  
  		#region isDecodable
***************
*** 154,157 ****
--- 159,174 ----
  		}
  		
+ 		protected virtual double[] getUnsignedWeights(SignedTickers signedTickers)
+ 		{
+ 			//in this implementation encoded doesn't contain
+ 			//information for weights: so weights are all the same
+ 			double[] weights = new double[this.tickerRelatedGeneValues.Length];
+ 			for(int i = 0; i<weights.Length; i++)
+ 			{	
+ 				weights[i] = 1.0 / weights.Length;
+ 			}
+ 			return weights;
+ 		}
+ 		
  		protected virtual TestingPositions
  			getTestingPositions( double[] weights ,

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GeneticOptimizer.cs, 1.27, 1.28

From: Marco M. <mi...@us...> - 2009-08-30 15:45:05

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv22227/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
Some methods have been commented out

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.27
retrieving revision 1.28
diff -C2 -d -r1.27 -r1.28
*** GeneticOptimizer.cs	19 Jan 2008 18:59:19 -0000	1.27
--- GeneticOptimizer.cs	30 Aug 2009 15:44:53 -0000	1.28
***************
*** 64,69 ****
  	
      private int generationCounter;
!     private double averageRandomFitness;
!     private double standardDeviationOfRandomFitness;
      
      #endregion
--- 64,69 ----
  	
      private int generationCounter;
! //    private double averageRandomFitness;
! //    private double standardDeviationOfRandomFitness;
      
      #endregion
***************
*** 134,153 ****
      }
      
!     /// <summary>
!     /// Average fitness of a group of genomes (this.numberOfGenomesForAverageRandomFitness)
!     /// chosen at random
!     /// </summary>
!     public double AverageRandomFitness
!     {
!       get{return this.averageRandomFitness;}
!     }
!     /// <summary>
!     /// Standard deviation of fitness of a group of genomes (this.numberOfGenomesForAverageRandomFitness)
!     /// chosen at random
!     /// </summary>
!     public double StandardDeviationOfRandomFitness
!     {
!       get{return this.standardDeviationOfRandomFitness;}
!     }
      #endregion
  
--- 134,153 ----
      }
      
! //    /// <summary>
! //    /// Average fitness of a group of genomes (this.numberOfGenomesForAverageRandomFitness)
! //    /// chosen at random
! //    /// </summary>
! //    public double AverageRandomFitness
! //    {
! //      get{return this.averageRandomFitness;}
! //    }
! //    /// <summary>
! //    /// Standard deviation of fitness of a group of genomes (this.numberOfGenomesForAverageRandomFitness)
! //    /// chosen at random
! //    /// </summary>
! //    public double StandardDeviationOfRandomFitness
! //    {
! //      get{return this.standardDeviationOfRandomFitness;}
! //    }
      #endregion
  
***************
*** 220,255 ****
      }
      
!     /// <summary>
!     /// It updates AverageRandomFitness and StandardDeviationOfRandomFitness
!     /// properties with the average and std dev fitness
!     /// of a given group of genomes chosen at random
!     /// </summary>
!     public void CalculateRandomFitness()
!     {
!       this.createFirstGeneration(false);
!       this.averageRandomFitness = this.totalSpecialFitnessForRouletteSelection/this.currentGeneration.Count;
!       this.standardDeviationOfRandomFitness = this.calculateRandomFitness_getStdDevOfRandomFitness();
!     }
!     /// <summary>
!     /// It updates StandardDeviationOfRandomFitness property with the std dev of
!     /// fitness of a given group of genomes chosen at random
!     /// </summary>
!     private double calculateRandomFitness_getStdDevOfRandomFitness()
!     {
!       double[] fitnesses = new double[this.currentGeneration.Count];
!       for(int i = 0; i<this.currentGeneration.Count; i++)
!         fitnesses[i] = ((Genome)this.currentGeneration[i]).Fitness;
!       return QuantProject.ADT.Statistics.BasicFunctions.StdDev(fitnesses);
!     }
      
!     private void run_calculateRandomFitness()
!     {
!       GeneticOptimizer GOForAverageRandomFitness = 
!         new GeneticOptimizer(this.genomeManager, ConstantsProvider.NumGenomesForRandomFitnessComputation,
!                              0,ConstantsProvider.SeedForRandomGenerator);
!       GOForAverageRandomFitness.CalculateRandomFitness(); 
!       this.averageRandomFitness = GOForAverageRandomFitness.AverageRandomFitness;
!       this.standardDeviationOfRandomFitness = GOForAverageRandomFitness.StandardDeviationOfRandomFitness;
!     }
      /// <summary>
      /// Method to start the GeneticOptmizer
--- 220,255 ----
      }
      
! //    /// <summary>
! //    /// It updates AverageRandomFitness and StandardDeviationOfRandomFitness
! //    /// properties with the average and std dev fitness
! //    /// of a given group of genomes chosen at random
! //    /// </summary>
! //    public void CalculateRandomFitness()
! //    {
! //      this.createFirstGeneration(false);
! //      this.averageRandomFitness = this.totalSpecialFitnessForRouletteSelection/this.currentGeneration.Count;
! //      this.standardDeviationOfRandomFitness = this.calculateRandomFitness_getStdDevOfRandomFitness();
! //    }
! //    /// <summary>
! //    /// It updates StandardDeviationOfRandomFitness property with the std dev of
! //    /// fitness of a given group of genomes chosen at random
! //    /// </summary>
! //    private double calculateRandomFitness_getStdDevOfRandomFitness()
! //    {
! //      double[] fitnesses = new double[this.currentGeneration.Count];
! //      for(int i = 0; i<this.currentGeneration.Count; i++)
! //        fitnesses[i] = ((Genome)this.currentGeneration[i]).Fitness;
! //      return QuantProject.ADT.Statistics.BasicFunctions.StdDev(fitnesses);
! //    }
      
! //    private void run_calculateRandomFitness()
! //    {
! //      GeneticOptimizer GOForAverageRandomFitness = 
! //        new GeneticOptimizer(this.genomeManager, ConstantsProvider.NumGenomesForRandomFitnessComputation,
! //                             0,ConstantsProvider.SeedForRandomGenerator);
! //      GOForAverageRandomFitness.CalculateRandomFitness(); 
! //      this.averageRandomFitness = GOForAverageRandomFitness.AverageRandomFitness;
! //      this.standardDeviationOfRandomFitness = GOForAverageRandomFitness.StandardDeviationOfRandomFitness;
! //    }
      /// <summary>
      /// Method to start the GeneticOptmizer

[Quantproject-developers] QuantProject/b1_ADT/Histories History.cs, 1.16, 1.17

From: Marco M. <mi...@us...> - 2009-08-30 15:43:47

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Histories
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv22020/b1_ADT/Histories

Modified Files:
	History.cs 
Log Message:
Fixed minor bug

Index: History.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Histories/History.cs,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** History.cs	20 Nov 2008 20:36:30 -0000	1.16
--- History.cs	30 Aug 2009 15:43:36 -0000	1.17
***************
*** 471,475 ****
  				List<DateTime> dateTimes =
  					new List<DateTime>();
! 				foreach ( DateTime dateTime in this.Keys )
  					dateTimes.Add( dateTime );
  				return dateTimes;
--- 471,475 ----
  				List<DateTime> dateTimes =
  					new List<DateTime>();
! 				foreach ( DateTime dateTime in this.Values )
  					dateTimes.Add( dateTime );
  				return dateTimes;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/InSample BruteForceChooser.cs, 1.4, 1.5

From: Marco M. <mi...@us...> - 2009-08-30 15:42:58

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv21967/b4_Business/a2_Strategies/InSample

Modified Files:
	BruteForceChooser.cs 
Log Message:
no message

Index: BruteForceChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample/BruteForceChooser.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** BruteForceChooser.cs	29 Sep 2008 21:14:49 -0000	1.4
--- BruteForceChooser.cs	30 Aug 2009 15:42:44 -0000	1.5
***************
*** 26,29 ****
--- 26,30 ----
  using QuantProject.ADT.Messaging;
  using QuantProject.ADT.Optimizing.BruteForce;
+ using QuantProject.ADT.Statistics.Combinatorial;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies.Eligibles;
***************
*** 74,78 ****
  //			this.historicalQuoteProvider = historicalQuoteProvider;
  		}
! 
  		protected abstract IBruteForceOptimizableParametersManager
  			getBruteForceOptimizableParametersManager( EligibleTickers eligibleTickers ,
--- 75,79 ----
  //			this.historicalQuoteProvider = historicalQuoteProvider;
  		}
! 		
  		protected abstract IBruteForceOptimizableParametersManager
  			getBruteForceOptimizableParametersManager( EligibleTickers eligibleTickers ,

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers BasicGenomeManager.cs, 1.2, 1.3

From: Marco M. <mi...@us...> - 2009-08-30 15:42:44

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv21934/b4_Business/a2_Strategies/Optimizing/GenomeManagers

Modified Files:
	BasicGenomeManager.cs 
Log Message:
no message

Index: BasicGenomeManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers/BasicGenomeManager.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** BasicGenomeManager.cs	19 Feb 2008 21:56:24 -0000	1.2
--- BasicGenomeManager.cs	30 Aug 2009 15:42:32 -0000	1.3
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
  
+ 
  namespace QuantProject.Business.Strategies.Optimizing.GenomeManagers
  {
***************
*** 101,109 ****
  			}
  		}
!         
  		public virtual double GetFitnessValue(Genome genome)
  		{
! 			double fitnessValue =
! 				this.fitnessEvaluator.GetFitnessValue(genome.Meaning, this.returnsManager);
  			return fitnessValue;
  		}
--- 102,111 ----
  			}
  		}
! 		
  		public virtual double GetFitnessValue(Genome genome)
  		{
! 			double fitnessValue = 
! 					this.fitnessEvaluator.GetFitnessValue(genome.Meaning, this.returnsManager);
! 				
  			return fitnessValue;
  		}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies AccountManager.cs, 1.7, 1.8

From: Marco M. <mi...@us...> - 2009-08-30 15:42:31

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv21865/b4_Business/a2_Strategies

Modified Files:
	AccountManager.cs 
Log Message:
Added overload for OpenPositions method, in order to use leverage

Index: AccountManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/AccountManager.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** AccountManager.cs	13 Dec 2008 17:15:35 -0000	1.7
--- AccountManager.cs	30 Aug 2009 15:42:18 -0000	1.8
***************
*** 93,96 ****
--- 93,112 ----
  																		 Account account, double initialCashIfTheAccountIsEmpty)
  		{
+ 			OpenPositions(weightedPositions, account, initialCashIfTheAccountIsEmpty, 1);
+ 		}
+ 		
+ 		/// <summary>
+ 		/// Modifies the state for the given account,
+ 		/// opening positions provided by the given weightedPositions
+ 		/// </summary>
+ 		/// <param name="weightedPositions"></param>
+ 		/// <param name="account"></param>
+ 		/// <param name="initialCashForTheAccount">The initial cash for the account
+ 		/// <param name="leverage">It multiplies initial cash in order to compute
+ 		/// 											 value to invest in the given weighted positions</param>
+ 		static public void OpenPositions(WeightedPositions weightedPositions,
+ 																		 Account account, double initialCashIfTheAccountIsEmpty,
+ 																		 double leverage)
+ 		{
  			if(account.Transactions.Count == 0)
  				account.AddCash(initialCashIfTheAccountIsEmpty);
***************
*** 98,102 ****
  				throw new Exception("Both parameters have to be set to valid objects!");
  			orders.Clear();
! 			double valueToInvestInPositions = account.CashAmount;
  			foreach(WeightedPosition weightedPosition in weightedPositions.Values)
  				addWeightedPositionToOrderList( weightedPosition, account, valueToInvestInPositions );
--- 114,118 ----
  				throw new Exception("Both parameters have to be set to valid objects!");
  			orders.Clear();
! 			double valueToInvestInPositions = account.CashAmount * leverage;
  			foreach(WeightedPosition weightedPosition in weightedPositions.Values)
  				addWeightedPositionToOrderList( weightedPosition, account, valueToInvestInPositions );

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows AverageReturnOnDayWithOpenPositions.cs, 1.2, 1.3

From: Marco M. <mi...@us...> - 2009-08-30 15:41:53

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv21738/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows

Modified Files:
	AverageReturnOnDayWithOpenPositions.cs 
Log Message:
Fixed minor bug

Index: AverageReturnOnDayWithOpenPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows/AverageReturnOnDayWithOpenPositions.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** AverageReturnOnDayWithOpenPositions.cs	29 Sep 2008 21:13:46 -0000	1.2
--- AverageReturnOnDayWithOpenPositions.cs	30 Aug 2009 15:41:40 -0000	1.3
***************
*** 113,118 ****
  				}
  			}
! 			this.rowValue = this.getRowValue(	totalNumberOfDaysWithOpenPositions ,
  			                                  sumOfReturnsOnDaysWithOpenPositions);
  		}
  	}
--- 113,121 ----
  				}
  			}
! 			this.rowValue= "-";
! 			try{
! 				this.rowValue = this.getRowValue(	totalNumberOfDaysWithOpenPositions ,
  			                                  sumOfReturnsOnDaysWithOpenPositions);
+ 			}catch{};
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce PairsTradingBruteForceOptimizableParametersManager.cs, 1.5, 1.6

From: Glauco S. <gla...@us...> - 2009-08-22 15:57:26

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv30022/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce

Modified Files:
	PairsTradingBruteForceOptimizableParametersManager.cs 
Log Message:
Buggy comments have been patched

