quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies PairsTradingStrategy.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18913/Strategies

Modified Files:
	PairsTradingStrategy.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: PairsTradingStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingStrategy.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PairsTradingStrategy.cs	17 May 2008 18:06:22 -0000	1.4
--- PairsTradingStrategy.cs	29 Sep 2008 21:21:35 -0000	1.5
***************
*** 40,47 ****
  	/// Pairs Trading strategy with in sample optimizations
  	/// </summary>
  	public class PairsTradingStrategy : SymmetricEndOfDayStrategyForBacktester
  	{
! 		private IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample;
  		private OutOfSampleChooser outOfSampleChooser;
  
--- 40,48 ----
  	/// Pairs Trading strategy with in sample optimizations
  	/// </summary>
+ 	[Serializable]
  	public class PairsTradingStrategy : SymmetricEndOfDayStrategyForBacktester
  	{
! 		private HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample;
  		private OutOfSampleChooser outOfSampleChooser;
  
***************
*** 53,59 ****
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			IHistoricalQuoteProvider historicalQuoteProviderForInSample ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample ,
  			OutOfSampleChooser outOfSampleChooser ) :
  			base(
--- 54,60 ----
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			HistoricalMarketValueProvider historicalMarketValueProviderForInSample ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample ,
  			OutOfSampleChooser outOfSampleChooser ) :
  			base(
***************
*** 64,71 ****
  			eligiblesSelector ,
  			inSampleChooser ,
! 			historicalQuoteProviderForInSample )
  		{
! 			this.historicalQuoteProviderForChosingPositionsOutOfSample =
! 				historicalQuoteProviderForChosingPositionsOutOfSample;			
  			this.outOfSampleChooser = outOfSampleChooser;
  		}
--- 65,72 ----
  			eligiblesSelector ,
  			inSampleChooser ,
! 			historicalMarketValueProviderForInSample )
  		{
! 			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! 				historicalMarketValueProviderForChosingPositionsOutOfSample;			
  			this.outOfSampleChooser = outOfSampleChooser;
  		}
***************
*** 94,98 ****
  				ReturnInterval secondLastReturnInterval =
  					this.getSecondLastReturnInterval();
! 				areToBeClosed = this.now().IsEqualTo( secondLastReturnInterval.End );				
  			}
  			return ( areToBeClosed );
--- 95,99 ----
  				ReturnInterval secondLastReturnInterval =
  					this.getSecondLastReturnInterval();
! 				areToBeClosed = ( this.now() == secondLastReturnInterval.End );				
  			}
  			return ( areToBeClosed );
***************
*** 103,108 ****
  		{
  			bool beginsTheLastInterval =
! 				( this.now().IsEqualTo(
! 				this.lastIntervalAppended().Begin ) );
  			return ( beginsTheLastInterval );
  		}
--- 104,109 ----
  		{
  			bool beginsTheLastInterval =
! 				( this.now() ==
! 				this.lastIntervalAppended().Begin );
  			return ( beginsTheLastInterval );
  		}
***************
*** 114,118 ****
  				this.bestTestingPositionsInSample ,
  				this.returnIntervals ,
! 				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
  				this.inSampleReturnsManager );
  			return weightedPositions;
--- 115,119 ----
  				this.bestTestingPositionsInSample ,
  				this.returnIntervals ,
! 				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  				this.inSampleReturnsManager );
  			return weightedPositions;

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.17, 1.18

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18913

Modified Files:
	PairsTradingMain.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** PairsTradingMain.cs	16 Aug 2008 19:38:41 -0000	1.17
--- PairsTradingMain.cs	29 Sep 2008 21:21:34 -0000	1.18
***************
*** 53,61 ****
  	{
  		private Benchmark benchmark;
! 		private IHistoricalQuoteProvider historicalQuoteProviderForInSample;
! 		private IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample;
! 		private IHistoricalQuoteProvider
! 			historicalQuoteProviderForTheBacktesterAccount;
  
  		
--- 53,61 ----
  	{
  		private Benchmark benchmark;
! 		private HistoricalMarketValueProvider historicalMarketValueProviderForInSample;
! 		private HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample;
! 		private HistoricalMarketValueProvider
! 			historicalMarketValueProviderForTheBacktesterAccount;
  
  		
***************
*** 64,76 ****
  			this.benchmark = new Benchmark( "CCE" );
  
! 			this.historicalQuoteProviderForInSample =
  				new HistoricalRawQuoteProvider();
  
! 			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  				new HistoricalAdjustedQuoteProvider();
  //			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  //				new HistoricalRawQuoteProvider();
  
! 			this.historicalQuoteProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
  //			this.historicalQuoteProviderForTheBacktesterAccount =
--- 64,76 ----
  			this.benchmark = new Benchmark( "CCE" );
  
! 			this.historicalMarketValueProviderForInSample =
  				new HistoricalRawQuoteProvider();
  
! 			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
  				new HistoricalAdjustedQuoteProvider();
  //			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  //				new HistoricalRawQuoteProvider();
  
! 			this.historicalMarketValueProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
  //			this.historicalQuoteProviderForTheBacktesterAccount =
***************
*** 140,144 ****
  				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
! 				this.historicalQuoteProviderForInSample ,
  				crossoverRate , mutationRate , elitismRate ,
  				populationSizeForGeneticOptimizer ,
--- 140,144 ----
  				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
! 				this.historicalMarketValueProviderForInSample ,
  				crossoverRate , mutationRate , elitismRate ,
  				populationSizeForGeneticOptimizer ,
***************
*** 163,167 ****
  		}
  
! 		protected override IEndOfDayStrategyForBacktester getEndOfDayStrategy()
  		{
  			int inSampleDays = 180;
--- 163,167 ----
  		}
  
! 		protected override IStrategyForBacktester getStrategyForBacktester()
  		{
  			int inSampleDays = 180;
***************
*** 192,202 ****
  //				2 ,	0.006 , 0.99 , 0.006 , 0.99 );
  
! 			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
  				new PairsTradingStrategy(
  				7 , inSampleDays ,
  				intervalsSelectorForInSample , intervalsSelectorForOutOfSample ,
  				eligiblesSelector , inSampleChooser ,
! 				this.historicalQuoteProviderForInSample ,
! 				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
  				outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
--- 192,202 ----
  //				2 ,	0.006 , 0.99 , 0.006 , 0.99 );
  
! 			IStrategyForBacktester strategyForBacktester =
  				new PairsTradingStrategy(
  				7 , inSampleDays ,
  				intervalsSelectorForInSample , intervalsSelectorForOutOfSample ,
  				eligiblesSelector , inSampleChooser ,
! 				this.historicalMarketValueProviderForInSample ,
! 				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  				outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
***************
*** 214,218 ****
  //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
  //				0.006 , 0.02 , 0.006 , 0.02 );
! 			return endOfDayStrategyForBacktester;
  		}
  		protected override EndOfDayStrategyBackTester
--- 214,218 ----
  //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
  //				0.006 , 0.02 , 0.006 , 0.02 );
! 			return strategyForBacktester;
  		}
  		protected override EndOfDayStrategyBackTester
***************
*** 228,240 ****
  
  			// uncomment the following two lines for a faster script
! //			firstDateTime = new DateTime( 2007 , 1 , 1 );
! //			lastDateTime = new DateTime( 2007 , 1 , 31 );
  
! 			double maxRunningHours = 1;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.endOfDayStrategy ,
! 				this.historicalQuoteProviderForTheBacktesterAccount ,
  				accountProvider ,
  				firstDateTime ,	lastDateTime ,
--- 228,240 ----
  
  			// uncomment the following two lines for a faster script
! 			firstDateTime = new DateTime( 2002 , 1 , 1 );
! 			lastDateTime = new DateTime( 2007 , 6 , 30 );
  
! 			double maxRunningHours = 0.05;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.strategyForBacktester ,
! 				this.historicalMarketValueProviderForTheBacktesterAccount ,
  				accountProvider ,
  				firstDateTime ,	lastDateTime ,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankDebugInSample.cs, 1.3, 1.4 WFMultiOneRankRunInSampleDebug.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18875/ReportDebugger

Modified Files:
	WFMultiOneRankDebugInSample.cs 
	WFMultiOneRankRunInSampleDebug.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: WFMultiOneRankDebugInSample.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger/WFMultiOneRankDebugInSample.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFMultiOneRankDebugInSample.cs	16 Aug 2008 19:40:55 -0000	1.3
--- WFMultiOneRankDebugInSample.cs	29 Sep 2008 21:21:25 -0000	1.4
***************
*** 3,7 ****
  
  WFMultiOneRankDebugInSample.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  WFMultiOneRankDebugInSample.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 41,45 ****
  		private string benchmark;
  
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private IndexBasedEndOfDayTimer endOfDayTimer;
  		private Account account;
--- 41,45 ----
  		private string benchmark;
  
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
  		private IndexBasedEndOfDayTimer endOfDayTimer;
  		private Account account;
***************
*** 48,53 ****
  
  		public WFMultiOneRankDebugInSample( string[] signedTickers ,
! 			DateTime firstDateTime , DateTime lastDateTime ,
! 			string benchmark )
  		{
  			this.signedTickers = signedTickers;
--- 48,53 ----
  
  		public WFMultiOneRankDebugInSample( string[] signedTickers ,
! 		                                   DateTime firstDateTime , DateTime lastDateTime ,
! 		                                   string benchmark )
  		{
  			this.signedTickers = signedTickers;
***************
*** 59,63 ****
  //			this.startDateTime = this.dateTime.AddDays(
  //				-this.numberDaysForInSampleOptimization - 1 );
! 			this.historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
  		}
--- 59,63 ----
  //			this.startDateTime = this.dateTime.AddDays(
  //				-this.numberDaysForInSampleOptimization - 1 );
! 			this.historicalMarketValueProvider =
  				new HistoricalAdjustedQuoteProvider();
  		}
***************
*** 67,81 ****
  			this.endOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 				new EndOfDayDateTime( this.firstDateTime ,
! 				EndOfDaySpecificTime.MarketOpen ), this.benchmark );
  		}
  		private void run_initializeAccount()
  		{
  			this.account = new Account( "WFMultiOneRankDebugInSample" ,
! 				this.endOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 				this.historicalQuoteProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
--- 67,83 ----
  			this.endOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen( this.firstDateTime ) ,
! //				new EndOfDayDateTime( this.firstDateTime ,
! //				EndOfDaySpecificTime.MarketOpen ),
! 					this.benchmark );
  		}
  		private void run_initializeAccount()
  		{
  			this.account = new Account( "WFMultiOneRankDebugInSample" ,
! 			                           this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
***************
*** 83,90 ****
  			this.endOfDayTimerHandler =
  				new WFMultiOneRankDebugEndOfDayTimerHandler(
! 				this.account , this.signedTickers );
  		}
  		public void marketOpenEventHandler(	Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if ( this.account.Transactions.Count == 0 )
--- 85,92 ----
  			this.endOfDayTimerHandler =
  				new WFMultiOneRankDebugEndOfDayTimerHandler(
! 					this.account , this.signedTickers );
  		}
  		public void marketOpenEventHandler(	Object sender ,
! 		                                   DateTime dateTime )
  		{
  			if ( this.account.Transactions.Count == 0 )
***************
*** 92,108 ****
  		}
  		public void oneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
! 				this.lastDateTime )
  			{
  				// the simulation has reached the ending date
! 				this.account.EndOfDayTimer.Stop();
! 				Report report = new Report( this.account , this.historicalQuoteProvider );
! 				report.Create( "WFT One Rank" , 1 ,
! 					new EndOfDayDateTime( this.lastDateTime , EndOfDaySpecificTime.OneHourAfterMarketClose ) , "^SPX" );
  				report.Show();
  			}
  		}
  		public void Run()
  		{
--- 94,126 ----
  		}
  		public void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			if ( ( ( Timer )sender ).GetCurrentDateTime() >
! 			    this.lastDateTime )
  			{
  				// the simulation has reached the ending date
! 				this.account.Timer.Stop();
! 				Report report = new Report( this.account , this.historicalMarketValueProvider );
! 				report.Create(
! 					"WFT One Rank" , 1 ,
! 					HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
! 						this.lastDateTime ) ,
! //						new EndOfDayDateTime( this.lastDateTime , EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
! 					"^SPX" );
  				report.Show();
  			}
  		}
+ 		
+ 		private void newDateTimeEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ 				this.marketOpenEventHandler( sender , dateTime );
+ //			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ //				this.marketCloseEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ 				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ 		}
+ 
  		public void Run()
  		{
***************
*** 110,121 ****
  			run_initializeAccount();
  			run_initializeEndOfDayTimerHandler();
! 			this.endOfDayTimer.MarketOpen +=
! 				new MarketOpenEventHandler( this.marketOpenEventHandler );
! 			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! 				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.oneHourAfterMarketCloseEventHandler );
  			this.endOfDayTimer.Start();
  		}
--- 128,145 ----
  			run_initializeAccount();
  			run_initializeEndOfDayTimerHandler();
! 			
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
! 			
! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler( this.marketOpenEventHandler );
! //			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! //				new FiveMinutesBeforeMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.oneHourAfterMarketCloseEventHandler );
  			this.endOfDayTimer.Start();
  		}

Index: WFMultiOneRankRunInSampleDebug.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger/WFMultiOneRankRunInSampleDebug.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFMultiOneRankRunInSampleDebug.cs	11 Dec 2005 17:51:48 -0000	1.1
--- WFMultiOneRankRunInSampleDebug.cs	29 Sep 2008 21:21:25 -0000	1.2
***************
*** 3,7 ****
  
  WFMultiOneRankRunInSampleDebug.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  WFMultiOneRankRunInSampleDebug.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 51,74 ****
  			TransactionHistory transactionHistory =
  				( TransactionHistory )visualObjectArchiver.Load(
! 				"Load transactions" , "qPt" , "Load transactions" );
  			DateTime lastDateTime =
  				((DateTime)transactionHistory.GetKey(
! 				transactionHistory.Count - 1 ) );
  			RebuildableAccount account =
  				new RebuildableAccount( "FromSerializedTransactions" );
  			account.Add( transactionHistory );
  			Report report = new Report( account ,
! 				new HistoricalAdjustedQuoteProvider() );
! 			report.Create( "WFT One Rank" , 1 ,
! 				new EndOfDayDateTime(
! 				lastDateTime ,
! 				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  				"^SPX" );
  			WFMultiOneRankReportDebugger wFMultiOneRankReportDebugger =
  				new WFMultiOneRankReportDebugger( 6 ,
! 				120 , "^SPX" );
  			report.TransactionGrid.MouseUp +=
  				new MouseEventHandler(
! 				wFMultiOneRankReportDebugger.MouseClickEventHandler );
  			report.Show();
  		}
--- 51,77 ----
  			TransactionHistory transactionHistory =
  				( TransactionHistory )visualObjectArchiver.Load(
! 					"Load transactions" , "qPt" , "Load transactions" );
  			DateTime lastDateTime =
  				((DateTime)transactionHistory.GetKey(
! 					transactionHistory.Count - 1 ) );
  			RebuildableAccount account =
  				new RebuildableAccount( "FromSerializedTransactions" );
  			account.Add( transactionHistory );
  			Report report = new Report( account ,
! 			                           new HistoricalAdjustedQuoteProvider() );
! 			report.Create(
! 				"WFT One Rank" , 1 ,
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
! 					lastDateTime ) ,
! //				new EndOfDayDateTime(
! //				lastDateTime ,
! //				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  				"^SPX" );
  			WFMultiOneRankReportDebugger wFMultiOneRankReportDebugger =
  				new WFMultiOneRankReportDebugger( 6 ,
! 				                                 120 , "^SPX" );
  			report.TransactionGrid.MouseUp +=
  				new MouseEventHandler(
! 					wFMultiOneRankReportDebugger.MouseClickEventHandler );
  			report.Show();
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag RunWalkForwardLag.cs, 1.13, 1.14 WFLagChosenTickers.cs, 1.11, 1.12 WFLagEligibleTickers.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18316

Modified Files:
	RunWalkForwardLag.cs WFLagChosenTickers.cs 
	WFLagEligibleTickers.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: WFLagEligibleTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagEligibleTickers.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** WFLagEligibleTickers.cs	18 Feb 2007 01:02:24 -0000	1.5
--- WFLagEligibleTickers.cs	29 Sep 2008 21:20:52 -0000	1.6
***************
*** 38,42 ****
  		private int numberEligibleTickersToBeChosen;
  		private int numberDaysForPerformanceCalculation;
! 		private IEndOfDayTimer endOfDayTimer;
  
  		private DataTable eligibleTickers;
--- 38,42 ----
  		private int numberEligibleTickersToBeChosen;
  		private int numberDaysForPerformanceCalculation;
! 		private Timer endOfDayTimer;
  
  		private DataTable eligibleTickers;
***************
*** 56,60 ****
  			int numberEligibleTickersToBeChosen ,
  			int numberDaysForPerformanceCalculation ,
! 			IEndOfDayTimer endOfDayTimer )
  		{
  			this.checkParametersForWFLagEligibleTickers( tickerGroupID ,	benchmark ,
--- 56,60 ----
  			int numberEligibleTickersToBeChosen ,
  			int numberDaysForPerformanceCalculation ,
! 			Timer endOfDayTimer )
  		{
  			this.checkParametersForWFLagEligibleTickers( tickerGroupID ,	benchmark ,
***************
*** 73,77 ****
  			int numberEligibleTickersToBeChosen ,
  			int numberDaysForPerformanceCalculation ,
! 			IEndOfDayTimer endOfDayTimer )
  		{
  			if ( numberDaysForPerformanceCalculation <= 0 )
--- 73,77 ----
  			int numberEligibleTickersToBeChosen ,
  			int numberDaysForPerformanceCalculation ,
! 			Timer endOfDayTimer )
  		{
  			if ( numberDaysForPerformanceCalculation <= 0 )
***************
*** 82,86 ****
  		private DataTable setTickers_build_getSelectedTickers()
  		{
! 			DateTime dateTime = this.endOfDayTimer.GetCurrentTime().DateTime;
  //			SelectorByGroup selectorByGroup =
  //				new SelectorByGroup( this.tickerGroupID , dateTime );
--- 82,86 ----
  		private DataTable setTickers_build_getSelectedTickers()
  		{
! 			DateTime dateTime = this.endOfDayTimer.GetCurrentDateTime();
  //			SelectorByGroup selectorByGroup =
  //				new SelectorByGroup( this.tickerGroupID , dateTime );

Index: RunWalkForwardLag.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunWalkForwardLag.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** RunWalkForwardLag.cs	19 Aug 2008 17:13:11 -0000	1.13
--- RunWalkForwardLag.cs	29 Sep 2008 21:20:51 -0000	1.14
***************
*** 3,7 ****
  
  RunWalkForwardLag.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  RunWalkForwardLag.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 59,69 ****
  		private double maxRunningHours;
  
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
! 		private IEndOfDayTimer endOfDayTimer;
  		private DateTime startingTimeForScript;
  		private Account account;
  		private WFLagEndOfDayTimerHandler endOfDayTimerHandler;
  
!     private WFLagLog wFLagLog;
  
  		public event NewProgressEventHandler InSampleNewProgress;
--- 59,69 ----
  		private double maxRunningHours;
  
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private Timer endOfDayTimer;
  		private DateTime startingTimeForScript;
  		private Account account;
  		private WFLagEndOfDayTimerHandler endOfDayTimerHandler;
  
! 		private WFLagLog wFLagLog;
  
  		public event NewProgressEventHandler InSampleNewProgress;
***************
*** 94,121 ****
  			this.wFLagLog =
  				new WFLagLog( this.numberDaysForInSampleOptimization ,
! 				this.benchmark );
  		}
  
  		private void run_initializeHistoricalQuoteProvider()
  		{
! 			this.historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
  		}
  		private void run_initializeEndOfDayTimer()
  		{
! 			EndOfDayDateTime endOfDayDateTime =
! 				new EndOfDayDateTime( firstDateTime ,
! 				EndOfDaySpecificTime.MarketOpen );
  			this.endOfDayTimer =
! 				new IndexBasedEndOfDayTimer( endOfDayDateTime ,
! 				this.benchmark );
  		}
  		private void run_initializeAccount()
  		{
  			this.account = new Account( "WalkForwardLag" , this.endOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 				this.historicalQuoteProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
--- 94,122 ----
  			this.wFLagLog =
  				new WFLagLog( this.numberDaysForInSampleOptimization ,
! 				             this.benchmark );
  		}
  
  		private void run_initializeHistoricalQuoteProvider()
  		{
! 			this.historicalMarketValueProvider =
  				new HistoricalAdjustedQuoteProvider();
  		}
  		private void run_initializeEndOfDayTimer()
  		{
! 			DateTime dateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime );
! //				new EndOfDayDateTime( firstDateTime ,
! //				EndOfDaySpecificTime.MarketOpen );
  			this.endOfDayTimer =
! 				new IndexBasedEndOfDayTimer( dateTime ,
! 				                            this.benchmark );
  		}
  		private void run_initializeAccount()
  		{
  			this.account = new Account( "WalkForwardLag" , this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
***************
*** 123,132 ****
  			this.endOfDayTimerHandler =
  				new WFLagEndOfDayTimerHandler(
! 				this.tickerGroupID ,
! 				this.benchmark ,
! 				this.numberEligibleTickers ,
! 				this.wFLagWeightedPositionsChooser ,
! 				this.numDaysBetweenEachOptimization ,
! 				this.account );
  		}
  		public static void WriteToTextLog( string message )
--- 124,133 ----
  			this.endOfDayTimerHandler =
  				new WFLagEndOfDayTimerHandler(
! 					this.tickerGroupID ,
! 					this.benchmark ,
! 					this.numberEligibleTickers ,
! 					this.wFLagWeightedPositionsChooser ,
! 					this.numDaysBetweenEachOptimization ,
! 					this.account );
  		}
  		public static void WriteToTextLog( string message )
***************
*** 139,143 ****
  //				FileMode.OpenOrCreate );
  			StreamWriter streamWriter = new StreamWriter( "WFLagLog.Txt" ,
! 				true );
  			streamWriter.WriteLine( message );
  			streamWriter.Close();
--- 140,144 ----
  //				FileMode.OpenOrCreate );
  			StreamWriter streamWriter = new StreamWriter( "WFLagLog.Txt" ,
! 			                                             true );
  			streamWriter.WriteLine( message );
  			streamWriter.Close();
***************
*** 153,161 ****
  			// when large populations are chosen
  //			if ( eventArgs.CurrentProgress % 20 == 0 )
! 				RunWalkForwardLag.WriteToTextLog(
! 					eventArgs.CurrentProgress.ToString() + " / " +
! 					eventArgs.Goal.ToString() +
! 					" - " +
! 					DateTime.Now.ToString() );
  		}
  		private void run_initializeProgressHandlers()
--- 154,162 ----
  			// when large populations are chosen
  //			if ( eventArgs.CurrentProgress % 20 == 0 )
! 			RunWalkForwardLag.WriteToTextLog(
! 				eventArgs.CurrentProgress.ToString() + " / " +
! 				eventArgs.Goal.ToString() +
! 				" - " +
! 				DateTime.Now.ToString() );
  		}
  		private void run_initializeProgressHandlers()
***************
*** 165,169 ****
  		}
  		public void marketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if ( this.account.Transactions.Count == 0 )
--- 166,170 ----
  		}
  		public void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if ( this.account.Transactions.Count == 0 )
***************
*** 172,179 ****
  		#region marketCloseEventHandler
  		private void marketCloseEventHandler_handleProgessBarForm(
! 			IEndOfDayTimer endOfDayTimer )
  		{
  			string progress = "Current out of sample date:" +
! 				endOfDayTimer.GetCurrentTime().DateTime.ToString() + " - " +
  				"First date:" + this.firstDateTime.ToString() + " - " +
  				"Last date:" + this.lastDateTime.ToString();
--- 173,180 ----
  		#region marketCloseEventHandler
  		private void marketCloseEventHandler_handleProgessBarForm(
! 			Timer endOfDayTimer )
  		{
  			string progress = "Current out of sample date:" +
! 				endOfDayTimer.GetCurrentDateTime().ToString() + " - " +
  				"First date:" + this.firstDateTime.ToString() + " - " +
  				"Last date:" + this.lastDateTime.ToString();
***************
*** 210,214 ****
  				this.wFLagWeightedPositionsChooser.NumberOfPortfolioPositions + "_" +
  				"From_" + this.getShortStringForDateTime(
! 				(DateTime)this.account.Transactions.GetKey( 0 ) ) + "_" +
  				"To_" + this.getShortStringForDateTime( currentTime ) + "_" +
  				"inSample_" + this.numberDaysForInSampleOptimization.ToString() + "_" +
--- 211,215 ----
  				this.wFLagWeightedPositionsChooser.NumberOfPortfolioPositions + "_" +
  				"From_" + this.getShortStringForDateTime(
! 					(DateTime)this.account.Transactions.GetKey( 0 ) ) + "_" +
  				"To_" + this.getShortStringForDateTime( currentTime ) + "_" +
  				"inSample_" + this.numberDaysForInSampleOptimization.ToString() + "_" +
***************
*** 224,240 ****
  				new VisualObjectArchiver();
  			visualObjectArchiver.Save( this.wFLagLog , "qPWFLagLog" ,
! 				this.getDefaultLogFileName( currentTime ) , defaultFolderPath );
  		}
  		private void showReport( object sender )
  		{
  			DateTime lastReportDateTime = this.lastDateTime;
! 			if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime <
! 				lastReportDateTime )
  				lastReportDateTime =
! 					( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime;
! 			Report report = new Report( this.account , this.historicalQuoteProvider );
! 			report.Create( "Walk Forward Lag" , 1 ,
! 				new EndOfDayDateTime( lastReportDateTime ,
! 				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  				this.benchmark );
  			report.Show();
--- 225,244 ----
  				new VisualObjectArchiver();
  			visualObjectArchiver.Save( this.wFLagLog , "qPWFLagLog" ,
! 			                          this.getDefaultLogFileName( currentTime ) , defaultFolderPath );
  		}
  		private void showReport( object sender )
  		{
  			DateTime lastReportDateTime = this.lastDateTime;
! 			if ( ( ( Timer )sender ).GetCurrentDateTime() <
! 			    lastReportDateTime )
  				lastReportDateTime =
! 					( ( Timer )sender ).GetCurrentDateTime();
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Create(
! 				"Walk Forward Lag" , 1 ,
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
! 					lastReportDateTime ) ,
! //				new EndOfDayDateTime( lastReportDateTime ,
! //				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  				this.benchmark );
  			report.Show();
***************
*** 248,264 ****
  				this.endOfDayTimerHandler.AreBestTickersToBeChosen();
  			return
! 			( ( currentTime >	this.lastDateTime ) ||
! 				( scriptTimeElapsed && areBestTickersToBeChosen ) );
  		}
  		private void marketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			DateTime currentTime =
! 				( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime;
  			if ( this.isTimeToStop( currentTime ) )
  			{
  				// either the simulation has reached the ending date or
  				// too much time elapsed since the simulation started
! 				this.account.EndOfDayTimer.Stop();
  				//				this.progressBarForm.Close();
  				//				ObjectArchiver.Archive( this.account ,
--- 252,268 ----
  				this.endOfDayTimerHandler.AreBestTickersToBeChosen();
  			return
! 				( ( currentTime >	this.lastDateTime ) ||
! 				 ( scriptTimeElapsed && areBestTickersToBeChosen ) );
  		}
  		private void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			DateTime currentTime =
! 				( ( Timer )sender ).GetCurrentDateTime();
  			if ( this.isTimeToStop( currentTime ) )
  			{
  				// either the simulation has reached the ending date or
  				// too much time elapsed since the simulation started
! 				this.account.Timer.Stop();
  				//				this.progressBarForm.Close();
  				//				ObjectArchiver.Archive( this.account ,
***************
*** 276,284 ****
  				// the simulation has not reached the ending date, yet
  				this.marketCloseEventHandler_handleProgessBarForm(
! 					( IEndOfDayTimer )sender );
  		}
  		#endregion
  		private void newChosenPositionsEventHandler( object sender ,
! 			WFLagNewChosenPositionsEventArgs eventArgs )
  		{
  //			WFLagChosenPositions wFLagChosenPositions =
--- 280,288 ----
  				// the simulation has not reached the ending date, yet
  				this.marketCloseEventHandler_handleProgessBarForm(
! 					( Timer )sender );
  		}
  		#endregion
  		private void newChosenPositionsEventHandler( object sender ,
! 		                                            WFLagNewChosenPositionsEventArgs eventArgs )
  		{
  //			WFLagChosenPositions wFLagChosenPositions =
***************
*** 287,306 ****
  			this.wFLagLog.Add( eventArgs.WFLagLogItem );
  		}
  		private void run_addEventHandlers()
  		{
! 			this.endOfDayTimer.MarketOpen +=
! 				new MarketOpenEventHandler( this.marketOpenEventHandler );
! 			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! 				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 				this.marketCloseEventHandler );
  			this.endOfDayTimerHandler.NewChosenPositions +=
  				new NewChosenPositionsEventHandler(
! 				this.newChosenPositionsEventHandler	);
  		}
  		public override void Run()
--- 291,321 ----
  			this.wFLagLog.Add( eventArgs.WFLagLogItem );
  		}
+ 		
+ 		private void newDateTimeEventHandler( object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ 				this.marketCloseEventHandler( sender , dateTime );
+ 		}
  		private void run_addEventHandlers()
  		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
! 
! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler( this.marketOpenEventHandler );
! //			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! //				new FiveMinutesBeforeMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.marketCloseEventHandler );
  			this.endOfDayTimerHandler.NewChosenPositions +=
  				new NewChosenPositionsEventHandler(
! 					this.newChosenPositionsEventHandler	);
  		}
  		public override void Run()

Index: WFLagChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagChosenTickers.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** WFLagChosenTickers.cs	19 Aug 2008 17:13:12 -0000	1.11
--- WFLagChosenTickers.cs	29 Sep 2008 21:20:52 -0000	1.12
***************
*** 48,52 ****
  		protected int numberOfPositionsToBeChosen;
  		protected int inSampleDays;
! 		protected IEndOfDayTimer endOfDayTimer;
  		protected int generationNumberForGeneticOptimizer;
  		protected int populationSizeForGeneticOptimizer;
--- 48,52 ----
  		protected int numberOfPositionsToBeChosen;
  		protected int inSampleDays;
! 		protected Timer endOfDayTimer;
  		protected int generationNumberForGeneticOptimizer;
  		protected int populationSizeForGeneticOptimizer;
***************
*** 112,116 ****
  			int numberOfPositionsToBeChosen ,
  			int inSampleDays ,
! 			IEndOfDayTimer endOfDayTimer ,
  			int generationNumberForGeneticOptimizer ,
  			int populationSizeForGeneticOptimizer ,
--- 112,116 ----
  			int numberOfPositionsToBeChosen ,
  			int inSampleDays ,
! 			Timer endOfDayTimer ,
  			int generationNumberForGeneticOptimizer ,
  			int populationSizeForGeneticOptimizer ,
***************
*** 167,174 ****
  		{
  			this.firstOptimizationDate =
! 				this.endOfDayTimer.GetCurrentTime().DateTime.AddDays(
  				-( this.inSampleDays - 1 ) );
  			this.lastOptimizationDate =
! 				this.endOfDayTimer.GetCurrentTime().DateTime;
  
  			WFLagGenomeManager genomeManager = 
--- 167,174 ----
  		{
  			this.firstOptimizationDate =
! 				this.endOfDayTimer.GetCurrentDateTime().AddDays(
  				-( this.inSampleDays - 1 ) );
  			this.lastOptimizationDate =
! 				this.endOfDayTimer.GetCurrentDateTime();
  
  			WFLagGenomeManager genomeManager = 

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank RunWalkForwardMultiOneRank.cs, 1.4, 1.5 WFMultiOneRankChosenTickers.cs, 1.1, 1.2 WFMultiOneRankEligibleTickers.cs, 1.2, 1.3 WFMultiOneRankEndOfDayTimerHandler.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18335

Modified Files:
	RunWalkForwardMultiOneRank.cs WFMultiOneRankChosenTickers.cs 
	WFMultiOneRankEligibleTickers.cs 
	WFMultiOneRankEndOfDayTimerHandler.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: WFMultiOneRankEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankEndOfDayTimerHandler.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** WFMultiOneRankEndOfDayTimerHandler.cs	14 Mar 2006 14:47:52 -0000	1.4
--- WFMultiOneRankEndOfDayTimerHandler.cs	29 Sep 2008 21:20:54 -0000	1.5
***************
*** 3,7 ****
  
