quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientOTC_WorstAtNightPortfolio.cs, 1.3, 1.4 RunEfficientOTCCTOPortfolio.cs, 1.1, 1.2 RunEfficientOTCPortfolio.cs, 1.4, 1.5 RunEfficientOTCPortfolioMultiday.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17425

Modified Files:
	RunEfficientOTC_WorstAtNightPortfolio.cs 
	RunEfficientOTCCTOPortfolio.cs RunEfficientOTCPortfolio.cs 
	RunEfficientOTCPortfolioMultiday.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: RunEfficientOTCPortfolioMultiday.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTCPortfolioMultiday.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunEfficientOTCPortfolioMultiday.cs	29 Aug 2007 10:04:28 -0000	1.2
--- RunEfficientOTCPortfolioMultiday.cs	29 Sep 2008 21:19:16 -0000	1.3
***************
*** 3,7 ****
  
  RunEfficientOTCPorfolioMultiday.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientOTCPorfolioMultiday.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;
***************
*** 46,50 ****
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close 
  	/// the efficient close to open daily portfolio
  	/// The efficient portfolio's generation rules
--- 46,50 ----
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close
  	/// the efficient close to open daily portfolio
  	/// The efficient portfolio's generation rules
***************
*** 53,81 ****
  	/// - choose the most efficient portfolio among these tickers
  	/// </summary>
!   [Serializable]
!   public class RunEfficientOTCPortfolioMultiday : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;	
!     public RunEfficientOTCPortfolioMultiday(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 numDaysPortfolioLife):
!       base(tickerGroupID, numberOfEligibleTickers, 
!       numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!       generationNumberForGeneticOptimizer,
!       populationSizeForGeneticOptimizer, benchmark,
!       startDate, endDate, targetReturn,
!       portfolioType, maxRunningHours)
!     {
!       this.ScriptName = "MultidayOpenCloseScripts_SharpeNoCoeff";
!       this.numDaysBetweenEachOptimization = numDaysPortfolioLife;
!     }
!     
!     #region auxiliary overriden methods for Run
!         
!     /* delete remark delimitations for having ib commission
      protected override void run_initializeAccount()
      {
--- 53,81 ----
  	/// - choose the most efficient portfolio among these tickers
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientOTCPortfolioMultiday : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
! 		public RunEfficientOTCPortfolioMultiday(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 numDaysPortfolioLife):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, targetReturn,
! 			     portfolioType, maxRunningHours)
! 		{
! 			this.ScriptName = "MultidayOpenCloseScripts_SharpeNoCoeff";
! 			this.numDaysBetweenEachOptimization = numDaysPortfolioLife;
! 		}
! 		
! 		#region auxiliary overriden methods for Run
! 		
! 		/* delete remark delimitations for having ib commission
      protected override void run_initializeAccount()
      {
***************
*** 87,138 ****
       
      }
!     */
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCMultiday(this.tickerGroupID,
!         this.numberOfEligibleTickers,
!         this.numberOfTickersToBeChosen,
!         this.numDaysForOptimizationPeriod,
!         this.account,
!         this.generationNumberForGeneticOptimizer, 
!         this.populationSizeForGeneticOptimizer,
!         this.benchmark,
!         this.targetReturn,
!         this.portfolioType, this.numDaysBetweenEachOptimization);
!     }
!     
!     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();
!     }
  	}
  }
--- 87,143 ----
       
      }
! 		 */
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCMultiday(this.tickerGroupID,
! 			                                                                this.numberOfEligibleTickers,
! 			                                                                this.numberOfTickersToBeChosen,
! 			                                                                this.numDaysForOptimizationPeriod,
! 			                                                                this.account,
! 			                                                                this.generationNumberForGeneticOptimizer,
! 			                                                                this.populationSizeForGeneticOptimizer,
! 			                                                                this.benchmark,
! 			                                                                this.targetReturn,
! 			                                                                this.portfolioType, this.numDaysBetweenEachOptimization);
! 		}
! 		
! 		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();
! 		}
  	}
  }

Index: RunEfficientOTC_WorstAtNightPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTC_WorstAtNightPortfolio.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunEfficientOTC_WorstAtNightPortfolio.cs	14 Jan 2008 23:43:47 -0000	1.3
--- RunEfficientOTC_WorstAtNightPortfolio.cs	29 Sep 2008 21:19:16 -0000	1.4
***************
*** 3,7 ****
  
  RunEfficientOTCPortfolio_WorstAtNight.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientOTCPortfolio_WorstAtNight.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.Slippage;
  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.Slippage;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 47,159 ****
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close 
  	/// the efficient open to close daily portfolio
  	/// </summary>
!   [Serializable]
!   public class RunEfficientOTCPortfolio_WorstAtNight : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;
  		protected int numOfGenomesForCTOScanning;
!     public RunEfficientOTCPortfolio_WorstAtNight(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, int numOfGenomesForCTOScanning):
!       base(tickerGroupID, numberOfEligibleTickers, 
!       numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!       generationNumberForGeneticOptimizer,
!       populationSizeForGeneticOptimizer, benchmark,
!       startDate, endDate, targetReturn,
!       portfolioType, maxRunningHours)
!     {
! //      this.ScriptName = "OTC_WorstAtNight_SharpeRatioWithCoeff_OnlyMutation";
!       //this.ScriptName = "OpenCloseScriptsSharpeRatio";
!       this.ScriptName = "OTC_WorstAtNight_SharpeRatioNoCoeff";
!       //this.ScriptName = "OpenCloseScripts";
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.numOfGenomesForCTOScanning = numOfGenomesForCTOScanning;
  		}
!     
!         
!     // delete remark delimitations for having ib commission 
!     // and a fixed percentage calculation of slippage
!     protected override void run_initializeAccount()
!     {
!       this.account = new Account(this.ScriptName,
!                                  this.endOfDayTimer ,
!                                  new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
!                                                                     this.historicalQuoteProvider ) ,
!                                  new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
!                                                                      this.historicalQuoteProvider)//,
!                                                                     // new FixedPercentageSlippageManager(this.historicalQuoteProvider,
!                                                                     // this.endOfDayTimer,0.08)), 
!                                  );                                    
!                                  //new IBCommissionManager());
!      
!     }
!     
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTC_WorstAtNight(this.tickerGroupID,
!         this.numberOfEligibleTickers,
!         this.numberOfTickersToBeChosen,
!         this.numDaysForOptimizationPeriod,
!         this.account,
!         this.generationNumberForGeneticOptimizer, 
!         this.populationSizeForGeneticOptimizer,
!         this.benchmark,
!         this.targetReturn,
!         this.portfolioType, this.numDaysBetweenEachOptimization,
! 				this.numOfGenomesForCTOScanning);
!     }
!     
!     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 );
!     }
!     
!     public override string SaveScriptResults_CreateFileName()
!     {
!       return  DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
! 							DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" + 
! 							"From_" + this.tickerGroupID + "_" +
! 	            + this.numberOfEligibleTickers +
! 	            "_OptDays" + this.numDaysForOptimizationPeriod + "_Port" +
! 	            this.numberOfTickersToBeChosen + "_GenNum" + 
! 	            this.generationNumberForGeneticOptimizer +
! 	            "_PopSize" + this.populationSizeForGeneticOptimizer +
!       				"_GenomesScanned" + this.numOfGenomesForCTOScanning;
  		}
-     
-     
-     //necessary far calling RunEfficientPortfolio.Run()
-     //in classes that inherit from this class
-     public override void Run()
-     {
-       base.Run();
-     }
  	}
  }
--- 47,164 ----
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close
  	/// the efficient open to close daily portfolio
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientOTCPortfolio_WorstAtNight : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
  		protected int numOfGenomesForCTOScanning;
! 		public RunEfficientOTCPortfolio_WorstAtNight(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, int numOfGenomesForCTOScanning):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, targetReturn,
! 			     portfolioType, maxRunningHours)
! 		{
! 			//      this.ScriptName = "OTC_WorstAtNight_SharpeRatioWithCoeff_OnlyMutation";
! 			//this.ScriptName = "OpenCloseScriptsSharpeRatio";
! 			this.ScriptName = "OTC_WorstAtNight_SharpeRatioNoCoeff";
! 			//this.ScriptName = "OpenCloseScripts";
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.numOfGenomesForCTOScanning = numOfGenomesForCTOScanning;
  		}
! 		
! 		
! 		// delete remark delimitations for having ib commission
! 		// and a fixed percentage calculation of slippage
! 		protected override void run_initializeAccount()
! 		{
! 			this.account = new Account(this.ScriptName,
! 			                           this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider)//,
! 			                           // new FixedPercentageSlippageManager(this.historicalQuoteProvider,
! 			                           // this.endOfDayTimer,0.08)),
! 			                          );
! 			//new IBCommissionManager());
! 			
! 		}
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTC_WorstAtNight(this.tickerGroupID,
! 			                                                                     this.numberOfEligibleTickers,
! 			                                                                     this.numberOfTickersToBeChosen,
! 			                                                                     this.numDaysForOptimizationPeriod,
! 			                                                                     this.account,
! 			                                                                     this.generationNumberForGeneticOptimizer,
! 			                                                                     this.populationSizeForGeneticOptimizer,
! 			                                                                     this.benchmark,
! 			                                                                     this.targetReturn,
! 			                                                                     this.portfolioType, this.numDaysBetweenEachOptimization,
! 			                                                                     this.numOfGenomesForCTOScanning);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalRawQuoteProvider();
! 			//this.historicalQuoteProvider = 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 );
! 		}
! 		
! 		public override string SaveScriptResults_CreateFileName()
! 		{
! 			return  DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				"From_" + this.tickerGroupID + "_" +
! 				+ this.numberOfEligibleTickers +
! 				"_OptDays" + this.numDaysForOptimizationPeriod + "_Port" +
! 				this.numberOfTickersToBeChosen + "_GenNum" +
! 				this.generationNumberForGeneticOptimizer +
! 				"_PopSize" + this.populationSizeForGeneticOptimizer +
! 				"_GenomesScanned" + this.numOfGenomesForCTOScanning;
! 		}
! 		
! 		
! 		//necessary far calling RunEfficientPortfolio.Run()
! 		//in classes that inherit from this class
! 		public override void Run()
! 		{
! 			base.Run();
  		}
  	}
  }

Index: RunEfficientOTCCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTCCTOPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunEfficientOTCCTOPortfolio.cs	21 Oct 2005 18:07:45 -0000	1.1
--- RunEfficientOTCCTOPortfolio.cs	29 Sep 2008 21:19:16 -0000	1.2
***************
*** 3,7 ****
  
  RunEfficientOTCCTOPorfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientOTCCTOPorfolio.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;
***************
*** 46,50 ****
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close 
  	/// the efficient close to open daily portfolio
  	/// The efficient portfolio's generation rules
--- 46,50 ----
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close
  	/// the efficient close to open daily portfolio
  	/// The efficient portfolio's generation rules
***************
*** 53,81 ****
  	/// - choose the most efficient portfolio among these tickers
  	/// </summary>
!   [Serializable]
!   public class RunEfficientOTCCTOPortfolio : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;	
!     public RunEfficientOTCCTOPortfolio(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 = "OpenToClose_CloseToOpenScripts";
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!     }
!     
!     #region auxiliary overriden methods for Run
!         
!     /* delete remark delimitations for having ib commission
      protected override void run_initializeAccount()
      {
--- 53,81 ----
  	/// - choose the most efficient portfolio among these tickers
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientOTCCTOPortfolio : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
! 		public RunEfficientOTCCTOPortfolio(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 = "OpenToClose_CloseToOpenScripts";
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 		}
! 		
! 		#region auxiliary overriden methods for Run
! 		
! 		/* delete remark delimitations for having ib commission
      protected override void run_initializeAccount()
      {
***************
*** 87,138 ****
       
      }
!     */
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCCTO(this.tickerGroupID,
!         this.numberOfEligibleTickers,
!         this.numberOfTickersToBeChosen,
!         this.numDaysForOptimizationPeriod,
!         this.account,
!         this.generationNumberForGeneticOptimizer, 
!         this.populationSizeForGeneticOptimizer,
!         this.benchmark,
!         this.targetReturn,
!         this.portfolioType, this.numDaysBetweenEachOptimization);
!     }
!     
!     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();
!     }
  	}
  }
--- 87,143 ----
       
      }
! 		 */
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCCTO(this.tickerGroupID,
! 			                                                           this.numberOfEligibleTickers,
! 			                                                           this.numberOfTickersToBeChosen,
! 			                                                           this.numDaysForOptimizationPeriod,
! 			                                                           this.account,
! 			                                                           this.generationNumberForGeneticOptimizer,
! 			                                                           this.populationSizeForGeneticOptimizer,
! 			                                                           this.benchmark,
! 			                                                           this.targetReturn,
! 			                                                           this.portfolioType, this.numDaysBetweenEachOptimization);
! 		}
! 		
! 		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();
! 		}
  	}
  }

Index: RunEfficientOTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTCPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunEfficientOTCPortfolio.cs	14 Aug 2008 23:29:40 -0000	1.4
--- RunEfficientOTCPortfolio.cs	29 Sep 2008 21:19:16 -0000	1.5
***************
*** 3,7 ****
  
  RunEfficientOTCPortfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientOTCPortfolio.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.Slippage;
  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.Slippage;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 47,146 ****
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close 
  	/// the efficient open to close daily portfolio
  	/// </summary>
!   [Serializable]
!   public class RunEfficientOTCPortfolio : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;
  		
!     public RunEfficientOTCPortfolio(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 = "OpenCloseScriptsSharpeRatioWithCoeff";
!       //this.ScriptName = "OTC_SharpeRatioWithCoeff_OnlyMutation";
!       //this.ScriptName = "OpenCloseScriptsSharpeRatio";
!       this.ScriptName = "OTC_SharpeRatioNoCoeff";
  			//this.ScriptName = "OTC_ExpectancyScoreNoCoeff";
!       //this.ScriptName = "OpenCloseScripts";
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
-     
-         
-     // delete remark delimitations for having ib commission 
-     // and a fixed percentage calculation of slippage
-     protected override void run_initializeAccount()
-     {
-       this.account = new Account(this.ScriptName,
-                                  this.endOfDayTimer ,
-                                  new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
-                                                                     this.historicalQuoteProvider ) ,
-                                  new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
-                                                                      this.historicalQuoteProvider)//,
-                                                                     // new FixedPercentageSlippageManager(this.historicalQuoteProvider,
-                                                                     // this.endOfDayTimer,0.08)), 
-                                  );                                    
-                                  //new IBCommissionManager());
-      
-     }
-     
-     
-     protected override void run_initializeEndOfDayTimerHandler()
-     {
-       this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTC(this.tickerGroupID,
-         this.numberOfEligibleTickers,
-         this.numberOfTickersToBeChosen,
-         10,
-         this.numDaysForOptimizationPeriod,
-         this.account,
-         this.generationNumberForGeneticOptimizer, 
-         this.populationSizeForGeneticOptimizer,
-         this.benchmark,
-         this.targetReturn,
-         this.portfolioType, this.numDaysBetweenEachOptimization);
-     }
-     
-     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 );
-     }
-     
-     //necessary far calling RunEfficientPortfolio.Run()
-     //in classes that inherit from this class
-     public override void Run()
-     {
-       base.Run();
-     }
  	}
  }
--- 47,151 ----
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close
  	/// the efficient open to close daily portfolio
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientOTCPortfolio : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
  		
! 		public RunEfficientOTCPortfolio(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 = "OpenCloseScriptsSharpeRatioWithCoeff";
! 			//this.ScriptName = "OTC_SharpeRatioWithCoeff_OnlyMutation";
! 			//this.ScriptName = "OpenCloseScriptsSharpeRatio";
! 			this.ScriptName = "OTC_SharpeRatioNoCoeff";
  			//this.ScriptName = "OTC_ExpectancyScoreNoCoeff";
! 			//this.ScriptName = "OpenCloseScripts";
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 		}
! 		
! 		
! 		// delete remark delimitations for having ib commission
! 		// and a fixed percentage calculation of slippage
! 		protected override void run_initializeAccount()
! 		{
! 			this.account = new Account(this.ScriptName,
! 			                           this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider)//,
! 			                           // new FixedPercentageSlippageManager(this.historicalQuoteProvider,
! 			                           // this.endOfDayTimer,0.08)),
! 			                          );
! 			//new IBCommissionManager());
! 			
! 		}
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTC(this.tickerGroupID,
! 			                                                        this.numberOfEligibleTickers,
! 			                                                        this.numberOfTickersToBeChosen,
! 			                                                        10,
! 			                                                        this.numDaysForOptimizationPeriod,
! 			                                                        this.account,
! 			                                                        this.generationNumberForGeneticOptimizer,
! 			                                                        this.populationSizeForGeneticOptimizer,
! 			                                                        this.benchmark,
! 			                                                        this.targetReturn,
! 			                                                        this.portfolioType, this.numDaysBetweenEachOptimization);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalRawQuoteProvider();
! 			//      this.historicalQuoteProvider = 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 );
! 		}
! 		
! 		//necessary far calling RunEfficientPortfolio.Run()
! 		//in classes that inherit from this class
! 		public override void Run()
! 		{
! 			base.Run();
  		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging FLTPLogItem.cs, 1.1, 1.2 FLTPSimpleStrategy.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-serv17497/FixedLengthTwoPhases/Logging

Modified Files:
	FLTPLogItem.cs FLTPSimpleStrategy.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: FLTPLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging/FLTPLogItem.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** FLTPLogItem.cs	16 Aug 2008 19:13:54 -0000	1.1
--- FLTPLogItem.cs	29 Sep 2008 21:19:30 -0000	1.2
***************
*** 63,67 ****
  		/// <param name="numberOfEligibleTickers"></param>
  		public FLTPLogItem(
! 			EndOfDayDateTime now ,
  			TestingPositions[] bestTestingPositionsInSample ,
  			int numberOfInSampleDays ,
--- 63,67 ----
  		/// <param name="numberOfEligibleTickers"></param>
  		public FLTPLogItem(
! 			DateTime now ,
  			TestingPositions[] bestTestingPositionsInSample ,
  			int numberOfInSampleDays ,
***************
*** 90,94 ****
  			int currentIndex ,
  			TestingPositions testingPositions ,
! 			EndOfDayDateTime now )
  		{
  			this.setTestersForFLTPTestingPositions_checkParameters(
--- 90,94 ----
  			int currentIndex ,
  			TestingPositions testingPositions ,
! 			DateTime now )
  		{
  			this.setTestersForFLTPTestingPositions_checkParameters(
***************
*** 102,106 ****
  		private void setTestersForFLTPTestingPositions(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			EndOfDayDateTime now )
  		{
  			this.testersForBestTestingPositionsInSample =
--- 102,106 ----
  		private void setTestersForFLTPTestingPositions(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime now )
  		{
  			this.testersForBestTestingPositionsInSample =

Index: FLTPSimpleStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging/FLTPSimpleStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** FLTPSimpleStrategy.cs	16 Aug 2008 19:14:44 -0000	1.1
--- FLTPSimpleStrategy.cs	29 Sep 2008 21:19:30 -0000	1.2
***************
*** 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;
***************
*** 41,52 ****
  	public class FLTPSimpleStrategy : SimpleStrategy
  	{
  		public FLTPSimpleStrategy(
  			WeightedPositions weightedPositions ,
  			IIntervalsSelector intervalsSelector ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ) :
  			base(
  				weightedPositions ,
  				intervalsSelector ,
! 				historicalQuoteProvider )
  		{
  		}
--- 41,60 ----
  	public class FLTPSimpleStrategy : SimpleStrategy
  	{
+ 		public override bool StopBacktestIfMaxRunningHoursHasBeenReached
+ 		{
+ 			get
+ 			{
+ 				return true;
+ 			}
+ 		}
+ 
  		public FLTPSimpleStrategy(
  			WeightedPositions weightedPositions ,
  			IIntervalsSelector intervalsSelector ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ) :
  			base(
  				weightedPositions ,
  				intervalsSelector ,
! 				historicalMarketValueProvider )
  		{
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination FixedLevelOscillatorBiasedPVOStrategy.cs, 1.6, 1.7 FixedLevelOscillatorPVOStrategy.cs, 1.8, 1.9 FixedPeriodOscillatorStrategy.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17302/LinearCombination

Modified Files:
	FixedLevelOscillatorBiasedPVOStrategy.cs 
	FixedLevelOscillatorPVOStrategy.cs 
	FixedPeriodOscillatorStrategy.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: FixedPeriodOscillatorStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedPeriodOscillatorStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** FixedPeriodOscillatorStrategy.cs	29 Aug 2007 09:43:36 -0000	1.3
--- FixedPeriodOscillatorStrategy.cs	29 Sep 2008 21:19:09 -0000	1.4
***************
*** 3,7 ****
  
  FixedPeriodOscillatorStrategy.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  FixedPeriodOscillatorStrategy.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;
***************
*** 37,134 ****
  	/// </summary>
  	[Serializable]
! 	public class FixedPeriodOscillatorStrategy : EndOfDayTimerHandler, IEndOfDayStrategy
  	{
  		private int daysForRightPeriod;
!     private int daysForReversalPeriod;
!     //length for movement upwards or downwards of the given tickers
!     private int daysCounterWithRightPositions;
!     private int daysCounterWithReversalPositions;
!     private bool isReversalPeriodOn = false;
!     private int numOfClosesElapsed = 0;
!      
  
  		public FixedPeriodOscillatorStrategy( Account account ,
! 			                                     WeightedPositions weightedPositions,
!                                            int daysForRightPeriod,
!                                            int daysForReversalPeriod):
!     																		 base("", 0, 
!                                 weightedPositions.Count, 0, account,
!                                 0,
!                                 0,
!                                 "^GSPC", 0.0,
!                                 PortfolioType.ShortAndLong)
  		{
  			this.account = account;
  			this.chosenWeightedPositions = weightedPositions;
!       this.daysForRightPeriod = daysForRightPeriod;
!       this.daysForReversalPeriod = daysForReversalPeriod;
  		}
! 				
!     public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
!     	
  		}
- 		    
-     private void marketCloseEventHandler_updateCounters(bool isTheFirstClose)
-     {
-       if(this.account.Portfolio.Count > 0 && isTheFirstClose == false)
-       {
-         if(this.isReversalPeriodOn)
-           this.daysCounterWithReversalPositions++ ;
-         else
-           this.daysCounterWithRightPositions++ ;
-       }
-     }
  
! 		public override void MarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       bool firstClose = false;
!       if( (this.numOfClosesElapsed + 1) >= 
!           (this.daysForRightPeriod + this.daysForReversalPeriod) )
!       //strategy can now be applied because it is tuned with the optimization's results
!       {
!         if (this.account.Transactions.Count == 0)
!           // it is the first close
!         {
!           firstClose = true;
!           this.openPositions();
!         }
  
!         this.marketCloseEventHandler_updateCounters(firstClose);
  
!         if(firstClose == false && this.isReversalPeriodOn == false &&
!            this.daysCounterWithRightPositions == this.daysForRightPeriod)
!       
!         {
!         	AccountManager.ReversePositions(this.account);
!           this.isReversalPeriodOn = true;
!         }
!       
!         if(this.isReversalPeriodOn == true &&
!            this.daysCounterWithReversalPositions == this.daysForReversalPeriod)
!       
!         {
!           AccountManager.ReversePositions(this.account);
!           this.isReversalPeriodOn = false;
!         }
!       }
!       
!       this.numOfClosesElapsed++;
  
  		}
  		
!     public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       
  		}
!     
!     public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       
  		}
  	}
  }
--- 37,148 ----
  	/// </summary>
  	[Serializable]
! 	public class FixedPeriodOscillatorStrategy :
! 		QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler ,
! 	IStrategy
  	{
  		private int daysForRightPeriod;
! 		private int daysForReversalPeriod;
! 		//length for movement upwards or downwards of the given tickers
! 		private int daysCounterWithRightPositions;
! 		private int daysCounterWithReversalPositions;
! 		private bool isReversalPeriodOn = false;
! 		private int numOfClosesElapsed = 0;
! 		
  
  		public FixedPeriodOscillatorStrategy( Account account ,
! 		                                     WeightedPositions weightedPositions,
! 		                                     int daysForRightPeriod,
! 		                                     int daysForReversalPeriod):
! 			base("", 0,
! 			     weightedPositions.Count, 0, account,
! 			     0,
! 			     0,
! 			     "^GSPC", 0.0,
! 			     PortfolioType.ShortAndLong)
  		{
  			this.account = account;
  			this.chosenWeightedPositions = weightedPositions;
! 			this.daysForRightPeriod = daysForRightPeriod;
! 			this.daysForReversalPeriod = daysForReversalPeriod;
  		}
! 		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			
! 		}
! 		
! 		private void marketCloseEventHandler_updateCounters(bool isTheFirstClose)
! 		{
! 			if(this.account.Portfolio.Count > 0 && isTheFirstClose == false)
! 			{
! 				if(this.isReversalPeriodOn)
! 					this.daysCounterWithReversalPositions++ ;
! 				else
! 					this.daysCounterWithRightPositions++ ;
! 			}
  		}
  
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{
! 			bool firstClose = false;
! 			if( (this.numOfClosesElapsed + 1) >=
! 			   (this.daysForRightPeriod + this.daysForReversalPeriod) )
! 				//strategy can now be applied because it is tuned with the optimization's results
! 			{
! 				if (this.account.Transactions.Count == 0)
! 					// it is the first close
! 				{
! 					firstClose = true;
! 					this.openPositions();
! 				}
  
! 				this.marketCloseEventHandler_updateCounters(firstClose);
  
! 				if(firstClose == false && this.isReversalPeriodOn == false &&
! 				   this.daysCounterWithRightPositions == this.daysForRightPeriod)
! 					
! 				{
! 					AccountManager.ReversePositions(this.account);
! 					this.isReversalPeriodOn = true;
! 				}
! 				
! 				if(this.isReversalPeriodOn == true &&
! 				   this.daysCounterWithReversalPositions == this.daysForReversalPeriod)
! 					
! 				{
! 					AccountManager.ReversePositions(this.account);
! 					this.isReversalPeriodOn = false;
! 				}
! 			}
! 			
! 			this.numOfClosesElapsed++;
  
  		}
  		
! 		protected override void oneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                            DateTime dateTime)
  		{
! 			
  		}
! 		
! 		public void FiveMinutesBeforeMarketCloseEventHandler( 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 );
  		}
+ 
  	}
  }

Index: FixedLevelOscillatorBiasedPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorBiasedPVOStrategy.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** FixedLevelOscillatorBiasedPVOStrategy.cs	19 Aug 2008 17:11:29 -0000	1.6
--- FixedLevelOscillatorBiasedPVOStrategy.cs	29 Sep 2008 21:19:08 -0000	1.7
***************
*** 43,47 ****
  	/// </summary>
  	[Serializable]
! 	public class FixedLevelOscillatorBiasedPVOStrategy : EndOfDayTimerHandlerBiasedPVO, IEndOfDayStrategy
  	{
  		
--- 43,48 ----
  	/// </summary>
  	[Serializable]
! 	public class FixedLevelOscillatorBiasedPVOStrategy :
! 		EndOfDayTimerHandlerBiasedPVO, IStrategy
  	{
  		
***************
*** 74,79 ****
  		}
  		
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  		}
--- 75,80 ----
  		}
  		
! 		protected void fiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{
  		}
***************
*** 107,112 ****
  		}
  
! 		public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                         EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  			
--- 108,113 ----
  		}
  