Index: PairsTradingBruteForceOptimizableParametersManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce/PairsTradingBruteForceOptimizableParametersManager.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PairsTradingBruteForceOptimizableParametersManager.cs	29 Sep 2008 21:20:45 -0000	1.5
--- PairsTradingBruteForceOptimizableParametersManager.cs	22 Aug 2009 15:57:15 -0000	1.6
***************
*** 36,43 ****
  	/// BruteForceOptimizableParametersManager to be used by the pairs
  	/// trading strategy.
! 	/// Two TestingPositions are considered equivalent as TopBestPositions
! 	/// (and only one is kept among them) iif they have the same tickers
! 	/// (consider that if two WeightedPosition are highly correlated, the
! 	/// two opposite WeightedPosition are highly correlated too)
  	/// </summary>
  	[Serializable]
--- 36,47 ----
  	/// BruteForceOptimizableParametersManager to be used by the pairs
  	/// trading strategy.
! 	/// Two TestingPositions are considered equivalent as TopBestParameters
! 	/// (and only one is kept among them) iif they have the same tickers and
! 	/// the same fitness.
! 	/// This is a short way to say that, with respect to the
! 	/// pairs trading strategy, (a,b) is equivalent to
! 	/// (-a,-b), and that (a,-b) is equivalent to (-a,b)
! 	/// We use fitness similarity instead of checking for all possible long/short
! 	/// combinations
  	/// </summary>
  	[Serializable]
***************
*** 102,111 ****
  			return haveTheSameFitness;
  		}
! 		/// Two TestingPositions are considered equivalent as TopBestPositions
! 		/// (and only one is kept among them) iif they have the same tickers
! 		/// (consider that if two WeightedPosition are highly correlated, the
! 		/// two opposite WeightedPosition are highly correlated too) or
! 		/// if they have the same fitness (in this second case, probably
! 		/// two tickers represent the same security and thus are equivalent)
  		public override bool AreEquivalentAsTopBestParameters(
  			BruteForceOptimizableParameters bruteForceOptimizableParameters1 ,
--- 106,117 ----
  			return haveTheSameFitness;
  		}
! 		/// Two TestingPositions are considered equivalent as TopBestParameters
! 		/// (and only one is kept among them) iif they have the same tickers and
! 		/// the same fitness.
! 		/// This is a short way to say that, with respect to the
! 		/// pairs trading strategy, (a,b) is equivalent to
! 		/// (-a,-b), and that (a,-b) is equivalent to (-a,b)
! 		/// We use fitness similarity instead of checking for all possible long/short
! 		/// combinations
  		public override bool AreEquivalentAsTopBestParameters(
  			BruteForceOptimizableParameters bruteForceOptimizableParameters1 ,

[Quantproject-developers] QuantProject/b2_DataAccess/Tables Quotes.cs, 1.36, 1.37

From: Marco M. <mi...@us...> - 2009-08-04 21:57:49

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv7626/b2_DataAccess/Tables

Modified Files:
	Quotes.cs 
Log Message:
Some bugs have been fixed

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables/Quotes.cs,v
retrieving revision 1.36
retrieving revision 1.37
diff -C2 -d -r1.36 -r1.37
*** Quotes.cs	1 Jan 2009 13:42:36 -0000	1.36
--- Quotes.cs	4 Aug 2009 21:57:32 -0000	1.37
***************
*** 504,508 ****
  		{
  			string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
! 				"StDev(quotes.quAdjustedCloseToCloseRatio) AS AdjCloseToCloseStandDev " +
  				"FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " +
  				"ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " +
--- 504,509 ----
  		{
  			string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
! 				SQLBuilder.GetStandardDeviationFunctionName() +
! 				"(quotes.quAdjustedCloseToCloseRatio) AS AdjCloseToCloseStandDev " +
  				"FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " +
  				"ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " +
***************
*** 513,517 ****
  				SQLBuilder.GetDateConstant(lastQuoteDate) +
  				"GROUP BY tickers.tiTicker, tickers.tiCompanyName " +
! 				"ORDER BY StDev(quotes.quAdjustedCloseToCloseRatio)";
  			string sortDirection = " DESC";
  			if(orderInASCMode)
--- 514,520 ----
  				SQLBuilder.GetDateConstant(lastQuoteDate) +
  				"GROUP BY tickers.tiTicker, tickers.tiCompanyName " +
! 				"ORDER BY " +
! 				SQLBuilder.GetStandardDeviationFunctionName() + 
! 				"(quotes.quAdjustedCloseToCloseRatio)";
  			string sortDirection = " DESC";
  			if(orderInASCMode)
***************
*** 530,534 ****
  		{
  			string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
! 				"StDev(quotes.quClose/quotes.quOpen - 1) AS OpenToCloseStandDev " +
  				"FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " +
  				"ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " +
--- 533,538 ----
  		{
  			string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
! 				SQLBuilder.GetStandardDeviationFunctionName() +
! 				"(quotes.quClose/quotes.quOpen - 1) AS OpenToCloseStandDev " +
  				"FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " +
  				"ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " +
***************
*** 539,543 ****
  				SQLBuilder.GetDateConstant(lastQuoteDate) +
  				"GROUP BY tickers.tiTicker, tickers.tiCompanyName " +
! 				"ORDER BY StDev(quotes.quClose/quotes.quOpen - 1)";
  			string sortDirection = " DESC";
  			if(orderInASCMode)
--- 543,549 ----
  				SQLBuilder.GetDateConstant(lastQuoteDate) +
  				"GROUP BY tickers.tiTicker, tickers.tiCompanyName " +
! 				"ORDER BY " +
! 				SQLBuilder.GetStandardDeviationFunctionName() +
! 				"(quotes.quClose/quotes.quOpen - 1)";
  			string sortDirection = " DESC";
  			if(orderInASCMode)
***************
*** 640,644 ****
  		{
  			string sql = "SELECT TOP " + maxNumOfReturnedTickers + " quotes.quTicker, tickers.tiCompanyName, " +
! 				"Avg(quotes.quOpen) AS AverageRawOpenPrice, StDev(quotes.quOpen) AS StdDevRawOpenPrice " +
  				"FROM (quotes INNER JOIN tickers ON quotes.quTicker=tickers.tiTicker) " +
  				"INNER JOIN tickers_tickerGroups ON tickers.tiTicker=tickers_tickerGroups.ttTiId " +
--- 646,652 ----
  		{
  			string sql = "SELECT TOP " + maxNumOfReturnedTickers + " quotes.quTicker, tickers.tiCompanyName, " +
! 				"Avg(quotes.quOpen) AS AverageRawOpenPrice, " +
! 				SQLBuilder.GetStandardDeviationFunctionName() +
! 				"(quotes.quOpen) AS StdDevRawOpenPrice " +
  				"FROM (quotes INNER JOIN tickers ON quotes.quTicker=tickers.tiTicker) " +
  				"INNER JOIN tickers_tickerGroups ON tickers.tiTicker=tickers_tickerGroups.ttTiId " +
***************
*** 648,652 ****
  				"GROUP BY quotes.quTicker, tickers.tiCompanyName " +
  				"HAVING Avg(quotes.quOpen) BETWEEN " + minPrice + " AND " + maxPrice + " " +
! 				"AND StDev(quotes.quOpen) BETWEEN " + minStdDeviation + " AND " + maxStdDeviation + " " +
  				"ORDER BY Avg(quotes.quOpen)";
  			string sortDirection = " DESC";
--- 656,662 ----
  				"GROUP BY quotes.quTicker, tickers.tiCompanyName " +
  				"HAVING Avg(quotes.quOpen) BETWEEN " + minPrice + " AND " + maxPrice + " " +
! 				"AND " +
! 				SQLBuilder.GetStandardDeviationFunctionName() +
! 				"(quotes.quOpen) BETWEEN " + minStdDeviation + " AND " + maxStdDeviation + " " +
  				"ORDER BY Avg(quotes.quOpen)";
  			string sortDirection = " DESC";
***************
*** 788,792 ****
  			DataTable dt;
  			string sql = "SELECT quotes.quTicker, " +
! 				"StDev(quotes.quAdjustedCloseToCloseRatio) AS AdjCloseToCloseStandDev " +
  				"FROM quotes WHERE quTicker ='" +
  				ticker + "' " +
--- 798,803 ----
  			DataTable dt;
  			string sql = "SELECT quotes.quTicker, " +
! 				SQLBuilder.GetStandardDeviationFunctionName() +
! 				"(quotes.quAdjustedCloseToCloseRatio) AS AdjCloseToCloseStandDev " +
  				"FROM quotes WHERE quTicker ='" +
  				ticker + "' " +
***************
*** 843,847 ****
  			DataTable dt;
  			string sql = "SELECT quotes.quTicker, " +
! 				"StDev(quotes.quClose/quotes.quOpen) AS CloseToOpenStandDev " +
  				"FROM quotes WHERE quTicker ='" +
  				ticker + "' " +
--- 854,859 ----
  			DataTable dt;
  			string sql = "SELECT quotes.quTicker, " +
! 				SQLBuilder.GetStandardDeviationFunctionName() +
! 				"(quotes.quClose/quotes.quOpen) AS CloseToOpenStandDev " +
  				"FROM quotes WHERE quTicker ='" +
  				ticker + "' " +

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.31, 1.32

From: Glauco S. <gla...@us...> - 2009-06-28 17:07:46

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv24013/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
some script's parameters have been changed

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** PairsTradingMain.cs	15 May 2009 21:41:37 -0000	1.31
--- PairsTradingMain.cs	28 Jun 2009 17:07:37 -0000	1.32
***************
*** 268,272 ****
  			IInefficiencyCorrectionDetector inefficiencyCorrectionDetector =
  				new ConsecutiveMinutesOfCorrectionDetector(
! 					this.historicalMarketValueProviderForChosingPositionsOutOfSample , 4 );
  			outOfSampleChooser =
  				new OutOfSampleChooserForAlreadyClosing(
--- 268,273 ----
  			IInefficiencyCorrectionDetector inefficiencyCorrectionDetector =
  				new ConsecutiveMinutesOfCorrectionDetector(
! 					this.historicalMarketValueProviderForChosingPositionsOutOfSample , 2 );
! //					this.historicalMarketValueProviderForChosingPositionsOutOfSample , 4 );
  			outOfSampleChooser =
  				new OutOfSampleChooserForAlreadyClosing(
***************
*** 328,332 ****
  			firstDateTime = new DateTime( 2006 , 1 , 2 );
  //			lastDateTime = new DateTime( 2007 , 12 , 31 );
! 			lastDateTime = new DateTime( 2006 , 12 , 31 );
  
  			double maxRunningHours = 11;
--- 329,333 ----
  			firstDateTime = new DateTime( 2006 , 1 , 2 );
  //			lastDateTime = new DateTime( 2007 , 12 , 31 );
! 			lastDateTime = new DateTime( 2006 , 1 , 10 );
  
  			double maxRunningHours = 11;

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalMarketValueProviderWithQuoteBackupOnClose.cs, 1.1, 1.2

From: Marco M. <mi...@us...> - 2009-05-15 21:41:44

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18829/b4_Business/a07_DataProviders

Modified Files:
	HistoricalMarketValueProviderWithQuoteBackupOnClose.cs 
Log Message:
The constructor has been modified: now the HistoricalMarketValueProvider used
as the back up has to be passed as a parameter

Index: HistoricalMarketValueProviderWithQuoteBackupOnClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalMarketValueProviderWithQuoteBackupOnClose.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** HistoricalMarketValueProviderWithQuoteBackupOnClose.cs	28 Feb 2009 18:14:57 -0000	1.1
--- HistoricalMarketValueProviderWithQuoteBackupOnClose.cs	15 May 2009 21:41:37 -0000	1.2
***************
*** 38,52 ****
  	{
  		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		
! 		private HistoricalRawQuoteProvider historicalRawQuoteProvider;
  		
  		public HistoricalMarketValueProviderWithQuoteBackupOnClose(
! 			HistoricalMarketValueProvider historicalMarketValueProvider )
  		{
  			this.historicalMarketValueProvider = historicalMarketValueProvider;
! 			
! 			this.historicalRawQuoteProvider = new HistoricalRawQuoteProvider();
  		}
- 		
  		protected override string getDescription()
  		{
--- 38,51 ----
  	{
  		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 
! 		private HistoricalQuoteProvider historicalQuoteProvider;
  		
  		public HistoricalMarketValueProviderWithQuoteBackupOnClose(
! 			HistoricalMarketValueProvider historicalMarketValueProvider,
! 		  HistoricalQuoteProvider historicalQuoteProviderBackUp)
  		{
  			this.historicalMarketValueProvider = historicalMarketValueProvider;
! 			this.historicalQuoteProvider = historicalQuoteProviderBackUp;
  		}
  		protected override string getDescription()
  		{
***************
*** 57,66 ****
  
  		#region GetMarketValue
! 		private double getRawCloseIfTheCase( string ticker , DateTime dateTime )
  		{
  			double marketValue = double.NaN;
  			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
  				// dateTime is at market close
! 				marketValue = this.historicalRawQuoteProvider.GetMarketValue(
  					ticker , dateTime );
  			else
--- 56,65 ----
  
  		#region GetMarketValue
! 		private double getCloseIfTheCase( string ticker , DateTime dateTime )
  		{
  			double marketValue = double.NaN;
  			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
  				// dateTime is at market close
! 				marketValue = this.historicalQuoteProvider.GetMarketValue(
  					ticker , dateTime );
  			else
***************
*** 78,82 ****
  				// this.historicalMarketValueProvider doesn't have a market value for
  				// the given ticker, at the given dateTime
! 				marketValue = this.getRawCloseIfTheCase( ticker , dateTime );
  			return marketValue;
  		}
--- 77,81 ----
  				// this.historicalMarketValueProvider doesn't have a market value for
  				// the given ticker, at the given dateTime
! 				marketValue = this.getCloseIfTheCase( ticker , dateTime );
  			return marketValue;
  		}
***************
*** 86,94 ****
  		#region WasExchanged
  		
! 		private bool isRawCloseAnAvailableBackup( string ticker , DateTime dateTime )
  		{
  			bool isBackupAvailable = HistoricalEndOfDayTimer.IsMarketClose( dateTime );
  			isBackupAvailable = isBackupAvailable &&
! 				this.historicalRawQuoteProvider.WasExchanged( ticker , dateTime );
  			return isBackupAvailable;
  		}
--- 85,93 ----
  		#region WasExchanged
  		
! 		private bool isCloseAnAvailableBackup( string ticker , DateTime dateTime )
  		{
  			bool isBackupAvailable = HistoricalEndOfDayTimer.IsMarketClose( dateTime );
  			isBackupAvailable = isBackupAvailable &&
! 				this.historicalQuoteProvider.WasExchanged( ticker , dateTime );
  			return isBackupAvailable;
  		}
***************
*** 98,102 ****
  				ticker , dateTime );
  			wasExchanged = wasExchanged ||
! 				this.isRawCloseAnAvailableBackup( ticker , dateTime );
  			return wasExchanged;
  		}
--- 97,101 ----
  				ticker , dateTime );
  			wasExchanged = wasExchanged ||
! 				this.isCloseAnAvailableBackup( ticker , dateTime );
  			return wasExchanged;
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.30, 1.31

From: Marco M. <mi...@us...> - 2009-05-15 21:41:44

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18829/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
The constructor has been modified: now the HistoricalMarketValueProvider used
as the back up has to be passed as a parameter