  WFMultiOneRankEndOfDayTimerHandler.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  WFMultiOneRankEndOfDayTimerHandler.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Collections;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Collections;
***************
*** 38,42 ****
  	/// This is the core strategy!
  	/// </summary>
! 	public class WFMultiOneRankEndOfDayTimerHandler
  	{
  		private WFMultiOneRankEligibleTickers eligibleTickers;
--- 38,43 ----
  	/// This is the core strategy!
  	/// </summary>
! 	public class WFMultiOneRankEndOfDayTimerHandler :
! 		QuantProject.Business.Strategies.EndOfDayTimerHandler
  	{
  		private WFMultiOneRankEligibleTickers eligibleTickers;
***************
*** 108,117 ****
  			this.eligibleTickers =
  				new WFMultiOneRankEligibleTickers( this.tickerGroupID ,
! 				this.benchmark ,
! 				numberEligibleTickers ,	inSampleWindowDays ,
! 				this.account.EndOfDayTimer );
  			this.chosenTickers = new WFMultiOneRankChosenTickers(
  				this.eligibleTickers , this.numberOfPositionsToBeChosen ,
! 				this.inSampleWindowDays ,	this.account.EndOfDayTimer ,
  				this.generationNumberForGeneticOptimizer ,
  				this. populationSizeForGeneticOptimizer );
--- 109,118 ----
  			this.eligibleTickers =
  				new WFMultiOneRankEligibleTickers( this.tickerGroupID ,
! 				                                  this.benchmark ,
! 				                                  numberEligibleTickers ,	inSampleWindowDays ,
! 				                                  this.account.Timer );
  			this.chosenTickers = new WFMultiOneRankChosenTickers(
  				this.eligibleTickers , this.numberOfPositionsToBeChosen ,
! 				this.inSampleWindowDays ,	this.account.Timer ,
  				this.generationNumberForGeneticOptimizer ,
  				this. populationSizeForGeneticOptimizer );
***************
*** 123,129 ****
  			this.lastOptimizationDate = DateTime.MinValue;
  		}
! 		private EndOfDayDateTime now()
  		{
! 			return this.account.EndOfDayTimer.GetCurrentTime();
  		}
  		private void bestPerformingNewProgress(
--- 124,130 ----
  			this.lastOptimizationDate = DateTime.MinValue;
  		}
! 		private DateTime now()
  		{
! 			return this.account.Timer.GetCurrentDateTime();
  		}
  		private void bestPerformingNewProgress(
***************
*** 136,142 ****
  			bool returnValue =
  				( ( ( this.account.Portfolio.Count == 0 )
! 				&& ( ( this.lastOptimizationDate == DateTime.MinValue ) ) ) ||
! 				( this.now().DateTime >=
! 				this.lastOptimizationDate.AddDays( this.outOfSampleWindowDays ) ) );
  			return returnValue;
  		}
--- 137,143 ----
  			bool returnValue =
  				( ( ( this.account.Portfolio.Count == 0 )
! 				   && ( ( this.lastOptimizationDate == DateTime.MinValue ) ) ) ||
! 				 ( this.now() >=
! 				  this.lastOptimizationDate.AddDays( this.outOfSampleWindowDays ) ) );
  			return returnValue;
  		}
***************
*** 147,151 ****
  		/// <param name="eventArgs"></param>
  		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if ( this.areBestTickersToBeChosen() )
--- 148,152 ----
  		/// <param name="eventArgs"></param>
  		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if ( this.areBestTickersToBeChosen() )
***************
*** 157,167 ****
  				this.eligibleTickers.SetTickers();
  				Console.WriteLine( "Number of Eligible tickers: " +
! 					this.eligibleTickers.EligibleTickers.Rows.Count );
  				this.chosenTickers.SetTickers( this.eligibleTickers );
! 				this.lastOptimizationDate = this.now().DateTime;
  			}
  			//			oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
  		}
  		//		#endregion
  		#region FiveMinutesBeforeMarketCloseEventHandler
  		private string getTicker( string signedTicker )
--- 158,169 ----
  				this.eligibleTickers.SetTickers();
  				Console.WriteLine( "Number of Eligible tickers: " +
! 				                  this.eligibleTickers.EligibleTickers.Rows.Count );
  				this.chosenTickers.SetTickers( this.eligibleTickers );
! 				this.lastOptimizationDate = this.now();
  			}
  			//			oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
  		}
  		//		#endregion
+ 		
  		#region FiveMinutesBeforeMarketCloseEventHandler
  		private string getTicker( string signedTicker )
***************
*** 187,197 ****
  			double todayMarketValueAtClose =
  				this.account.DataStreamer.GetCurrentBid( ticker );
! 			EndOfDayDateTime yesterdayAtClose = new
! 				EndOfDayDateTime(
! 				this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
! 				EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
  				this.historicalAdjustedQuoteProvider.GetMarketValue(
! 				ticker , yesterdayAtClose );
  			double returnValue =
  				( todayMarketValueAtClose - yesterdayMarketValueAtClose ) /
--- 189,201 ----
  			double todayMarketValueAtClose =
  				this.account.DataStreamer.GetCurrentBid( ticker );
! 			DateTime yesterdayAtClose =
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					this.account.Timer.GetCurrentDateTime().AddDays( - 1 ) );
! //			new	EndOfDayDateTime(
! //					this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
! //					EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
  				this.historicalAdjustedQuoteProvider.GetMarketValue(
! 					ticker , yesterdayAtClose );
  			double returnValue =
  				( todayMarketValueAtClose - yesterdayMarketValueAtClose ) /
***************
*** 217,251 ****
  			return totalReturn < 0;
  		}
! 		private OrderType fiveMinutesBeforeMarketCloseEventHandler_openPosition_getOrderType(
  			string signedTicker , bool isToReverse )
  		{
  			OrderType orderType = OrderType.MarketBuy;
  			if ( ( signedTicker.StartsWith( "-" ) && !isToReverse ) ||
! 				( !signedTicker.StartsWith( "-" ) && isToReverse ) )
  				orderType = OrderType.MarketSellShort;
  			return orderType;
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
  			string signedTicker , bool isToReverse )
  		{
  			string ticker = this.getTicker( signedTicker );
  			OrderType orderType =
! 				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition_getOrderType(
! 				signedTicker , isToReverse );
  			double maxPositionValue = this.account.GetMarketValue() /
  				this.numberOfPositionsToBeChosen;
  			long sharesToBeTraded = OneRank.MaxBuyableShares( ticker ,
! 				maxPositionValue , this.account.DataStreamer );
  			this.account.AddOrder( new Order( orderType ,
! 				new Instrument( ticker ) , sharesToBeTraded ) );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
  			bool isToReverse = this.isToReverse();
  			foreach ( string signedTicker in this.chosenTickers.Keys )
! 				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( 
  					signedTicker , isToReverse );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePosition(
  			string ticker )
  		{
--- 221,255 ----
  			return totalReturn < 0;
  		}
! 		private OrderType marketCloseEventHandler_openPosition_getOrderType(
  			string signedTicker , bool isToReverse )
  		{
  			OrderType orderType = OrderType.MarketBuy;
  			if ( ( signedTicker.StartsWith( "-" ) && !isToReverse ) ||
! 			    ( !signedTicker.StartsWith( "-" ) && isToReverse ) )
  				orderType = OrderType.MarketSellShort;
  			return orderType;
  		}
! 		private void marketCloseEventHandler_openPosition(
  			string signedTicker , bool isToReverse )
  		{
  			string ticker = this.getTicker( signedTicker );
  			OrderType orderType =
! 				this.marketCloseEventHandler_openPosition_getOrderType(
! 					signedTicker , isToReverse );
  			double maxPositionValue = this.account.GetMarketValue() /
  				this.numberOfPositionsToBeChosen;
  			long sharesToBeTraded = OneRank.MaxBuyableShares( ticker ,
! 			                                                 maxPositionValue , this.account.DataStreamer );
  			this.account.AddOrder( new Order( orderType ,
! 			                                 new Instrument( ticker ) , sharesToBeTraded ) );
  		}
! 		private void marketCloseEventHandler_openPositions()
  		{
  			bool isToReverse = this.isToReverse();
  			foreach ( string signedTicker in this.chosenTickers.Keys )
! 				this.marketCloseEventHandler_openPosition(
  					signedTicker , isToReverse );
  		}
! 		private void marketCloseEventHandler_closePosition(
  			string ticker )
  		{
***************
*** 275,279 ****
  			return todayReturnForPortfolioPositions < 0;
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions_actually()
  		{
  			ArrayList tickers = new ArrayList();
--- 279,283 ----
  			return todayReturnForPortfolioPositions < 0;
  		}
! 		private void marketCloseEventHandler_closePositions_actually()
  		{
  			ArrayList tickers = new ArrayList();
***************
*** 281,306 ****
  				tickers.Add( ticker );
  			foreach ( string ticker in tickers )
! 				fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
  		{
  			if ( this.arePositionsToBeClosed() )
! 				this.fiveMinutesBeforeMarketCloseEventHandler_closePositions_actually();
  		}
! 		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if ( this.account.Portfolio.Count == 0 )
! 				fiveMinutesBeforeMarketCloseEventHandler_openPositions();
  			else
  			{
  				if ( this.arePositionsToBeClosed() )
  				{
! 					this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
! 					this.fiveMinutesBeforeMarketCloseEventHandler_openPositions();
  				}
  			}
  		}
  		#endregion
  	}
  }
--- 285,322 ----
  				tickers.Add( ticker );
  			foreach ( string ticker in tickers )
! 				marketCloseEventHandler_closePosition( ticker );
  		}
! 		private void marketCloseEventHandler_closePositions()
  		{
  			if ( this.arePositionsToBeClosed() )
! 				this.marketCloseEventHandler_closePositions_actually();
  		}
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if ( this.account.Portfolio.Count == 0 )
! 				marketCloseEventHandler_openPositions();
  			else
  			{
  				if ( this.arePositionsToBeClosed() )
  				{
! 					this.marketCloseEventHandler_closePositions();
! 					this.marketCloseEventHandler_openPositions();
  				}
  			}
  		}
  		#endregion
+ 		
+ 		protected override void marketOpenEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			;
+ 		}
+ 
+ 		protected override void oneHourAfterMarketCloseEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			;
+ 		}
  	}
  }

Index: WFMultiOneRankEligibleTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankEligibleTickers.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFMultiOneRankEligibleTickers.cs	19 Feb 2006 17:50:29 -0000	1.2
--- WFMultiOneRankEligibleTickers.cs	29 Sep 2008 21:20:54 -0000	1.3
***************
*** 38,42 ****
  		private int numberEligibleTickersToBeChosen;
  		private int numberDaysForPerformanceCalculation;
! 		private IEndOfDayTimer endOfDayTimer;
  
  		private DataTable eligibleTickers;
--- 38,42 ----
  		private int numberEligibleTickersToBeChosen;
  		private int numberDaysForPerformanceCalculation;
! 		private Timer endOfDayTimer;
  
  		private DataTable eligibleTickers;
***************
*** 52,56 ****
  			int numberEligibleTickersToBeChosen ,
  			int numberDaysForPerformanceCalculation ,
! 			IEndOfDayTimer endOfDayTimer )
  		{
  			this.tickerGroupID = tickerGroupID;
--- 52,56 ----
  			int numberEligibleTickersToBeChosen ,
  			int numberDaysForPerformanceCalculation ,
! 			Timer endOfDayTimer )
  		{
  			this.tickerGroupID = tickerGroupID;
***************
*** 65,69 ****
  		private DataTable setTickers_build_getSelectedTickers()
  		{
! 			DateTime dateTime = this.endOfDayTimer.GetCurrentTime().DateTime;
  //			SelectorByGroup selectorByGroup =
  //				new SelectorByGroup( "SP500" , dateTime );
--- 65,69 ----
  		private DataTable setTickers_build_getSelectedTickers()
  		{
! 			DateTime dateTime = this.endOfDayTimer.GetCurrentDateTime();
  //			SelectorByGroup selectorByGroup =
  //				new SelectorByGroup( "SP500" , dateTime );

Index: WFMultiOneRankChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankChosenTickers.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFMultiOneRankChosenTickers.cs	12 Nov 2005 18:39:33 -0000	1.1
--- WFMultiOneRankChosenTickers.cs	29 Sep 2008 21:20:54 -0000	1.2
***************
*** 40,44 ****
  		private int numberOfTickersInPortfolio;
  		private int inSampleDays;
! 		private IEndOfDayTimer endOfDayTimer;
  		private int generationNumberForGeneticOptimizer;
  		private int populationSizeForGeneticOptimizer;
--- 40,44 ----
  		private int numberOfTickersInPortfolio;
  		private int inSampleDays;
! 		private Timer endOfDayTimer;
  		private int generationNumberForGeneticOptimizer;
  		private int populationSizeForGeneticOptimizer;
***************
*** 50,54 ****
  			int numberOfTickersInPortfolio ,
  			int inSampleDays ,
! 			IEndOfDayTimer endOfDayTimer ,
  			int generationNumberForGeneticOptimizer ,
  			int populationSizeForGeneticOptimizer
--- 50,54 ----
  			int numberOfTickersInPortfolio ,
  			int inSampleDays ,
! 			Timer endOfDayTimer ,
  			int generationNumberForGeneticOptimizer ,
  			int populationSizeForGeneticOptimizer
***************
*** 87,91 ****
  
  			DateTime firstDate =
! 				this.endOfDayTimer.GetCurrentTime().DateTime.AddDays(
  				-( this.inSampleDays - 1 ) );
  
--- 87,91 ----
  
  			DateTime firstDate =
! 				this.endOfDayTimer.GetCurrentDateTime().AddDays(
  				-( this.inSampleDays - 1 ) );
  
***************
*** 94,98 ****
  				eligibleTickers.EligibleTickers ,
  				firstDate ,
! 				this.endOfDayTimer.GetCurrentTime().DateTime ,
  				this.numberOfTickersInPortfolio ,
  				0.0 );
--- 94,98 ----
  				eligibleTickers.EligibleTickers ,
  				firstDate ,
! 				this.endOfDayTimer.GetCurrentDateTime() ,
  				this.numberOfTickersInPortfolio ,
  				0.0 );

Index: RunWalkForwardMultiOneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/RunWalkForwardMultiOneRank.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunWalkForwardMultiOneRank.cs	14 Mar 2006 14:51:12 -0000	1.4
--- RunWalkForwardMultiOneRank.cs	29 Sep 2008 21:20:54 -0000	1.5
***************
*** 3,7 ****
  
  RunWalkForwardOneRank.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  RunWalkForwardOneRank.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 51,56 ****
  	public class RunWalkForwardMultiOneRank : Script
  	{
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
!     private ReportTable reportTable;
  
  		private string tickerGroupID;
--- 51,56 ----
  	public class RunWalkForwardMultiOneRank : Script
  	{
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private ReportTable reportTable;
  
  		private string tickerGroupID;
***************
*** 68,72 ****
  		private WFMultiOneRankEndOfDayTimerHandler endOfDayTimerHandler;
  		private Account account;
! 		private IEndOfDayTimer endOfDayTimer;
  		private DateTime startingTimeForScript;
  
--- 68,72 ----
  		private WFMultiOneRankEndOfDayTimerHandler endOfDayTimerHandler;
  		private Account account;
! 		private QuantProject.Business.Timing.Timer endOfDayTimer;
  		private DateTime startingTimeForScript;
  
***************
*** 103,110 ****
  //		public event NewProgressEventHandler OutOfSampleNewProgress;
  
!     #region Run
  		private void run_initializeHistoricalQuoteProvider()
  		{
! 			this.historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
  			this.startingTimeForScript = DateTime.Now;
--- 103,110 ----
  //		public event NewProgressEventHandler OutOfSampleNewProgress;
  
! 		#region Run
  		private void run_initializeHistoricalQuoteProvider()
  		{
! 			this.historicalMarketValueProvider =
  				new HistoricalAdjustedQuoteProvider();
  			this.startingTimeForScript = DateTime.Now;
***************
*** 112,129 ****
  		private void run_initializeEndOfDayTimer()
  		{
! 			EndOfDayDateTime endOfDayDateTime =
! 				new EndOfDayDateTime( firstDateTime ,
! 				EndOfDaySpecificTime.MarketOpen );
  			this.endOfDayTimer =
! 				new IndexBasedEndOfDayTimer( endOfDayDateTime ,
! 					this.benchmark );
  		}
  		private void run_initializeAccount()
  		{
  			this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
--- 112,130 ----
  		private void run_initializeEndOfDayTimer()
  		{
! 			DateTime dateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( this.firstDateTime );
! //				new EndOfDayDateTime( firstDateTime ,
! //				EndOfDaySpecificTime.MarketOpen );
  			this.endOfDayTimer =
! 				new IndexBasedEndOfDayTimer( dateTime ,
! 				                            this.benchmark );
  		}
  		private void run_initializeAccount()
  		{
  			this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
***************
*** 131,143 ****
  			this.endOfDayTimerHandler =
  				new WFMultiOneRankEndOfDayTimerHandler(
! 				this.tickerGroupID ,
! 				this.benchmark ,
! 				this.numberEligibleTickers ,
! 				this.numberOfPortfolioPositions ,
! 				this.numberDaysForInSampleOptimization ,
! 				this.numDaysBetweenEachOptimization ,
! 				this.account ,
! 				this.generationNumberForGeneticOptimizer ,
! 				this.populationSizeForGeneticOptimizer );
  //			this.endOfDayTimerHandler = new EndOfDayTimerHandler( 4 , 3 , 2 , 100 , 30 ,
  //				this.account );
--- 132,144 ----
  			this.endOfDayTimerHandler =
  				new WFMultiOneRankEndOfDayTimerHandler(
! 					this.tickerGroupID ,
! 					this.benchmark ,
! 					this.numberEligibleTickers ,
! 					this.numberOfPortfolioPositions ,
! 					this.numberDaysForInSampleOptimization ,
! 					this.numDaysBetweenEachOptimization ,
! 					this.account ,
! 					this.generationNumberForGeneticOptimizer ,
! 					this.populationSizeForGeneticOptimizer );
  //			this.endOfDayTimerHandler = new EndOfDayTimerHandler( 4 , 3 , 2 , 100 , 30 ,
  //				this.account );
***************
*** 159,207 ****
  				new InSampleNewProgressEventHandler( this.inSampleNewProgressEventHandler );
  		}
  		#region oneHourAfterMarketCloseEventHandler
  		private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
! 			IEndOfDayTimer endOfDayTimer )
  		{
  			string progress = "Current out of sample date:" +
! 				endOfDayTimer.GetCurrentTime().DateTime.ToString() + " - " +
  				"First date:" + this.firstDateTime.ToString() + " - " +
  				"Last date:" + this.lastDateTime.ToString();
  			Console.WriteLine( progress );
! 		}
! 		public void marketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			if ( this.account.Transactions.Count == 0 )
! 				this.account.AddCash( 30000 );
! 		}
! 		public void oneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
! 				this.lastDateTime ) ||
! 				( DateTime.Now >=
! 				this.startingTimeForScript.AddHours( this.maxRunningHours ) ) )
  			{
  				// the simulation has reached the ending date
! 				this.account.EndOfDayTimer.Stop();
  //				this.progressBarForm.Close();
  //				ObjectArchiver.Archive( this.account ,
  //					@"C:\Documents and Settings\Glauco\Desktop\reports\final.qP" );
  				DateTime lastReportDateTime = this.lastDateTime;
! 				if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime <
! 					lastReportDateTime )
  					lastReportDateTime =
! 						( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime;
! 				Report report = new Report( this.account , this.historicalQuoteProvider );
! 				report.Create( "WFT One Rank" , 1 ,
! 					new EndOfDayDateTime( lastReportDateTime ,
! 					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  					this.benchmark );
  				WFMultiOneRankReportDebugger wFMultiOneRankReportDebugger =
  					new WFMultiOneRankReportDebugger( this.numberOfPortfolioPositions ,
! 					this.numberDaysForInSampleOptimization , this.benchmark );
  				report.TransactionGrid.MouseUp +=
  					new MouseEventHandler(
! 					wFMultiOneRankReportDebugger.MouseClickEventHandler );
  				report.Show();
  			}
--- 160,212 ----
  				new InSampleNewProgressEventHandler( this.inSampleNewProgressEventHandler );
  		}
+ 		
+ 		public void marketOpenEventHandler(
+ 			Object sender , DateTime sateTime )
+ 		{
+ 			if ( this.account.Transactions.Count == 0 )
+ 				this.account.AddCash( 30000 );
+ 		}
+ 		
  		#region oneHourAfterMarketCloseEventHandler
  		private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
! 			QuantProject.Business.Timing.Timer endOfDayTimer )
  		{
  			string progress = "Current out of sample date:" +
! 				endOfDayTimer.GetCurrentDateTime().ToString() + " - " +
  				"First date:" + this.firstDateTime.ToString() + " - " +
  				"Last date:" + this.lastDateTime.ToString();
  			Console.WriteLine( progress );
! 		}		
! 		private void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			if ( ( ( ( QuantProject.Business.Timing.Timer )sender ).GetCurrentDateTime() >
! 			      this.lastDateTime ) ||
! 			    ( DateTime.Now >=
! 			     this.startingTimeForScript.AddHours( this.maxRunningHours ) ) )
  			{
  				// the simulation has reached the ending date
! 				this.account.Timer.Stop();
  //				this.progressBarForm.Close();
  //				ObjectArchiver.Archive( this.account ,
  //					@"C:\Documents and Settings\Glauco\Desktop\reports\final.qP" );
  				DateTime lastReportDateTime = this.lastDateTime;
! 				if ( ( ( QuantProject.Business.Timing.Timer )sender ).GetCurrentDateTime() <
! 				    lastReportDateTime )
  					lastReportDateTime =
! 						( ( QuantProject.Business.Timing.Timer )sender ).GetCurrentDateTime();
! 				Report report = new Report( this.account , this.historicalMarketValueProvider );
! 				report.Create(
! 					"WFT One Rank" , 1 ,
! 					HistoricalEndOfDayTimer.GetMarketClose( lastReportDateTime ) ,
! //					new EndOfDayDateTime( lastReportDateTime ,
! //					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  					this.benchmark );
  				WFMultiOneRankReportDebugger wFMultiOneRankReportDebugger =
  					new WFMultiOneRankReportDebugger( this.numberOfPortfolioPositions ,
! 					                                 this.numberDaysForInSampleOptimization , this.benchmark );
  				report.TransactionGrid.MouseUp +=
  					new MouseEventHandler(
! 						wFMultiOneRankReportDebugger.MouseClickEventHandler );
  				report.Show();
  			}
***************
*** 209,228 ****
  				// the simulation has not reached the ending date, yet
  				this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
! 					( IEndOfDayTimer )sender );
  		}
  		#endregion
  		private void run_addEventHandlers()
  		{
! 			this.endOfDayTimer.MarketOpen +=
! 				new MarketOpenEventHandler( this.marketOpenEventHandler );
! 			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! 				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.oneHourAfterMarketCloseEventHandler );
  		}
  		public override void Run()
--- 214,251 ----
  				// the simulation has not reached the ending date, yet
  				this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
! 					( QuantProject.Business.Timing.Timer )sender );
  		}
  		#endregion
+ 		
+ 		private void newDateTimeEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ 				this.marketOpenEventHandler( sender , dateTime );
+ //			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ //				this.marketCloseEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ 				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ 		}
+ 
+ 		
  		private void run_addEventHandlers()
  		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 
! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler( this.marketOpenEventHandler );
! //			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! //				new FiveMinutesBeforeMarketCloseEventHandler(
! //				this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //				this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //				this.oneHourAfterMarketCloseEventHandler );
  		}
  		public override void Run()
***************
*** 238,242 ****
  			this.endOfDayTimer.Start();
  		}
!     #endregion
  	}
  }
--- 261,265 ----
  			this.endOfDayTimer.Start();
  		}
! 		#endregion
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooserForExactNumberOfBestLongPositions.cs, 1.3, 1.4 OutOfSampleChooserForSingleLongAndShort.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18260/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooserForExactNumberOfBestLongPositions.cs 
	OutOfSampleChooserForSingleLongAndShort.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: OutOfSampleChooserForExactNumberOfBestLongPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooserForExactNumberOfBestLongPositions.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** OutOfSampleChooserForExactNumberOfBestLongPositions.cs	11 May 2008 19:02:29 -0000	1.3
--- OutOfSampleChooserForExactNumberOfBestLongPositions.cs	29 Sep 2008 21:20:43 -0000	1.4
***************
*** 35,38 ****
--- 35,39 ----
  	/// returned are those belonging to the highest correlated couples
  	/// </summary>
+ 	[Serializable]
  	public class OutOfSampleChooserForExactNumberOfBestLongPositions :
  		OutOfSampleChooser

Index: OutOfSampleChooserForSingleLongAndShort.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooserForSingleLongAndShort.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OutOfSampleChooserForSingleLongAndShort.cs	27 Apr 2008 17:43:31 -0000	1.1
--- OutOfSampleChooserForSingleLongAndShort.cs	29 Sep 2008 21:20:44 -0000	1.2
***************
*** 32,35 ****
--- 32,36 ----
  	/// Selects a single couple with a long and a short position
  	/// </summary>
+ 	[Serializable]
  	public class OutOfSampleChooserForSingleLongAndShort :
  		OutOfSampleChooser

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18316/WeightedPositionsChoosers/BruteForce

Modified Files:
	WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/BruteForce/WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs	26 Mar 2008 00:54:54 -0000	1.3
--- WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs	29 Sep 2008 21:20:52 -0000	1.4
***************
*** 3,7 ****
  
  WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 93,99 ****
  				// this chooser doesn't use a genetic optimizer
  				// thus this property is meaningless for this chooser
! 				return -999;	
  			}
! 		}		
  		public string Benchmark
  		{
--- 93,99 ----
  				// this chooser doesn't use a genetic optimizer
  				// thus this property is meaningless for this chooser
! 				return -999;
  			}
! 		}
  		public string Benchmark
  		{
***************
*** 144,148 ****
  			string benchmark ,
  			IEquityEvaluator equityEvaluator
! 			)
  		{
  			this.numberOfDrivingPositions = numberOfDrivingPositions;
--- 144,148 ----
  			string benchmark ,
  			IEquityEvaluator equityEvaluator
! 		)
  		{
  			this.numberOfDrivingPositions = numberOfDrivingPositions;
***************
*** 181,188 ****
  //				( WFLagWeightedPositions )genomeManager.Decode( genome );
  //			this.setWeightedPositions( wFLagWeightedPositions );
! ////			this.drivingWeightedPositions =
! ////				wFLagWeightedPositions.DrivingWeightedPositions;
! ////			this.portfolioWeightedPositions =
! ////				wFLagWeightedPositions.PortfolioWeightedPositions;
  //		}
  //		public virtual void setWeightedPositions_usingTheGeneticOptimizer(
--- 181,188 ----
  //				( WFLagWeightedPositions )genomeManager.Decode( genome );
  //			this.setWeightedPositions( wFLagWeightedPositions );
! 		////			this.drivingWeightedPositions =
! 		////				wFLagWeightedPositions.DrivingWeightedPositions;
! 		////			this.portfolioWeightedPositions =
! 		////				wFLagWeightedPositions.PortfolioWeightedPositions;
  //		}
  //		public virtual void setWeightedPositions_usingTheGeneticOptimizer(
***************
*** 195,199 ****
  //				this.endOfDayTimer.GetCurrentTime().DateTime;
  //
! //			WFLagGenomeManager genomeManager = 
  //				new WFLagGenomeManager(
  //				eligibleTickers.EligibleTickers ,
--- 195,199 ----
  //				this.endOfDayTimer.GetCurrentTime().DateTime;
  //
! //			WFLagGenomeManager genomeManager =
  //				new WFLagGenomeManager(
  //				eligibleTickers.EligibleTickers ,
***************
*** 243,247 ****
  //
  //			WFLagBruteForceOptimizableParametersManager
! //				wFLagBruteForceOptimizableItemManager= 
  //				new WFLagBruteForceOptimizableParametersManager(
  //				eligibleTickers.EligibleTickers ,
--- 243,247 ----
  //
  //			WFLagBruteForceOptimizableParametersManager
! //				wFLagBruteForceOptimizableItemManager=
  //				new WFLagBruteForceOptimizableParametersManager(
  //				eligibleTickers.EligibleTickers ,
***************
*** 275,313 ****
  		#region setReturnsManager
  		protected virtual ReturnIntervals getReturnIntervals(
! 			EndOfDayDateTime now )
  		{
  			DateTime firstInSampleDateForDrivingPositions =
! 				now.DateTime.AddDays(
! 				-( this.NumberDaysForInSampleOptimization - 1 ) );
  			DateTime lastInSampleOptimizationDate =
! 				now.DateTime;
  			ReturnIntervals returnIntervals =
  				new CloseToCloseIntervals(
! 				new EndOfDayDateTime( firstInSampleDateForDrivingPositions ,
! 				EndOfDaySpecificTime.MarketClose ) ,
! 				new EndOfDayDateTime( lastInSampleOptimizationDate ,
! 				EndOfDaySpecificTime.MarketClose ) ,
! 				this.benchmark );
! 			return returnIntervals;
! 		}
! 		private void setReturnsManager( EndOfDayDateTime now )
  		{
  			ReturnIntervals returnIntervals =
  				this.getReturnIntervals( now );
! 			IHistoricalQuoteProvider historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
  			this.returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				historicalQuoteProvider );
  		}
  		#endregion setReturnsManager
  		protected virtual void setDecoder(
! 			WFLagEligibleTickers eligibleTickersForDrivingPositions ,	EndOfDayDateTime now )
  		{
  			this.setReturnsManager( now );
  			this.wFLagDecoder = new
  				WFLagDecoderForFixedPortfolioWithBalancedVolatilityAndDrivingWithBalancedVolatility(
! 				eligibleTickersForDrivingPositions , this.numberOfDrivingPositions ,
! 				this.portfolioSignedTickers , returnsManager );
  		}
  		#endregion setDecoder
--- 275,317 ----
  		#region setReturnsManager
  		protected virtual ReturnIntervals getReturnIntervals(
! 			DateTime now )
  		{
  			DateTime firstInSampleDateForDrivingPositions =
! 				now.AddDays(
! 					-( this.NumberDaysForInSampleOptimization - 1 ) );
  			DateTime lastInSampleOptimizationDate =
! 				now;
  			ReturnIntervals returnIntervals =
  				new CloseToCloseIntervals(
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						firstInSampleDateForDrivingPositions ) ,
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						lastInSampleOptimizationDate ) ,
! //						new EndOfDayDateTime( firstInSampleDateForDrivingPositions ,
! //						                     EndOfDaySpecificTime.MarketClose ) ,
! //						new EndOfDayDateTime( lastInSampleOptimizationDate ,
! //						                     EndOfDaySpecificTime.MarketClose ) ,
! 						this.benchmark );
! 					return returnIntervals;
! 			}
! 		private void setReturnsManager( DateTime now )
  		{
  			ReturnIntervals returnIntervals =
  				this.getReturnIntervals( now );
! 			HistoricalMarketValueProvider historicalMarketValueProvider =
  				new HistoricalAdjustedQuoteProvider();
  			this.returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				                   historicalMarketValueProvider );
  		}
  		#endregion setReturnsManager
  		protected virtual void setDecoder(
! 			WFLagEligibleTickers eligibleTickersForDrivingPositions ,	DateTime now )
  		{
  			this.setReturnsManager( now );
  			this.wFLagDecoder = new
  				WFLagDecoderForFixedPortfolioWithBalancedVolatilityAndDrivingWithBalancedVolatility(
! 					eligibleTickersForDrivingPositions , this.numberOfDrivingPositions ,
! 					this.portfolioSignedTickers , returnsManager );
  		}
  		#endregion setDecoder
***************
*** 326,337 ****
  			WFLagEligibleTickers eligibleTickers ,
  			string longPortfolioTicker , string shortPortfolioTicker ,
! 			EndOfDayDateTime now )
  		{
! 			this.firstOptimizationDate = now.DateTime.AddDays(
  				-( this.inSampleDays - 1 ) );
! 			this.lastOptimizationDate =	now.DateTime;
  
  //			WFLagFixedPortfolioBruteForceOptimizableParametersManager
! //				wFLagFixedPortfolioBruteForceOptimizableParametersManager= 
  //				new WFLagFixedPortfolioBruteForceOptimizableParametersManager(
  //				eligibleTickers.EligibleTickers ,
--- 330,341 ----
  			WFLagEligibleTickers eligibleTickers ,
  			string longPortfolioTicker , string shortPortfolioTicker ,
! 			DateTime now )
  		{
! 			this.firstOptimizationDate = now.AddDays(
  				-( this.inSampleDays - 1 ) );
! 			this.lastOptimizationDate =	now;
  
  //			WFLagFixedPortfolioBruteForceOptimizableParametersManager
! //				wFLagFixedPortfolioBruteForceOptimizableParametersManager=
  //				new WFLagFixedPortfolioBruteForceOptimizableParametersManager(
  //				eligibleTickers.EligibleTickers ,
***************
*** 343,347 ****
  //
  //			WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility
! //				wFLagFixedPortfolioBruteForceOptimizableParametersManager= 
  //				new WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility(
  //				eligibleTickers.EligibleTickers ,
--- 347,351 ----
  //
  //			WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility
! //				wFLagFixedPortfolioBruteForceOptimizableParametersManager=
  //				new WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility(
  //				eligibleTickers.EligibleTickers ,
***************
*** 352,366 ****
  //				this.numberOfDrivingPositions );
  			WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving
! 				wFLagFixedPortfolioBruteForceOptimizableParametersManager= 
  				new WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving(
! 				eligibleTickers.EligibleTickers ,
! 				longPortfolioTicker ,
! 				shortPortfolioTicker ,
! 				this.firstOptimizationDate ,
! 				this.lastOptimizationDate ,
! 				this.numberOfDrivingPositions ,
! 				this.wFLagDecoder ,
! 				this.equityEvaluator ,
! 				this.returnsManager );
  
  			BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer(
--- 356,370 ----
  //				this.numberOfDrivingPositions );
  			WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving
! 				wFLagFixedPortfolioBruteForceOptimizableParametersManager=
  				new WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving(
! 					eligibleTickers.EligibleTickers ,
! 					longPortfolioTicker ,
! 					shortPortfolioTicker ,
! 					this.firstOptimizationDate ,
! 					this.lastOptimizationDate ,
! 					this.numberOfDrivingPositions ,
! 					this.wFLagDecoder ,
! 					this.equityEvaluator ,
! 					this.returnsManager );
  
  			BruteForceOptimizer bruteForceOptimizer = new BruteForceOptimizer(
***************
*** 369,376 ****
  			bruteForceOptimizer.NewProgress +=
  				new NewProgressEventHandler(
! 				this.newBruteForceOptimizerProgressEventHandler );
  
  			bruteForceOptimizer.Run( 10000 ,
! 				wFLagFixedPortfolioBruteForceOptimizableParametersManager.TotalIterations );
  
  			BruteForceOptimizableParameters bestParameters =
--- 373,380 ----
  			bruteForceOptimizer.NewProgress +=
  				new NewProgressEventHandler(
! 					this.newBruteForceOptimizerProgressEventHandler );
  
  			bruteForceOptimizer.Run( 10000 ,
! 			                        wFLagFixedPortfolioBruteForceOptimizableParametersManager.TotalIterations );
  