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{
  			

Index: FixedLevelOscillatorPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorPVOStrategy.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** FixedLevelOscillatorPVOStrategy.cs	12 Mar 2008 22:09:04 -0000	1.8
--- FixedLevelOscillatorPVOStrategy.cs	29 Sep 2008 21:19:08 -0000	1.9
***************
*** 3,7 ****
  
  FixedLevelOscillatorPVOStrategy.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  FixedLevelOscillatorPVOStrategy.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;
***************
*** 35,84 ****
  {
  	/// <summary>
! 	/// Fixed Level Oscillators 
  	/// Portfolio Value Oscillator strategy
  	/// </summary>
  	[Serializable]
! 	public class FixedLevelOscillatorPVOStrategy : EndOfDayTimerHandlerPVO, IEndOfDayStrategy
  	{
! 				
  		public FixedLevelOscillatorPVOStrategy( Account accountPVO ,
! 			                                     WeightedPositions chosenWeightedPositions,
!                                            double oversoldThreshold,
!                                            double overboughtThreshold,
!                                            int numDaysForOscillatingPeriod):
!                                           base("", 0, chosenWeightedPositions.Count, 0,
!                                           accountPVO,                                
!                                           0,0,
!                                           "^GSPC",
!                                           0, 0, 0, 0, 0, 0, false, false, 0, 
!                                           PortfolioType.ShortAndLong, 0.5, 0.5)
  		{
  			this.chosenWeightedPositions = chosenWeightedPositions;
!       this.currentOversoldThreshold = oversoldThreshold;
!       this.currentOverboughtThreshold = overboughtThreshold;
!       this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
  		}
  		
!     public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
!       EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!     }
  
!     protected override double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
!     {
!       double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod >= 0)
!       //if there are sufficient data for computing currentChosenWeightedPositionsReturn
!       //that's why the method has been overriden
!       	returnValue = 
!       		 base.getCurrentChosenWeightedPositionsReturn(timer);
!       
!       return returnValue;
!     }   
  
!     public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       
  		}
  	}
--- 35,84 ----
  {
  	/// <summary>
! 	/// Fixed Level Oscillators
  	/// Portfolio Value Oscillator strategy
  	/// </summary>
  	[Serializable]
! 	public class FixedLevelOscillatorPVOStrategy : EndOfDayTimerHandlerPVO, IStrategy
  	{
! 		
  		public FixedLevelOscillatorPVOStrategy( Account accountPVO ,
! 		                                       WeightedPositions chosenWeightedPositions,
! 		                                       double oversoldThreshold,
! 		                                       double overboughtThreshold,
! 		                                       int numDaysForOscillatingPeriod):
! 			base("", 0, chosenWeightedPositions.Count, 0,
! 			     accountPVO,
! 			     0,0,
! 			     "^GSPC",
! 			     0, 0, 0, 0, 0, 0, false, false, 0,
! 			     PortfolioType.ShortAndLong, 0.5, 0.5)
  		{
  			this.chosenWeightedPositions = chosenWeightedPositions;
! 			this.currentOversoldThreshold = oversoldThreshold;
! 			this.currentOverboughtThreshold = overboughtThreshold;
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
  		}
  		
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     DateTime dateTime)
! 		{
! 		}
  
! 		protected override double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
! 		{
! 			double returnValue = 999.0;
! 			if(timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod >= 0)
! 				//if there are sufficient data for computing currentChosenWeightedPositionsReturn
! 				//that's why the method has been overriden
! 				returnValue =
! 					base.getCurrentChosenWeightedPositionsReturn(timer);
! 			
! 			return returnValue;
! 		}
  
! 		protected override void oneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                         DateTime dateTime)
  		{
! 			
  		}
  	}

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

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

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

Modified Files:
	IWFLagWeightedPositionsChooser.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: IWFLagWeightedPositionsChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/IWFLagWeightedPositionsChooser.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** IWFLagWeightedPositionsChooser.cs	28 Oct 2007 18:46:57 -0000	1.3
--- IWFLagWeightedPositionsChooser.cs	29 Sep 2008 21:19:30 -0000	1.4
***************
*** 40,44 ****
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
! 			EndOfDayDateTime now );
  		WFLagWeightedPositions WFLagChosenPositions { get; }
  		int NumberOfDrivingPositions { get; }
--- 40,44 ----
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
! 			DateTime now );
  		WFLagWeightedPositions WFLagChosenPositions { get; }
  		int NumberOfDrivingPositions { get; }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientCTCPortfolio.cs, 1.13, 1.14 RunEfficientCTCWeeklyPortfolio.cs, 1.2, 1.3 RunEfficientCTO_WorstAtDayPortfolio.cs, 1.1, 1.2 RunEfficientCTOPortfolio.cs, 1.27, 1.28

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16912

Modified Files:
	RunEfficientCTCPortfolio.cs RunEfficientCTCWeeklyPortfolio.cs 
	RunEfficientCTO_WorstAtDayPortfolio.cs 
	RunEfficientCTOPortfolio.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: RunEfficientCTCWeeklyPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTCWeeklyPortfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunEfficientCTCWeeklyPortfolio.cs	18 Sep 2005 21:13:36 -0000	1.2
--- RunEfficientCTCWeeklyPortfolio.cs	29 Sep 2008 21:18:58 -0000	1.3
***************
*** 3,7 ****
  
  RunEfficientCTCWeeklyPorfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientCTCWeeklyPorfolio.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;
***************
*** 54,118 ****
  	public class RunEfficientCTCWeeklyPortfolio : RunEfficientPortfolio
  	{
!     protected int numDaysForReturnCalculation;
!     protected double maxAcceptableCloseToCloseDrawdown;
  		
!     public RunEfficientCTCWeeklyPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate,
!                                    	int numDaysForReturnCalculation, 
!                                    	double targetReturn,
!                                     PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double maxRunningHours):
! 																base(tickerGroupID, numberOfEligibleTickers, 
!                                     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     startDate, endDate, targetReturn,
!                                    	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "CloseToCloseScriptsWeeklyEfficientPortfolio";
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
  		}
  
!     #region auxiliary overriden methods for Run
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTCWeekly(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
!     	                                                        this.account,
!     	                                                        this.generationNumberForGeneticOptimizer,
!     	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
!     	                                                        this.numDaysForReturnCalculation,
!     	                                                        this.targetReturn,
!     	                                                       	this.portfolioType, this.maxAcceptableCloseToCloseDrawdown);
!     }
!     
!     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);
!     }
  
!     
!     #endregion 
  	}
  }
--- 54,123 ----
  	public class RunEfficientCTCWeeklyPortfolio : RunEfficientPortfolio
  	{
! 		protected int numDaysForReturnCalculation;
! 		protected double maxAcceptableCloseToCloseDrawdown;
  		
! 		public RunEfficientCTCWeeklyPortfolio(string tickerGroupID, int numberOfEligibleTickers,
! 		                                      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                      int generationNumberForGeneticOptimizer,
! 		                                      int populationSizeForGeneticOptimizer, string benchmark,
! 		                                      DateTime startDate, DateTime endDate,
! 		                                      int numDaysForReturnCalculation,
! 		                                      double targetReturn,
! 		                                      PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                                      double maxRunningHours):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, targetReturn,
! 			     portfolioType, maxRunningHours)
  		{
! 			this.ScriptName = "CloseToCloseScriptsWeeklyEfficientPortfolio";
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
  		}
  
! 		#region auxiliary overriden methods for Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTCWeekly(this.tickerGroupID, this.numberOfEligibleTickers,
! 			                                                              this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
! 			                                                              this.account,
! 			                                                              this.generationNumberForGeneticOptimizer,
! 			                                                              this.populationSizeForGeneticOptimizer, this.benchmark,
! 			                                                              this.numDaysForReturnCalculation,
! 			                                                              this.targetReturn,
! 			                                                              this.portfolioType, this.maxAcceptableCloseToCloseDrawdown);
! 		}
! 		
! 		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);
! 		}
! 
! 		
! 		#endregion
  	}
  }

Index: RunEfficientCTO_WorstAtDayPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTO_WorstAtDayPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunEfficientCTO_WorstAtDayPortfolio.cs	30 Jun 2007 18:52:48 -0000	1.1
--- RunEfficientCTO_WorstAtDayPortfolio.cs	29 Sep 2008 21:18:59 -0000	1.2
***************
*** 3,7 ****
  
  RunEfficientCTOPorfolio_WorstAtDay.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientCTOPorfolio_WorstAtDay.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.Slippage;
  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.Slippage;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 47,144 ****
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close 
  	/// the efficient close to open daily portfolio
  	/// </summary>
!   [Serializable]
!   public class RunEfficientCTOPortfolio_WorstAtDay : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;
!     protected int numOfGenomesForOTCScanning;
!     public RunEfficientCTOPortfolio_WorstAtDay(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,
!       int numOfGenomesForOTCScanning):
!       base(tickerGroupID, numberOfEligibleTickers, 
!       numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!       generationNumberForGeneticOptimizer,
!       populationSizeForGeneticOptimizer, benchmark,
!       startDate, endDate, targetReturn,
!       portfolioType, maxRunningHours)
!     {
!       this.ScriptName = "CTOWorstAtDay_NoCoeff_SharpeOTCCTO";
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.numOfGenomesForOTCScanning = numOfGenomesForOTCScanning;
!     }
!     
!         
!     // delete remark delimitations for having ib commission 
!     // and a fixed percentage calculation of slippage
!     protected override void run_initializeAccount()
!     {
!       this.account = new Account(this.ScriptName,
!                                  this.endOfDayTimer ,
!                                  new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
!                                                                     this.historicalQuoteProvider ) ,
!                                  new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
!                                                                      this.historicalQuoteProvider));
!                                                                     //, new FixedPercentageSlippageManager(this.historicalQuoteProvider,
!                                                                                                        // this.endOfDayTimer,0.08)),
!                                  //new IBCommissionManager());
!      
!     }
!     
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTO_WorstAtDay(this.tickerGroupID,
!                                           this.numberOfEligibleTickers,
!                                           this.numberOfTickersToBeChosen,
!                                           this.numDaysForOptimizationPeriod,
!                                           this.account,
!                                           this.generationNumberForGeneticOptimizer, 
!                                           this.populationSizeForGeneticOptimizer,
!                                           this.benchmark,
!                                           this.targetReturn,
!                                           this.portfolioType,
!                                           this.numDaysBetweenEachOptimization,
!                                           this.numOfGenomesForOTCScanning);
!     }
!     
!     protected override void run_initializeHistoricalQuoteProvider()
!     {
!       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 );
!     }
!     
!     
!     
!     //necessary far calling RunEfficientPortfolio.Run()
!     //in classes that inherit from this class
!     public override void Run()
!     {
!       base.Run();
!     }
  	}
  }
--- 47,149 ----
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close
  	/// the efficient close to open daily portfolio
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientCTOPortfolio_WorstAtDay : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
! 		protected int numOfGenomesForOTCScanning;
! 		public RunEfficientCTOPortfolio_WorstAtDay(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,
! 		                                           int numOfGenomesForOTCScanning):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, targetReturn,
! 			     portfolioType, maxRunningHours)
! 		{
! 			this.ScriptName = "CTOWorstAtDay_NoCoeff_SharpeOTCCTO";
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.numOfGenomesForOTCScanning = numOfGenomesForOTCScanning;
! 		}
! 		
! 		
! 		// delete remark delimitations for having ib commission
! 		// and a fixed percentage calculation of slippage
! 		protected override void run_initializeAccount()
! 		{
! 			this.account = new Account(this.ScriptName,
! 			                           this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider));
! 			//, new FixedPercentageSlippageManager(this.historicalQuoteProvider,
! 			// this.endOfDayTimer,0.08)),
! 			//new IBCommissionManager());
! 			
! 		}
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTO_WorstAtDay(this.tickerGroupID,
! 			                                                                   this.numberOfEligibleTickers,
! 			                                                                   this.numberOfTickersToBeChosen,
! 			                                                                   this.numDaysForOptimizationPeriod,
! 			                                                                   this.account,
! 			                                                                   this.generationNumberForGeneticOptimizer,
! 			                                                                   this.populationSizeForGeneticOptimizer,
! 			                                                                   this.benchmark,
! 			                                                                   this.targetReturn,
! 			                                                                   this.portfolioType,
! 			                                                                   this.numDaysBetweenEachOptimization,
! 			                                                                   this.numOfGenomesForOTCScanning);
! 		}
! 		
! 		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.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 );
! 		}
! 		
! 		
! 		
! 		//necessary far calling RunEfficientPortfolio.Run()
! 		//in classes that inherit from this class
! 		public override void Run()
! 		{
! 			base.Run();
! 		}
  	}
  }

Index: RunEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTCPortfolio.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** RunEfficientCTCPortfolio.cs	28 Dec 2005 23:29:39 -0000	1.13
--- RunEfficientCTCPortfolio.cs	29 Sep 2008 21:18:58 -0000	1.14
***************
*** 3,7 ****
  
  RunEfficientCTCPorfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientCTCPorfolio.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;
***************
*** 47,51 ****
  	/// <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
--- 47,51 ----
  	/// <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
***************
*** 59,133 ****
  	public class RunEfficientCTCPortfolio : RunEfficientPortfolio
  	{
!     protected int numDayOfPortfolioLife;
!     protected int numDaysWithNoPositions;
!     protected int numDaysForReturnCalculation;
!     protected double maxAcceptableCloseToCloseDrawdown;
!     protected int numDaysBetweenEachOptimization;
  		
!     public RunEfficientCTCPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, 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,
!                                     startDate, endDate, targetReturn,
!                                    	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "CloseToCloseScriptsDiscontinuosWithSharpe";
!       //this.ScriptName = "CloseToCloseScriptsDiscontinuosWithCoeff";
!       this.numDayOfPortfolioLife = numDaysOfPortfolioLife;
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.numDaysWithNoPositions = numDaysWithNoPositions;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
!     #region auxiliary overriden methods for Run
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTC(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);
!     }
!     
!     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);
!     }
  
!     
!     #endregion 
  	}
  }
--- 59,144 ----
  	public class RunEfficientCTCPortfolio : RunEfficientPortfolio
  	{
! 		protected int numDayOfPortfolioLife;
! 		protected int numDaysWithNoPositions;
! 		protected int numDaysForReturnCalculation;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		protected int numDaysBetweenEachOptimization;
  		
! 		public RunEfficientCTCPortfolio(string tickerGroupID, int numberOfEligibleTickers,
! 		                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                int generationNumberForGeneticOptimizer,
! 		                                int populationSizeForGeneticOptimizer, string benchmark,
! 		                                DateTime startDate, 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,
! 			     startDate, endDate, targetReturn,
! 			     portfolioType, maxRunningHours)
  		{
! 			this.ScriptName = "CloseToCloseScriptsDiscontinuosWithSharpe";
! 			//this.ScriptName = "CloseToCloseScriptsDiscontinuosWithCoeff";
! 			this.numDayOfPortfolioLife = numDaysOfPortfolioLife;
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.numDaysWithNoPositions = numDaysWithNoPositions;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
! 		#region auxiliary overriden methods for Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTC(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);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			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.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //			
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! //			
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
! 		}
! 
! 		
! 		#endregion
  	}
  }

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.27
retrieving revision 1.28
diff -C2 -d -r1.27 -r1.28
*** RunEfficientCTOPortfolio.cs	14 May 2006 18:21:47 -0000	1.27
--- RunEfficientCTOPortfolio.cs	29 Sep 2008 21:18:59 -0000	1.28
***************
*** 3,7 ****
  
  RunEfficientCTOPorfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientCTOPorfolio.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.Slippage;
  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.Slippage;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 47,140 ****
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close 
  	/// the efficient close to open daily portfolio
  	/// </summary>
!   [Serializable]
!   public class RunEfficientCTOPortfolio : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;	
!     public RunEfficientCTOPortfolio(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 = "CloseToOpenScriptsNoCoeffSharpeRatioCombined";
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!     }
!     
!         
!     // delete remark delimitations for having ib commission 
!     // and a fixed percentage calculation of slippage
!     protected override void run_initializeAccount()
!     {
!       this.account = new Account(this.ScriptName,
!                                  this.endOfDayTimer ,
!                                  new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
!                                                                     this.historicalQuoteProvider ) ,
!                                  new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
!                                                                      this.historicalQuoteProvider));
!                                                                     //, new FixedPercentageSlippageManager(this.historicalQuoteProvider,
!                                                                                                        // this.endOfDayTimer,0.08)),
!                                  //new IBCommissionManager());
!      
!     }
!     
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTO(this.tickerGroupID,
!                                           this.numberOfEligibleTickers,
!                                           this.numberOfTickersToBeChosen,
!                                           this.numDaysForOptimizationPeriod,
!                                           this.account,
!                                           this.generationNumberForGeneticOptimizer, 
!                                           this.populationSizeForGeneticOptimizer,
!                                           this.benchmark,
!                                           this.targetReturn,
!                                           this.portfolioType,
!                                           this.numDaysBetweenEachOptimization);
!     }
!     
!     protected override void run_initializeHistoricalQuoteProvider()
!     {
!       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 );
!     }
!     
!     
!     
!     //necessary far calling RunEfficientPortfolio.Run()
!     //in classes that inherit from this class
!     public override void Run()
!     {
!       base.Run();
!     }
  	}
  }
--- 47,145 ----
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close
  	/// the efficient close to open daily portfolio
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientCTOPortfolio : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
! 		public RunEfficientCTOPortfolio(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 = "CloseToOpenScriptsNoCoeffSharpeRatioCombined";
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 		}
! 		
! 		
! 		// delete remark delimitations for having ib commission
! 		// and a fixed percentage calculation of slippage
! 		protected override void run_initializeAccount()
! 		{
! 			this.account = new Account(this.ScriptName,
! 			                           this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer(this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider));
! 			//, new FixedPercentageSlippageManager(this.historicalQuoteProvider,
! 			// this.endOfDayTimer,0.08)),
! 			//new IBCommissionManager());
! 			
! 		}
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerCTO(this.tickerGroupID,
! 			                                                        this.numberOfEligibleTickers,
! 			                                                        this.numberOfTickersToBeChosen,
! 			                                                        this.numDaysForOptimizationPeriod,
! 			                                                        this.account,
! 			                                                        this.generationNumberForGeneticOptimizer,
! 			                                                        this.populationSizeForGeneticOptimizer,
! 			                                                        this.benchmark,
! 			                                                        this.targetReturn,
! 			                                                        this.portfolioType,
! 			                                                        this.numDaysBetweenEachOptimization);
! 		}
! 		
! 		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.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 );
! 		}
! 		
! 		
! 		
! 		//necessary far calling RunEfficientPortfolio.Run()
! 		//in classes that inherit from this class
! 		public override void Run()
! 		{
! 			base.Run();
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLengthTwoPhasesMain.cs, 1.10, 1.11 FixedLengthTwoPhasesStrategy.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17302/FixedLengthTwoPhases

Modified Files:
	FixedLengthTwoPhasesMain.cs FixedLengthTwoPhasesStrategy.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: FixedLengthTwoPhasesStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesStrategy.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** FixedLengthTwoPhasesStrategy.cs	16 Aug 2008 19:35:59 -0000	1.8
--- FixedLengthTwoPhasesStrategy.cs	29 Sep 2008 21:19:08 -0000	1.9
***************
*** 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;
***************
*** 44,47 ****
--- 44,48 ----
  	/// first phase, then goes with the opposite for the second phase
  	/// </summary>
+ 	[Serializable]
  	public class FixedLengthTwoPhasesStrategy :
  		SymmetricEndOfDayStrategyForBacktester
***************
*** 66,70 ****
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ,
  			RankBasedOutOfSampleChooser outOfSampleChooser
  		) :
--- 67,71 ----
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
  			RankBasedOutOfSampleChooser outOfSampleChooser
  		) :
***************
*** 76,80 ****
  				eligiblesSelector ,
  				inSampleChooser ,
! 				historicalQuoteProvider )
  		{
  			this.outOfSampleChooser = outOfSampleChooser;
--- 77,81 ----
  				eligiblesSelector ,
  				inSampleChooser ,
! 				historicalMarketValueProvider )
  		{
  			this.outOfSampleChooser = outOfSampleChooser;
***************
*** 97,102 ****
  			bool arePositionsToBeClosed = (
  				( this.Account.Portfolio.Count > 0 ) &&
! 				( this.now().IsEqualTo(
! 					this.lastIntervalAppended().Begin ) ) );
  			return arePositionsToBeClosed;
  		}
--- 98,103 ----
  			bool arePositionsToBeClosed = (
  				( this.Account.Portfolio.Count > 0 ) &&
! 				( this.now() ==
! 				 this.lastIntervalAppended().Begin ) );
  			return arePositionsToBeClosed;
  		}
***************
*** 114,119 ****
  		{
  			bool beginsTheLastInterval =
! 				( this.now().IsEqualTo(
! 					this.lastIntervalAppended().Begin ) );
  			bool lastIntervalIsALongPeriod =
  				this.lastAppendedIntervalIsALongPeriod();
--- 115,120 ----
  		{
  			bool beginsTheLastInterval =
! 				( this.now() ==
! 				 this.lastIntervalAppended().Begin );
  			bool lastIntervalIsALongPeriod =
  				this.lastAppendedIntervalIsALongPeriod();
***************
*** 135,139 ****
  			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
! 				this.bestTestingPositionsInSample );
  			return weightedPositions;
  		}
--- 136,140 ----
  			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
! 					this.bestTestingPositionsInSample );
  			return weightedPositions;
  		}
***************
*** 309,318 ****
  //				new FixedLengthTwoPhasesLogItem( this.now() );
  //			logItem.BestWeightedPositionsInSample = this.bestWeightedPositionsInSample;
! ////				this.wFLagWeightedPositionsChooser.WFLagChosenPositions ,
! ////				this.wFLagWeightedPositionsChooser.GenerationWhenChosenPositionsWereFound ,
! ////				this.now().DateTime );
! ////			this.NewChosenPositions(
! ////				this , new WFLagNewChosenPositionsEventArgs(
! ////				wFLagLogItem ) );
  //		}
  //		public void OneHourAfterMarketCloseEventHandler(
--- 310,319 ----
  //				new FixedLengthTwoPhasesLogItem( this.now() );
  //			logItem.BestWeightedPositionsInSample = this.bestWeightedPositionsInSample;
! 		////				this.wFLagWeightedPositionsChooser.WFLagChosenPositions ,
! 		////				this.wFLagWeightedPositionsChooser.GenerationWhenChosenPositionsWereFound ,
! 		////				this.now().DateTime );
! 		////			this.NewChosenPositions(
! 		////				this , new WFLagNewChosenPositionsEventArgs(
! 		////				wFLagLogItem ) );
  //		}
  //		public void OneHourAfterMarketCloseEventHandler(

Index: FixedLengthTwoPhasesMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** FixedLengthTwoPhasesMain.cs	18 Aug 2008 21:13:20 -0000	1.10
--- FixedLengthTwoPhasesMain.cs	29 Sep 2008 21:19:08 -0000	1.11
***************
*** 54,60 ****
  		private Benchmark benchmark;
  		private int numberOfPortfolioPositions;
! 		private IHistoricalQuoteProvider historicalQuoteProviderForInSample;
! 		private IHistoricalQuoteProvider
! 			historicalQuoteProviderForTheBacktesterAccount;
  
  		public FixedLengthTwoPhasesMain()
--- 54,60 ----
  		private Benchmark benchmark;
  		private int numberOfPortfolioPositions;
! 		private HistoricalMarketValueProvider historicalMarketValueProviderForInSample;
! 		private HistoricalMarketValueProvider
! 			historicalMarketValueProviderForTheBacktesterAccount;
  
  		public FixedLengthTwoPhasesMain()
***************
*** 62,68 ****
  			this.benchmark = new Benchmark( "CCE" );
  			this.numberOfPortfolioPositions = 2;
! 			this.historicalQuoteProviderForInSample =
  				new HistoricalRawQuoteProvider();
! 			this.historicalQuoteProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
  		}
--- 62,68 ----
  			this.benchmark = new Benchmark( "CCE" );
  			this.numberOfPortfolioPositions = 2;
! 			this.historicalMarketValueProviderForInSample =
  				new HistoricalRawQuoteProvider();
! 			this.historicalMarketValueProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
  		}
***************
*** 126,131 ****
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 10000;
! 			int generationNumberForGeneticOptimizer = 5;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
--- 126,131 ----
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 2000;
! 			int generationNumberForGeneticOptimizer = 3;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
***************
*** 136,140 ****
  					benchmark ,
  					decoderForWeightedPositions , fitnessEvaluator ,
! 					this.historicalQuoteProviderForInSample ,
  					crossoverRate , mutationRate , elitismRate ,
  					populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
--- 136,140 ----
  					benchmark ,
  					decoderForWeightedPositions , fitnessEvaluator ,
! 					this.historicalMarketValueProviderForInSample ,
  					crossoverRate , mutationRate , elitismRate ,
  					populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
***************
*** 155,167 ****
  		}
  		
! 		protected override IEndOfDayStrategyForBacktester getEndOfDayStrategy()
  		{
  //			int numberOfPortfolioPositions = 2;
  			int numDaysForInSampleOptimization = 180;
  			// uncomment the following line for a faster script
! 			numDaysForInSampleOptimization = 5;
  			numDaysForInSampleOptimization = 45;
  			
! 			int numDaysBetweenEachOtpimization = 3;
  			
  			IIntervalsSelector intervalsSelector =
--- 155,167 ----
  		}
  		
! 		protected override IStrategyForBacktester getStrategyForBacktester()
  		{
  //			int numberOfPortfolioPositions = 2;
  			int numDaysForInSampleOptimization = 180;
  			// uncomment the following line for a faster script
! //			numDaysForInSampleOptimization = 8;
  			numDaysForInSampleOptimization = 45;
  			
! 			int numDaysBetweenEachOtpimization = 7;
  			
  			IIntervalsSelector intervalsSelector =
***************
*** 179,183 ****
  					benchmark , intervalsSelector ,
  					eligiblesSelector , inSampleChooser ,
! 					this.historicalQuoteProviderForInSample ,
  					outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
--- 179,183 ----
  					benchmark , intervalsSelector ,
  					eligiblesSelector , inSampleChooser ,
! 					this.historicalMarketValueProviderForInSample ,
  					outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
***************
*** 206,217 ****
  
  			DateTime firstDateTime = new DateTime( 2006 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2008 , 4 , 1 );
  
! 			double maxRunningHours = 8;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , this.endOfDayStrategy ,
! 					this.historicalQuoteProviderForTheBacktesterAccount ,
  					accountProvider ,
  					firstDateTime ,	lastDateTime ,
--- 206,217 ----
  
  			DateTime firstDateTime = new DateTime( 2006 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2007 , 12 , 31 );
  
! 			double maxRunningHours = 0.01;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , this.strategyForBacktester ,
! 					this.historicalMarketValueProviderForTheBacktesterAccount ,
  					accountProvider ,
  					firstDateTime ,	lastDateTime ,

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs, 1.28, 1.29 EndOfDayTimerHandlerCTC.cs, 1.25, 1.26 EndOfDayTimerHandlerCTCWeekly.cs, 1.9, 1.10 EndOfDayTimerHandlerCTO.cs, 1.27, 1.28 EndOfDayTimerHandlerCTO_WorstAtDay.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16144