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.30
retrieving revision 1.31
diff -C2 -d -r1.30 -r1.31
*** PairsTradingMain.cs	1 Mar 2009 21:05:43 -0000	1.30
--- PairsTradingMain.cs	15 May 2009 21:41:37 -0000	1.31
***************
*** 152,156 ****
  				historicalMarketValueProviderForTheBacktesterAccount =
  				new HistoricalMarketValueProviderWithQuoteBackupOnClose(
! 					this.historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return historicalMarketValueProviderForTheBacktesterAccount;
  		}
--- 152,157 ----
  				historicalMarketValueProviderForTheBacktesterAccount =
  				new HistoricalMarketValueProviderWithQuoteBackupOnClose(
! 					this.historicalMarketValueProviderForChosingPositionsOutOfSample,
! 					new HistoricalRawQuoteProvider() );
  			return historicalMarketValueProviderForTheBacktesterAccount;
  		}

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalAdjustedBarProvider.cs, 1.1, 1.2

From: Glauco S. <gla...@us...> - 2009-04-21 21:29:42

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18616/b4_Business/a07_DataProviders

Modified Files:
	HistoricalAdjustedBarProvider.cs 
Log Message:
The Serializable attribute has been added

Index: HistoricalAdjustedBarProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalAdjustedBarProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** HistoricalAdjustedBarProvider.cs	4 Apr 2009 15:48:05 -0000	1.1
--- HistoricalAdjustedBarProvider.cs	21 Apr 2009 21:29:24 -0000	1.2
***************
*** 31,34 ****
--- 31,35 ----
  	/// Returns adjusted historical intraday market values
  	/// </summary>
+ 	[Serializable]
  	public class HistoricalAdjustedBarProvider : HistoricalMarketValueProvider
  	{

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.38, 1.39

From: Glauco S. <gla...@us...> - 2009-04-04 15:48:46

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv13522/b4_Business

Modified Files:
	Business_SD.csproj 
Log Message:
a07_DataProviders\HistoricalAdjustedBarProvider.cs has been added

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.38
retrieving revision 1.39
diff -C2 -d -r1.38 -r1.39
*** Business_SD.csproj	21 Mar 2009 09:56:21 -0000	1.38
--- Business_SD.csproj	4 Apr 2009 15:48:28 -0000	1.39
***************
*** 48,51 ****
--- 48,52 ----
      <Compile Include="a05_Timing\IndexBasedHistoricalTimer.cs" />
      <Compile Include="a05_Timing\Timer.cs" />
+     <Compile Include="a07_DataProviders\HistoricalAdjustedBarProvider.cs" />
      <Compile Include="a07_DataProviders\HistoricalBarInterpolatingProvider.cs" />
      <Compile Include="a07_DataProviders\HistoricalMarketValueProviderWithQuoteBackupOnClose.cs" />

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalAdjustedBarProvider.cs, NONE, 1.1

From: Glauco S. <gla...@us...> - 2009-04-04 15:48:23

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv13461/b4_Business/a07_DataProviders

Added Files:
	HistoricalAdjustedBarProvider.cs 
Log Message:
Returns adjusted historical intraday market values

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

HistoricalAdjustedBarProvider.cs
Copyright (C) 2009
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.Business.Timing;
using QuantProject.Data.DataProviders.Bars;

namespace QuantProject.Business.DataProviders
{
	/// <summary>
	/// Returns adjusted historical intraday market values
	/// </summary>
	public class HistoricalAdjustedBarProvider : HistoricalMarketValueProvider
	{
		private HistoricalBarProvider historicalBarProvider;
		private HistoricalRawQuoteProvider historicalRawQuoteProvider;
		private HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
		
		public HistoricalAdjustedBarProvider(
			HistoricalBarProvider historicalBarProvider ,
			HistoricalRawQuoteProvider historicalRawQuoteProvider ,
			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider )
		{
			this.historicalBarProvider = historicalBarProvider;
			this.historicalRawQuoteProvider = historicalRawQuoteProvider;
			this.historicalAdjustedQuoteProvider = historicalAdjustedQuoteProvider;
		}
		
		protected override string getDescription()
		{
			return "adjustedBarProvider";
		}
		
		#region GetMarketValue
		
		private double getAdjustmenFactor( string ticker ,	DateTime dateTime )
		{
			DateTime marketCloseDateTime = HistoricalEndOfDayTimer.GetMarketClose( dateTime );
			double rawClose = this.historicalRawQuoteProvider.GetMarketValue(
				ticker , marketCloseDateTime );
			double adjustedClose = this.historicalAdjustedQuoteProvider.GetMarketValue(
				ticker , marketCloseDateTime );
			double adjustmentFactor = adjustedClose / rawClose;
			return adjustmentFactor;
		}
		public override double GetMarketValue(	string ticker ,	DateTime dateTime )
		{
			double adjustmentFactor = this.getAdjustmenFactor( ticker , dateTime );
			double marketValue = double.NaN;
			try
			{
				marketValue = this.historicalBarProvider.GetMarketValue(
					ticker , dateTime ) * adjustmentFactor;
			}
			catch( MissingBarException missingBarException )
			{
				string forBreakPoint = missingBarException.Message; forBreakPoint += " ";
				throw new TickerNotExchangedException( ticker , dateTime );
			}
			return marketValue;
		}
		#endregion GetMarketValue
		
		public override bool WasExchanged( string ticker, DateTime dateTime )
		{
			bool wasExchanged =
				this.historicalBarProvider.WasExchanged( ticker , dateTime );
			return wasExchanged;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging PairsTradingSerializedReportViewer.cs, 1.1, 1.2

From: Marco M. <mi...@us...> - 2009-03-30 21:37:26

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv7642/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

Modified Files:
	PairsTradingSerializedReportViewer.cs 
Log Message:
Added a new constructor to PairsTradingSerializedReportViewer.

Index: PairsTradingSerializedReportViewer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/PairsTradingSerializedReportViewer.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PairsTradingSerializedReportViewer.cs	7 Mar 2009 04:20:04 -0000	1.1
--- PairsTradingSerializedReportViewer.cs	30 Mar 2009 21:37:18 -0000	1.2
***************
*** 43,49 ****
--- 43,56 ----
  		private string fullPathFileNameForSerializedAccountReport;
  		private AccountReport accountReport;
+ 		private QuantProject.Business.DataProviders.HistoricalMarketValueProvider historicalMarketValueProvider;
  		
  		public PairsTradingSerializedReportViewer()
  		{
+ 			this.historicalMarketValueProvider =
+ 				new HistoricalBarProvider( new SimpleBarCache( 60 ) );
+ 		}
+ 		public PairsTradingSerializedReportViewer(HistoricalMarketValueProvider historicalMarketValueProvider)
+ 		{
+ 			this.historicalMarketValueProvider = historicalMarketValueProvider;
  		}
  		
***************
*** 211,215 ****
  			WeightedPosition secondWeightedPosition = new WeightedPosition( 0.5 , secondTicker );
  			PairsViewer pairsViewer = new PairsViewer(
! 				new HistoricalBarProvider( new SimpleBarCache( 60 ) ) ,
  				firstWeightedPosition , secondWeightedPosition , clickedDateTime );
  			pairsViewer.Show();
--- 218,222 ----
  			WeightedPosition secondWeightedPosition = new WeightedPosition( 0.5 , secondTicker );
  			PairsViewer pairsViewer = new PairsViewer(
! 				this.historicalMarketValueProvider ,
  				firstWeightedPosition , secondWeightedPosition , clickedDateTime );
  			pairsViewer.Show();

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables RoundTrades.cs, 1.3, 1.4

From: Marco M. <mi...@us...> - 2009-03-30 21:35:29

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv7457/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Modified Files:
	RoundTrades.cs 
Log Message:
Fixed some minor bugs (now round trades statistics are properly computed).

Index: RoundTrades.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/RoundTrades.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RoundTrades.cs	29 Mar 2009 18:15:50 -0000	1.3
--- RoundTrades.cs	30 Mar 2009 21:35:23 -0000	1.4
***************
*** 1,4 ****
--- 1,6 ----
  using System;
  using System.Data;
+ 
+ using QuantProject.ADT;
  using QuantProject.Business.Financial.Accounting.Reporting;
  
***************
*** 82,86 ****
        DataRow roundTrade = roundTradeDataTable.NewRow();
        roundTrade[ fieldNameForTicker ] = currentTicker;
!       roundTrade[ "Trade" ] = currentTradeType;
        roundTrade[ "Quantity" ] = instrumentQuantity;
        roundTrade[ "EntryDate" ] = startDateTimeOfTrade;
--- 84,91 ----
        DataRow roundTrade = roundTradeDataTable.NewRow();
        roundTrade[ fieldNameForTicker ] = currentTicker;
!       if ( currentTradeType == "BuyLong" )
!       	roundTrade[ "Trade" ] = "Long";
!       else
!       	roundTrade[ "Trade" ] = "Short";
        roundTrade[ "Quantity" ] = instrumentQuantity;
        roundTrade[ "EntryDate" ] = startDateTimeOfTrade;
***************
*** 117,121 ****
        getRoundTradeTable_setColumns( roundTradeDataTable );
        getRoundTradeTable_setRows( roundTradeDataTable );
!       return roundTradeDataTable;
      }
      #endregion
--- 122,128 ----
        getRoundTradeTable_setColumns( roundTradeDataTable );
        getRoundTradeTable_setRows( roundTradeDataTable );
!       DataTable roundTradeDataTable_ordered =	
!       	ExtendedDataTable.CopyAndSort(roundTradeDataTable, "EntryDate", true);
!       return roundTradeDataTable_ordered;
      }
      #endregion

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByLiquidity.cs, 1.3, 1.4

From: Marco M. <mi...@us...> - 2009-03-29 18:35:48

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv4337/b3_Data/Selectors

Modified Files:
	SelectorByLiquidity.cs 
Log Message:
Added the new parameter numOfTopRowsToDelete to the SelectorByLiquidity:
now it is possible to select not only the most or the less liquid tickers,
but also tickers with a medium liquidity (by setting the number of top rows,
that is the less or most liquid tickers, that have to be deleted from the
resulting table, leaving only the desired n tickers)

Index: SelectorByLiquidity.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByLiquidity.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** SelectorByLiquidity.cs	17 Sep 2006 21:36:09 -0000	1.3
--- SelectorByLiquidity.cs	29 Mar 2009 18:35:36 -0000	1.4
***************
*** 35,99 ****
     public class SelectorByLiquidity : TickerSelector, ITickerSelector 
    {
! 		 private long minVolume = long.MinValue;
!         
      
      public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
                                 bool orderInASCmode,
                                 DateTime firstQuoteDate,
                                 DateTime lastQuoteDate,
                                 long maxNumOfReturnedTickers):
!                                     base(setOfTickersToBeSelected, 
!                                          orderInASCmode,
! 			firstQuoteDate,
! 			lastQuoteDate,
! 			maxNumOfReturnedTickers)
  		{
!      
  		}
!      public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
!        bool orderInASCmode,
!        DateTime firstQuoteDate,
!        DateTime lastQuoteDate,
!        long minVolume,
!        long maxNumOfReturnedTickers):
!                                     base(setOfTickersToBeSelected, 
!                                     orderInASCmode,
!                                     firstQuoteDate,
!                                     lastQuoteDate,
!                                     maxNumOfReturnedTickers)
!      {
!         this.minVolume = minVolume;
!      }
! 
!      public SelectorByLiquidity(string groupID, 
! 			 bool orderInASCmode,
! 			 DateTime firstQuoteDate,
! 			 DateTime lastQuoteDate,
! 			 long maxNumOfReturnedTickers):
! 			 base(groupID, 
! 			 orderInASCmode,
! 			 firstQuoteDate,
! 			 lastQuoteDate,
! 			 maxNumOfReturnedTickers)
! 		 {
!      
! 		 }
! 
! 		 public SelectorByLiquidity(string groupID, 
! 			 bool orderInASCmode,
! 			 DateTime firstQuoteDate,
! 			 DateTime lastQuoteDate,
! 			 long minVolume ,
! 			 long maxNumOfReturnedTickers ):
! 			 base(groupID, 
! 			 orderInASCmode,
! 			 firstQuoteDate,
! 			 lastQuoteDate,
! 			 maxNumOfReturnedTickers)
! 		 {
! 			 this.minVolume = minVolume;
! 		 }
! 
! 
      public DataTable GetTableOfSelectedTickers()
      {
--- 35,202 ----
     public class SelectorByLiquidity : TickerSelector, ITickerSelector 
    {
! 		private long minVolume;
! 		private long numberOfTopRowsToDelete;
      