  			BruteForceOptimizableParameters bestParameters =
***************
*** 379,383 ****
  			this.wFLagChosenPositions =
  				( WFLagWeightedPositions )wFLagFixedPortfolioBruteForceOptimizableParametersManager.Decode(
! 				bestParameters );
  
  //			this.setWeightedPositions( wFLagWeightedPositions );
--- 383,387 ----
  			this.wFLagChosenPositions =
  				( WFLagWeightedPositions )wFLagFixedPortfolioBruteForceOptimizableParametersManager.Decode(
! 					bestParameters );
  
  //			this.setWeightedPositions( wFLagWeightedPositions );
***************
*** 387,391 ****
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
! 			EndOfDayDateTime now )
  		{
  			this.setDecoder( eligibleTickersForDrivingPositions , now );
--- 391,395 ----
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
! 			DateTime now )
  		{
  			this.setDecoder( eligibleTickersForDrivingPositions , now );

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions WFLagDebugPositions.cs, 1.6, 1.7 WFLagDebugPositionsEndOfDayTimerHandler.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18316/WFLagDebugger/WFLagDebugPositions

Modified Files:
	WFLagDebugPositions.cs 
	WFLagDebugPositionsEndOfDayTimerHandler.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: WFLagDebugPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions/WFLagDebugPositions.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WFLagDebugPositions.cs	28 Oct 2007 19:16:07 -0000	1.6
--- WFLagDebugPositions.cs	29 Sep 2008 21:20:54 -0000	1.7
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 91,105 ****
  			this.endOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 				new EndOfDayDateTime( this.preSampleFirstDateTime ,
! 				EndOfDaySpecificTime.MarketOpen ), this.benchmark );
  		}
  		private void run_initializeAccount()
  		{
  			this.account = new Account( "WFLagDebugPositions" ,
! 				this.endOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 				this.historicalQuoteProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
--- 91,107 ----
  			this.endOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen( this.preSampleFirstDateTime ) ,
! //				new EndOfDayDateTime( this.preSampleFirstDateTime ,
! //				EndOfDaySpecificTime.MarketOpen ),
! 					this.benchmark );
  		}
  		private void run_initializeAccount()
  		{
  			this.account = new Account( "WFLagDebugPositions" ,
! 			                           this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalQuoteProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalQuoteProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
***************
*** 107,118 ****
  			this.endOfDayTimerHandler =
  				new WFLagDebugPositionsEndOfDayTimerHandler(
! 				this.account , this.wFLagWeightedPositions );
  		}
! 		public void marketOpenEventHandler(	Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if ( this.account.Transactions.Count == 0 )
  				this.account.AddCash( 30000 );
  		}
  		#region oneHourAfterMarketCloseEventHandler
  		#region getEquityLineForSignedTickers
--- 109,121 ----
  			this.endOfDayTimerHandler =
  				new WFLagDebugPositionsEndOfDayTimerHandler(
! 					this.account , this.wFLagWeightedPositions );
  		}
! 		public void marketOpenEventHandler(
! 			Object sender ,	DateTime dateTime )
  		{
  			if ( this.account.Transactions.Count == 0 )
  				this.account.AddCash( 30000 );
  		}
+ 		
  		#region oneHourAfterMarketCloseEventHandler
  		#region getEquityLineForSignedTickers
***************
*** 124,128 ****
  		/// <returns></returns>
  		private Hashtable getVirtualQuantities( ICollection positions ,
! 			DateTime dateTime )
  		{
  			Hashtable virtualQuantities = new Hashtable();
--- 127,131 ----
  		/// <returns></returns>
  		private Hashtable getVirtualQuantities( ICollection positions ,
! 		                                       DateTime dateTime )
  		{
  			Hashtable virtualQuantities = new Hashtable();
***************
*** 133,141 ****
  				SignedTicker signedTicker = new SignedTicker( stringForSignedTicker );
  				string ticker = signedTicker.Ticker;
! 				EndOfDayDateTime endOfDayDateTime =
! 					new EndOfDayDateTime( dateTime , EndOfDaySpecificTime.MarketClose );
  				double tickerQuote =
  					this.historicalQuoteProvider.GetMarketValue(
! 					ticker , endOfDayDateTime );
  				double virtualQuantity = valueForEachPosition / tickerQuote;
  				if ( signedTicker.IsShort )
--- 136,145 ----
  				SignedTicker signedTicker = new SignedTicker( stringForSignedTicker );
  				string ticker = signedTicker.Ticker;
! 				DateTime dateTimeOnClose =
! 					HistoricalEndOfDayTimer.GetMarketClose(	dateTime );
! //						new EndOfDayDateTime( dateTime , EndOfDaySpecificTime.MarketClose );
  				double tickerQuote =
  					this.historicalQuoteProvider.GetMarketValue(
! 						ticker , dateTimeOnClose );
  				double virtualQuantity = valueForEachPosition / tickerQuote;
  				if ( signedTicker.IsShort )
***************
*** 151,155 ****
  				cash / drivingTickerVirtualQuantities.Count;
  			foreach ( double virtualQuantity in
! 				drivingTickerVirtualQuantities.Values )
  			{
  				if ( virtualQuantity > 0 )
--- 155,159 ----
  				cash / drivingTickerVirtualQuantities.Count;
  			foreach ( double virtualQuantity in
! 			         drivingTickerVirtualQuantities.Values )
  			{
  				if ( virtualQuantity > 0 )
***************
*** 163,175 ****
  		}
  		private double getPortfolioValueForSignedTickers( DateTime dateTime ,
! 			Hashtable tickerVirtualQuantities )
  		{
  			double portfolioValueForDrivingPositions = 0;
  			foreach( string ticker in tickerVirtualQuantities.Keys )
  			{
! 				EndOfDayDateTime endOfDayDateTime =	new EndOfDayDateTime(
! 					dateTime , EndOfDaySpecificTime.MarketClose );
  				double tickerQuote = this.historicalQuoteProvider.GetMarketValue(
! 					ticker , endOfDayDateTime );
  				double virtualQuantity = (double)tickerVirtualQuantities[ ticker ];
  				portfolioValueForDrivingPositions +=	virtualQuantity * tickerQuote;
--- 167,182 ----
  		}
  		private double getPortfolioValueForSignedTickers( DateTime dateTime ,
! 		                                                 Hashtable tickerVirtualQuantities )
  		{
  			double portfolioValueForDrivingPositions = 0;
  			foreach( string ticker in tickerVirtualQuantities.Keys )
  			{
! 				DateTime dateTimeOnClose =
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						dateTime );
! //					new EndOfDayDateTime(
! //					dateTime , EndOfDaySpecificTime.MarketClose );
  				double tickerQuote = this.historicalQuoteProvider.GetMarketValue(
! 					ticker , dateTimeOnClose );
  				double virtualQuantity = (double)tickerVirtualQuantities[ ticker ];
  				portfolioValueForDrivingPositions +=	virtualQuantity * tickerQuote;
***************
*** 186,196 ****
  			Hashtable virtualQuantities =
  				this.getVirtualQuantities( signedTickers ,
! 				(DateTime)equityLineForPortfolioPositions.GetKey( 0 ) );
! 			double cash = this.getCash( virtualQuantities ); 
  			foreach( DateTime dateTime in
! 				equityLineForPortfolioPositions.Keys )
  				equityLineForSignedTickers.Add( dateTime ,
! 					cash + this.getPortfolioValueForSignedTickers( dateTime ,
! 					virtualQuantities ) );
  			return equityLineForSignedTickers;
  		}
--- 193,203 ----
  			Hashtable virtualQuantities =
  				this.getVirtualQuantities( signedTickers ,
! 				                          (DateTime)equityLineForPortfolioPositions.GetKey( 0 ) );
! 			double cash = this.getCash( virtualQuantities );
  			foreach( DateTime dateTime in
! 			        equityLineForPortfolioPositions.Keys )
  				equityLineForSignedTickers.Add( dateTime ,
! 				                               cash + this.getPortfolioValueForSignedTickers( dateTime ,
! 				                                                                             virtualQuantities ) );
  			return equityLineForSignedTickers;
  		}
***************
*** 210,230 ****
  			EquityLine equityLineForWeightedPositions =
  				weightedPositions.GetVirtualEquityLine(
! 				30000 , report.AccountReport.EquityLine );
  			report.AddEquityLine( equityLineForWeightedPositions ,
! 				color );
  		}
  		
  		public void oneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
! 				this.postSampleLastDateTime )
  			{
  				// the simulation has reached the ending date
! 				this.account.EndOfDayTimer.Stop();
  				Report report = new Report( this.account , this.historicalQuoteProvider );
! 				report.Create( "WFLag debug positions" , 1 ,
! 					new EndOfDayDateTime( this.postSampleLastDateTime ,
! 					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  					this.benchmark , false );
  //				EquityLine equityLineForDrivingPositions =
--- 217,240 ----
  			EquityLine equityLineForWeightedPositions =
  				weightedPositions.GetVirtualEquityLine(
! 					30000 , report.AccountReport.EquityLine );
  			report.AddEquityLine( equityLineForWeightedPositions ,
! 			                     color );
  		}
  		
  		public void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			if ( ( ( Timer )sender ).GetCurrentDateTime() >
! 			    this.postSampleLastDateTime )
  			{
  				// the simulation has reached the ending date
! 				this.account.Timer.Stop();
  				Report report = new Report( this.account , this.historicalQuoteProvider );
! 				report.Create(
! 					"WFLag debug positions" , 1 ,
! 					HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
! 						this.postSampleLastDateTime ) ,
! //				              new EndOfDayDateTime( this.postSampleLastDateTime ,
! //				                                   EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  					this.benchmark , false );
  //				EquityLine equityLineForDrivingPositions =
***************
*** 246,249 ****
--- 256,271 ----
  		}
  		#endregion
+ 		
+ 		private void newDateTimeEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ 				this.marketOpenEventHandler( sender , dateTime );
+ //			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ //				this.marketCloseEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ 				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ 		}
+ 		
  		public void Run()
  		{
***************
*** 252,263 ****
  			run_initializeAccount();
  			run_initializeEndOfDayTimerHandler();
! 			this.endOfDayTimer.MarketOpen +=
! 				new MarketOpenEventHandler( this.marketOpenEventHandler );
! 			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! 				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.oneHourAfterMarketCloseEventHandler );
  			this.endOfDayTimer.Start();
  		}
--- 274,289 ----
  			run_initializeAccount();
  			run_initializeEndOfDayTimerHandler();
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler( this.marketOpenEventHandler );
! //			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! //				new FiveMinutesBeforeMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.oneHourAfterMarketCloseEventHandler );
  			this.endOfDayTimer.Start();
  		}

Index: WFLagDebugPositionsEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions/WFLagDebugPositionsEndOfDayTimerHandler.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFLagDebugPositionsEndOfDayTimerHandler.cs	28 Oct 2007 19:16:48 -0000	1.3
--- WFLagDebugPositionsEndOfDayTimerHandler.cs	29 Sep 2008 21:20:54 -0000	1.4
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 35,39 ****
  	/// Strategy to debug the log for the current positions
  	/// </summary>
! 	public class WFLagDebugPositionsEndOfDayTimerHandler
  	{
  		private Account account;
--- 35,39 ----
  	/// Strategy to debug the log for the current positions
  	/// </summary>
! 	public class WFLagDebugPositionsEndOfDayTimerHandler : EndOfDayTimerHandler
  	{
  		private Account account;
***************
*** 47,57 ****
  			this.wFLagWeightedPositions = wFLagWeightedPositions;
  		}
! 		#region FiveMinutesBeforeMarketCloseEventHandler
  		private double todayTotalGainForLinearCombination()
  		{
  			double todayTotalGain = 0;
! 			DateTime today = this.account.EndOfDayTimer.GetCurrentTime().DateTime;
  			foreach ( WeightedPosition weightedPosition in
! 				this.wFLagWeightedPositions.DrivingWeightedPositions.Values )
  				todayTotalGain +=
  					weightedPosition.GetCloseToCloseDailyReturn( today );
--- 47,58 ----
  			this.wFLagWeightedPositions = wFLagWeightedPositions;
  		}
! 		
! 		#region marketCloseEventHandler
  		private double todayTotalGainForLinearCombination()
  		{
  			double todayTotalGain = 0;
! 			DateTime today = this.account.Timer.GetCurrentDateTime();
  			foreach ( WeightedPosition weightedPosition in
! 			         this.wFLagWeightedPositions.DrivingWeightedPositions.Values )
  				todayTotalGain +=
  					weightedPosition.GetCloseToCloseDailyReturn( today );
***************
*** 77,84 ****
  			WeightedPosition weightedPosition =
  				this.wFLagWeightedPositions.PortfolioWeightedPositions.GetWeightedPosition(
! 				firstAccountPosition.Instrument.Key );
  			bool isReversed =
  				( ( weightedPosition.IsLong && firstAccountPosition.IsShort ) ||
! 				( weightedPosition.IsShort && firstAccountPosition.IsLong ) );
  //			bool isReversed =
  //				this.wFLagChosenPositions.PortfolioWeightedPositions.ContainsKey(
--- 78,85 ----
  			WeightedPosition weightedPosition =
  				this.wFLagWeightedPositions.PortfolioWeightedPositions.GetWeightedPosition(
! 					firstAccountPosition.Instrument.Key );
  			bool isReversed =
  				( ( weightedPosition.IsLong && firstAccountPosition.IsShort ) ||
! 				 ( weightedPosition.IsShort && firstAccountPosition.IsLong ) );
  //			bool isReversed =
  //				this.wFLagChosenPositions.PortfolioWeightedPositions.ContainsKey(
***************
*** 86,99 ****
  			return isReversed;
  		}
! 		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed()
  		{
  			bool returnValue = ( this.account.Portfolio.Count > 0 ) &&
  				(	( this.isDrivingPositionsTodayValueHigherThanYesterday() &&
! 				this.isCurrentlyReversed() ) ||
! 				( !this.isDrivingPositionsTodayValueHigherThanYesterday() &&
! 				!this.isCurrentlyReversed() ) );
  			return returnValue;
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
  		{
  			ArrayList tickers = new ArrayList();
--- 87,100 ----
  			return isReversed;
  		}
! 		private bool marketCloseEventHandler_arePositionsToBeClosed()
  		{
  			bool returnValue = ( this.account.Portfolio.Count > 0 ) &&
  				(	( this.isDrivingPositionsTodayValueHigherThanYesterday() &&
! 				   this.isCurrentlyReversed() ) ||
! 				 ( !this.isDrivingPositionsTodayValueHigherThanYesterday() &&
! 				  !this.isCurrentlyReversed() ) );
  			return returnValue;
  		}
! 		private void marketCloseEventHandler_closePositions()
  		{
  			ArrayList tickers = new ArrayList();
***************
*** 103,107 ****
  				this.account.ClosePosition( ticker );
  		}
! 		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeOpened()
  		{
  			bool returnValue = ( this.account.Portfolio.Count == 0 );
--- 104,108 ----
  				this.account.ClosePosition( ticker );
  		}
! 		private bool marketCloseEventHandler_arePositionsToBeOpened()
  		{
  			bool returnValue = ( this.account.Portfolio.Count == 0 );
***************
*** 127,168 ****
  			this.account.AddOrder( order );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
  			WeightedPosition weightedPosition )
  		{
  			this.openPosition( weightedPosition );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_openOppositePosition(
  			WeightedPosition weightedPosition )
  		{
! 			this.fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
  				weightedPosition.GetOppositeWeightedPosition() );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
  			WeightedPosition weightedPosition )
  		{
  			if ( this.isDrivingPositionsTodayValueHigherThanYesterday() )
! 				fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
  					weightedPosition );
  			else
! 				fiveMinutesBeforeMarketCloseEventHandler_openOppositePosition(
  					weightedPosition );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
  			//			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
  			foreach ( WeightedPosition weightedPosition in
! 				this.wFLagWeightedPositions.PortfolioWeightedPositions.Values )
! 				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition(
  					weightedPosition );
  		}
! 		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( this.fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed() )
! 				this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
! 			if ( this.fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeOpened() )
! 				fiveMinutesBeforeMarketCloseEventHandler_openPositions();
  		}
  		#endregion
  	}
  }
--- 128,181 ----
  			this.account.AddOrder( order );
  		}
! 		private void marketCloseEventHandler_openThisPosition(
  			WeightedPosition weightedPosition )
  		{
  			this.openPosition( weightedPosition );
  		}
! 		private void marketCloseEventHandler_openOppositePosition(
  			WeightedPosition weightedPosition )
  		{
! 			this.marketCloseEventHandler_openThisPosition(
  				weightedPosition.GetOppositeWeightedPosition() );
  		}
! 		private void marketCloseEventHandler_openPosition(
  			WeightedPosition weightedPosition )
  		{
  			if ( this.isDrivingPositionsTodayValueHigherThanYesterday() )
! 				this.marketCloseEventHandler_openThisPosition(
  					weightedPosition );
  			else
! 				this.marketCloseEventHandler_openOppositePosition(
  					weightedPosition );
  		}
! 		private void marketCloseEventHandler_openPositions()
  		{
  			//			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
  			foreach ( WeightedPosition weightedPosition in
! 			         this.wFLagWeightedPositions.PortfolioWeightedPositions.Values )
! 				this.marketCloseEventHandler_openPosition(
  					weightedPosition );
  		}
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			if ( this.marketCloseEventHandler_arePositionsToBeClosed() )
! 				this.marketCloseEventHandler_closePositions();
! 			if ( this.marketCloseEventHandler_arePositionsToBeOpened() )
! 				this.marketCloseEventHandler_openPositions();
  		}
  		#endregion
+ 		
+ 		protected override void marketOpenEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			;
+ 		}
+ 
+ 		protected override void oneHourAfterMarketCloseEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			;
+ 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankDebugEndOfDayTimerHandler.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18335/ReportDebugger

Modified Files:
	WFMultiOneRankDebugEndOfDayTimerHandler.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: WFMultiOneRankDebugEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger/WFMultiOneRankDebugEndOfDayTimerHandler.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFMultiOneRankDebugEndOfDayTimerHandler.cs	27 Nov 2005 00:04:08 -0000	1.2
--- WFMultiOneRankDebugEndOfDayTimerHandler.cs	29 Sep 2008 21:20:55 -0000	1.3
***************
*** 3,7 ****
  
  WFMultiOneRankDebugEndOfDayTimerHandler.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  WFMultiOneRankDebugEndOfDayTimerHandler.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 35,39 ****
  	/// Strategy to debug the in sample optimization
  	/// </summary>
! 	public class WFMultiOneRankDebugEndOfDayTimerHandler
  	{
  		private Account account;
--- 35,40 ----
  	/// Strategy to debug the in sample optimization
  	/// </summary>
! 	public class WFMultiOneRankDebugEndOfDayTimerHandler :
! 		QuantProject.Business.Strategies.EndOfDayTimerHandler
  	{
  		private Account account;
***************
*** 46,49 ****
--- 47,51 ----
  			this.signedTickers = signedTickers;
  		}
+ 		
  		#region FiveMinutesBeforeMarketCloseEventHandler
  		private string getTicker( string signedTicker )
***************
*** 75,79 ****
  			this.account.ClosePosition( ticker );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
  		{
  			ArrayList tickers = new ArrayList();
--- 77,81 ----
  			this.account.ClosePosition( ticker );
  		}
! 		private void marketCloseEventHandler_closePositions()
  		{
  			ArrayList tickers = new ArrayList();
***************
*** 90,100 ****
  			double todayMarketValueAtClose =
  				this.account.DataStreamer.GetCurrentBid( ticker );
! 			EndOfDayDateTime yesterdayAtClose = new
! 				EndOfDayDateTime(
! 				this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
! 				EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
  				historicalAdjustedQuoteProvider.GetMarketValue(
! 				ticker , yesterdayAtClose );
  			double returnForLongPosition =
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
--- 92,104 ----
  			double todayMarketValueAtClose =
  				this.account.DataStreamer.GetCurrentBid( ticker );
! 			DateTime yesterdayAtClose =
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					this.account.Timer.GetCurrentDateTime().AddDays( - 1 ) );
! //			new	EndOfDayDateTime(
! //				this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
! //				EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
  				historicalAdjustedQuoteProvider.GetMarketValue(
! 					ticker , yesterdayAtClose );
  			double returnForLongPosition =
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
***************
*** 126,132 ****
  			OrderType orderType = this.getOrderType( signedTicker );
  			bool returnValue = ( ( ( orderType ==
! 				OrderType.MarketBuy ) && ( positionType == PositionType.Short ) ) ||
! 				( orderType ==	OrderType.MarketSellShort ) &&
! 				( positionType == PositionType.Long ) );
  			return returnValue;
  		}
--- 130,136 ----
  			OrderType orderType = this.getOrderType( signedTicker );
  			bool returnValue = ( ( ( orderType ==
! 			                        OrderType.MarketBuy ) && ( positionType == PositionType.Short ) ) ||
! 			                    ( orderType ==	OrderType.MarketSellShort ) &&
! 			                    ( positionType == PositionType.Long ) );
  			return returnValue;
  		}
***************
*** 134,138 ****
  		{
  			return this.isCurrentlyReversed( this.signedTickers[ 0 ] );
! 			}
  		private long getQuantity(	string ticker )
  		{
--- 138,142 ----
  		{
  			return this.isCurrentlyReversed( this.signedTickers[ 0 ] );
! 		}
  		private long getQuantity(	string ticker )
  		{
***************
*** 150,154 ****
  			long quantity = this.getQuantity( ticker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
! 				quantity );
  			this.account.AddOrder( order );
  		}
--- 154,158 ----
  			long quantity = this.getQuantity( ticker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
! 			                        quantity );
  			this.account.AddOrder( order );
  		}
***************
*** 157,161 ****
  		{
  			this.openPosition( this.getTicker( signedTicker ) ,
! 				this.getOrderType( signedTicker ) );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openReversePosition(
--- 161,165 ----
  		{
  			this.openPosition( this.getTicker( signedTicker ) ,
! 			                  this.getOrderType( signedTicker ) );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openReversePosition(
***************
*** 175,179 ****
  					signedTicker );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
  //			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
--- 179,183 ----
  					signedTicker );
  		}
! 		private void marketCloseEventHandler_openPositions()
  		{
  //			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
***************
*** 182,209 ****
  					signedTicker );
  		}
! 		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed()
  		{
  			bool returnValue = ( this.account.Portfolio.Count > 0 ) &&
  				(	( this.isLinearCombinationTodayValueHigherThanYesterday() &&
! 				this.isCurrentlyReversed() ) ||
! 				( !this.isLinearCombinationTodayValueHigherThanYesterday() &&
! 				!this.isCurrentlyReversed() ) );
  			return returnValue;
  		}
! 		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeOpened()
  		{
  			bool returnValue = ( this.account.Portfolio.Count == 0 );
  			return returnValue;
  		}
! 		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( this.fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed() )
! 				this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
! 			if ( this.fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeOpened() )
! 				fiveMinutesBeforeMarketCloseEventHandler_openPositions();
  		}
  		#endregion
  
  	}
  }
--- 186,225 ----
  					signedTicker );
  		}
! 		private bool marketCloseEventHandler_arePositionsToBeClosed()
  		{
  			bool returnValue = ( this.account.Portfolio.Count > 0 ) &&
  				(	( this.isLinearCombinationTodayValueHigherThanYesterday() &&
! 				   this.isCurrentlyReversed() ) ||
! 				 ( !this.isLinearCombinationTodayValueHigherThanYesterday() &&
! 				  !this.isCurrentlyReversed() ) );
  			return returnValue;
  		}
! 		private bool marketCloseEventHandler_arePositionsToBeOpened()
  		{
  			bool returnValue = ( this.account.Portfolio.Count == 0 );
  			return returnValue;
  		}
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			if ( this.marketCloseEventHandler_arePositionsToBeClosed() )
! 				this.marketCloseEventHandler_closePositions();
! 			if ( this.marketCloseEventHandler_arePositionsToBeOpened() )
! 				marketCloseEventHandler_openPositions();
  		}
  		#endregion
  
+ 		protected override void marketOpenEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			;
+ 		}
+ 
+ 		protected override void oneHourAfterMarketCloseEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			;
+ 		}
+ 
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce PairsTradingBruteForceChooser.cs, 1.2, 1.3 PairsTradingBruteForceOptimizableParametersManager.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18260/InSample/InSampleChoosers/BruteForce

Modified Files:
	PairsTradingBruteForceChooser.cs 
	PairsTradingBruteForceOptimizableParametersManager.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: PairsTradingBruteForceChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce/PairsTradingBruteForceChooser.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PairsTradingBruteForceChooser.cs	1 Apr 2008 21:31:27 -0000	1.2
--- PairsTradingBruteForceChooser.cs	29 Sep 2008 21:20:45 -0000	1.3
***************
*** 39,42 ****
--- 39,43 ----
  	/// brute force IInSampleChooser for the pairs trading strategy
  	/// </summary>
+ 	[Serializable]
  	public class PairsTradingBruteForceChooser : BruteForceChooser
  	{

Index: PairsTradingBruteForceOptimizableParametersManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce/PairsTradingBruteForceOptimizableParametersManager.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PairsTradingBruteForceOptimizableParametersManager.cs	20 Apr 2008 17:25:56 -0000	1.4
--- PairsTradingBruteForceOptimizableParametersManager.cs	29 Sep 2008 21:20:45 -0000	1.5
***************
*** 41,44 ****
--- 41,45 ----
  	/// two opposite WeightedPosition are highly correlated too)
  	/// </summary>
+ 	[Serializable]
  	public class PairsTradingBruteForceOptimizableParametersManager :
  		BruteForceOptimizableParametersManagerForBalancedVolatility

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Genetic PairsTradingGeneticChooser.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18260/InSample/InSampleChoosers/Genetic

Modified Files:
	PairsTradingGeneticChooser.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: PairsTradingGeneticChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Genetic/PairsTradingGeneticChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PairsTradingGeneticChooser.cs	27 Feb 2008 21:16:20 -0000	1.1
--- PairsTradingGeneticChooser.cs	29 Sep 2008 21:20:46 -0000	1.2
***************
*** 39,42 ****
--- 39,43 ----
  	/// genetic IInSampleChooser for the pairs trading strategy
  	/// </summary>
+ 	[Serializable]
  	public class PairsTradingGeneticChooser : GeneticChooser
  	{
***************
*** 46,50 ****
  			IDecoderForTestingPositions decoderForTestingPositions ,
  			IFitnessEvaluator fitnessEvaluator ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ,
  			double crossoverRate , double mutationRate , double elitismRate ,
  			int populationSizeForGeneticOptimizer ,
--- 47,51 ----
  			IDecoderForTestingPositions decoderForTestingPositions ,
  			IFitnessEvaluator fitnessEvaluator ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
  			double crossoverRate , double mutationRate , double elitismRate ,
  			int populationSizeForGeneticOptimizer ,
***************
*** 57,61 ****
  				decoderForTestingPositions ,
  				fitnessEvaluator ,
! 				historicalQuoteProvider ,
  				crossoverRate ,
  				mutationRate ,
--- 58,62 ----
  				decoderForTestingPositions ,
  				fitnessEvaluator ,
! 				historicalMarketValueProvider ,
  				crossoverRate ,
  				mutationRate ,

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO EndOfDayTimerHandlerBiasedPVO.cs, 1.6, 1.7 EndOfDayTimerHandlerBiasedPVO_OTC.cs, 1.2, 1.3 RunBiasedPVO.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16791/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

Modified Files:
	EndOfDayTimerHandlerBiasedPVO.cs 
	EndOfDayTimerHandlerBiasedPVO_OTC.cs RunBiasedPVO.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: EndOfDayTimerHandlerBiasedPVO_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO_OTC.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerBiasedPVO_OTC.cs	9 Mar 2008 22:40:51 -0000	1.2
--- EndOfDayTimerHandlerBiasedPVO_OTC.cs	29 Sep 2008 21:18:34 -0000	1.3
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 49,249 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the Biased Portfolio Value
!   /// Oscillator, using Open To Close returns
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerBiasedPVO_OTC : EndOfDayTimerHandlerBiasedPVO
!   {
!     
!     public EndOfDayTimerHandlerBiasedPVO_OTC(string tickerGroupID, int numberOfEligibleTickers,
!                                          double minPriceForTickersToBeChosen,
!                                          double maxPriceForTickersToBeChosen,
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,
!                                 string pathOfFileContainingGenomes,
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 int numOfDifferentGenomesToEvaluateOutOfSample,
!                                	bool resetThresholdsBeforeCheckingOutOfSample,
!                                	int numDaysForThresholdsReComputation,
!                                 double numOfStdDevForThresholdsComputation,
!                                 double maxCoefficientForDegreeComputationOfCrossingThreshold,
!                                 bool buyOnlyPositionsThatAreMovingTogether,
!                                 bool doNotOpenReversedPositionsThatHaveJustBeenClosed,
!                                 int numDaysOfStayingOnTheMarket,
!                                 int minLevelForOversoldThreshold,
!                                 int maxLevelForOversoldThreshold,
!                                 int minLevelForOverboughtThreshold,
!                                 int maxLevelForOverboughtThreshold,
!                                 int divisorForThresholdComputation,
!                                 bool symmetricalThresholds,
!                                 bool overboughtMoreThanOversoldForFixedPortfolio,
!                                 int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 double minimumAcceptableGain):
! 																base(tickerGroupID, numberOfEligibleTickers,
!                                 minPriceForTickersToBeChosen,
!                                 maxPriceForTickersToBeChosen,
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
!                                 account,
!                                 pathOfFileContainingGenomes,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark,
!                                 numOfDifferentGenomesToEvaluateOutOfSample,
!                                	resetThresholdsBeforeCheckingOutOfSample,
!                                	numDaysForThresholdsReComputation,
!                                 numOfStdDevForThresholdsComputation,
!                                 maxCoefficientForDegreeComputationOfCrossingThreshold,
!                                 buyOnlyPositionsThatAreMovingTogether,
!                                 doNotOpenReversedPositionsThatHaveJustBeenClosed,
!                                 1, numDaysOfStayingOnTheMarket,
!                                 minLevelForOversoldThreshold,
!                                 maxLevelForOversoldThreshold,
!                                 minLevelForOverboughtThreshold,
!                                 maxLevelForOverboughtThreshold,
!                                 divisorForThresholdComputation,
!                                 symmetricalThresholds,
!                                 overboughtMoreThanOversoldForFixedPortfolio,
!                                 numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown,
!                                 minimumAcceptableGain)
!       
!     {
  			
!     }
  		
!   	#region MarketOpen
!   			
! 		public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       if ( this.account.Portfolio.Count == 0 &&
!            this.weightedPositionsToEvaluateOutOfSample[0] != null )
! 			//portfolio is empty and optimization has been already launched
!      	   		this.openPositions( (IndexBasedEndOfDayTimer)sender );
!     }
!     
!     protected override void openPositions_chooseGenome_resetThresholds(DateTime today)
!     {
  			for(int i = 0; i < this.weightedPositionsToEvaluateOutOfSample.Length; i++)
!     	{
  				this.currentOversoldThreshold[i] = (double)this.maxLevelForOversoldThreshold/
  					(double)this.divisorForThresholdComputation;
!     		this.currentOverboughtThreshold[i] = (double)this.maxLevelForOverboughtThreshold/
  					(double)this.divisorForThresholdComputation;
!      	}			
! //  UPDATE WITH DailyOpenToCloseIntervals
! //    	ReturnsManager returnsManager = new ReturnsManager(
! //    		new CloseToOpenIntervals(new EndOfDayDateTime(today.AddDays(-this.numDaysForThresholdsReComputation), EndOfDaySpecificTime.MarketClose),
  //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
  //		  	                         this.benchmark),
  //		  	new HistoricalAdjustedQuoteProvider() );
! //    	//double returnsAverage;
! //    	double returnsStdDev;
! //    	for(int i = 0; i < this.weightedPositionsToEvaluateOutOfSample.Length; i++)
! //    	{
! ////				returnsAverage = BasicFunctions.GetSimpleAverage(
! ////					this.weightedPositionsToEvaluateOutOfSample[i].GetReturns(returnsManager) );
  //				returnsStdDev = BasicFunctions.GetStdDev(
! //    			this.weightedPositionsToEvaluateOutOfSample[i].GetReturns(returnsManager) );
! //     		this.currentOversoldThreshold[i] = -this.numOfStdDevForThresholdsComputation * returnsStdDev;
! //    		this.currentOverboughtThreshold[i] = this.numOfStdDevForThresholdsComputation * returnsStdDev;
! //     	}
!     }
!     //NEW IMPLEMENTATION of chooseBestGenome, now named chooseGenome
!     //sets currentGenomeIndex with the first genome's index that crosses an overbought/oversold threshold with the
!     //"acceptable" degree and sets currentWeightedPositionsGainOrLoss accordingly
!     protected override void openPositions_chooseGenome(IndexBasedEndOfDayTimer timer)
!     {
!       DateTime today = timer.GetCurrentTime().DateTime;
! 		  DateTime previousTradingDay = 
! 		  	timer.GetPreviousDateTime(1);
! 		  ReturnsManager returnsManager = new ReturnsManager(
! 		  	new CloseToOpenIntervals(new EndOfDayDateTime(previousTradingDay, EndOfDaySpecificTime.MarketClose),
! 		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
! 		  	                         this.benchmark),
! 		  	new HistoricalAdjustedQuoteProvider() );
! 		  if(this.resetThresholdsBeforeCheckingOutOfSample)
! 		  	this.openPositions_chooseGenome_resetThresholds(today);
! 		  this.currentWeightedPositionsGainOrLoss = double.MinValue;
! 		  double currentWeightedPositionsGainOrLoss_temp = double.MinValue;
!       for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
!       {
!         currentWeightedPositionsGainOrLoss_temp = 
!                  this.getCurrentWeightedPositionsGainOrLoss(
!         				 timer, returnsManager, i);
  				if( currentWeightedPositionsGainOrLoss_temp != double.MinValue &&
! 					  ( this.buyOnlyPositionsThatAreMovingTogether == false ||
!         	      ( this.buyOnlyPositionsThatAreMovingTogether == true && 
! 									this.areAllTickersMovingTogetherUpOrDown(timer, returnsManager, i) == true	 ) )		)
!         //currentWeightedPositionsGainOrLoss_temp has been properly computed and
! 				//only positions that are moving together can be bought
!         {
!           if( (currentWeightedPositionsGainOrLoss_temp >= this.currentOverboughtThreshold[i] &&
!                currentWeightedPositionsGainOrLoss_temp <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
!             																						 this.currentOverboughtThreshold[i] ) ||
! 						  (currentWeightedPositionsGainOrLoss_temp <= - this.currentOversoldThreshold[i] && 
!         	          Math.Abs(currentWeightedPositionsGainOrLoss_temp) <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
!             																						 								 this.currentOversoldThreshold[i] ) )
!           // if the current genome matches the requested criteria
!           {
  						this.currentGenomeIndex = i;
  						this.currentWeightedPositionsGainOrLoss = currentWeightedPositionsGainOrLoss_temp;
  						i = this.numOfDifferentGenomesToEvaluateOutOfSample; //exit from for
!           }
!         }
!       }
!     }
!         
  		#endregion
  		