Modified Files:
	EndOfDayTimerHandler.cs EndOfDayTimerHandlerCTC.cs 
	EndOfDayTimerHandlerCTCWeekly.cs EndOfDayTimerHandlerCTO.cs 
	EndOfDayTimerHandlerCTO_WorstAtDay.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: EndOfDayTimerHandlerCTO_WorstAtDay.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO_WorstAtDay.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerCTO_WorstAtDay.cs	19 Aug 2008 17:11:26 -0000	1.4
--- EndOfDayTimerHandlerCTO_WorstAtDay.cs	29 Sep 2008 21:17:34 -0000	1.5
***************
*** 78,83 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			AccountManager.ClosePositions(this.account);
--- 78,83 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			AccountManager.ClosePositions(this.account);
***************
*** 91,96 ****
  			double lossOfCurrentWorstCombination = 0.0;
  			double fitnessOfPreviousCombination = 0.0;
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 			DateTime today = currentTimer.GetCurrentTime().DateTime;
  			int numOfGenomesScanned = 0;
  			for(int i = 0; numOfGenomesScanned < this.numOfGenomesForOTCScanning; i++)
--- 91,97 ----
  			double lossOfCurrentWorstCombination = 0.0;
  			double fitnessOfPreviousCombination = 0.0;
! 			IndexBasedEndOfDayTimer currentTimer =
! 				(IndexBasedEndOfDayTimer)this.account.Timer;
! 			DateTime today = currentTimer.GetCurrentDateTime();
  			int numOfGenomesScanned = 0;
  			for(int i = 0; numOfGenomesScanned < this.numOfGenomesForOTCScanning; i++)
***************
*** 134,139 ****
  		
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.currentGO != null)
--- 135,140 ----
  		
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.currentGO != null)
***************
*** 144,148 ****
  		}
  
! 		#region OneHourAfterMarketCloseEventHandler
  		
  		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
--- 145,149 ----
  		}
  
! 		#region oneHourAfterMarketCloseEventHandler
  		
  		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
***************
*** 222,227 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.seedForRandomGenerator++;
--- 223,228 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.seedForRandomGenerator++;
***************
*** 230,234 ****
  			   this.numDaysBetweenEachOptimization - 1)
  			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 231,235 ----
  			   this.numDaysBetweenEachOptimization - 1)
  			{
! 				this.setTickers( dateTime , false);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.28
retrieving revision 1.29
diff -C2 -d -r1.28 -r1.29
*** EndOfDayTimerHandler.cs	14 Aug 2008 23:29:40 -0000	1.28
--- EndOfDayTimerHandler.cs	29 Sep 2008 21:17:34 -0000	1.29
***************
*** 3,7 ****
  
  EndOfDayTimerHandler.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandler.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;
  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;
***************
*** 33,79 ****
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
!   /// <summary>
!   /// Base class for EndOfDayTimerHandlers for efficient portfolios
!   /// </summary>
!   [Serializable]
!   public abstract class EndOfDayTimerHandler
!   {
!     protected DataTable eligibleTickers;
  		protected WeightedPositions chosenWeightedPositions = null;
!     protected string tickerGroupID;
!     protected int numberOfEligibleTickers;
!     protected int numberOfTickersToBeChosen;
!     protected int numDaysForOptimizationPeriod;
!     protected int numDaysBetweenEachOptimization = 0;
!     protected int numDaysElapsedSinceLastOptimization = 0;
!     protected int generationNumberForGeneticOptimizer;
!     protected int populationSizeForGeneticOptimizer;
!     protected Account account = null;
!     protected string benchmark;
!     //these two values have to be updated during
!     //backtest, for minimizing commission amount,
!     //according to broker's commission scheme 
!     protected double minPriceForMinimumCommission = 30;
!     protected double maxPriceForMinimumCommission = 500;
!     protected double targetReturn;
!     protected PortfolioType portfolioType;
!     
!     protected bool stopLossConditionReached = false;
!     protected bool takeProfitConditionReached = false;
!     protected double currentAccountValue = 0.0;
!     protected double previousAccountValue = 0.0;
!     
  		protected GenomeCounter genomeCounter;
!     public GenomeCounter GenomeCounter
!     {
!       get{return this.genomeCounter;}
!     }
!  
!     public int NumberOfEligibleTickers
!     {
!       get { return this.numberOfEligibleTickers; }
!     }
  		
!     public Account Account
  		{
  			get { return this.account; }
--- 33,79 ----
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
! 	/// <summary>
! 	/// Base class for EndOfDayTimerHandlers for efficient portfolios
! 	/// </summary>
! 	[Serializable]
! 	public abstract class EndOfDayTimerHandler
! 	{
! 		protected DataTable eligibleTickers;
  		protected WeightedPositions chosenWeightedPositions = null;
! 		protected string tickerGroupID;
! 		protected int numberOfEligibleTickers;
! 		protected int numberOfTickersToBeChosen;
! 		protected int numDaysForOptimizationPeriod;
! 		protected int numDaysBetweenEachOptimization = 0;
! 		protected int numDaysElapsedSinceLastOptimization = 0;
! 		protected int generationNumberForGeneticOptimizer;
! 		protected int populationSizeForGeneticOptimizer;
! 		protected Account account = null;
! 		protected string benchmark;
! 		//these two values have to be updated during
! 		//backtest, for minimizing commission amount,
! 		//according to broker's commission scheme
! 		protected double minPriceForMinimumCommission = 30;
! 		protected double maxPriceForMinimumCommission = 500;
! 		protected double targetReturn;
! 		protected PortfolioType portfolioType;
! 		
! 		protected bool stopLossConditionReached = false;
! 		protected bool takeProfitConditionReached = false;
! 		protected double currentAccountValue = 0.0;
! 		protected double previousAccountValue = 0.0;
! 		
  		protected GenomeCounter genomeCounter;
! 		public GenomeCounter GenomeCounter
! 		{
! 			get{return this.genomeCounter;}
! 		}
  		
! 		public int NumberOfEligibleTickers
! 		{
! 			get { return this.numberOfEligibleTickers; }
! 		}
! 		
! 		public Account Account
  		{
  			get { return this.account; }
***************
*** 81,284 ****
  		}
  		
!     /// <summary>
!     /// bestGenomes[ i ] contains an array list with the best genomes
!     /// for generation i
!     /// </summary>
!     protected ArrayList bestGenomes;
!     public ArrayList BestGenomes
!     {
!       get { return this.bestGenomes; }
!     }
!     private void endOfDayTimerHandler_initializeBasic(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen,
!                                 int numDaysForOptimizationPeriod,
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark, double targetReturn,
!                                 PortfolioType portfolioType)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
!       this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
!       this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
!       this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
!       this.benchmark = benchmark;
!       this.targetReturn = targetReturn;
!       this.portfolioType = portfolioType;
!     }
!     public EndOfDayTimerHandler(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numberOfTickersToBeChosen,
!                                 int numDaysForOptimizationPeriod, Account account,
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark, double targetReturn,
!                                 PortfolioType portfolioType)
!     {
!       this.endOfDayTimerHandler_initializeBasic(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen,
!                                 numDaysForOptimizationPeriod,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, targetReturn,
!                                 portfolioType);
!     	this.account = account;
!       
!     }
  		public EndOfDayTimerHandler(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numberOfTickersToBeChosen,
!                                 int numDaysForOptimizationPeriod,
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark, double targetReturn,
!                                 PortfolioType portfolioType)
!     {
!       this.endOfDayTimerHandler_initializeBasic(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen,
!                                 numDaysForOptimizationPeriod,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, targetReturn,
!                                 portfolioType);
!     }
!     public EndOfDayTimerHandler(WeightedPositions chosenWeightedPositions,
!                                 PortfolioType portfolioType,
!                                 Account account,
!                                 string benchmark)
!     {
!       this.account = account;
!       this.benchmark = benchmark;
!       this.chosenWeightedPositions = chosenWeightedPositions;
!       this.numberOfTickersToBeChosen = this.chosenWeightedPositions.Count;
!       this.portfolioType = portfolioType;
!     }
  		
  		#region addGenomeToBestGenomes
  
  		protected void addGenomeToBestGenomes(Genome genome,
! 			DateTime firstOptimizationDate,
! 			DateTime secondOptimizationDate,
! 			int eligibleTickers)
  		{
  			if(this.bestGenomes == null)
  				this.bestGenomes = new ArrayList();
!       
  			this.bestGenomes.Add(new GenomeRepresentation(genome,
! 				firstOptimizationDate,
! 				secondOptimizationDate,
! 				genome.Generation,
! 				eligibleTickers) );
  		}
  		protected void addGenomeToBestGenomes(BruteForceOptimizableParameters BFOptimizableParameters,
! 			SignedTickers signedTickers,
! 			DateTime firstOptimizationDate,
! 			DateTime secondOptimizationDate,
! 			int eligibleTickers)
  		{
  			if(this.bestGenomes == null)
  				this.bestGenomes = new ArrayList();
!       
  			this.bestGenomes.Add(new GenomeRepresentation(BFOptimizableParameters,
! 				signedTickers.ArrayForSignedTickers,
! 				firstOptimizationDate,
! 				secondOptimizationDate,
! 				eligibleTickers) );
  		}
  		protected void addGenomeToBestGenomes(Genome genome,
! 			DateTime firstOptimizationDate,
! 			DateTime secondOptimizationDate,
! 			int eligibleTickers, int halfPeriodDays)
  		{
  			if(this.bestGenomes == null)
  				this.bestGenomes = new ArrayList();
!       
  			this.bestGenomes.Add(new GenomeRepresentation(genome,
! 				firstOptimizationDate,
! 				secondOptimizationDate,
! 				genome.Generation,
! 				eligibleTickers,
! 				halfPeriodDays));
  		}
  		protected void addGenomeToBestGenomes(Genome genome,
! 			DateTime firstOptimizationDate,
! 			DateTime secondOptimizationDate,
! 			int eligibleTickers, int halfPeriodDays,
! 			PortfolioType portfolioType)
  		{
  			if(this.bestGenomes == null)
  				this.bestGenomes = new ArrayList();
!       
  			this.bestGenomes.Add(new GenomeRepresentation(genome,
! 				firstOptimizationDate,
! 				secondOptimizationDate,
! 				genome.Generation,
! 				eligibleTickers,
! 				halfPeriodDays, portfolioType));
  		}
! 				
  		protected void addGenomesToBestGenomes( Genome[] genomes,
!           DateTime firstOptimizationDate,
! 					DateTime secondOptimizationDate,
!           int eligibleTickers, int halfPeriodDays,
! 					PortfolioType portfolioType,
! 					int createdGenerations)
!     {
  			foreach(Genome genome in genomes)
  				if(genome != null)
! 					this.addGenomeToBestGenomes(genome,
! 	          firstOptimizationDate,
! 						secondOptimizationDate,
! 	          eligibleTickers, halfPeriodDays,
! 						portfolioType,
! 						createdGenerations);
!     }
  		
  		protected void addGenomeToBestGenomes(Genome genome,
! 			DateTime firstOptimizationDate,
! 			DateTime secondOptimizationDate,
! 			int eligibleTickers, int halfPeriodDays,
! 			PortfolioType portfolioType,
! 			int createdGenerations)
  		{
  			if(this.bestGenomes == null)
  				this.bestGenomes = new ArrayList();
!       
  			this.bestGenomes.Add(new GenomeRepresentation(genome,
! 				firstOptimizationDate,
! 				secondOptimizationDate,
! 				genome.Generation,
! 				eligibleTickers,
! 				halfPeriodDays, portfolioType, createdGenerations));
  		}
  		#endregion
  		
  		protected virtual void openPositions()
!     {
!       //add cash first
!     	if(this.account.Transactions.Count == 0)
!         this.account.AddCash(15000);
!     	if(this.chosenWeightedPositions != null)
!       	AccountManager.OpenPositions(this.chosenWeightedPositions, this.account);
!     }
! 	
  		protected void reversePositions()
  		{
  			if ( this.portfolioType == PortfolioType.OnlyLong ||
! 				this.portfolioType == PortfolioType.OnlyShort )
  				throw new Exception ("It's not possible to reverse positions " +
! 					"when portfolio has to contain only " +
! 					"long or short positions!");
  			AccountManager.ReversePositions(this.account);
! 		}   
  		
!     public abstract void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  			;
!     public abstract void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     	;
!     public abstract void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!       ;
!   } 
  }
--- 81,296 ----
  		}
  		
! 		/// <summary>
! 		/// bestGenomes[ i ] contains an array list with the best genomes
! 		/// for generation i
! 		/// </summary>
! 		protected ArrayList bestGenomes;
! 		public ArrayList BestGenomes
! 		{
! 			get { return this.bestGenomes; }
! 		}
! 		private void endOfDayTimerHandler_initializeBasic(string tickerGroupID, int numberOfEligibleTickers,
! 		                                                  int numberOfTickersToBeChosen,
! 		                                                  int numDaysForOptimizationPeriod,
! 		                                                  int generationNumberForGeneticOptimizer,
! 		                                                  int populationSizeForGeneticOptimizer,
! 		                                                  string benchmark, double targetReturn,
! 		                                                  PortfolioType portfolioType)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
! 			this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
! 			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
! 			this.benchmark = benchmark;
! 			this.targetReturn = targetReturn;
! 			this.portfolioType = portfolioType;
! 		}
  		public EndOfDayTimerHandler(string tickerGroupID, int numberOfEligibleTickers,
! 		                            int numberOfTickersToBeChosen,
! 		                            int numDaysForOptimizationPeriod, Account account,
! 		                            int generationNumberForGeneticOptimizer,
! 		                            int populationSizeForGeneticOptimizer,
! 		                            string benchmark, double targetReturn,
! 		                            PortfolioType portfolioType)
! 		{
! 			this.endOfDayTimerHandler_initializeBasic(tickerGroupID, numberOfEligibleTickers,
! 			                                          numberOfTickersToBeChosen,
! 			                                          numDaysForOptimizationPeriod,
! 			                                          generationNumberForGeneticOptimizer,
! 			                                          populationSizeForGeneticOptimizer,
! 			                                          benchmark, targetReturn,
! 			                                          portfolioType);
! 			this.account = account;
! 			
! 		}
! 		public EndOfDayTimerHandler(string tickerGroupID, int numberOfEligibleTickers,
! 		                            int numberOfTickersToBeChosen,
! 		                            int numDaysForOptimizationPeriod,
! 		                            int generationNumberForGeneticOptimizer,
! 		                            int populationSizeForGeneticOptimizer,
! 		                            string benchmark, double targetReturn,
! 		                            PortfolioType portfolioType)
! 		{
! 			this.endOfDayTimerHandler_initializeBasic(tickerGroupID, numberOfEligibleTickers,
! 			                                          numberOfTickersToBeChosen,
! 			                                          numDaysForOptimizationPeriod,
! 			                                          generationNumberForGeneticOptimizer,
! 			                                          populationSizeForGeneticOptimizer,
! 			                                          benchmark, targetReturn,
! 			                                          portfolioType);
! 		}
! 		public EndOfDayTimerHandler(WeightedPositions chosenWeightedPositions,
! 		                            PortfolioType portfolioType,
! 		                            Account account,
! 		                            string benchmark)
! 		{
! 			this.account = account;
! 			this.benchmark = benchmark;
! 			this.chosenWeightedPositions = chosenWeightedPositions;
! 			this.numberOfTickersToBeChosen = this.chosenWeightedPositions.Count;
! 			this.portfolioType = portfolioType;
! 		}
  		
  		#region addGenomeToBestGenomes
  
  		protected void addGenomeToBestGenomes(Genome genome,
! 		                                      DateTime firstOptimizationDate,
! 		                                      DateTime secondOptimizationDate,
! 		                                      int eligibleTickers)
  		{
  			if(this.bestGenomes == null)
  				this.bestGenomes = new ArrayList();
! 			
  			this.bestGenomes.Add(new GenomeRepresentation(genome,
! 			                                              firstOptimizationDate,
! 			                                              secondOptimizationDate,
! 			                                              genome.Generation,
! 			                                              eligibleTickers) );
  		}
  		protected void addGenomeToBestGenomes(BruteForceOptimizableParameters BFOptimizableParameters,
! 		                                      SignedTickers signedTickers,
! 		                                      DateTime firstOptimizationDate,
! 		                                      DateTime secondOptimizationDate,
! 		                                      int eligibleTickers)
  		{
  			if(this.bestGenomes == null)
  				this.bestGenomes = new ArrayList();
! 			
  			this.bestGenomes.Add(new GenomeRepresentation(BFOptimizableParameters,
! 			                                              signedTickers.ArrayForSignedTickers,
! 			                                              firstOptimizationDate,
! 			                                              secondOptimizationDate,
! 			                                              eligibleTickers) );
  		}
  		protected void addGenomeToBestGenomes(Genome genome,
! 		                                      DateTime firstOptimizationDate,
! 		                                      DateTime secondOptimizationDate,
! 		                                      int eligibleTickers, int halfPeriodDays)
  		{
  			if(this.bestGenomes == null)
  				this.bestGenomes = new ArrayList();
! 			
  			this.bestGenomes.Add(new GenomeRepresentation(genome,
! 			                                              firstOptimizationDate,
! 			                                              secondOptimizationDate,
! 			                                              genome.Generation,
! 			                                              eligibleTickers,
! 			                                              halfPeriodDays));
  		}
  		protected void addGenomeToBestGenomes(Genome genome,
! 		                                      DateTime firstOptimizationDate,
! 		                                      DateTime secondOptimizationDate,
! 		                                      int eligibleTickers, int halfPeriodDays,
! 		                                      PortfolioType portfolioType)
  		{
  			if(this.bestGenomes == null)
  				this.bestGenomes = new ArrayList();
! 			
  			this.bestGenomes.Add(new GenomeRepresentation(genome,
! 			                                              firstOptimizationDate,
! 			                                              secondOptimizationDate,
! 			                                              genome.Generation,
! 			                                              eligibleTickers,
! 			                                              halfPeriodDays, portfolioType));
  		}
! 		
  		protected void addGenomesToBestGenomes( Genome[] genomes,
! 		                                       DateTime firstOptimizationDate,
! 		                                       DateTime secondOptimizationDate,
! 		                                       int eligibleTickers, int halfPeriodDays,
! 		                                       PortfolioType portfolioType,
! 		                                       int createdGenerations)
! 		{
  			foreach(Genome genome in genomes)
  				if(genome != null)
! 				this.addGenomeToBestGenomes(genome,
! 				                            firstOptimizationDate,
! 				                            secondOptimizationDate,
! 				                            eligibleTickers, halfPeriodDays,
! 				                            portfolioType,
! 				                            createdGenerations);
! 		}
  		
  		protected void addGenomeToBestGenomes(Genome genome,
! 		                                      DateTime firstOptimizationDate,
! 		                                      DateTime secondOptimizationDate,
! 		                                      int eligibleTickers, int halfPeriodDays,
! 		                                      PortfolioType portfolioType,
! 		                                      int createdGenerations)
  		{
  			if(this.bestGenomes == null)
  				this.bestGenomes = new ArrayList();
! 			
  			this.bestGenomes.Add(new GenomeRepresentation(genome,
! 			                                              firstOptimizationDate,
! 			                                              secondOptimizationDate,
! 			                                              genome.Generation,
! 			                                              eligibleTickers,
! 			                                              halfPeriodDays, portfolioType, createdGenerations));
  		}
  		#endregion
  		
  		protected virtual void openPositions()
! 		{
! 			//add cash first
! 			if(this.account.Transactions.Count == 0)
! 				this.account.AddCash(15000);
! 			if(this.chosenWeightedPositions != null)
! 				AccountManager.OpenPositions(this.chosenWeightedPositions, this.account);
! 		}
! 		
  		protected void reversePositions()
  		{
  			if ( this.portfolioType == PortfolioType.OnlyLong ||
! 			    this.portfolioType == PortfolioType.OnlyShort )
  				throw new Exception ("It's not possible to reverse positions " +
! 				                     "when portfolio has to contain only " +
! 				                     "long or short positions!");
  			AccountManager.ReversePositions(this.account);
! 		}
  		
! 		#region NewDateTimeEventHandler
! 		protected abstract void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  			;
! 		protected abstract void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
! 			;
! 		protected abstract void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime 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 );
! 		}
! 		#endregion NewDateTimeEventHandler
! 	}
  }

Index: EndOfDayTimerHandlerCTCWeekly.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTCWeekly.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayTimerHandlerCTCWeekly.cs	14 Jan 2008 23:32:31 -0000	1.9
--- EndOfDayTimerHandlerCTCWeekly.cs	29 Sep 2008 21:17:34 -0000	1.10
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerCTCWeekly.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerCTCWeekly.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;
  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;
***************
*** 37,180 ****
  {
  	
!   /// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the efficient close to close
!   /// weekly portfolio (with a given days of life)!
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerCTCWeekly : EndOfDayTimerHandler
!   {
!     protected int numDaysForReturnCalculation;
!     protected double maxAcceptableCloseToCloseDrawdown;
!         
!     public EndOfDayTimerHandlerCTCWeekly(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,                                
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 int numDaysForReturnCalculation,
!                                 double targetReturn,
!                                	PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
!     														base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, targetReturn,
!                                 portfolioType)
!     {
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!     }
  
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	;
!     }
!     
!     #region MarketCloseEventHandler
!     
!    
!     
!     protected void updateStopLossCondition()
!     {
!       this.previousAccountValue = this.currentAccountValue;
!       this.currentAccountValue = this.account.GetMarketValue();
!       if((this.currentAccountValue - this.previousAccountValue)
!            /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
!       {
!         this.stopLossConditionReached = true;
!       }
!       else
!       {
!         this.stopLossConditionReached = false;
!       }
!     }    
!     
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	this.updateStopLossCondition();
!     	
!     	if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek == 
!     	   DayOfWeek.Monday)
!     		this.openPositions();
!     	
!     	if(this.stopLossConditionReached ||
!     	   endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek == 
!     	   DayOfWeek.Friday)
!     		AccountManager.ClosePositions(this.account);
!     	
!     }
!     
!     #endregion
!     
!     #region OneHourAfterMarketCloseEventHandler
!     
!     protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!     	                                                      currentDate);
!                                       
!       this.eligibleTickers = temporizedGroup.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
!         new SelectorByQuotationAtEachMarketDay(this.eligibleTickers,
!                                   false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),currentDate,
!                                   this.numberOfEligibleTickers, this.benchmark);
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!     }
!     
!     
!     protected virtual void setTickers(DateTime currentDate)
!     {
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
!         //the optimization process is meaningful only if the initial set of tickers is 
!         //larger than the number of tickers to be chosen                     
!       
!       {
!         
!       	//double targetReturnForEachPeriodOfPortfolioLife =
!       	//	Math.Pow(1.60,(double)(1.0/(360.0/this.numDaysOfPortfolioLife))) - 1.0;
!       	//the target has to be such that annual system return is minimum 50%
!       	//(with no commissions and bid-ask spreads)
!       	IGenomeManager genManEfficientCTCPortfolio =
!           new GenomeManagerForEfficientCTCPortfolio(setOfTickersToBeOptimized,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
!           currentDate, this.numberOfTickersToBeChosen,
!           this.numDaysForReturnCalculation,
!           this.targetReturn,
!          	this.portfolioType, this.benchmark);
!         GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
!                                                     this.populationSizeForGeneticOptimizer, 
!                                                     this.generationNumberForGeneticOptimizer);
!         //GO.KeepOnRunningUntilConvergenceIsReached = true;
!         GO.Run(false);
  				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
!       }
!       //else it will be buyed again the previous optimized portfolio
!       //that's it the actual chosenTickers member
!     }
  
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!      
!       if(this.account.Portfolio.Count == 0 &&
!     	   endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek == 
!     	   DayOfWeek.Friday)
!       {
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!         //it sets tickers to be chosen at next Monday
!       }
!     }
! 		#endregion
!   }
  }
--- 37,177 ----
  {
  	
! 	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the efficient close to close
! 	/// weekly portfolio (with a given days of life)!
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerCTCWeekly : EndOfDayTimerHandler
! 	{
! 		protected int numDaysForReturnCalculation;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		
! 		public EndOfDayTimerHandlerCTCWeekly(string tickerGroupID, int numberOfEligibleTickers,
! 		                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                     Account account,
! 		                                     int generationNumberForGeneticOptimizer,
! 		                                     int populationSizeForGeneticOptimizer,
! 		                                     string benchmark,
! 		                                     int numDaysForReturnCalculation,
! 		                                     double targetReturn,
! 		                                     PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark, targetReturn,
! 			     portfolioType)
! 		{
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 		}
  
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			;
! 		}
! 		
! 		#region marketCloseEventHandler
! 		protected void updateStopLossCondition()
! 		{
! 			this.previousAccountValue = this.currentAccountValue;
! 			this.currentAccountValue = this.account.GetMarketValue();
! 			if((this.currentAccountValue - this.previousAccountValue)
! 			   /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
! 			{
! 				this.stopLossConditionReached = true;
! 			}
! 			else
! 			{
! 				this.stopLossConditionReached = false;
! 			}
! 		}
! 		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			this.updateStopLossCondition();
! 			
! 			if(dateTime.DayOfWeek ==
! 			   DayOfWeek.Monday)
! 				this.openPositions();
! 			
! 			if(this.stopLossConditionReached ||
! 			   dateTime.DayOfWeek ==
! 			   DayOfWeek.Friday)
! 				AccountManager.ClosePositions(this.account);
! 			
! 		}
! 		
! 		#endregion marketCloseEventHandler
! 		
! 		#region oneHourAfterMarketCloseEventHandler
! 		
! 		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 			                                                      currentDate);
! 			
! 			this.eligibleTickers = temporizedGroup.GetTableOfSelectedTickers();
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible =
! 				new SelectorByQuotationAtEachMarketDay(this.eligibleTickers,
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),currentDate,
! 				                                       this.numberOfEligibleTickers, this.benchmark);
! 			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
! 		}
! 		
! 		
! 		protected virtual void setTickers(DateTime currentDate)
! 		{
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
! 				//the optimization process is meaningful only if the initial set of tickers is
! 				//larger than the number of tickers to be chosen
! 				
! 			{
! 				
! 				//double targetReturnForEachPeriodOfPortfolioLife =
! 				//	Math.Pow(1.60,(double)(1.0/(360.0/this.numDaysOfPortfolioLife))) - 1.0;
! 				//the target has to be such that annual system return is minimum 50%
! 				//(with no commissions and bid-ask spreads)
! 				IGenomeManager genManEfficientCTCPortfolio =
! 					new GenomeManagerForEfficientCTCPortfolio(setOfTickersToBeOptimized,
! 					                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 					                                          currentDate, this.numberOfTickersToBeChosen,
! 					                                          this.numDaysForReturnCalculation,
! 					                                          this.targetReturn,
! 					                                          this.portfolioType, this.benchmark);
! 				GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
! 				                                           this.populationSizeForGeneticOptimizer,
! 				                                           this.generationNumberForGeneticOptimizer);
! 				//GO.KeepOnRunningUntilConvergenceIsReached = true;
! 				GO.Run(false);
  				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 				                                                     new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
! 			}
! 			//else it will be buyed again the previous optimized portfolio
! 			//that's it the actual chosenTickers member
! 		}
  
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			
! 			if(this.account.Portfolio.Count == 0 &&
! 			   dateTime.DayOfWeek ==
! 			   DayOfWeek.Friday)
! 			{
! 				this.setTickers(dateTime);
! 				//it sets tickers to be chosen at next Monday
! 			}
! 		}
! 		#endregion oneHourAfterMarketCloseEventHandler
! 	}
  }

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.25
retrieving revision 1.26
diff -C2 -d -r1.25 -r1.26
*** EndOfDayTimerHandlerCTC.cs	14 Jan 2008 23:32:30 -0000	1.25
--- EndOfDayTimerHandlerCTC.cs	29 Sep 2008 21:17:34 -0000	1.26
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerCTC.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerCTC.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;
  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;
***************
*** 37,259 ****
  {
  	
!   /// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the efficient close to close
!   /// portfolio (with a given days of life)!
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerCTC : EndOfDayTimerHandler
!   {
!     protected int numDaysOfPortfolioLife;
!     protected int numDaysForReturnCalculation;
!     protected int numDaysWithNoPositions;
!     protected int daysCounterWithPositions;
!     protected int daysCounterWithNoPositions;
!     protected double maxAcceptableCloseToCloseDrawdown;
!         
!     public EndOfDayTimerHandlerCTC(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,                                
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 int numDaysOfPortfolioLife,
!                                 int numDaysForReturnCalculation,
!                                 int numDaysWithNoPositions,
!                                 double targetReturn,
!                                	PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 int numDaysBetweenEachOptimization):
!     														base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, targetReturn,
!                                 portfolioType)
!     {
!       this.numDaysOfPortfolioLife = numDaysOfPortfolioLife;
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.numDaysWithNoPositions = numDaysWithNoPositions;
!       this.daysCounterWithPositions = 0;
!       this.daysCounterWithNoPositions = 0;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.stopLossConditionReached = false;
!       this.currentAccountValue = 0.0;
!       this.previousAccountValue = 0.0;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!     }
! 	
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	;
!     }
  
!     #region MarketCloseEventHandler
!     
!    
!     
!     protected void updateStopLossCondition()
!     {
!       this.previousAccountValue = this.currentAccountValue;
!       this.currentAccountValue = this.account.GetMarketValue();
!       if((this.currentAccountValue - this.previousAccountValue)
!            /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
!       {
!         this.stopLossConditionReached = true;
!       }
!       else
!       {
!         this.stopLossConditionReached = false;
!       }
!     }    
!     
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       //bool positionsJustClosed = false;
!       this.updateStopLossCondition();
!       if(this.account.Portfolio.Count > 0)
!       //portfolio is not empty
!       {
!         this.daysCounterWithPositions++;
!         if(this.daysCounterWithPositions == this.numDaysOfPortfolioLife ||
!            this.stopLossConditionReached)
!         //num days of portfolio life or 
!         //max acceptable close to close drawdown reached
!         {
!           AccountManager.ClosePositions(this.account);
!           this.daysCounterWithPositions = 0;
!           //positionsJustClosed = true;
!         }
!       }
!       else//portfolio is empty
!       {
  				this.daysCounterWithNoPositions++;
  				if(this.daysCounterWithNoPositions == this.numDaysWithNoPositions ||
!            this.Account.Transactions.Count <= 1)
  				{
  					AccountManager.OpenPositions(this.chosenWeightedPositions,this.account);
!         	this.daysCounterWithNoPositions = 0;
  				}
  			}
!     }
  
! //old      
! //      if(this.account.Portfolio.Count == 0 &&
! //         !positionsJustClosed)
! //        //portfolio is empty but it has not been closed
! //        //at the current close
! //      {
! //        this.openPositions();
! //        this.daysCounter = 0;
! //      }
  
!     #endregion
!     
!     #region OneHourAfterMarketCloseEventHandler
!     
!     protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!     	                                                      currentDate);
!       
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketFromTemporized = 
!         new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
!       
!       this.eligibleTickers = quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers();
!     	
! //      SelectorByCloseToCloseCorrelationToBenchmark lessCorrelatedFromEligible = 
! //    		new SelectorByCloseToCloseCorrelationToBenchmark(this.eligibleTickers,
! //      	                                              this.benchmark,true,
! //      	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
! //      	                                    					currentDate,
! //      	                                    					this.numberOfEligibleTickers/2,
! //      	                                    					this.numDaysForReturnCalculation);
! //    	SelectorByAbsolutePerformance mostQuietFromLessCorrelated = 
! //          new SelectorByAbsolutePerformance(lessCorrelatedFromEligible.GetTableOfSelectedTickers(),
! //                                            true,currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
! //      	                                    currentDate,
! //      	                                    this.numberOfEligibleTickers/4,
! //      	                                    0.01f, 0.10f);
! // 
! //      return mostQuietFromLessCorrelated.GetTableOfSelectedTickers();
  			
! 				return this.eligibleTickers;
!     }
!     
!     
!     protected virtual void setTickers(DateTime currentDate,
!                                       bool setGenomeCounter)
!     {
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
!         //the optimization process is meaningful only if the initial set of tickers is 
!         //larger than the number of tickers to be chosen                     
!       
!       {
!         
!       	//double targetReturnForEachPeriodOfPortfolioLife =
!       	//	Math.Pow(1.60,(double)(1.0/(360.0/this.numDaysOfPortfolioLife))) - 1.0;
!       	//the target has to be such that annual system return is minimum 50%
!       	//(with no commissions and bid-ask spreads)
!       	IGenomeManager genManEfficientCTCPortfolio =
!           new GenomeManagerForEfficientCTCPortfolio(setOfTickersToBeOptimized,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
!           currentDate, this.numberOfTickersToBeChosen,
!           this.numDaysForReturnCalculation,
!           this.targetReturn,
!          	this.portfolioType, this.benchmark);
!         GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
!                                                     this.populationSizeForGeneticOptimizer, 
!                                                     this.generationNumberForGeneticOptimizer,
!                                                    ConstantsProvider.SeedForRandomGenerator);
!         if(setGenomeCounter)
!           this.genomeCounter = new GenomeCounter(GO);
!         
!         GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientCTCPortfolio)genManEfficientCTCPortfolio).FirstQuoteDate,
!                                     ((GenomeManagerForEfficientCTCPortfolio)genManEfficientCTCPortfolio).LastQuoteDate,
!                                     	setOfTickersToBeOptimized.Rows.Count);
  				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
  			}
!       //else it will be buyed again the previous optimized portfolio
!       //that's it the actual chosenTickers member
!     }
  
!     
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       ConstantsProvider.SeedForRandomGenerator++;
! //old
! //      if(this.account.Portfolio.Count == 0 )
! //      {
! //        this.orders.Clear();
! //        this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
! //        //it sets tickers to be chosen at next close
! //      }
!       
!       //this.oneHourAfterMarketCloseEventHandler_updatePrices();
!       this.numDaysElapsedSinceLastOptimization++;
!       if(this.numDaysElapsedSinceLastOptimization == 
!             this.numDaysBetweenEachOptimization)
!       //num days without optimization has elapsed or
!       //just money has been added to the account 
!       {
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
!         //sets tickers to be chosen next Market Open event
!         this.numDaysElapsedSinceLastOptimization = 0;
!       }
!       
!     }
! 		#endregion
!   }
  }
--- 37,259 ----
  {
  	
! 	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the efficient close to close
! 	/// portfolio (with a given days of life)!
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerCTC : EndOfDayTimerHandler
! 	{
! 		protected int numDaysOfPortfolioLife;
! 		protected int numDaysForReturnCalculation;
! 		protected int numDaysWithNoPositions;
! 		protected int daysCounterWithPositions;
! 		protected int daysCounterWithNoPositions;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		
! 		public EndOfDayTimerHandlerCTC(string tickerGroupID, int numberOfEligibleTickers,
! 		                               int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                               Account account,
! 		                               int generationNumberForGeneticOptimizer,
! 		                               int populationSizeForGeneticOptimizer,
! 		                               string benchmark,
! 		                               int numDaysOfPortfolioLife,
! 		                               int numDaysForReturnCalculation,
! 		                               int numDaysWithNoPositions,
! 		                               double targetReturn,
! 		                               PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                               int numDaysBetweenEachOptimization):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark, targetReturn,
! 			     portfolioType)
! 		{
! 			this.numDaysOfPortfolioLife = numDaysOfPortfolioLife;
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.numDaysWithNoPositions = numDaysWithNoPositions;
! 			this.daysCounterWithPositions = 0;
! 			this.daysCounterWithNoPositions = 0;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.stopLossConditionReached = false;
! 			this.currentAccountValue = 0.0;
! 			this.previousAccountValue = 0.0;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 		}
! 		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			;
! 		}
  
! 		#region marketCloseEventHandler
! 		
! 		
! 		
! 		protected void updateStopLossCondition()
! 		{
! 			this.previousAccountValue = this.currentAccountValue;
! 			this.currentAccountValue = this.account.GetMarketValue();
! 			if((this.currentAccountValue - this.previousAccountValue)
! 			   /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
! 			{
! 				this.stopLossConditionReached = true;
! 			}
! 			else
! 			{
! 				this.stopLossConditionReached = false;
! 			}
! 		}
! 		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			//bool positionsJustClosed = false;
! 			this.updateStopLossCondition();
! 			if(this.account.Portfolio.Count > 0)
! 				//portfolio is not empty
! 			{
! 				this.daysCounterWithPositions++;
! 				if(this.daysCounterWithPositions == this.numDaysOfPortfolioLife ||
! 				   this.stopLossConditionReached)
! 					//num days of portfolio life or
! 					//max acceptable close to close drawdown reached
! 				{
! 					AccountManager.ClosePositions(this.account);
! 					this.daysCounterWithPositions = 0;
! 					//positionsJustClosed = true;
! 				}
! 			}
! 			else//portfolio is empty
! 			{
  				this.daysCounterWithNoPositions++;
  				if(this.daysCounterWithNoPositions == this.numDaysWithNoPositions ||
! 				   this.Account.Transactions.Count <= 1)
  				{
  					AccountManager.OpenPositions(this.chosenWeightedPositions,this.account);
! 					this.daysCounterWithNoPositions = 0;
  				}
  			}
! 		}
  
! 		//old
! 		//      if(this.account.Portfolio.Count == 0 &&
! 		//         !positionsJustClosed)
! 		//        //portfolio is empty but it has not been closed
! 		//        //at the current close
! 		//      {
! 		//        this.openPositions();
! 		//        this.daysCounter = 0;
! 		//      }
  
! 		#endregion marketCloseEventHandler
! 		
! 		#region oneHourAfterMarketCloseEventHandler
! 		
! 		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 			                                                      currentDate);
  			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketFromTemporized =
! 				new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),currentDate,
! 				                                       this.numberOfEligibleTickers, this.benchmark);
! 			
! 			this.eligibleTickers = quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers();
! 			
! 			//      SelectorByCloseToCloseCorrelationToBenchmark lessCorrelatedFromEligible =
! 			//    		new SelectorByCloseToCloseCorrelationToBenchmark(this.eligibleTickers,
! 			//      	                                              this.benchmark,true,
! 			//      	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
! 			//      	                                    					currentDate,
! 			//      	                                    					this.numberOfEligibleTickers/2,
! 			//      	                                    					this.numDaysForReturnCalculation);
! 			//    	SelectorByAbsolutePerformance mostQuietFromLessCorrelated =
! 			//          new SelectorByAbsolutePerformance(lessCorrelatedFromEligible.GetTableOfSelectedTickers(),
! 			//                                            true,currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
! 			//      	                                    currentDate,
! 			//      	                                    this.numberOfEligibleTickers/4,
! 			//      	                                    0.01f, 0.10f);
! 			// 
! 			//      return mostQuietFromLessCorrelated.GetTableOfSelectedTickers();
! 			
! 			return this.eligibleTickers;
! 		}
! 		
! 		
! 		protected virtual void setTickers(DateTime currentDate,
! 		                                  bool setGenomeCounter)
! 		{
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
! 				//the optimization process is meaningful only if the initial set of tickers is
! 				//larger than the number of tickers to be chosen
! 				
! 			{
! 				
! 				//double targetReturnForEachPeriodOfPortfolioLife =
! 				//	Math.Pow(1.60,(double)(1.0/(360.0/this.numDaysOfPortfolioLife))) - 1.0;
! 				//the target has to be such that annual system return is minimum 50%
! 				//(with no commissions and bid-ask spreads)
! 				IGenomeManager genManEfficientCTCPortfolio =
! 					new GenomeManagerForEfficientCTCPortfolio(setOfTickersToBeOptimized,
! 					                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 					                                          currentDate, this.numberOfTickersToBeChosen,
! 					                                          this.numDaysForReturnCalculation,
! 					                                          this.targetReturn,
! 					                                          this.portfolioType, this.benchmark);
! 				GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
! 				                                           this.populationSizeForGeneticOptimizer,
! 				                                           this.generationNumberForGeneticOptimizer,
! 				                                           ConstantsProvider.SeedForRandomGenerator);
! 				if(setGenomeCounter)
! 					this.genomeCounter = new GenomeCounter(GO);
! 				
! 				GO.Run(false);
! 				this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientCTCPortfolio)genManEfficientCTCPortfolio).FirstQuoteDate,
! 				                            ((GenomeManagerForEfficientCTCPortfolio)genManEfficientCTCPortfolio).LastQuoteDate,
! 				                            setOfTickersToBeOptimized.Rows.Count);
  				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 				                                   ...
 
[truncated message content]

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO RunWeightedBalancedPVO.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17098/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO

Modified Files:
	RunWeightedBalancedPVO.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: RunWeightedBalancedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO/RunWeightedBalancedPVO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunWeightedBalancedPVO.cs	19 Aug 2008 17:13:13 -0000	1.3
--- RunWeightedBalancedPVO.cs	29 Sep 2008 21:19:06 -0000	1.4
***************
*** 128,132 ****
  		protected override void run_initializeHistoricalQuoteProvider()
  		{
! 			this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		
--- 128,139 ----
  		protected override void run_initializeHistoricalQuoteProvider()
  		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		private void newDateTimeEventHandler(
! 			object sender , DateTime dateTime )
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 				this.checkDateForReport( sender , dateTime );
  		}
  		
***************
*** 134,148 ****
  		{
  			
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.endOfDayTimerHandler.MarketCloseEventHandler);
! 			
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.checkDateForReport);
! 			
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
  		}
  
--- 141,160 ----
  		{
  			
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
! 
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //			
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! //			
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
  		}
  
***************
*** 178,182 ****
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
--- 190,194 ----
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers PVOChooserFromSavedBackTestLog.cs, 1.2, 1.3 PVOGeneticChooser.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17098/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers

Modified Files:
	PVOChooserFromSavedBackTestLog.cs PVOGeneticChooser.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: PVOChooserFromSavedBackTestLog.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVOChooserFromSavedBackTestLog.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PVOChooserFromSavedBackTestLog.cs	26 Apr 2008 09:44:58 -0000	1.2
--- PVOChooserFromSavedBackTestLog.cs	29 Sep 2008 21:19:05 -0000	1.3
***************
*** 58,62 ****
  		}
  		
! 		protected override TestingPositions[] getTestingPositionsFromBackTestLog(EndOfDayDateTime lastInSampleDateOfOptimizedTestingPositions)
  		{
  			TestingPositions[] testingPositions = 
--- 58,63 ----
  		}
  		
! 		protected override TestingPositions[] getTestingPositionsFromBackTestLog(
! 			DateTime lastInSampleDateOfOptimizedTestingPositions)
  		{
  			TestingPositions[] testingPositions = 
***************
*** 66,71 ****
  			     i++ )
  			{
! 				if( this.backTestLog[i].SimulatedCreationTime.DateTime ==
! 					  lastInSampleDateOfOptimizedTestingPositions.DateTime )
  				{
  						Array.Copy( ((PVOLogItem)this.backTestLog[i]).BestPVOPositionsInSample ,
--- 67,72 ----
  			     i++ )
  			{
! 				if( this.backTestLog[i].SimulatedCreationDateTime ==
! 					  lastInSampleDateOfOptimizedTestingPositions )
  				{
  						Array.Copy( ((PVOLogItem)this.backTestLog[i]).BestPVOPositionsInSample ,

Index: PVOGeneticChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVOGeneticChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVOGeneticChooser.cs	9 Mar 2008 22:49:23 -0000	1.1
--- PVOGeneticChooser.cs	29 Sep 2008 21:19:05 -0000	1.2
***************
*** 57,61 ****
  			IDecoderForTestingPositions decoderForTestingPositions ,
  			IFitnessEvaluator fitnessEvaluator ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ,
  			double crossoverRate , double mutationRate , double elitismRate ,
  			int populationSizeForGeneticOptimizer ,
--- 57,61 ----
  			IDecoderForTestingPositions decoderForTestingPositions ,
  			IFitnessEvaluator fitnessEvaluator ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
  			double crossoverRate , double mutationRate , double elitismRate ,
  			int populationSizeForGeneticOptimizer ,
***************
*** 69,73 ****
  			base(numberOfPortfolioPositions, numberOfBestTestingPositionsToBeReturned,
  			benchmark ,	decoderForTestingPositions ,
! 			fitnessEvaluator , historicalQuoteProvider ,
  			crossoverRate , mutationRate , elitismRate ,
  			populationSizeForGeneticOptimizer ,
--- 69,73 ----
  			base(numberOfPortfolioPositions, numberOfBestTestingPositionsToBeReturned,
  			benchmark ,	decoderForTestingPositions ,
! 			fitnessEvaluator , historicalMarketValueProvider ,
  			crossoverRate , mutationRate , elitismRate ,
  			populationSizeForGeneticOptimizer ,

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator EndOfDayTimerHandlerPVO.cs, 1.10, 1.11 GenomeManagerPVO.cs, 1.4, 1.5 GenomeManagerPVO_OTC.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16104/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	EndOfDayTimerHandlerPVO.cs GenomeManagerPVO.cs 
	GenomeManagerPVO_OTC.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: GenomeManagerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/GenomeManagerPVO.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManagerPVO.cs	14 Jan 2008 23:07:02 -0000	1.4
--- GenomeManagerPVO.cs	29 Sep 2008 21:17:25 -0000	1.5
***************
*** 3,7 ****
  
  GenomeManagerPVO.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  GenomeManagerPVO.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;
***************
*** 46,170 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerPVO : GenomeManagerForEfficientPortfolio
!   {
!     protected int minLevelForOversoldThreshold;
!     protected int maxLevelForOversoldThreshold;
!     protected int minLevelForOverboughtThreshold;
!     protected int maxLevelForOverboughtThreshold;
!     protected int divisorForThresholdComputation;
!     protected bool symmetricalThresholds = false;
!     protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
!     protected int numOfGenesDedicatedToThresholds;
!    	protected double currentOversoldThreshold = 0.0;
!     protected double currentOverboughtThreshold = 0.0;
!     protected int numDaysForOscillatingPeriod;
!     protected ReturnsManager returnsManager;
!     protected CorrelationProvider correlationProvider;//used for experimental
!     //tests using 2 tickers and PearsonCorrelationCoefficient as fitness
!         
!     private void genomeManagerPVO_checkParametersForThresholdsComputation()
!     {
!       if(this.maxLevelForOverboughtThreshold < this.minLevelForOverboughtThreshold || 
!          this.maxLevelForOversoldThreshold < this.minLevelForOversoldThreshold ||
!          this.divisorForThresholdComputation < this.maxLevelForOverboughtThreshold ||
!          this.divisorForThresholdComputation < this.maxLevelForOversoldThreshold ||
!          (this.symmetricalThresholds && (this.minLevelForOversoldThreshold != this.minLevelForOverboughtThreshold ||
!                                         this.maxLevelForOversoldThreshold != this.maxLevelForOverboughtThreshold) ) ||
!          (this.overboughtMoreThanOversoldForFixedPortfolio && 
!             (this.minLevelForOverboughtThreshold > Convert.ToInt32(Convert.ToDouble(this.minLevelForOversoldThreshold)* Convert.ToDouble(this.divisorForThresholdComputation) /
!                                                      (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.minLevelForOversoldThreshold) ) )  ||
!               this.maxLevelForOverboughtThreshold < Convert.ToInt32(Convert.ToDouble(this.maxLevelForOversoldThreshold) * Convert.ToDouble(this.divisorForThresholdComputation) /
!                                                      (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.maxLevelForOversoldThreshold) ) ) ) ) ) 
  
!           throw new Exception("Bad parameters for thresholds computation!");
!     }
  
!     public GenomeManagerPVO(DataTable setOfInitialTickers,
!                            DateTime firstQuoteDate,
!                            DateTime lastQuoteDate,
!                            int numberOfTickersInPortfolio,
!                            int numDaysForOscillatingPeriod,
!                            int minLevelForOversoldThreshold,
! 	                         int maxLevelForOversoldThreshold,
! 	                         int minLevelForOverboughtThreshold,
! 	                         int maxLevelForOverboughtThreshold,
!                            int divisorForThresholdComputation,
!                            bool symmetricalThresholds,
!                            bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
!                            :
!                           base(setOfInitialTickers,
!                           firstQuoteDate,
!                           lastQuoteDate,
!                           numberOfTickersInPortfolio,
!                           0.0,
!                           inSamplePortfolioType,
!                          	benchmark)
!                                 
!                           
!     {
!     	this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!     	this.divisorForThresholdComputation = divisorForThresholdComputation;
  			this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
!       this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
!       this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
!       this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
!       this.symmetricalThresholds = symmetricalThresholds;
!       this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
!       if(this.symmetricalThresholds)//value for thresholds must be unique
!  				numOfGenesDedicatedToThresholds = 1;
!       else
!       	numOfGenesDedicatedToThresholds = 2;
!     	this.genomeManagerPVO_checkParametersForThresholdsComputation();
!     	this.setReturnsManager(firstQuoteDate , lastQuoteDate);
!     }
!     
!     protected virtual void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
!     {
!     	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.numDaysForOscillatingPeriod),
! 														new HistoricalAdjustedQuoteProvider() );
!     }
!     
!     public override int GenomeSize
!     {
!       get{return this.genomeSize + this.numOfGenesDedicatedToThresholds;}
!     }
  
!     #region Get Min and Max Value
  
!     private int getMinValueForGenes_getMinValueForTicker()
!     {
!       int returnValue;
!       switch (this.portfolioType)
!       {
!         case PortfolioType.OnlyLong :
!           returnValue = 0;
!           break;
!         default://For ShortAndLong or OnlyShort portfolios
!           returnValue = - this.originalNumOfTickers;
!           break;
!       }
!       return returnValue;
!     }
  
!     public override int GetMinValueForGenes(int genePosition)
!     {
!     	int returnValue;
!     	switch (genePosition)
!     	{
!     		case 0 ://gene for oversold threshold
  					returnValue = this.minLevelForOversoldThreshold;
  					break;
--- 46,172 ----
  	/// </summary>
  	[Serializable]
! 	public class GenomeManagerPVO : GenomeManagerForEfficientPortfolio
! 	{
! 		protected int minLevelForOversoldThreshold;
! 		protected int maxLevelForOversoldThreshold;
! 		protected int minLevelForOverboughtThreshold;
! 		protected int maxLevelForOverboughtThreshold;
! 		protected int divisorForThresholdComputation;
! 		protected bool symmetricalThresholds = false;
! 		protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
! 		protected int numOfGenesDedicatedToThresholds;
! 		protected double currentOversoldThreshold = 0.0;
! 		protected double currentOverboughtThreshold = 0.0;
! 		protected int numDaysForOscillatingPeriod;
! 		protected ReturnsManager returnsManager;
! 		protected CorrelationProvider correlationProvider;//used for experimental
! 		//tests using 2 tickers and PearsonCorrelationCoefficient as fitness
! 		
! 		private void genomeManagerPVO_checkParametersForThresholdsComputation()
! 		{
! 			if(this.maxLevelForOverboughtThreshold < this.minLevelForOverboughtThreshold ||
! 			   this.maxLevelForOversoldThreshold < this.minLevelForOversoldThreshold ||
! 			   this.divisorForThresholdComputation < this.maxLevelForOverboughtThreshold ||
! 			   this.divisorForThresholdComputation < this.maxLevelForOversoldThreshold ||
! 			   (this.symmetricalThresholds && (this.minLevelForOversoldThreshold != this.minLevelForOverboughtThreshold ||
! 			                                   this.maxLevelForOversoldThreshold != this.maxLevelForOverboughtThreshold) ) ||
! 			   (this.overboughtMoreThanOversoldForFixedPortfolio &&
! 			    (this.minLevelForOverboughtThreshold > Convert.ToInt32(Convert.ToDouble(this.minLevelForOversoldThreshold)* Convert.ToDouble(this.divisorForThresholdComputation) /
! 			                                                           (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.minLevelForOversoldThreshold) ) )  ||
! 			     this.maxLevelForOverboughtThreshold < Convert.ToInt32(Convert.ToDouble(this.maxLevelForOversoldThreshold) * Convert.ToDouble(this.divisorForThresholdComputation) /
! 			                                                           (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.maxLevelForOversoldThreshold) ) ) ) ) )
  
! 				throw new Exception("Bad parameters for thresholds computation!");
! 		}
  
! 		public GenomeManagerPVO(DataTable setOfInitialTickers,
! 		                        DateTime firstQuoteDate,
! 		                        DateTime lastQuoteDate,
! 		                        int numberOfTickersInPortfolio,
! 		                        int numDaysForOscillatingPeriod,
! 		                        int minLevelForOversoldThreshold,
! 		                        int maxLevelForOversoldThreshold,
! 		                        int minLevelForOverboughtThreshold,
! 		                        int maxLevelForOverboughtThreshold,
! 		                        int divisorForThresholdComputation,
! 		                        bool symmetricalThresholds,
! 		                        bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                        PortfolioType inSamplePortfolioType,
! 		                        string benchmark)
! 			:
! 			base(setOfInitialTickers,
! 			     firstQuoteDate,
! 			     lastQuoteDate,
! 			     numberOfTickersInPortfolio,
! 			     0.0,
! 			     inSamplePortfolioType,
! 			     benchmark)
! 			
! 			
! 		{
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
! 			this.divisorForThresholdComputation = divisorForThresholdComputation;
  			this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
! 			this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
! 			this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
! 			this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
! 			this.symmetricalThresholds = symmetricalThresholds;
! 			this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
! 			if(this.symmetricalThresholds)//value for thresholds must be unique
! 				numOfGenesDedicatedToThresholds = 1;
! 			else
! 				numOfGenesDedicatedToThresholds = 2;
! 			this.genomeManagerPVO_checkParametersForThresholdsComputation();
! 			this.setReturnsManager(firstQuoteDate , lastQuoteDate);
! 		}
! 		
! 		protected virtual void setReturnsManager(DateTime firstQuoteDate,
! 		                                         DateTime lastQuoteDate)
! 		{
! 			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.numDaysForOscillatingPeriod),
! 				                   new HistoricalAdjustedQuoteProvider() );
! 		}
! 		
! 		public override int GenomeSize
! 		{
! 			get{return this.genomeSize + this.numOfGenesDedicatedToThresholds;}
! 		}
  
! 		#region Get Min and Max Value
  
! 		private int getMinValueForGenes_getMinValueForTicker()
! 		{
! 			int returnValue;
! 			switch (this.portfolioType)
! 			{
! 				case PortfolioType.OnlyLong :
! 					returnValue = 0;
! 					break;
! 				default://For ShortAndLong or OnlyShort portfolios
! 					returnValue = - this.originalNumOfTickers;
! 					break;
! 			}
! 			return returnValue;
! 		}
  
! 		public override int GetMinValueForGenes(int genePosition)
! 		{
! 			int returnValue;
! 			switch (genePosition)
! 			{
! 				case 0 ://gene for oversold threshold
  					returnValue = this.minLevelForOversoldThreshold;
  					break;
***************
*** 173,206 ****
  						returnValue = this.minLevelForOverboughtThreshold;
  					else
!             returnValue = this.getMinValueForGenes_getMinValueForTicker();
! 				  break;
  				default://gene for ticker
  					returnValue = this.getMinValueForGenes_getMinValueForTicker();
  					break;
!       }
!     	return returnValue;
!     }
!     
!     private int getMaxValueForGenes_getMaxValueForTicker()
!     {
!       int returnValue;
!       switch (this.portfolioType)
!       {
!         case PortfolioType.OnlyShort :
!           returnValue = - 1;
!           break;
!         default ://For ShortAndLong or OnlyLong portfolios
!           returnValue = this.originalNumOfTickers - 1;
!           break;
!       }
!       return returnValue;
!     }
  
!     public override int GetMaxValueForGenes(int genePosition)
!     {
!       int returnValue;
!     	switch (genePosition)
!     	{
!     		case 0 ://gene for oversold threshold
  					returnValue = this.maxLevelForOversoldThreshold;
  					break;
--- 175,208 ----
  						returnValue = this.minLevelForOverboughtThreshold;
  					else
! 						returnValue = this.getMinValueForGenes_getMinValueForTicker();
! 					break;
  				default://gene for ticker
  					returnValue = this.getMinValueForGenes_getMinValueForTicker();
  					break;
! 			}
! 			return returnValue;
! 		}
! 		
! 		private int getMaxValueForGenes_getMaxValueForTicker()
! 		{
! 			int returnValue;
! 			switch (this.portfolioType)
! 			{
! 				case PortfolioType.OnlyShort :
! 					returnValue = - 1;
! 					break;
! 					default ://For ShortAndLong or OnlyLong portfolios
! 						returnValue = this.originalNumOfTickers - 1;
! 					break;
! 			}
! 			return returnValue;
! 		}
  
! 		public override int GetMaxValueForGenes(int genePosition)
! 		{
! 			int returnValue;
! 			switch (genePosition)
! 			{
! 				case 0 ://gene for oversold threshold
  					returnValue = this.maxLevelForOversoldThreshold;
  					break;
***************
*** 214,228 ****
  					returnValue = this.getMaxValueForGenes_getMaxValueForTicker();
  					break;
!       }
!     	return returnValue;
!     }																
!   	
!     #endregion
  		
!     
!     #region getStrategyReturns
!     
!     private float[] getStrategyReturns_getReturnsActually(
!     									float[] plainReturns)
  		{
  			
--- 216,230 ----
  					returnValue = this.getMaxValueForGenes_getMaxValueForTicker();
  					break;
! 			}
! 			return returnValue;
! 		}
  		
! 		#endregion
! 		
! 		
! 		#region getStrategyReturns
! 		
! 		private float[] getStrategyReturns_getReturnsActually(
! 			float[] plainReturns)
  		{
  			
***************
*** 232,326 ****
  			//has been entered
  			float coefficient = 0;
!     	for(int i = 0; i < returnValue.Length - 1; i++)
!       {
!     		if( plainReturns[i] >= (float)this.currentOverboughtThreshold )
!     		//portfolio has been overbought
!     			coefficient = -1;
!     		else if( plainReturns[i] <= - (float)this.currentOversoldThreshold )
!  				//portfolio has been oversold   			
!         	coefficient = 1;
!     		//else the previous coeff is kept or, if no threshold has been
!     		//reached, then no positions will be opened (coefficient = 0) 
!     		returnValue[i + 1] = coefficient * plainReturns[i + 1];
!       }
!       return returnValue;
  			
  			//return plainReturns;
  		}
!     
!     protected override float[] getStrategyReturns()
  		{
  			float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
!              								 this.returnsManager);
  			return this.getStrategyReturns_getReturnsActually(plainReturns);
  		}
!     	
!     #endregion
!        
  
!     private void getFitnessValue_setCurrentThresholds(Genome genome)
!     {
!     	this.currentOversoldThreshold = Convert.ToDouble(genome.Genes()[0])/
!                                       Convert.ToDouble(this.divisorForThresholdComputation);
!     	
!     	if(this.symmetricalThresholds)
!     		this.currentOverboughtThreshold = this.currentOversoldThreshold;
!     	else
!      		this.currentOverboughtThreshold = Convert.ToDouble(genome.Genes()[1])/
!                                         	Convert.ToDouble(this.divisorForThresholdComputation);
!     }
!     
!     protected int getFitnessValue_getDaysOnTheMarket()
!     {
!       int returnValue = 0;
!       foreach(float strategyReturn in this.strategyReturns)
!         if(strategyReturn != 0)
!         //the applied strategy gets positions on the market
!           returnValue++;
  
!       return returnValue;
!     }
  		
!     private double getFitnessValue_calculate_calculateActually()
!     {
!     	return this.AverageOfStrategyReturns/Math.Sqrt(this.VarianceOfStrategyReturns);
  			//return Math.Sqrt(this.VarianceOfStrategyReturns);
!     }
!     
!     
!     protected override double getFitnessValue_calculate()
!     {
  			double returnValue = -1.0;
! 				if(this.getFitnessValue_getDaysOnTheMarket() >
!           this.strategyReturns.Length / 2)
! 	    	//if the genome represents a portfolio that stays on the market
! 	      //at least half of the theoretical days
! 						returnValue = 
! 							this.getFitnessValue_calculate_calculateActually();
  			return returnValue;
!     }
!     
!     protected string getFitnessValue_getFirstTickerFromGenome(Genome genome)
!     {
!     	GenomeMeaningPVO genomeMeaning = (GenomeMeaningPVO)genome.Meaning;
!     	return genomeMeaning.Tickers[0];
!     }
!     protected string getFitnessValue_getSecondTickerFromGenome(Genome genome)
!     {
!     	GenomeMeaningPVO genomeMeaning = (GenomeMeaningPVO)genome.Meaning;
!     	return genomeMeaning.Tickers[1];
!     }
!     
  		//fitness is a sharpe-ratio based indicator for the equity line resulting
  		//from applying the strategy
! 	  public override double GetFitnessValue(Genome genome)
!     {
! //OLD CLASSICAL IMPLEMENTATION (sharpeRatio applied to strategyReturns)
! //      this.getFitnessValue_setCurrentThresholds(genome);
! //      return base.GetFitnessValue(genome);
  
! //NEW implementation: fitness is just the pearson correlation
! //applied to two tickers. This kind of fitness is only valid
! //for experimental tests with 2-tickers portfolios
  			double returnValue = -2.0;
  			if(this.correlationProvider == null)
--- 234,328 ----
  			//has been entered
  			float coefficient = 0;
! 			for(int i = 0; i < returnValue.Length - 1; i++)
! 			{
! 				if( plainReturns[i] >= (float)this.currentOverboughtThreshold )
! 					//portfolio has been overbought
! 					coefficient = -1;
! 				else if( plainReturns[i] <= - (float)this.currentOversoldThreshold )
! 					//portfolio has been oversold
! 					coefficient = 1;
! 				//else the previous coeff is kept or, if no threshold has been
! 				//reached, then no positions will be opened (coefficient = 0)
! 				returnValue[i + 1] = coefficient * plainReturns[i + 1];
! 			}
! 			return returnValue;
  			
  			//return plainReturns;
  		}
! 		
! 		protected override float[] getStrategyReturns()
  		{
  			float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
! 				this.returnsManager);
  			return this.getStrategyReturns_getReturnsActually(plainReturns);
  		}
! 		
! 		#endregion
! 		
  
! 		private void getFitnessValue_setCurrentThresholds(Genome genome)
! 		{
! 			this.currentOversoldThreshold = Convert.ToDouble(genome.Genes()[0])/
! 				Convert.ToDouble(this.divisorForThresholdComputation);
! 			
! 			if(this.symmetricalThresholds)
! 				this.currentOverboughtThreshold = this.currentOversoldThreshold;
! 			else
! 				this.currentOverboughtThreshold = Convert.ToDouble(genome.Genes()[1])/
! 					Convert.ToDouble(this.divisorForThresholdComputation);
! 		}
! 		
! 		protected int getFitnessValue_getDaysOnTheMarket()
! 		{
! 			int returnValue = 0;
! 			foreach(float strategyReturn in this.strategyReturns)
! 				if(strategyReturn != 0)
! 				//the applied strategy gets positions on the market
! 				returnValue++;
  
! 			return returnValue;
! 		}
  		
! 		private double getFitnessValue_calculate_calculateActually()
! 		{
! 			return this.AverageOfStrategyReturns/Math.Sqrt(this.VarianceOfStrategyReturns);
  			//return Math.Sqrt(this.VarianceOfStrategyReturns);
! 		}
! 		
! 		
! 		protected override double getFitnessValue_calculate()
! 		{
  			double returnValue = -1.0;
! 			if(this.getFitnessValue_getDaysOnTheMarket() >
! 			   this.strategyReturns.Length / 2)
! 				//if the genome represents a portfolio that stays on the market
! 				//at least half of the theoretical days
! 				returnValue =
! 					this.getFitnessValue_calculate_calculateActually();
  			return returnValue;
! 		}
! 		
! 		protected string getFitnessValue_getFirstTickerFromGenome(Genome genome)
! 		{
! 			GenomeMeaningPVO genomeMeaning = (GenomeMeaningPVO)genome.Meaning;
! 			return genomeMeaning.Tickers[0];
! 		}
! 		protected string getFitnessValue_getSecondTickerFromGenome(Genome genome)
! 		{
! 			GenomeMeaningPVO genomeMeaning = (GenomeMeaningPVO)genome.Meaning;
! 			return genomeMeaning.Tickers[1];
! 		}
! 		
  		//fitness is a sharpe-ratio based indicator for the equity line resulting
  		//from applying the strategy
! 		public override double GetFitnessValue(Genome genome)
! 		{
! 			//OLD CLASSICAL IMPLEMENTATION (sharpeRatio applied to strategyReturns)
! 			//      this.getFitnessValue_setCurrentThresholds(genome);
! 			//      return base.GetFitnessValue(genome);
  
! 			//NEW implementation: fitness is just the pearson correlation
! 			//applied to two tickers. This kind of fitness is only valid
! 			//for experimental tests with 2-tickers portfolios
  			double returnValue = -2.0;
  			if(this.correlationProvider == null)
***************
*** 331,336 ****
  			string secondTicker = this.getFitnessValue_getSecondTickerFromGenome(genome);
  			if(  ( firstTicker.StartsWith("-") && !secondTicker.StartsWith("-") ) ||
! 			   	 ( secondTicker.StartsWith("-") && !firstTicker.StartsWith("-") )     )
! 			//tickers have to be opposite in sign	
  			{
  				double correlationIndex = correlationProvider.GetPearsonCorrelation(
--- 333,338 ----
  			string secondTicker = this.getFitnessValue_getSecondTickerFromGenome(genome);
  			if(  ( firstTicker.StartsWith("-") && !secondTicker.StartsWith("-") ) ||
! 			   ( secondTicker.StartsWith("-") && !firstTicker.StartsWith("-") )     )
! 				//tickers have to be opposite in sign
  			{
  				double correlationIndex = correlationProvider.GetPearsonCorrelation(
***************
*** 338,463 ****
  					SignedTicker.GetTicker(secondTicker) );
  				if(correlationIndex < 0.96)
! 				//	if correlation index is not too high to be 
! 				//  probably originated by the same instrument
  					returnValue = correlationIndex;
  			}
  			return returnValue;
!     }
!     	  
!     public override object Decode(Genome genome)
!     {
!       string[] arrayOfTickers = 
!       	new string[genome.Genes().Length - this.numOfGenesDedicatedToThresholds];
!       int geneForTicker;
!       GenomeMeaningPVO meaning;
!       for(int genePosition = this.numOfGenesDedicatedToThresholds;
!           genePosition < genome.Genes().Length;
!           genePosition++)
!       {
!         geneForTicker = (int)genome.Genes().GetValue(genePosition);
!         arrayOfTickers[genePosition - this.numOfGenesDedicatedToThresholds] = 
!                   this.decode_getTickerCodeForLongOrShortTrade(geneForTicker);
!       }
!       	
!       double[] arrayOfWeights = ExtendedMath.ArrayOfAbs(
  				WeightedPositions.GetBalancedWeights(new SignedTickers(arrayOfTickers),
! 	                                     this.returnsManager) );
!       
!       if(this.symmetricalThresholds)
!       		meaning = new GenomeMeaningPVO(arrayOfTickers,
! 																			arrayOfWeights,
!                                       Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
!                                       Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
!                                      	this.numDaysForOscillatingPeriod);
!       else
!       		meaning = new GenomeMeaningPVO(arrayOfTickers,
! 																			arrayOfWeights,
!                                       Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
!                                       Convert.ToDouble(genome.Genes()[1])/Convert.ToDouble(this.divisorForThresholdComputation),
!                                      	this.numDaysForOscillatingPeriod);
!       return meaning;
!     }
  
!     public override Genome[] GetChilds(Genome parent1, Genome parent2)
!     {
!     	//in this simple implementation
!     	//child have the tickers of one parent
!     	//and the thresholds of the other
!     	Genome[] childs = new Genome[2];
!     	childs[0] = parent1.Clone();
!     	childs[1] = parent2.Clone();
!     	//exchange of genes coding thresholds
!      	
!     	if(this.symmetricalThresholds)//unique value for thresholds
!     	{
!     		childs[0].SetGeneValue(parent2.GetGeneValue(0),0);
!     		childs[1].SetGeneValue(parent1.GetGeneValue(0),0);
!     	}
!     	else//two different values for thresholds
!     	{
!     		childs[0].SetGeneValue(parent2.GetGeneValue(0),0);
!     		childs[1].SetGeneValue(parent1.GetGeneValue(0),0);
!     		childs[0].SetGeneValue(parent2.GetGeneValue(1),1);
!     		childs[1].SetGeneValue(parent1.GetGeneValue(1),1);
!     	}
!     	return childs;
!     }
  
!     public override int GetNewGeneValue(Genome genome, int genePosition)
!     {
!       // in this implementation only new gene values pointing to tickers
!       // must be different from the others already stored
!       int minValueForGene = genome.GetMinValueForGenes(genePosition);
!       int maxValueForGene = genome.GetMaxValueForGenes(genePosition);
!       int returnValue = GenomeManagement.RandomGenerator.Next(minValueForGene,
!                                       maxValueForGene + 1);
!       
!       if(this.numOfGenesDedicatedToThresholds == 2 &&
!          this.overboughtMoreThanOversoldForFixedPortfolio && genePosition == 1)
!       //genePosition points to overbought threshold,
!       //dipendent from the oversold one such that the portfolio tends to be fix
!       	  returnValue = Convert.ToInt32(Convert.ToDouble(genome.GetGeneValue(0)) * Convert.ToDouble(this.divisorForThresholdComputation) /
!       					      (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(genome.GetGeneValue(0))));
!       
!       while(genePosition > this.numOfGenesDedicatedToThresholds - 1
! 	          && GenomeManipulator.IsTickerContainedInGenome(returnValue,
!       	                                                genome,
!       	                                                this.numOfGenesDedicatedToThresholds,
!       	                                                genome.Size - 1))
! 	    //while in the given position has to be stored
! 	    //a new gene pointing to a ticker and
! 	    //the proposed returnValue points to a ticker
! 	    //already stored in the given genome
! 	              returnValue = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 	        														maxValueForGene + 1);
! 	    
!       return returnValue;
!     }
!         
!     public override void Mutate(Genome genome)
!     {
!       // in this implementation only one gene is mutated
!       int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
!       int minValueForGene = genome.GetMinValueForGenes(genePositionToBeMutated);
!       int maxValueForGene = genome.GetMaxValueForGenes(genePositionToBeMutated);
!       int newValueForGene = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 	        																maxValueForGene +1);
!       while(genePositionToBeMutated > this.numOfGenesDedicatedToThresholds - 1 &&
! 	          GenomeManipulator.IsTickerContainedInGenome(newValueForGene,
!       	                                            genome,
!       	                                            this.numOfGenesDedicatedToThresholds,
!       	                                            genome.Size - 1))
! 	    //while in the proposed genePositionToBeMutated has to be stored
! 	    //a new gene pointing to a ticker and
! 	    //the proposed newValueForGene points to a ticker
! 	    //already stored in the given genome
! 	          newValueForGene = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 	        																	maxValueForGene +1);
!       //TODO add if when it is mutated a threshold 
!       //(just a single threshold or the pair of thresholds)
! 	    if(genePositionToBeMutated > this.numOfGenesDedicatedToThresholds - 1)
! 	        GenomeManagement.MutateOneGene(genome,
! 	          genePositionToBeMutated, newValueForGene);
!     }
!   }
  }
--- 340,465 ----
  					SignedTicker.GetTicker(secondTicker) );
  				if(correlationIndex < 0.96)
! 					//	if correlation index is not too high to be
! 					//  probably originated by the same instrument
  					returnValue = correlationIndex;
  			}
  			return returnValue;
! 		}
! 		
! 		public override object Decode(Genome genome)
! 		{
! 			string[] arrayOfTickers =
! 				new string[genome.Genes().Length - this.numOfGenesDedicatedToThresholds];
! 			int geneForTicker;
! 			GenomeMeaningPVO meaning;
! 			for(int genePosition = this.numOfGenesDedicatedToThresholds;
! 			    genePosition < genome.Genes().Length;
! 			    genePosition++)
! 			{
! 				geneForTicker = (int)genome.Genes().GetValue(genePosition);
! 				arrayOfTickers[genePosition - this.numOfGenesDedicatedToThresholds] =
! 					this.decode_getTickerCodeForLongOrShortTrade(geneForTicker);
! 			}
! 			
! 			double[] arrayOfWeights = ExtendedMath.ArrayOfAbs(
  				WeightedPositions.GetBalancedWeights(new SignedTickers(arrayOfTickers),
! 				                                     this.returnsManager) );
! 			
! 			if(this.symmetricalThresholds)
! 				meaning = new GenomeMeaningPVO(arrayOfTickers,
! 				                               arrayOfWeights,
! 				                               Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
! 				                               Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
! 				                               this.numDaysForOscillatingPeriod);
! 			else
! 				meaning = new GenomeMeaningPVO(arrayOfTickers,
! 				                               arrayOfWeights,
! 				                               Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
! 				                               Convert.ToDouble(genome.Genes()[1])/Convert.ToDouble(this.divisorForThresholdComputation),
! 				                               this.numDaysForOscillatingPeriod);
! 			return meaning;
! 		}
  
! 		public override Genome[] GetChilds(Genome parent1, Genome parent2)
! 		{
! 			//in this simple implementation
! 			//child have the tickers of one parent
! 			//and the thresholds of the other
! 			Genome[] childs = new Genome[2];
! 			childs[0] = parent1.Clone();
! 			childs[1] = parent2.Clone();
! 			//exchange of genes coding thresholds
! 			
! 			if(this.symmetricalThresholds)//unique value for thresholds
! 			{
! 				childs[0].SetGeneValue(parent2.GetGeneValue(0),0);
! 				childs[1].SetGeneValue(parent1.GetGeneValue(0),0);
! 			}
! 			else//two different values for thresholds
! 			{
! 				childs[0].SetGeneValue(parent2.GetGeneValue(0),0);
! 				childs[1].SetGeneValue(parent1.GetGeneValue(0),0);
! 				childs[0].SetGeneValue(parent2.GetGeneValue(1),1);
! 				childs[1].SetGeneValue(parent1.GetGeneValue(1),1);
! 			}
! 			return childs;
! 		}
  
! 		public override int GetNewGeneValue(Genome genome, int genePosition)
! 		{
! 			// in this implementation only new gene values pointing to tickers
! 			// must be different from the others already stored
! 			int minValueForGene = genome.GetMinValueForGenes(genePosition);
! 			int maxValueForGene = genome.GetMaxValueForGenes(genePosition);
! 			int returnValue = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 			                                                        maxValueForGene + 1);
! 			
! 			if(this.numOfGenesDedicatedToThresholds == 2 &&
! 			   this.overboughtMoreThanOversoldForFixedPortfolio && genePosition == 1)
! 				//genePosition points to overbought threshold,
! 				//dipendent from the oversold one such that the portfolio tends to be fix
! 				returnValue = Convert.ToInt32(Convert.ToDouble(genome.GetGeneValue(0)) * Convert.ToDouble(this.divisorForThresholdComputation) /
! 				                              (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(genome.GetGeneValue(0))));
! 			
! 			while(genePosition > this.numOfGenesDedicatedToThresholds - 1
! 			      && GenomeManipulator.IsTickerContainedInGenome(returnValue,
! 			                                                     genome,
! 			                                                     this.numOfGenesDedicatedToThresholds,
! 			                                                     genome.Size - 1))
! 				//while in the given position has to be stored
! 				//a new gene pointing to a ticker and
! 				//the proposed returnValue points to a ticker
! 				//already stored in the given genome
! 				returnValue = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 				                                                    maxValueForGene + 1);
! 			
! 			return returnValue;
! 		}
! 		
! 		public override void Mutate(Genome genome)
! 		{
! 			// in this implementation only one gene is mutated
! 			int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
! 			int minValueForGene = genome.GetMinValueForGenes(genePositionToBeMutated);
! 			int maxValueForGene = genome.GetMaxValueForGenes(genePositionToBeMutated);
! 			int newValueForGene = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 			                                                            maxValueForGene +1);
! 			while(genePositionToBeMutated > this.numOfGenesDedicatedToThresholds - 1 &&
! 			      GenomeManipulator.IsTickerContainedInGenome(newValueForGene,
! 			                                                  genome,
! 			                                                  this.numOfGenesDedicatedToThresholds,
! 			                                                  genome.Size - 1))
! 				//while in the proposed genePositionToBeMutated has to be stored
! 				//a new gene pointing to a ticker and
! 				//the proposed newValueForGene points to a ticker
! 				//already stored in the given genome
! 				newValueForGene = GenomeManagement.RandomGenerator.Next(minValueForGene,
! 				                                                        maxValueForGene +1);
! 			//TODO add if when it is mutated a threshold
! 			//(just a single threshold or the pair of thresholds)
! 			if(genePositionToBeMutated > this.numOfGenesDedicatedToThresholds - 1)
! 				GenomeManagement.MutateOneGene(genome,
! 				                               genePositionToBeMutated, newValueForGene);
! 		}
! 	}
  }

Index: EndOfDayTimerHandlerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EndOfDayTimerHandlerPVO.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** EndOfDayTimerHandlerPVO.cs	19 Aug 2008 17:11:28 -0000	1.10
--- EndOfDayTimerHandlerPVO.cs	29 Sep 2008 21:17:25 -0000	1.11
***************
*** 51,55 ****
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerPVO : EndOfDayTimerHandler
  	{
  		protected int minLevelForOversoldThreshold;
--- 51,56 ----
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerPVO :
! 		QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler
  	{
  		protected int minLevelForOversoldThreshold;
***************
*** 116,126 ****
  		}
  		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			;
  		}
  
! 		#region MarketCloseEventHandler
  		
  		protected virtual double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
--- 117,127 ----
  		}
  		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			;
  		}
  
! 		#region marketCloseEventHandler
  		
  		protected virtual double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
***************
*** 133,143 ****
  				DateTime today =
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
! 					new EndOfDayDateTime(firstDayOfOscillatingPeriod,
! 					                     EndOfDaySpecificTime.MarketClose) ,
! 					new EndOfDayDateTime(today,
! 					                     EndOfDaySpecificTime.MarketClose) ,
! 					this.benchmark , this.numDaysForOscillatingPeriod ) ,
! 				                                                   this.historicalQuoteProvider );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
  			}
--- 134,149 ----
  				DateTime today =
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				ReturnsManager returnsManager = new ReturnsManager(
! 					new CloseToCloseIntervals(
! 						HistoricalEndOfDayTimer.GetMarketClose(
! 							firstDayOfOscillatingPeriod ) ,
! 						HistoricalEndOfDayTimer.GetMarketClose( today ) ,
! //					new EndOfDayDateTime(firstDayOfOscillatingPeriod,
! //					                     EndOfDaySpecificTime.MarketClose) ,
! //					new EndOfDayDateTime(today,
! //					                     EndOfDaySpecificTime.MarketClose) ,
! 						this.benchmark ,
! 						this.numDaysForOscillatingPeriod ) ,
! 					this.historicalQuoteProvider );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
  			}
***************
*** 254,259 ****
  		}
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
--- 260,265 ----
  		}
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
***************
*** 272,276 ****
  		#endregion
  		
! 		#region OneHourAfterMarketCloseEventHandler
  		
  		protected virtual DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
--- 278,282 ----
  		#endregion
  		
! 		#region oneHourAfterMarketCloseEventHandler
  		
  		protected virtual DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
***************
*** 404,411 ****
  		/// <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++;
--- 410,417 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			this.lastCloseDate = dateTime;
  			this.seedForRandomGenerator++;
  			this.numDaysElapsedSinceLastOptimization++;
***************
*** 414,418 ****
  				//num days without optimization has elapsed
  			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 420,424 ----
  				//num days without optimization has elapsed
  			{
! 				this.setTickers(dateTime, false);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
***************
*** 421,424 ****
--- 427,441 ----
  		}
  		#endregion
+ 		
+ 		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 );
+ 		}
  	}
  }

Index: GenomeManagerPVO_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/GenomeManagerPVO_OTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerPVO_OTC.cs	14 Jan 2008 22:58:11 -0000	1.1
--- GenomeManagerPVO_OTC.cs	29 Sep 2008 21:17:25 -0000	1.2
***************
*** 3,7 ****
  
  GenomeManagerPVO_OTC.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  GenomeManagerPVO_OTC.cs
! Copyright (C) 2008
  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;
***************
*** 47,109 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerPVO_OTC : GenomeManagerPVO
!   {
!        
!     public GenomeManagerPVO_OTC(DataTable setOfInitialTickers,
!                            DateTime firstQuoteDate,
!                            DateTime lastQuoteDate,
!                            int numberOfTickersInPortfolio,
!                            int minLevelForOversoldThreshold,
! 	                         int maxLevelForOversoldThreshold,
! 	                         int minLevelForOverboughtThreshold,
! 	                         int maxLevelForOverboughtThreshold,
!                            int divisorForThresholdComputation,
!                            bool symmetricalThresholds,
!                            bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
!                            :
! 														base(setOfInitialTickers,
! 														firstQuoteDate,
! 														lastQuoteDate,
! 														numberOfTickersInPortfolio,
! 														1,
! 														minLevelForOversoldThreshold,
! 														maxLevelForOversoldThreshold,
! 														minLevelForOverboughtThreshold,
! 														maxLevelForOverboughtThreshold,
! 														divisorForThresholdComputation,
! 														symmetricalThresholds,
! 														overboughtMoreThanOversoldForFixedPortfolio,
! 														inSamplePortfolioType,
! 														benchmark)
!                                 
!                           
!     {
!     	
!     }
!     
!     protected override void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
!     {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate,
!     		EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate,
! 				EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( new DailyOpenToCloseIntervals(
! 															  firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark),
! 														new HistoricalRawQuoteProvider() );
!     }
!        
!     
  		//fitness is a sharpe-ratio based indicator for the equity line resulting
  		//from applying the strategy
! 	  public override double GetFitnessValue(Genome genome)
!     {
  			//NEW implementation: fitness is just the pearson correlation
  			//applied to two tickers. This kind of fitness is only valid
--- 47,111 ----
  	/// </summary>
  	[Serializable]
! 	public class GenomeManagerPVO_OTC : GenomeManagerPVO
! 	{
! 		
! 		public GenomeManagerPVO_OTC(DataTable setOfInitialTickers,
! 		                            DateTime firstQuoteDate,
! 		                            DateTime lastQuoteDate,
! 		                            int numberOfTickersInPortfolio,
! 		                            int minLevelForOversoldThreshold,
! 		                            int maxLevelForOversoldThreshold,
! 		                            int minLevelForOverboughtThreshold,
! 		                            int maxLevelForOverboughtThreshold,
! 		                            int divisorForThresholdComputation,
! 		                            bool symmetricalThresholds,
! 		                            bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                            PortfolioType inSamplePortfolioType,
! 		                            string benchmark)
! 			:
! 			base(setOfInitialTickers,
! 			     firstQuoteDate,
! 			     lastQuoteDate,
! 			     numberOfTickersInPortfolio,
! 			     1,
! 			     minLevelForOversoldThreshold,
! 			     maxLevelForOversoldThreshold,
! 			     minLevelForOverboughtThreshold,
! 			     maxLevelForOverboughtThreshold,
! 			     divisorForThresholdComputation,
! 			     symmetricalThresholds,
! 			     overboughtMoreThanOversoldForFixedPortfolio,
! 			     inSamplePortfolioType,
! 			     benchmark)
! 			
! 			
! 		{
! 			
! 		}
! 		
! 		protected override void setReturnsManager(DateTime firstQuoteDate,
! 		                                          DateTime lastQuoteDate)
! 		{
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate,
! 			//    		EndOfDaySpecificTime.MarketOpen);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate,
! //				EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager =
! 				new ReturnsManager( new DailyOpenToCloseIntervals(
! 					firstDateTime,
! 					lastDateTime,
! 					this.benchmark),
! 				                   new HistoricalRawQuoteProvider() );
! 		}
! 		
! 		
  		//fitness is a sharpe-ratio based indicator for the equity line resulting
  		//from applying the strategy
! 		public override double GetFitnessValue(Genome genome)
! 		{
  			//NEW implementation: fitness is just the pearson correlation
  			//applied to two tickers. This kind of fitness is only valid
***************
*** 117,122 ****
  			string secondTicker = this.getFitnessValue_getSecondTickerFromGenome(genome);
  			if(  ( firstTicker.StartsWith("-") && !secondTicker.StartsWith("-") ) ||
! 			   	 ( secondTicker.StartsWith("-") && !firstTicker.StartsWith("-") )     )
! 			//tickers have to be opposite in sign	
  			{
  				double correlationIndex = correlationProvider.GetPearsonCorrelation(
--- 119,124 ----
  			string secondTicker = this.getFitnessValue_getSecondTickerFromGenome(genome);
  			if(  ( firstTicker.StartsWith("-") && !secondTicker.StartsWith("-") ) ||
! 			   ( secondTicker.StartsWith("-") && !firstTicker.StartsWith("-") )     )
! 				//tickers have to be opposite in sign
  			{
  				double correlationIndex = correlationProvider.GetPearsonCorrelation(
***************
*** 124,133 ****
  					SignedTicker.GetTicker(secondTicker) );
  				if(correlationIndex < 0.96)
! 				//	if correlation index is not too high to be 
! 				//  probably originated by the same instrument
  					returnValue = correlationIndex;
  			}
  			return returnValue;
!     }
!   }
  }
--- 126,135 ----
  					SignedTicker.GetTicker(secondTicker) );
  				if(correlationIndex < 0.96)
! 					//	if correlation index is not too high to be
! 					//  probably originated by the same instrument
  					returnValue = correlationIndex;
  			}
  			return returnValue;
! 		}
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO RunWeightedPVO.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17098/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO

Modified Files:
	RunWeightedPVO.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: RunWeightedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/RunWeightedPVO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunWeightedPVO.cs	19 Aug 2008 17:13:13 -0000	1.3
--- RunWeightedPVO.cs	29 Sep 2008 21:19:05 -0000	1.4
***************
*** 128,132 ****
  		protected override void run_initializeHistoricalQuoteProvider()
  		{
! 			this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		
--- 128,132 ----
  		protected override void run_initializeHistoricalQuoteProvider()
  		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
  		}
  		
***************
*** 134,148 ****
  		{
  			
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.endOfDayTimerHandler.MarketCloseEventHandler);
! 			
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.checkDateForReport);
! 			
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
  		}
  
--- 134,153 ----
  		{
  			
! 			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);
  		}
  
***************
*** 178,182 ****
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
--- 183,187 ----
  			//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 GenomeManagerForEfficientCTCPortfolio.cs, 1.14, 1.15 GenomeManagerForEfficientCTOPortfolio.cs, 1.20, 1.21 GenomeManagerForEfficientOTCCTOPortfolio.cs, 1.6, 1.7 GenomeManagerForEfficientOTCPortfolio.cs, 1.3, 1.4 GenomeManagerForWeightedEfficientPortfolio.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16773

Modified Files:
	GenomeManagerForEfficientCTCPortfolio.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	GenomeManagerForEfficientOTCCTOPortfolio.cs 
	GenomeManagerForEfficientOTCPortfolio.cs 
	GenomeManagerForWeightedEfficientPortfolio.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: GenomeManagerForEfficientCTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTCPortfolio.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** GenomeManagerForEfficientCTCPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.14
--- GenomeManagerForEfficientCTCPortfolio.cs	29 Sep 2008 21:18:30 -0000	1.15
***************
*** 3,7 ****
  
  GenomeManagerForEfficientCTCPortfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  GenomeManagerForEfficientCTCPortfolio.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;
***************
*** 34,90 ****
  {
  	/// <summary>
! 	/// Class to find efficient 
  	/// portfolios based on tickers' CloseToClose rates (adjusted values),
  	/// using the GeneticOptimizer
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientCTCPortfolio : GenomeManagerForEfficientPortfolio
!   {
!     private int numDaysForReturnCalculation;
!     private ReturnsManager returnsManager;
!     
!   	public GenomeManagerForEfficientCTCPortfolio(DataTable setOfInitialTickers,
!                                                  DateTime firstQuoteDate,
!                                                  DateTime lastQuoteDate,
!                                                  int numberOfTickersInPortfolio,
!                                                  int numDaysForReturnCalculation,
!                                                  double targetPerformance,
!                                                  PortfolioType portfolioType,
!                                                  string benchmark)
!                                                  :
!                                                 base(setOfInitialTickers,
!                                                 firstQuoteDate,
!                                                 lastQuoteDate,
!                                                 numberOfTickersInPortfolio,
!                                                 targetPerformance,
!                                                 portfolioType,
!                                                	benchmark)
!                                 
!                           
!     {
!     	this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!     	this.setReturnsManager(firstQuoteDate, lastQuoteDate);
!     }
!   	
!     private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
!     {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( new CloseToCloseIntervals(
! 															  firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark,
! 															  this.numDaysForReturnCalculation),
! 														new HistoricalAdjustedQuoteProvider() );
!     }
!     
!   	protected override float[] getStrategyReturns()
  		{
!   		return this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
  		}
!   }
  }
--- 34,92 ----
  {
  	/// <summary>
! 	/// Class to find efficient
  	/// portfolios based on tickers' CloseToClose rates (adjusted values),
  	/// using the GeneticOptimizer
  	/// </summary>
  	[Serializable]
! 	public class GenomeManagerForEfficientCTCPortfolio : GenomeManagerForEfficientPortfolio
! 	{
! 		private int numDaysForReturnCalculation;
! 		private ReturnsManager returnsManager;
! 		
! 		public GenomeManagerForEfficientCTCPortfolio(DataTable setOfInitialTickers,
! 		                                             DateTime firstQuoteDate,
! 		                                             DateTime lastQuoteDate,
! 		                                             int numberOfTickersInPortfolio,
! 		                                             int numDaysForReturnCalculation,
! 		                                             double targetPerformance,
! 		                                             PortfolioType portfolioType,
! 		                                             string benchmark)
! 			:
! 			base(setOfInitialTickers,
! 			     firstQuoteDate,
! 			     lastQuoteDate,
! 			     numberOfTickersInPortfolio,
! 			     targetPerformance,
! 			     portfolioType,
! 			     benchmark)
! 			
! 			
  		{
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.setReturnsManager(firstQuoteDate, lastQuoteDate);
  		}
! 		
! 		private void setReturnsManager(DateTime firstQuoteDate,
! 		                               DateTime lastQuoteDate)
! 		{
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager =
! 				new ReturnsManager( new CloseToCloseIntervals(
! 					firstDateTime,
! 					lastDateTime,
! 					this.benchmark,
! 					this.numDaysForReturnCalculation),
! 				                   new HistoricalAdjustedQuoteProvider() );
! 		}
! 		
! 		protected override float[] getStrategyReturns()
! 		{
! 			return this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
! 		}
! 	}
  }

Index: GenomeManagerForEfficientOTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientOTCPortfolio.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GenomeManagerForEfficientOTCPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.3
--- GenomeManagerForEfficientOTCPortfolio.cs	29 Sep 2008 21:18:30 -0000	1.4
***************
*** 3,7 ****
  
  GenomeManagerForEfficientOTCPortfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  GenomeManagerForEfficientOTCPortfolio.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;
***************
*** 33,84 ****
  {
  	/// <summary>
! 	/// This class implements IGenomeManager, in order to find efficient 
  	/// portfolios based on tickers' OpenToClose rates, using the
  	/// GeneticOptimizer
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientOTCPortfolio : GenomeManagerForEfficientPortfolio
!   {
!     private ReturnsManager returnsManager;
!   	public GenomeManagerForEfficientOTCPortfolio(DataTable setOfInitialTickers,
!                                                  DateTime firstQuoteDate,
!                                                  DateTime lastQuoteDate,
!                                                  int numberOfTickersInPortfolio,
!                                                  double targetPerformance,
!                                                  PortfolioType portfolioType,
! 																								 string benchmark)
! 																									:base(setOfInitialTickers,
! 																											firstQuoteDate,
! 																											lastQuoteDate,
! 																											numberOfTickersInPortfolio,
! 																											targetPerformance,
! 																											portfolioType,
! 																											benchmark)
!                           
!     {
!     	this.setReturnsManager(firstQuoteDate, lastQuoteDate);
!     }
!     
!     private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
!     {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager(
!             new DailyOpenToCloseIntervals(
! 										firstEndOfDayDateTime, 
! 										lastEndOfDayDateTime, 
! 										this.benchmark ),
!     			  new HistoricalRawQuoteProvider() );
!     }
!     
  		protected override float[] getStrategyReturns()
  		{
! 			return 
  				this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
  		}
!   }
  }
--- 33,86 ----
  {
  	/// <summary>
! 	/// This class implements IGenomeManager, in order to find efficient
  	/// portfolios based on tickers' OpenToClose rates, using the
  	/// GeneticOptimizer
  	/// </summary>
  	[Serializable]
! 	public class GenomeManagerForEfficientOTCPortfolio : GenomeManagerForEfficientPortfolio
! 	{
! 		private ReturnsManager returnsManager;
! 		public GenomeManagerForEfficientOTCPortfolio(DataTable setOfInitialTickers,
! 		                                             DateTime firstQuoteDate,
! 		                                             DateTime lastQuoteDate,
! 		                                             int numberOfTickersInPortfolio,
! 		                                             double targetPerformance,
! 		                                             PortfolioType portfolioType,
! 		                                             string benchmark)
! 			:base(setOfInitialTickers,
! 			      firstQuoteDate,
! 			      lastQuoteDate,
! 			      numberOfTickersInPortfolio,
! 			      targetPerformance,
! 			      portfolioType,
! 			      benchmark)
! 			
! 		{
! 			this.setReturnsManager(firstQuoteDate, lastQuoteDate);
! 		}
! 		
! 		private void setReturnsManager(DateTime firstQuoteDate,
! 		                               DateTime lastQuoteDate)
! 		{
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager =
! 				new ReturnsManager(
! 					new DailyOpenToCloseIntervals(
! 						firstDateTime,
! 						lastDateTime,
! 						this.benchmark ),
! 					new HistoricalRawQuoteProvider() );
! 		}
! 		
  		protected override float[] getStrategyReturns()
  		{
! 			return
  				this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
  		}
! 	}
  }

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** GenomeManagerForEfficientCTOPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.20
--- GenomeManagerForEfficientCTOPortfolio.cs	29 Sep 2008 21:18:30 -0000	1.21
***************
*** 3,7 ****
  
  GenomeManagerForEfficientCTOPortfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  GenomeManagerForEfficientCTOPortfolio.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;
***************
*** 34,85 ****
  {
  	/// <summary>
! 	/// This class implements IGenomeManager, in order to find efficient 
  	/// portfolios based on tickers' CloseToOpen rates, using the
  	/// GeneticOptimizer
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientCTOPortfolio : GenomeManagerForEfficientPortfolio
!   {
!     private ReturnsManager returnsManager;
!   	
!   	public GenomeManagerForEfficientCTOPortfolio(DataTable setOfInitialTickers,
!                                                  DateTime firstQuoteDate,
!                                                  DateTime lastQuoteDate,
!                                                  int numberOfTickersInPortfolio,
!                                                  double targetPerformance,
!                                                  PortfolioType portfolioType,
! 																								 string benchmark)
!                                 :base(setOfInitialTickers,
!                                      firstQuoteDate,
!                                      lastQuoteDate,
!                                      numberOfTickersInPortfolio,
!                                      targetPerformance,
!                                      portfolioType,
!                                      benchmark)
!                           
!     {
!     	this.setReturnsManager(firstQuoteDate, lastQuoteDate); 
!     }
!   	
!      private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
!     {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( new CloseToOpenIntervals(
! 															  firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark),
! 														new HistoricalAdjustedQuoteProvider() );
!     }
!     
!   	protected override float[] getStrategyReturns()
  		{
!   		return this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
  		}
!   	
!   }
  }
--- 34,87 ----
  {
  	/// <summary>
! 	/// This class implements IGenomeManager, in order to find efficient
  	/// portfolios based on tickers' CloseToOpen rates, using the
  	/// GeneticOptimizer
  	/// </summary>
  	[Serializable]
! 	public class GenomeManagerForEfficientCTOPortfolio : GenomeManagerForEfficientPortfolio
! 	{
! 		private ReturnsManager returnsManager;
! 		
! 		public GenomeManagerForEfficientCTOPortfolio(DataTable setOfInitialTickers,
! 		                                             DateTime firstQuoteDate,
! 		                                             DateTime lastQuoteDate,
! 		                                             int numberOfTickersInPortfolio,
! 		                                             double targetPerformance,
! 		                                             PortfolioType portfolioType,
! 		                                             string benchmark)
! 			:base(setOfInitialTickers,
! 			      firstQuoteDate,
! 			      lastQuoteDate,
! 			      numberOfTickersInPortfolio,
! 			      targetPerformance,
! 			      portfolioType,
! 			      benchmark)
! 			
  		{
! 			this.setReturnsManager(firstQuoteDate, lastQuoteDate);
  		}
! 		
! 		private void setReturnsManager(DateTime firstQuoteDate,
! 		                               DateTime lastQuoteDate)
! 		{
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager =
! 				new ReturnsManager( new CloseToOpenIntervals(
! 					firstDateTime,
! 					lastDateTime,
! 					this.benchmark),
! 				                   new HistoricalAdjustedQuoteProvider() );
! 		}
! 		
! 		protected override float[] getStrategyReturns()
! 		{
! 			return this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
! 		}
! 		
! 	}
  }

Index: GenomeManagerForEfficientOTCCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientOTCCTOPortfolio.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** GenomeManagerForEfficientOTCCTOPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.6
--- GenomeManagerForEfficientOTCCTOPortfolio.cs	29 Sep 2008 21:18:30 -0000	1.7
***************
*** 3,7 ****
  
  GenomeManagerForEfficientOTCCTOPortfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  GenomeManagerForEfficientOTCCTOPortfolio.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;
***************
*** 34,102 ****
  {
  	/// <summary>
! 	/// This class implements IGenomeManager, in order to find efficient 
  	/// portfolios based on the OTC and CTO strategy, using the
  	/// GeneticOptimizer
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerForEfficientOTCCTOPortfolio : GenomeManagerForEfficientPortfolio
!   {
!     private ReturnsManager returnsManager;
!   	
!     public GenomeManagerForEfficientOTCCTOPortfolio(DataTable setOfInitialTickers,
!                                                  DateTime firstQuoteDate,
!                                                  DateTime lastQuoteDate,
!                                                  int numberOfTickersInPortfolio,
!                                                  double targetPerformance,
!                                                  PortfolioType portfolioType,
!                                                  string benchmark)
!                                 :base(setOfInitialTickers,
!                                      firstQuoteDate,
!                                      lastQuoteDate,
!                                      numberOfTickersInPortfolio,
!                                      targetPerformance,
!                                      portfolioType,
!                                      benchmark)
!                           
!     {
!       this.setReturnsManager(firstQuoteDate, lastQuoteDate);
!     }
!     //if the genome manager derives from genome manager without weights,
  		//delete override key word
! 		protected ReturnIntervals getReturnIntervals(EndOfDayDateTime firstEndOfDayDateTime,
! 																													EndOfDayDateTime lastEndOfDayDateTime)
  		{
! 			return 
  				new OpenToCloseCloseToOpenIntervals(
! 				firstEndOfDayDateTime, 
! 				lastEndOfDayDateTime, 
! 				this.benchmark);
  		}
  
!   	private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
!     {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( this.getReturnIntervals(firstEndOfDayDateTime,
! 																 lastEndOfDayDateTime),
! 														new HistoricalAdjustedQuoteProvider() );
!     }
!   	
!   	protected override float[] getStrategyReturns()
  		{
!   		float[] returnValue;
!   		returnValue = this.weightedPositionsFromGenome.GetReturns(
!               this.returnsManager ) ;
! 	   	for(int i = 0; i<returnValue.Length; i++)
! 	  		if(i%2 != 0)
! 	  		//returnValue[i] is a CloseToOpen return:
! 	  		//the strategy implies to reverse positions at night
! 	  			returnValue[i] = - returnValue[i];
! 	  	
! 	  	return returnValue;
  		}
!   }
  }
--- 34,105 ----
  {
  	/// <summary>
! 	/// This class implements IGenomeManager, in order to find efficient
  	/// portfolios based on the OTC and CTO strategy, using the
  	/// GeneticOptimizer
  	/// </summary>
  	[Serializable]
! 	public class GenomeManagerForEfficientOTCCTOPortfolio : GenomeManagerForEfficientPortfolio
! 	{
! 		private ReturnsManager returnsManager;
! 		
! 		public GenomeManagerForEfficientOTCCTOPortfolio(DataTable setOfInitialTickers,
! 		                                                DateTime firstQuoteDate,
! 		                                                DateTime lastQuoteDate,
! 		                                                int numberOfTickersInPortfolio,
! 		                                                double targetPerformance,
! 		                                                PortfolioType portfolioType,
! 		                                                string benchmark)
! 			:base(setOfInitialTickers,
! 			      firstQuoteDate,
! 			      lastQuoteDate,
! 			      numberOfTickersInPortfolio,
! 			      targetPerformance,
! 			      portfolioType,
! 			      benchmark)
! 			
! 		{
! 			this.setReturnsManager(firstQuoteDate, lastQuoteDate);
! 		}
! 		//if the genome manager derives from genome manager without weights,
  		//delete override key word
! 		protected ReturnIntervals getReturnIntervals(
! 			DateTime firstDateTime,
! 			DateTime lastDateTime)
  		{
! 			return
  				new OpenToCloseCloseToOpenIntervals(
! 					firstDateTime,
! 					lastDateTime,
! 					this.benchmark);
  		}
  
! 		private void setReturnsManager(DateTime firstQuoteDate,
! 		                               DateTime lastQuoteDate)
  		{
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager =
! 				new ReturnsManager( this.getReturnIntervals(firstDateTime,
! 				                                            lastDateTime),
! 				                   new HistoricalAdjustedQuoteProvider() );
  		}
! 		
! 		protected override float[] getStrategyReturns()
! 		{
! 			float[] returnValue;
! 			returnValue = this.weightedPositionsFromGenome.GetReturns(
! 				this.returnsManager ) ;
! 			for(int i = 0; i<returnValue.Length; i++)
! 				if(i%2 != 0)
! 				//returnValue[i] is a CloseToOpen return:
! 				//the strategy implies to reverse positions at night
! 				returnValue[i] = - returnValue[i];
! 			
! 			return returnValue;
! 		}
! 	}
  }

Index: GenomeManagerForWeightedEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForWeightedEfficientPortfolio.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** GenomeManagerForWeightedEfficientPortfolio.cs	14 Jan 2008 23:38:36 -0000	1.8
--- GenomeManagerForWeightedEfficientPortfolio.cs	29 Sep 2008 21:18:30 -0000	1.9
***************
*** 3,7 ****
  
  GenomeManagerForWeightedEfficientPortfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  GenomeManagerForWeightedEfficientPortfolio.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;
***************
*** 38,95 ****
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
!   /// <summary>
!   /// This is the base class implementing IGenomeManager, in order to find
!   /// efficient portfolios in which tickers are weighted differently
!   /// </summary>
!   [Serializable]
!   public abstract class GenomeManagerForWeightedEfficientPortfolio : GenomeManagerForEfficientPortfolio
!   {
!     private ReturnsManager returnsManager;
!   	
!     public GenomeManagerForWeightedEfficientPortfolio(DataTable setOfInitialTickers,
!       DateTime firstQuoteDate,
!       DateTime lastQuoteDate,
!       int numberOfTickersInPortfolio,
!       double targetPerformance,
!       PortfolioType portfolioType,
!       string benchmark):base(setOfInitialTickers,
!                                         firstQuoteDate,
!                                         lastQuoteDate,
!                                         numberOfTickersInPortfolio,
!                                         targetPerformance,
!                                         portfolioType, benchmark)
!                           
!     {
!       this.genomeSize = 2*this.genomeSize;
!       //at even position the gene is used for finding
!       //the coefficient for the ticker represented at the next odd position
!       this.setReturnsManager(firstQuoteDate, lastQuoteDate);
! 	  }
!  		
! 		protected abstract ReturnIntervals getReturnIntervals(EndOfDayDateTime firstEndOfDayDateTime,
! 																												  EndOfDayDateTime lastEndOfDayDateTime);
  
!     private void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
!     {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( this.getReturnIntervals(firstEndOfDayDateTime,
! 																 lastEndOfDayDateTime) ,
! 														new HistoricalAdjustedQuoteProvider() );
!     }
!     
!   	//this is a very generic implementation that will
!  		//be overriden by inherited classes specifying 
!  		//the strategy and the type of returns
!   	protected override float[] getStrategyReturns()
  		{
  			return this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
  		}
!   	
!     #region override Decode
  
  		protected override double getTickerWeight(int[] genes, int tickerPositionInGenes)
--- 38,98 ----
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
! 	/// <summary>
! 	/// This is the base class implementing IGenomeManager, in order to find
! 	/// efficient portfolios in which tickers are weighted differently
! 	/// </summary>
! 	[Serializable]
! 	public abstract class GenomeManagerForWeightedEfficientPortfolio : GenomeManagerForEfficientPortfolio
! 	{
! 		private ReturnsManager returnsManager;
! 		
! 		public GenomeManagerForWeightedEfficientPortfolio(DataTable setOfInitialTickers,
! 		                                                  DateTime firstQuoteDate,
! 		                                                  DateTime lastQuoteDate,
! 		                                                  int numberOfTickersInPortfolio,
! 		                                                  double targetPerformance,
! 		                                                  PortfolioType portfolioType,
! 		                                                  string benchmark):base(setOfInitialTickers,
! 		                       firstQuoteDate,
! 		                       lastQuoteDate,
! 		                       numberOfTickersInPortfolio,
! 		                       targetPerformance,
! 		                       portfolioType, benchmark)
! 			
! 		{
! 			this.genomeSize = 2*this.genomeSize;
! 			//at even position the gene is used for finding
! 			//the coefficient for the ticker represented at the next odd position
! 			this.setReturnsManager(firstQuoteDate, lastQuoteDate);
! 		}
! 		
! 		protected abstract ReturnIntervals getReturnIntervals(
! 			DateTime firstDateTime,
! 			DateTime lastDateTime);
  
! 		private void setReturnsManager(DateTime firstQuoteDate,
! 		                               DateTime lastQuoteDate)
! 		{
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketOpen);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager =
! 				new ReturnsManager( this.getReturnIntervals(firstDateTime,
! 				                                            lastDateTime) ,
! 				                   new HistoricalAdjustedQuoteProvider() );
! 		}
! 		
! 		//this is a very generic implementation that will
! 		//be overriden by inherited classes specifying
! 		//the strategy and the type of returns
! 		protected override float[] getStrategyReturns()
  		{
  			return this.weightedPositionsFromGenome.GetReturns(this.returnsManager);
  		}
! 		
! 		#region override Decode
  
  		protected override double getTickerWeight(int[] genes, int tickerPositionInGenes)
***************
*** 109,253 ****
  		}
  
!     public override object Decode(Genome genome)
!     {
!       string[] arrayOfTickers = new string[genome.Genes().Length/2];
!       double[] arrayOfTickersWeights = new double[genome.Genes().Length/2];
!       int indexOfTicker;
!       int i = 0;//for the arrayOfTickers
!       for(int index = 0; index < genome.Genes().Length; index++)
!       {
!         if(index%2==1)
!           //indexForTicker is contained in genes at odd position
!         {
!           indexOfTicker = (int)genome.Genes().GetValue(index);
!           arrayOfTickers[i] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
!           arrayOfTickersWeights[i] = this.getTickerWeight(genome.Genes(), index);
!           i++;
!         }
!       }
!       GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers,
!                                                 arrayOfTickersWeights);
!       return meaning;
!     }
!     #endregion
  
!     public override int GetNewGeneValue(Genome genome, int genePosition)
!     {
!       // in this implementation only new gene values pointing to tickers
!       // must be different from the others already stored (in odd positions of genome)
!       int returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
!                                                               genome.GetMaxValueForGenes(genePosition) + 1);
!       while(genePosition%2 == 1 
!             && GenomeManipulator.IsTickerContainedInGenome(returnValue,genome))
!       //while in the given position has to be stored
!       //a new gene pointing to a ticker and
!       //the proposed returnValue points to a ticker
!       //already stored in the given genome
!       {
!         // a new returnValue has to be generated
!       	returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
!                                                             genome.GetMaxValueForGenes(genePosition) + 1);
!       }
!       return returnValue;
!     }
!     
!     #region override Mutate
!     
!     //OLD VERSION   
! //    public override void Mutate(Genome genome, double mutationRate)
! //    {
! //      // in this implementation only one gene is mutated
! //      int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
! //      int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
! //                                                                  genome.GetMaxValueForGenes(genePositionToBeMutated) +1);
! //       
! //      while(genePositionToBeMutated%2 == 1 &&
! //            GenomeManipulator.IsTickerContainedInGenome(newValueForGene,genome))
! //      //while in the proposed genePositionToBeMutated has to be stored
! //      //a new gene pointing to a ticker and
! //      //the proposed newValueForGene points to a ticker
! //      //already stored in the given genome
! //      {
! //        newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
! //                                                                genome.GetMaxValueForGenes(genePositionToBeMutated) +1);
! //      }
! //      GenomeManagement.MutateOneGene(genome, mutationRate,
! //        genePositionToBeMutated, newValueForGene);
! //    }
  		
!     private int mutate_MutateOnlyOneWeight_getNewWeight(Genome genome, int genePositionToBeMutated)
!     {
!       int returnValue;
!       double partOfGeneToSubtractOrAdd = 0.03;
!       int geneValue = genome.GetGeneValue(genePositionToBeMutated);
!       int subtractOrAdd = GenomeManagement.RandomGenerator.Next(2);
!       if(subtractOrAdd == 1)//subtract a part of the gene value from the gene value itself
!       {
!       	if( geneValue < 0 )
!       		returnValue = Math.Max( geneValue - Convert.ToInt32(partOfGeneToSubtractOrAdd*Math.Abs(geneValue)),
!       		                        genome.GetMinValueForGenes(genePositionToBeMutated) );
!       	else // geneValue >= 0
!       		returnValue = geneValue - Convert.ToInt32(partOfGeneToSubtractOrAdd*Math.Abs(geneValue));
!       }
!       else//add a part of the gene value to the gene value itself
!       {
!       	if( geneValue < 0 )
!       		returnValue = geneValue + Convert.ToInt32(partOfGeneToSubtractOrAdd*Math.Abs(geneValue));
!       	else // geneValue >= 0
!       		returnValue = Math.Min(genome.GetMaxValueForGenes(genePositionToBeMutated),
!                                	 geneValue + Convert.ToInt32(partOfGeneToSubtractOrAdd*geneValue));
!       }
!       return returnValue;
!     }
  
!     private void mutate_MutateOnlyOneWeight(Genome genome)
!     {
!       int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
!       while(genePositionToBeMutated%2 == 1 )
!         //while the proposed genePositionToBeMutated points to a ticker
!         genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
! 	      
!       int newValueForGene = this.mutate_MutateOnlyOneWeight_getNewWeight(genome, genePositionToBeMutated);	
! 	    
!       GenomeManagement.MutateOneGene(genome, genePositionToBeMutated, newValueForGene);
!     }
!     
!     private void mutate_MutateAllGenes(Genome genome)
!     {
!       for(int genePositionToBeMutated = 0;
!           genePositionToBeMutated < genome.Genes().Length;
!           genePositionToBeMutated ++)
!       {
!         int newValueForGene = 
!           GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
!             genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
!         while(genePositionToBeMutated%2 == 1 
!           && GenomeManipulator.IsTickerContainedInGenome(newValueForGene,genome))
!           //while in the given position has to be stored
!           //a new gene pointing to a ticker and
!           //the proposed newValueForGene points to a ticker
!           //already stored in the given genome
!           // a new newalueForGene has to be generated
!           newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
!             										genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
! 		      
!         genome.SetGeneValue(newValueForGene, genePositionToBeMutated);
!       }
!     }
!         
!     //new version
  		//mutation means just a change in one single weight
  		//or in a complete new genome (with a probability of 50%)
!     public override void Mutate(Genome genome)
!     {
!     	int mutateOnlyOneWeight = GenomeManagement.RandomGenerator.Next(2);
!     	if(mutateOnlyOneWeight == 1)
!     	 	this.mutate_MutateOnlyOneWeight(genome);
!     	else//mutate all genome's genes
!     	  this.mutate_MutateAllGenes(genome); 
!     }
  
!     #endregion
  
!   }
  }
--- 112,256 ----
  		}
  
! 		public override object Decode(Genome genome)
! 		{
! 			string[] arrayOfTickers = new string[genome.Genes().Length/2];
! 			double[] arrayOfTickersWeights = new double[genome.Genes().Length/2];
! 			int indexOfTicker;
! 			int i = 0;//for the arrayOfTickers
! 			for(int index = 0; index < genome.Genes().Length; index++)
! 			{
! 				if(index%2==1)
! 					//indexForTicker is contained in genes at odd position
! 				{
! 					indexOfTicker = (int)genome.Genes().GetValue(index);
! 					arrayOfTickers[i] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
! 					arrayOfTickersWeights[i] = this.getTickerWeight(genome.Genes(), index);
! 					i++;
! 				}
! 			}
! 			GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers,
! 			                                          arrayOfTickersWeights);
! 			return meaning;
! 		}
! 		#endregion
  
! 		public override int GetNewGeneValue(Genome genome, int genePosition)
! 		{
! 			// in this implementation only new gene values pointing to tickers
! 			// must be different from the others already stored (in odd positions of genome)
! 			int returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
! 			                                                        genome.GetMaxValueForGenes(genePosition) + 1);
! 			while(genePosition%2 == 1
! 			      && GenomeManipulator.IsTickerContainedInGenome(returnValue,genome))
! 				//while in the given position has to be stored
! 				//a new gene pointing to a ticker and
! 				//the proposed returnValue points to a ticker
! 				//already stored in the given genome
! 			{
! 				// a new returnValue has to be generated
! 				returnValue = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePosition),
! 				                                                    genome.GetMaxValueForGenes(genePosition) + 1);
! 			}
! 			return returnValue;
! 		}
  		
! 		#region override Mutate
! 		
! 		//OLD VERSION
! 		//    public override void Mutate(Genome genome, double mutationRate)
! 		//    {
! 		//      // in this implementation only one gene is mutated
! 		//      int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
! 		//      int newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
! 		//                                                                  genome.GetMaxValueForGenes(genePositionToBeMutated) +1);
! //
! 		//      while(genePositionToBeMutated%2 == 1 &&
! 		//            GenomeManipulator.IsTickerContainedInGenome(newValueForGene,genome))
! 		//      //while in the proposed genePositionToBeMutated has to be stored
! 		//      //a new gene pointing to a ticker and
! 		//      //the proposed newValueForGene points to a ticker
! 		//      //already stored in the given genome
! 		//      {
! 		//        newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
! 		//                                                                genome.GetMaxValueForGenes(genePositionToBeMutated) +1);
! 		//      }
! 		//      GenomeManagement.MutateOneGene(genome, mutationRate,
! 		//        genePositionToBeMutated, newValueForGene);
! 		//    }
! 		
! 		private int mutate_MutateOnlyOneWeight_getNewWeight(Genome genome, int genePositionToBeMutated)
! 		{
! 			int returnValue;
! 			double partOfGeneToSubtractOrAdd = 0.03;
! 			int geneValue = genome.GetGeneValue(genePositionToBeMutated);
! 			int subtractOrAdd = GenomeManagement.RandomGenerator.Next(2);
! 			if(subtractOrAdd == 1)//subtract a part of the gene value from the gene value itself
! 			{
! 				if( geneValue < 0 )
! 					returnValue = Math.Max( geneValue - Convert.ToInt32(partOfGeneToSubtractOrAdd*Math.Abs(geneValue)),
! 					                       genome.GetMinValueForGenes(genePositionToBeMutated) );
! 				else // geneValue >= 0
! 					returnValue = geneValue - Convert.ToInt32(partOfGeneToSubtractOrAdd*Math.Abs(geneValue));
! 			}
! 			else//add a part of the gene value to the gene value itself
! 			{
! 				if( geneValue < 0 )
! 					returnValue = geneValue + Convert.ToInt32(partOfGeneToSubtractOrAdd*Math.Abs(geneValue));
! 				else // geneValue >= 0
! 					returnValue = Math.Min(genome.GetMaxValueForGenes(genePositionToBeMutated),
! 					                       geneValue + Convert.ToInt32(partOfGeneToSubtractOrAdd*geneValue));
! 			}
! 			return returnValue;
! 		}
  
! 		private void mutate_MutateOnlyOneWeight(Genome genome)
! 		{
! 			int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
! 			while(genePositionToBeMutated%2 == 1 )
! 				//while the proposed genePositionToBeMutated points to a ticker
! 				genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
! 			
! 			int newValueForGene = this.mutate_MutateOnlyOneWeight_getNewWeight(genome, genePositionToBeMutated);
! 			
! 			GenomeManagement.MutateOneGene(genome, genePositionToBeMutated, newValueForGene);
! 		}
! 		
! 		private void mutate_MutateAllGenes(Genome genome)
! 		{
! 			for(int genePositionToBeMutated = 0;
! 			    genePositionToBeMutated < genome.Genes().Length;
! 			    genePositionToBeMutated ++)
! 			{
! 				int newValueForGene =
! 					GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
! 					                                      genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
! 				while(genePositionToBeMutated%2 == 1
! 				      && GenomeManipulator.IsTickerContainedInGenome(newValueForGene,genome))
! 					//while in the given position has to be stored
! 					//a new gene pointing to a ticker and
! 					//the proposed newValueForGene points to a ticker
! 					//already stored in the given genome
! 					// a new newalueForGene has to be generated
! 					newValueForGene = GenomeManagement.RandomGenerator.Next(genome.GetMinValueForGenes(genePositionToBeMutated),
! 					                                                        genome.GetMaxValueForGenes(genePositionToBeMutated) + 1);
! 				
! 				genome.SetGeneValue(newValueForGene, genePositionToBeMutated);
! 			}
! 		}
! 		
! 		//new version
  		//mutation means just a change in one single weight
  		//or in a complete new genome (with a probability of 50%)
! 		public override void Mutate(Genome genome)
! 		{
! 			int mutateOnlyOneWeight = GenomeManagement.RandomGenerator.Next(2);
! 			if(mutateOnlyOneWeight == 1)
! 				this.mutate_MutateOnlyOneWeight(genome);
! 			else//mutate all genome's genes
! 				this.mutate_MutateAllGenes(genome);
! 		}
  
! 		#endregion
  
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVOStrategy.cs, 1.6, 1.7 RunPVO.cs, 1.6, 1.7

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

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

Modified Files:
	PVOStrategy.cs RunPVO.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: PVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOStrategy.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** PVOStrategy.cs	19 Aug 2008 17:13:01 -0000	1.6
--- PVOStrategy.cs	29 Sep 2008 21:18:34 -0000	1.7
***************
*** 25,28 ****
--- 25,29 ----
  
  using QuantProject.ADT;
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Messaging;
  using QuantProject.Business.Financial.Accounting;
***************
*** 56,60 ****
  	/// </summary>
  	[Serializable]
! 	public class PVOStrategy : IEndOfDayStrategyForBacktester
  	{
  		public event NewLogItemEventHandler NewLogItem;
--- 57,61 ----
  	/// </summary>
  	[Serializable]
! 	public class PVOStrategy : IStrategyForBacktester
  	{
  		public event NewLogItemEventHandler NewLogItem;
***************
*** 68,72 ****
  		protected IEligiblesSelector eligiblesSelector;
  		protected Benchmark benchmark;
! 		protected HistoricalQuoteProvider historicalQuoteProvider;
  		protected double maxAcceptableCloseToCloseDrawdown;
  		protected double minimumAcceptableGain;
--- 69,73 ----
  		protected IEligiblesSelector eligiblesSelector;
  		protected Benchmark benchmark;
! 		protected HistoricalMarketValueProvider historicalQuoteProvider;
  		protected double maxAcceptableCloseToCloseDrawdown;
  		protected double minimumAcceptableGain;
***************
*** 137,141 ****
  		                         double oversoldThresholdMAX,
  		                         double overboughtThresholdMAX,
! 		                         HistoricalQuoteProvider historicalQuoteProvider,
  		                         double maxAcceptableCloseToCloseDrawdown,
  		                         double minimumAcceptableGain)
--- 138,142 ----
  		                         double oversoldThresholdMAX,
  		                         double overboughtThresholdMAX,
! 		                         HistoricalMarketValueProvider historicalQuoteProvider,
  		                         double maxAcceptableCloseToCloseDrawdown,
  		                         double minimumAcceptableGain)
***************
*** 172,176 ****
  		                   double oversoldThresholdMAX,
  		                   double overboughtThresholdMAX,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
  		                   double maxAcceptableCloseToCloseDrawdown,
  		                   double minimumAcceptableGain)
--- 173,177 ----
  		                   double oversoldThresholdMAX,
  		                   double overboughtThresholdMAX,
! 		                   HistoricalMarketValueProvider historicalQuoteProvider,
  		                   double maxAcceptableCloseToCloseDrawdown,
  		                   double minimumAcceptableGain)
***************
*** 195,199 ****
  		                   double oversoldThreshold,
  		                   double overboughtThreshold,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
  		                   double maxAcceptableCloseToCloseDrawdown,
  		                   double minimumAcceptableGain)
--- 196,200 ----
  		                   double oversoldThreshold,
  		                   double overboughtThreshold,
! 		                   HistoricalMarketValueProvider historicalQuoteProvider,
  		                   double maxAcceptableCloseToCloseDrawdown,
  		                   double minimumAcceptableGain)
***************
*** 220,224 ****
  		                   double oversoldThresholdMAX,
  		                   double overboughtThresholdMAX,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
  		                   double maxAcceptableCloseToCloseDrawdown,
  		                   double minimumAcceptableGain)
--- 221,225 ----
  		                   double oversoldThresholdMAX,
  		                   double overboughtThresholdMAX,
! 		                   HistoricalMarketValueProvider historicalQuoteProvider,
  		                   double maxAcceptableCloseToCloseDrawdown,
  		                   double minimumAcceptableGain)
***************
*** 243,247 ****
  		                   double oversoldThreshold,
  		                   double overboughtThreshold,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
  		                   double maxAcceptableCloseToCloseDrawdown,
  		                   double minimumAcceptableGain)
--- 244,248 ----
  		                   double oversoldThreshold,
  		                   double overboughtThreshold,
! 		                   HistoricalMarketValueProvider historicalQuoteProvider,
  		                   double maxAcceptableCloseToCloseDrawdown,
  		                   double minimumAcceptableGain)
***************
*** 257,282 ****
  		}
  
! 		public virtual void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			;
  		}
  
! 		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  		}
  
! 		private EndOfDayDateTime now()
  		{
! 			return this.account.EndOfDayTimer.GetCurrentTime();
  		}
  
  		#region MarketCloseEventHandler
  		//forOutOfSampleTesting
! 		protected virtual EndOfDayDateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
  		{
! 			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-this.numDaysForOscillatingPeriod]["quDate"],
! 			                            EndOfDaySpecificTime.MarketClose );
  		}
  
--- 258,288 ----
  		}
  
! 		private void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			;
  		}
  
! 		private void fiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  		}
  
! 		private DateTime now()
  		{
! 			return this.account.Timer.GetCurrentDateTime();
  		}
  
  		#region MarketCloseEventHandler
  		//forOutOfSampleTesting
! 		protected virtual DateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime beginOfOscillatingPeriod =
! 				HistoricalEndOfDayTimer.GetMarketOpen(
! 					(DateTime)timer.IndexQuotes.Rows[
! 						timer.CurrentDateArrayPosition-this.numDaysForOscillatingPeriod]["quDate"] );
! 			return beginOfOscillatingPeriod;
! //			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-this.numDaysForOscillatingPeriod]["quDate"],
! //			                            EndOfDaySpecificTime.MarketClose );
  		}
  
***************
*** 299,304 ****
  		private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
  		{
! 			EndOfDayDateTime today = timer.GetCurrentTime();
! 			EndOfDayDateTime beginOfOscillatingPeriod = this.getBeginOfOscillatingPeriod(timer);
  			PVOPositionsStatus pvoPositionsStatus =
  				this.pvoPositionsForOutOfSample.GetStatus(beginOfOscillatingPeriod, today , this.benchmark.Ticker, this.historicalQuoteProvider,
--- 305,310 ----
  		private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime today = timer.GetCurrentDateTime();
! 			DateTime beginOfOscillatingPeriod = this.getBeginOfOscillatingPeriod(timer);
  			PVOPositionsStatus pvoPositionsStatus =
  				this.pvoPositionsForOutOfSample.GetStatus(beginOfOscillatingPeriod, today , this.benchmark.Ticker, this.historicalQuoteProvider,
***************
*** 318,323 ****
  		private PVOPositionsStatus marketCloseEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
  		{
! 			EndOfDayDateTime today = timer.GetCurrentTime();
! 			EndOfDayDateTime beginOfOscillatingPeriod =
  				this.getBeginOfOscillatingPeriod(timer);
  			PVOPositionsStatus currentStatus =
--- 324,329 ----
  		private PVOPositionsStatus marketCloseEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
  		{
! 			DateTime today = timer.GetCurrentDateTime();
! 			DateTime beginOfOscillatingPeriod =
  				this.getBeginOfOscillatingPeriod(timer);
  			PVOPositionsStatus currentStatus =
***************
*** 431,436 ****
  		}
  		
! 		public virtual void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			try{
--- 437,442 ----
  		}
  		
! 		private void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			try{
***************
*** 458,466 ****
  		#region OneHourAfterMarketCloseEventHandler
  		
! 		protected virtual void updateReturnsManager(EndOfDayDateTime firstEndOfDayDateTime,
! 		                                            EndOfDayDateTime lastEndOfDayDateTime)
  		{
  			this.returnsManager =
! 				new ReturnsManager(new CloseToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
  				                                             this.benchmark.Ticker, this.numDaysForOscillatingPeriod),
  				                   this.historicalQuoteProvider);
--- 464,472 ----
  		#region OneHourAfterMarketCloseEventHandler
  		
! 		protected virtual void updateReturnsManager(DateTime firstDateTime,
! 		                                            DateTime lastDateTime)
  		{
  			this.returnsManager =
! 				new ReturnsManager(new CloseToCloseIntervals(firstDateTime, lastDateTime,
  				                                             this.benchmark.Ticker, this.numDaysForOscillatingPeriod),
  				                   this.historicalQuoteProvider);
***************
*** 530,543 ****
  		protected virtual void updateTestingPositions(DateTime currentDate)
  		{
! 			EndOfDayHistory endOfDayHistory =
  				this.benchmark.GetEndOfDayHistory(
! 					new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
! 					                     EndOfDaySpecificTime.MarketClose),
! 					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 );
--- 536,552 ----
  		protected virtual void updateTestingPositions(DateTime currentDate)
  		{
! 			History history =
  				this.benchmark.GetEndOfDayHistory(
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						currentDate.AddDays( -this.inSampleDays ) ) ,
! 					HistoricalEndOfDayTimer.GetMarketClose( currentDate ) );
! //					new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
! //					                     EndOfDaySpecificTime.MarketClose),
! //					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 );
***************
*** 551,558 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public virtual void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			this.numDaysElapsedSinceLastOptimization++;
  			if((this.numDaysElapsedSinceLastOptimization ==
--- 560,567 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		private void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			this.lastCloseDate = dateTime;
  			this.numDaysElapsedSinceLastOptimization++;
  			if((this.numDaysElapsedSinceLastOptimization ==
***************
*** 560,564 ****
  				//num days without optimization has elapsed
  			{
! 				this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 569,573 ----
  				//num days without optimization has elapsed
  			{
! 				this.updateTestingPositions(dateTime);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
***************
*** 567,570 ****
--- 576,591 ----
  		}
  		#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: RunPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/RunPVO.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** RunPVO.cs	19 Aug 2008 17:13:01 -0000	1.6
--- RunPVO.cs	29 Sep 2008 21:18:34 -0000	1.7
***************
*** 128,151 ****
  		protected override void run_initializeHistoricalQuoteProvider()
  		{
! 			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);
  		}
  
--- 128,156 ----
  		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.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);
  		}
  
***************
*** 181,185 ****
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());
--- 186,190 ----
  			//default report with numIntervalDays = 1
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentDateTime(),
  			                                                        this.benchmark,
  			                                                        new HistoricalAdjustedQuoteProvider());

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers PVO_CTCCorrelationChooser.cs, 1.4, 1.5 PVO_CTCStrongCorrelationChooser.cs, 1.1, 1.2 PVO_OTOCorrelationChooser.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16878/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers

Modified Files:
	PVO_CTCCorrelationChooser.cs 
	PVO_CTCStrongCorrelationChooser.cs 
	PVO_OTOCorrelationChooser.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: PVO_CTCStrongCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVO_CTCStrongCorrelationChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVO_CTCStrongCorrelationChooser.cs	14 Aug 2008 23:41:49 -0000	1.1
--- PVO_CTCStrongCorrelationChooser.cs	29 Sep 2008 21:18:49 -0000	1.2
***************
*** 155,160 ****
  			TickersPearsonCorrelation[] averageCorrelations;
  			TickersPearsonCorrelation[] correlations_1Day;
! 			DateTime firstDate = returnsManager.ReturnIntervals[0].Begin.DateTime;
! 			DateTime lastDate =  returnsManager.ReturnIntervals.LastEndOfDayDateTime.DateTime;
  			CloseToCloseCorrelationProvider correlationProviderCTC_1 =
  				new CloseToCloseCorrelationProvider(eligibleTickers.Tickers, firstDate,
--- 155,160 ----
  			TickersPearsonCorrelation[] averageCorrelations;
  			TickersPearsonCorrelation[] correlations_1Day;
! 			DateTime firstDate = returnsManager.ReturnIntervals[0].Begin;
! 			DateTime lastDate =  returnsManager.ReturnIntervals.LastDateTime;
  			CloseToCloseCorrelationProvider correlationProviderCTC_1 =
  				new CloseToCloseCorrelationProvider(eligibleTickers.Tickers, firstDate,

Index: PVO_OTOCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVO_OTOCorrelationChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVO_OTOCorrelationChooser.cs	14 Aug 2008 23:43:18 -0000	1.1
--- PVO_OTOCorrelationChooser.cs	29 Sep 2008 21:18:49 -0000	1.2
***************
*** 79,84 ****
  			ReturnsManager returnsManager)
  		{
! 			DateTime firstDate = returnsManager.ReturnIntervals[0].Begin.DateTime;
! 			DateTime lastDate =  returnsManager.ReturnIntervals.LastEndOfDayDateTime.DateTime;
  			this.correlationProvider =
  				new OpenToOpenCorrelationProvider(eligibleTickers.Tickers, firstDate,
--- 79,84 ----
  			ReturnsManager returnsManager)
  		{
! 			DateTime firstDate = returnsManager.ReturnIntervals[0].Begin;
! 			DateTime lastDate =  returnsManager.ReturnIntervals.LastDateTime;
  			this.correlationProvider =
  				new OpenToOpenCorrelationProvider(eligibleTickers.Tickers, firstDate,

Index: PVO_CTCCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVO_CTCCorrelationChooser.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PVO_CTCCorrelationChooser.cs	14 Aug 2008 23:28:06 -0000	1.4
--- PVO_CTCCorrelationChooser.cs	29 Sep 2008 21:18:49 -0000	1.5
***************
*** 78,83 ****
  			ReturnsManager returnsManager)
  		{
! 			DateTime firstDate = returnsManager.ReturnIntervals[0].Begin.DateTime;
! 			DateTime lastDate =  returnsManager.ReturnIntervals.LastEndOfDayDateTime.DateTime;
  			this.correlationProvider =
  				new CloseToCloseCorrelationProvider(eligibleTickers.Tickers, firstDate,
--- 78,83 ----
  			ReturnsManager returnsManager)
  		{
! 			DateTime firstDate = returnsManager.ReturnIntervals[0].Begin;
! 			DateTime lastDate =  returnsManager.ReturnIntervals.LastDateTime;
  			this.correlationProvider =
  				new CloseToCloseCorrelationProvider(eligibleTickers.Tickers, firstDate,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank BestPerformingTickers.cs, 1.10, 1.11 ChosenTickers.cs, 1.7, 1.8 ComparableAccount.cs, 1.11, 1.12

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16751/WalkForwardOneRank

Modified Files:
	BestPerformingTickers.cs ChosenTickers.cs ComparableAccount.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: BestPerformingTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/BestPerformingTickers.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** BestPerformingTickers.cs	7 Jun 2005 15:18:56 -0000	1.10
--- BestPerformingTickers.cs	29 Sep 2008 21:18:25 -0000	1.11
***************
*** 43,47 ****
  		private int numberDaysForPerformanceCalculation;
  
! 		private IHistoricalQuoteProvider historicalQuoteProvider =
  			new HistoricalAdjustedQuoteProvider();
  
--- 43,47 ----
  		private int numberDaysForPerformanceCalculation;
  
! 		private HistoricalMarketValueProvider historicalMarketValueProvider =
  			new HistoricalAdjustedQuoteProvider();
  
***************
*** 75,85 ****
  			HistoricalEndOfDayTimer historicalEndOfDayTimer =
  				new HistoricalEndOfDayTimer(
! 				new EndOfDayDateTime( dateTime.AddDays( -this.numberDaysForPerformanceCalculation ) ,
! 				EndOfDaySpecificTime.MarketOpen ) );
  			ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
  				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) );
  			OneRank oneRank = new OneRank( account , dateTime );
  			double goodness = account.Goodness;  // forces Goodness computation here (for a better ProgressBar effect)
--- 75,87 ----
  			HistoricalEndOfDayTimer historicalEndOfDayTimer =
  				new HistoricalEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen(
! 						dateTime.AddDays( -this.numberDaysForPerformanceCalculation ) ) );
! //				new EndOfDayDateTime( dateTime.AddDays( -this.numberDaysForPerformanceCalculation ) ,
! //				EndOfDaySpecificTime.MarketOpen ) );
  			ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 				this.historicalMarketValueProvider ) ,
  				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 				this.historicalMarketValueProvider ) );
  			OneRank oneRank = new OneRank( account , dateTime );
  			double goodness = account.Goodness;  // forces Goodness computation here (for a better ProgressBar effect)
***************
*** 119,129 ****
  			HistoricalEndOfDayTimer historicalEndOfDayTimer =
  				new HistoricalEndOfDayTimer(
! 				new EndOfDayDateTime( dateTime.AddDays( -this.numberDaysForPerformanceCalculation ) ,
! 				EndOfDaySpecificTime.MarketOpen ) );
  			ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
  				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) );
  			OneRank oneRank = new OneRank( account , dateTime );
  			this.tickersWithGoodness.Add( new EstimatedObject( account.Key , account.Goodness ) );
--- 121,133 ----
  			HistoricalEndOfDayTimer historicalEndOfDayTimer =
  				new HistoricalEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen(
! 						dateTime.AddDays( -this.numberDaysForPerformanceCalculation ) ) );
! //				new EndOfDayDateTime( dateTime.AddDays( -this.numberDaysForPerformanceCalculation ) ,
! //				EndOfDaySpecificTime.MarketOpen ) );
  			ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 				this.historicalMarketValueProvider ) ,
  				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 				this.historicalMarketValueProvider ) );
  			OneRank oneRank = new OneRank( account , dateTime );
  			this.tickersWithGoodness.Add( new EstimatedObject( account.Key , account.Goodness ) );

Index: ChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/ChosenTickers.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** ChosenTickers.cs	15 Oct 2005 17:59:35 -0000	1.7
--- ChosenTickers.cs	29 Sep 2008 21:18:25 -0000	1.8
***************
*** 3,7 ****
  
  ChosenTickers.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  ChosenTickers.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 ****
  		private int numberTickersToBeChosen;
  
! 		private IHistoricalQuoteProvider historicalQuoteProvider =
  			new HistoricalAdjustedQuoteProvider();
  
--- 38,42 ----
  		private int numberTickersToBeChosen;
  
! 		private HistoricalMarketValueProvider historicalMarketValueProvider =
  			new HistoricalAdjustedQuoteProvider();
  
***************
*** 50,59 ****
  			double todayMarketValueAtClose = account.DataStreamer.GetCurrentBid(
  				ticker );
! 			EndOfDayDateTime yesterdayAtClose = new
! 				EndOfDayDateTime( account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
! 				EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
! 					this.historicalQuoteProvider.GetMarketValue( ticker ,
! 				yesterdayAtClose );
  			if ( todayMarketValueAtClose > yesterdayMarketValueAtClose )
  				// today close is higher than yesterday close
--- 50,61 ----
  			double todayMarketValueAtClose = account.DataStreamer.GetCurrentBid(
  				ticker );
! 			DateTime yesterdayAtClose =
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					account.Timer.GetCurrentDateTime().AddDays( - 1 ) );		
! //			new	EndOfDayDateTime( account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
! //				                 EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
! 				this.historicalMarketValueProvider.GetMarketValue( ticker ,
! 				                                                  yesterdayAtClose );
  			if ( todayMarketValueAtClose > yesterdayMarketValueAtClose )
  				// today close is higher than yesterday close
***************
*** 61,69 ****
  		}
  		private void setTickers_build( BestPerformingTickers bestPerformingTickers ,
! 			Account account )
  		{
  			int index = 0;
  			while ( ( this.Count < this.numberTickersToBeChosen ) &&
! 				( index <= ( bestPerformingTickers.Count - 1 ) ) )
  			{
  				string ticker = (string)bestPerformingTickers[ index ];
--- 63,71 ----
  		}
  		private void setTickers_build( BestPerformingTickers bestPerformingTickers ,
! 		                              Account account )
  		{
  			int index = 0;
  			while ( ( this.Count < this.numberTickersToBeChosen ) &&
! 			       ( index <= ( bestPerformingTickers.Count - 1 ) ) )
  			{
  				string ticker = (string)bestPerformingTickers[ index ];
***************
*** 80,84 ****
  		/// <param name="dateTime"></param>
  		public void SetTickers( BestPerformingTickers bestPerformingTickers ,
! 			Account account )
  		{
  			this.Clear();
--- 82,86 ----
  		/// <param name="dateTime"></param>
  		public void SetTickers( BestPerformingTickers bestPerformingTickers ,
! 		                       Account account )
  		{
  			this.Clear();

Index: ComparableAccount.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/ComparableAccount.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** ComparableAccount.cs	15 Oct 2005 18:04:58 -0000	1.11
--- ComparableAccount.cs	29 Sep 2008 21:18:25 -0000	1.12
***************
*** 3,7 ****
  
  ComparableAccount.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  ComparableAccount.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;
  
***************
*** 38,46 ****
  	public class ComparableAccount : Account
  	{
! //    private double maxAcceptableDrawDown = 30;
  
  //		private double minAcceptableWinningPeriods = 52;
  
! 		private IHistoricalQuoteProvider historicalQuoteProvider =
  			new HistoricalAdjustedQuoteProvider();
  
--- 38,46 ----
  	public class ComparableAccount : Account
  	{
! 		//    private double maxAcceptableDrawDown = 30;
  
  //		private double minAcceptableWinningPeriods = 52;
  
! 		private HistoricalMarketValueProvider historicalMarketValueProvider =
  			new HistoricalAdjustedQuoteProvider();
  
***************
*** 57,63 ****
  			get {	return this.goodness(); }
  		}
! 		public ComparableAccount( string accountName , IEndOfDayTimer endOfDayTimer ,
! 			IDataStreamer dataStreamer , IOrderExecutor orderExecutor ) : base( accountName ,
! 			endOfDayTimer , dataStreamer , orderExecutor )
  		{
  		}
--- 57,63 ----
  			get {	return this.goodness(); }
  		}
! 		public ComparableAccount( string accountName , Timer endOfDayTimer ,
! 		                         IDataStreamer dataStreamer , IOrderExecutor orderExecutor ) : base( accountName ,
! 		                                                                   endOfDayTimer , dataStreamer , orderExecutor )
  		{
  		}
***************
*** 68,74 ****
  			{
  				this.accountReport = new AccountReport(
! 					this , this.historicalQuoteProvider );
  				this.accountReport.SetEquityLine( 1 ,
! 					this.EndOfDayTimer.GetCurrentTime() );
  				returnValue = AdvancedFunctions.GetSharpeRatio(
  					this.accountReport.EquityLine.GetReturns().Values );
--- 68,75 ----
  			{
  				this.accountReport = new AccountReport(
! 					this , this.historicalMarketValueProvider ,
! 					new SelectorForMaketClose( this.Transactions.FirstDateTime ) );
  				this.accountReport.SetEquityLine( 1 ,
! 				                                 this.Timer.GetCurrentDateTime() );
  				returnValue = AdvancedFunctions.GetSharpeRatio(
  					this.accountReport.EquityLine.GetReturns().Values );

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO RunBiasedPVO_OTC.cs, 1.3, 1.4

[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-serv16878/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

Modified Files:
	RunBiasedPVO_OTC.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: RunBiasedPVO_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO_OTC.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunBiasedPVO_OTC.cs	19 Aug 2008 17:13:03 -0000	1.3
--- RunBiasedPVO_OTC.cs	29 Sep 2008 21:18:49 -0000	1.4
***************
*** 117,121 ****
  		protected override void run_initializeHistoricalQuoteProvider()
      {
!     	this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
      }
  		
--- 117,121 ----
  		protected override void run_initializeHistoricalQuoteProvider()
      {
!     	this.historicalMarketValueProvider = new HistoricalRawQuoteProvider();
      }
  		
***************
*** 124,132 ****
  			this.account = new Account( this.scriptName , this.endOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
  				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 				this.historicalQuoteProvider, 
  				new FixedPercentageSlippageManager(
! 						this.historicalQuoteProvider, this.endOfDayTimer, 0.05 ) ),
  				new IBCommissionManager() );
   		}
--- 124,132 ----
  			this.account = new Account( this.scriptName , this.endOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 				this.historicalMarketValueProvider ) ,
  				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 				this.historicalMarketValueProvider, 
  				new FixedPercentageSlippageManager(
! 						this.historicalMarketValueProvider, this.endOfDayTimer, 0.05 ) ),
  				new IBCommissionManager() );
   		}
***************
*** 206,212 ****
  			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 				this.endOfDayTimer.GetCurrentTime(),
  				this.benchmark,
! 				this.historicalQuoteProvider);
  			ObjectArchiver.Archive(accountReport,
  				dirNameWhereToSaveReports + 
--- 206,212 ----
  			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
  			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 				this.endOfDayTimer.GetCurrentDateTime(),
  				this.benchmark,
! 				this.historicalMarketValueProvider);
  			ObjectArchiver.Archive(accountReport,
  				dirNameWhereToSaveReports + 

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination ExtremeCounterTrendStrategy.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16833/LinearCombination

Modified Files:
	ExtremeCounterTrendStrategy.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: ExtremeCounterTrendStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/ExtremeCounterTrendStrategy.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** ExtremeCounterTrendStrategy.cs	19 Aug 2008 17:11:28 -0000	1.6
--- ExtremeCounterTrendStrategy.cs	29 Sep 2008 21:18:42 -0000	1.7
***************
*** 39,43 ****
  	/// </summary>
  	[Serializable]
! 	public class ExtremeCounterTrendStrategy : IEndOfDayStrategy
  	{
  		private Account account;
--- 39,43 ----
  	/// </summary>
  	[Serializable]
! 	public class ExtremeCounterTrendStrategy : IStrategy
  	{
  		private Account account;
***************
*** 65,75 ****
  		}
  		
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  		}
  		
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  		}
--- 65,75 ----
  		}
  		
! 		private void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  		}
  		
! 		private void fiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , DateTime dateTime)
  		{
  		}
***************
*** 127,132 ****
  		}
  		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.numOfClosesElapsed++;
--- 127,132 ----
  		}
  		
! 		private void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.numOfClosesElapsed++;
***************
*** 147,154 ****
  		}
  		
! 		public void OneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  		}
  	}
  }
--- 147,166 ----
  		}
  		
! 		private void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime 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 );
+ 		}
+ 
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Decoding DecoderForFLTPTestingPositionsWithBalancedWeights.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16833/FixedLengthTwoPhases/InSampleChoosers/Decoding

Modified Files:
	DecoderForFLTPTestingPositionsWithBalancedWeights.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: DecoderForFLTPTestingPositionsWithBalancedWeights.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Decoding/DecoderForFLTPTestingPositionsWithBalancedWeights.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DecoderForFLTPTestingPositionsWithBalancedWeights.cs	16 Aug 2008 19:09:59 -0000	1.1
--- DecoderForFLTPTestingPositionsWithBalancedWeights.cs	29 Sep 2008 21:18:42 -0000	1.2
***************
*** 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;
***************
*** 32,35 ****
--- 32,36 ----
  	/// Decoder for the Fixed Length Two Phases strategy
  	/// </summary>
+ 	[Serializable]
  	public class DecoderForFLTPTestingPositionsWithBalancedWeights :
  		DecoderForTestingPositionsWithBalancedWeights

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16833/PairsTrading/InSample/InSampleChoosers/Decoding

Modified Files:
	DecoderForPairsTradingTestingPositionsWithBalancedWeights.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: DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/Decoding/DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs	11 May 2008 18:58:41 -0000	1.1
--- DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs	29 Sep 2008 21:18:42 -0000	1.2
***************
*** 32,35 ****
--- 32,36 ----
  	/// Decoder for the Pairs Trading strategy
  	/// </summary>
+ 	[Serializable]
  	public class DecoderForPairsTradingTestingPositionsWithBalancedWeights :
  		DecoderForTestingPositionsWithBalancedWeights

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers FixedLengthTwoPhasesFitnessEvaluator.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16833/FixedLengthTwoPhases/InSampleChoosers

Modified Files:
	FixedLengthTwoPhasesFitnessEvaluator.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: FixedLengthTwoPhasesFitnessEvaluator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/FixedLengthTwoPhasesFitnessEvaluator.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** FixedLengthTwoPhasesFitnessEvaluator.cs	16 Aug 2008 19:32:17 -0000	1.3
--- FixedLengthTwoPhasesFitnessEvaluator.cs	29 Sep 2008 21:18:43 -0000	1.4
***************
*** 34,37 ****
--- 34,38 ----
  	/// Evaluates (in sample) the fitness for a given WeightedPositions
  	/// </summary>
+ 	[Serializable]
  	public class FixedLengthTwoPhasesFitnessEvaluator : IFitnessEvaluator
  	{

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination CloseToOpenDailyStrategy.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16751/LinearCombination

Modified Files:
	CloseToOpenDailyStrategy.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: CloseToOpenDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/CloseToOpenDailyStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** CloseToOpenDailyStrategy.cs	12 Mar 2008 22:09:04 -0000	1.3
--- CloseToOpenDailyStrategy.cs	29 Sep 2008 21:18:26 -0000	1.4
***************
*** 3,7 ****
  
  CloseToOpenDailyStrategy.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  CloseToOpenDailyStrategy.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 ****
  	/// </summary>
  	[Serializable]
! 	public class CloseToOpenDailyStrategy : IEndOfDayStrategy
  	{
  		private Account account;
--- 36,40 ----
  	/// </summary>
  	[Serializable]
! 	public class CloseToOpenDailyStrategy : IStrategy
  	{
  		private Account account;
***************
*** 48,52 ****
  		
  		public CloseToOpenDailyStrategy( Account account ,
! 			WeightedPositions weightedPositions)
  		{
  			this.account = account;
--- 48,52 ----
  		
  		public CloseToOpenDailyStrategy( Account account ,
! 		                                WeightedPositions weightedPositions)
  		{
  			this.account = account;
***************
*** 54,79 ****
  		}
  		
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			AccountManager.ClosePositions(this.account);
  		}
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  		}
! 		public void MarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       if ( ( this.account.CashAmount == 0 ) &&
!         ( this.account.Transactions.Count == 0 ) )
!         // cash has not been added yet
!         this.account.AddCash( 15000 );
!       AccountManager.OpenPositions(this.weightedPositions, this.account);
  		}
! 		public void OneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
  		}
  	}
  }
--- 54,90 ----
  		}
  		
! 		private void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			AccountManager.ClosePositions(this.account);
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     DateTime dateTime)
  		{
  		}
! 		private void marketCloseEventHandler( Object sender ,
! 		                                    DateTime dateTime)
  		{
! 			if ( ( this.account.CashAmount == 0 ) &&
! 			    ( this.account.Transactions.Count == 0 ) )
! 				// cash has not been added yet
! 				this.account.AddCash( 15000 );
! 			AccountManager.OpenPositions(this.weightedPositions, this.account);
  		}
! 		private void oneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                DateTime 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 );
+ 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization EndOfDayTimerHandlerOTCTypesBruteForce.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16649/TestingOTCTypes/BruteForceOptimization

Modified Files:
	EndOfDayTimerHandlerOTCTypesBruteForce.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: EndOfDayTimerHandlerOTCTypesBruteForce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization/EndOfDayTimerHandlerOTCTypesBruteForce.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerOTCTypesBruteForce.cs	26 Mar 2008 00:48:26 -0000	1.4
--- EndOfDayTimerHandlerOTCTypesBruteForce.cs	29 Sep 2008 21:18:09 -0000	1.5
***************
*** 46,50 ****
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandlerOTCTypesBruteForce : EndOfDayTimerHandler
    {
      private int seedForRandomGenerator;
--- 46,51 ----
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandlerOTCTypesBruteForce :
!   	QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler
    {
      private int seedForRandomGenerator;
***************
*** 91,96 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        for(int i = 0; i<this.accounts.Length; i++)
--- 92,97 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void marketOpenEventHandler(
!       Object sender , DateTime dateTime )
      {
        for(int i = 0; i<this.accounts.Length; i++)
***************
*** 114,119 ****
      }
  	          
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
       	if(this.accounts[1].Portfolio.Count > 0)
--- 115,120 ----
      }
  	          
!     protected override void marketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
       	if(this.accounts[1].Portfolio.Count > 0)
***************
*** 139,143 ****
      }
     
! 		#region OneHourAfterMarketCloseEventHandler
        
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
--- 140,144 ----
      }
     
! 		#region oneHourAfterMarketCloseEventHandler
        
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
***************
*** 210,215 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	this.seedForRandomGenerator++;
--- 211,216 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void oneHourAfterMarketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
      	this.seedForRandomGenerator++;
***************
*** 217,221 ****
      	   this.numDaysBetweenEachOptimization - 1)
      	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
        	//sets tickers to be chosen at next Market Open event
        	this.numDaysElapsedSinceLastOptimization = 0;
--- 218,222 ----
      	   this.numDaysBetweenEachOptimization - 1)
      	{
!     		this.setTickers(dateTime, false);
        	//sets tickers to be chosen at next Market Open event
        	this.numDaysElapsedSinceLastOptimization = 0;

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerLastChosenPortfolio.cs, 1.5, 1.6 EndOfDayTimerHandlerOTC.cs, 1.8, 1.9 EndOfDayTimerHandlerOTC_WorstAtNight.cs, 1.4, 1.5 EndOfDayTimerHandlerOTCCTO.cs, 1.9, 1.10 EndOfDayTimerHandlerOTCMultiday.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16230

Modified Files:
	EndOfDayTimerHandlerLastChosenPortfolio.cs 
	EndOfDayTimerHandlerOTC.cs 
	EndOfDayTimerHandlerOTC_WorstAtNight.cs 
	EndOfDayTimerHandlerOTCCTO.cs 
	EndOfDayTimerHandlerOTCMultiday.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: EndOfDayTimerHandlerOTCCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCCTO.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayTimerHandlerOTCCTO.cs	19 Aug 2008 17:11:27 -0000	1.9
--- EndOfDayTimerHandlerOTCCTO.cs	29 Sep 2008 21:17:53 -0000	1.10
***************
*** 71,76 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			//temporarily the if condition
--- 71,76 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			//temporarily the if condition
***************
*** 80,85 ****
  		}
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			
--- 80,85 ----
  		}
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			
***************
*** 101,105 ****
  		
  
! 		#region OneHourAfterMarketCloseEventHandler
  		
  		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
--- 101,105 ----
  		
  
! 		#region oneHourAfterMarketCloseEventHandler
  		
  		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
***************
*** 180,185 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.seedForRandomGenerator++;
--- 180,185 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.seedForRandomGenerator++;
***************
*** 188,192 ****
  			   this.numDaysBetweenEachOptimization - 1)
  			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
  				//sets tickers to be chosen next Market Open event
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 188,192 ----
  			   this.numDaysBetweenEachOptimization - 1)
  			{
! 				this.setTickers(dateTime, false);
  				//sets tickers to be chosen next Market Open event
  				this.numDaysElapsedSinceLastOptimization = 0;

Index: EndOfDayTimerHandlerOTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTC.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** EndOfDayTimerHandlerOTC.cs	14 Aug 2008 23:29:40 -0000	1.8
--- EndOfDayTimerHandlerOTC.cs	29 Sep 2008 21:17:53 -0000	1.9
***************
*** 74,79 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	this.openPositions();
--- 74,79 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void marketOpenEventHandler(
!       Object sender , DateTime dateTime )
      {
      	this.openPositions();
***************
*** 81,86 ****
  		
                  
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	AccountManager.ClosePositions(this.account);
--- 81,86 ----
  		
                  
!     protected override void marketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
      	AccountManager.ClosePositions(this.account);
***************
*** 89,93 ****
      
  
! 		#region OneHourAfterMarketCloseEventHandler
        
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
--- 89,93 ----
      
  
! 		#region oneHourAfterMarketCloseEventHandler
        
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
***************
*** 217,222 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	this.seedForRandomGenerator++;
--- 217,222 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void oneHourAfterMarketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
      	this.seedForRandomGenerator++;
***************
*** 225,229 ****
      	   this.numDaysBetweenEachOptimization - 1)
      	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
        	//sets tickers to be chosen next Market Open event
        	this.numDaysElapsedSinceLastOptimization = 0;
--- 225,229 ----
      	   this.numDaysBetweenEachOptimization - 1)
      	{
!     		this.setTickers(dateTime, false);
        	//sets tickers to be chosen next Market Open event
        	this.numDaysElapsedSinceLastOptimization = 0;
***************
*** 236,240 ****
      }
  		   
!     #endregion
  		
    }
--- 236,240 ----
      }
  		   
!     #endregion oneHourAfterMarketCloseEventHandler
  		
    }

Index: EndOfDayTimerHandlerLastChosenPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerLastChosenPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayTimerHandlerLastChosenPortfolio.cs	14 Jan 2008 23:32:31 -0000	1.5
--- EndOfDayTimerHandlerLastChosenPortfolio.cs	29 Sep 2008 21:17:52 -0000	1.6
***************
*** 47,58 ****
    public class EndOfDayTimerHandlerLastChosenPortfolio : EndOfDayTimerHandler
    {
!   	private EndOfDayDateTime firstDate;
!   	private EndOfDayDateTime lastDate;
    	public EndOfDayTimerHandlerLastChosenPortfolio(string[] chosenTickers,
    	                                               PortfolioType portfolioType,
    	                                              Account account,
    	                                             	string benchmark,
!   	                                             	EndOfDayDateTime firstDate,
!   	                                             	EndOfDayDateTime lastDate):
    		base(new WeightedPositions( new SignedTickers(chosenTickers) ),
    		     portfolioType, account, benchmark)
--- 47,58 ----
    public class EndOfDayTimerHandlerLastChosenPortfolio : EndOfDayTimerHandler
    {
!   	private DateTime firstDate;
!   	private DateTime lastDate;
    	public EndOfDayTimerHandlerLastChosenPortfolio(string[] chosenTickers,
    	                                               PortfolioType portfolioType,
    	                                              Account account,
    	                                             	string benchmark,
!   	                                             	DateTime firstDate,
!   	                                             	DateTime lastDate):
    		base(new WeightedPositions( new SignedTickers(chosenTickers) ),
    		     portfolioType, account, benchmark)
***************
*** 67,74 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!     	if(endOfDayTimingEventArgs.EndOfDayDateTime.CompareTo(this.firstDate) == 0)
      	{
      		this.openPositions();
--- 67,74 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void marketOpenEventHandler(
!       Object sender , DateTime dateTime )
      {
!     	if( dateTime == this.firstDate )
      	{
      		this.openPositions();
***************
*** 76,91 ****
      }
  		
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	
      	//if(endOfDayTimingEventArgs.EndOfDayDateTime.CompareTo(this.lastDate) == 0)
        //	this.closePositions();
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.CompareTo(this.lastDate.DateTime.AddDays(-1)) == 0)
        		AccountManager.ClosePositions(this.account);
      }
      
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	;
--- 76,91 ----
      }
  		
!     protected override void marketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
      	
      	//if(endOfDayTimingEventArgs.EndOfDayDateTime.CompareTo(this.lastDate) == 0)
        //	this.closePositions();
!       if(dateTime.CompareTo(this.lastDate.AddDays(-1)) == 0)
        		AccountManager.ClosePositions(this.account);
      }
      
!     protected override void oneHourAfterMarketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
      	;

Index: EndOfDayTimerHandlerOTCMultiday.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCMultiday.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayTimerHandlerOTCMultiday.cs	14 Jan 2008 23:32:32 -0000	1.9
--- EndOfDayTimerHandlerOTCMultiday.cs	29 Sep 2008 21:17:53 -0000	1.10
***************
*** 70,75 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	
--- 70,75 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void marketOpenEventHandler(
!       Object sender , DateTime dateTime )
      {
      	
***************
*** 78,83 ****
      }
  		                
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
       	if(this.numDaysElapsedSinceLastOptimization ==
--- 78,83 ----
      }
  		                
!     protected override void marketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
       	if(this.numDaysElapsedSinceLastOptimization ==
***************
*** 86,90 ****
      }
     	
!     #region OneHourAfterMarketCloseEventHandler
        
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
--- 86,90 ----
      }
     	
!     #region oneHourAfterMarketCloseEventHandler
        
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
***************
*** 162,167 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	this.seedForRandomGenerator++;
--- 162,167 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void oneHourAfterMarketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
      	this.seedForRandomGenerator++;
***************
*** 170,174 ****
      	   this.numDaysBetweenEachOptimization - 1)
      	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
        	//sets tickers to be chosen next Market Open event
        	this.numDaysElapsedSinceLastOptimization = 0;
--- 170,174 ----
      	   this.numDaysBetweenEachOptimization - 1)
      	{
!     		this.setTickers(dateTime, false);
        	//sets tickers to be chosen next Market Open event
        	this.numDaysElapsedSinceLastOptimization = 0;

Index: EndOfDayTimerHandlerOTC_WorstAtNight.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTC_WorstAtNight.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerOTC_WorstAtNight.cs	19 Aug 2008 17:11:26 -0000	1.4
--- EndOfDayTimerHandlerOTC_WorstAtNight.cs	29 Sep 2008 21:17:53 -0000	1.5
***************
*** 81,91 ****
  			double lossOfCurrentWorstCombination = 0.0;
  			double fitnessOfPreviousCombination = 0.0;
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 			DateTime today = currentTimer.GetCurrentTime().DateTime;
  			DateTime lastMarketDay = currentTimer.GetPreviousDateTime();
  			ReturnsManager returnsManager = new ReturnsManager(
! 				new CloseToOpenIntervals(new EndOfDayDateTime(lastMarketDay, EndOfDaySpecificTime.MarketClose),
! 				                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
! 				                         this.benchmark),
  				this.historicalAdjustedQuoteProvider );
  			int numOfGenomesScanned = 0;
--- 81,94 ----
  			double lossOfCurrentWorstCombination = 0.0;
  			double fitnessOfPreviousCombination = 0.0;
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.Timer;
! 			DateTime today = currentTimer.GetCurrentDateTime();
  			DateTime lastMarketDay = currentTimer.GetPreviousDateTime();
  			ReturnsManager returnsManager = new ReturnsManager(
! 				new CloseToOpenIntervals(
! 					HistoricalEndOfDayTimer.GetMarketClose( lastMarketDay ) ,
! 					HistoricalEndOfDayTimer.GetMarketOpen( today ) ,
! //					new EndOfDayDateTime(lastMarketDay, EndOfDaySpecificTime.MarketClose),
! //				                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
! 					this.benchmark),
  				this.historicalAdjustedQuoteProvider );
  			int numOfGenomesScanned = 0;
***************
*** 135,140 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.currentGO != null)
--- 138,143 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.currentGO != null)
***************
*** 145,155 ****
  		}
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			AccountManager.ClosePositions(this.account);
  		}
  		
! 		#region OneHourAfterMarketCloseEventHandler
  		
  		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
--- 148,158 ----
  		}
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			AccountManager.ClosePositions(this.account);
  		}
  		
! 		#region oneHourAfterMarketCloseEventHandler
  		
  		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
***************
*** 242,247 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.seedForRandomGenerator++;
--- 245,250 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.seedForRandomGenerator++;
***************
*** 250,254 ****
  			   this.numDaysBetweenEachOptimization - 1)
  			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
  				//sets tickers to be chosen next Market Open event
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 253,257 ----
  			   this.numDaysBetweenEachOptimization - 1)
  			{
! 				this.setTickers( dateTime , false);
  				//sets tickers to be chosen next Market Open event
  				this.numDaysElapsedSinceLastOptimization = 0;

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection EndOfDayTimerHandlerSimpleSelection.cs, 1.2, 1.3 EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16649/SimpleSelection

Modified Files:
	EndOfDayTimerHandlerSimpleSelection.cs 
	EndOfDayTimerHandlerSimpleSelectionOpenToClose.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: EndOfDayTimerHandlerSimpleSelection.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/EndOfDayTimerHandlerSimpleSelection.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerSimpleSelection.cs	29 Aug 2007 09:43:34 -0000	1.2
--- EndOfDayTimerHandlerSimpleSelection.cs	29 Sep 2008 21:18:09 -0000	1.3
***************
*** 56,71 ****
      }
  
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        ;
      }
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        ;
      }
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        ;
--- 56,71 ----
      }
  
!     protected override void marketOpenEventHandler(
!       Object sender , DateTime dateTime )
      {
        ;
      }
!     protected override void marketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
        ;
      }
!     protected override void oneHourAfterMarketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
        ;

Index: EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs	29 Aug 2007 09:43:34 -0000	1.2
--- EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs	29 Sep 2008 21:18:09 -0000	1.3
***************
*** 59,74 ****
  		
      
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        this.openPositions();
      }
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        AccountManager.ClosePositions(this.account);
      }
  
!     #region OneHourAfterMarketCloseEventHandler
        
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
--- 59,74 ----
  		
      
!     protected override void marketOpenEventHandler(
!       Object sender , DateTime dateTime )
      {
        this.openPositions();
      }
!     protected override void marketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
        AccountManager.ClosePositions(this.account);
      }
  
!     #region oneHourAfterMarketCloseEventHandler
        
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
***************
*** 144,154 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        if(this.numDaysElapsedSinceLastOptimization == 
          this.numDaysBetweenEachOptimization - 1)
        {
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
          //sets tickers to be chosen next Market Open event
          this.numDaysElapsedSinceLastOptimization = 0;
--- 144,154 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void oneHourAfterMarketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
        if(this.numDaysElapsedSinceLastOptimization == 
          this.numDaysBetweenEachOptimization - 1)
        {
!         this.setTickers(dateTime);
          //sets tickers to be chosen next Market Open event
          this.numDaysElapsedSinceLastOptimization = 0;

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes EndOfDayTimerHandlerOTCTypes.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-serv16649/TestingOTCTypes

Modified Files:
	EndOfDayTimerHandlerOTCTypes.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: EndOfDayTimerHandlerOTCTypes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/EndOfDayTimerHandlerOTCTypes.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayTimerHandlerOTCTypes.cs	14 Jan 2008 23:32:32 -0000	1.9
--- EndOfDayTimerHandlerOTCTypes.cs	29 Sep 2008 21:18:09 -0000	1.10
***************
*** 85,90 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        for(int i = 0; i<this.accounts.Length; i++)
--- 85,90 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void marketOpenEventHandler(
!       Object sender , DateTime dateTime )
      {
        for(int i = 0; i<this.accounts.Length; i++)
***************
*** 108,113 ****
      }
  	          
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
       	if(this.accounts[1].Portfolio.Count > 0)
--- 108,113 ----
      }
  	          
!     protected override void marketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
       	if(this.accounts[1].Portfolio.Count > 0)
***************
*** 133,137 ****
      }
      
! 		#region OneHourAfterMarketCloseEventHandler
        
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
--- 133,137 ----
      }
      
! 		#region oneHourAfterMarketCloseEventHandler
        
      protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
***************
*** 201,206 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	this.seedForRandomGenerator++;
--- 201,206 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void oneHourAfterMarketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
      	this.seedForRandomGenerator++;
***************
*** 208,212 ****
      	   this.numDaysBetweenEachOptimization - 1)
      	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
        	//sets tickers to be chosen at next Market Open event
        	this.numDaysElapsedSinceLastOptimization = 0;
--- 208,212 ----
      	   this.numDaysBetweenEachOptimization - 1)
      	{
!     		this.setTickers(dateTime, false);
        	//sets tickers to be chosen at next Market Open event
        	this.numDaysElapsedSinceLastOptimization = 0;