+ 		#region SelectorByLiquidity Constructors
+ 		
+ 		private void selectorByLiquidity_checkParameters(DataTable setOfTickersToBeSelected,
+ 		                                                 long maxNumOfReturnedTickers,
+                                											 long numberOfTopRowsToDelete)
+ 		{
+ 			if( (int)maxNumOfReturnedTickers+(int)numberOfTopRowsToDelete > 
+ 			   setOfTickersToBeSelected.Rows.Count )
+ 				throw new Exception("parameters maxNumOfReturnedTickers=" + maxNumOfReturnedTickers.ToString() +
+ 				                    " and numberOfTopRowsToDelete=" + numberOfTopRowsToDelete.ToString() +
+ 				                    " are too high " +
+ 				                    "for the given setOfTickersToBeSelected (num of rows: " +
+ 				                    setOfTickersToBeSelected.Rows.Count.ToString() + ")");
+ 		}
+ 		
+ 		/// <summary>
+ 		/// ITickerSelector class for selecting tickers 
+ 		/// by liquidity
+ 		/// </summary>
+ 		/// <param name="setOfTickersToBeSelected">DataTable containing
+ 		/// tickers that have to be selected</param>
+ 		/// <param name="orderInASCmode">If true, returned tickers
+ 		/// are ordered in Ascending mode - from less to most. If false
+ 		/// , returned tickers are ordered in descending mode - from most to less</param>
+ 		/// <param name="firstQuoteDate"></param>
+ 		/// <param name="lastQuoteDate"></param>
+ 		/// <param name="maxNumOfReturnedTickers">Max number of selected
+ 		/// tickers to be returned</param>
+ 		/// <param name="numberOfTopRowsToDelete">Number of top rows that have to be
+ 		/// deleted from the returned table. In other words,
+ 		/// max number of selected tickers are chosen after skipping the
+ 		/// first "numberOfTopRowsToDelete" rows from the tickers' table
+ 		/// resulting from selection by liquidity on the given initial
+ 		/// set of tickers 
+ 		/// </param>
+ 		/// <returns></returns>
      public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
                                 bool orderInASCmode,
                                 DateTime firstQuoteDate,
                                 DateTime lastQuoteDate,
+                                long maxNumOfReturnedTickers,
+                                long numberOfTopRowsToDelete):
+                           base(setOfTickersToBeSelected, 
+                                orderInASCmode,
+ 															 firstQuoteDate,
+ 															 lastQuoteDate,
+ 															 maxNumOfReturnedTickers)
+ 		{
+     	this.selectorByLiquidity_checkParameters(setOfTickersToBeSelected,
+ 		 	                                         maxNumOfReturnedTickers,
+ 		 	                                         numberOfTopRowsToDelete);
+ 			this.minVolume = long.MinValue;
+ 		 	this.numberOfTopRowsToDelete = numberOfTopRowsToDelete;
+ 		}
+     /// <summary>
+ 		/// ITickerSelector class for selecting tickers 
+ 		/// by liquidity
+ 		/// </summary>
+ 		/// <param name="setOfTickersToBeSelected">DataTable containing
+ 		/// tickers that have to be selected</param>
+ 		/// <param name="orderInASCmode">If true, returned tickers
+ 		/// are ordered in Ascending mode - from less to most. If false
+ 		/// , returned tickers are ordered in descending mode - from most to less</param>
+ 		/// <param name="firstQuoteDate"></param>
+ 		/// <param name="lastQuoteDate"></param>
+ 		/// <param name="minVolume">Filter by volume: only tickers having
+ 		/// average volume >= minVolume in the given period are selected</param>
+ 		/// <param name="maxNumOfReturnedTickers">Max number of selected
+ 		/// tickers to be returned</param>
+ 		/// <param name="numberOfTopRowsToDelete">Number of top rows that have to be
+ 		/// deleted from the returned table. In other words,
+ 		/// max number of selected tickers are chosen after skipping the
+ 		/// first "numberOfTopRowsToDelete" rows from the tickers' table
+ 		/// resulting from selection by liquidity on the given initial
+ 		/// set of tickers 
+ 		/// </param>
+ 		/// <returns></returns>
+ 		public SelectorByLiquidity(DataTable setOfTickersToBeSelected,
+ 													     bool orderInASCmode,
+ 													     DateTime firstQuoteDate,
+ 													     DateTime lastQuoteDate,
+ 													     long minVolume,
+ 													     long maxNumOfReturnedTickers,
+ 													     long numberOfTopRowsToDelete):
+                           base(setOfTickersToBeSelected, 
+ 		                           orderInASCmode,
+ 		                           firstQuoteDate,
+ 		                           lastQuoteDate,
+ 		                           maxNumOfReturnedTickers)
+     {
+     	this.selectorByLiquidity_checkParameters(setOfTickersToBeSelected,
+ 		 	                                         maxNumOfReturnedTickers,
+ 		 	                                         numberOfTopRowsToDelete);
+ 			this.minVolume = minVolume;
+       this.numberOfTopRowsToDelete = numberOfTopRowsToDelete;
+     }
+ 		public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
+                                bool orderInASCmode,
+                                DateTime firstQuoteDate,
+                                DateTime lastQuoteDate,
                                 long maxNumOfReturnedTickers):
!                           base(setOfTickersToBeSelected, 
!                                orderInASCmode,
! 															 firstQuoteDate,
! 															 lastQuoteDate,
! 															 maxNumOfReturnedTickers)
  		{
!     	this.selectorByLiquidity_checkParameters(setOfTickersToBeSelected,
! 		 	                                         maxNumOfReturnedTickers,
! 		 	                                         0);
! 			this.minVolume = long.MinValue;
! 		 	this.numberOfTopRowsToDelete = 0;
  		}
!     public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
! 												       bool orderInASCmode,
! 												       long minVolume,
! 												       DateTime firstQuoteDate,
! 												       DateTime lastQuoteDate,
! 												       long maxNumOfReturnedTickers):
!                           base(setOfTickersToBeSelected, 
!                           		 orderInASCmode,
!                           		 firstQuoteDate,
!                           		 lastQuoteDate,
!                           		 maxNumOfReturnedTickers)
!     {
!     	this.selectorByLiquidity_checkParameters(setOfTickersToBeSelected,
! 		 	                                         maxNumOfReturnedTickers,
! 		 	                                         0);
! 			this.minVolume = minVolume;
!       this.numberOfTopRowsToDelete = 0;
!     }
!     public SelectorByLiquidity(string groupID, 
! 															 bool orderInASCmode,
! 															 DateTime firstQuoteDate,
! 															 DateTime lastQuoteDate,
! 															 long maxNumOfReturnedTickers):
! 													base(groupID, 
! 												 			 orderInASCmode,
! 												 			 firstQuoteDate,
! 												  		 lastQuoteDate,
! 												 			 maxNumOfReturnedTickers)
! 		{
!     	this.minVolume = long.MinValue;
! 		}
! 		public SelectorByLiquidity(string groupID, 
! 															 bool orderInASCmode,
! 															 DateTime firstQuoteDate,
! 															 DateTime lastQuoteDate,
! 															 long minVolume ,
! 															 long maxNumOfReturnedTickers ):
! 												  base(groupID, 
! 												 			 orderInASCmode,
! 												 			 firstQuoteDate,
! 												 			 lastQuoteDate,
! 												 			 maxNumOfReturnedTickers)
! 		{
! 			this.minVolume = minVolume;
! 		}
! 		
! 		#endregion SelectorByLiquidityConstructors
! 		
      public DataTable GetTableOfSelectedTickers()
      {
***************
*** 130,134 ****
              this.lastQuoteDate,
              this.minVolume,
!             this.maxNumOfReturnedTickers);
          else
            returnTickers =
--- 233,238 ----
              this.lastQuoteDate,
              this.minVolume,
!             this.maxNumOfReturnedTickers,
!             this.numberOfTopRowsToDelete);
          else
            returnTickers =
***************
*** 137,149 ****
              this.firstQuoteDate,
              this.lastQuoteDate,
!             this.maxNumOfReturnedTickers);
        }
        return returnTickers;
  		}
! 		 public void SelectAllTickers()
! 		 {
! 			 ;
! 		 }	
! 
! 	 }
  }
--- 241,253 ----
              this.firstQuoteDate,
              this.lastQuoteDate,
!             this.maxNumOfReturnedTickers,
!             this.numberOfTopRowsToDelete);
        }
        return returnTickers;
  		}
! 		public void SelectAllTickers()
! 		{
! 			;
! 		}	
! 	}
  }

[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs, 1.38, 1.39

From: Marco M. <mi...@us...> - 2009-03-29 18:35:43

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv4337/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Added the new parameter numOfTopRowsToDelete to the SelectorByLiquidity:
now it is possible to select not only the most or the less liquid tickers,
but also tickers with a medium liquidity (by setting the number of top rows,
that is the less or most liquid tickers, that have to be deleted from the
resulting table, leaving only the desired n tickers)

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.38
retrieving revision 1.39
diff -C2 -d -r1.38 -r1.39
*** Quotes.cs	30 Dec 2008 00:14:16 -0000	1.38
--- Quotes.cs	29 Mar 2009 18:35:36 -0000	1.39
***************
*** 117,121 ****
                                                    DateTime firstQuoteDate,
                                                    DateTime lastQuoteDate,
!                                                   long maxNumOfReturnedTickers)
      {
        if(!setOfTickers.Columns.Contains("AverageTradedValue"))
--- 117,122 ----
                                                    DateTime firstQuoteDate,
                                                    DateTime lastQuoteDate,
!                                                   long maxNumOfReturnedTickers,
!                                                   long numberOfTopRowsToDelete)
      {
        if(!setOfTickers.Columns.Contains("AverageTradedValue"))
***************
*** 129,133 ****
        }
        DataTable getMostLiquidTicker = ExtendedDataTable.CopyAndSort(setOfTickers,"AverageTradedValue", orderByASC);
!       ExtendedDataTable.DeleteRows(getMostLiquidTicker, maxNumOfReturnedTickers);
        return getMostLiquidTicker;
      }
--- 130,135 ----
        }
        DataTable getMostLiquidTicker = ExtendedDataTable.CopyAndSort(setOfTickers,"AverageTradedValue", orderByASC);
!       ExtendedDataTable.DeleteRows(getMostLiquidTicker, maxNumOfReturnedTickers + numberOfTopRowsToDelete);
!       ExtendedDataTable.DeleteRows(getMostLiquidTicker, 0, numberOfTopRowsToDelete - 1);
        return getMostLiquidTicker;
      }
***************
*** 142,146 ****
                                                    DateTime lastQuoteDate,
                                                    long minVolume,
!                                                   long maxNumOfReturnedTickers)
      {
        if(!setOfTickers.Columns.Contains("AverageTradedValue"))
--- 144,149 ----
                                                    DateTime lastQuoteDate,
                                                    long minVolume,
!                                                   long maxNumOfReturnedTickers,
!                                                   long numberOfTopRowsToDelete)
      {
        if(!setOfTickers.Columns.Contains("AverageTradedValue"))
***************
*** 165,169 ****
                                                                      "AverageTradedValue",
                                                                      orderByASC);
!       ExtendedDataTable.DeleteRows(getMostLiquidTicker, maxNumOfReturnedTickers);
        return getMostLiquidTicker;
      }
--- 168,173 ----
                                                                      "AverageTradedValue",
                                                                      orderByASC);
!       ExtendedDataTable.DeleteRows(getMostLiquidTicker, maxNumOfReturnedTickers + numberOfTopRowsToDelete);
!       ExtendedDataTable.DeleteRows(getMostLiquidTicker, 0, numberOfTopRowsToDelete - 1);
        return getMostLiquidTicker;
      }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByPriceMostLiquidAlwaysIntradayQuoted.cs, 1.1, 1.2

From: Marco M. <mi...@us...> - 2009-03-29 18:35:42

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv4337/b4_Business/a2_Strategies/Eligibles

Modified Files:
	ByPriceMostLiquidAlwaysIntradayQuoted.cs 
Log Message:
Added the new parameter numOfTopRowsToDelete to the SelectorByLiquidity:
now it is possible to select not only the most or the less liquid tickers,
but also tickers with a medium liquidity (by setting the number of top rows,
that is the less or most liquid tickers, that have to be deleted from the
resulting table, leaving only the desired n tickers)

Index: ByPriceMostLiquidAlwaysIntradayQuoted.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceMostLiquidAlwaysIntradayQuoted.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ByPriceMostLiquidAlwaysIntradayQuoted.cs	13 Mar 2009 15:17:53 -0000	1.1
--- ByPriceMostLiquidAlwaysIntradayQuoted.cs	29 Mar 2009 18:35:36 -0000	1.2
***************
*** 53,56 ****
--- 53,57 ----
  		private Benchmark benchmark;
  		private int maxNumberOfEligibleTickersToBeChosen;
+ 		private int numberOfTopRowsToDeleteFromLiquidSelector;
  		private int numOfDaysForAverageOpenRawPriceComputation;
  		private double minPrice;
***************
*** 75,78 ****
--- 76,80 ----
  			bool temporizedGroup,
  			int maxNumberOfEligibleTickersToBeChosen,
+ 			int numberOfTopRowsToDeleteFromLiquidSelector,
  		 	int numOfDaysForAverageOpenRawPriceComputation,
  		 	double minPrice, double maxPrice,
***************
*** 84,87 ****
--- 86,91 ----
  			this.maxNumberOfEligibleTickersToBeChosen =
  				maxNumberOfEligibleTickersToBeChosen;
+ 			this.numberOfTopRowsToDeleteFromLiquidSelector = 
+ 				numberOfTopRowsToDeleteFromLiquidSelector;
  			this.numOfDaysForAverageOpenRawPriceComputation =
  				numOfDaysForAverageOpenRawPriceComputation;
***************
*** 119,123 ****
  				new SelectorByLiquidity( dataTableByPrice ,
          false, history.FirstDateTime, currentDate,
!         this.maxNumberOfEligibleTickersToBeChosen);
        DataTable dataTableMostLiquid =
  				mostLiquidSelector.GetTableOfSelectedTickers();
--- 123,128 ----
  				new SelectorByLiquidity( dataTableByPrice ,
          false, history.FirstDateTime, currentDate,
!         this.maxNumberOfEligibleTickersToBeChosen,
!         this.numberOfTopRowsToDeleteFromLiquidSelector);
        DataTable dataTableMostLiquid =
  				mostLiquidSelector.GetTableOfSelectedTickers();

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVOStrategyIntradayMain.cs, 1.5, 1.6 PVOPositionsStatus.cs, 1.2, 1.3 PVOStrategyIntraday.cs, 1.4, 1.5

From: Marco M. <mi...@us...> - 2009-03-29 18:31:08

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3961/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	PVOStrategyIntradayMain.cs PVOPositionsStatus.cs 
	PVOStrategyIntraday.cs 
Log Message:
PVOStrategyIntraday files have been updated.