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!      	if(this.account.Portfolio.Count > 0)
!      	{
!      		this.lastWeightedPositionsClosed = AccountManager.GetWeightedPositions(this.account);
  				AccountManager.ClosePositions(this.account);
!      	}
!     }
!    
!     #region OneHourAfterMarketCloseEventHandler
!         
!     protected override void setTickers(DateTime currentDate,
!       bool setGenomeCounter)
!     {
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       this.iGenomeManager =
!           new GenomeManagerPVO_OTC(setOfTickersToBeOptimized,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
!           currentDate, this.numberOfTickersToBeChosen,
!           this.minLevelForOversoldThreshold,
!           this.maxLevelForOversoldThreshold,
!           this.minLevelForOverboughtThreshold,
!           this.maxLevelForOverboughtThreshold,
!           this.divisorForThresholdComputation,
!           this.symmetricalThresholds,
!           this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType, this.benchmark);
!       GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
!           this.populationSizeForGeneticOptimizer, 
!           this.generationNumberForGeneticOptimizer,
!           this.seedForRandomGenerator);
! //      if(setGenomeCounter)
! //        this.genomeCounter = new GenomeCounter(GO);
!       GO.MutationRate = 0.1;
!       GO.CrossoverRate = 0.85;
!       GO.Run(false);
!        
!       this.setTickers_updateTickersWeightsAndThresholdsAndAddGenomesForLog(GO, setOfTickersToBeOptimized.Rows.Count);
!            	
!     }
!     
!              
!     #endregion
  
!   }
  }
--- 49,252 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the Biased Portfolio Value
! 	/// Oscillator, using Open To Close returns
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerBiasedPVO_OTC : EndOfDayTimerHandlerBiasedPVO
! 	{
! 		
! 		public EndOfDayTimerHandlerBiasedPVO_OTC(string tickerGroupID, int numberOfEligibleTickers,
! 		                                         double minPriceForTickersToBeChosen,
! 		                                         double maxPriceForTickersToBeChosen,
! 		                                         int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                         Account account,
! 		                                         string pathOfFileContainingGenomes,
! 		                                         int generationNumberForGeneticOptimizer,
! 		                                         int populationSizeForGeneticOptimizer,
! 		                                         string benchmark,
! 		                                         int numOfDifferentGenomesToEvaluateOutOfSample,
! 		                                         bool resetThresholdsBeforeCheckingOutOfSample,
! 		                                         int numDaysForThresholdsReComputation,
! 		                                         double numOfStdDevForThresholdsComputation,
! 		                                         double maxCoefficientForDegreeComputationOfCrossingThreshold,
! 		                                         bool buyOnlyPositionsThatAreMovingTogether,
! 		                                         bool doNotOpenReversedPositionsThatHaveJustBeenClosed,
! 		                                         int numDaysOfStayingOnTheMarket,
! 		                                         int minLevelForOversoldThreshold,
! 		                                         int maxLevelForOversoldThreshold,
! 		                                         int minLevelForOverboughtThreshold,
! 		                                         int maxLevelForOverboughtThreshold,
! 		                                         int divisorForThresholdComputation,
! 		                                         bool symmetricalThresholds,
! 		                                         bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                                         int numDaysBetweenEachOptimization,
! 		                                         PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                                         double minimumAcceptableGain):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     minPriceForTickersToBeChosen,
! 			     maxPriceForTickersToBeChosen,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     account,
! 			     pathOfFileContainingGenomes,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark,
! 			     numOfDifferentGenomesToEvaluateOutOfSample,
! 			     resetThresholdsBeforeCheckingOutOfSample,
! 			     numDaysForThresholdsReComputation,
! 			     numOfStdDevForThresholdsComputation,
! 			     maxCoefficientForDegreeComputationOfCrossingThreshold,
! 			     buyOnlyPositionsThatAreMovingTogether,
! 			     doNotOpenReversedPositionsThatHaveJustBeenClosed,
! 			     1, numDaysOfStayingOnTheMarket,
! 			     minLevelForOversoldThreshold,
! 			     maxLevelForOversoldThreshold,
! 			     minLevelForOverboughtThreshold,
! 			     maxLevelForOverboughtThreshold,
! 			     divisorForThresholdComputation,
! 			     symmetricalThresholds,
! 			     overboughtMoreThanOversoldForFixedPortfolio,
! 			     numDaysBetweenEachOptimization,
! 			     portfolioType, maxAcceptableCloseToCloseDrawdown,
! 			     minimumAcceptableGain)
  			
! 		{
! 			
! 		}
  		
! 		#region MarketOpen
! 		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			if ( this.account.Portfolio.Count == 0 &&
! 			    this.weightedPositionsToEvaluateOutOfSample[0] != null )
! 				//portfolio is empty and optimization has been already launched
! 				this.openPositions( (IndexBasedEndOfDayTimer)sender );
! 		}
! 		
! 		protected override void openPositions_chooseGenome_resetThresholds(DateTime today)
! 		{
  			for(int i = 0; i < this.weightedPositionsToEvaluateOutOfSample.Length; i++)
! 			{
  				this.currentOversoldThreshold[i] = (double)this.maxLevelForOversoldThreshold/
  					(double)this.divisorForThresholdComputation;
! 				this.currentOverboughtThreshold[i] = (double)this.maxLevelForOverboughtThreshold/
  					(double)this.divisorForThresholdComputation;
! 			}
! 			//  UPDATE WITH DailyOpenToCloseIntervals
! 			//    	ReturnsManager returnsManager = new ReturnsManager(
! 			//    		new CloseToOpenIntervals(new EndOfDayDateTime(today.AddDays(-this.numDaysForThresholdsReComputation), EndOfDaySpecificTime.MarketClose),
  //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
  //		  	                         this.benchmark),
  //		  	new HistoricalAdjustedQuoteProvider() );
! 			//    	//double returnsAverage;
! 			//    	double returnsStdDev;
! 			//    	for(int i = 0; i < this.weightedPositionsToEvaluateOutOfSample.Length; i++)
! 			//    	{
! 			////				returnsAverage = BasicFunctions.GetSimpleAverage(
! 			////					this.weightedPositionsToEvaluateOutOfSample[i].GetReturns(returnsManager) );
  //				returnsStdDev = BasicFunctions.GetStdDev(
! 			//    			this.weightedPositionsToEvaluateOutOfSample[i].GetReturns(returnsManager) );
! 			//     		this.currentOversoldThreshold[i] = -this.numOfStdDevForThresholdsComputation * returnsStdDev;
! 			//    		this.currentOverboughtThreshold[i] = this.numOfStdDevForThresholdsComputation * returnsStdDev;
! 			//     	}
! 		}
! 		//NEW IMPLEMENTATION of chooseBestGenome, now named chooseGenome
! 		//sets currentGenomeIndex with the first genome's index that crosses an overbought/oversold threshold with the
! 		//"acceptable" degree and sets currentWeightedPositionsGainOrLoss accordingly
! 		protected override void openPositions_chooseGenome(IndexBasedEndOfDayTimer timer)
! 		{
! 			DateTime today = timer.GetCurrentDateTime();
! 			DateTime previousTradingDay =
! 				timer.GetPreviousDateTime(1);
! 			ReturnsManager returnsManager = new ReturnsManager(
! 				new CloseToOpenIntervals(
! 					HistoricalEndOfDayTimer.GetMarketClose( previousTradingDay ) ,
! 					HistoricalEndOfDayTimer.GetMarketOpen( today ) ,
! //		  		new EndOfDayDateTime(previousTradingDay, EndOfDaySpecificTime.MarketClose),
! //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
! 					this.benchmark),
! 				new HistoricalAdjustedQuoteProvider() );
! 			if(this.resetThresholdsBeforeCheckingOutOfSample)
! 				this.openPositions_chooseGenome_resetThresholds(today);
! 			this.currentWeightedPositionsGainOrLoss = double.MinValue;
! 			double currentWeightedPositionsGainOrLoss_temp = double.MinValue;
! 			for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
! 			{
! 				currentWeightedPositionsGainOrLoss_temp =
! 					this.getCurrentWeightedPositionsGainOrLoss(
! 						timer, returnsManager, i);
  				if( currentWeightedPositionsGainOrLoss_temp != double.MinValue &&
! 				   ( this.buyOnlyPositionsThatAreMovingTogether == false ||
! 				    ( this.buyOnlyPositionsThatAreMovingTogether == true &&
! 				     this.areAllTickersMovingTogetherUpOrDown(timer, returnsManager, i) == true	 ) )		)
! 					//currentWeightedPositionsGainOrLoss_temp has been properly computed and
! 					//only positions that are moving together can be bought
! 				{
! 					if( (currentWeightedPositionsGainOrLoss_temp >= this.currentOverboughtThreshold[i] &&
! 					     currentWeightedPositionsGainOrLoss_temp <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
! 					     this.currentOverboughtThreshold[i] ) ||
! 					   (currentWeightedPositionsGainOrLoss_temp <= - this.currentOversoldThreshold[i] &&
! 					    Math.Abs(currentWeightedPositionsGainOrLoss_temp) <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
! 					    this.currentOversoldThreshold[i] ) )
! 						// if the current genome matches the requested criteria
! 					{
  						this.currentGenomeIndex = i;
  						this.currentWeightedPositionsGainOrLoss = currentWeightedPositionsGainOrLoss_temp;
  						i = this.numOfDifferentGenomesToEvaluateOutOfSample; //exit from for
! 					}
! 				}
! 			}
! 		}
! 		
  		#endregion
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			if(this.account.Portfolio.Count > 0)
! 			{
! 				this.lastWeightedPositionsClosed = AccountManager.GetWeightedPositions(this.account);
  				AccountManager.ClosePositions(this.account);
! 			}
! 		}
! 		
! 		#region OneHourAfterMarketCloseEventHandler
! 		
! 		protected override void setTickers(DateTime currentDate,
! 		                                   bool setGenomeCounter)
! 		{
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			this.iGenomeManager =
! 				new GenomeManagerPVO_OTC(setOfTickersToBeOptimized,
! 				                         currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				                         currentDate, this.numberOfTickersToBeChosen,
! 				                         this.minLevelForOversoldThreshold,
! 				                         this.maxLevelForOversoldThreshold,
! 				                         this.minLevelForOverboughtThreshold,
! 				                         this.maxLevelForOverboughtThreshold,
! 				                         this.divisorForThresholdComputation,
! 				                         this.symmetricalThresholds,
! 				                         this.overboughtMoreThanOversoldForFixedPortfolio,
! 				                         this.portfolioType, this.benchmark);
! 			GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
! 			                                           this.populationSizeForGeneticOptimizer,
! 			                                           this.generationNumberForGeneticOptimizer,
! 			                                           this.seedForRandomGenerator);
! 			//      if(setGenomeCounter)
! 			//        this.genomeCounter = new GenomeCounter(GO);
! 			GO.MutationRate = 0.1;
! 			GO.CrossoverRate = 0.85;
! 			GO.Run(false);
! 			
! 			this.setTickers_updateTickersWeightsAndThresholdsAndAddGenomesForLog(GO, setOfTickersToBeOptimized.Rows.Count);
! 			
! 		}
! 		
! 		
! 		#endregion
  
! 	}
  }

Index: RunBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** RunBiasedPVO.cs	19 Aug 2008 17:13:03 -0000	1.5
--- RunBiasedPVO.cs	29 Sep 2008 21:18:34 -0000	1.6
***************
*** 196,201 ****
  			w.Write("\r\nOptimization each (num of days): {0}\r", this.numDaysBetweenEachOptimization.ToString());
  			w.Write("\r\nBenchmark: {0}\r", this.benchmark);
! 			w.Write("\r\nStart date: {0}\r", this.startDateTime.DateTime.ToLongDateString());
! 			w.Write("\r\nEnd date: {0}\r", this.endDateTime.DateTime.ToLongDateString());
  			w.Write("\r\nNum of genomes to check out of sample: {0}\r", this.numOfDifferentGenomesToEvaluateOutOfSample.ToString());
  			w.Write("\r\nReset thresholds out of sample: {0}\r", this.resetThresholdsBeforeCheckingOutOfSample.ToString());
--- 196,201 ----
  			w.Write("\r\nOptimization each (num of days): {0}\r", this.numDaysBetweenEachOptimization.ToString());
  			w.Write("\r\nBenchmark: {0}\r", this.benchmark);
! 			w.Write("\r\nStart date: {0}\r", this.startDateTime.ToLongDateString());
! 			w.Write("\r\nEnd date: {0}\r", this.endDateTime.ToLongDateString());
  			w.Write("\r\nNum of genomes to check out of sample: {0}\r", this.numOfDifferentGenomesToEvaluateOutOfSample.ToString());
  			w.Write("\r\nReset thresholds out of sample: {0}\r", this.resetThresholdsBeforeCheckingOutOfSample.ToString());
***************
*** 262,266 ****
  			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
--- 262,266 ----
  			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());

Index: EndOfDayTimerHandlerBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** EndOfDayTimerHandlerBiasedPVO.cs	19 Aug 2008 17:11:26 -0000	1.6
--- EndOfDayTimerHandlerBiasedPVO.cs	29 Sep 2008 21:18:34 -0000	1.7
***************
*** 142,147 ****
  		
  		//to avoid handlers in inherited classes
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			;
--- 142,147 ----
  		
  		//to avoid handlers in inherited classes
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			;
***************
*** 224,235 ****
  		protected virtual void openPositions_chooseGenome(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime today = timer.GetCurrentTime().DateTime;
  			DateTime firstMarketDayForOscillatingPeriod =
  				timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
  			ReturnsManager returnsManager = new ReturnsManager(
! 				new CloseToCloseIntervals(new EndOfDayDateTime(firstMarketDayForOscillatingPeriod, EndOfDaySpecificTime.MarketClose),
! 				                          new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketClose),
! 				                          this.benchmark,
! 				                          this.numDaysForOscillatingPeriod),
  				new HistoricalAdjustedQuoteProvider() );
  			if(this.resetThresholdsBeforeCheckingOutOfSample)
--- 224,239 ----
  		protected virtual void openPositions_chooseGenome(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime today = timer.GetCurrentDateTime();
  			DateTime firstMarketDayForOscillatingPeriod =
  				timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
  			ReturnsManager returnsManager = new ReturnsManager(
! 				new CloseToCloseIntervals(
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						firstMarketDayForOscillatingPeriod ) ,
! 					HistoricalEndOfDayTimer.GetMarketClose( today ) ,
! //					new EndOfDayDateTime(firstMarketDayForOscillatingPeriod, EndOfDaySpecificTime.MarketClose),
! //				                          new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketClose),
! 					this.benchmark,
! 					this.numDaysForOscillatingPeriod),
  				new HistoricalAdjustedQuoteProvider() );
  			if(this.resetThresholdsBeforeCheckingOutOfSample)
***************
*** 401,405 ****
  		{
  			bool returnValue;
! 			DateTime currentTime =  timer.GetCurrentTime().DateTime;
  			DateTime firstDateOfOscillatingPeriod =
  				timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
--- 405,409 ----
  		{
  			bool returnValue;
! 			DateTime currentTime =  timer.GetCurrentDateTime();
  			DateTime firstDateOfOscillatingPeriod =
  				timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
***************
*** 424,429 ****
  		}
  
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.account.Portfolio.Count > 0)
--- 428,433 ----
  		}
  
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.account.Portfolio.Count > 0)
***************
*** 603,610 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			this.seedForRandomGenerator++;
  			this.numDaysElapsedSinceLastOptimization++;
--- 607,614 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			this.lastCloseDate = dateTime;
  			this.seedForRandomGenerator++;
  			this.numDaysElapsedSinceLastOptimization++;
***************
*** 615,622 ****
  				if(this.pathOfFileContainingGenomes == null)
  					//tickers have to be set by a new optimization process (in sample)
! 					this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
  				//sets tickers to be chosen next Market Close event
  				else//this.pathOfFileContainingGenomes != null
! 					this.setTickersFromFile(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
  				//set tickers from file
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 619,626 ----
  				if(this.pathOfFileContainingGenomes == null)
  					//tickers have to be set by a new optimization process (in sample)
! 					this.setTickers(dateTime, false);
  				//sets tickers to be chosen next Market Close event
  				else//this.pathOfFileContainingGenomes != null
! 					this.setTickersFromFile(dateTime);
  				//set tickers from file
  				this.numDaysElapsedSinceLastOptimization = 0;
***************
*** 625,629 ****
  		
  		#endregion
- 
  	}
  }
--- 629,632 ----

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest RunWalkForwardLinearCombination.cs, 1.4, 1.5 WalkForwardOpenToCloseDailyStrategy.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18211/WalkForwardTest

Modified Files:
	RunWalkForwardLinearCombination.cs 
	WalkForwardOpenToCloseDailyStrategy.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: WalkForwardOpenToCloseDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest/WalkForwardOpenToCloseDailyStrategy.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** WalkForwardOpenToCloseDailyStrategy.cs	12 Mar 2008 22:09:59 -0000	1.8
--- WalkForwardOpenToCloseDailyStrategy.cs	29 Sep 2008 21:20:25 -0000	1.9
***************
*** 3,7 ****
  
  WalkForwardOpenToCloseDailyStrategy.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  WalkForwardOpenToCloseDailyStrategy.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 40,46 ****
  	/// </summary>
  	[Serializable]
! 	public class WalkForwardOpenToCloseDailyStrategy : IEndOfDayStrategy
  	{
! 		private Account account;
  		private string tickerGroupID;
  		private int numDaysForInSampleOptimization;
--- 40,46 ----
  	/// </summary>
  	[Serializable]
! 	public class WalkForwardOpenToCloseDailyStrategy : EndOfDayStrategy
  	{
! //		private Account account;
  		private string tickerGroupID;
  		private int numDaysForInSampleOptimization;
***************
*** 58,66 ****
  		private OptimizationOutput optimizationOutput;
  		
! 		public Account Account
! 		{
! 			get { return this.account; }
! 			set { this.account = value; }
! 		}
  		
  		/// best genomes, one for each optimization process
--- 58,66 ----
  		private OptimizationOutput optimizationOutput;
  		
! //		public Account Account
! //		{
! //			get { return this.account; }
! //			set { this.account = value; }
! //		}
  		
  		/// best genomes, one for each optimization process
***************
*** 71,80 ****
  
  		public WalkForwardOpenToCloseDailyStrategy( Account account ,
! 			string tickerGroupID , int numDaysForInSampleOptimization ,
! 			int numberOfEligibleTickers ,
! 			int numberOfTickersToBeChosen , string benchmark ,
! 			double targetReturn , PortfolioType portfolioType ,
! 			int populationSizeForGeneticOptimizer ,
! 			int generationNumberForGeneticOptimizer )
  		{
  			this.account = account;
--- 71,80 ----
  
  		public WalkForwardOpenToCloseDailyStrategy( Account account ,
! 		                                           string tickerGroupID , int numDaysForInSampleOptimization ,
! 		                                           int numberOfEligibleTickers ,
! 		                                           int numberOfTickersToBeChosen , string benchmark ,
! 		                                           double targetReturn , PortfolioType portfolioType ,
! 		                                           int populationSizeForGeneticOptimizer ,
! 		                                           int generationNumberForGeneticOptimizer )
  		{
  			this.account = account;
***************
*** 107,111 ****
  			long quantity = marketOpenEventHandler_addOrder_getQuantity( ticker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
! 				quantity );
  			this.account.AddOrder( order );
  		}
--- 107,111 ----
  			long quantity = marketOpenEventHandler_addOrder_getQuantity( ticker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
! 			                        quantity );
  			this.account.AddOrder( order );
  		}
***************
*** 114,129 ****
  			if ( this.signedTickersFromLastOptimization != null )
  				foreach ( string signedTicker in this.signedTickersFromLastOptimization )
! 					marketOpenEventHandler_addOrder( signedTicker );
  		}
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if ( ( this.account.CashAmount == 0 ) &&
! 				( this.account.Transactions.Count == 0 ) )
  				// cash has not been added yet
  				this.account.AddCash( 30000 );
  			marketOpenEventHandler_addOrders();
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
  		{
  			ArrayList tickers = new ArrayList();
--- 114,129 ----
  			if ( this.signedTickersFromLastOptimization != null )
  				foreach ( string signedTicker in this.signedTickersFromLastOptimization )
! 				marketOpenEventHandler_addOrder( signedTicker );
  		}
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if ( ( this.account.CashAmount == 0 ) &&
! 			    ( this.account.Transactions.Count == 0 ) )
  				// cash has not been added yet
  				this.account.AddCash( 30000 );
  			marketOpenEventHandler_addOrders();
  		}
! 		private void marketCloseEventHandler_closePositions()
  		{
  			ArrayList tickers = new ArrayList();
***************
*** 133,146 ****
  				this.account.ClosePosition( ticker );
  		}
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
! 			this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
  		}
  
- 		public void MarketCloseEventHandler( Object sender ,
- 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
- 		{
- 		}
  		protected DataTable getSetOfTickersToBeOptimized(
  			DateTime optimizationFirstDate , DateTime optimizationLastDate )
--- 133,142 ----
  				this.account.ClosePosition( ticker );
  		}
! 		protected override void marketCloseEventHandler( Object sender ,
! 		                                                     DateTime dateTime)
  		{
! 			this.marketCloseEventHandler_closePositions();
  		}
  
  		protected DataTable getSetOfTickersToBeOptimized(
  			DateTime optimizationFirstDate , DateTime optimizationLastDate )
***************
*** 150,167 ****
  				optimizationFirstDate , optimizationLastDate ,
  				this.numberOfEligibleTickers );
!       
  			DataTable eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
  //			SelectorByGroup selectorByGroup =
  //				new SelectorByGroup( "SP500" , optimizationLastDate );
  //			DataTable eligibleTickers = selectorByGroup.GetTableOfSelectedTickers();
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
  				new SelectorByQuotationAtEachMarketDay( eligibleTickers,
! 				false , optimizationFirstDate ,
! 				optimizationLastDate ,
! 				this.numberOfEligibleTickers, this.benchmark);
  			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
  		}
  		private void newGenerationEventHandler( object sender ,
! 			NewGenerationEventArgs newGenerationEventArgs )
  		{
  			Console.WriteLine(
--- 146,163 ----
  				optimizationFirstDate , optimizationLastDate ,
  				this.numberOfEligibleTickers );
! 			
  			DataTable eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
  //			SelectorByGroup selectorByGroup =
  //				new SelectorByGroup( "SP500" , optimizationLastDate );
  //			DataTable eligibleTickers = selectorByGroup.GetTableOfSelectedTickers();
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible =
  				new SelectorByQuotationAtEachMarketDay( eligibleTickers,
! 				                                       false , optimizationFirstDate ,
! 				                                       optimizationLastDate ,
! 				                                       this.numberOfEligibleTickers, this.benchmark);
  			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
  		}
  		private void newGenerationEventHandler( object sender ,
! 		                                       NewGenerationEventArgs newGenerationEventArgs )
  		{
  			Console.WriteLine(
***************
*** 171,183 ****
  		}
  		private void addGenomeToBestGenomes( Genome genome,
! 			DateTime firstOptimizationDate ,
! 			DateTime lastOptimizationDate )
  		{
  			if( this.optimizationOutput == null)
  				this.optimizationOutput = new OptimizationOutput();
!       
  			this.optimizationOutput.Add( new GenomeRepresentation( genome ,
! 				firstOptimizationDate ,
! 				lastOptimizationDate ) );
  		}
  		private void oneHourAfterMarketCloseEventHandler_set_signedTickersFromLastOptimization(
--- 167,179 ----
  		}
  		private void addGenomeToBestGenomes( Genome genome,
! 		                                    DateTime firstOptimizationDate ,
! 		                                    DateTime lastOptimizationDate )
  		{
  			if( this.optimizationOutput == null)
  				this.optimizationOutput = new OptimizationOutput();
! 			
  			this.optimizationOutput.Add( new GenomeRepresentation( genome ,
! 			                                                      firstOptimizationDate ,
! 			                                                      lastOptimizationDate ) );
  		}
  		private void oneHourAfterMarketCloseEventHandler_set_signedTickersFromLastOptimization(
***************
*** 192,211 ****
  			DataTable setOfTickersToBeOptimized =
  				this.getSetOfTickersToBeOptimized( optimizationFirstDate ,
! 				optimizationLastDate );
  			Console.WriteLine( "Number of tickers to be optimized: " +
! 				setOfTickersToBeOptimized.Rows.Count.ToString() );
! 			GenomeManagerForEfficientOTCPortfolio genManEfficientOTCPortfolio = 
  				new GenomeManagerForEfficientOTCPortfolio(
! 				setOfTickersToBeOptimized ,
! 				currentDate.AddDays( -this.numDaysForInSampleOptimization + 1 ) ,
! 				currentDate ,
! 				this.numberOfTickersToBeChosen ,
! 				this.targetReturn ,
! 				this.portfolioType,
! 				this.benchmark);
!         
  			this.geneticOptimizer = new GeneticOptimizer(genManEfficientOTCPortfolio,
! 				this.populationSizeForGeneticOptimizer,
! 				this.generationNumberForGeneticOptimizer);
  			this.geneticOptimizer.NewGeneration += new NewGenerationEventHandler(
  				this.newGenerationEventHandler );
--- 188,207 ----
  			DataTable setOfTickersToBeOptimized =
  				this.getSetOfTickersToBeOptimized( optimizationFirstDate ,
! 				                                  optimizationLastDate );
  			Console.WriteLine( "Number of tickers to be optimized: " +
! 			                  setOfTickersToBeOptimized.Rows.Count.ToString() );
! 			GenomeManagerForEfficientOTCPortfolio genManEfficientOTCPortfolio =
  				new GenomeManagerForEfficientOTCPortfolio(
! 					setOfTickersToBeOptimized ,
! 					currentDate.AddDays( -this.numDaysForInSampleOptimization + 1 ) ,
! 					currentDate ,
! 					this.numberOfTickersToBeChosen ,
! 					this.targetReturn ,
! 					this.portfolioType,
! 					this.benchmark);
! 			
  			this.geneticOptimizer = new GeneticOptimizer(genManEfficientOTCPortfolio,
! 			                                             this.populationSizeForGeneticOptimizer,
! 			                                             this.generationNumberForGeneticOptimizer);
  			this.geneticOptimizer.NewGeneration += new NewGenerationEventHandler(
  				this.newGenerationEventHandler );
***************
*** 220,239 ****
  				((GenomeMeaning)this.geneticOptimizer.BestGenome.Meaning).Tickers;
  			this.addGenomeToBestGenomes( geneticOptimizer.BestGenome ,
! 				optimizationFirstDate , optimizationLastDate );
  		}
! 		public void OneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
! 			if ( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
! 				DayOfWeek.Friday )
  				// current day is Friday
  			{
  				Console.WriteLine(
! 					endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.ToString() +
  					" - " + DateTime.Now.ToString() );
  				oneHourAfterMarketCloseEventHandler_set_signedTickersFromLastOptimization(
! 					endOfDayTimingEventArgs.EndOfDayDateTime.DateTime );
  			}
  		}
  	}
  }
--- 216,246 ----
  				((GenomeMeaning)this.geneticOptimizer.BestGenome.Meaning).Tickers;
  			this.addGenomeToBestGenomes( geneticOptimizer.BestGenome ,
! 			                            optimizationFirstDate , optimizationLastDate );
  		}
! 		protected override void oneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                DateTime dateTime)
  		{
! 			if ( dateTime.DayOfWeek ==
! 			    DayOfWeek.Friday )
  				// current day is Friday
  			{
  				Console.WriteLine(
! 					dateTime.ToString() +
  					" - " + DateTime.Now.ToString() );
  				oneHourAfterMarketCloseEventHandler_set_signedTickersFromLastOptimization(
! 					dateTime );
  			}
  		}
+ 		
+ //		public virtual void NewDateTimeEventHandler(
+ //			Object sender , DateTime dateTime )
+ //		{
+ //			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ //				this.marketOpenEventHandler( sender , dateTime );
+ //			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ //				this.marketCloseEventHandler( sender , dateTime );
+ //			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ //				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ //		}
  	}
  }

Index: RunWalkForwardLinearCombination.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest/RunWalkForwardLinearCombination.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunWalkForwardLinearCombination.cs	27 Dec 2005 15:43:14 -0000	1.4
--- RunWalkForwardLinearCombination.cs	29 Sep 2008 21:20:24 -0000	1.5
***************
*** 3,7 ****
  
  RunWalkForwardLinearCombination.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  RunWalkForwardLinearCombination.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 58,62 ****
  		private DateTime deadlineForScript;
  
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
--- 58,62 ----
  		private DateTime deadlineForScript;
  
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
***************
*** 64,76 ****
  
  		public RunWalkForwardLinearCombination(string tickerGroupID,
! 			int numDaysForInSampleOptimization ,
! 			int numberOfEligibleTickers, 
! 			int numberOfTickersToBeChosen, int numDaysForLiquidity, 
! 			int generationNumberForGeneticOptimizer,
! 			int populationSizeForGeneticOptimizer, string benchmark,
! 			DateTime firstDate, DateTime lastDate, double targetReturn,
! 			PortfolioType portfolioType ,
! 			bool openToCloseDaily ,
! 			double maxRunningHours )
  		{
  			this.tickerGroupID = tickerGroupID;
--- 64,76 ----
  
  		public RunWalkForwardLinearCombination(string tickerGroupID,
! 		                                       int numDaysForInSampleOptimization ,
! 		                                       int numberOfEligibleTickers,
! 		                                       int numberOfTickersToBeChosen, int numDaysForLiquidity,
! 		                                       int generationNumberForGeneticOptimizer,
! 		                                       int populationSizeForGeneticOptimizer, string benchmark,
! 		                                       DateTime firstDate, DateTime lastDate, double targetReturn,
! 		                                       PortfolioType portfolioType ,
! 		                                       bool openToCloseDaily ,
! 		                                       double maxRunningHours )
  		{
  			this.tickerGroupID = tickerGroupID;
***************
*** 93,102 ****
  
  		private void oneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( ( this.account.EndOfDayTimer.GetCurrentTime().DateTime >=
! 				this.lastDate ) ||
! 				( DateTime.Now > this.deadlineForScript ) )
! 				this.account.EndOfDayTimer.Stop();
  		}
  
--- 93,102 ----
  
  		private void oneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                 DateTime dateTime )
  		{
! 			if ( ( this.account.Timer.GetCurrentDateTime() >=
! 			      this.lastDate ) ||
! 			    ( DateTime.Now > this.deadlineForScript ) )
! 				this.account.Timer.Stop();
  		}
  
***************
*** 104,110 ****
  		{
  			if ( this.openToCloseDaily )
! 				this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
  			else
! 				this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		private void run_setStrategy()
--- 104,110 ----
  		{
  			if ( this.openToCloseDaily )
! 				this.historicalMarketValueProvider = new HistoricalRawQuoteProvider();
  			else
! 				this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		private void run_setStrategy()
***************
*** 113,123 ****
  				this.endOfDayStrategy =
  					new WalkForwardOpenToCloseDailyStrategy(
! 					this.account , this.tickerGroupID ,
! 					this.numDaysForInSampleOptimization ,
! 					this.numberOfEligibleTickers ,
! 					this.numberOfTickersToBeChosen ,
! 					this.benchmark , this.targetReturn , this.portfolioType ,
! 					this.populationSizeForGeneticOptimizer ,
! 					this.generationNumberForGeneticOptimizer );
  //			else
  //				this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
--- 113,123 ----
  				this.endOfDayStrategy =
  					new WalkForwardOpenToCloseDailyStrategy(
! 						this.account , this.tickerGroupID ,
! 						this.numDaysForInSampleOptimization ,
! 						this.numberOfEligibleTickers ,
! 						this.numberOfTickersToBeChosen ,
! 						this.benchmark , this.targetReturn , this.portfolioType ,
! 						this.populationSizeForGeneticOptimizer ,
! 						this.generationNumberForGeneticOptimizer );
  //			else
  //				this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
***************
*** 128,159 ****
  			this.historicalEndOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 				new EndOfDayDateTime( this.firstDate ,
! 				EndOfDaySpecificTime.MarketOpen ) , "MSFT" );
  			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) );
  			run_setStrategy();
  //			OneRank oneRank = new OneRank( account ,
  //				this.endDateTime );
! 			this.historicalEndOfDayTimer.MarketOpen +=
! 				new MarketOpenEventHandler(
! 				this.endOfDayStrategy.MarketOpenEventHandler );
! 			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
! 				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
! 			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.endOfDayStrategy.OneHourAfterMarketCloseEventHandler );
! 			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.oneHourAfterMarketCloseEventHandler );
! 			this.account.EndOfDayTimer.Start();
  