Index: PVOStrategyIntraday.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOStrategyIntraday.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PVOStrategyIntraday.cs	13 Mar 2009 15:12:01 -0000	1.4
--- PVOStrategyIntraday.cs	29 Mar 2009 18:31:00 -0000	1.5
***************
*** 71,75 ****
  		protected IEligiblesSelector eligiblesSelector;
  		protected Benchmark benchmark;
! 		protected HistoricalMarketValueProvider 
  			historicalMarketValueProviderForInSample;
  		protected HistoricalMarketValueProvider
--- 71,75 ----
  		protected IEligiblesSelector eligiblesSelector;
  		protected Benchmark benchmark;
! 		protected HistoricalMarketValueProvider
  			historicalMarketValueProviderForInSample;
  		protected HistoricalMarketValueProvider
***************
*** 102,105 ****
--- 102,106 ----
  		protected bool takeProfitConditionReached;
  		protected double inefficiencyLengthInMinutes;
+ 		protected int numberOfPreviousEfficientPeriods;
  		protected double maxOpeningLengthInMinutes;
  		protected double minutesFromLastInefficiencyTimeToWaitBeforeOpening;
***************
*** 113,117 ****
  		protected double stopLoss;
  		protected double takeProfit;
! 				
  		private string description_GetDescriptionForChooser()
  		{
--- 114,118 ----
  		protected double stopLoss;
  		protected double takeProfit;
! 		
  		private string description_GetDescriptionForChooser()
  		{
***************
*** 162,181 ****
  		
  		private void pvoStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                             int minimumNumberOfEligiblesForValidOptimization,
! 		                             int inSampleDays,
! 		                             Benchmark benchmark,
! 		                             int numDaysBetweenEachOptimization,
! 		                             double oversoldThreshold,
! 		                             double overboughtThreshold,
! 		                             double oversoldThresholdMAX,
! 		                             double overboughtThresholdMAX,
! 		                             HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                             HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                             double inefficiencyLengthInMinutes,
! 		                             double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                             double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 																 double maxOpeningLengthInMinutes,
! 																 List<Time> openingTimesForAvailableBars,
! 																 double stopLoss, double takeProfit)
  		{
  			this.eligiblesSelector = eligiblesSelector;
--- 163,183 ----
  		
  		private void pvoStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                                 int minimumNumberOfEligiblesForValidOptimization,
! 		                                 int inSampleDays,
! 		                                 Benchmark benchmark,
! 		                                 int numDaysBetweenEachOptimization,
! 		                                 double oversoldThreshold,
! 		                                 double overboughtThreshold,
! 		                                 double oversoldThresholdMAX,
! 		                                 double overboughtThresholdMAX,
! 		                                 HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                                 HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                                 double inefficiencyLengthInMinutes,
! 		                                 int numberOfPreviousEfficientPeriods,
! 		                                 double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                                 double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                                 double maxOpeningLengthInMinutes,
! 		                                 List<Time> openingTimesForAvailableBars,
! 		                                 double stopLoss, double takeProfit)
  		{
  			this.eligiblesSelector = eligiblesSelector;
***************
*** 192,198 ****
  			this.historicalMarketValueProviderForOutOfSample = historicalMarketValueProviderForOutOfSample;
  			this.inefficiencyLengthInMinutes = inefficiencyLengthInMinutes;
! 			this.minutesFromLastInefficiencyTimeToWaitBeforeOpening = 
  				minutesFromLastInefficiencyTimeToWaitBeforeOpening;
! 			this.minutesFromLastLossOrProfitToWaitBeforeClosing = 
  				minutesFromLastLossOrProfitToWaitBeforeClosing;
  			this.maxOpeningLengthInMinutes = maxOpeningLengthInMinutes;
--- 194,201 ----
  			this.historicalMarketValueProviderForOutOfSample = historicalMarketValueProviderForOutOfSample;
  			this.inefficiencyLengthInMinutes = inefficiencyLengthInMinutes;
! 			this.numberOfPreviousEfficientPeriods = numberOfPreviousEfficientPeriods;
! 			this.minutesFromLastInefficiencyTimeToWaitBeforeOpening =
  				minutesFromLastInefficiencyTimeToWaitBeforeOpening;
! 			this.minutesFromLastLossOrProfitToWaitBeforeClosing =
  				minutesFromLastLossOrProfitToWaitBeforeClosing;
  			this.maxOpeningLengthInMinutes = maxOpeningLengthInMinutes;
***************
*** 209,346 ****
  
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       IInSampleChooser inSampleChooser,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       double oversoldThresholdMAX,
! 		                       double overboughtThresholdMAX,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                       double inefficiencyLengthInMinutes,
! 		                       double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 													 double maxOpeningLengthInMinutes,
! 													 List<Time> openingTimesForAvailableBars,
! 													 double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     oversoldThresholdMAX, overboughtThresholdMAX,
! 			                     historicalMarketValueProviderForInSample,
! 		                       historicalMarketValueProviderForOutOfSample,
! 		                       inefficiencyLengthInMinutes,
! 		                       minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       maxOpeningLengthInMinutes,
! 		                       openingTimesForAvailableBars,
! 		                       stopLoss, takeProfit);
  			this.inSampleChooser = inSampleChooser;
  		}
  		
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       IInSampleChooser inSampleChooser,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                       double inefficiencyLengthInMinutes,
! 		                       double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       double maxOpeningLengthInMinutes,
! 													 List<Time> openingTimesForAvailableBars,
! 													 double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     double.MaxValue, double.MaxValue,
! 			                     historicalMarketValueProviderForInSample,
! 		                       historicalMarketValueProviderForOutOfSample,
! 		                       inefficiencyLengthInMinutes,
! 		                       minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       maxOpeningLengthInMinutes,
! 		                       openingTimesForAvailableBars,
! 		                       stopLoss, takeProfit);
  			this.inSampleChooser = inSampleChooser;
  		}
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       TestingPositions[] chosenPVOPositions,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       double oversoldThresholdMAX,
! 		                       double overboughtThresholdMAX,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                       double inefficiencyLengthInMinutes,
! 		                       double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       double maxOpeningLengthInMinutes,
! 													 List<Time> openingTimesForAvailableBars,
! 													 double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     oversoldThresholdMAX, overboughtThresholdMAX,
! 			                     historicalMarketValueProviderForInSample,
! 		                       historicalMarketValueProviderForOutOfSample,
! 		                       inefficiencyLengthInMinutes,
! 		                       minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       maxOpeningLengthInMinutes,
! 		                       openingTimesForAvailableBars,
! 		                       stopLoss, takeProfit);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       TestingPositions[] chosenPVOPositions,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                       HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                       double inefficiencyLengthInMinutes,
! 		                       double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       double maxOpeningLengthInMinutes,
! 													 List<Time> openingTimesForAvailableBars,
! 													 double stopLoss, double takeProfit)
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     double.MaxValue, double.MaxValue,
! 			                     historicalMarketValueProviderForInSample,
! 		                       historicalMarketValueProviderForOutOfSample,
! 		                       inefficiencyLengthInMinutes,
! 		                       minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                       minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                       maxOpeningLengthInMinutes,
! 													 openingTimesForAvailableBars,
! 													 stopLoss, takeProfit);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		
  		private bool allTickersAreExchangedBeforeLastAvailableTime(DateTime fromDateTime,
! 		                                    											 string[] tickers)
  		{
  			bool returnValue = true;
--- 212,357 ----
  
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                           int minimumNumberOfEligiblesForValidOptimization,
! 		                           IInSampleChooser inSampleChooser,
! 		                           int inSampleDays,
! 		                           Benchmark benchmark,
! 		                           int numDaysBetweenEachOptimization,
! 		                           double oversoldThreshold,
! 		                           double overboughtThreshold,
! 		                           double oversoldThresholdMAX,
! 		                           double overboughtThresholdMAX,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                           double inefficiencyLengthInMinutes,
! 		                           int numberOfPreviousEfficientPeriods,
! 		                           double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                           double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                           double maxOpeningLengthInMinutes,
! 		                           List<Time> openingTimesForAvailableBars,
! 		                           double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                         inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                         oversoldThreshold, overboughtThreshold,
! 			                         oversoldThresholdMAX, overboughtThresholdMAX,
! 			                         historicalMarketValueProviderForInSample,
! 			                         historicalMarketValueProviderForOutOfSample,
! 			                         inefficiencyLengthInMinutes,
! 			                         numberOfPreviousEfficientPeriods,
! 			                         minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 			                         minutesFromLastLossOrProfitToWaitBeforeClosing,
! 			                         maxOpeningLengthInMinutes,
! 			                         openingTimesForAvailableBars,
! 			                         stopLoss, takeProfit);
  			this.inSampleChooser = inSampleChooser;
  		}
  		
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                           int minimumNumberOfEligiblesForValidOptimization,
! 		                           IInSampleChooser inSampleChooser,
! 		                           int inSampleDays,
! 		                           Benchmark benchmark,
! 		                           int numDaysBetweenEachOptimization,
! 		                           double oversoldThreshold,
! 		                           double overboughtThreshold,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                           double inefficiencyLengthInMinutes,
! 		                           int numberOfPreviousEfficientPeriods,
! 		                           double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                           double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                           double maxOpeningLengthInMinutes,
! 		                           List<Time> openingTimesForAvailableBars,
! 		                           double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                         inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                         oversoldThreshold, overboughtThreshold,
! 			                         double.MaxValue, double.MaxValue,
! 			                         historicalMarketValueProviderForInSample,
! 			                         historicalMarketValueProviderForOutOfSample,
! 			                         inefficiencyLengthInMinutes,
! 			                         numberOfPreviousEfficientPeriods,
! 			                         minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 			                         minutesFromLastLossOrProfitToWaitBeforeClosing,
! 			                         maxOpeningLengthInMinutes,
! 			                         openingTimesForAvailableBars,
! 			                         stopLoss, takeProfit);
  			this.inSampleChooser = inSampleChooser;
  		}
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                           int minimumNumberOfEligiblesForValidOptimization,
! 		                           TestingPositions[] chosenPVOPositions,
! 		                           int inSampleDays,
! 		                           Benchmark benchmark,
! 		                           int numDaysBetweenEachOptimization,
! 		                           double oversoldThreshold,
! 		                           double overboughtThreshold,
! 		                           double oversoldThresholdMAX,
! 		                           double overboughtThresholdMAX,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                           double inefficiencyLengthInMinutes,
! 		                           int numberOfPreviousEfficientPeriods,
! 		                           double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                           double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                           double maxOpeningLengthInMinutes,
! 		                           List<Time> openingTimesForAvailableBars,
! 		                           double stopLoss, double takeProfit)
  			
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                         inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                         oversoldThreshold, overboughtThreshold,
! 			                         oversoldThresholdMAX, overboughtThresholdMAX,
! 			                         historicalMarketValueProviderForInSample,
! 			                         historicalMarketValueProviderForOutOfSample,
! 			                         inefficiencyLengthInMinutes,
! 			                         numberOfPreviousEfficientPeriods,
! 			                         minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 			                         minutesFromLastLossOrProfitToWaitBeforeClosing,
! 			                         maxOpeningLengthInMinutes,
! 			                         openingTimesForAvailableBars,
! 			                         stopLoss, takeProfit);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		public PVOStrategyIntraday(IEligiblesSelector eligiblesSelector,
! 		                           int minimumNumberOfEligiblesForValidOptimization,
! 		                           TestingPositions[] chosenPVOPositions,
! 		                           int inSampleDays,
! 		                           Benchmark benchmark,
! 		                           int numDaysBetweenEachOptimization,
! 		                           double oversoldThreshold,
! 		                           double overboughtThreshold,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForInSample,
! 		                           HistoricalMarketValueProvider historicalMarketValueProviderForOutOfSample,
! 		                           double inefficiencyLengthInMinutes,
! 		                           int numberOfPreviousEfficientPeriods,
! 		                           double minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 		                           double minutesFromLastLossOrProfitToWaitBeforeClosing,
! 		                           double maxOpeningLengthInMinutes,
! 		                           List<Time> openingTimesForAvailableBars,
! 		                           double stopLoss, double takeProfit)
  		{
  			this.pvoStrategyIntraday(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                         inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                         oversoldThreshold, overboughtThreshold,
! 			                         double.MaxValue, double.MaxValue,
! 			                         historicalMarketValueProviderForInSample,
! 			                         historicalMarketValueProviderForOutOfSample,
! 			                         inefficiencyLengthInMinutes,
! 			                         numberOfPreviousEfficientPeriods,
! 			                         minutesFromLastInefficiencyTimeToWaitBeforeOpening,
! 			                         minutesFromLastLossOrProfitToWaitBeforeClosing,
! 			                         maxOpeningLengthInMinutes,
! 			                         openingTimesForAvailableBars,
! 			                         stopLoss, takeProfit);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		
  		private bool allTickersAreExchangedBeforeLastAvailableTime(DateTime fromDateTime,
! 		                                                           string[] tickers)
  		{
  			bool returnValue = true;
***************
*** 348,352 ****
  				for( int i = 0; i < tickers.Length; i++ )
  				{
! 					Bars currentTickerBars = 
  						new Bars(tickers[i], fromDateTime,
  						         Time.GetDateTimeFromMerge(fromDateTime,
--- 359,363 ----
  				for( int i = 0; i < tickers.Length; i++ )
  				{
! 					Bars currentTickerBars =
  						new Bars(tickers[i], fromDateTime,
  						         Time.GetDateTimeFromMerge(fromDateTime,
***************
*** 389,411 ****
  			return returnValue;
  		}
! 				
  		#region newDateTimeEventHandler_closePositions
! 				
  		private void newDateTimeEventHandler_closePositions(Time currentDailyTime)
  		{
  			bool positionsHaveBeenOpenedEnough =
! 					(this.account.Portfolio.Count > 0 &&
! 					 this.lastEntryTime.AddMinutes(maxOpeningLengthInMinutes) <= currentDailyTime);
! 			bool isTimeToProfitOrToStopALoss = 
! 				  this.account.Portfolio.Count > 0 &&
! 			   	(this.takeProfitConditionReached  || this.stopLossConditionReached) &&
! 			   	(this.lastProfitOrLossTime.AddMinutes(this.minutesFromLastLossOrProfitToWaitBeforeClosing) == currentDailyTime);
  			
  			if( (positionsHaveBeenOpenedEnough || isTimeToProfitOrToStopALoss ) &&
! 			     allTickersAreExchanged( this.now(), AccountManager.GetTickersInOpenedPositions(this.account) ) )
  			{
! 				  	AccountManager.ClosePositions( this.account );
! 				  	this.lastEntryTime = new Time("00:00:00");
! 				  	this.lastInefficiencyTime = new Time("00:00:00");
  			}
  		}
--- 400,425 ----
  			return returnValue;
  		}
! 		
  		#region newDateTimeEventHandler_closePositions
! 		
  		private void newDateTimeEventHandler_closePositions(Time currentDailyTime)
  		{
  			bool positionsHaveBeenOpenedEnough =
! 				(this.account.Portfolio.Count > 0 &&
! 				 this.lastEntryTime.AddMinutes(maxOpeningLengthInMinutes) <= currentDailyTime);
! 			bool isTimeToProfitOrToStopALoss =
! 				this.account.Portfolio.Count > 0 &&
! 				(this.takeProfitConditionReached  || this.stopLossConditionReached) &&
! 				(this.lastProfitOrLossTime.AddMinutes(this.minutesFromLastLossOrProfitToWaitBeforeClosing) == currentDailyTime);
  			
  			if( (positionsHaveBeenOpenedEnough || isTimeToProfitOrToStopALoss ) &&
! 			   allTickersAreExchanged( this.now(), AccountManager.GetTickersInOpenedPositions(this.account) ) )
  			{
! 				AccountManager.ClosePositions( this.account );
! 				this.lastEntryTime = new Time("00:00:00");
! 				this.lastInefficiencyTime = new Time("00:00:00");
! 				this.lastProfitOrLossTime = new Time("00:00:00");
! 				this.takeProfitConditionReached = false;
! 				this.stopLossConditionReached = false;
  			}
  		}
***************
*** 418,482 ****
  			DateTime dateTimeForClose = Time.GetDateTimeFromMerge( this.now(), timeForClose );
  			if(	this.account.Portfolio.Count == 0 &&
! 			   	this.positionsForOutOfSample != null &&
! 			   	timeForClose <= getLastEventTimeWithCachedBars() &&
! 			    this.allTickersAreExchanged( this.now(), this.positionsForOutOfSample.WeightedPositions.SignedTickers.Tickers ) &&
! 			    this.allTickersAreExchangedBeforeLastAvailableTime( dateTimeForClose, this.positionsForOutOfSample.WeightedPositions.SignedTickers.Tickers ) )
  			{
  				switch (this.positionsForOutOfSampleStatus)
  				{
  					case PVOPositionsStatus.Overbought:
- 					{
- 						#region manage Overbought case
- 						this.positionsForOutOfSample.WeightedPositions.Reverse();
- 						try
- 						{
- 							AccountManager.OpenPositions( this.positionsForOutOfSample.WeightedPositions,
- 							                             	this.account );
- 							this.lastEntryTime = currentDailyTime;
- 							this.previousAccountValue = this.account.GetMarketValue();
- 						}
- 						catch(Exception ex)
- 						{
- 							string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
- 						}
- 						finally
  						{
  							this.positionsForOutOfSample.WeightedPositions.Reverse();
  						}
- 						#endregion
- 						break;
- 					}
  					case PVOPositionsStatus.Oversold:
- 					{
- 						#region manage Oversold case
- 						try
  						{
! 							AccountManager.OpenPositions( this.positionsForOutOfSample.WeightedPositions,
! 							                             	this.account );
! 							this.lastEntryTime = currentDailyTime;
! 							this.previousAccountValue = this.account.GetMarketValue();
! 						}
! 						catch(Exception ex)
! 						{
! 							string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  						}
- 						#endregion oversold case
- 						break;
- 					}
  					case PVOPositionsStatus.InTheMiddle://that is
! 					{  //pvoPositionsForOutOfSample has not been set
! 						
! 						break;
! 					}
  					default:
! 					{
! 						//it should never been reached
! 						break;
! 					}
  				}
  			}
  		}
  		#endregion newDateTimeEventHandler_openPositions
  				
  		#region newDateTimeEventHandler_inefficiencyIsMovingBack
  		private bool newDateTimeEventHandler_inefficiencyIsMovingBack(Time currentDailyTime)
--- 432,538 ----
  			DateTime dateTimeForClose = Time.GetDateTimeFromMerge( this.now(), timeForClose );
  			if(	this.account.Portfolio.Count == 0 &&
! 			   this.positionsForOutOfSample != null &&
! 			   timeForClose <= getLastEventTimeWithCachedBars() &&
! 			   this.allTickersAreExchanged( this.now(), this.positionsForOutOfSample.WeightedPositions.SignedTickers.Tickers ) &&
! 			   this.allTickersAreExchangedBeforeLastAvailableTime( dateTimeForClose, this.positionsForOutOfSample.WeightedPositions.SignedTickers.Tickers ) )
  			{
  				switch (this.positionsForOutOfSampleStatus)
  				{
  					case PVOPositionsStatus.Overbought:
  						{
+ 							#region manage Overbought case
  							this.positionsForOutOfSample.WeightedPositions.Reverse();
+ 							try
+ 							{
+ 								AccountManager.OpenPositions( this.positionsForOutOfSample.WeightedPositions,
+ 								                             this.account );
+ 								this.lastEntryTime = currentDailyTime;
+ 								this.previousAccountValue = this.account.GetMarketValue();
+ 							}
+ 							catch(Exception ex)
+ 							{
+ 								string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
+ 							}
+ 							finally
+ 							{
+ 								this.positionsForOutOfSample.WeightedPositions.Reverse();
+ 							}
+ 							#endregion
+ 							break;
  						}
  					case PVOPositionsStatus.Oversold:
  						{
! 							#region manage Oversold case
! 							try
! 							{
! 								AccountManager.OpenPositions( this.positionsForOutOfSample.WeightedPositions,
! 								                             this.account );
! 								this.lastEntryTime = currentDailyTime;
! 								this.previousAccountValue = this.account.GetMarketValue();
! 							}
! 							catch(Exception ex)
! 							{
! 								string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 							}
! 							#endregion oversold case
! 							break;
  						}
  					case PVOPositionsStatus.InTheMiddle://that is
! 						{  //pvoPositionsForOutOfSample has not been set
! 							
! 							break;
! 						}
  					default:
! 						{
! 							//it should never been reached
! 							break;
! 						}
  				}
  			}
  		}
  		#endregion newDateTimeEventHandler_openPositions
+ 		
+ 		#region newDateTimeEventHandler_previousPeriodsWereEfficient
+ 		private PVOPositionsStatus newDateTimeEventHandler_previousPeriodsWereEfficient_getStatus( DateTime beginOfOscillatingPeriod,
+ 		                                                                                          DateTime endOfOscillatingPeriod )
+ 		{
+ 			PVOPositionsStatus returnValue = PVOPositionsStatus.NotComputable;
+ 			if(this.positionsForOutOfSample != null)
+ 				try{
+ 				returnValue =
+ 					this.positionsForOutOfSample.GetStatus( beginOfOscillatingPeriod, endOfOscillatingPeriod,
+ 					                                       this.benchmark.Ticker, this.historicalMarketValueProviderForOutOfSample,
+ 					                                       this.oversoldThreshold,
+ 					                                       this.oversoldThresholdMAX,
+ 					                                       this.overboughtThreshold,
+ 					                                       this.overboughtThresholdMAX );
  				
+ 			}catch{}
+ 			return returnValue;
+ 		}
+ 		
+ 		private bool newDateTimeEventHandler_previousPeriodsWereEfficient(Time currentDailyTime)
+ 		{
+ 			bool returnValue = true;
+ 			PVOPositionsStatus statusForCurrentPeriodBeforeInefficiencyTime;
+ 			for( int i = 1; i <= this.numberOfPreviousEfficientPeriods; i++ )
+ 			{
+ 				DateTime beginOfOscillatingPeriod =
+ 					Time.GetDateTimeFromMerge( this.now() , this.lastInefficiencyTime.AddMinutes( - (i+1)*this.inefficiencyLengthInMinutes ) );
+ 				DateTime endOfOscillatingPeriod =
+ 					Time.GetDateTimeFromMerge( this.now() , this.lastInefficiencyTime.AddMinutes( - i*this.inefficiencyLengthInMinutes ) );
+ 				statusForCurrentPeriodBeforeInefficiencyTime =
+ 					this.newDateTimeEventHandler_previousPeriodsWereEfficient_getStatus( beginOfOscillatingPeriod,
+ 					                                                                    endOfOscillatingPeriod );
+ 				if( statusForCurrentPeriodBeforeInefficiencyTime != PVOPositionsStatus.InTheMiddle )
+ 				{
+ 					returnValue = false;
+ 					i = this.numberOfPreviousEfficientPeriods;
+ 				}
+ 			}
+ 			return returnValue;
+ 		}
+ 		#endregion newDateTimeEventHandler_previousPeriodsWereEfficient
+ 		
  		#region newDateTimeEventHandler_inefficiencyIsMovingBack
  		private bool newDateTimeEventHandler_inefficiencyIsMovingBack(Time currentDailyTime)
***************
*** 485,530 ****
  			DateTime beginOfOscillatingPeriod =
  				Time.GetDateTimeFromMerge( this.now() , this.lastInefficiencyTime );
! 			DateTime endOfOscillatingPeriod = 
  				Time.GetDateTimeFromMerge( this.now() , currentDailyTime );
  			PVOPositionsStatus currentStatusForCurrentPositions =
  				PVOPositionsStatus.InTheMiddle;
! 			double coefficientForThresholdLevelComputationForMovingBackSignal = 
  				//(this.overboughtThreshold - this.takeProfit)/this.overboughtThreshold;
  				this.minutesFromLastInefficiencyTimeToWaitBeforeOpening/
  //				this.inefficiencyLengthInMinutes;
! 					100000;
  			if(this.positionsForOutOfSample != null)
  				try{
! 					currentStatusForCurrentPositions =
! 						this.positionsForOutOfSample.GetStatus( beginOfOscillatingPeriod, endOfOscillatingPeriod,
! 					                                          this.benchmark.Ticker, this.historicalMarketValueProviderForOutOfSample,
! 					                                          this.oversoldThreshold * coefficientForThresholdLevelComputationForMovingBackSignal,
! 					                                          this.oversoldThreshold,
! 					                                          this.overboughtThreshold * coefficientForThresholdLevelComputationForMovingBackSignal,
! 					                                          this.overboughtThreshold );
! 							
  			}catch{}
  			returnValue = ( (currentStatusForCurrentPositions == PVOPositionsStatus.Overbought &&
! 			          this.positionsForOutOfSampleStatus == PVOPositionsStatus.Oversold) || 
! 			          (currentStatusForCurrentPositions == PVOPositionsStatus.Oversold  &&
! 			           this.positionsForOutOfSampleStatus == PVOPositionsStatus.Overbought) );
! 			if( (returnValue == false && 
! 			     currentDailyTime >= this.lastInefficiencyTime.AddMinutes(this.inefficiencyLengthInMinutes) ) ||
! 			     returnValue == true )
! 			//positions are not moving back and the same n° of minutes as inefficiency length 
! 		  //has elapsed OR positions are moving back (the gap is closing)
! 				this.lastInefficiencyTime = new Time(0,0,0); //it forces a new research of an inefficiency
  			return returnValue;
  		}
- 		
- 		
  		#endregion newDateTimeEventHandler_inefficiencyIsMovingBack
! 				
  		#region newDateTimeEventHandler_updateStatus
  		private void newDateTimeEventHandler_setPositionsAndStatus(Time currentDailyTime)
  		{
! 			DateTime beginOfOscillatingPeriod = 
  				Time.GetDateTimeFromMerge(this.now() , currentDailyTime.AddMinutes(-inefficiencyLengthInMinutes) );
! 			DateTime endOfOscillatingPeriod = 
  				Time.GetDateTimeFromMerge(this.now() , currentDailyTime);
  //			this.positionsForOutOfSample = null;
--- 541,578 ----
  			DateTime beginOfOscillatingPeriod =
  				Time.GetDateTimeFromMerge( this.now() , this.lastInefficiencyTime );
! 			DateTime endOfOscillatingPeriod =
  				Time.GetDateTimeFromMerge( this.now() , currentDailyTime );
  			PVOPositionsStatus currentStatusForCurrentPositions =
  				PVOPositionsStatus.InTheMiddle;
! 			double coefficientForThresholdLevelComputationForMovingBackSignal =
  				//(this.overboughtThreshold - this.takeProfit)/this.overboughtThreshold;
  				this.minutesFromLastInefficiencyTimeToWaitBeforeOpening/
  //				this.inefficiencyLengthInMinutes;
! 				100000;
  			if(this.positionsForOutOfSample != null)
  				try{
! 				currentStatusForCurrentPositions =
! 					this.positionsForOutOfSample.GetStatus( beginOfOscillatingPeriod, endOfOscillatingPeriod,
! 					                                       this.benchmark.Ticker, this.historicalMarketValueProviderForOutOfSample,
! 					                                       this.oversoldThreshold * coefficientForThresholdLevelComputationForMovingBackSignal,
! 					                                       this.oversoldThreshold,
! 					                                       this.overboughtThreshold * coefficientForThresholdLevelComputationForMovingBackSignal,
! 					                                       this.overboughtThreshold );
! 				
  			}catch{}
  			returnValue = ( (currentStatusForCurrentPositions == PVOPositionsStatus.Overbought &&
! 			                 this.positionsForOutOfSampleStatus == PVOPositionsStatus.Oversold) ||
! 			               (currentStatusForCurrentPositions == PVOPositionsStatus.Oversold  &&
! 			                this.positionsForOutOfSampleStatus == PVOPositionsStatus.Overbought) );
  			return returnValue;
  		}
  		#endregion newDateTimeEventHandler_inefficiencyIsMovingBack
! 		
  		#region newDateTimeEventHandler_updateStatus
  		private void newDateTimeEventHandler_setPositionsAndStatus(Time currentDailyTime)
  		{
! 			DateTime beginOfOscillatingPeriod =
  				Time.GetDateTimeFromMerge(this.now() , currentDailyTime.AddMinutes(-inefficiencyLengthInMinutes) );
! 			DateTime endOfOscillatingPeriod =
  				Time.GetDateTimeFromMerge(this.now() , currentDailyTime);
  //			this.positionsForOutOfSample = null;
***************
*** 536,546 ****
  				if(this.chosenPVOPositions[i] != null)
  					try{
! 						this.positionsForOutOfSampleStatus =
! 							((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, endOfOscillatingPeriod,
  						                                                     this.benchmark.Ticker, this.historicalMarketValueProviderForOutOfSample,
  						                                                     this.oversoldThresholdMAX, this.overboughtThresholdMAX);
- 								
- 				}catch(Exception ex){string str = ex.ToString();}
  					
  				if(this.positionsForOutOfSampleStatus == PVOPositionsStatus.Oversold ||
  				   this.positionsForOutOfSampleStatus == PVOPositionsStatus.Overbought )
--- 584,594 ----
  				if(this.chosenPVOPositions[i] != null)
  					try{
! 					this.positionsForOutOfSampleStatus =
! 						((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, endOfOscillatingPeriod,
  						                                                     this.benchmark.Ticker, this.historicalMarketValueProviderForOutOfSample,
  						                                                     this.oversoldThresholdMAX, this.overboughtThresholdMAX);
  					