! 			Report report = new Report( this.account , this.historicalQuoteProvider );
! 			report.Create( "Linear Combination" , 1 ,
! 				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
  				"^SPX" );
  			//			ObjectArchiver.Archive( report.AccountReport ,
--- 128,165 ----
  			this.historicalEndOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen( this.firstDate ) ,
! //				new EndOfDayDateTime( this.firstDate ,
! //				EndOfDaySpecificTime.MarketOpen ) ,
! 					"MSFT" );
  			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) );
  			run_setStrategy();
  //			OneRank oneRank = new OneRank( account ,
  //				this.endDateTime );
! 			this.historicalEndOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayStrategy.NewDateTimeEventHandler );
! //			this.historicalEndOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //					this.endOfDayStrategy.MarketOpenEventHandler );
! //			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
! //				new FiveMinutesBeforeMarketCloseEventHandler(
! //					this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
! //			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayStrategy.OneHourAfterMarketCloseEventHandler );
! //			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.oneHourAfterMarketCloseEventHandler );
! 			this.account.Timer.Start();
  
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Create(
! 				"Linear Combination" , 1 ,
! 				HistoricalEndOfDayTimer.GetMarketClose(	this.lastDate ) ,
! //				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
  				"^SPX" );
  			//			ObjectArchiver.Archive( report.AccountReport ,
***************
*** 173,177 ****
  				new VisualObjectArchiver();
  			visualObjectArchiver.Save( this.endOfDayStrategy.OptimizationOutput ,
! 				"bgn" , title );
  		}
  	}
--- 179,183 ----
  				new VisualObjectArchiver();
  			visualObjectArchiver.Save( this.endOfDayStrategy.OptimizationOutput ,
! 			                          "bgn" , title );
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward TsMSFTwalkForward.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18225

Modified Files:
	TsMSFTwalkForward.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: TsMSFTwalkForward.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward/TsMSFTwalkForward.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** TsMSFTwalkForward.cs	29 Nov 2004 17:36:31 -0000	1.2
--- TsMSFTwalkForward.cs	29 Sep 2008 21:20:26 -0000	1.3
***************
*** 3,7 ****
  
  TsMSFTsimpleTest.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  TsMSFTsimpleTest.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 26,29 ****
--- 26,30 ----
  using QuantProject.ADT.Histories;
  using QuantProject.ADT.Optimizing;
+ using QuantProject.Data.DataProviders.Quotes;
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Financial.Ordering;
***************
*** 45,87 ****
  		}
  
!     private History microsoftCloseHistory;
!     private History microsoftCloseHistorySMA;
  
!     public override void InitializeData()
!     {
!       Parameter parameter = (Parameter) this.Parameters[ "SMAdays" ];
!       microsoftCloseHistory = QuoteCache.GetCloseHistory( "MSFT" );
!       microsoftCloseHistorySMA = microsoftCloseHistory.GetSimpleMovingAverage( (int) parameter.Value );
!     }
  
!     public override Signals GetSignals( ExtendedDateTime extendedDateTime )
!     {
!       Signals signals = new Signals();
!       if ( extendedDateTime.BarComponent == BarComponent.Close )
!       {
!         Signal signal = new Signal();
!         if ( microsoftCloseHistory.Cross( microsoftCloseHistorySMA ,
!           extendedDateTime.DateTime ) )
!         {
!           signal.Add( new Order( OrderType.MarketBuy , new Instrument( "MSFT" ) , 1 ,
!             new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
!             EndOfDaySpecificTime.MarketOpen ) ) );
!           signals.Add( signal );
!         }
!         else
!         {
!           if ( microsoftCloseHistorySMA.Cross( microsoftCloseHistory ,
!             extendedDateTime.DateTime ) )
!           {
!             signal.Add( new Order( OrderType.MarketSell , new Instrument( "MSFT" ) , 1 ,
!               new EndOfDayDateTime(
!               new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
!               EndOfDaySpecificTime.MarketOpen ) ) );
!             signals.Add( signal );
!           }
!         }
!       }
!       return signals;
!     }
  	}
  }
--- 46,99 ----
  		}
  
! 		private History microsoftCloseHistory;
! 		private History microsoftCloseHistorySMA;
  
! 		public override void InitializeData()
! 		{
! 			Parameter parameter = (Parameter) this.Parameters[ "SMAdays" ];
! 			microsoftCloseHistory = HistoricalQuotesProvider.GetCloseHistory( "MSFT" );
! 			microsoftCloseHistorySMA = microsoftCloseHistory.GetSimpleMovingAverage( (int) parameter.Value );
! 		}
  
! 		public override Signals GetSignals( DateTime dateTime )
! 		{
! 			Signals signals = new Signals();
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! //			if ( dateTime.BarComponent == BarComponent.Close )
! 			{
! 				Signal signal = new Signal();
! 				if ( microsoftCloseHistory.Cross( microsoftCloseHistorySMA ,
! 				                                 dateTime ) )
! 				{
! 					signal.Add(
! 						new Order(
! 							OrderType.MarketBuy , new Instrument( "MSFT" ) , 1 ,
! 							HistoricalEndOfDayTimer.GetMarketOpen(
! 								new Instrument( "MSFT" ).GetNextMarketDay(
! 									dateTime ) ) ) );
! //							new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( dateTime.DateTime ) ,
! //							                     EndOfDaySpecificTime.MarketOpen ) ) );
! 					signals.Add( signal );
! 				}
! 				else
! 				{
! 					if ( microsoftCloseHistorySMA.Cross( microsoftCloseHistory ,
! 					                                    dateTime ) )
! 					{
! 						signal.Add(
! 							new Order(
! 								OrderType.MarketSell , new Instrument( "MSFT" ) , 1 ,
! 								HistoricalEndOfDayTimer.GetMarketOpen(
! 									new Instrument( "MSFT" ).GetNextMarketDay(
! 										dateTime ) ) ) );
! //								new EndOfDayDateTime(
! //									new Instrument( "MSFT" ).GetNextMarketDay( dateTime.DateTime ) ,
! //									EndOfDaySpecificTime.MarketOpen ) ) );
! 						signals.Add( signal );
! 					}
! 				}
! 			}
! 			return signals;
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging TesterForFLTPTestingPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18157/Logging

Modified Files:
	TesterForFLTPTestingPositions.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: TesterForFLTPTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging/TesterForFLTPTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TesterForFLTPTestingPositions.cs	16 Aug 2008 19:18:52 -0000	1.1
--- TesterForFLTPTestingPositions.cs	29 Sep 2008 21:20:14 -0000	1.2
***************
*** 46,50 ****
  		private FLTPTestingPositions testingPositions;
  		private int numberOfInSampleDays;
! 		private EndOfDayDateTime endOfDayDateTimeWhenThisObjectWasLogged;
  		
  		/// <summary>
--- 46,50 ----
  		private FLTPTestingPositions testingPositions;
  		private int numberOfInSampleDays;
! 		private DateTime dateTimeWhenThisObjectWasLogged;
  		
  		/// <summary>
***************
*** 75,79 ****
  			TestingPositions testingPositions ,
  			int numberOfInSampleDays ,
! 			EndOfDayDateTime endOfDayDateTimeWhenThisObjectWasLogged )
  		{
  			this.checkParameters( testingPositions );
--- 75,79 ----
  			TestingPositions testingPositions ,
  			int numberOfInSampleDays ,
! 			DateTime dateTimeWhenThisObjectWasLogged )
  		{
  			this.checkParameters( testingPositions );
***************
*** 81,86 ****
  				(FLTPTestingPositions)testingPositions;
  			this.numberOfInSampleDays = numberOfInSampleDays;
! 			this.endOfDayDateTimeWhenThisObjectWasLogged =
! 				endOfDayDateTimeWhenThisObjectWasLogged;
  		}
  		private void checkParameters( TestingPositions testingPositions )
--- 81,86 ----
  				(FLTPTestingPositions)testingPositions;
  			this.numberOfInSampleDays = numberOfInSampleDays;
! 			this.dateTimeWhenThisObjectWasLogged =
! 				dateTimeWhenThisObjectWasLogged;
  		}
  		private void checkParameters( TestingPositions testingPositions )
***************
*** 96,100 ****
  			WeightedPositions weightedPositions ,
  			IIntervalsSelector intervalsSelector ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ,
  			Benchmark benchmark ,
  			double cashToStart )
--- 96,100 ----
  			WeightedPositions weightedPositions ,
  			IIntervalsSelector intervalsSelector ,
! 			HistoricalMarketValueProvider HistoricalMarketValueProvider ,
  			Benchmark benchmark ,
  			double cashToStart )
***************
*** 102,119 ****
  			FLTPSimpleStrategy fLTPSimpleStrategy =
  				new FLTPSimpleStrategy( weightedPositions ,
! 				intervalsSelector , historicalQuoteProvider );
  			IAccountProvider accountProvider =
  				new SimpleAccountProvider();
  
  			DateTime firstDateTime =
! 				this.endOfDayDateTimeWhenThisObjectWasLogged.DateTime.AddDays(
  				- this.numberOfInSampleDays );
  			DateTime lastDateTime =
! 				this.endOfDayDateTimeWhenThisObjectWasLogged.DateTime;
  			double maxRunningHours = 0.3;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
  				"SimpleFLTP" , fLTPSimpleStrategy ,
! 				historicalQuoteProvider , accountProvider ,
  				firstDateTime , lastDateTime ,
  				benchmark , cashToStart , maxRunningHours );
--- 102,119 ----
  			FLTPSimpleStrategy fLTPSimpleStrategy =
  				new FLTPSimpleStrategy( weightedPositions ,
! 				intervalsSelector , HistoricalMarketValueProvider );
  			IAccountProvider accountProvider =
  				new SimpleAccountProvider();
  
  			DateTime firstDateTime =
! 				this.dateTimeWhenThisObjectWasLogged.AddDays(
  				- this.numberOfInSampleDays );
  			DateTime lastDateTime =
! 				this.dateTimeWhenThisObjectWasLogged;
  			double maxRunningHours = 0.3;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
  				"SimpleFLTP" , fLTPSimpleStrategy ,
! 				HistoricalMarketValueProvider , accountProvider ,
  				firstDateTime , lastDateTime ,
  				benchmark , cashToStart , maxRunningHours );
***************
*** 150,154 ****
  			Benchmark benchmark = new Benchmark( "MSFT" );
  
! 			IHistoricalQuoteProvider historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
  
--- 150,154 ----
  			Benchmark benchmark = new Benchmark( "MSFT" );
  
! 			HistoricalMarketValueProvider historicalMarketValueProvider =
  				new HistoricalAdjustedQuoteProvider();
  
***************
*** 171,175 ****
  			AccountReport accountReport =
  				this.getAccountReport( weightedPositions , intervalsSelector ,
! 				historicalQuoteProvider ,
  				benchmark , 30000 );
  			
--- 171,175 ----
  			AccountReport accountReport =
  				this.getAccountReport( weightedPositions , intervalsSelector ,
! 				historicalMarketValueProvider ,
  				benchmark , 30000 );
  			

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunTestOptimizedCTCPortfolio.cs, 1.9, 1.10 RunTestOptimizedOTCPortfolio.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17673

Modified Files:
	RunTestOptimizedCTCPortfolio.cs 
	RunTestOptimizedOTCPortfolio.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: RunTestOptimizedOTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedOTCPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunTestOptimizedOTCPortfolio.cs	7 Jan 2006 10:35:39 -0000	1.1
--- RunTestOptimizedOTCPortfolio.cs	29 Sep 2008 21:19:53 -0000	1.2
***************
*** 3,7 ****
  
  RunTestOptimizedOTCPorfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunTestOptimizedOTCPorfolio.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 38,42 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 38,42 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 51,121 ****
  	/// </summary>
  	[Serializable]
!   public class RunTestOptimizedOTCPorfolio : RunEfficientOTCPortfolio
  	{
!    
!     public RunTestOptimizedOTCPorfolio(string tickerGroupID, int numberOfEligibleTickers, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime endDate, double targetReturn,
!                                     PortfolioType portfolioType, double maxRunningHours, 
!                                    	int numDaysBetweenEachOptimization):
!   																base(tickerGroupID, numberOfEligibleTickers, 
!                                      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     endDate.AddDays(-numDaysForOptimizationPeriod), endDate, targetReturn,
!                                    	portfolioType, maxRunningHours,
!                                    	numDaysBetweenEachOptimization)
  		{
!       //this.ScriptName = "TestOptimizedOTCPortfolio";
!       this.ScriptName = "TestOptimizedOTCWeightedPortfolio";
!     }
!   	
!   	protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCTest(this.tickerGroupID,
!                                                               this.numberOfEligibleTickers,
!                                                               this.numberOfTickersToBeChosen,
!                                                               this.numDaysForOptimizationPeriod,
!                                                               this.account,
!                                                               this.generationNumberForGeneticOptimizer, 
!                                                               this.populationSizeForGeneticOptimizer,
!                                                               this.benchmark,
!                                                               this.targetReturn,
!                                                               this.portfolioType,
!                                                              	this.numDaysBetweenEachOptimization);
!        
!     }
!   	
!   	public override void Run()
!     {
!   		base.Run();
!       ((EndOfDayTimerHandlerOTCTest)this.endOfDayTimerHandler).Reset();
!       
!       Report report = new Report( this.account , this.historicalQuoteProvider );
!       report.Create( "TestOptimizationOpenToCloseEfficientPortfolio", 1 ,
!         new EndOfDayDateTime( this.endDateTime.DateTime ,
!         EndOfDaySpecificTime.MarketClose ) ,
!         this.benchmark );
!       report.Show();
!       report.Text = this.getGenomeCounterInfo();
!     }
!      
!     protected override void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
!         DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
!         //last date is reached by the timer or maxRunning hours
!         //are elapsed from the time script started
!       {
!         this.endOfDayTimer.Stop();
!       }
  
!     }
!     
!     
  
!         
  	}
  }
--- 51,124 ----
  	/// </summary>
  	[Serializable]
! 	public class RunTestOptimizedOTCPorfolio : RunEfficientOTCPortfolio
  	{
! 		
! 		public RunTestOptimizedOTCPorfolio(string tickerGroupID, int numberOfEligibleTickers,
! 		                                   int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                   int generationNumberForGeneticOptimizer,
! 		                                   int populationSizeForGeneticOptimizer, string benchmark,
! 		                                   DateTime endDate, double targetReturn,
! 		                                   PortfolioType portfolioType, double maxRunningHours,
! 		                                   int numDaysBetweenEachOptimization):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     endDate.AddDays(-numDaysForOptimizationPeriod), endDate, targetReturn,
! 			     portfolioType, maxRunningHours,
! 			     numDaysBetweenEachOptimization)
  		{
! 			//this.ScriptName = "TestOptimizedOTCPortfolio";
! 			this.ScriptName = "TestOptimizedOTCWeightedPortfolio";
! 		}
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCTest(this.tickerGroupID,
! 			                                                            this.numberOfEligibleTickers,
! 			                                                            this.numberOfTickersToBeChosen,
! 			                                                            this.numDaysForOptimizationPeriod,
! 			                                                            this.account,
! 			                                                            this.generationNumberForGeneticOptimizer,
! 			                                                            this.populationSizeForGeneticOptimizer,
! 			                                                            this.benchmark,
! 			                                                            this.targetReturn,
! 			                                                            this.portfolioType,
! 			                                                            this.numDaysBetweenEachOptimization);
! 			
! 		}
! 		
! 		public override void Run()
! 		{
! 			base.Run();
! 			((EndOfDayTimerHandlerOTCTest)this.endOfDayTimerHandler).Reset();
! 			
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Create(
! 				"TestOptimizationOpenToCloseEfficientPortfolio", 1 ,
! 				HistoricalEndOfDayTimer.GetMarketClose( this.endDateTime ) ,
! 				//        new EndOfDayDateTime( this.endDateTime.DateTime ,
! 				//        EndOfDaySpecificTime.MarketClose ) ,
! 				this.benchmark );
! 			report.Show();
! 			report.Text = this.getGenomeCounterInfo();
! 		}
! 		
! 		protected override void checkDateForReport(
! 			Object sender , DateTime dateTime )
! 		{
! 			if(dateTime>=this.endDateTime ||
! 			   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 				//last date is reached by the timer or maxRunning hours
! 				//are elapsed from the time script started
! 			{
! 				this.endOfDayTimer.Stop();
! 			}
  
! 		}
! 		
! 		
  
! 		
  	}
  }

Index: RunTestOptimizedCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunTestOptimizedCTCPortfolio.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** RunTestOptimizedCTCPortfolio.cs	28 Dec 2005 23:29:39 -0000	1.9
--- RunTestOptimizedCTCPortfolio.cs	29 Sep 2008 21:19:53 -0000	1.10
***************
*** 3,7 ****
  
  RunTestOptimizedCTCPortfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunTestOptimizedCTCPortfolio.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 36,40 ****
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 36,40 ----
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 48,52 ****
  	/// <summary>
  	/// Script to buy at close and sell at close
! 	/// after a specified number of market days  
  	/// the efficient portfolio
  	/// The efficient portfolio's generation rules
--- 48,52 ----
  	/// <summary>
  	/// Script to buy at close and sell at close
! 	/// after a specified number of market days
  	/// the efficient portfolio
  	/// The efficient portfolio's generation rules
***************
*** 60,130 ****
  	public class RunTestOptimizedCTCPortfolio : RunEfficientCTCPortfolio
  	{
!    
!     public RunTestOptimizedCTCPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime endDate,
!                                    	int numDaysOfPortfolioLife, int numDaysForReturnCalculation,
!                                     int numDaysWithNoPositions,
!                                    	double targetReturn,
!                                     PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double maxRunningHours, int numDaysBetweenEachOptimization):
! 																base(tickerGroupID, numberOfEligibleTickers, 
!                                     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     endDate.AddDays(-numDaysForOptimizationPeriod), endDate,
!                                    	numDaysOfPortfolioLife, numDaysForReturnCalculation,
!                                     numDaysWithNoPositions,
!                                    	targetReturn,
!                                     portfolioType, maxAcceptableCloseToCloseDrawdown, 
!                                     maxRunningHours, numDaysBetweenEachOptimization)
  		{
!       this.ScriptName = "TestOptimizedCTCPortfolio";
!       
  		}
-     
-     protected override void run_initializeEndOfDayTimerHandler()
-     {
-       this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTCTest(this.tickerGroupID, this.numberOfEligibleTickers,
-     	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
-     	                                                        this.account,
-     	                                                        this.generationNumberForGeneticOptimizer,
-     	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
-     	                                                        this.numDayOfPortfolioLife, 
-     	                                                        this.numDaysForReturnCalculation,
-                                                               this.numDaysWithNoPositions,
-     	                                                        this.targetReturn,
-     	                                                       	this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
-                                                               this.numDaysBetweenEachOptimization);
-     }
-     
-         
-     public override void Run()
-     {
-     	base.Run();
-       ((EndOfDayTimerHandlerCTCTest)this.endOfDayTimerHandler).Reset();
-        Report report = new Report( this.account , this.historicalQuoteProvider );
-       report.Create( "TestOptimizationCTCPortfolio", 1 ,
-         new EndOfDayDateTime( this.endDateTime.DateTime ,
-         EndOfDaySpecificTime.MarketClose ) ,
-         this.benchmark );
-       report.Show();
-       report.Text = this.getGenomeCounterInfo();
-     }
-     
-     protected override void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
-     {
-       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
-         DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
-         //last date is reached by the timer or maxRunning hours
-         //are elapsed from the time script started
-       {
-         this.endOfDayTimer.Stop();
-       }
  
!     }
!    
  	}
  }
--- 60,147 ----
  	public class RunTestOptimizedCTCPortfolio : RunEfficientCTCPortfolio
  	{
! 		
! 		public RunTestOptimizedCTCPortfolio(string tickerGroupID, int numberOfEligibleTickers,
! 		                                    int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                    int generationNumberForGeneticOptimizer,
! 		                                    int populationSizeForGeneticOptimizer, string benchmark,
! 		                                    DateTime endDate,
! 		                                    int numDaysOfPortfolioLife, int numDaysForReturnCalculation,
! 		                                    int numDaysWithNoPositions,
! 		                                    double targetReturn,
! 		                                    PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                                    double maxRunningHours, int numDaysBetweenEachOptimization):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     endDate.AddDays(-numDaysForOptimizationPeriod), endDate,
! 			     numDaysOfPortfolioLife, numDaysForReturnCalculation,
! 			     numDaysWithNoPositions,
! 			     targetReturn,
! 			     portfolioType, maxAcceptableCloseToCloseDrawdown,
! 			     maxRunningHours, numDaysBetweenEachOptimization)
  		{
! 			this.ScriptName = "TestOptimizedCTCPortfolio";
! 			
! 		}
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTCTest(this.tickerGroupID, this.numberOfEligibleTickers,
! 			                                                            this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
! 			                                                            this.account,
! 			                                                            this.generationNumberForGeneticOptimizer,
! 			                                                            this.populationSizeForGeneticOptimizer, this.benchmark,
! 			                                                            this.numDayOfPortfolioLife,
! 			                                                            this.numDaysForReturnCalculation,
! 			                                                            this.numDaysWithNoPositions,
! 			                                                            this.targetReturn,
! 			                                                            this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
! 			                                                            this.numDaysBetweenEachOptimization);
! 		}
! 		
! 		
! 		public override void Run()
! 		{
! 			base.Run();
! 			((EndOfDayTimerHandlerCTCTest)this.endOfDayTimerHandler).Reset();
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Create(
! 				"TestOptimizationCTCPortfolio", 1 ,
! 				HistoricalEndOfDayTimer.GetMarketClose( this.endDateTime ) ,
! //				new EndOfDayDateTime( this.endDateTime.DateTime ,
! //				                     EndOfDaySpecificTime.MarketClose ) ,
! 				this.benchmark );
! 			report.Show();
! 			report.Text = this.getGenomeCounterInfo();
! 		}
! 		
! //		protected override void checkDateForReport(
! //			Object sender , DateTime dateTime)
! //		{
! //			if(dateTime.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
! //			   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! //				//last date is reached by the timer or maxRunning hours
! //				//are elapsed from the time script started
! //			{
! //				this.endOfDayTimer.Stop();
! //			}
! //
! //		}
! 		
! 		protected override void checkDateForReport(
! 			Object sender , DateTime dateTime)
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 			{
! 				if( dateTime >= this.endDateTime ||
! 				   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 					//last date is reached by the timer or maxRunning hours
! 					//are elapsed from the time script started
! 					this.endOfDayTimer.Stop();
! 			}
  		}
  
! 		
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination ImmediateTrendFollowerStrategy.cs, 1.3, 1.4 LinearCombinationTest.cs, 1.13, 1.14

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17497/LinearCombination

Modified Files:
	ImmediateTrendFollowerStrategy.cs LinearCombinationTest.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** LinearCombinationTest.cs	14 Jan 2008 23:41:44 -0000	1.13
--- LinearCombinationTest.cs	29 Sep 2008 21:19:30 -0000	1.14
***************
*** 3,7 ****
  
  LinearCombinationTest.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  LinearCombinationTest.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 40,44 ****
  	/// <summary>
  	/// Object to test a linear combination strategy on given positions,
! 	/// on a given period of time 
  	/// </summary>
  	public class LinearCombinationTest
--- 40,44 ----
  	/// <summary>
  	/// Object to test a linear combination strategy on given positions,
! 	/// on a given period of time
  	/// </summary>
  	public class LinearCombinationTest
***************
*** 48,70 ****
  		private GenomeRepresentation[] genomeRepresentations;
  //		private bool openToCloseDaily;
!     private StrategyType strategyType;
!     private int numDaysForOscillatorStrategy;
!     private double stopLoss;
!     private double takeProfit;
  		private double oversoldThreshold;
  		private double overboughtThreshold;
  		private bool setDirectlyThresholdLevels;
  
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
! 		private IEndOfDayStrategy endOfDayStrategy;
!     private PortfolioType portfolioType;
  		
  		private void linearCombinationTest_commonInitialization(DateTime firstDate , DateTime lastDate ,
! 			GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 			PortfolioType portfolioType, int numDaysForOscillatorStrategy,
! 		  double stopLoss, double takeProfit,
!       double oversoldThreshold, double overboughtThreshold, bool setDirectlyThresholdLevels)
  		{
  			this.firstDate = firstDate;
--- 48,70 ----
  		private GenomeRepresentation[] genomeRepresentations;
  //		private bool openToCloseDaily;
! 		private StrategyType strategyType;
! 		private int numDaysForOscillatorStrategy;
! 		private double stopLoss;
! 		private double takeProfit;
  		private double oversoldThreshold;
  		private double overboughtThreshold;
  		private bool setDirectlyThresholdLevels;
  
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
! 		private IStrategy strategy;
! 		private PortfolioType portfolioType;
  		
  		private void linearCombinationTest_commonInitialization(DateTime firstDate , DateTime lastDate ,
! 		                                                        GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 		                                                        PortfolioType portfolioType, int numDaysForOscillatorStrategy,
! 		                                                        double stopLoss, double takeProfit,
! 		                                                        double oversoldThreshold, double overboughtThreshold, bool setDirectlyThresholdLevels)
  		{
  			this.firstDate = firstDate;
***************
*** 82,128 ****
  
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
!       GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
!       PortfolioType portfolioType)
  		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, 0,0,0,0,0,false);
!     }
!     
!     public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
!       GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
!       PortfolioType portfolioType,
!       int numDaysForOscillatorStrategy)
!     {
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 				0,0,0,0,false);
!     }
  
!     public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
!       GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
!       PortfolioType portfolioType,
!       int numDaysForOscillatorStrategy, double stopLoss, double takeProfit)
!     {
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 				stopLoss, takeProfit, 0,0,false);
!     }
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 			GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 			PortfolioType portfolioType,
! 			int numDaysForOscillatorStrategy, double stopLoss, double takeProfit,
! 			double oversoldThreshold, double overboughtThreshold, bool setDirectlyThresholdLevels)
  		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 				genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 				stopLoss, takeProfit, oversoldThreshold, overboughtThreshold,
! 				setDirectlyThresholdLevels);
  		}
!     private void oneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( this.account.EndOfDayTimer.GetCurrentTime().DateTime >=
! 				this.lastDate )
! 				this.account.EndOfDayTimer.Stop();
  		}
  
--- 82,128 ----
  
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 		                             GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 		                             PortfolioType portfolioType)
  		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 			                                                genomeRepresentations, strategyType, portfolioType, 0,0,0,0,0,false);
! 		}
! 		
! 		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 		                             GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 		                             PortfolioType portfolioType,
! 		                             int numDaysForOscillatorStrategy)
! 		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 			                                                genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 			                                                0,0,0,0,false);
! 		}
  
! 		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 		                             GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 		                             PortfolioType portfolioType,
! 		                             int numDaysForOscillatorStrategy, double stopLoss, double takeProfit)
! 		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 			                                                genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 			                                                stopLoss, takeProfit, 0,0,false);
! 		}
  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 		                             GenomeRepresentation[] genomeRepresentations , StrategyType strategyType,
! 		                             PortfolioType portfolioType,
! 		                             int numDaysForOscillatorStrategy, double stopLoss, double takeProfit,
! 		                             double oversoldThreshold, double overboughtThreshold, bool setDirectlyThresholdLevels)
  		{
  			this.linearCombinationTest_commonInitialization( firstDate, lastDate,
! 			                                                genomeRepresentations, strategyType, portfolioType, numDaysForOscillatorStrategy,
! 			                                                stopLoss, takeProfit, oversoldThreshold, overboughtThreshold,
! 			                                                setDirectlyThresholdLevels);
  		}
! 		private void oneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                 DateTime dateTime )
  		{
! 			if ( this.account.Timer.GetCurrentDateTime() >=
! 			    this.lastDate )
! 				this.account.Timer.Stop();
  		}
  
***************
*** 130,170 ****
  		{
  			if ( this.strategyType == StrategyType.OpenToCloseDaily )
! 				this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
  			else
! 				this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		
! //    private void run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy()
! //    {
! //    	WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
! //    	for(int i = 0; i<this.genomeRepresentations.Length;i++)
! //      {
! //      	weightedPositions[i] = 
! //      		new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! //      		                      new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! //      		                      
! //      }
! //     
! //      this.endOfDayStrategy = new FixedLevelOscBiasedOTC_PVONoThresholdsStrategy(
! //        this.account , weightedPositions, 
! //        this.genomeRepresentations.Length);
! //    }
  
! //    private void run_setStrategy_setBiasedPVONoThresholdsStrategy()
! //    {
  //			WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
  //			for(int i = 0; i<this.genomeRepresentations.Length;i++)
  //			{
! //				weightedPositions[i] = 
  //					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
  //					new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! //      		                      
  //			}
! //      this.endOfDayStrategy = new FixedLevelOscillatorBiasedPVONoThresholdsStrategy(
! //        this.account , weightedPositions, 
! //        this.genomeRepresentations.Length,
! //        this.stopLoss,
! //        this.takeProfit);
! //    }
  
  		private double run_setStrategy_setBiasedPVOStrategy_getOversoldThreshold(int i)
--- 130,170 ----
  		{
  			if ( this.strategyType == StrategyType.OpenToCloseDaily )
! 				this.historicalMarketValueProvider = new HistoricalRawQuoteProvider();
  			else
! 				this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		
! 		//    private void run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy()
! 		//    {
! 		//    	WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
! 		//    	for(int i = 0; i<this.genomeRepresentations.Length;i++)
! 		//      {
! 		//      	weightedPositions[i] =
! 		//      		new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! 		//      		                      new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! //
! 		//      }
! //
! 		//      this.endOfDayStrategy = new FixedLevelOscBiasedOTC_PVONoThresholdsStrategy(
! 		//        this.account , weightedPositions,
! 		//        this.genomeRepresentations.Length);
! 		//    }
  
! 		//    private void run_setStrategy_setBiasedPVONoThresholdsStrategy()
! 		//    {
  //			WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
  //			for(int i = 0; i<this.genomeRepresentations.Length;i++)
  //			{
! //				weightedPositions[i] =
  //					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
  //					new SignedTickers(this.genomeRepresentations[i].SignedTickers));
! //
  //			}
! 		//      this.endOfDayStrategy = new FixedLevelOscillatorBiasedPVONoThresholdsStrategy(
! 		//        this.account , weightedPositions,
! 		//        this.genomeRepresentations.Length,
! 		//        this.stopLoss,
! 		//        this.takeProfit);
! 		//    }
  
  		private double run_setStrategy_setBiasedPVOStrategy_getOversoldThreshold(int i)
***************
*** 193,275 ****
  			WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
  			double[] oversoldThresholds = new double[this.genomeRepresentations.Length];
!       double[] overboughtThresholds = new double[this.genomeRepresentations.Length];
  			for(int i = 0; i<this.genomeRepresentations.Length;i++)
  			{
! 				weightedPositions[i] = 
  					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! 					new SignedTickers(this.genomeRepresentations[i].SignedTickers));
  				oversoldThresholds[i] = this.run_setStrategy_setBiasedPVOStrategy_getOversoldThreshold(i);
  				overboughtThresholds[i] = this.run_setStrategy_setBiasedPVOStrategy_getOverboughtThreshold(i);
  			}
  			
! 		 	this.endOfDayStrategy = new FixedLevelOscillatorBiasedPVOStrategy(
!             this.account , weightedPositions, 
!             oversoldThresholds, overboughtThresholds,
!             overboughtThresholds.Length,
!             this.numDaysForOscillatorStrategy,this.stopLoss,
!             this.takeProfit);
  		}
  		
  		private void run_setStrategy()
  		{
! 			WeightedPositions weightedPositions = 
  				this.run_getWeightedPositions(this.genomeRepresentations[0]);
  			switch (this.strategyType)
!       {
!         case StrategyType.OpenToCloseDaily:
!           this.endOfDayStrategy = new OpenToCloseDailyStrategy(
! 					                            this.account , weightedPositions );
!           break;
!         case StrategyType.OpenToCloseWeekly:
!           this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
!                                       this.account , weightedPositions );
!           break;
!         case StrategyType.CloseToOpenDaily:
!           this.endOfDayStrategy = new CloseToOpenDailyStrategy(
!                                       this.account , weightedPositions );
!           break;
!         
!         case StrategyType.OpenToCloseCloseToOpenDaily:
!           this.endOfDayStrategy = new OTC_CTODailyStrategy(
!             this.account , weightedPositions);
!           break;
!         
!         case StrategyType.FixedPeriodOscillator:
!           this.endOfDayStrategy = new FixedPeriodOscillatorStrategy(
! 			            this.account , weightedPositions,
! 			            this.numDaysForOscillatorStrategy , 
! 			            this.numDaysForOscillatorStrategy );
!           break;
!         
!         case StrategyType.ExtremeCounterTrend:
!           this.endOfDayStrategy = new ExtremeCounterTrendStrategy(
!             this.account , weightedPositions, this.numDaysForOscillatorStrategy,
!             this.portfolioType);
!           break;
!         
!         case StrategyType.ImmediateTrendFollower:
!           this.endOfDayStrategy = new ImmediateTrendFollowerStrategy(
!             this.account , weightedPositions, this.numDaysForOscillatorStrategy );
!           break;
!         
!         case StrategyType.PortfolioValueOscillator:
!           this.endOfDayStrategy = new FixedLevelOscillatorPVOStrategy(
!             this.account , weightedPositions, 
!             this.genomeRepresentations[0].OversoldThreshold, this.genomeRepresentations[0].OverboughtThreshold,
!             this.numDaysForOscillatorStrategy );
!           break;
!           
!         case StrategyType.PortfolioValueOscillatorBiased:
!           this.run_setStrategy_setBiasedPVOStrategy();
!           break;
!         
! //        case StrategyType.PortfolioValueOscillatorBiasedNoThresholds:
! //          this.run_setStrategy_setBiasedPVONoThresholdsStrategy();
! //          break;
  //
! //        case StrategyType.OTC_PVOBiasedNoThresholds:
! //          this.run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy();
! //          break;
!       }
  		}
  		private string getDateString( DateTime dateTime )
--- 193,275 ----
  			WeightedPositions[] weightedPositions = new WeightedPositions[this.genomeRepresentations.Length];
  			double[] oversoldThresholds = new double[this.genomeRepresentations.Length];
! 			double[] overboughtThresholds = new double[this.genomeRepresentations.Length];
  			for(int i = 0; i<this.genomeRepresentations.Length;i++)
  			{
! 				weightedPositions[i] =
  					new WeightedPositions(GenomeRepresentation.GetWeightsArray(this.genomeRepresentations[i].WeightsForSignedTickers),
! 					                      new SignedTickers(this.genomeRepresentations[i].SignedTickers));
  				oversoldThresholds[i] = this.run_setStrategy_setBiasedPVOStrategy_getOversoldThreshold(i);
  				overboughtThresholds[i] = this.run_setStrategy_setBiasedPVOStrategy_getOverboughtThreshold(i);
  			}
  			
! 			this.strategy = new FixedLevelOscillatorBiasedPVOStrategy(
! 				this.account , weightedPositions,
! 				oversoldThresholds, overboughtThresholds,
! 				overboughtThresholds.Length,
! 				this.numDaysForOscillatorStrategy,this.stopLoss,
! 				this.takeProfit);
  		}
  		
  		private void run_setStrategy()
  		{
! 			WeightedPositions weightedPositions =
  				this.run_getWeightedPositions(this.genomeRepresentations[0]);
  			switch (this.strategyType)
! 			{
! 				case StrategyType.OpenToCloseDaily:
! 					this.strategy = new OpenToCloseDailyStrategy(
! 						this.account , weightedPositions );
! 					break;
! 				case StrategyType.OpenToCloseWeekly:
! 					this.strategy = new OpenToCloseWeeklyStrategy(
! 						this.account , weightedPositions );
! 					break;
! 				case StrategyType.CloseToOpenDaily:
! 					this.strategy = new CloseToOpenDailyStrategy(
! 						this.account , weightedPositions );
! 					break;
! 					
! 				case StrategyType.OpenToCloseCloseToOpenDaily:
! 					this.strategy = new OTC_CTODailyStrategy(
! 						this.account , weightedPositions);
! 					break;
! 					
! 				case StrategyType.FixedPeriodOscillator:
! 					this.strategy = new FixedPeriodOscillatorStrategy(
! 						this.account , weightedPositions,
! 						this.numDaysForOscillatorStrategy ,
! 						this.numDaysForOscillatorStrategy );
! 					break;
! 					
! 				case StrategyType.ExtremeCounterTrend:
! 					this.strategy = new ExtremeCounterTrendStrategy(
! 						this.account , weightedPositions, this.numDaysForOscillatorStrategy,
! 						this.portfolioType);
! 					break;
! 					
! 				case StrategyType.ImmediateTrendFollower:
! 					this.strategy = new ImmediateTrendFollowerStrategy(
! 						this.account , weightedPositions, this.numDaysForOscillatorStrategy );
! 					break;
! 					
! 				case StrategyType.PortfolioValueOscillator:
! 					this.strategy = new FixedLevelOscillatorPVOStrategy(
! 						this.account , weightedPositions,
! 						this.genomeRepresentations[0].OversoldThreshold, this.genomeRepresentations[0].OverboughtThreshold,
! 						this.numDaysForOscillatorStrategy );
! 					break;
! 					
! 				case StrategyType.PortfolioValueOscillatorBiased:
! 					this.run_setStrategy_setBiasedPVOStrategy();
! 					break;
! 					
! 					//        case StrategyType.PortfolioValueOscillatorBiasedNoThresholds:
! 					//          this.run_setStrategy_setBiasedPVONoThresholdsStrategy();
! 					//          break;
  //
! 					//        case StrategyType.OTC_PVOBiasedNoThresholds:
! 					//          this.run_setStrategy_setBiasedOTC_PVONoThresholdsStrategy();
! 					//          break;
! 			}
  		}
  		private string getDateString( DateTime dateTime )
***************
*** 287,386 ****
  				" to " + this.getDateString( this.lastDate ) +
  				" opt. in sample from " + this.getDateString(
! 				this.genomeRepresentations[0].FirstOptimizationDate ) +
  				" to " + this.getDateString(
! 				this.genomeRepresentations[0].LastOptimizationDate );
  			return returnValue;
  		}
  		
!     private void run_addEquityLineForWeightedPositions(
!       WeightedPositions weightedPositions , Color color , Report report )
!     {
!       EquityLine equityLineForWeightedPositions =
!         weightedPositions.GetVirtualEquityLine(
!         15000 , report.AccountReport.EquityLine );
!       report.AddEquityLine( equityLineForWeightedPositions ,
!         color );
!     }
!     
  		private void run_addEquityLineForEachPositionInWeightedPositions(
!       WeightedPositions weightedPositions , Color color , Report report )
!     {
  			foreach(WeightedPosition position in weightedPositions.Values)
  			{
  				WeightedPositions wp = new WeightedPositions(new SignedTickers(
! 																										 position.Ticker));
  				EquityLine equityLineForWeightedPositions =
!         wp.GetVirtualEquityLine(
!         15000 , report.AccountReport.EquityLine );
!       	report.AddEquityLine( equityLineForWeightedPositions ,
!         color );
  			}
! 	  }
  		
!     private WeightedPositions run_getWeightedPositions(GenomeRepresentation genomeRepresentation)
!       
!     {
!       double[] normalizedWeights = 
!         GenomeRepresentation.GetWeightsArray(genomeRepresentation.WeightsForSignedTickers);
!       string[] tickers = 
!         GenomeRepresentation.GetSignedTickers(genomeRepresentation.SignedTickers);
!       for(int i = 0; i<tickers.Length; i++)
!       {
!         if(tickers[i].StartsWith("-"))
!         {
!           tickers[i] = SignedTicker.GetTicker(tickers[i]);
!           normalizedWeights[i] = -1.0 * normalizedWeights[i];
!         }
!       }
!       return new WeightedPositions(normalizedWeights, tickers);
!     }
  
!     public void Run()
  		{
  			this.historicalEndOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 				new EndOfDayDateTime( this.firstDate ,
! 				EndOfDaySpecificTime.MarketOpen ) , "^GSPC" );
  			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) );
  			run_setStrategy();
  			//			OneRank oneRank = new OneRank( account ,
  			//				this.endDateTime );
! 			this.historicalEndOfDayTimer.MarketOpen +=
! 				new MarketOpenEventHandler(
! 				this.endOfDayStrategy.MarketOpenEventHandler );
! 			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
! 				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
!       this.historicalEndOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayStrategy.MarketCloseEventHandler );
! 			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.oneHourAfterMarketCloseEventHandler );
! 			this.account.EndOfDayTimer.Start();
  
! 			Report report = new Report( this.account , this.historicalQuoteProvider );
!       report.Create( "Linear Combination" , 1 ,
! 				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
! 			"^GSPC");
!       foreach(GenomeRepresentation genomeRepresentation in this.genomeRepresentations)
!       { 	
!       	WeightedPositions weightedPositions = this.run_getWeightedPositions( genomeRepresentation );
!       	this.run_addEquityLineForWeightedPositions(
!       		weightedPositions,
!       		Color.Brown,
!       		report);
!       	this.run_addEquityLineForEachPositionInWeightedPositions(
!       		weightedPositions,
!       		Color.DimGray,
!       		report);
!       		
!       }
!       report.Text = this.run_getReportTitle();
  			report.Show();
  		}
--- 287,392 ----
  				" to " + this.getDateString( this.lastDate ) +
  				" opt. in sample from " + this.getDateString(
! 					this.genomeRepresentations[0].FirstOptimizationDate ) +
  				" to " + this.getDateString(
! 					this.genomeRepresentations[0].LastOptimizationDate );
  			return returnValue;
  		}
  		
! 		private void run_addEquityLineForWeightedPositions(
! 			WeightedPositions weightedPositions , Color color , Report report )
! 		{
! 			EquityLine equityLineForWeightedPositions =
! 				weightedPositions.GetVirtualEquityLine(
! 					15000 , report.AccountReport.EquityLine );
! 			report.AddEquityLine( equityLineForWeightedPositions ,
! 			                     color );
! 		}
! 		
  		private void run_addEquityLineForEachPositionInWeightedPositions(
! 			WeightedPositions weightedPositions , Color color , Report report )
! 		{
  			foreach(WeightedPosition position in weightedPositions.Values)
  			{
  				WeightedPositions wp = new WeightedPositions(new SignedTickers(
! 					position.Ticker));
  				EquityLine equityLineForWeightedPositions =
! 					wp.GetVirtualEquityLine(
! 						15000 , report.AccountReport.EquityLine );
! 				report.AddEquityLine( equityLineForWeightedPositions ,
! 				                     color );
  			}
! 		}
  		
! 		private WeightedPositions run_getWeightedPositions(GenomeRepresentation genomeRepresentation)
! 			
! 		{
! 			double[] normalizedWeights =
! 				GenomeRepresentation.GetWeightsArray(genomeRepresentation.WeightsForSignedTickers);
! 			string[] tickers =
! 				GenomeRepresentation.GetSignedTickers(genomeRepresentation.SignedTickers);
! 			for(int i = 0; i<tickers.Length; i++)
! 			{
! 				if(tickers[i].StartsWith("-"))
! 				{
! 					tickers[i] = SignedTicker.GetTicker(tickers[i]);
! 					normalizedWeights[i] = -1.0 * normalizedWeights[i];
! 				}
! 			}
! 			return new WeightedPositions(normalizedWeights, tickers);
! 		}
  
! 		public void Run()
  		{
  			this.historicalEndOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen( this.firstDate ) ,
! //					new EndOfDayDateTime( this.firstDate ,
! //					                     EndOfDaySpecificTime.MarketOpen ) ,
! 					"^GSPC" );
  			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) );
  			run_setStrategy();
  			//			OneRank oneRank = new OneRank( account ,
  			//				this.endDateTime );
! 			this.historicalEndOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.strategy.NewDateTimeEventHandler );
! //			this.historicalEndOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //					this.strategy.MarketOpenEventHandler );
! //			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
! //				new FiveMinutesBeforeMarketCloseEventHandler(
! //					this.strategy.FiveMinutesBeforeMarketCloseEventHandler );
! //			this.historicalEndOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.strategy.MarketCloseEventHandler );
! //			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.oneHourAfterMarketCloseEventHandler );
! 			this.account.Timer.Start();
  
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Create(
! 				"Linear Combination" , 1 ,
! 				HistoricalEndOfDayTimer.GetMarketClose(	this.lastDate ) ,
! //				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
! 				"^GSPC");
! 			foreach(GenomeRepresentation genomeRepresentation in this.genomeRepresentations)
! 			{
! 				WeightedPositions weightedPositions = this.run_getWeightedPositions( genomeRepresentation );
! 				this.run_addEquityLineForWeightedPositions(
! 					weightedPositions,
! 					Color.Brown,
! 					report);
! 				this.run_addEquityLineForEachPositionInWeightedPositions(
! 					weightedPositions,
! 					Color.DimGray,
! 					report);
! 				
! 			}
! 			report.Text = this.run_getReportTitle();
  			report.Show();
  		}

Index: ImmediateTrendFollowerStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/ImmediateTrendFollowerStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** ImmediateTrendFollowerStrategy.cs	19 Aug 2008 17:11:29 -0000	1.3
--- ImmediateTrendFollowerStrategy.cs	29 Sep 2008 21:19:30 -0000	1.4
***************
*** 39,43 ****
  	/// </summary>
  	[Serializable]
! 	public class ImmediateTrendFollowerStrategy : EndOfDayTimerHandler, IEndOfDayStrategy
  	{
  		private int numDaysForReturnCalculation;
--- 39,45 ----
  	/// </summary>
  	[Serializable]
! 	public class ImmediateTrendFollowerStrategy :
! 		QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler ,
! 	IStrategy
  	{
  		private int numDaysForReturnCalculation;
***************
*** 60,70 ****
  		}
  		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  		}
  		
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  		}
--- 62,72 ----
  		}
  		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  		}
  		
! 		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{
  		}
***************
*** 113,118 ****
  		}
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.account.Portfolio.Count > 0)
--- 115,120 ----
  		}
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.account.Portfolio.Count > 0)
***************
*** 131,139 ****
  		}
  		
! 		public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                         EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  			
  		}
  	}
  }
--- 133,152 ----
  		}
  		
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{
  			
  		}
+ 		public virtual void NewTimeEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ 				this.marketOpenEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ 				this.marketCloseEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ 				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ 		}
+ 
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.cs, 1.22, 1.23 RunLastChosenPortfolioOutOfSample.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17551

Modified Files:
	RunEfficientPortfolio.cs RunLastChosenPortfolioOutOfSample.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.22
retrieving revision 1.23
diff -C2 -d -r1.22 -r1.23
*** RunEfficientPortfolio.cs	19 Aug 2008 17:13:06 -0000	1.22
--- RunEfficientPortfolio.cs	29 Sep 2008 21:19:35 -0000	1.23
***************
*** 62,69 ****
  
  		protected ReportTable reportTable;
! 		protected EndOfDayDateTime startDateTime;
! 		protected EndOfDayDateTime endDateTime;
  		//protected int numIntervalDays;// number of days for the equity line graph
! 		protected IHistoricalQuoteProvider historicalQuoteProvider;
  
  
--- 62,69 ----
  
  		protected ReportTable reportTable;
! 		protected DateTime startDateTime;
! 		protected DateTime endDateTime;
  		//protected int numIntervalDays;// number of days for the equity line graph
! 		protected HistoricalMarketValueProvider historicalMarketValueProvider;
  
  
***************
*** 74,78 ****
  		protected Account account;
  		
! 		protected IEndOfDayTimer endOfDayTimer;
  
  		protected string benchmark;
--- 74,78 ----
  		protected Account account;
  		
! 		protected QuantProject.Business.Timing.Timer endOfDayTimer;
  
  		protected string benchmark;
***************
*** 103,107 ****
  		public DateTime TimerLastDate
  		{
! 			get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
  		}
  		
--- 103,107 ----
  		public DateTime TimerLastDate
  		{
! 			get{return this.endOfDayTimer.GetCurrentDateTime() ;}
  		}
  		
***************
*** 112,119 ****
  		{
  			
! 			this.startDateTime = new EndOfDayDateTime(
! 				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime = new EndOfDayDateTime(
! 				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "EfficientGeneric";
--- 112,123 ----
  		{
  			
! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetFiveMinutesBeforeMarketClose( startDate );
! //			new EndOfDayDateTime(
! //				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( endDate );
! //			new EndOfDayDateTime(
! //				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "EfficientGeneric";
***************
*** 141,148 ****
  			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
  			this.reportTable = new ReportTable( "Summary_Reports" );
! 			this.startDateTime = new EndOfDayDateTime(
! 				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime = new EndOfDayDateTime(
! 				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "EfficientGeneric";
--- 145,156 ----
  			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
  			this.reportTable = new ReportTable( "Summary_Reports" );
! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetFiveMinutesBeforeMarketClose( startDate );
! //				new EndOfDayDateTime(
! //				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( endDate );
! //				new EndOfDayDateTime(
! //				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "EfficientGeneric";
***************
*** 181,187 ****
  			this.account = new Account( this.scriptName , this.endOfDayTimer ,
  			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalQuoteProvider ) ,
  			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalQuoteProvider ));
  			
  		}
--- 189,195 ----
  			this.account = new Account( this.scriptName , this.endOfDayTimer ,
  			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
  			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ));
  			
  		}
***************
*** 202,212 ****
  		}
  		
! 		protected virtual void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
! 			if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
! 			   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 				//last date is reached by the timer or maxRunning hours
! 				//are elapsed from the time script started
! 				this.SaveScriptResults();
  		}
  		
--- 210,224 ----
  		}
  		
! 		protected virtual void checkDateForReport(
! 			Object sender , DateTime dateTime)
  		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 			{
! 				if( dateTime >= this.endDateTime ||
! 				   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 					//last date is reached by the timer or maxRunning hours
! 					//are elapsed from the time script started
! 					this.SaveScriptResults();
! 			}
  		}
  		
***************
*** 239,243 ****
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
--- 251,255 ----
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
***************
*** 273,279 ****
  		protected virtual void run_addEventHandlers()
  		{
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.checkDateForReport);
  			
  			//in inherited classes'override method:
--- 285,294 ----
  		protected virtual void run_addEventHandlers()
  		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
  			
  			//in inherited classes'override method:

Index: RunLastChosenPortfolioOutOfSample.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunLastChosenPortfolioOutOfSample.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunLastChosenPortfolioOutOfSample.cs	27 Jul 2005 22:30:56 -0000	1.3
--- RunLastChosenPortfolioOutOfSample.cs	29 Sep 2008 21:19:35 -0000	1.4
***************
*** 3,7 ****
  
  RunLastChosenPortfolioOutOfSample.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunLastChosenPortfolioOutOfSample.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 40,44 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 40,44 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 56,161 ****
  		private string[] tickers;
  		private PortfolioType typeOfPortfolio;
!     public RunLastChosenPortfolioOutOfSample(string[] chosenTickers,
!                                              PortfolioType typeOfPortfolio, 
  		                                         string benchmark,
!                                 						 DateTime startDate,
!                                 						 DateTime endDate,
!                                 						 double maxRunningHours):
! 																						base(benchmark,
!                                 						 		 startDate,
!                                 						     endDate,
!                                 						     typeOfPortfolio,
!                                 						     maxRunningHours)
  		{
!       this.tickers = chosenTickers;
!       this.typeOfPortfolio = typeOfPortfolio;
! 			this.startDateTime = new EndOfDayDateTime(
!         startDate, EndOfDaySpecificTime.MarketOpen );
!     	this.endDateTime = new EndOfDayDateTime(
!         endDate, EndOfDaySpecificTime.MarketClose );
!     	this.ScriptName = "LastChosenPortfolioOutOfSample";
!     	    	
  		}
-     #region Run
-  
-     protected override void run_initializeEndOfDayTimerHandler()
-     {
-     	this.endOfDayTimerHandler =
-     		new EndOfDayTimerHandlerLastChosenPortfolio(this.tickers,
-     		                                            this.typeOfPortfolio,
-     		                                            this.account,
-     		                                            this.benchmark,
-     		                                           	this.startDateTime,
-     		                                           	this.endDateTime);
-     }
-     
-     protected override void run_initializeEndOfDayTimer()
-     {
-     	this.endOfDayTimer = 
-     		new HistoricalEndOfDayTimer(this.startDateTime);
-     }
-     
-     protected override void run_initializeHistoricalQuoteProvider()
-     {
-     	this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
-      		
-     }
-     protected override void run_initializeAccount()
-     {
-       //default account with no commissions
-     	this.account =  new Account( this.scriptName , this.endOfDayTimer ,
-         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
- 					this.historicalQuoteProvider ) ,
-         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
- 					this.historicalQuoteProvider ));
-      
-     }
-     
-     protected override void run_addEventHandlers()
-     {
-       this.endOfDayTimer.MarketOpen +=
-         new MarketOpenEventHandler(
-         this.endOfDayTimerHandler.MarketOpenEventHandler);  
-       
-       this.endOfDayTimer.MarketClose +=
-         new MarketCloseEventHandler(
-         this.endOfDayTimerHandler.MarketCloseEventHandler);
-       
-       this.endOfDayTimer.MarketClose +=
-         new MarketCloseEventHandler(
-         this.checkDateForReport);
-       //
-       //this.endOfDayTimer.OneHourAfterMarketClose +=
-       //  new OneHourAfterMarketCloseEventHandler(
-       //  this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
-       
-     }
-       
-     
-     public override void Run()
-     {
-     	base.Run();
-   	 	Report report = new Report( this.account , this.historicalQuoteProvider );
-     	report.Create( "Run last chosen tickers out of sample", 1 ,
-       new EndOfDayDateTime( this.endDateTime.DateTime ,
-       EndOfDaySpecificTime.MarketClose ) ,
-       "^SPX" );
-     	report.Show();
-     }
-     
-      protected override void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
-     {
-       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
-         DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
-         //last date is reached by the timer or maxRunning hours
-         //are elapsed from the time script started
-       {
-         this.endOfDayTimer.Stop();
-       }
  
!     }
!     
!     #endregion 
!     
  	}
  }
--- 56,191 ----
  		private string[] tickers;
  		private PortfolioType typeOfPortfolio;
! 		public RunLastChosenPortfolioOutOfSample(string[] chosenTickers,
! 		                                         PortfolioType typeOfPortfolio,
  		                                         string benchmark,
! 		                                         DateTime startDate,
! 		                                         DateTime endDate,
! 		                                         double maxRunningHours):
! 			base(benchmark,
! 			     startDate,
! 			     endDate,
! 			     typeOfPortfolio,
! 			     maxRunningHours)
  		{
! 			this.tickers = chosenTickers;
! 			this.typeOfPortfolio = typeOfPortfolio;
! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( startDate );
! //			new EndOfDayDateTime(
! //				startDate, EndOfDaySpecificTime.MarketOpen );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( endDate );
! //			new EndOfDayDateTime(
! //				endDate, EndOfDaySpecificTime.MarketClose );
! 			this.ScriptName = "LastChosenPortfolioOutOfSample";
! 			
! 		}
! 		#region Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler =
! 				new EndOfDayTimerHandlerLastChosenPortfolio(this.tickers,
! 				                                            this.typeOfPortfolio,
! 				                                            this.account,
! 				                                            this.benchmark,
! 				                                            this.startDateTime,
! 				                                            this.endDateTime);
! 		}
! 		
! 		protected override void run_initializeEndOfDayTimer()
! 		{
! 			this.endOfDayTimer =
! 				new HistoricalEndOfDayTimer(this.startDateTime);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 			
! 		}
! 		protected override void run_initializeAccount()
! 		{
! 			//default account with no commissions
! 			this.account =  new Account( this.scriptName , this.endOfDayTimer ,
! 			                            new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) ,
! 			                            new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                                this.historicalMarketValueProvider ));
! 			
! 		}
! 		
! 		private void newDateTimeEventHandler( object sender , DateTime dateTime )
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 				this.checkDateForReport( sender , dateTime );
  		}
  
! 		protected override void run_addEventHandlers()
! 		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
! 			
! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //					this.endOfDayTimerHandler.MarketOpenEventHandler);
! //
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! 			//
! 			//this.endOfDayTimer.OneHourAfterMarketClose +=
! 			//  new OneHourAfterMarketCloseEventHandler(
! 			//  this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 			
! 		}
! 		
! 		
! 		public override void Run()
! 		{
! 			base.Run();
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Create(
! 				"Run last chosen tickers out of sample", 1 ,
! 				HistoricalEndOfDayTimer.GetMarketClose( this.endDateTime ) ,
! //				new EndOfDayDateTime( this.endDateTime.DateTime ,
! //				                     EndOfDaySpecificTime.MarketClose ) ,
! 				"^SPX" );
! 			report.Show();
! 		}
! 		
! 		//     protected override void checkDateForReport(
! 		//    	Object sender , DateTime dateTime)
! 		//    {
! 		//      if(dateTime.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
! 		//        DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 		//        //last date is reached by the timer or maxRunning hours
! 		//        //are elapsed from the time script started
! 		//      {
! 		//        this.endOfDayTimer.Stop();
! 		//      }
! //
! 		//    }
! 
! 		protected override void checkDateForReport(
! 			Object sender , DateTime dateTime)
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 			{
! 				if( dateTime >= this.endDateTime ||
! 				   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 					//last date is reached by the timer or maxRunning hours
! 					//are elapsed from the time script started
! 					this.endOfDayTimer.Stop();
! 			}
! 		}
! 		#endregion
! 		
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVO_OTCStrategy.cs, 1.6, 1.7 PVO_OTCStrategyLessCorrelated.cs, 1.3, 1.4 PVOLogItem.cs, 1.4, 1.5 PVOMain.cs, 1.6, 1.7 PVOPositions.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16680/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	PVO_OTCStrategy.cs PVO_OTCStrategyLessCorrelated.cs 
	PVOLogItem.cs PVOMain.cs PVOPositions.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: PVOMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOMain.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** PVOMain.cs	19 Aug 2008 17:13:00 -0000	1.6
--- PVOMain.cs	29 Sep 2008 21:18:13 -0000	1.7
***************
*** 59,63 ****
  	{
  		private Benchmark benchmark;
! 		private HistoricalQuoteProvider historicalQuoteProvider;
  		
  		public PVOMain()
--- 59,63 ----
  	{
  		private Benchmark benchmark;
! 		private HistoricalMarketValueProvider historicalQuoteProvider;
  		
  		public PVOMain()
***************
*** 159,163 ****
  		}
  
! 		protected override IEndOfDayStrategyForBacktester getEndOfDayStrategy()
  		{
  			int inSampleDays = 180;
--- 159,163 ----
  		}
  
! 		protected override IStrategyForBacktester getStrategyForBacktester()
  		{
  			int inSampleDays = 180;
***************
*** 172,176 ****
  			double minimumAcceptableGain = 0.002;
  			int closeToCloseIntervalLength = 1;
! 			IEndOfDayStrategyForBacktester endOfDayStrategy
  				//				 = new PVO_OTCStrategyLessCorrelated(eligiblesSelector ,inSampleChooser ,
  				//				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
--- 172,176 ----
  			double minimumAcceptableGain = 0.002;
  			int closeToCloseIntervalLength = 1;
! 			IStrategyForBacktester strategyForBacktester
  				//				 = new PVO_OTCStrategyLessCorrelated(eligiblesSelector ,inSampleChooser ,
  				//				inSampleDays , benchmark , numDaysBetweenEachOptimization ,
***************
*** 182,186 ****
  				oversoldThresholdMAX , overboughtThresholdMAX , historicalQuoteProvider, 
  				maxAcceptableDrawDown, minimumAcceptableGain );
! 			return endOfDayStrategy;
  		}
  		protected override EndOfDayStrategyBackTester getEndOfDayStrategyBackTester()
--- 182,186 ----
  				oversoldThresholdMAX , overboughtThresholdMAX , historicalQuoteProvider, 
  				maxAcceptableDrawDown, minimumAcceptableGain );
! 			return strategyForBacktester;
  		}
  		protected override EndOfDayStrategyBackTester getEndOfDayStrategyBackTester()
***************
*** 197,201 ****
  			DateTime lastDateTime = new DateTime( 2004 , 12, 31 );
  			double maxRunningHours = 8;
! 			HistoricalQuoteProvider quoteProviderForBackTester =
  				this.historicalQuoteProvider;
  			quoteProviderForBackTester =
--- 197,201 ----
  			DateTime lastDateTime = new DateTime( 2004 , 12, 31 );
  			double maxRunningHours = 8;
! 			HistoricalMarketValueProvider quoteProviderForBackTester =
  				this.historicalQuoteProvider;
  			quoteProviderForBackTester =
***************
*** 203,207 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.endOfDayStrategy ,
  				quoteProviderForBackTester , accountProvider ,
  				firstDateTime ,	lastDateTime ,
--- 203,207 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.strategyForBacktester ,
  				quoteProviderForBackTester , accountProvider ,
  				firstDateTime ,	lastDateTime ,

Index: PVOPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOPositions.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PVOPositions.cs	14 Aug 2008 23:28:06 -0000	1.3
--- PVOPositions.cs	29 Sep 2008 21:18:13 -0000	1.4
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 34,67 ****
  namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
  {
!   /// <summary>
!   /// This is the class representing a TestingPositions for the
!   /// portfolio value oscillator strategy
!   /// </summary>
!   [Serializable]
!   public class PVOPositions : TestingPositions, IGeneticallyOptimizable
!   {
!   	private double oversoldThreshold;
!   	private double overboughtThreshold;
!   	private int numDaysForOscillatingPeriod;
!   	private int generation;
! 				
  		private static ReturnsManager returnsManager;
  
!   	  	  	
!   	public double OversoldThreshold
!     {
!       get{return this.oversoldThreshold;}
  			set{this.oversoldThreshold = value;}
!     }
!     public double OverboughtThreshold
!     {
!       get{return this.overboughtThreshold;}
  			set{this.overboughtThreshold = value;}
!     }
!    	public int NumDaysForOscillatingPeriod
!     {
!       get{return this.numDaysForOscillatingPeriod;}
!     }
!     
  		//explicit interface implementation
  		//the property can be used only by a interface
--- 34,67 ----
  namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
  {
! 	/// <summary>
! 	/// This is the class representing a TestingPositions for the
! 	/// portfolio value oscillator strategy
! 	/// </summary>
! 	[Serializable]
! 	public class PVOPositions : TestingPositions, IGeneticallyOptimizable
! 	{
! 		private double oversoldThreshold;
! 		private double overboughtThreshold;
! 		private int numDaysForOscillatingPeriod;
! 		private int generation;
! 		
  		private static ReturnsManager returnsManager;
  
! 		
! 		public double OversoldThreshold
! 		{
! 			get{return this.oversoldThreshold;}
  			set{this.oversoldThreshold = value;}
! 		}
! 		public double OverboughtThreshold
! 		{
! 			get{return this.overboughtThreshold;}
  			set{this.overboughtThreshold = value;}
! 		}
! 		public int NumDaysForOscillatingPeriod
! 		{
! 			get{return this.numDaysForOscillatingPeriod;}
! 		}
! 		
  		//explicit interface implementation
  		//the property can be used only by a interface
***************
*** 77,82 ****
  			return new PVOPositions(this.WeightedPositions,
  			                        this.OversoldThreshold,
! 															this.overboughtThreshold, 
! 															this.numDaysForOscillatingPeriod);
  		}
  
--- 77,82 ----
  			return new PVOPositions(this.WeightedPositions,
  			                        this.OversoldThreshold,
! 			                        this.overboughtThreshold,
! 			                        this.numDaysForOscillatingPeriod);
  		}
  
***************
*** 88,158 ****
  
  		public PVOPositions(WeightedPositions weightedPositions,
! 												double oversoldThreshold,
! 												double overboughtThreshold,
! 												int numDaysForOscillatingPeriod) :
! 												base(weightedPositions)
!                             
!     {
!  			this.oversoldThreshold = oversoldThreshold;
!  			this.overboughtThreshold = overboughtThreshold;
!  			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!  			this.generation = -1;
  		}
  		
! 		private void setReturnsManager(EndOfDayDateTime beginOfPeriod,
! 																	 EndOfDayDateTime endOfPeriod,
! 																	 string benchmark,
! 																	 HistoricalQuoteProvider quoteProvider)
  		{
  			if(PVOPositions.returnsManager == null ||
  			   PVOPositions.returnsManager.ReturnIntervals[0].Begin != beginOfPeriod ||
! 				 PVOPositions.returnsManager.ReturnIntervals[0].End != endOfPeriod)
! 			//if a returnsManager has not been set yet or a different one has to be set
! 			//for a different returnInterval
! 					PVOPositions.returnsManager = new ReturnsManager(new ReturnIntervals(
! 						new ReturnInterval( beginOfPeriod, endOfPeriod ) ) ,
! 						quoteProvider );
  		}
  
! 		private double getOscillatingPeriodReturn(EndOfDayDateTime beginOfPeriod,
! 																					EndOfDayDateTime endOfPeriod,
! 		                                      string benchmark,
! 		                                      HistoricalQuoteProvider quoteProvider)
!     {
!       this.setReturnsManager(beginOfPeriod, endOfPeriod, benchmark, quoteProvider);
  			return this.WeightedPositions.GetReturn(0, PVOPositions.returnsManager);
!   	}
  		
! 		public PVOPositionsStatus GetStatus(EndOfDayDateTime beginOfPeriod,
! 																				EndOfDayDateTime endOfPeriod,
  		                                    string benchmark,
! 		                                    HistoricalQuoteProvider quoteProvider,
! 		                                   	double maxOversoldThreshold,
  		                                    double maxOverboughtThreshold)
!     {
!       PVOPositionsStatus returnValue;
  			double oscillatingPeriodReturn = double.NaN;
!       oscillatingPeriodReturn = 
!       	this.getOscillatingPeriodReturn(beginOfPeriod, endOfPeriod, benchmark,
!       	                                quoteProvider);
!       if(oscillatingPeriodReturn >= this.overboughtThreshold && 
!          oscillatingPeriodReturn <= maxOverboughtThreshold)
!       		returnValue = PVOPositionsStatus.Overbought;
!       else if(oscillatingPeriodReturn <= -this.oversoldThreshold &&
!               Math.Abs(oscillatingPeriodReturn) <= maxOversoldThreshold)
!       		returnValue = PVOPositionsStatus.Oversold;
!       else if ( Math.Abs(oscillatingPeriodReturn) > maxOversoldThreshold ||
!                 oscillatingPeriodReturn > maxOverboughtThreshold  )
!       		returnValue = PVOPositionsStatus.OverMaximumThresholds;
!       else
!       	returnValue = PVOPositionsStatus.InTheMiddle;
!          	
  			return returnValue;
!   	}
  		
! 		public bool AreAllTickersMovingTogetherUpOrDown(EndOfDayDateTime beginOfPeriod,
! 																										EndOfDayDateTime endOfPeriod,
! 																										string benchmark,
! 																										HistoricalQuoteProvider quoteProvider)
  		{
  			bool returnValue = true;
--- 88,158 ----
  
  		public PVOPositions(WeightedPositions weightedPositions,
! 		                    double oversoldThreshold,
! 		                    double overboughtThreshold,
! 		                    int numDaysForOscillatingPeriod) :
! 			base(weightedPositions)
! 			
! 		{
! 			this.oversoldThreshold = oversoldThreshold;
! 			this.overboughtThreshold = overboughtThreshold;
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
! 			this.generation = -1;
  		}
  		
! 		private void setReturnsManager(DateTime beginOfPeriod,
! 		                               DateTime endOfPeriod,
! 		                               string benchmark,
! 		                               HistoricalMarketValueProvider quoteProvider)
  		{
  			if(PVOPositions.returnsManager == null ||
  			   PVOPositions.returnsManager.ReturnIntervals[0].Begin != beginOfPeriod ||
! 			   PVOPositions.returnsManager.ReturnIntervals[0].End != endOfPeriod)
! 				//if a returnsManager has not been set yet or a different one has to be set
! 				//for a different returnInterval
! 				PVOPositions.returnsManager = new ReturnsManager(new ReturnIntervals(
! 					new ReturnInterval( beginOfPeriod, endOfPeriod ) ) ,
! 				                                                 quoteProvider );
  		}
  