+ 				}catch(Exception ex){string str = ex.ToString();}
+ 				
  				if(this.positionsForOutOfSampleStatus == PVOPositionsStatus.Oversold ||
  				   this.positionsForOutOfSampleStatus == PVOPositionsStatus.Overbought )
***************
*** 558,565 ****
  		{
  			//this.previousAccountValue has been set at opening positions
! 			this.stopLossConditionReached = false;
! 			this.takeProfitConditionReached = false;
! 			this.lastProfitOrLossTime = new Time("00:00:00");
! 			if(this.account.Portfolio.Count > 0)
  			{
  				try{
--- 606,613 ----
  		{
  			//this.previousAccountValue has been set at opening positions
! 			if( this.account.Portfolio.Count > 0 &&
! 			   this.takeProfitConditionReached == false &&
! 			   this.stopLossConditionReached == false &&
! 			   this.lastProfitOrLossTime == new Time("00:00:00") )
  			{
  				try{
***************
*** 583,587 ****
  				}
  				catch(Exception ex)
! 					{string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";}
  			}
  		}
--- 631,635 ----
  				}
  				catch(Exception ex)
! 				{string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";}
  			}
  		}
***************
*** 589,592 ****
--- 637,650 ----
  		#endregion newDateTimeEventHandler_updateStopLossAndTakeProfitConditions
  		
+ 		private void newDateTimeEventHandler_resetForNewResearch(bool inefficiencyIsMovingBack,
+ 		                                                         bool previousPeriodsWereEfficient,
+ 		                                                         Time currentTime)
+ 		{
+ 			if( currentTime > this.lastInefficiencyTime.AddMinutes(this.minutesFromLastInefficiencyTimeToWaitBeforeOpening) ||
+ 			   (inefficiencyIsMovingBack == true && previousPeriodsWereEfficient == true) )
+ 				
+ 			   this.lastInefficiencyTime = new Time(0,0,0); //it forces a new research of an inefficiency
+ 		}
+ 		
  		public virtual void NewDateTimeEventHandler(
  			Object sender , DateTime dateTime )
***************
*** 596,618 ****
  			this.newDateTimeEventHandler_closePositions(currentTime);
  			if( this.account.Portfolio.Count == 0 &&
! 			   	this.chosenPVOPositions != null &&
! 			   	this.lastInefficiencyTime == new Time(0,0,0) &&
! 			   	currentTime < getLastEventTimeWithCachedBars() &&
! 			   	currentTime >=
! 			    getFirstEventTimeWithCachedBars().AddMinutes(inefficiencyLengthInMinutes) )
! 			//portfolio empty, optimization done, no inefficiency found, time OK	
  				this.newDateTimeEventHandler_setPositionsAndStatus(currentTime);
  			
  			if( this.account.Portfolio.Count == 0 &&
! 			   	currentTime >=
! 			    this.lastInefficiencyTime.AddMinutes(this.minutesFromLastInefficiencyTimeToWaitBeforeOpening)
! 			    &&
! 			    this.newDateTimeEventHandler_inefficiencyIsMovingBack(currentTime) 
! 			   )
! 			//it's time for starting checking if the last inefficiency found is moving back
  				this.newDateTimeEventHandler_openPositions(currentTime);
! 			
  			if( currentTime == getLastEventTimeWithCachedBars() )
! 			//it's time for new optimization, if the case
  			{
  				this.newDateTimeEventHandler_updateTestingPositions( dateTime );
--- 654,682 ----
  			this.newDateTimeEventHandler_closePositions(currentTime);
  			if( this.account.Portfolio.Count == 0 &&
! 			   this.chosenPVOPositions != null &&
! 			   this.lastInefficiencyTime == new Time(0,0,0) &&
! 			   currentTime < getLastEventTimeWithCachedBars() &&
! 			   currentTime >=
! 			   getFirstEventTimeWithCachedBars().AddMinutes( inefficiencyLengthInMinutes +
! 			                                                inefficiencyLengthInMinutes * this.numberOfPreviousEfficientPeriods ) )
! 				//portfolio empty, optimization done, no inefficiency found (or found but not deployed), time OK
  				this.newDateTimeEventHandler_setPositionsAndStatus(currentTime);
  			
+ 			bool inefficiencyIsMovingBack =
+ 				this.newDateTimeEventHandler_inefficiencyIsMovingBack(currentTime);
+ 			bool previousPeriodsWereEfficient = 
+ 				this.newDateTimeEventHandler_previousPeriodsWereEfficient(currentTime);
  			if( this.account.Portfolio.Count == 0 &&
! 				   this.lastInefficiencyTime != new Time(0, 0, 0) &&
! 				   currentTime >=
! 				   this.lastInefficiencyTime.AddMinutes(this.minutesFromLastInefficiencyTimeToWaitBeforeOpening)
! 				   && inefficiencyIsMovingBack && previousPeriodsWereEfficient 
! 				  )
  				this.newDateTimeEventHandler_openPositions(currentTime);
! 			this.newDateTimeEventHandler_resetForNewResearch(inefficiencyIsMovingBack,
! 			                                                 previousPeriodsWereEfficient,
! 			                                                 currentTime);
  			if( currentTime == getLastEventTimeWithCachedBars() )
! 				//it's time for new optimization, if the case
  			{
  				this.newDateTimeEventHandler_updateTestingPositions( dateTime );
***************
*** 621,625 ****
  				this.lastInefficiencyTime = new Time(0,0,0);
  			}
- 				
  		}
  		
--- 685,688 ----
***************
*** 688,695 ****
  				                              this.benchmark.Ticker );
  			if(this.inSampleChooser is PVOIntradayCorrelationChooser)
! 					returnIntervals = 
! 						new IntradayIntervals(firstDateTime, lastDateTime,
! 						    ((PVOIntradayCorrelationChooser)this.inSampleChooser).ReturnIntervalLengthInMinutes,
! 			          this.benchmark.Ticker);
  			
  			if( this.inSampleChooser is PVOCorrelationChooser )
--- 751,758 ----
  				                              this.benchmark.Ticker );
  			if(this.inSampleChooser is PVOIntradayCorrelationChooser)
! 				returnIntervals =
! 					new IntradayIntervals(firstDateTime, lastDateTime,
! 					                      ((PVOIntradayCorrelationChooser)this.inSampleChooser).ReturnIntervalLengthInMinutes,
! 					                      this.benchmark.Ticker);
  			
  			if( this.inSampleChooser is PVOCorrelationChooser )

Index: PVOStrategyIntradayMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOStrategyIntradayMain.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PVOStrategyIntradayMain.cs	29 Mar 2009 18:04:32 -0000	1.5
--- PVOStrategyIntradayMain.cs	29 Mar 2009 18:31:00 -0000	1.6
***************
*** 66,69 ****
--- 66,70 ----
  		private HistoricalMarketValueProvider historicalMarketValueProviderForTheBackTester;
  		private double inefficiencyLengthInMinutes;
+ 		private int numberOfPreviousEfficientPeriods;
  		private double maxOpeningLengthInMinutes;
  		private double minutesFromLastInefficiencyToWaitBeforeOpening;
***************
*** 78,82 ****
  		{
  			this.inefficiencyLengthInMinutes = 30;
! 			this.maxOpeningLengthInMinutes = 240;
  			this.minutesFromLastInefficiencyToWaitBeforeOpening = 1;
  			this.minutesFromLastLossOrProfitToWaitBeforeClosing = 0;
--- 79,84 ----
  		{
  			this.inefficiencyLengthInMinutes = 30;
! 			this.numberOfPreviousEfficientPeriods = 1;
! 			this.maxOpeningLengthInMinutes = 180;
  			this.minutesFromLastInefficiencyToWaitBeforeOpening = 1;
  			this.minutesFromLastLossOrProfitToWaitBeforeClosing = 0;
***************
*** 84,88 ****
  			this.intervalFrameInSeconds = 60;
  			
! 			this.firstDateTime = new DateTime( 2006 , 2 , 1 );
  			this.lastDateTime = new DateTime( 2006 , 12, 31 );
  			
--- 86,90 ----
  			this.intervalFrameInSeconds = 60;
  			
! 			this.firstDateTime = new DateTime( 2006 , 1, 1 );
  			this.lastDateTime = new DateTime( 2006 , 12, 31 );
  			
***************
*** 93,98 ****
  			
  			this.historicalMarketValueProviderForInSample =
! //				new HistoricalAdjustedQuoteProvider();
! 				new HistoricalBarInterpolatingProvider( this.getBarCache() );
  			
  			this.historicalMarketValueProviderForTheBackTester =
--- 95,100 ----
  			
  			this.historicalMarketValueProviderForInSample =
! 				new HistoricalAdjustedQuoteProvider();
! //				new HistoricalBarInterpolatingProvider( this.getBarCache() );
  			
  			this.historicalMarketValueProviderForTheBackTester =
***************
*** 117,131 ****
  			
  			int maxNumberOfEligiblesToBeChosen = 100;
! 						
  			string tickersGroupId = "SP500";
  			
  			bool temporizedGroup = true;
  			int numDaysForAverageRawOpenPriceComputation = 10;
! 			double minPrice = 30;
  			double maxPrice = 300;
  			
! //			int maxNumberOfMostLiquidTickersToBeChosen = 150;
! //			int numDaysForVolatility = 10;
! 			int minimumNumberOfMinutelyBarsForEachDayForInSample = 20;
  						
  //			IEligiblesSelector eligiblesSelector =
--- 119,134 ----
  			
  			int maxNumberOfEligiblesToBeChosen = 100;
! 			//int numOfTopRowsToDeleteFromSelectorByLiquidity = 0;
! 			
  			string tickersGroupId = "SP500";
  			
  			bool temporizedGroup = true;
  			int numDaysForAverageRawOpenPriceComputation = 10;
! 			double minPrice = 25;
  			double maxPrice = 300;
  			
! 			int maxNumberOfMostLiquidTickersToBeChosen = 150;
! 			int numDaysForVolatility = 10;
! //			int minimumNumberOfMinutelyBarsForEachDayForInSample = 20;
  						
  //			IEligiblesSelector eligiblesSelector =
***************
*** 137,156 ****
  //			 	this.benchmark.Ticker );
  //		LAST	GOOD
- //			IEligiblesSelector eligiblesSelector =
- //				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
- //				tickersGroupId , temporizedGroup ,
- //				maxNumberOfEligiblesToBeChosen ,
- //				maxNumberOfMostLiquidTickersToBeChosen ,
- //			  numDaysForAverageRawOpenPriceComputation ,
- //				numDaysForVolatility ,
- //			 	minPrice , maxPrice );
- 			
  			IEligiblesSelector eligiblesSelector =
! 				new ByPriceMostLiquidAlwaysIntradayQuoted(
! 				tickersGroupId , this.benchmark, temporizedGroup ,
  				maxNumberOfEligiblesToBeChosen ,
! 				numDaysForAverageRawOpenPriceComputation ,
! 				minPrice , maxPrice,
! 				minimumNumberOfMinutelyBarsForEachDayForInSample  );
  			
  //			IEligiblesSelector eligiblesSelector =
--- 140,160 ----
  //			 	this.benchmark.Ticker );
  //		LAST	GOOD
  			IEligiblesSelector eligiblesSelector =
! 				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 				tickersGroupId , temporizedGroup ,
  				maxNumberOfEligiblesToBeChosen ,
! 				maxNumberOfMostLiquidTickersToBeChosen ,
! 			  numDaysForAverageRawOpenPriceComputation ,
! 				numDaysForVolatility ,
! 			 	minPrice , maxPrice );
! 			
! //			IEligiblesSelector eligiblesSelector =
! //				new ByPriceMostLiquidAlwaysIntradayQuoted(
! //				tickersGroupId , this.benchmark, temporizedGroup ,
! //				maxNumberOfEligiblesToBeChosen ,
! //				numOfTopRowsToDeleteFromSelectorByLiquidity,
! //				numDaysForAverageRawOpenPriceComputation ,
! //				minPrice , maxPrice,
! //				minimumNumberOfMinutelyBarsForEachDayForInSample  );
  			
  //			IEligiblesSelector eligiblesSelector =
***************
*** 187,196 ****
  
  			double maxCorrelationAllowed = 0.96;
! 			int numberOfBestTestingPositionsToBeReturned = 50;
! 			numberOfBestTestingPositionsToBeReturned = 50;
  			bool balancedWeightsOnVolatilityBase = true;
  			float minimumAbsoluteReturnValue = 0.00005f;
  			float maximumAbsoluteReturnValue = 100000f;
! 			int returnIntervalLengthInMinutesForCorrelationProvider = 120;
  			//correlation is computed only for returns
  			//between minimum and maximum
--- 191,199 ----
  
  			double maxCorrelationAllowed = 0.96;
! 			int numberOfBestTestingPositionsToBeReturned = 40;
  			bool balancedWeightsOnVolatilityBase = true;
  			float minimumAbsoluteReturnValue = 0.00005f;
  			float maximumAbsoluteReturnValue = 100000f;
! 			//int returnIntervalLengthInMinutesForCorrelationProvider = 120;
  			//correlation is computed only for returns
  			//between minimum and maximum
***************
*** 204,214 ****
  //					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
  			IInSampleChooser inSampleChooser = 
! //				new PVO_CTCCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
! //						1 , maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
! //						minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
! 					new PVOIntradayCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
! 						returnIntervalLengthInMinutesForCorrelationProvider ,
! 						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  						minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
  
  //			//office
--- 207,217 ----
  //					  minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
  			IInSampleChooser inSampleChooser = 
! 				new PVO_CTCCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
! 						1 , maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
  						minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
+ //					new PVOIntradayCorrelationChooser(numberOfBestTestingPositionsToBeReturned, 
+ //						returnIntervalLengthInMinutesForCorrelationProvider ,
+ //						maxCorrelationAllowed , balancedWeightsOnVolatilityBase,
+ //						minimumAbsoluteReturnValue , maximumAbsoluteReturnValue, this.benchmark.Ticker);
  
  //			//office
***************
*** 220,224 ****
  //			inSampleChooser =
  //				new PVOChooserFromSavedBackTestLog(
! //				@"C:\Utente\MarcoVarie\Vari\qP\LogArchive\2009_02_17_23_17_03_PVOIntraday_from_2006_01_01_to_2007_12_31_annlRtrn_24.44_maxDD_3.05\2009_02_17_23_17_03_PVOIntraday_from_2006_01_01_to_2007_12_31_annlRtrn_24.44_maxDD_3.05.qpL",
  //				numberOfBestTestingPositionsToBeReturned);
  			return inSampleChooser;
--- 223,227 ----
  //			inSampleChooser =
  //				new PVOChooserFromSavedBackTestLog(
! //				@"C:\Utente\MarcoVarie\Vari\qP\LogArchive\2009_03_22_10_29_04_PVOIntraday_from_2006_02_01_to_2006_12_29_annlRtrn_.17_maxDD_5.03\2009_03_22_10_29_04_PVOIntraday_from_2006_02_01_to_2006_12_29_annlRtrn_.17_maxDD_5.03.qpL",
  //				numberOfBestTestingPositionsToBeReturned);
  			return inSampleChooser;
***************
*** 228,240 ****
  		{
  			//int inSampleDays = 90;
! 			int inSampleDays = 30;
! 			int numDaysBetweenEachOptimization = 4;
  			int minNumOfEligiblesForValidOptimization = 20;
! 			double oversoldThreshold = 0.005;//0.006
! 			double overboughtThreshold = 0.005;//0.006
! 			double oversoldThresholdMAX = 0.025;
! 			double overboughtThresholdMAX = 0.025;
  			double stopLoss = 0.02;
! 			double takeProfit = 0.0025;//0.0045
  			
  			IStrategyForBacktester strategyForBacktester
--- 231,243 ----
  		{
  			//int inSampleDays = 90;
! 			int inSampleDays = 90;
! 			int numDaysBetweenEachOptimization = 5;
  			int minNumOfEligiblesForValidOptimization = 20;
! 			double oversoldThreshold = 0.006;//0.006
! 			double overboughtThreshold = 0.006;//0.006
! 			double oversoldThresholdMAX = 0.02;
! 			double overboughtThresholdMAX = 0.02;
  			double stopLoss = 0.02;
! 			double takeProfit = 0.003;//0.0045
  			
  			IStrategyForBacktester strategyForBacktester
***************
*** 250,255 ****
  				historicalMarketValueProviderForInSample,
  			  historicalMarketValueProviderForOutOfSample,
! 			  inefficiencyLengthInMinutes , minutesFromLastInefficiencyToWaitBeforeOpening,
! 			  this.minutesFromLastLossOrProfitToWaitBeforeClosing,
  			  maxOpeningLengthInMinutes, this.getDailyTimes(),
  			  stopLoss , takeProfit );
--- 253,260 ----
  				historicalMarketValueProviderForInSample,
  			  historicalMarketValueProviderForOutOfSample,
! 			  inefficiencyLengthInMinutes ,
! 			  numberOfPreviousEfficientPeriods,
! 			  minutesFromLastInefficiencyToWaitBeforeOpening,
! 			  minutesFromLastLossOrProfitToWaitBeforeClosing,
  			  maxOpeningLengthInMinutes, this.getDailyTimes(),
  			  stopLoss , takeProfit );
***************
*** 291,295 ****
  //				new InteractiveBrokerAccountProvider(fixedPercentageSlippage);
  			double cashToStart = 25000;
! 			double maxRunningHours = 15;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
--- 296,300 ----
  //				new InteractiveBrokerAccountProvider(fixedPercentageSlippage);
  			double cashToStart = 25000;
! 			double maxRunningHours = 240;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(

Index: PVOPositionsStatus.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOPositionsStatus.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PVOPositionsStatus.cs	14 Aug 2008 23:28:06 -0000	1.2
--- PVOPositionsStatus.cs	29 Mar 2009 18:31:00 -0000	1.3
***************
*** 35,39 ****
      InTheMiddle,
      Overbought,
!     OverMaximumThresholds
    }
  }
--- 35,40 ----
      InTheMiddle,
      Overbought,
!     OverMaximumThresholds,
!     NotComputable
    }
  }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables RoundTrades.cs, 1.2, 1.3

From: Marco M. <mi...@us...> - 2009-03-29 18:15:56

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv1812/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Modified Files:
	RoundTrades.cs 
Log Message:
The table RoundTrades in report has been fixed.
Old reports are still deserializable.

Index: RoundTrades.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/RoundTrades.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RoundTrades.cs	15 Feb 2005 19:09:05 -0000	1.2
--- RoundTrades.cs	29 Mar 2009 18:15:50 -0000	1.3
***************
*** 12,20 ****
  	{
      private ReportTable transactionTable;
! 
      public RoundTrades( string reportName , ReportTable transactionTable ) :
        base( reportName + " - Round Trades" )
  		{
        this.transactionTable = transactionTable;
        this.DataTable = this.getRoundTrades();
      }
--- 12,33 ----
  	{
      private ReportTable transactionTable;
!     private string fieldNameForTicker;
! 		private string fieldNameForDateTime;
! 		private string fieldNameForTransactionType;
! 		
! 		private void setFieldNames()
! 		{
! 			this.fieldNameForTicker = 
! 				QuantProject.Business.Financial.Accounting.Reporting.Tables.Transactions.FieldNameForTicker;
! 			this.fieldNameForDateTime = 
! 				QuantProject.Business.Financial.Accounting.Reporting.Tables.Transactions.FieldNameForDateTime;
! 			this.fieldNameForTransactionType = 
! 				QuantProject.Business.Financial.Accounting.Reporting.Tables.Transactions.FieldNameForTransactionType;
! 		}
      public RoundTrades( string reportName , ReportTable transactionTable ) :
        base( reportName + " - Round Trades" )
  		{
        this.transactionTable = transactionTable;
+       this.setFieldNames();
        this.DataTable = this.getRoundTrades();
      }
***************
*** 22,26 ****
--- 35,41 ----
      private void getRoundTradeTable_setColumns( DataTable roundTradeDataTable )
      {
+       roundTradeDataTable.Columns.Add( fieldNameForTicker , Type.GetType( "System.String" ) );
        roundTradeDataTable.Columns.Add( "Trade" , Type.GetType( "System.String" ) );
+       roundTradeDataTable.Columns.Add( "Quantity"  , Type.GetType( "System.Int32" ) );
        roundTradeDataTable.Columns.Add( "EntryDate"  , Type.GetType( "System.DateTime" ) );
        roundTradeDataTable.Columns.Add( "EntryPrice" , Type.GetType( "System.Double" ) );
***************
*** 30,88 ****
        roundTradeDataTable.Columns.Add( "Profit"  , Type.GetType( "System.Double" ) );
        roundTradeDataTable.Columns.Add( "%Profit"  , Type.GetType( "System.Double" ) );
!       roundTradeDataTable.Columns.Add( "#bars"  , Type.GetType( "System.Int32" ) );
!       roundTradeDataTable.Columns.Add( "ProfitPerBar"  , Type.GetType( "System.Double" ) );
        //roundTradeDataTable.Columns.Add( "AccountValue"  , Type.GetType( "System.Double" ) );
        //roundTradeDataTable.Columns.Add( "PnL"  , Type.GetType( "System.Double" ) );
      }
!     private void getRoundTradeTable_setRow( DataRow dataRow , DataTable roundTradeDataTable )
      {
!       DataRow roundTrade;
!       switch ( (string)dataRow[ "TransactionType" ] )
!       {
!         case "BuyLong":
!           roundTrade = roundTradeDataTable.NewRow();
!           roundTrade[ "Trade" ] = "Long";
!           roundTrade[ "EntryDate" ] = dataRow[ "DateTime" ];
!           roundTrade[ "EntryPrice" ] = dataRow[ "Price" ];
!           roundTradeDataTable.Rows.Add( roundTrade );
!           break;
!         case "Sell":
!           roundTrade = roundTradeDataTable.Rows[ roundTradeDataTable.Rows.Count - 1 ];
!           roundTrade[ "ExitDate" ] = dataRow[ "DateTime" ];
!           roundTrade[ "ExitPrice" ] = dataRow[ "Price" ];
!           roundTrade[ "%chg" ] =
!             ((double)roundTrade[ "ExitPrice" ] - (double)roundTrade[ "EntryPrice" ])/
!             ((double)roundTrade[ "EntryPrice" ])*100;
!           roundTrade[ "%Profit" ] = roundTrade[ "%chg" ];
!           roundTrade[ "#bars" ] =
!             ((TimeSpan)((DateTime)roundTrade[ "ExitDate" ] - (DateTime)roundTrade[ "EntryDate" ])).Days;
!           roundTrade[ "ProfitPerBar" ] = (double)roundTrade[ "%chg" ] / (int)roundTrade[ "#bars" ];
!           break;
!         case "SellShort":
!           roundTrade = roundTradeDataTable.NewRow();
!           roundTrade[ "Trade" ] = "Short";
!           roundTrade[ "EntryDate" ] = dataRow[ "DateTime" ];
!           roundTrade[ "EntryPrice" ] = dataRow[ "Price" ];
!           roundTradeDataTable.Rows.Add( roundTrade );
!           break;
!         case "Cover":
!           roundTrade = roundTradeDataTable.Rows[ roundTradeDataTable.Rows.Count - 1 ];
!           roundTrade[ "ExitDate" ] = dataRow[ "DateTime" ];
!           roundTrade[ "ExitPrice" ] = dataRow[ "Price" ];
!           roundTrade[ "%chg" ] =
!             ((double)roundTrade[ "ExitPrice" ] - (double)roundTrade[ "EntryPrice" ])/
!             ((double)roundTrade[ "EntryPrice" ])*100;
!           roundTrade[ "%Profit" ] = - ((double)roundTrade[ "%chg" ]);
!           roundTrade[ "#bars" ] =
!             ((TimeSpan)((DateTime)roundTrade[ "ExitDate" ] - (DateTime)roundTrade[ "EntryDate" ])).Days;
!           roundTrade[ "ProfitPerBar" ] = (double)roundTrade[ "%chg" ] / (int)roundTrade[ "#bars" ];
!           break;
!       }
! 
      }
      private void getRoundTradeTable_setRows( DataTable roundTradeDataTable )
      {
!       foreach (DataRow dataRow in this.transactionTable.DataTable.Rows )
!         getRoundTradeTable_setRow( dataRow , roundTradeDataTable );
      }
      private DataTable getRoundTrades()
--- 45,114 ----
        roundTradeDataTable.Columns.Add( "Profit"  , Type.GetType( "System.Double" ) );
        roundTradeDataTable.Columns.Add( "%Profit"  , Type.GetType( "System.Double" ) );
!       roundTradeDataTable.Columns.Add( "#minutes"  , Type.GetType( "System.Int32" ) );
!       roundTradeDataTable.Columns.Add( "ProfitPerMinute"  , Type.GetType( "System.Double" ) );
        //roundTradeDataTable.Columns.Add( "AccountValue"  , Type.GetType( "System.Double" ) );
        //roundTradeDataTable.Columns.Add( "PnL"  , Type.GetType( "System.Double" ) );
      }
!     private void getRoundTradeTable_addRow( int rowIndex, DataRow dataRow , DataTable roundTradeDataTable )
      {
! 			DateTime startDateTimeOfTrade = (DateTime)dataRow[fieldNameForDateTime];
! 			DateTime endDateTimeOfTrade = new DateTime(1900,1,1);
! 			string currentTicker = (string)dataRow[fieldNameForTicker];
! 			string currentTradeType = (string)dataRow[fieldNameForTransactionType];
! 			double signForRoundTradeProfit = 1.0;
!     	if(currentTradeType == "SellShort")
!     		signForRoundTradeProfit = -1.0;
! 			double entryPrice = (double)dataRow["Price"];
! 			double exitPrice = 0.0;
! 			int instrumentQuantity = (int)dataRow["Quantity"];
! 			for (int j = rowIndex + 1; j < this.transactionTable.DataTable.Rows.Count ; j++)
! 			{
! 				if( currentTicker == (string)this.transactionTable.DataTable.Rows[ j ][fieldNameForTicker] &&
! 				    ((currentTradeType == "BuyLong" && 
! 				     (string)this.transactionTable.DataTable.Rows[ j ][fieldNameForTransactionType] == "Sell")
! 				     ||
! 				     (currentTradeType == "SellShort" && 
! 				     (string)this.transactionTable.DataTable.Rows[ j ][fieldNameForTransactionType] == "Cover")
! 				    ) )
! 				{
! 					endDateTimeOfTrade = 
! 						(DateTime)this.transactionTable.DataTable.Rows[ j ][fieldNameForDateTime];
! 					exitPrice = (double)this.transactionTable.DataTable.Rows[ j ]["Price"];
! 					j = this.transactionTable.DataTable.Rows.Count;
! 				}
! 			}
! 			TimeSpan timeSpanBetweenEnterAndExit = 
! 				endDateTimeOfTrade.Subtract(startDateTimeOfTrade);
!       DataRow roundTrade = roundTradeDataTable.NewRow();
!       roundTrade[ fieldNameForTicker ] = currentTicker;
!       roundTrade[ "Trade" ] = currentTradeType;
!       roundTrade[ "Quantity" ] = instrumentQuantity;
!       roundTrade[ "EntryDate" ] = startDateTimeOfTrade;
!       roundTrade[ "ExitDate" ] = endDateTimeOfTrade;
!       roundTrade[ "EntryPrice" ] = entryPrice;
!       roundTrade[ "ExitPrice" ] = exitPrice;
!       roundTrade[ "%chg" ] = (exitPrice - entryPrice)/entryPrice * 100.0;
!       roundTrade[ "%Profit" ] = signForRoundTradeProfit * (double)roundTrade[ "%chg" ];
!       roundTrade[ "Profit" ] = signForRoundTradeProfit * instrumentQuantity * (exitPrice - entryPrice);
!       roundTrade[ "#minutes" ] = timeSpanBetweenEnterAndExit.TotalMinutes;
!       roundTrade[ "ProfitPerMinute" ] = (double)roundTrade[ "%Profit" ] / (int)roundTrade[ "#minutes" ];
!       roundTradeDataTable.Rows.Add(roundTrade);
      }
+     private bool doesCurrentRowIndexPointToABuyLongOrASellShort( int rowIndex )
+ 		{
+ 			bool returnValue;
+ 			string currentTransactionType =
+ 				(string)this.transactionTable.DataTable.Rows[ rowIndex ][fieldNameForTransactionType];
+ 			returnValue =
+ 				( currentTransactionType == "BuyLong" || currentTransactionType == "SellShort" );
+ 			return returnValue;
+ 		}
      private void getRoundTradeTable_setRows( DataTable roundTradeDataTable )
      {
!       for(int rowIndex = 0; rowIndex < this.transactionTable.DataTable.Rows.Count; rowIndex++ )
!       	if( this.doesCurrentRowIndexPointToABuyLongOrASellShort( rowIndex ) )
! 					getRoundTradeTable_addRow( rowIndex,
!       	                           	 transactionTable.DataTable.Rows[rowIndex],
!       	                             roundTradeDataTable );
      }
      private DataTable getRoundTrades()
***************
*** 94,98 ****
      }
      #endregion
- 
  	}
  }
--- 120,123 ----

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