! 		private double getOscillatingPeriodReturn(DateTime beginOfPeriod,
! 		                                          DateTime endOfPeriod,
! 		                                          string benchmark,
! 		                                          HistoricalMarketValueProvider quoteProvider)
! 		{
! 			this.setReturnsManager(beginOfPeriod, endOfPeriod, benchmark, quoteProvider);
  			return this.WeightedPositions.GetReturn(0, PVOPositions.returnsManager);
! 		}
  		
! 		public PVOPositionsStatus GetStatus(DateTime beginOfPeriod,
! 		                                    DateTime endOfPeriod,
  		                                    string benchmark,
! 		                                    HistoricalMarketValueProvider quoteProvider,
! 		                                    double maxOversoldThreshold,
  		                                    double maxOverboughtThreshold)
! 		{
! 			PVOPositionsStatus returnValue;
  			double oscillatingPeriodReturn = double.NaN;
! 			oscillatingPeriodReturn =
! 				this.getOscillatingPeriodReturn(beginOfPeriod, endOfPeriod, benchmark,
! 				                                quoteProvider);
! 			if(oscillatingPeriodReturn >= this.overboughtThreshold &&
! 			   oscillatingPeriodReturn <= maxOverboughtThreshold)
! 				returnValue = PVOPositionsStatus.Overbought;
! 			else if(oscillatingPeriodReturn <= -this.oversoldThreshold &&
! 			        Math.Abs(oscillatingPeriodReturn) <= maxOversoldThreshold)
! 				returnValue = PVOPositionsStatus.Oversold;
! 			else if ( Math.Abs(oscillatingPeriodReturn) > maxOversoldThreshold ||
! 			         oscillatingPeriodReturn > maxOverboughtThreshold  )
! 				returnValue = PVOPositionsStatus.OverMaximumThresholds;
! 			else
! 				returnValue = PVOPositionsStatus.InTheMiddle;
! 			
  			return returnValue;
! 		}
  		
! 		public bool AreAllTickersMovingTogetherUpOrDown(DateTime beginOfPeriod,
! 		                                                DateTime endOfPeriod,
! 		                                                string benchmark,
! 		                                                HistoricalMarketValueProvider quoteProvider)
  		{
  			bool returnValue = true;
***************
*** 161,176 ****
  			this.setReturnsManager(beginOfPeriod, endOfPeriod, benchmark, quoteProvider);
  			for( int i = 0;
! 				signedTickers.Count > 1 && i < signedTickers.Count - 1 && returnValue == true;
! 				i++ )
  			{
  				returnOfCurrentTicker = PVOPositions.returnsManager.GetReturn(signedTickers[ i ].Ticker, 0);
  				returnOfNextTicker = PVOPositions.returnsManager.GetReturn(signedTickers[ i+1 ].Ticker, 0);
  				if( (returnOfCurrentTicker > 0 && returnOfNextTicker < 0) ||
! 					(returnOfCurrentTicker < 0 && returnOfNextTicker > 0) )
  					returnValue = false;
! 			}	
  			return returnValue;
  		}
  		
!   }
  }
--- 161,176 ----
  			this.setReturnsManager(beginOfPeriod, endOfPeriod, benchmark, quoteProvider);
  			for( int i = 0;
! 			    signedTickers.Count > 1 && i < signedTickers.Count - 1 && returnValue == true;
! 			    i++ )
  			{
  				returnOfCurrentTicker = PVOPositions.returnsManager.GetReturn(signedTickers[ i ].Ticker, 0);
  				returnOfNextTicker = PVOPositions.returnsManager.GetReturn(signedTickers[ i+1 ].Ticker, 0);
  				if( (returnOfCurrentTicker > 0 && returnOfNextTicker < 0) ||
! 				   (returnOfCurrentTicker < 0 && returnOfNextTicker > 0) )
  					returnValue = false;
! 			}
  			return returnValue;
  		}
  		
! 	}
  }

Index: PVO_OTCStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCStrategy.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** PVO_OTCStrategy.cs	19 Aug 2008 17:13:00 -0000	1.6
--- PVO_OTCStrategy.cs	29 Sep 2008 21:18:13 -0000	1.7
***************
*** 25,28 ****
--- 25,29 ----
  
  using QuantProject.ADT;
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Messaging;
  using QuantProject.Business.Financial.Accounting;
***************
*** 57,61 ****
  	/// </summary>
  	[Serializable]
! 	public class PVO_OTCStrategy : IEndOfDayStrategyForBacktester
  	{
  		public event NewLogItemEventHandler NewLogItem;
--- 58,64 ----
  	/// </summary>
  	[Serializable]
! 	public class PVO_OTCStrategy :
! 		QuantProject.Business.Strategies.EndOfDayTimerHandler ,
! 	IStrategyForBacktester
  	{
  		public event NewLogItemEventHandler NewLogItem;
***************
*** 68,72 ****
  		protected IEligiblesSelector eligiblesSelector;
  		protected Benchmark benchmark;
! 		protected HistoricalQuoteProvider historicalQuoteProvider;
  		protected double oversoldThreshold;
  		protected double overboughtThreshold;
--- 71,75 ----
  		protected IEligiblesSelector eligiblesSelector;
  		protected Benchmark benchmark;
! 		protected HistoricalMarketValueProvider historicalQuoteProvider;
  		protected double oversoldThreshold;
  		protected double overboughtThreshold;
***************
*** 136,140 ****
  		                             double oversoldThresholdMAX,
  		                             double overboughtThresholdMAX,
! 		                             HistoricalQuoteProvider historicalQuoteProvider)
  		{
  			this.numOfClosingsWithOpenPositions = 0;
--- 139,143 ----
  		                             double oversoldThresholdMAX,
  		                             double overboughtThresholdMAX,
! 		                             HistoricalMarketValueProvider historicalQuoteProvider)
  		{
  			this.numOfClosingsWithOpenPositions = 0;
***************
*** 165,169 ****
  		                       double oversoldThresholdMAX,
  		                       double overboughtThresholdMAX,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
  			
  		{
--- 168,172 ----
  		                       double oversoldThresholdMAX,
  		                       double overboughtThresholdMAX,
! 		                       HistoricalMarketValueProvider historicalQuoteProvider)
  			
  		{
***************
*** 185,189 ****
  		                       double oversoldThreshold,
  		                       double overboughtThreshold,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
  			
  		{
--- 188,192 ----
  		                       double oversoldThreshold,
  		                       double overboughtThreshold,
! 		                       HistoricalMarketValueProvider historicalQuoteProvider)
  			
  		{
***************
*** 206,210 ****
  		                       double oversoldThresholdMAX,
  		                       double overboughtThresholdMAX,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
  			
  		{
--- 209,213 ----
  		                       double oversoldThresholdMAX,
  		                       double overboughtThresholdMAX,
! 		                       HistoricalMarketValueProvider historicalQuoteProvider)
  			
  		{
***************
*** 226,230 ****
  		                       double oversoldThreshold,
  		                       double overboughtThreshold,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
  			
  		{
--- 229,233 ----
  		                       double oversoldThreshold,
  		                       double overboughtThreshold,
! 		                       HistoricalMarketValueProvider historicalQuoteProvider)
  			
  		{
***************
*** 239,254 ****
  		
  		
! 		#region MarketOpenEventHandler
  		
! 		protected virtual EndOfDayDateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
  		{
! 			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"],
! 			                            EndOfDaySpecificTime.MarketClose );
  		}
  		
  		private PVOPositionsStatus marketOpenEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
  		{
! 			EndOfDayDateTime today = timer.GetCurrentTime();
! 			EndOfDayDateTime beginOfOscillatingPeriod =
  				this.getBeginOfOscillatingPeriod(timer);
  			PVOPositionsStatus currentStatus =
--- 242,261 ----
  		
  		
! 		#region marketOpenEventHandler
  		
! 		protected virtual DateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime beginOfOscillatingPeriod =
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"] );
! 			return beginOfOscillatingPeriod;
! //			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"],
! //			                            EndOfDaySpecificTime.MarketClose );
  		}
  		
  		private PVOPositionsStatus marketOpenEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime today = timer.GetCurrentDateTime();
! 			DateTime beginOfOscillatingPeriod =
  				this.getBeginOfOscillatingPeriod(timer);
  			PVOPositionsStatus currentStatus =
***************
*** 318,323 ****
  		}
  
! 		public virtual void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if ( this.account.Portfolio.Count == 0 &&
--- 325,330 ----
  		}
  
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if ( this.account.Portfolio.Count == 0 &&
***************
*** 340,355 ****
  		
  		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  		}
  
! 		private EndOfDayDateTime now()
  		{
! 			return this.account.EndOfDayTimer.GetCurrentTime();
  		}
  
  		
! 		public virtual void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.account.Portfolio.Count > 0)
--- 347,362 ----
  		
  		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  		}
  
! 		private DateTime now()
  		{
! 			return this.account.Timer.GetCurrentDateTime();
  		}
  
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.account.Portfolio.Count > 0)
***************
*** 364,374 ****
  		}
  		
! 		#region OneHourAfterMarketCloseEventHandler
  		
! 		protected virtual void updateReturnsManager(EndOfDayDateTime firstEndOfDayDateTime,
! 		                                            EndOfDayDateTime lastEndOfDayDateTime)
  		{
  			ReturnIntervals returnIntervals =
! 				new DailyOpenToCloseIntervals( firstEndOfDayDateTime, lastEndOfDayDateTime,
  				                              this.benchmark.Ticker );
  			if( this.inSampleChooser is PVOCorrelationChooser )
--- 371,381 ----
  		}
  		
! 		#region oneHourAfterMarketCloseEventHandler
  		
! 		protected virtual void updateReturnsManager(DateTime firstDateTime,
! 		                                            DateTime lastDayDateTime)
  		{
  			ReturnIntervals returnIntervals =
! 				new DailyOpenToCloseIntervals( firstDateTime, lastDayDateTime,
  				                              this.benchmark.Ticker );
  			if( this.inSampleChooser is PVOCorrelationChooser )
***************
*** 377,402 ****
  				{
  					case IntervalsType.CloseToCloseIntervals:
! 						returnIntervals = new CloseToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
  						                                            this.benchmark.Ticker, ((PVOCorrelationChooser)this.inSampleChooser).ReturnIntervalLength);
  						break;
  					case IntervalsType.OpenToOpenIntervals:
! 						returnIntervals = new OpenToOpenIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
  						                                          this.benchmark.Ticker, ((PVOCorrelationChooser)this.inSampleChooser).ReturnIntervalLength);
  						break;
  					case IntervalsType.CloseToOpenIntervals:
! 						returnIntervals = new CloseToOpenIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
  						                                           this.benchmark.Ticker);
  						break;
  					case IntervalsType.OpenToCloseIntervals:
! 						returnIntervals = new DailyOpenToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
  						                                                this.benchmark.Ticker );
  						break;
  					case IntervalsType.OpenToCloseCloseToOpenIntervals:
  						returnIntervals = new OpenToCloseCloseToOpenIntervals(
! 							firstEndOfDayDateTime, lastEndOfDayDateTime, this.benchmark.Ticker);
  						break;
  					default:
  						// it should never be reached
! 						returnIntervals = new DailyOpenToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
  						                                                this.benchmark.Ticker );
  						break;
--- 384,409 ----
  				{
  					case IntervalsType.CloseToCloseIntervals:
! 						returnIntervals = new CloseToCloseIntervals(firstDateTime, lastDayDateTime,
  						                                            this.benchmark.Ticker, ((PVOCorrelationChooser)this.inSampleChooser).ReturnIntervalLength);
  						break;
  					case IntervalsType.OpenToOpenIntervals:
! 						returnIntervals = new OpenToOpenIntervals(firstDateTime, lastDayDateTime,
  						                                          this.benchmark.Ticker, ((PVOCorrelationChooser)this.inSampleChooser).ReturnIntervalLength);
  						break;
  					case IntervalsType.CloseToOpenIntervals:
! 						returnIntervals = new CloseToOpenIntervals(firstDateTime, lastDayDateTime,
  						                                           this.benchmark.Ticker);
  						break;
  					case IntervalsType.OpenToCloseIntervals:
! 						returnIntervals = new DailyOpenToCloseIntervals(firstDateTime, lastDayDateTime,
  						                                                this.benchmark.Ticker );
  						break;
  					case IntervalsType.OpenToCloseCloseToOpenIntervals:
  						returnIntervals = new OpenToCloseCloseToOpenIntervals(
! 							firstDateTime, lastDayDateTime, this.benchmark.Ticker);
  						break;
  					default:
  						// it should never be reached
! 						returnIntervals = new DailyOpenToCloseIntervals(firstDateTime, lastDayDateTime,
  						                                                this.benchmark.Ticker );
  						break;
***************
*** 505,518 ****
  		protected virtual void updateTestingPositions(DateTime currentDate)
  		{
! 			EndOfDayHistory endOfDayHistory =
  				this.benchmark.GetEndOfDayHistory(
! 					new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
! 					                     EndOfDaySpecificTime.MarketOpen),
! 					new EndOfDayDateTime(currentDate,
! 					                     EndOfDaySpecificTime.MarketClose));
  			EligibleTickers eligibles =
! 				this.eligiblesSelector.GetEligibleTickers(endOfDayHistory);
! 			this.updateReturnsManager(endOfDayHistory.FirstEndOfDayDateTime,
! 			                          endOfDayHistory.LastEndOfDayDateTime);
  			if( (  this.eligiblesSelector is DummyEligibleSelector &&
  			     this.inSampleChooser != null )    ||
--- 512,529 ----
  		protected virtual void updateTestingPositions(DateTime currentDate)
  		{
! 			History history =
  				this.benchmark.GetEndOfDayHistory(
! 					HistoricalEndOfDayTimer.GetMarketOpen(
! 						currentDate.AddDays( -this.inSampleDays ) ) ,
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						currentDate ) );
! //					new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
! //					                     EndOfDaySpecificTime.MarketOpen),
! //					new EndOfDayDateTime(currentDate,
! //					                     EndOfDaySpecificTime.MarketClose));
  			EligibleTickers eligibles =
! 				this.eligiblesSelector.GetEligibleTickers(history);
! 			this.updateReturnsManager(history.FirstDateTime,
! 			                          history.LastDateTime);
  			if( (  this.eligiblesSelector is DummyEligibleSelector &&
  			     this.inSampleChooser != null )    ||
***************
*** 542,546 ****
  					( ( ( this.account.Portfolio.Count == 0 )
  					   && ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
! 					 ( this.now().DateTime >= dateTimeForNextOptimization ) );
  			}
  			return areToBeUpdated;
--- 553,557 ----
  					( ( ( this.account.Portfolio.Count == 0 )
  					   && ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
! 					 ( this.now() >= dateTimeForNextOptimization ) );
  			}
  			return areToBeUpdated;
***************
*** 552,559 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public virtual void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			this.numDaysElapsedSinceLastOptimization++;
  			//OLD - numDaysBetweenEachOptimization --> market days
--- 563,570 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			this.lastCloseDate = dateTime;
  			this.numDaysElapsedSinceLastOptimization++;
  			//OLD - numDaysBetweenEachOptimization --> market days
***************
*** 566,576 ****
  			if ( this.optimalTestingPositionsAreToBeUpdated() )
  			{
! 				this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
! 				this.lastOptimizationDateTime = this.now().DateTime;
  			}
  		}
  		#endregion
  	}
  }
--- 577,598 ----
  			if ( this.optimalTestingPositionsAreToBeUpdated() )
  			{
! 				this.updateTestingPositions(dateTime);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
! 				this.lastOptimizationDateTime = this.now();
  			}
  		}
  		#endregion
+ 		
+ //		public virtual void NewDateTimeEventHandler(
+ //			Object sender , DateTime dateTime )
+ //		{
+ //			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ //				this.marketOpenEventHandler( sender , dateTime );
+ //			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ //				this.marketCloseEventHandler( sender , dateTime );
+ //			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ //				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ //		}
  	}
  }

Index: PVOLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOLogItem.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PVOLogItem.cs	14 Aug 2008 23:28:06 -0000	1.4
--- PVOLogItem.cs	29 Sep 2008 21:18:13 -0000	1.5
***************
*** 140,146 ****
  		}
  
! 		public PVOLogItem(EndOfDayDateTime endOfDayDateTime,
  		                  int numberOfInSampleDays)
! 			: base( endOfDayDateTime )
  		{
  			this.numberOfInSampleDays = numberOfInSampleDays;
--- 140,146 ----
  		}
  
! 		public PVOLogItem(DateTime dateTime,
  		                  int numberOfInSampleDays)
! 			: base( dateTime )
  		{
  			this.numberOfInSampleDays = numberOfInSampleDays;
***************
*** 153,158 ****
  		{
  			//general
! 			DateTime firstDateTime = this.SimulatedCreationTime.DateTime.AddDays(-this.numberOfInSampleDays);
! 			DateTime lastDateTime = this.SimulatedCreationTime.DateTime;
  			double maxRunningHours = 1;
  			Benchmark benchmark = new Benchmark( "^GSPC" );
--- 153,158 ----
  		{
  			//general
! 			DateTime firstDateTime = this.SimulatedCreationDateTime.AddDays(-this.numberOfInSampleDays);
! 			DateTime lastDateTime = this.SimulatedCreationDateTime;
  			double maxRunningHours = 1;
  			Benchmark benchmark = new Benchmark( "^GSPC" );
***************
*** 167,171 ****
  			double maxAcceptableCloseToCloseDrawdown = 0.02;
  			double minimumAcceptableGain = 0.007;
! 			HistoricalQuoteProvider historicalQuoteProviderForBackTester,
  				historicalQuoteProviderForInSampleChooser,
  				historicalQuoteProviderForStrategy;
--- 167,171 ----
  			double maxAcceptableCloseToCloseDrawdown = 0.02;
  			double minimumAcceptableGain = 0.007;
! 			HistoricalMarketValueProvider historicalQuoteProviderForBackTester,
  				historicalQuoteProviderForInSampleChooser,
  				historicalQuoteProviderForStrategy;
***************
*** 211,215 ****
  			int currentIndex ,
  			TestingPositions testingPositions ,
! 			EndOfDayDateTime simulatedCreationTime )
  		{
  			this.dummyTestersForBestTestingPositionsInSample[ currentIndex ] =
--- 211,215 ----
  			int currentIndex ,
  			TestingPositions testingPositions ,
! 			DateTime simulatedCreationDateTime )
  		{
  			this.dummyTestersForBestTestingPositionsInSample[ currentIndex ] =
***************
*** 217,221 ****
  					testingPositions ,
  					this.numberOfInSampleDays ,
! 					simulatedCreationTime );
  		}
  				
--- 217,221 ----
  					testingPositions ,
  					this.numberOfInSampleDays ,
! 					simulatedCreationDateTime );
  		}
  				
***************
*** 228,232 ****
  					i ,
  					BestPVOPositionsInSample[ i ] ,
! 					this.SimulatedCreationTime );
  		}
  		
--- 228,232 ----
  					i ,
  					BestPVOPositionsInSample[ i ] ,
! 					this.SimulatedCreationDateTime );
  		}
  		

Index: PVO_OTCStrategyLessCorrelated.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCStrategyLessCorrelated.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PVO_OTCStrategyLessCorrelated.cs	19 Aug 2008 17:13:00 -0000	1.3
--- PVO_OTCStrategyLessCorrelated.cs	29 Sep 2008 21:18:13 -0000	1.4
***************
*** 25,29 ****
--- 25,31 ----
  
  using QuantProject.ADT;
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Messaging;
+ using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Instruments;
***************
*** 44,48 ****
  using QuantProject.Data.Selectors;
  using QuantProject.Data.DataTables;
- using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
--- 46,49 ----
***************
*** 56,60 ****
  	/// </summary>
  	[Serializable]
! 	public class PVO_OTCStrategyLessCorrelated : IEndOfDayStrategyForBacktester
  	{
  		public event NewLogItemEventHandler NewLogItem;
--- 57,61 ----
  	/// </summary>
  	[Serializable]
! 	public class PVO_OTCStrategyLessCorrelated : IStrategyForBacktester
  	{
  		public event NewLogItemEventHandler NewLogItem;
***************
*** 67,71 ****
  		protected IEligiblesSelector eligiblesSelector;
  		protected Benchmark benchmark;
! 		protected HistoricalQuoteProvider historicalQuoteProvider;
  		protected double oversoldThreshold;
  		protected double overboughtThreshold;
--- 68,72 ----
  		protected IEligiblesSelector eligiblesSelector;
  		protected Benchmark benchmark;
! 		protected HistoricalMarketValueProvider historicalQuoteProvider;
  		protected double oversoldThreshold;
  		protected double overboughtThreshold;
***************
*** 125,129 ****
  		                             double oversoldThreshold,
  		                             double overboughtThreshold,
! 		                             HistoricalQuoteProvider historicalQuoteProvider)
  		{
  			this.eligiblesSelector = eligiblesSelector;
--- 126,130 ----
  		                             double oversoldThreshold,
  		                             double overboughtThreshold,
! 		                             HistoricalMarketValueProvider historicalQuoteProvider)
  		{
  			this.eligiblesSelector = eligiblesSelector;
***************
*** 143,147 ****
  		                                     double oversoldThreshold,
  		                                     double overboughtThreshold,
! 		                                     HistoricalQuoteProvider historicalQuoteProvider)
  			
  		{
--- 144,148 ----
  		                                     double oversoldThreshold,
  		                                     double overboughtThreshold,
! 		                                     HistoricalMarketValueProvider historicalQuoteProvider)
  			
  		{
***************
*** 159,163 ****
  		                                     double oversoldThreshold,
  		                                     double overboughtThreshold,
! 		                                     HistoricalQuoteProvider historicalQuoteProvider)
  			
  		{
--- 160,164 ----
  		                                     double oversoldThreshold,
  		                                     double overboughtThreshold,
! 		                                     HistoricalMarketValueProvider historicalQuoteProvider)
  			
  		{
***************
*** 169,182 ****
  		#region MarketOpenEventHandler
  		
! 		protected virtual EndOfDayDateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
  		{
! 			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"],
! 			                            EndOfDaySpecificTime.MarketClose );
  		}
  		
  		private PVOPositionsStatus marketOpenEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
  		{
! 			EndOfDayDateTime today = timer.GetCurrentTime();
! 			EndOfDayDateTime beginOfOscillatingPeriod =
  				this.getBeginOfOscillatingPeriod(timer);
  			PVOPositionsStatus currentStatus =
--- 170,188 ----
  		#region MarketOpenEventHandler
  		
! 		protected virtual DateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime beginOfOscillatingPeriod =
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"] );
! 			return beginOfOscillatingPeriod;
! //					
! //				return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"],
! //				                            EndOfDaySpecificTime.MarketClose );
  		}
  		
  		private PVOPositionsStatus marketOpenEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime today = timer.GetCurrentDateTime();
! 			DateTime beginOfOscillatingPeriod =
  				this.getBeginOfOscillatingPeriod(timer);
  			PVOPositionsStatus currentStatus =
***************
*** 246,251 ****
  		}
  
! 		public virtual void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if ( this.account.Portfolio.Count == 0 &&
--- 252,257 ----
  		}
  
! 		private void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if ( this.account.Portfolio.Count == 0 &&
***************
*** 266,282 ****
  		#endregion
  		
! 		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  		}
  
! 		private EndOfDayDateTime now()
  		{
! 			return this.account.EndOfDayTimer.GetCurrentTime();
  		}
  
  		
! 		public virtual void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.account.Portfolio.Count > 0)
--- 272,288 ----
  		#endregion
  		
! 		private void fiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  		}
  
! 		private DateTime now()
  		{
! 			return this.account.Timer.GetCurrentDateTime();
  		}
  
  		
! 		private void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.account.Portfolio.Count > 0)
***************
*** 286,294 ****
  		#region OneHourAfterMarketCloseEventHandler
  		
! 		protected virtual void updateReturnsManager(EndOfDayDateTime firstEndOfDayDateTime,
! 		                                            EndOfDayDateTime lastEndOfDayDateTime)
  		{
  			this.returnsManager =
! 				new ReturnsManager( new DailyOpenToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
  				                                                  this.benchmark.Ticker ) ,
  				                   this.historicalQuoteProvider);
--- 292,300 ----
  		#region OneHourAfterMarketCloseEventHandler
  		
! 		protected virtual void updateReturnsManager(DateTime firstDateTime,
! 		                                            DateTime lastDateTime)
  		{
  			this.returnsManager =
! 				new ReturnsManager( new DailyOpenToCloseIntervals(firstDateTime, lastDateTime,
  				                                                  this.benchmark.Ticker ) ,
  				                   this.historicalQuoteProvider);
***************
*** 373,386 ****
  		protected virtual void updateTestingPositions(DateTime currentDate)
  		{
! 			EndOfDayHistory endOfDayHistory =
  				this.benchmark.GetEndOfDayHistory(
! 					new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
! 					                     EndOfDaySpecificTime.MarketOpen),
! 					new EndOfDayDateTime(currentDate,
! 					                     EndOfDaySpecificTime.MarketClose));
  			EligibleTickers eligibles =
! 				this.eligiblesSelector.GetEligibleTickers(endOfDayHistory);
! 			this.updateReturnsManager(endOfDayHistory.FirstEndOfDayDateTime,
! 			                          endOfDayHistory.LastEndOfDayDateTime);
  			if(this.inSampleChooser != null)
  				this.chosenPVOPositions = (TestingPositions[])inSampleChooser.AnalyzeInSample(eligibles, this.returnsManager);
--- 379,395 ----
  		protected virtual void updateTestingPositions(DateTime currentDate)
  		{
! 			History history =
  				this.benchmark.GetEndOfDayHistory(
! 					HistoricalEndOfDayTimer.GetMarketOpen(
! 						currentDate.AddDays(-this.inSampleDays) ) ,
! 					HistoricalEndOfDayTimer.GetMarketClose( currentDate ) );
! //					new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
! //					                     EndOfDaySpecificTime.MarketOpen),
! //					new EndOfDayDateTime(currentDate,
! //					                     EndOfDaySpecificTime.MarketClose));
  			EligibleTickers eligibles =
! 				this.eligiblesSelector.GetEligibleTickers(history);
! 			this.updateReturnsManager(history.FirstDateTime,
! 			                          history.LastDateTime);
  			if(this.inSampleChooser != null)
  				this.chosenPVOPositions = (TestingPositions[])inSampleChooser.AnalyzeInSample(eligibles, this.returnsManager);
***************
*** 401,405 ****
  					( ( ( this.account.Portfolio.Count == 0 )
  					   && ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
! 					 ( this.now().DateTime >= dateTimeForNextOptimization ) );
  			}
  			return areToBeUpdated;
--- 410,414 ----
  					( ( ( this.account.Portfolio.Count == 0 )
  					   && ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
! 					 ( this.now() >= dateTimeForNextOptimization ) );
  			}
  			return areToBeUpdated;
***************
*** 411,418 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public virtual void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			this.numDaysElapsedSinceLastOptimization++;
  			//OLD - numDaysBetweenEachOptimization --> market days
--- 420,427 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		private void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			this.lastCloseDate = dateTime;
  			this.numDaysElapsedSinceLastOptimization++;
  			//OLD - numDaysBetweenEachOptimization --> market days
***************
*** 425,435 ****
  			if ( this.optimalTestingPositionsAreToBeUpdated() )
  			{
! 				this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
! 				this.lastOptimizationDateTime = this.now().DateTime;
  			}
  		}
  		#endregion
  	}
  }
--- 434,455 ----
  			if ( this.optimalTestingPositionsAreToBeUpdated() )
  			{
! 				this.updateTestingPositions(dateTime);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
! 				this.lastOptimizationDateTime = this.now();
  			}
  		}
  		#endregion
+ 		
+ 		public virtual void NewDateTimeEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ 				this.marketOpenEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ 				this.marketCloseEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ 				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower EndOfDayTimerHandlerITF.cs, 1.7, 1.8 GenomeManagerITF.cs, 1.3, 1.4 RunImmediateTrendFollower.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17578/TrendFollowing/ImmediateTrendFollower

Modified Files:
	EndOfDayTimerHandlerITF.cs GenomeManagerITF.cs 
	RunImmediateTrendFollower.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: GenomeManagerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/GenomeManagerITF.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GenomeManagerITF.cs	14 Jan 2008 23:38:36 -0000	1.3
--- GenomeManagerITF.cs	29 Sep 2008 21:19:39 -0000	1.4
***************
*** 72,83 ****
       private void setReturnsManager()
      {
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  			this.returnsManager =
  				 new ReturnsManager( new CloseToCloseIntervals(
! 																 firstEndOfDayDateTime, 
! 																 lastEndOfDayDateTime, 
  																 this.benchmark,
  																 this.numDaysForReturnCalculation) ,
--- 72,85 ----
       private void setReturnsManager()
      {
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  			this.returnsManager =
  				 new ReturnsManager( new CloseToCloseIntervals(
! 																 firstDateTime, 
! 																 lastDateTime, 
  																 this.benchmark,
  																 this.numDaysForReturnCalculation) ,
***************
*** 107,114 ****
      protected override float[] getStrategyReturns()
  		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
                							 this.returnsManager);
--- 109,118 ----
      protected override float[] getStrategyReturns()
  		{
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
                							 this.returnsManager);

Index: EndOfDayTimerHandlerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/EndOfDayTimerHandlerITF.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** EndOfDayTimerHandlerITF.cs	19 Aug 2008 17:11:28 -0000	1.7
--- EndOfDayTimerHandlerITF.cs	29 Sep 2008 21:19:39 -0000	1.8
***************
*** 45,49 ****
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerITF : EndOfDayTimerHandler
  	{
  		private int numDaysForReturnCalculation;
--- 45,50 ----
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerITF :
! 		QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler
  	{
  		private int numDaysForReturnCalculation;
***************
*** 80,91 ****
  		}
  		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			;
  		}
  
! 		#region MarketCloseEventHandler
! 		
  		protected void marketCloseEventHandler_updateStopLossCondition()
  		{
--- 81,91 ----
  		}
  		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			;
  		}
  
! 		#region marketCloseEventHandler
  		protected void marketCloseEventHandler_updateStopLossCondition()
  		{
***************
*** 160,165 ****
  		}
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			//this.marketCloseEventHandler_updateStopLossCondition();
--- 160,165 ----
  		}
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			//this.marketCloseEventHandler_updateStopLossCondition();
***************
*** 176,184 ****
  		}
  
! 		#endregion
! 		
! 		#region OneHourAfterMarketCloseEventHandler
  		
! 
  		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
  		{
--- 176,182 ----
  		}
  
! 		#endregion marketCloseEventHandler
  		
! 		#region oneHourAfterMarketCloseEventHandler
  		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
  		{
***************
*** 276,283 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			this.seedForRandomGenerator++;
  			this.numDaysElapsedSinceLastOptimization++;
--- 274,281 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			this.lastCloseDate = dateTime;
  			this.seedForRandomGenerator++;
  			this.numDaysElapsedSinceLastOptimization++;
***************
*** 287,291 ****
  				//it is the first close (OLD IMPLEMENTATION)
  			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 285,289 ----
  				//it is the first close (OLD IMPLEMENTATION)
  			{
! 				this.setTickers(dateTime, false);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
***************
*** 293,297 ****
  			
  		}
! 		#endregion
  	}
  }
--- 291,295 ----
  			
  		}
! 		#endregion oneHourAfterMarketCloseEventHandler
  	}
  }

Index: RunImmediateTrendFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/RunImmediateTrendFollower.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunImmediateTrendFollower.cs	19 Aug 2008 17:13:08 -0000	1.2
--- RunImmediateTrendFollower.cs	29 Sep 2008 21:19:39 -0000	1.3
***************
*** 95,115 ****
  		protected override void run_initializeHistoricalQuoteProvider()
  		{
! 			this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		
  		protected override void run_addEventHandlers()
  		{
! 			
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.endOfDayTimerHandler.MarketCloseEventHandler);
! 			
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.checkDateForReport);
! 			
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
  		}
  
--- 95,120 ----
  		protected override void run_initializeHistoricalQuoteProvider()
  		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		
  		protected override void run_addEventHandlers()
  		{
! 
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //			
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! //			
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
  		}
  
***************
*** 134,138 ****
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
--- 139,143 ----
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes RunEfficientOTCTypes.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17551/TestingOTCTypes

Modified Files:
	RunEfficientOTCTypes.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: RunEfficientOTCTypes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/RunEfficientOTCTypes.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** RunEfficientOTCTypes.cs	19 Aug 2008 17:13:05 -0000	1.9
--- RunEfficientOTCTypes.cs	29 Sep 2008 21:19:35 -0000	1.10
***************
*** 3,7 ****
  
  RunEfficientOTCTypes.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientOTCTypes.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 38,42 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 38,42 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 47,184 ****
  {
  	
!   /// <summary>
  	/// Script to test OTC daily, OTC multiday and OTC - CTO
! 	/// all together with one optimization and 3 accounts (each for 
  	/// each type of strategy)
  	/// </summary>
!   [Serializable]
!   public class RunEfficientOTCTypes : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;
!     private Account[] accounts;
!   
!     public RunEfficientOTCTypes(string tickerGroupID, int numberOfEligibleTickers, 
!       int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!       int generationNumberForGeneticOptimizer,
!       int populationSizeForGeneticOptimizer, string benchmark,
!       DateTime startDate, DateTime endDate, double targetReturn,
!       PortfolioType portfolioType, double maxRunningHours,
!      	int numDaysBetweenEachOptimization):
!       base(tickerGroupID, numberOfEligibleTickers, 
!       numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!       generationNumberForGeneticOptimizer,
!       populationSizeForGeneticOptimizer, benchmark,
!       startDate, endDate, targetReturn,
!       portfolioType, maxRunningHours)
!     {
!       this.ScriptName = "OTCTypes_SR_WithCoeffOnlyMutationPriceSel";
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.accounts = new Account[4];
!     }
!     
!     #region auxiliary overriden methods for Run
!         
!     
!     protected override void run_initializeAccount()
!     {
!       for(int i = 0; i<this.accounts.Length; i++)
!       {
!         this.accounts[i] = new Account( this.ScriptName, this.endOfDayTimer ,
!                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
!                             this.historicalQuoteProvider ) ,
!                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
!                             this.historicalQuoteProvider ));
!       }
!      
!     }
!     
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCTypes(this.tickerGroupID,
!         this.numberOfEligibleTickers,
!         this.numberOfTickersToBeChosen,
!         this.numDaysForOptimizationPeriod,
!         this.generationNumberForGeneticOptimizer, 
!         this.populationSizeForGeneticOptimizer,
!         this.benchmark,
!         this.targetReturn,
!         this.portfolioType, this.numDaysBetweenEachOptimization, this.accounts);
!     }
!     
!     protected override void run_initializeHistoricalQuoteProvider()
!     {
!       //this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!     protected override void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketOpen +=
!         new MarketOpenEventHandler(
!         this.endOfDayTimerHandler.MarketOpenEventHandler);  
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose +=
!         new OneHourAfterMarketCloseEventHandler(
!         this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!     }
!     #endregion 
!     
!     //necessary far calling RunEfficientPortfolio.Run()
!     //in classes that inherit from this class
!     public override void Run()
!     {
!       base.Run();
!     }
!     public override void SaveScriptResults()
!     {
!       string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!         DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" + 
!         "From"+ this.tickerGroupID+ "_" +
!       	this.numberOfEligibleTickers +
!         "_OptDays" + this.numDaysForOptimizationPeriod + "_Portf" +
!         this.numberOfTickersToBeChosen + "_GenNum" + 
!         this.generationNumberForGeneticOptimizer +
!         "_PopSize" + this.populationSizeForGeneticOptimizer +
!         Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveAccounts =
!       	System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
!         "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
!         "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes =
!       	System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
!         "\\" + this.ScriptName + "\\";
!       
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       
!       for(int i = 0; i<this.accounts.Length; i++)
!       {
!         ObjectArchiver.Archive(accounts[i],
!           dirNameWhereToSaveAccounts +
!           fileName + "#" + i.ToString() + ".qPa");
!         ObjectArchiver.Archive(this.accounts[i].Transactions,
!           dirNameWhereToSaveTransactions +
!           fileName + "#" + i.ToString() + ".qPt");
!       }
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!         optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       this.endOfDayTimer.Stop();
!     }
  	}
  }
--- 47,190 ----
  {
  	
! 	/// <summary>
  	/// Script to test OTC daily, OTC multiday and OTC - CTO
! 	/// all together with one optimization and 3 accounts (each for
  	/// each type of strategy)
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientOTCTypes : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
! 		private Account[] accounts;
! 		
! 		public RunEfficientOTCTypes(string tickerGroupID, int numberOfEligibleTickers,
! 		                            int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                            int generationNumberForGeneticOptimizer,
! 		                            int populationSizeForGeneticOptimizer, string benchmark,
! 		                            DateTime startDate, DateTime endDate, double targetReturn,
! 		                            PortfolioType portfolioType, double maxRunningHours,
! 		                            int numDaysBetweenEachOptimization):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, targetReturn,
! 			     portfolioType, maxRunningHours)
! 		{
! 			this.ScriptName = "OTCTypes_SR_WithCoeffOnlyMutationPriceSel";
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.accounts = new Account[4];
! 		}
! 		
! 		#region auxiliary overriden methods for Run
! 		
! 		
! 		protected override void run_initializeAccount()
! 		{
! 			for(int i = 0; i<this.accounts.Length; i++)
! 			{
! 				this.accounts[i] = new Account( this.ScriptName, this.endOfDayTimer ,
! 				                               new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 				                                                                  this.historicalMarketValueProvider ) ,
! 				                               new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 				                                                                   this.historicalMarketValueProvider ));
! 			}
! 			
! 		}
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCTypes(this.tickerGroupID,
! 			                                                             this.numberOfEligibleTickers,
! 			                                                             this.numberOfTickersToBeChosen,
! 			                                                             this.numDaysForOptimizationPeriod,
! 			                                                             this.generationNumberForGeneticOptimizer,
! 			                                                             this.populationSizeForGeneticOptimizer,
! 			                                                             this.benchmark,
! 			                                                             this.targetReturn,
! 			                                                             this.portfolioType, this.numDaysBetweenEachOptimization, this.accounts);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			//this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		protected override void run_addEventHandlers()
! 		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 
! 			
! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //					this.endOfDayTimerHandler.MarketOpenEventHandler);
! //			
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //			
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! //			
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 		}
! 		#endregion
! 		
! 		//necessary far calling RunEfficientPortfolio.Run()
! 		//in classes that inherit from this class
! 		public override void Run()
! 		{
! 			base.Run();
! 		}
! 		public override void SaveScriptResults()
! 		{
! 			string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				"From"+ this.tickerGroupID+ "_" +
! 				this.numberOfEligibleTickers +
! 				"_OptDays" + this.numDaysForOptimizationPeriod + "_Portf" +
! 				this.numberOfTickersToBeChosen + "_GenNum" +
! 				this.generationNumberForGeneticOptimizer +
! 				"_PopSize" + this.populationSizeForGeneticOptimizer +
! 				Convert.ToString(this.portfolioType);
! 			string dirNameWhereToSaveAccounts =
! 				System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			
! 			for(int i = 0; i<this.accounts.Length; i++)
! 			{
! 				ObjectArchiver.Archive(accounts[i],
! 				                       dirNameWhereToSaveAccounts +
! 				                       fileName + "#" + i.ToString() + ".qPa");
! 				ObjectArchiver.Archive(this.accounts[i].Transactions,
! 				                       dirNameWhereToSaveTransactions +
! 				                       fileName + "#" + i.ToString() + ".qPt");
! 			}
! 			OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 				optimizationOutput.Add(genomeRepresentation);
! 			ObjectArchiver.Archive(optimizationOutput,
! 			                       dirNameWhereToSaveBestGenomes +
! 			                       fileName + ".bgn");
! 			this.endOfDayTimer.Stop();
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization RunEfficientOTCTypesBruteForce.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17551/TestingOTCTypes/BruteForceOptimization

Modified Files:
	RunEfficientOTCTypesBruteForce.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: RunEfficientOTCTypesBruteForce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization/RunEfficientOTCTypesBruteForce.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunEfficientOTCTypesBruteForce.cs	19 Aug 2008 17:13:05 -0000	1.2
--- RunEfficientOTCTypesBruteForce.cs	29 Sep 2008 21:19:35 -0000	1.3
***************
*** 3,7 ****
  
  RunEfficientOTCTypesBruteForce.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientOTCTypesBruteForce.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 39,43 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 39,43 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 48,174 ****
  {
  	
!   /// <summary>
  	/// Script to test OTC daily, OTC multiday and OTC - CTO
! 	/// all together with one brute force optimization and 3 accounts (each for 
  	/// each type of strategy)
  	/// </summary>
!   [Serializable]
!   public class RunEfficientOTCTypesBruteForce : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;
!     private Account[] accounts;
!   
!     public RunEfficientOTCTypesBruteForce(string tickerGroupID, int numberOfEligibleTickers, 
!       int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!       string benchmark,
!       DateTime startDate, DateTime endDate,
!       double maxRunningHours,
!      	int numDaysBetweenEachOptimization):
!       base(tickerGroupID, numberOfEligibleTickers, 
!       numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!       1,100, benchmark,
!       startDate, endDate, 0.0,
!       PortfolioType.ShortAndLong, maxRunningHours)
!     {
!       this.ScriptName = "OTC_SR_PriceSelBruteForce";
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.accounts = new Account[4];
!     }
!     
!     #region auxiliary overriden methods for Run
!         
!     
!     protected override void run_initializeAccount()
!     {
!       for(int i = 0; i<this.accounts.Length; i++)
!       {
!         this.accounts[i] = new Account( this.ScriptName, this.endOfDayTimer ,
!                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
!                             this.historicalQuoteProvider ) ,
!                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
!                             this.historicalQuoteProvider ));
!       }
!      
!     }
!     
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCTypesBruteForce(this.tickerGroupID,
!         this.numberOfEligibleTickers,
!         this.numberOfTickersToBeChosen,
!         this.numDaysForOptimizationPeriod,
!         this.benchmark, this.numDaysBetweenEachOptimization,
!         this.accounts);
!     }
!     
!     protected override void run_initializeHistoricalQuoteProvider()
!     {
!       //this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!     protected override void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketOpen +=
!         new MarketOpenEventHandler(
!         this.endOfDayTimerHandler.MarketOpenEventHandler);  
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose +=
!         new OneHourAfterMarketCloseEventHandler(
!         this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!     }
!     #endregion 
!     
!     //necessary far calling RunEfficientPortfolio.Run()
!     //in classes that inherit from this class
!     public override void Run()
!     {
!       base.Run();
!     }
!     public override void SaveScriptResults()
!     {
!       string fileName = "From"+this.numberOfEligibleTickers +
!         "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
!         this.numberOfTickersToBeChosen + "BruteForce";
!       string dirNameWhereToSaveAccounts =
!       	System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
!         "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
!         "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes =
!       	System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
!         "\\" + this.ScriptName + "\\";
!       
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       
!       for(int i = 0; i<this.accounts.Length; i++)
!       {
!         ObjectArchiver.Archive(accounts[i],
!           dirNameWhereToSaveAccounts +
!           fileName + "#" + i.ToString() + ".qPa");
!         ObjectArchiver.Archive(this.accounts[i].Transactions,
!           dirNameWhereToSaveTransactions +
!           fileName + "#" + i.ToString() + ".qPt");
!       }
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!         optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       this.endOfDayTimer.Stop();
!     }
  	}
  }
--- 48,185 ----
  {
  	
! 	/// <summary>
  	/// Script to test OTC daily, OTC multiday and OTC - CTO
! 	/// all together with one brute force optimization and 3 accounts (each for
  	/// each type of strategy)
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientOTCTypesBruteForce : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
! 		private Account[] accounts;
! 		
! 		public RunEfficientOTCTypesBruteForce(string tickerGroupID, int numberOfEligibleTickers,
! 		                                      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                      string benchmark,
! 		                                      DateTime startDate, DateTime endDate,
! 		                                      double maxRunningHours,
! 		                                      int numDaysBetweenEachOptimization):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     1,100, benchmark,
! 			     startDate, endDate, 0.0,
! 			     PortfolioType.ShortAndLong, maxRunningHours)
! 		{
! 			this.ScriptName = "OTC_SR_PriceSelBruteForce";
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.accounts = new Account[4];
! 		}
! 		
! 		#region auxiliary overriden methods for Run
! 		
! 		
! 		protected override void run_initializeAccount()
! 		{
! 			for(int i = 0; i<this.accounts.Length; i++)
! 			{
! 				this.accounts[i] = new Account( this.ScriptName, this.endOfDayTimer ,
! 				                               new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 				                                                                  this.historicalMarketValueProvider ) ,
! 				                               new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 				                                                                   this.historicalMarketValueProvider ));
! 			}
! 			
! 		}
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCTypesBruteForce(this.tickerGroupID,
! 			                                                                       this.numberOfEligibleTickers,
! 			                                                                       this.numberOfTickersToBeChosen,
! 			                                                                       this.numDaysForOptimizationPeriod,
! 			                                                                       this.benchmark, this.numDaysBetweenEachOptimization,
! 			                                                                       this.accounts);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			//this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		private void newDateTimeEventHandler( object sender , DateTime dateTime )
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 				this.checkDateForReport( sender , dateTime );
! 		}
! 
! 		protected override void run_addEventHandlers()
! 		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
! 			
! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //					this.endOfDayTimerHandler.MarketOpenEventHandler);
! //
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! //
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 		}
! 		#endregion
! 		
! 		//necessary far calling RunEfficientPortfolio.Run()
! 		//in classes that inherit from this class
! 		public override void Run()
! 		{
! 			base.Run();
! 		}
! 		public override void SaveScriptResults()
! 		{
! 			string fileName = "From"+this.numberOfEligibleTickers +
! 				"OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
! 				this.numberOfTickersToBeChosen + "BruteForce";
! 			string dirNameWhereToSaveAccounts =
! 				System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			
! 			for(int i = 0; i<this.accounts.Length; i++)
! 			{
! 				ObjectArchiver.Archive(accounts[i],
! 				                       dirNameWhereToSaveAccounts +
! 				                       fileName + "#" + i.ToString() + ".qPa");
! 				ObjectArchiver.Archive(this.accounts[i].Transactions,
! 				                       dirNameWhereToSaveTransactions +
! 				                       fileName + "#" + i.ToString() + ".qPt");
! 			}
! 			OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 				optimizationOutput.Add(genomeRepresentation);
! 			ObjectArchiver.Archive(optimizationOutput,
! 			                       dirNameWhereToSaveBestGenomes +
! 			                       fileName + ".bgn");
! 			this.endOfDayTimer.Stop();
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooser.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17626/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooser.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: OutOfSampleChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OutOfSampleChooser.cs	27 Apr 2008 17:42:52 -0000	1.1
--- OutOfSampleChooser.cs	29 Sep 2008 21:19:47 -0000	1.2
***************
*** 38,41 ****
--- 38,42 ----
  	/// this class selects the positions to be opened
  	/// </summary>
+ 	[Serializable]
  	public abstract class OutOfSampleChooser
  	{
***************
*** 75,79 ****
  
  		#region getReturnsManagerForLastSecondPhaseInterval
! 		private EndOfDayDateTime
  			getIntervalBeginForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals )
--- 76,80 ----
  
  		#region getReturnsManagerForLastSecondPhaseInterval
! 		private DateTime
  			getIntervalBeginForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals )
***************
*** 86,90 ****
  			return secondLastInterval.End;
  		}
! 		private EndOfDayDateTime
  			getIntervalEndForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals )
--- 87,91 ----
  			return secondLastInterval.End;
  		}
! 		private DateTime
  			getIntervalEndForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals )
***************
*** 96,103 ****
  			ReturnIntervals outOfSampleReturnIntervals )
  		{
! 			EndOfDayDateTime intervalBegin =
  				this.getIntervalBeginForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals );
! 			EndOfDayDateTime intervalEnd =
  				this.getIntervalEndForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals );
--- 97,104 ----
  			ReturnIntervals outOfSampleReturnIntervals )
  		{
! 			DateTime intervalBegin =
  				this.getIntervalBeginForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals );
! 			DateTime intervalEnd =
  				this.getIntervalEndForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals );
***************
*** 119,123 ****
  		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			IHistoricalQuoteProvider historicalQuoteProviderForChosingPositionsOutOfSample )
  		{
  			ReturnIntervals returnIntervals =
--- 120,125 ----
  		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ReturnIntervals returnIntervals =
***************
*** 129,133 ****
  			ReturnsManager returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				historicalQuoteProviderForChosingPositionsOutOfSample );
  			return returnsManager;
  		}
--- 131,135 ----
  			ReturnsManager returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return returnsManager;
  		}
***************
*** 249,259 ****
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample )
  		{
  			ReturnsManager returnsManagerForLastSecondPhaseInterval =
  				this.getReturnsManagerForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals ,
! 				historicalQuoteProviderForChosingPositionsOutOfSample );
  			ArrayList inefficientCouples =
  				this.getInefficientCouples( bestTestingPositionsInSample ,
--- 251,261 ----
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ReturnsManager returnsManagerForLastSecondPhaseInterval =
  				this.getReturnsManagerForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			ArrayList inefficientCouples =
  				this.getInefficientCouples( bestTestingPositionsInSample ,
***************
*** 288,293 ****
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample )
  		{
  			ArrayList arrayListOfInefficientCouples =
--- 290,295 ----
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ArrayList arrayListOfInefficientCouples =
***************
*** 295,299 ****
  				bestTestingPositionsInSample ,
  				outOfSampleReturnIntervals ,
! 				historicalQuoteProviderForChosingPositionsOutOfSample );
  			WeightedPositions[] inefficientCouples =
  				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
--- 297,301 ----
  				bestTestingPositionsInSample ,
  				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			WeightedPositions[] inefficientCouples =
  				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
***************
*** 324,329 ****
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample )
  		{
  			WeightedPositions[] inefficientCouples = null;
--- 326,331 ----
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			WeightedPositions[] inefficientCouples = null;
***************
*** 334,338 ****
  					bestTestingPositionsInSample ,
  					outOfSampleReturnIntervals ,
! 					historicalQuoteProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;
  
--- 336,340 ----
  					bestTestingPositionsInSample ,
  					outOfSampleReturnIntervals ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;
  
***************
*** 353,358 ****
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample ,
  			ReturnsManager inSampleReturnsManager )
  		{
--- 355,360 ----
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample ,
  			ReturnsManager inSampleReturnsManager )
  		{
***************
*** 362,366 ****
  				bestTestingPositionsInSample ,
  				outOfSampleReturnIntervals ,
! 				historicalQuoteProviderForChosingPositionsOutOfSample );
  			if ( inefficientCouples != null )
  				// at least an inefficient couple has been found
--- 364,368 ----
  				bestTestingPositionsInSample ,
  				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			if ( inefficientCouples != null )
  				// at least an inefficient couple has been found

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst EndOfDayTimerHandlerBWFollower.cs, 1.2, 1.3 RunBestAndWorstFollower.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17462/TrendFollowing/BestAndWorst

Modified Files:
	EndOfDayTimerHandlerBWFollower.cs RunBestAndWorstFollower.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: EndOfDayTimerHandlerBWFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst/EndOfDayTimerHandlerBWFollower.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerBWFollower.cs	19 Aug 2008 17:11:26 -0000	1.2
--- EndOfDayTimerHandlerBWFollower.cs	29 Sep 2008 21:19:23 -0000	1.3
***************
*** 43,47 ****
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerBWFollower
  	{
  		private string tickerGroupID;
--- 43,47 ----
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerBWFollower : EndOfDayTimerHandler
  	{
  		private string tickerGroupID;
***************
*** 87,91 ****
  		}
  		
! 		#region MarketOpenEventHandler
  
  		private void addOrderForTicker(string[] tickers,
--- 87,91 ----
  		}
  		
! 		#region marketOpenEventHandler
  
  		private void addOrderForTicker(string[] tickers,
***************
*** 161,166 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
--- 161,166 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
***************
*** 179,183 ****
  		#endregion
  
! 		#region MarketCloseEventHandler
  
  		private void closePosition( string ticker )
--- 179,183 ----
  		#endregion
  
! 		#region marketCloseEventHandler
  
  		private void closePosition( string ticker )
***************
*** 195,200 ****
  		}
  		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.account.Portfolio.Count > 0)
--- 195,200 ----
  		}
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.account.Portfolio.Count > 0)
***************
*** 204,209 ****
  				{
  					this.closePositions();
! 					this.OneHourAfterMarketCloseEventHandler(sender,endOfDayTimingEventArgs);
! 					this.MarketOpenEventHandler(sender, endOfDayTimingEventArgs);
  					this.closesElapsedWithSomeOpenPosition = 0;
  				}
--- 204,209 ----
  				{
  					this.closePositions();
! 					this.oneHourAfterMarketCloseEventHandler(sender,dateTime);
! 					this.marketOpenEventHandler(sender, dateTime);
  					this.closesElapsedWithSomeOpenPosition = 0;
  				}
***************
*** 213,218 ****
  				if( ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition >= this.lengthInDaysForPerformance )
  				{
! 					this.OneHourAfterMarketCloseEventHandler(sender,endOfDayTimingEventArgs);
! 					this.MarketOpenEventHandler(sender, endOfDayTimingEventArgs);
  				}
  			}
--- 213,218 ----
  				if( ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition >= this.lengthInDaysForPerformance )
  				{
! 					this.oneHourAfterMarketCloseEventHandler(sender,dateTime);
! 					this.marketOpenEventHandler(sender, dateTime);
  				}
  			}
***************
*** 221,225 ****
  		#endregion
  
! 		#region OneHourAfterMarketCloseEventHandler
  		
  		private void oneHourAfterMarketCloseEventHandler_clear()
--- 221,225 ----
  		#endregion
  
! 		#region oneHourAfterMarketCloseEventHandler
  		
  		private void oneHourAfterMarketCloseEventHandler_clear()
***************
*** 239,247 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.oneHourAfterMarketCloseEventHandler_clear();
! 			DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
  			DateTime firstDateForPerformanceComputation =
--- 239,247 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.oneHourAfterMarketCloseEventHandler_clear();
! 			DateTime currentDate = dateTime;
  			int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
  			DateTime firstDateForPerformanceComputation =

Index: RunBestAndWorstFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst/RunBestAndWorstFollower.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunBestAndWorstFollower.cs	19 Aug 2008 17:13:03 -0000	1.3
--- RunBestAndWorstFollower.cs	29 Sep 2008 21:19:23 -0000	1.4
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 39,176 ****
  	/// buying and shorting, accordingly, the l best tickers
  	/// and the s worst tickers.
! 	/// For chosing the best and worst tickers just the 
  	/// previous close to close ratio is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...) 
! 	/// that great moves are confirmed the next days 
  	/// (just the reversal of simpleOHTest)
  	
  	/// At each close, open positions are closed.
  	/// </summary>
!   [Serializable]
!   public class RunBestAndWorstFollower
!   {
!     private string scriptName;
!     private string tickerGroupID;
!     private string benchmark;
!     private int numberOfEligibleTickers;
  		private int lengthInDaysForPerformance;
!     private int numOfBestTickers;
!     private int numOfWorstTickers;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private DateTime startDate;
!     private DateTime endDate;
!     private double maxRunningHours;
!     private DateTime startingTimeForScript;
!     private Account account;
!     private IHistoricalQuoteProvider historicalQuoteProvider;
!     private IEndOfDayTimer endOfDayTimer;
  
!     public RunBestAndWorstFollower(string tickerGroupID, string benchmark,
!       int numberOfEligibleTickers, int lengthInDaysForPerformance,
! 			int numOfBestTickers, 
!       int numOfWorstTickers, int numOfTickersForBuying,
!       int numOfTickersForShortSelling,
!       DateTime startDate, DateTime endDate,
!       double maxRunningHours)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.benchmark = benchmark;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
!       this.numOfBestTickers = numOfBestTickers;
!       this.numOfWorstTickers = numOfWorstTickers;
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.startDate = startDate;
!       this.endDate = endDate;
!       this.maxRunningHours = maxRunningHours;
!       this.scriptName = "BWFollower";
! //      this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
! 			this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!       this.endOfDayTimer = new IndexBasedEndOfDayTimer(
!         new EndOfDayDateTime( this.startDate ,
!         EndOfDaySpecificTime.MarketOpen ) , this.benchmark );
!     }
  
  
!     public void Run()
!     {
!       this.startingTimeForScript = DateTime.Now;
!       this.account = new Account( "BestAndWorstFollower" , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
!         this.historicalQuoteProvider ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
!         this.historicalQuoteProvider ) );
!       EndOfDayTimerHandlerBWFollower endOfDayTimerHandler =
!         new EndOfDayTimerHandlerBWFollower(this.tickerGroupID, this.numberOfEligibleTickers,
!         this.lengthInDaysForPerformance, this.numOfBestTickers, this.numOfWorstTickers,
!         this.numOfTickersForBuying, this.numOfTickersForShortSelling, 
!         this.account, this.benchmark);
!       
  //			this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
! //        endOfDayTimerHandler.MarketOpenEventHandler );
  
!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         endOfDayTimerHandler.MarketCloseEventHandler );
  
!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         this.checkDateForReport);
  
! //      this.endOfDayTimer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
! //        endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!       
!       this.endOfDayTimer.Start();
!     }
  
!     private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDate ||
!         DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
!         //last date is reached by the timer or maxRunning hours
!         //are elapsed from the time script started
!         this.SaveScriptResults();
!     }
  
!     private void checkDateForReport_createDirIfNotPresent(string dirPath)
!     {
!       if(!Directory.Exists(dirPath))
!         Directory.CreateDirectory(dirPath);
!     }
  
!     public void SaveScriptResults()
!     {
!       TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName = 
! 				"SecondsElapsed_" + 
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!         DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
!         this.scriptName +  "_From_" + this.tickerGroupID +
!         "_elig_" + this.numberOfEligibleTickers + 
!       	"_best_" + this.numOfBestTickers +
!       	"_worst_" + this.numOfWorstTickers +
!       	"_Long_" + this.numOfTickersForBuying +
!       	"_Short_" + this.numOfTickersForShortSelling +
  				"_lenInDays_" + this.lengthInDaysForPerformance;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
!         "\\" + this.scriptName + "\\";
!           
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!         this.endOfDayTimer.GetCurrentTime(),
!         this.benchmark,
! //        new HistoricalRawQuoteProvider() );
!         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!         dirNameWhereToSaveReports + 
!         fileName + ".qPr");
!             
!       this.endOfDayTimer.Stop();
!     }
!   }   
  }
--- 39,183 ----
  	/// buying and shorting, accordingly, the l best tickers
  	/// and the s worst tickers.
! 	/// For chosing the best and worst tickers just the
  	/// previous close to close ratio is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...)
! 	/// that great moves are confirmed the next days
  	/// (just the reversal of simpleOHTest)
  	
  	/// At each close, open positions are closed.
  	/// </summary>
! 	[Serializable]
! 	public class RunBestAndWorstFollower
! 	{
! 		private string scriptName;
! 		private string tickerGroupID;
! 		private string benchmark;
! 		private int numberOfEligibleTickers;
  		private int lengthInDaysForPerformance;
! 		private int numOfBestTickers;
! 		private int numOfWorstTickers;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private DateTime startDate;
! 		private DateTime endDate;
! 		private double maxRunningHours;
! 		private DateTime startingTimeForScript;
! 		private Account account;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private Timer endOfDayTimer;
  
! 		public RunBestAndWorstFollower(string tickerGroupID, string benchmark,
! 		                               int numberOfEligibleTickers, int lengthInDaysForPerformance,
! 		                               int numOfBestTickers,
! 		                               int numOfWorstTickers, int numOfTickersForBuying,
! 		                               int numOfTickersForShortSelling,
! 		                               DateTime startDate, DateTime endDate,
! 		                               double maxRunningHours)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.benchmark = benchmark;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
! 			this.numOfBestTickers = numOfBestTickers;
! 			this.numOfWorstTickers = numOfWorstTickers;
! 			this.numOfTickersForBuying = numOfTickersForBuying;
! 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
! 			this.startDate = startDate;
! 			this.endDate = endDate;
! 			this.maxRunningHours = maxRunningHours;
! 			this.scriptName = "BWFollower";
! 			//      this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 			this.endOfDayTimer = new IndexBasedEndOfDayTimer(
! 				HistoricalEndOfDayTimer.GetMarketOpen( this.startDate ) ,
! 				//        new EndOfDayDateTime( this.startDate ,
! 				//        EndOfDaySpecificTime.MarketOpen ) ,
! 				this.benchmark );
! 		}
  
  
! 		public void Run()
! 		{
! 			this.startingTimeForScript = DateTime.Now;
! 			this.account = new Account( "BestAndWorstFollower" , this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) );
! 			EndOfDayTimerHandlerBWFollower endOfDayTimerHandler =
! 				new EndOfDayTimerHandlerBWFollower(this.tickerGroupID, this.numberOfEligibleTickers,
! 				                                   this.lengthInDaysForPerformance, this.numOfBestTickers, this.numOfWorstTickers,
! 				                                   this.numOfTickersForBuying, this.numOfTickersForShortSelling,
! 				                                   this.account, this.benchmark);
! 			
  //			this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
! 			//        endOfDayTimerHandler.MarketOpenEventHandler );
  
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
  
! //			this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
! //				endOfDayTimerHandler.MarketCloseEventHandler );
! //
! //			this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
! //				this.checkDateForReport);
  
! 			//      this.endOfDayTimer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
! 			//        endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 			
! 			this.endOfDayTimer.Start();
! 		}
  
! 		private void checkDateForReport(Object sender , DateTime dateTime)
! 		{
! 			if(dateTime>=this.endDate ||
! 			   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 				//last date is reached by the timer or maxRunning hours
! 				//are elapsed from the time script started
! 				this.SaveScriptResults();
! 		}
  
! 		private void checkDateForReport_createDirIfNotPresent(string dirPath)
! 		{
! 			if(!Directory.Exists(dirPath))
! 				Directory.CreateDirectory(dirPath);
! 		}
  
! 		public void SaveScriptResults()
! 		{
! 			TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName =
! 				"SecondsElapsed_" +
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				this.scriptName +  "_From_" + this.tickerGroupID +
! 				"_elig_" + this.numberOfEligibleTickers +
! 				"_best_" + this.numOfBestTickers +
! 				"_worst_" + this.numOfWorstTickers +
! 				"_Long_" + this.numOfTickersForBuying +
! 				"_Short_" + this.numOfTickersForShortSelling +
  				"_lenInDays_" + this.lengthInDaysForPerformance;
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.scriptName + "\\";
! 			
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
! 			                                                        this.benchmark,
! 			                                                        //        new HistoricalRawQuoteProvider() );
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			
! 			this.endOfDayTimer.Stop();
! 		}
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection RunSimpleSelection.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17551/SimpleSelection

Modified Files:
	RunSimpleSelection.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: RunSimpleSelection.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/RunSimpleSelection.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunSimpleSelection.cs	19 Aug 2008 17:13:10 -0000	1.3
--- RunSimpleSelection.cs	29 Sep 2008 21:19:36 -0000	1.4
***************
*** 60,66 ****
  
  		protected ReportTable reportTable;
! 		protected EndOfDayDateTime startDateTime;
! 		protected EndOfDayDateTime endDateTime;
! 		protected IHistoricalQuoteProvider historicalQuoteProvider;
  
  		protected EndOfDayTimerHandlerSimpleSelection endOfDayTimerHandler;
--- 60,66 ----
  
  		protected ReportTable reportTable;
! 		protected DateTime startDateTime;
! 		protected DateTime endDateTime;
! 		protected HistoricalMarketValueProvider historicalMarketValueProvider;
  
  		protected EndOfDayTimerHandlerSimpleSelection endOfDayTimerHandler;
***************
*** 68,72 ****
  		protected Account account;
  		
! 		protected IEndOfDayTimer endOfDayTimer;
  
  		protected string benchmark;
--- 68,72 ----
  		protected Account account;
  		
! 		protected QuantProject.Business.Timing.Timer endOfDayTimer;
  
  		protected string benchmark;
***************
*** 96,100 ****
  		public DateTime TimerLastDate
  		{
! 			get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
  		}
  		
--- 96,100 ----
  		public DateTime TimerLastDate
  		{
! 			get{return this.endOfDayTimer.GetCurrentDateTime();}
  		}
  		
***************
*** 105,112 ****
  		{
  			
! 			this.startDateTime = new EndOfDayDateTime(
! 				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime = new EndOfDayDateTime(
! 				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "SimpleTestGeneric";
--- 105,116 ----
  		{
  			
! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetFiveMinutesBeforeMarketClose( startDate );
! //			new EndOfDayDateTime(
! //				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( endDate );
! //			new EndOfDayDateTime(
! //				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "SimpleTestGeneric";
***************
*** 131,138 ****
  			this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
  			this.reportTable = new ReportTable( "Summary_Reports" );
! 			this.startDateTime = new EndOfDayDateTime(
! 				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime = new EndOfDayDateTime(
! 				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "SimpleTestGeneric";
--- 135,146 ----
  			this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
  			this.reportTable = new ReportTable( "Summary_Reports" );
! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetFiveMinutesBeforeMarketClose( startDate );
! //				new EndOfDayDateTime(
! //				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( endDate );
! //			new EndOfDayDateTime(
! //				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.benchmark = benchmark;
  			this.ScriptName = "SimpleTestGeneric";
***************
*** 159,165 ****
  			this.account = new Account( this.scriptName , this.endOfDayTimer ,
  			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalQuoteProvider ) ,
  			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalQuoteProvider ));
  			
  		}
--- 167,173 ----
  			this.account = new Account( this.scriptName , this.endOfDayTimer ,
  			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
  			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ));
  			
  		}
***************
*** 180,191 ****
  		}
  		
! 		protected virtual void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
! 			if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
! 			   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 				//last date is reached by the timer or maxRunning hours
! 				//are elapsed from the time script started
! 				this.SaveScriptResults();
  		}
  		
  		public virtual void SaveScriptResults()
--- 188,214 ----
  		}
  		
! //		protected virtual void checkDateForReport(
! //			Object sender , DateTime dateTime)
! //		{
! //			if(dateTime.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
! //			   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! //				//last date is reached by the timer or maxRunning hours
! //				//are elapsed from the time script started
! //				this.SaveScriptResults();
! //		}
! 		
! 		protected virtual void checkDateForReport(
! 			Object sender , DateTime dateTime)
  		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 			{
! 				if( dateTime >= this.endDateTime ||
! 				   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 					//last date is reached by the timer or maxRunning hours
! 					//are elapsed from the time script started
! 					this.SaveScriptResults();
! 			}
  		}
+ 
  		
  		public virtual void SaveScriptResults()
***************
*** 205,209 ****
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
--- 228,232 ----
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
***************
*** 229,237 ****
  			//run_initializeProgressHandlers();
  		}
  		protected virtual void run_addEventHandlers()
  		{
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.checkDateForReport);
  			
  			//in inherited classes'override method:
--- 252,270 ----
  			//run_initializeProgressHandlers();
  		}
+ 		
+ 		private void newDateTimeEventHandler( object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ 				this.checkDateForReport( sender , dateTime );
+ 		}
+ 
  		protected virtual void run_addEventHandlers()
  		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
! 
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
  			
  			//in inherited classes'override method: