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[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalQuoteProvider.cs, 1.6, NONE

From: Glauco S. <gla...@us...> - 2008-09-29 20:49:46

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24339/a07_DataProviders

Removed Files:
	HistoricalQuoteProvider.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.

--- HistoricalQuoteProvider.cs DELETED ---

[Quantproject-developers] QuantDownloader/Downloader/OpenTickDownloader/UserForms OTWebDownloader.cs, 1.4, 1.5

From: Marco M. <mi...@us...> - 2008-08-23 13:09:53

Update of /cvsroot/quantproject/QuantDownloader/Downloader/OpenTickDownloader/UserForms
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15487/Downloader/OpenTickDownloader/UserForms

Modified Files:
	OTWebDownloader.cs 
Log Message:
OTWebDownloader should now repaint itself in a thread-safe manner (during downloading bars)

Index: OTWebDownloader.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/OpenTickDownloader/UserForms/OTWebDownloader.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** OTWebDownloader.cs	29 Jul 2008 22:38:17 -0000	1.4
--- OTWebDownloader.cs	22 Aug 2008 22:57:43 -0000	1.5
***************
*** 58,61 ****
--- 58,65 ----
      private string textForStartingDownloadingTimeLabel;
      private string textForEndingDownloadingTimeLabel;
+     private string[] tickersToDownload;
+     private SortedList downloadingTickersSortedList;
+     private int indexOfCurrentUpdatingTicker;
+     private DateTime currentUpdatingTickerDateTimeOfLastBarUpdate;
      
  		public OTWebDownloader(DataTable tableOfSelectedTickers)
***************
*** 66,73 ****
  			InitializeComponent();
  			this.commonInitialization();
- 			//
- 			//this.Text = "Download quotes from OpenTick for the selected tickers"; 
  			this.tableOfSelectedTickers = tableOfSelectedTickers;
!       //
  		}
  
--- 70,75 ----
  			InitializeComponent();
  			this.commonInitialization();
  			this.tableOfSelectedTickers = tableOfSelectedTickers;
! 			this.initializeDownloadingTickersSortedList();
  		}
  
***************
*** 86,90 ****
  			base.Dispose( disposing );
  		}
-     
      /// <summary>
      /// common initialization of the controls of the form
--- 88,91 ----
***************
*** 97,102 ****
--- 98,111 ----
        this.dataGrid1.ContextMenu = new TickerViewerMenu(this);
        this.Closing += new CancelEventHandler(this.OTWebDownloader_Closing);
+       this.indexOfCurrentUpdatingTicker = -1;
      }
  
+     private void initializeDownloadingTickersSortedList()
+     {
+     	this.downloadingTickersSortedList = new SortedList();
+     	for(int i = 0; i<this.tableOfSelectedTickers.Rows.Count; i++)
+     		this.downloadingTickersSortedList.Add( this.tableOfSelectedTickers.Rows[i][0], i );
+     }
+     
  		#region Windows Form Designer generated code
  		/// <summary>
***************
*** 137,141 ****
  			this.endingDownloadingTimeLabel = new System.Windows.Forms.Label();
  			this.startingDownloadingTimeLabel = new System.Windows.Forms.Label();
- 			this.timer1 = new System.Windows.Forms.Timer(this.components);
  			this.signallingLabel = new System.Windows.Forms.Label();
  			((System.ComponentModel.ISupportInitialize)(this.dataGrid1)).BeginInit();
--- 146,149 ----
***************
*** 453,467 ****
  			this.startingDownloadingTimeLabel.Text = ".";
  			// 
- 			// timer1
- 			// 
- 			this.timer1.Enabled = true;
- 			this.timer1.Interval = 1000;
- 			this.timer1.Tick += new System.EventHandler(this.Timer1Tick);
- 			// 
  			// signallingLabel
  			// 
  			this.signallingLabel.Location = new System.Drawing.Point(84, 415);
  			this.signallingLabel.Name = "signallingLabel";
! 			this.signallingLabel.Size = new System.Drawing.Size(129, 11);
  			this.signallingLabel.TabIndex = 38;
  			// 
--- 461,469 ----
  			this.startingDownloadingTimeLabel.Text = ".";
  			// 
  			// signallingLabel
  			// 
  			this.signallingLabel.Location = new System.Drawing.Point(84, 415);
  			this.signallingLabel.Name = "signallingLabel";
! 			this.signallingLabel.Size = new System.Drawing.Size(274, 12);
  			this.signallingLabel.TabIndex = 38;
  			// 
***************
*** 499,502 ****
--- 501,505 ----
  			this.Text = "OT Web downloader";
  			this.Load += new System.EventHandler(this.otWebDownloaderLoad);
+ 			this.Paint += new System.Windows.Forms.PaintEventHandler(this.OTWebDownloaderPaint);
  			((System.ComponentModel.ISupportInitialize)(this.dataGrid1)).EndInit();
  			this.groupBoxWebDownloaderOptions.ResumeLayout(false);
***************
*** 510,514 ****
      }
  		private System.Windows.Forms.Label signallingLabel;
- 		private System.Windows.Forms.Timer timer1;
  		private System.Windows.Forms.Label endingDownloadingTimeLabel;
  		private System.Windows.Forms.Label startingDownloadingTimeLabel;
--- 513,516 ----
***************
*** 571,576 ****
      #endregion
      
- 		#region download thread
- 		    
  	  private void buttonDownloadQuotesOfSelectedTickers_Click(object sender, System.EventArgs e)
      {
--- 573,576 ----
***************
*** 592,602 ****
  	  				this.txtOpenTickPassword.Text);
  	  		tickerDownloader.DownloadingStarted +=
! 	  			new DownloadingStartedEventHandler(this.refreshForm_atDownloadedStarted);
  	  		tickerDownloader.DatabaseUpdated +=
! 	  			new DatabaseUpdatedEventHandler(this.refreshGrid);
  	  		tickerDownloader.DownloadingCompleted +=
! 	  			new DownloadingCompletedEventHandler(this.refreshForm_atDownloadedCompleted);
  	  		this.buttonDownloadQuotesOfSelectedTickers.Enabled = false;
- 	  		//tickerDownloader.DownloadTickers();
  	  		this.downloadThread = new Thread( tickerDownloader.DownloadTickers );
  	  		this.downloadThread.Start();
--- 592,601 ----
  	  				this.txtOpenTickPassword.Text);
  	  		tickerDownloader.DownloadingStarted +=
! 	  			new DownloadingStartedEventHandler(this.setStartingTime_atDownloadedStarted);
  	  		tickerDownloader.DatabaseUpdated +=
! 	  			new DatabaseUpdatedEventHandler(this.refreshIndexAndDateTimeForCurrentUpdatingTicker);
  	  		tickerDownloader.DownloadingCompleted +=
! 	  			new DownloadingCompletedEventHandler(this.setEndingTime_atDownloadedCompleted);
  	  		this.buttonDownloadQuotesOfSelectedTickers.Enabled = false;
  	  		this.downloadThread = new Thread( tickerDownloader.DownloadTickers );
  	  		this.downloadThread.Start();
***************
*** 608,640 ****
      }
  		
!     #endregion
!     
!     private void refreshGrid(object sender, DatabaseUpdatedEventArgs eventArgs)
      {
!     	DataTable tickersCurrentylDownloaded =
!     		this.DsTickerCurrentlyDownloaded.Tables["Tickers"];
!     	for(int i = 0; i < tickersCurrentylDownloaded.Rows.Count; i++)
      	{
!     		if( (string)tickersCurrentylDownloaded.Rows[i][0] == eventArgs.Ticker )
!     		{
!     			tickersCurrentylDownloaded.Rows[i][1] = "Yes";
!     			tickersCurrentylDownloaded.Rows[i][2]	= eventArgs.DateTimeOfLastBarUpdated;
!     		}
!     	}
      }
      
!     private void refreshForm_atDownloadedStarted(object sender, DownloadingStartedEventArgs eventArgs)
      {
! 			this.textForStartingDownloadingTimeLabel =
! 					"Downloading started at: " + eventArgs.StartingDateTime.ToString();
! 	   	this.downloadingInProgress = true;
      }
!     private void refreshForm_atDownloadedCompleted(object sender, DownloadingCompletedEventArgs eventArgs)
      {
!     	this.textForEndingDownloadingTimeLabel = "Downloading completed at: " + 
!     		eventArgs.EndingDateTime.ToString();
!     	this.downloadingInProgress = false;
      }
!     
      #region properties
      
--- 607,651 ----
      }
  		
! 	  #region Form's methods called by the thread started at OTTickerDownloader's method 
! 		
! 	   private void refreshIndexAndDateTimeForCurrentUpdatingTicker(object sender, DatabaseUpdatedEventArgs eventArgs)
      {
!     	lock(this.downloadingTickersSortedList)
      	{
! 	    	this.currentUpdatingTickerDateTimeOfLastBarUpdate = 
! 	    		eventArgs.DateTimeOfLastBarUpdated;
! 	    	int sortedListIndexOfKey = 
! 	    		this.downloadingTickersSortedList.IndexOfKey(eventArgs.Ticker);
! 	    	this.indexOfCurrentUpdatingTicker = 
! 	    		(int)this.downloadingTickersSortedList.GetByIndex(sortedListIndexOfKey);
! 	     	this.downloadingInProgress = true; //if a database
! 	    	//update event has been risen, downloading has to be
! 	    	//in progress
! 	    	this.Invalidate();//this forces the form to repaint itself
! 	    	//in a thread - safe manner
! 	   	}
      }
      
!     private void setStartingTime_atDownloadedStarted(object sender, DownloadingStartedEventArgs eventArgs)
      {
!     	lock(this.startingDownloadingTimeLabel)
!     	{
!     	    this.textForStartingDownloadingTimeLabel =
!     	     	"Downloading started at: " + eventArgs.StartingDateTime.ToString();
! 	   			this.downloadingInProgress = true;
!     	}
      }
!     private void setEndingTime_atDownloadedCompleted(object sender, DownloadingCompletedEventArgs eventArgs)
      {
!     	lock(this.endingDownloadingTimeLabel)
!     	{
!     		this.textForEndingDownloadingTimeLabel = "Downloading completed at: " +
! 	    		eventArgs.EndingDateTime.ToString();
! 	    	this.downloadingInProgress = false;
!     	}
      }
! 	  
!     #endregion
!         
      #region properties
      
***************
*** 669,678 ****
      	get
        {
!       	string[] tickersToDownload = new string[this.tableOfSelectedTickers.Rows.Count];
!     		for(int i = 0; i < tickersToDownload.Length; i++)
!     			tickersToDownload[i] = 
!     				(string)this.tableOfSelectedTickers.Rows[i][0];
!     		
!     		return tickersToDownload;
        }
      }
--- 680,692 ----
      	get
        {
!     		if(this.tickersToDownload == null)
!     		{
!     			this.tickersToDownload = 
!     				new string[this.tableOfSelectedTickers.Rows.Count];
!     			for(int i = 0; i < this.tickersToDownload.Length; i++)
!     				this.tickersToDownload[i] = 
!     					(string)this.tableOfSelectedTickers.Rows[i][0];
!     		}
!     		return this.tickersToDownload;
        }
      }
***************
*** 753,762 ****
  			this.otWebDownloaderLoad_fillDataGridWithTickersToBeDownloaded();
  		}
  		
! 		private void Timer1Tick_refreshSignallingLabel()
  		{
  			if(this.downloadingInProgress)
  			{
! 				if(this.signallingLabel.Text.Length<40)
  					this.signallingLabel.Text += "--";
  				else
--- 767,789 ----
  			this.otWebDownloaderLoad_fillDataGridWithTickersToBeDownloaded();
  		}
+ 								
+ 		private void OTWebDownloader_Closing(Object sender, CancelEventArgs e)
+ 		{
+        if (this.downloadingInProgress)
+        {
+           e.Cancel = true;
+           MessageBox.Show("You can't close the form if downloading is still in progress!");
+        }
+        else
+        {
+           e.Cancel = false;
+        }
+     }
  		
! 		private void OTWebDownloaderPaint_refreshSignallingLabel()
  		{
  			if(this.downloadingInProgress)
  			{
! 				if(this.signallingLabel.Text.Length<60)
  					this.signallingLabel.Text += "--";
  				else
***************
*** 769,791 ****
  		}
  		
! 		void Timer1Tick(object sender, EventArgs e)
  		{
! 			this.Timer1Tick_refreshSignallingLabel();
! 			this.startingDownloadingTimeLabel.Text = textForStartingDownloadingTimeLabel;
! 			this.endingDownloadingTimeLabel.Text = textForEndingDownloadingTimeLabel;
! 		}
  		
! 		private void OTWebDownloader_Closing(Object sender, CancelEventArgs e)
  		{
!        if (this.downloadingInProgress)
!        {
!           e.Cancel = true;
!           MessageBox.Show("You can't close the form if downloading is still in progress!");
!        }
!        else
!        {
!           e.Cancel = false;
!        }
!     }
  	}
  }
--- 796,845 ----
  		}
  		
! 		private void OTWebDownloaderPaint_refreshTableOfSelectedTickers()
  		{
!       lock(this.downloadingTickersSortedList)
! 			{
! 				DataTable tickersCurrentylDownloaded =
! 		    	this.DsTickerCurrentlyDownloaded.Tables["Tickers"];
! 		    if(this.indexOfCurrentUpdatingTicker != -1)
! 		    	//a databaseUpdated event has been risen
! 		    {
! 			   	tickersCurrentylDownloaded.Rows[this.indexOfCurrentUpdatingTicker][1] = "Yes";
! 			   	tickersCurrentylDownloaded.Rows[this.indexOfCurrentUpdatingTicker][2]	= 
! 			   		this.currentUpdatingTickerDateTimeOfLastBarUpdate;
! 		    }
!       }
!     }
  		
! 		private void OTWebDownloaderPaint_refreshEndingDownloadingTimeLabel()
  		{
!       lock(this.endingDownloadingTimeLabel)
! 			{
! 				this.endingDownloadingTimeLabel.Text = 
! 					this.textForEndingDownloadingTimeLabel;
! 			}
! 	  }
! 		
! 		private void OTWebDownloaderPaint_refreshStartingDownloadingTimeLabel()
! 		{
!       lock(this.startingDownloadingTimeLabel)
! 			{
! 				this.startingDownloadingTimeLabel.Text = 
! 					this.textForStartingDownloadingTimeLabel;
! 			}
! 	  }
! 		
! 		//this event handler should be called only by the 
! 		//thread that owns the form. With these locks,
! 		//information coming from the thread that owns the
! 		//OT ticker downloader should be "treated"
! 		//(written and displayed by the form) in a thread-safe manner
! 		void OTWebDownloaderPaint(object sender, PaintEventArgs e)
! 		{
! 			this.OTWebDownloaderPaint_refreshStartingDownloadingTimeLabel();
! 			this.OTWebDownloaderPaint_refreshSignallingLabel();
! 			this.OTWebDownloaderPaint_refreshTableOfSelectedTickers();
! 			this.OTWebDownloaderPaint_refreshEndingDownloadingTimeLabel();
! 		}
  	}
  }

[Quantproject-developers] QuantDownloader/Downloader/OpenTickDownloader OTTickerDownloader.cs, 1.3, 1.4

From: Marco M. <mi...@us...> - 2008-08-23 10:57:12

Update of /cvsroot/quantproject/QuantDownloader/Downloader/OpenTickDownloader
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15487/Downloader/OpenTickDownloader

Modified Files:
	OTTickerDownloader.cs 
Log Message:
OTWebDownloader should now repaint itself in a thread-safe manner (during downloading bars)

Index: OTTickerDownloader.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/OpenTickDownloader/OTTickerDownloader.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** OTTickerDownloader.cs	20 Jul 2008 20:37:51 -0000	1.3
--- OTTickerDownloader.cs	22 Aug 2008 22:57:43 -0000	1.4
***************
*** 261,265 ****
  		{
  			string logFileName =
! 				@"C:\QuantProject\OpenTickDownloader\textFilesForLoggingNotification\textFileForLoggingNotification";
  			logFileName = logFileName + "_" +
  				ExtendedDateTime.GetCompleteShortDescriptionForFileName(
--- 261,265 ----
  		{
  			string logFileName =
! 				@"C:\Quant\OpenTickDownloader\textFilesForLoggingNotification\textFileForLoggingNotification";
  			logFileName = logFileName + "_" +
  				ExtendedDateTime.GetCompleteShortDescriptionForFileName(

[Quantproject-developers] QuantProject/b91_QuantProject Main.cs, 1.20, 1.21

From: Glauco S. <gla...@us...> - 2008-08-19 17:27:08

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13409/b91_QuantProject

Modified Files:
	Main.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: Main.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/Main.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** Main.cs	18 Aug 2008 21:13:20 -0000	1.20
--- Main.cs	19 Aug 2008 17:27:01 -0000	1.21
***************
*** 3,7 ****
  
  Main.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  Main.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;
***************
*** 54,80 ****
  	public class Principale : System.Windows.Forms.Form
  	{
! //    public static RunEfficientPorfolio runEfficientPortfolio;
  		
  		private System.Windows.Forms.MainMenu mainMenu1;
!     private System.Windows.Forms.MenuItem menuItem1;
!     private System.Windows.Forms.MenuItem menuItem2;
!     private System.Windows.Forms.MenuItem menuItem3;
!     private System.Windows.Forms.MenuItem menuItem4;
!     private System.Windows.Forms.MenuItem menuItem5;
!     private System.Windows.Forms.MenuItem menuItem6;
!     private System.Windows.Forms.MenuItem menuItem7;
!     private System.Windows.Forms.MenuItem menuItem8;
!     private System.Windows.Forms.MenuItem menuItem10;
!     private System.Windows.Forms.MenuItem menuItem11;
!     private System.Windows.Forms.MenuItem menuItem13;
!     private System.Windows.Forms.MenuItem menuItem14;
!     private System.Windows.Forms.MenuItem menuItem9;
!     private System.Windows.Forms.MenuItem menuItemRun;
!     private System.Windows.Forms.MenuItem menuItemSavedTests;
!     private System.Windows.Forms.MenuItem menuItemAccountViewer;
!     private System.Windows.Forms.MenuItem menuItemShowReportFromAccount;
!     private System.Windows.Forms.MenuItem menuItemRunReleasingMode;
!     private System.Windows.Forms.MenuItem menuItemShowSavedReport;
!     private System.Windows.Forms.MenuItem menuItemShowReportFromTransactions;
  		/// <summary>
  		/// Required designer variable.
--- 54,80 ----
  	public class Principale : System.Windows.Forms.Form
  	{
! 		//    public static RunEfficientPorfolio runEfficientPortfolio;
  		
  		private System.Windows.Forms.MainMenu mainMenu1;
! 		private System.Windows.Forms.MenuItem menuItem1;
! 		private System.Windows.Forms.MenuItem menuItem2;
! 		private System.Windows.Forms.MenuItem menuItem3;
! 		private System.Windows.Forms.MenuItem menuItem4;
! 		private System.Windows.Forms.MenuItem menuItem5;
! 		private System.Windows.Forms.MenuItem menuItem6;
! 		private System.Windows.Forms.MenuItem menuItem7;
! 		private System.Windows.Forms.MenuItem menuItem8;
! 		private System.Windows.Forms.MenuItem menuItem10;
! 		private System.Windows.Forms.MenuItem menuItem11;
! 		private System.Windows.Forms.MenuItem menuItem13;
! 		private System.Windows.Forms.MenuItem menuItem14;
! 		private System.Windows.Forms.MenuItem menuItem9;
! 		private System.Windows.Forms.MenuItem menuItemRun;
! 		private System.Windows.Forms.MenuItem menuItemSavedTests;
! 		private System.Windows.Forms.MenuItem menuItemAccountViewer;
! 		private System.Windows.Forms.MenuItem menuItemShowReportFromAccount;
! 		private System.Windows.Forms.MenuItem menuItemRunReleasingMode;
! 		private System.Windows.Forms.MenuItem menuItemShowSavedReport;
! 		private System.Windows.Forms.MenuItem menuItemShowReportFromTransactions;
  		/// <summary>
  		/// Required designer variable.
***************
*** 116,280 ****
  		private void InitializeComponent()
  		{
!       this.mainMenu1 = new System.Windows.Forms.MainMenu();
!       this.menuItem8 = new System.Windows.Forms.MenuItem();
!       this.menuItem10 = new System.Windows.Forms.MenuItem();
!       this.menuItem9 = new System.Windows.Forms.MenuItem();
!       this.menuItem11 = new System.Windows.Forms.MenuItem();
!       this.menuItemRun = new System.Windows.Forms.MenuItem();
!       this.menuItemSavedTests = new System.Windows.Forms.MenuItem();
!       this.menuItemAccountViewer = new System.Windows.Forms.MenuItem();
!       this.menuItemShowReportFromAccount = new System.Windows.Forms.MenuItem();
!       this.menuItemShowSavedReport = new System.Windows.Forms.MenuItem();
!       this.menuItemRunReleasingMode = new System.Windows.Forms.MenuItem();
!       this.menuItem13 = new System.Windows.Forms.MenuItem();
!       this.menuItem14 = new System.Windows.Forms.MenuItem();
!       this.menuItem1 = new System.Windows.Forms.MenuItem();
!       this.menuItem2 = new System.Windows.Forms.MenuItem();
!       this.menuItem5 = new System.Windows.Forms.MenuItem();
!       this.menuItem3 = new System.Windows.Forms.MenuItem();
!       this.menuItem4 = new System.Windows.Forms.MenuItem();
!       this.menuItem6 = new System.Windows.Forms.MenuItem();
!       this.menuItem7 = new System.Windows.Forms.MenuItem();
!       this.menuItemShowReportFromTransactions = new System.Windows.Forms.MenuItem();
!       // 
!       // mainMenu1
!       // 
!       this.mainMenu1.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
!                                                                               this.menuItem8,
!                                                                               this.menuItem11,
!                                                                               this.menuItem13});
!       // 
!       // menuItem8
!       // 
!       this.menuItem8.Index = 0;
!       this.menuItem8.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
!                                                                               this.menuItem10,
!                                                                               this.menuItem9});
!       this.menuItem8.Text = "Data";
!       // 
!       // menuItem10
!       // 
!       this.menuItem10.Index = 0;
!       this.menuItem10.Text = "Download";
!       this.menuItem10.Click += new System.EventHandler(this.menuItem10_Click);
!       // 
!       // menuItem9
!       // 
!       this.menuItem9.Index = 1;
!       this.menuItem9.Text = "Test";
!       this.menuItem9.Click += new System.EventHandler(this.menuItem9_Click);
!       // 
!       // menuItem11
!       // 
!       this.menuItem11.Index = 1;
!       this.menuItem11.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
!                                                                                this.menuItemRun,
!                                                                                this.menuItemSavedTests,
!                                                                                this.menuItemRunReleasingMode});
!       this.menuItem11.Text = "BackTest";
!       // 
!       // menuItemRun
!       // 
!       this.menuItemRun.Index = 0;
!       this.menuItemRun.Text = "Run (debugging mode)";
!       this.menuItemRun.Click += new System.EventHandler(this.menuItemRun_Click);
!       // 
!       // menuItemSavedTests
!       // 
!       this.menuItemSavedTests.Index = 1;
!       this.menuItemSavedTests.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
!                                                                                        this.menuItemAccountViewer,
!                                                                                        this.menuItemShowReportFromAccount,
!                                                                                        this.menuItemShowSavedReport,
!                                                                                        this.menuItemShowReportFromTransactions});
!       this.menuItemSavedTests.Text = "Saved Tests";
!       // 
!       // menuItemAccountViewer
!       // 
!       this.menuItemAccountViewer.Index = 0;
!       this.menuItemAccountViewer.Text = "Account viewer";
!       this.menuItemAccountViewer.Click += new System.EventHandler(this.menuItemAccountViewer_Click);
!       // 
!       // menuItemShowReportFromAccount
!       // 
!       this.menuItemShowReportFromAccount.Index = 1;
!       this.menuItemShowReportFromAccount.Text = "Show report from account";
!       this.menuItemShowReportFromAccount.Click += new System.EventHandler(this.menuItemShowReportFromAccount_Click);
!       // 
!       // menuItemShowSavedReport
!       // 
!       this.menuItemShowSavedReport.Index = 2;
!       this.menuItemShowSavedReport.Text = "Show saved report";
!       this.menuItemShowSavedReport.Click += new System.EventHandler(this.menuItemShowSavedReport_Click);
!       // 
!       // menuItemRunReleasingMode
!       // 
!       this.menuItemRunReleasingMode.Index = 2;
!       this.menuItemRunReleasingMode.Text = "Run (releasing mode)";
!       this.menuItemRunReleasingMode.Click += new System.EventHandler(this.menuItemRunReleasingMode_Click);
!       // 
!       // menuItem13
!       // 
!       this.menuItem13.Index = 2;
!       this.menuItem13.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
!                                                                                this.menuItem14});
!       this.menuItem13.Text = "Trade";
!       // 
!       // menuItem14
!       // 
!       this.menuItem14.Index = 0;
!       this.menuItem14.Text = "Go";
!       this.menuItem14.Click += new System.EventHandler(this.menuItem14_Click);
!       // 
!       // menuItem1
!       // 
!       this.menuItem1.Index = -1;
!       this.menuItem1.Text = "";
!       // 
!       // menuItem2
!       // 
!       this.menuItem2.Index = -1;
!       this.menuItem2.Text = "";
!       // 
!       // menuItem5
!       // 
!       this.menuItem5.Index = -1;
!       this.menuItem5.Text = "";
!       // 
!       // menuItem3
!       // 
!       this.menuItem3.Index = -1;
!       this.menuItem3.Text = "";
!       // 
!       // menuItem4
!       // 
!       this.menuItem4.Index = -1;
!       this.menuItem4.Text = "";
!       // 
!       // menuItem6
!       // 
!       this.menuItem6.Index = -1;
!       this.menuItem6.Text = "";
!       // 
!       // menuItem7
!       // 
!       this.menuItem7.Index = -1;
!       this.menuItem7.Text = "";
!       // 
!       // menuItemShowReportFromTransactions
!       // 
!       this.menuItemShowReportFromTransactions.Index = 3;
!       this.menuItemShowReportFromTransactions.Text = "Show report from transactions";
!       this.menuItemShowReportFromTransactions.Click += new System.EventHandler(this.menuItemShowReportFromTransactions_Click);
!       // 
!       // Principale
!       // 
!       this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
!       this.ClientSize = new System.Drawing.Size(292, 273);
!       this.Menu = this.mainMenu1;
!       this.Name = "Principale";
!       this.Text = "Main";
  
!     }
  		#endregion
  
--- 116,280 ----
  		private void InitializeComponent()
  		{
! 			this.mainMenu1 = new System.Windows.Forms.MainMenu();
! 			this.menuItem8 = new System.Windows.Forms.MenuItem();
! 			this.menuItem10 = new System.Windows.Forms.MenuItem();
! 			this.menuItem9 = new System.Windows.Forms.MenuItem();
! 			this.menuItem11 = new System.Windows.Forms.MenuItem();
! 			this.menuItemRun = new System.Windows.Forms.MenuItem();
! 			this.menuItemSavedTests = new System.Windows.Forms.MenuItem();
! 			this.menuItemAccountViewer = new System.Windows.Forms.MenuItem();
! 			this.menuItemShowReportFromAccount = new System.Windows.Forms.MenuItem();
! 			this.menuItemShowSavedReport = new System.Windows.Forms.MenuItem();
! 			this.menuItemRunReleasingMode = new System.Windows.Forms.MenuItem();
! 			this.menuItem13 = new System.Windows.Forms.MenuItem();
! 			this.menuItem14 = new System.Windows.Forms.MenuItem();
! 			this.menuItem1 = new System.Windows.Forms.MenuItem();
! 			this.menuItem2 = new System.Windows.Forms.MenuItem();
! 			this.menuItem5 = new System.Windows.Forms.MenuItem();
! 			this.menuItem3 = new System.Windows.Forms.MenuItem();
! 			this.menuItem4 = new System.Windows.Forms.MenuItem();
! 			this.menuItem6 = new System.Windows.Forms.MenuItem();
! 			this.menuItem7 = new System.Windows.Forms.MenuItem();
! 			this.menuItemShowReportFromTransactions = new System.Windows.Forms.MenuItem();
! 			// 
! 			// mainMenu1
! 			// 
! 			this.mainMenu1.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
! 			                                  	this.menuItem8,
! 			                                  	this.menuItem11,
! 			                                  	this.menuItem13});
! 			// 
! 			// menuItem8
! 			// 
! 			this.menuItem8.Index = 0;
! 			this.menuItem8.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
! 			                                  	this.menuItem10,
! 			                                  	this.menuItem9});
! 			this.menuItem8.Text = "Data";
! 			// 
! 			// menuItem10
! 			// 
! 			this.menuItem10.Index = 0;
! 			this.menuItem10.Text = "Download";
! 			this.menuItem10.Click += new System.EventHandler(this.menuItem10_Click);
! 			// 
! 			// menuItem9
! 			// 
! 			this.menuItem9.Index = 1;
! 			this.menuItem9.Text = "Test";
! 			this.menuItem9.Click += new System.EventHandler(this.menuItem9_Click);
! 			// 
! 			// menuItem11
! 			// 
! 			this.menuItem11.Index = 1;
! 			this.menuItem11.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
! 			                                   	this.menuItemRun,
! 			                                   	this.menuItemSavedTests,
! 			                                   	this.menuItemRunReleasingMode});
! 			this.menuItem11.Text = "BackTest";
! 			// 
! 			// menuItemRun
! 			// 
! 			this.menuItemRun.Index = 0;
! 			this.menuItemRun.Text = "Run (debugging mode)";
! 			this.menuItemRun.Click += new System.EventHandler(this.menuItemRun_Click);
! 			// 
! 			// menuItemSavedTests
! 			// 
! 			this.menuItemSavedTests.Index = 1;
! 			this.menuItemSavedTests.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
! 			                                           	this.menuItemAccountViewer,
! 			                                           	this.menuItemShowReportFromAccount,
! 			                                           	this.menuItemShowSavedReport,
! 			                                           	this.menuItemShowReportFromTransactions});
! 			this.menuItemSavedTests.Text = "Saved Tests";
! 			// 
! 			// menuItemAccountViewer
! 			// 
! 			this.menuItemAccountViewer.Index = 0;
! 			this.menuItemAccountViewer.Text = "Account viewer";
! 			this.menuItemAccountViewer.Click += new System.EventHandler(this.menuItemAccountViewer_Click);
! 			// 
! 			// menuItemShowReportFromAccount
! 			// 
! 			this.menuItemShowReportFromAccount.Index = 1;
! 			this.menuItemShowReportFromAccount.Text = "Show report from account";
! 			this.menuItemShowReportFromAccount.Click += new System.EventHandler(this.menuItemShowReportFromAccount_Click);
! 			// 
! 			// menuItemShowSavedReport
! 			// 
! 			this.menuItemShowSavedReport.Index = 2;
! 			this.menuItemShowSavedReport.Text = "Show saved report";
! 			this.menuItemShowSavedReport.Click += new System.EventHandler(this.menuItemShowSavedReport_Click);
! 			// 
! 			// menuItemRunReleasingMode
! 			// 
! 			this.menuItemRunReleasingMode.Index = 2;
! 			this.menuItemRunReleasingMode.Text = "Run (releasing mode)";
! 			this.menuItemRunReleasingMode.Click += new System.EventHandler(this.menuItemRunReleasingMode_Click);
! 			// 
! 			// menuItem13
! 			// 
! 			this.menuItem13.Index = 2;
! 			this.menuItem13.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
! 			                                   	this.menuItem14});
! 			this.menuItem13.Text = "Trade";
! 			// 
! 			// menuItem14
! 			// 
! 			this.menuItem14.Index = 0;
! 			this.menuItem14.Text = "Go";
! 			this.menuItem14.Click += new System.EventHandler(this.menuItem14_Click);
! 			// 
! 			// menuItem1
! 			// 
! 			this.menuItem1.Index = -1;
! 			this.menuItem1.Text = "";
! 			// 
! 			// menuItem2
! 			// 
! 			this.menuItem2.Index = -1;
! 			this.menuItem2.Text = "";
! 			// 
! 			// menuItem5
! 			// 
! 			this.menuItem5.Index = -1;
! 			this.menuItem5.Text = "";
! 			// 
! 			// menuItem3
! 			// 
! 			this.menuItem3.Index = -1;
! 			this.menuItem3.Text = "";
! 			// 
! 			// menuItem4
! 			// 
! 			this.menuItem4.Index = -1;
! 			this.menuItem4.Text = "";
! 			// 
! 			// menuItem6
! 			// 
! 			this.menuItem6.Index = -1;
! 			this.menuItem6.Text = "";
! 			// 
! 			// menuItem7
! 			// 
! 			this.menuItem7.Index = -1;
! 			this.menuItem7.Text = "";
! 			// 
! 			// menuItemShowReportFromTransactions
! 			// 
! 			this.menuItemShowReportFromTransactions.Index = 3;
! 			this.menuItemShowReportFromTransactions.Text = "Show report from transactions";
! 			this.menuItemShowReportFromTransactions.Click += new System.EventHandler(this.menuItemShowReportFromTransactions_Click);
! 			// 
! 			// Principale
! 			// 
! 			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
! 			this.ClientSize = new System.Drawing.Size(292, 273);
! 			this.Menu = this.mainMenu1;
! 			this.Name = "Principale";
! 			this.Text = "Main";
  
! 		}
  		#endregion
  
***************
*** 290,300 ****
  		}
  
!     private void menuItem10_Click(object sender, System.EventArgs e)
!     {
!     }
!     
!     static void runMilloScripts()
!     {
!       /*QuantProject.Principale.Principale.runEfficientPortfolio = 
          new RunEfficientCTCPorfolio("Test",150,4,60,10,15000,"^SPX",
                                      new DateTime(2004,3,1),
--- 290,300 ----
  		}
  
! 		private void menuItem10_Click(object sender, System.EventArgs e)
! 		{
! 		}
! 		
! 		static void runMilloScripts()
! 		{
! 			/*QuantProject.Principale.Principale.runEfficientPortfolio =
          new RunEfficientCTCPorfolio("Test",150,4,60,10,15000,"^SPX",
                                      new DateTime(2004,3,1),
***************
*** 302,306 ****
                                      PortfolioType.ShortAndLong,0.05,
                                      2);*/
!       /*QuantProject.Principale.Principale.runEfficientPortfolio = 
          new RunTestOptimizedCTCPortfolio("Test",150,4,60,10,25000,"^SPX",
          new DateTime(2004,3,1),
--- 302,306 ----
                                      PortfolioType.ShortAndLong,0.05,
                                      2);*/
! 			/*QuantProject.Principale.Principale.runEfficientPortfolio =
          new RunTestOptimizedCTCPortfolio("Test",150,4,60,10,25000,"^SPX",
          new DateTime(2004,3,1),
***************
*** 314,326 ****
  											        new DateTime(2004,1,15),
  											        0.0, PortfolioType.ShortAndLong, 2);*/
!                               
! //    	QuantProject.Principale.Principale.runEfficientPortfolio = 
! //    		new RunTestOptimizedCTOPorfolio("Test",150,5,45,10,50000,
  //											        "^SPX",
  //											        new DateTime(2004,3,1),
  //											        new DateTime(2004,3,1).AddDays(45),
  //											        0.0005, PortfolioType.ShortAndLong, 12);
!                               
!     		/*new RunTestOptimizedCTCPortfolio("Test",150,6,90,10,20000,
      		                                 "^SPX",
      		                                 new DateTime(2002,10,1),
--- 314,326 ----
  											        new DateTime(2004,1,15),
  											        0.0, PortfolioType.ShortAndLong, 2);*/
! 			
! 			//    	QuantProject.Principale.Principale.runEfficientPortfolio =
! 			//    		new RunTestOptimizedCTOPorfolio("Test",150,5,45,10,50000,
  //											        "^SPX",
  //											        new DateTime(2004,3,1),
  //											        new DateTime(2004,3,1).AddDays(45),
  //											        0.0005, PortfolioType.ShortAndLong, 12);
! 			
! 			/*new RunTestOptimizedCTCPortfolio("Test",150,6,90,10,20000,
      		                                 "^SPX",
      		                                 new DateTime(2002,10,1),
***************
*** 328,334 ****
          	                        				5,2,0.0,
          	                        				PortfolioType.ShortAndLong, 0.50, 10);*/
!     		                                 
! //    	QuantProject.Principale.Principale.runEfficientPortfolio.Run();
!  /*     QuantProject.Principale.Principale.runEfficientPortfolio = 
          new RunTestOptimizedCTOPorfolio("Test",150,6,45,10,150000,
          "^SPX",
--- 328,334 ----
          	                        				5,2,0.0,
          	                        				PortfolioType.ShortAndLong, 0.50, 10);*/
! 			
! 			//    	QuantProject.Principale.Principale.runEfficientPortfolio.Run();
! 			/*     QuantProject.Principale.Principale.runEfficientPortfolio =
          new RunTestOptimizedCTOPorfolio("Test",150,6,45,10,150000,
          "^SPX",
***************
*** 338,342 ****
        
        QuantProject.Principale.Principale.runEfficientPortfolio.Run();  */
!       /*
      	QuantProject.Principale.Principale.runEfficientPortfolio =
      	new RunTestOptimizedCTCPortfolio("Test",100,5,120,10,150000,
--- 338,342 ----
        
        QuantProject.Principale.Principale.runEfficientPortfolio.Run();  */
! 			/*
      	QuantProject.Principale.Principale.runEfficientPortfolio =
      	new RunTestOptimizedCTCPortfolio("Test",100,5,120,10,150000,
***************
*** 365,372 ****
          PortfolioType.ShortAndLong, 0.50, 10);
        QuantProject.Principale.Principale.runEfficientPortfolio.Run();
! 			*/
!          	
!     	/*
!     	    	QuantProject.Principale.Principale.runEfficientPortfolio =  		
      		new RunEfficientCTOPorfolio("Test",500,6,45,15,50000,
  											        "^SPX",
--- 365,372 ----
          PortfolioType.ShortAndLong, 0.50, 10);
        QuantProject.Principale.Principale.runEfficientPortfolio.Run();
! 			 */
! 			
! 			/*
!     	    	QuantProject.Principale.Principale.runEfficientPortfolio =
      		new RunEfficientCTOPorfolio("Test",500,6,45,15,50000,
  											        "^SPX",
***************
*** 376,561 ****
      	
      	 QuantProject.Principale.Principale.runEfficientPortfolio.Run();
!     	*/
!     			
!     }
  
!     [STAThread]
!     static void Main() 
!     {
! //      try
! //      {
!         //new RunMSFTsimpleTest().Run();
  //		new RunMSFTsimpleTest_2().Run();
! 				//new RunOneRankWithExcelReport().Run();
  
! 				//new RunOneRankWithWindowsReport().Run();
!         //new RunBestTwoIndipendent().Run();
!         //Principale.geneticOptimizerTest();
!         //new RunEfficientCTOPorfolio().Run();
!         //new RunEfficientCTCPorfolio().Run();
! 				//new RunEfficientPorfolio().Run();
  
  //				QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases.FixedLengthTwoPhasesMain
  //					myMain =
  //				new QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases.FixedLengthTwoPhasesMain().Run;
!         Application.Run(new Principale());
!         //geneticOptimizerTest();
!         //Application.Run(new OneRankForm());
!         //runMilloScripts();
!         
!         //new RunEfficientCTOPorfolio("Test",200,5,60,10,5000, "^SPX",
!         //                            new DateTime(2000,1,1),
!         //                            new DateTime(2001,12,31)).Run();
!       //  new RunMSFTwalkForward().Run();
  
! 	//		new RunOneRankWithWindowsReport().Run();
! 				//new RunMSFTwalkForward().Run();
  
!         //new RunMultiTestOneRank().Run();
  
! 				//new RunWalkForwardOneRank().Run();
  
! 				//new RunEfficientCTOPorfolio().Run();
! 				//new RunWalkForwardOneRank().Run();
  
! //      } 
! //      catch ( Exception ex )
! //      {
! ////      	QuantProject.Principale.Principale.runEfficientPortfolio.SaveScriptResults();
! //      	writeExceptionToLogFile(ex);
! //      }
!     }
!     static private void writeExceptionToLogFile(Exception ex)
!     {
!     	string path = Application.ExecutablePath.Substring(0, Application.ExecutablePath.LastIndexOf('\\'))
! 										+ @"\ExceptionLog.txt";
!     	if(File.Exists(path))
!     	{
!     	  StreamWriter w = File.AppendText(path);
! 	      w.Write("\r\nTime of exception : ");
! 	      w.WriteLine("{0} {1}", DateTime.Now.ToLongDateString(),
! 	                  DateTime.Now.ToLocalTime());
  //	      w.Write("\r\nScript name: {0}",
  //	              QuantProject.Principale.Principale.runEfficientPortfolio.ScriptName );
  //	      w.Write("\r\nTimer date: {0}",
  //	              QuantProject.Principale.Principale.runEfficientPortfolio.TimerLastDate.ToLongDateString() );
! //	      
! 	      w.WriteLine("\n  :{0}", ex.ToString());
! 	      w.WriteLine("\n  :{0}", ex.StackTrace.ToString());
! 	      w.WriteLine ("\n-----------------------------------");
! 	      // Update the underlying file.
! 	      w.Flush();
! 	      w.Close();
!     	}
!     	
  
!     }
!     
!     private static void geneticOptimizerTest()
!     {
!       IGenomeManager genomeManagerTest = new GenomeManagerTest(5,1,10);     
!       GeneticOptimizer GO = new GeneticOptimizer(genomeManagerTest,1000,10);
!       //GO.KeepOnRunningUntilConvergenceIsReached = true;
!       GO.Run(true);
!       System.Console.WriteLine("\n\nThe best solution found is: " + (string)GO.BestGenome.Meaning +
!                                 " with {0} generations", GO.GenerationCounter);
!     }
!     
!     private void menuItem14_Click(object sender, System.EventArgs e)
!     {
!     }
!     //run scripts in debugging mode
!     private void menuItemRun_Click(object sender, System.EventArgs e)
!     {
  
! //      try
! //      {//call here your scripts
! 	//new RunWalkForwardOneRank().Run();
  //			new WFLagMain().ShowDialog();
  
  			new FixedLengthTwoPhasesMain().Run();
  //			new PairsTradingMain().Run();
!         
  //			new RunOneRank().Run();
!         //new RunEfficientCTCPorfolio("Test",400,5,90,10,10000,
!         //	                         	"^SPX",
!         //	                          new DateTime(2004,1,1),
!         //	                          new DateTime(2004,2,29),
!         //	                          3).Run();
!         
!         //this.Close();
! //        runMilloScripts();
!         
!         //new RunEfficientCTOPorfolio("Test",200,5,60,2,500, "^SPX",
!         //                            new DateTime(2004,1,1),
!         //                            new DateTime(2004,1,15)).Run();
!         
! //      }
! //      catch ( Exception ex )
! //      {
! //        string notUsed = ex.ToString();
! //        //in this way qP shouldn't stop if running a single script fails ...
! //      }
  
!     }
  
!     private void menuItemAccountViewer_Click(object sender, System.EventArgs e)
!     {
!       AccountViewer accountViewer = new AccountViewer();
!       accountViewer.Show();
!     }
  
!     private string getPath(string dialogTitle)
!     {
!       OpenFileDialog openFileDialog = new OpenFileDialog();
!       openFileDialog.Title = dialogTitle;
!       openFileDialog.Multiselect = false;
!       openFileDialog.CheckFileExists = true;
!       openFileDialog.ShowDialog();
!       return openFileDialog.FileName;
!     }
  
!     private void menuItemShowReportFromAccount_Click(object sender, System.EventArgs e)
!     {
!       string chosenPath = this.getPath("Select a serialized account please ...");
!       if(chosenPath != "")
!         ShowReportFromFile.ShowReportFromSerializedAccount(chosenPath);
!     }
  
!     
!     private void menuItemRunReleasingMode_Click(object sender, System.EventArgs e)
!     {
!       try
!       { 
!         this.Cursor = Cursors.WaitCursor;
!         //call here your scripts
!         //new RunWalkForwardOneRank().Run();			
!        
  
!       }
!       catch ( Exception ex )
!       {
!         ex = ex;
!         //in this way qP shouldn't stop if running a single script fails ...
!       }
!       finally
!       {
!         this.Cursor = Cursors.Default;
!       }
!     }
  
!     private void menuItemShowSavedReport_Click(object sender, System.EventArgs e)
!     {
!       string chosenPath = this.getPath("Select a serialized report please ...");
!       if(chosenPath != "")
!         ShowReportFromFile.ShowReportFromSerializedAccountReport(chosenPath);
!     }
  
!     private void menuItemShowReportFromTransactions_Click(object sender, System.EventArgs e)
!     {
!       string chosenPath = this.getPath("Select a serialized TransactionHistory please ...");
!       if(chosenPath != "")
!         ShowReportFromFile.ShowReportFromSerializedTransactionHistory(chosenPath);
!     }
  
  
--- 376,561 ----
      	
      	 QuantProject.Principale.Principale.runEfficientPortfolio.Run();
! 			 */
! 			
! 		}
  
! 		[STAThread]
! 		static void Main()
! 		{
! 			//      try
! 			//      {
! 			//new RunMSFTsimpleTest().Run();
  //		new RunMSFTsimpleTest_2().Run();
! 			//new RunOneRankWithExcelReport().Run();
  
! 			//new RunOneRankWithWindowsReport().Run();
! 			//new RunBestTwoIndipendent().Run();
! 			//Principale.geneticOptimizerTest();
! 			//new RunEfficientCTOPorfolio().Run();
! 			//new RunEfficientCTCPorfolio().Run();
! 			//new RunEfficientPorfolio().Run();
  
  //				QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases.FixedLengthTwoPhasesMain
  //					myMain =
  //				new QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases.FixedLengthTwoPhasesMain().Run;
! 			Application.Run(new Principale());
! 			//geneticOptimizerTest();
! 			//Application.Run(new OneRankForm());
! 			//runMilloScripts();
! 			
! 			//new RunEfficientCTOPorfolio("Test",200,5,60,10,5000, "^SPX",
! 			//                            new DateTime(2000,1,1),
! 			//                            new DateTime(2001,12,31)).Run();
! 			//  new RunMSFTwalkForward().Run();
  
! 			//		new RunOneRankWithWindowsReport().Run();
! 			//new RunMSFTwalkForward().Run();
  
! 			//new RunMultiTestOneRank().Run();
  
! 			//new RunWalkForwardOneRank().Run();
  
! 			//new RunEfficientCTOPorfolio().Run();
! 			//new RunWalkForwardOneRank().Run();
  
! 			//      }
! 			//      catch ( Exception ex )
! 			//      {
! 			////      	QuantProject.Principale.Principale.runEfficientPortfolio.SaveScriptResults();
! 			//      	writeExceptionToLogFile(ex);
! 			//      }
! 		}
! 		static private void writeExceptionToLogFile(Exception ex)
! 		{
! 			string path = Application.ExecutablePath.Substring(0, Application.ExecutablePath.LastIndexOf('\\'))
! 				+ @"\ExceptionLog.txt";
! 			if(File.Exists(path))
! 			{
! 				StreamWriter w = File.AppendText(path);
! 				w.Write("\r\nTime of exception : ");
! 				w.WriteLine("{0} {1}", DateTime.Now.ToLongDateString(),
! 				            DateTime.Now.ToLocalTime());
  //	      w.Write("\r\nScript name: {0}",
  //	              QuantProject.Principale.Principale.runEfficientPortfolio.ScriptName );
  //	      w.Write("\r\nTimer date: {0}",
  //	              QuantProject.Principale.Principale.runEfficientPortfolio.TimerLastDate.ToLongDateString() );
! //
! 				w.WriteLine("\n  :{0}", ex.ToString());
! 				w.WriteLine("\n  :{0}", ex.StackTrace.ToString());
! 				w.WriteLine ("\n-----------------------------------");
! 				// Update the underlying file.
! 				w.Flush();
! 				w.Close();
! 			}
! 			
  
! 		}
! 		
! 		private static void geneticOptimizerTest()
! 		{
! 			IGenomeManager genomeManagerTest = new GenomeManagerTest(5,1,10);
! 			GeneticOptimizer GO = new GeneticOptimizer(genomeManagerTest,1000,10);
! 			//GO.KeepOnRunningUntilConvergenceIsReached = true;
! 			GO.Run(true);
! 			System.Console.WriteLine("\n\nThe best solution found is: " + (string)GO.BestGenome.Meaning +
! 			                         " with {0} generations", GO.GenerationCounter);
! 		}
! 		
! 		private void menuItem14_Click(object sender, System.EventArgs e)
! 		{
! 		}
! 		//run scripts in debugging mode
! 		private void menuItemRun_Click(object sender, System.EventArgs e)
! 		{
  
! 			//      try
! 			//      {//call here your scripts
! 			//new RunWalkForwardOneRank().Run();
  //			new WFLagMain().ShowDialog();
  
  			new FixedLengthTwoPhasesMain().Run();
  //			new PairsTradingMain().Run();
! 			
  //			new RunOneRank().Run();
! 			//new RunEfficientCTCPorfolio("Test",400,5,90,10,10000,
! 			//	                         	"^SPX",
! 			//	                          new DateTime(2004,1,1),
! 			//	                          new DateTime(2004,2,29),
! 			//	                          3).Run();
! 			
! 			//this.Close();
! 			//        runMilloScripts();
! 			
! 			//new RunEfficientCTOPorfolio("Test",200,5,60,2,500, "^SPX",
! 			//                            new DateTime(2004,1,1),
! 			//                            new DateTime(2004,1,15)).Run();
! 			
! 			//      }
! 			//      catch ( Exception ex )
! 			//      {
! 			//        string notUsed = ex.ToString();
! 			//        //in this way qP shouldn't stop if running a single script fails ...
! 			//      }
  
! 		}
  
! 		private void menuItemAccountViewer_Click(object sender, System.EventArgs e)
! 		{
! 			AccountViewer accountViewer = new AccountViewer();
! 			accountViewer.Show();
! 		}
  
! 		private string getPath(string dialogTitle)
! 		{
! 			OpenFileDialog openFileDialog = new OpenFileDialog();
! 			openFileDialog.Title = dialogTitle;
! 			openFileDialog.Multiselect = false;
! 			openFileDialog.CheckFileExists = true;
! 			openFileDialog.ShowDialog();
! 			return openFileDialog.FileName;
! 		}
  
! 		private void menuItemShowReportFromAccount_Click(object sender, System.EventArgs e)
! 		{
! 			string chosenPath = this.getPath("Select a serialized account please ...");
! 			if(chosenPath != "")
! 				ShowReportFromFile.ShowReportFromSerializedAccount(chosenPath);
! 		}
  
! 		
! 		private void menuItemRunReleasingMode_Click(object sender, System.EventArgs e)
! 		{
! 			try
! 			{
! 				this.Cursor = Cursors.WaitCursor;
! 				//call here your scripts
! 				//new RunWalkForwardOneRank().Run();
! 				
  
! 			}
! 			catch ( Exception ex )
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				//in this way qP shouldn't stop if running a single script fails ...
! 			}
! 			finally
! 			{
! 				this.Cursor = Cursors.Default;
! 			}
! 		}
  
! 		private void menuItemShowSavedReport_Click(object sender, System.EventArgs e)
! 		{
! 			string chosenPath = this.getPath("Select a serialized report please ...");
! 			if(chosenPath != "")
! 				ShowReportFromFile.ShowReportFromSerializedAccountReport(chosenPath);
! 		}
  
! 		private void menuItemShowReportFromTransactions_Click(object sender, System.EventArgs e)
! 		{
! 			string chosenPath = this.getPath("Select a serialized TransactionHistory please ...");
! 			if(chosenPath != "")
! 				ShowReportFromFile.ShowReportFromSerializedTransactionHistory(chosenPath);
! 		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger WFLagLogItem.cs, 1.1, 1.2

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:51

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger

Modified Files:
	WFLagLogItem.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: WFLagLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagLogItem.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagLogItem.cs	28 Oct 2007 18:43:38 -0000	1.1
--- WFLagLogItem.cs	19 Aug 2008 17:13:13 -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;
***************
*** 74,78 ****
  		}
  		public WFLagLogItem( WFLagChosenTickers wFLagChosenTickers ,
! 			DateTime lastOptimizationDate )
  		{
  			//			this.drivingPositions =
--- 74,78 ----
  		}
  		public WFLagLogItem( WFLagChosenTickers wFLagChosenTickers ,
! 		                    DateTime lastOptimizationDate )
  		{
  			//			this.drivingPositions =
***************
*** 95,100 ****
  		/// <param name="lastOptimizationDate"></param>
  		public WFLagLogItem( WFLagWeightedPositions wFLagWeightedPositions ,
! 			int generationWhenTheBestGenomeWasFound ,
! 			DateTime lastOptimizationDate )
  		{
  			//			this.drivingPositions =
--- 95,100 ----
  		/// <param name="lastOptimizationDate"></param>
  		public WFLagLogItem( WFLagWeightedPositions wFLagWeightedPositions ,
! 		                    int generationWhenTheBestGenomeWasFound ,
! 		                    DateTime lastOptimizationDate )
  		{
  			//			this.drivingPositions =
***************
*** 103,107 ****
  			//				this.copy( wFLagChosenTickers.PortfolioWeightedPositions );
  			this.initialize( wFLagWeightedPositions ,
! 				generationWhenTheBestGenomeWasFound , lastOptimizationDate );
  		}
  
--- 103,107 ----
  			//				this.copy( wFLagChosenTickers.PortfolioWeightedPositions );
  			this.initialize( wFLagWeightedPositions ,
! 			                generationWhenTheBestGenomeWasFound , lastOptimizationDate );
  		}
  
***************
*** 112,120 ****
  			// no generation number to log
  			this.initialize( wFLagWeightedPositions ,
! 				-999 , lastOptimizationDate );
  		}
  		private void initialize( WFLagWeightedPositions wFLagWeightedPositions ,
! 			int generationWhenTheBestGenomeWasFound ,
! 			DateTime lastOptimizationDate )
  		{
  			this.wFLagWeightedPositions =
--- 112,120 ----
  			// no generation number to log
  			this.initialize( wFLagWeightedPositions ,
! 			                -999 , lastOptimizationDate );
  		}
  		private void initialize( WFLagWeightedPositions wFLagWeightedPositions ,
! 		                        int generationWhenTheBestGenomeWasFound ,
! 		                        DateTime lastOptimizationDate )
  		{
  			this.wFLagWeightedPositions =
***************
*** 138,142 ****
  
  			// deserialize the fields from the info object, only if of the base clas
! 			for (Int32 i = 0 ; i < memberInfos.Length; i++) 
  			{
  				// Don't deserialize fields for this class
--- 138,142 ----
  
  			// deserialize the fields from the info object, only if of the base clas
! 			for (Int32 i = 0 ; i < memberInfos.Length; i++)
  			{
  				// Don't deserialize fields for this class
***************
*** 147,151 ****
  					// set the field to the deserialized value
  					fieldInfo.SetValue( this ,
! 						info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
  				}
  			}
--- 147,151 ----
  					// set the field to the deserialized value
  					fieldInfo.SetValue( this ,
! 					                   info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
  				}
  			}
***************
*** 170,174 ****
  			catch( Exception ex1 )
  			{
! 				string exMessage = ex1.Message;				
  			}
  		}
--- 170,174 ----
  			catch( Exception ex1 )
  			{
! 				string exMessage = ex1.Message;
  			}
  		}
***************
*** 197,204 ****
  					//				drivingWeightedPositions = this.getWeightedPositions( drivingPositions );
  				}
! 				catch( Exception ex2 )
  				{
! 					string errorMessage = ex2.Message;
! 					errorMessage = errorMessage;
  				}
  			}
--- 197,203 ----
  					//				drivingWeightedPositions = this.getWeightedPositions( drivingPositions );
  				}
! 				catch( Exception ex )
  				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  				}
  			}
***************
*** 241,245 ****
  		{
  			this.lastOptimizationDate = (DateTime)info.GetValue( "lastOptimizationDate" ,
! 				this.lastOptimizationDate.GetType() );
  			this.deserializeWFLagWeightedPositions( info , context );
  			this.deserializeDrivingWeightedPositions( info , context );
--- 240,244 ----
  		{
  			this.lastOptimizationDate = (DateTime)info.GetValue( "lastOptimizationDate" ,
! 			                                                    this.lastOptimizationDate.GetType() );
  			this.deserializeWFLagWeightedPositions( info , context );
  			this.deserializeDrivingWeightedPositions( info , context );
***************
*** 248,261 ****
  		}
  		void ISerializable.GetObjectData(
! 			SerializationInfo info, StreamingContext context) 
  		{
  			// get the set of serializable members for this class and base classes
  			Type thisType = this.GetType();
! 			MemberInfo[] mi = 
  				FormatterServices.GetSerializableMembers( thisType , context);
  
  			// serialize the fields to the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++) 
! 			{ 
  				string memberName = mi[i].Name;
  				if ( ( memberName != "drivingPositions" ) && ( memberName != "portfolioPositions" ) )
--- 247,260 ----
  		}
  		void ISerializable.GetObjectData(
! 			SerializationInfo info, StreamingContext context)
  		{
  			// get the set of serializable members for this class and base classes
  			Type thisType = this.GetType();
! 			MemberInfo[] mi =
  				FormatterServices.GetSerializableMembers( thisType , context);
  
  			// serialize the fields to the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++)
! 			{
  				string memberName = mi[i].Name;
  				if ( ( memberName != "drivingPositions" ) && ( memberName != "portfolioPositions" ) )

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO RunWeightedPVO.cs, 1.2, 1.3

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:51

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO

Modified Files:
	RunWeightedPVO.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunWeightedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/RunWeightedPVO.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunWeightedPVO.cs	14 Jan 2008 23:07:04 -0000	1.2
--- RunWeightedPVO.cs	19 Aug 2008 17:13:13 -0000	1.3
***************
*** 3,7 ****
  
  RunWeightedPVO.cs
! Copyright (C) 2006 
  Marco Milletti
  
--- 3,7 ----
  
  RunWeightedPVO.cs
! Copyright (C) 2006
  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;
***************
*** 47,192 ****
  	/// <summary>
  	/// Script that implements an oscillating strategy using weights for tickers,
! 	/// based on the classical technical indicator 
! 	/// RelativeStrengthIndex - RSI 
  	/// </summary>
  	[Serializable]
  	public class RunWeightedPVO : RunEfficientPortfolio
  	{
!     protected int minLevelForOversoldThreshold;
!     protected int maxLevelForOversoldThreshold;
!     protected int minLevelForOverboughtThreshold;
!     protected int maxLevelForOverboughtThreshold;
!     protected int divisorForThresholdComputation;
!     //to be used by the optimizer
!     protected int numDaysBetweenEachOptimization;
!     protected double maxAcceptableCloseToCloseDrawdown;
!     protected double minimumAcceptableGain;
!     protected int numDaysForOscillatingPeriod;
!     protected bool symmetricalThresholds = false;
!     protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
!         
!     public RunWeightedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate,
!                                    	int numDaysForOscillatingPeriod,
!                                     int minLevelForOversoldThreshold,
!                                     int maxLevelForOversoldThreshold,
!                                     int minLevelForOverboughtThreshold,
!                                     int maxLevelForOverboughtThreshold,
!                                     int divisorForThresholdComputation,
!                                     bool symmetricalThresholds,
!                                     bool overboughtMoreThanOversoldForFixedPortfolio,
!                                    	int numDaysBetweenEachOptimization,
!                                     PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double minimumAcceptableGain,
!                                     double maxRunningHours):
! 																base(tickerGroupID, maxNumOfEligibleTickersForOptimization, 
!                                     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     startDate, endDate, 0.0,
!                                    	inSamplePortfolioType, maxRunningHours)
  		{
!       this.ScriptName = "PVO_SR_WithWeights_PriceSel";
!       this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
!       this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
!       this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
!       this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
!       this.divisorForThresholdComputation = divisorForThresholdComputation;
!       this.symmetricalThresholds = symmetricalThresholds;
!       this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.minimumAcceptableGain = minimumAcceptableGain;
!       this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
!     #region auxiliary overriden methods for Run
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerWeightedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
!                                                               this.account,
!     	                                                        this.generationNumberForGeneticOptimizer,
!     	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
!     	                                                        this.numDaysForOscillatingPeriod,
!     	                                                        this.minLevelForOversoldThreshold,
!                                                               this.maxLevelForOversoldThreshold,
!                                                               this.minLevelForOverboughtThreshold,
!                                                               this.maxLevelForOverboughtThreshold,
!                                                               this.divisorForThresholdComputation,
!                                                               this.symmetricalThresholds,
!                                                               this.overboughtMoreThanOversoldForFixedPortfolio,
!     	                                                        this.numDaysBetweenEachOptimization,
!                                                               this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
!                                                               this.minimumAcceptableGain);
!     }
!     
!     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);
!     }
  
!     public override void SaveScriptResults()
!     {
!     	string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!     										DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
!     		        				this.scriptName +  "OsDays_" + numDaysForOscillatingPeriod +
!       								"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
!                       "_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
!                       this.numberOfTickersToBeChosen + "GenN°" + 
!                       this.generationNumberForGeneticOptimizer +
!                       "PopSize" + this.populationSizeForGeneticOptimizer +
!         							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!                          								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
!                        									"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
!                                         "\\" + this.ScriptName + "\\";
!       
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!       		optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
!                                     		this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!                              dirNameWhereToSaveReports + 
!                              fileName + ".qPr");
!             
!       this.endOfDayTimer.Stop();
!        
!     }
!     
!     
!     #endregion 
  	}
  }
--- 47,195 ----
  	/// <summary>
  	/// Script that implements an oscillating strategy using weights for tickers,
! 	/// based on the classical technical indicator
! 	/// RelativeStrengthIndex - RSI
  	/// </summary>
  	[Serializable]
  	public class RunWeightedPVO : RunEfficientPortfolio
  	{
! 		protected int minLevelForOversoldThreshold;
! 		protected int maxLevelForOversoldThreshold;
! 		protected int minLevelForOverboughtThreshold;
! 		protected int maxLevelForOverboughtThreshold;
! 		protected int divisorForThresholdComputation;
! 		//to be used by the optimizer
! 		protected int numDaysBetweenEachOptimization;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		protected double minimumAcceptableGain;
! 		protected int numDaysForOscillatingPeriod;
! 		protected bool symmetricalThresholds = false;
! 		protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
! 		
! 		public RunWeightedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization,
! 		                      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                      int generationNumberForGeneticOptimizer,
! 		                      int populationSizeForGeneticOptimizer, string benchmark,
! 		                      DateTime startDate, DateTime endDate,
! 		                      int numDaysForOscillatingPeriod,
! 		                      int minLevelForOversoldThreshold,
! 		                      int maxLevelForOversoldThreshold,
! 		                      int minLevelForOverboughtThreshold,
! 		                      int maxLevelForOverboughtThreshold,
! 		                      int divisorForThresholdComputation,
! 		                      bool symmetricalThresholds,
! 		                      bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                      int numDaysBetweenEachOptimization,
! 		                      PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                      double minimumAcceptableGain,
! 		                      double maxRunningHours):
! 			base(tickerGroupID, maxNumOfEligibleTickersForOptimization,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, 0.0,
! 			     inSamplePortfolioType, maxRunningHours)
  		{
! 			this.ScriptName = "PVO_SR_WithWeights_PriceSel";
! 			this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
! 			this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
! 			this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
! 			this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
! 			this.divisorForThresholdComputation = divisorForThresholdComputation;
! 			this.symmetricalThresholds = symmetricalThresholds;
! 			this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.minimumAcceptableGain = minimumAcceptableGain;
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
! 		#region auxiliary overriden methods for Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerWeightedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
! 			                                                                this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
! 			                                                                this.account,
! 			                                                                this.generationNumberForGeneticOptimizer,
! 			                                                                this.populationSizeForGeneticOptimizer, this.benchmark,
! 			                                                                this.numDaysForOscillatingPeriod,
! 			                                                                this.minLevelForOversoldThreshold,
! 			                                                                this.maxLevelForOversoldThreshold,
! 			                                                                this.minLevelForOverboughtThreshold,
! 			                                                                this.maxLevelForOverboughtThreshold,
! 			                                                                this.divisorForThresholdComputation,
! 			                                                                this.symmetricalThresholds,
! 			                                                                this.overboughtMoreThanOversoldForFixedPortfolio,
! 			                                                                this.numDaysBetweenEachOptimization,
! 			                                                                this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
! 			                                                                this.minimumAcceptableGain);
! 		}
! 		
! 		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);
! 		}
  
! 		public override void SaveScriptResults()
! 		{
! 			string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				this.scriptName +  "OsDays_" + numDaysForOscillatingPeriod +
! 				"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
! 				"_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
! 				this.numberOfTickersToBeChosen + "GenN°" +
! 				this.generationNumberForGeneticOptimizer +
! 				"PopSize" + this.populationSizeForGeneticOptimizer +
! 				Convert.ToString(this.portfolioType);
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 				optimizationOutput.Add(genomeRepresentation);
! 			ObjectArchiver.Archive(optimizationOutput,
! 			                       dirNameWhereToSaveBestGenomes +
! 			                       fileName + ".bgn");
! 			
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			
! 			this.endOfDayTimer.Stop();
! 			
! 		}
! 		
! 		
! 		#endregion
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO RunWeightedBalancedPVO.cs, 1.2, 1.3

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:50

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO

Modified Files:
	RunWeightedBalancedPVO.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunWeightedBalancedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO/RunWeightedBalancedPVO.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunWeightedBalancedPVO.cs	14 Jan 2008 23:07:05 -0000	1.2
--- RunWeightedBalancedPVO.cs	19 Aug 2008 17:13:13 -0000	1.3
***************
*** 3,7 ****
  
  RunWeightedBalancedPVO.cs
! Copyright (C) 2006 
  Marco Milletti
  
--- 3,7 ----
  
  RunWeightedBalancedPVO.cs
! Copyright (C) 2006
  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;
***************
*** 47,192 ****
  	/// <summary>
  	/// Script that implements an oscillating strategy using weights for tickers,
! 	/// based on the classical technical indicator 
! 	/// RelativeStrengthIndex - RSI 
  	/// </summary>
  	[Serializable]
  	public class RunWeightedBalancedPVO : RunEfficientPortfolio
  	{
!     protected int minLevelForOversoldThreshold;
!     protected int maxLevelForOversoldThreshold;
!     protected int minLevelForOverboughtThreshold;
!     protected int maxLevelForOverboughtThreshold;
!     protected int divisorForThresholdComputation;
!     //to be used by the optimizer
!     protected int numDaysBetweenEachOptimization;
!     protected double maxAcceptableCloseToCloseDrawdown;
!     protected double minimumAcceptableGain;
!     protected int numDaysForOscillatingPeriod;
!     protected bool symmetricalThresholds = false;
!     protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
!         
!     public RunWeightedBalancedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate,
!                                    	int numDaysForOscillatingPeriod,
!                                     int minLevelForOversoldThreshold,
!                                     int maxLevelForOversoldThreshold,
!                                     int minLevelForOverboughtThreshold,
!                                     int maxLevelForOverboughtThreshold,
!                                     int divisorForThresholdComputation,
!                                     bool symmetricalThresholds,
!                                     bool overboughtMoreThanOversoldForFixedPortfolio,
!                                    	int numDaysBetweenEachOptimization,
!                                     PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double minimumAcceptableGain,
!                                     double maxRunningHours):
! 																base(tickerGroupID, maxNumOfEligibleTickersForOptimization, 
!                                     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     startDate, endDate, 0.0,
!                                    	inSamplePortfolioType, maxRunningHours)
  		{
!       this.ScriptName = "PVO_SR_BalancedWeights_PriceSel";
!       this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
!       this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
!       this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
!       this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
!       this.divisorForThresholdComputation = divisorForThresholdComputation;
!       this.symmetricalThresholds = symmetricalThresholds;
!       this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.minimumAcceptableGain = minimumAcceptableGain;
!       this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
!     #region auxiliary overriden methods for Run
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerWeightedBalancedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
!                                                               this.account,
!     	                                                        this.generationNumberForGeneticOptimizer,
!     	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
!     	                                                        this.numDaysForOscillatingPeriod,
!     	                                                        this.minLevelForOversoldThreshold,
!                                                               this.maxLevelForOversoldThreshold,
!                                                               this.minLevelForOverboughtThreshold,
!                                                               this.maxLevelForOverboughtThreshold,
!                                                               this.divisorForThresholdComputation,
!                                                               this.symmetricalThresholds,
!                                                               this.overboughtMoreThanOversoldForFixedPortfolio,
!     	                                                        this.numDaysBetweenEachOptimization,
!                                                               this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
!                                                               this.minimumAcceptableGain);
!     }
!     
!     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);
!     }
  
!     public override void SaveScriptResults()
!     {
!     	string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!     										DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
!     		        				this.scriptName +  "OsDays_" + numDaysForOscillatingPeriod +
!       								"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
!                       "_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
!                       this.numberOfTickersToBeChosen + "GenN°" + 
!                       this.generationNumberForGeneticOptimizer +
!                       "PopSize" + this.populationSizeForGeneticOptimizer +
!         							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!                          								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
!                        									"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
!                                         "\\" + this.ScriptName + "\\";
!       
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!       		optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
!                                     		this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!                              dirNameWhereToSaveReports + 
!                              fileName + ".qPr");
!             
!       this.endOfDayTimer.Stop();
!        
!     }
!     
!     
!     #endregion 
  	}
  }
--- 47,195 ----
  	/// <summary>
  	/// Script that implements an oscillating strategy using weights for tickers,
! 	/// based on the classical technical indicator
! 	/// RelativeStrengthIndex - RSI
  	/// </summary>
  	[Serializable]
  	public class RunWeightedBalancedPVO : RunEfficientPortfolio
  	{
! 		protected int minLevelForOversoldThreshold;
! 		protected int maxLevelForOversoldThreshold;
! 		protected int minLevelForOverboughtThreshold;
! 		protected int maxLevelForOverboughtThreshold;
! 		protected int divisorForThresholdComputation;
! 		//to be used by the optimizer
! 		protected int numDaysBetweenEachOptimization;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		protected double minimumAcceptableGain;
! 		protected int numDaysForOscillatingPeriod;
! 		protected bool symmetricalThresholds = false;
! 		protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
! 		
! 		public RunWeightedBalancedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization,
! 		                              int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                              int generationNumberForGeneticOptimizer,
! 		                              int populationSizeForGeneticOptimizer, string benchmark,
! 		                              DateTime startDate, DateTime endDate,
! 		                              int numDaysForOscillatingPeriod,
! 		                              int minLevelForOversoldThreshold,
! 		                              int maxLevelForOversoldThreshold,
! 		                              int minLevelForOverboughtThreshold,
! 		                              int maxLevelForOverboughtThreshold,
! 		                              int divisorForThresholdComputation,
! 		                              bool symmetricalThresholds,
! 		                              bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                              int numDaysBetweenEachOptimization,
! 		                              PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                              double minimumAcceptableGain,
! 		                              double maxRunningHours):
! 			base(tickerGroupID, maxNumOfEligibleTickersForOptimization,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, 0.0,
! 			     inSamplePortfolioType, maxRunningHours)
  		{
! 			this.ScriptName = "PVO_SR_BalancedWeights_PriceSel";
! 			this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
! 			this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
! 			this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
! 			this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
! 			this.divisorForThresholdComputation = divisorForThresholdComputation;
! 			this.symmetricalThresholds = symmetricalThresholds;
! 			this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.minimumAcceptableGain = minimumAcceptableGain;
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
! 		#region auxiliary overriden methods for Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerWeightedBalancedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
! 			                                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
! 			                                                                        this.account,
! 			                                                                        this.generationNumberForGeneticOptimizer,
! 			                                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
! 			                                                                        this.numDaysForOscillatingPeriod,
! 			                                                                        this.minLevelForOversoldThreshold,
! 			                                                                        this.maxLevelForOversoldThreshold,
! 			                                                                        this.minLevelForOverboughtThreshold,
! 			                                                                        this.maxLevelForOverboughtThreshold,
! 			                                                                        this.divisorForThresholdComputation,
! 			                                                                        this.symmetricalThresholds,
! 			                                                                        this.overboughtMoreThanOversoldForFixedPortfolio,
! 			                                                                        this.numDaysBetweenEachOptimization,
! 			                                                                        this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
! 			                                                                        this.minimumAcceptableGain);
! 		}
! 		
! 		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);
! 		}
  
! 		public override void SaveScriptResults()
! 		{
! 			string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				this.scriptName +  "OsDays_" + numDaysForOscillatingPeriod +
! 				"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
! 				"_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
! 				this.numberOfTickersToBeChosen + "GenN°" +
! 				this.generationNumberForGeneticOptimizer +
! 				"PopSize" + this.populationSizeForGeneticOptimizer +
! 				Convert.ToString(this.portfolioType);
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 				optimizationOutput.Add(genomeRepresentation);
! 			ObjectArchiver.Archive(optimizationOutput,
! 			                       dirNameWhereToSaveBestGenomes +
! 			                       fileName + ".bgn");
! 			
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			
! 			this.endOfDayTimer.Stop();
! 			
! 		}
! 		
! 		
! 		#endregion
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationCloseToOpen.cs, 1.3, 1.4 RunTestingOptimizationOpenToClose.cs, 1.9, 1.10 RunTestingOptimizationOpenToCloseFitnessCombined.cs, 1.3, 1.4

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:46

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

Modified Files:
	RunTestingOptimizationCloseToOpen.cs 
	RunTestingOptimizationOpenToClose.cs 
	RunTestingOptimizationOpenToCloseFitnessCombined.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunTestingOptimizationOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** RunTestingOptimizationOpenToClose.cs	14 Jan 2008 23:28:58 -0000	1.9
--- RunTestingOptimizationOpenToClose.cs	19 Aug 2008 17:13:11 -0000	1.10
***************
*** 3,7 ****
  
  RunTestingOptimizationOpenToClose.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunTestingOptimizationOpenToClose.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;
***************
*** 38,91 ****
  	/// for the efficient open to close portfolio
  	/// </summary>
!   [Serializable]
!   public class RunTestingOptimizationOpenToClose
!   {
!   	private double[] fitnessesInSample;
!   	private double[] fitnessesOutOfSample;
!   	private string tickerGroupID;
!     private int numberOfEligibleTickers;
!     private int numberOfTickersToBeChosen;
!     private int numDaysForOptimization;
!     private int populationSizeForGeneticOptimizer;
!     private int generationNumberForGeneticOptimizer;
!   	private string benchmark;
!   	private DateTime marketDate;
!   	private double targetReturn;
!   	private PortfolioType portfolioType;
!   	private int numDaysAfterLastOptimizationDay;
!   	private int numberOfSubsets;
!   	private Genome[] genomesToTestOutOfSample;
!   	private int numberOfGenomesToTest;
!       	
!     public RunTestingOptimizationOpenToClose(string tickerGroupID, int numberOfEligibleTickers,
!       				int numberOfTickersToBeChosen, int numDaysForOptimization,
!       				int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer, 
!       				string benchmark,
!       				DateTime marketDate, double targetReturn,
!       				PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
!       				int numberOfSubsets, int numberOfGenomesToTest)
!     {
!   		this.numberOfGenomesToTest = numberOfGenomesToTest;
!   		this.genomesToTestOutOfSample = new Genome[numberOfGenomesToTest];
!   		this.fitnessesInSample = new double[numberOfGenomesToTest];
!   		this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
!   		this.tickerGroupID = tickerGroupID;
!   		this.numberOfEligibleTickers = numberOfEligibleTickers;
!   		this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
!   		this.numDaysForOptimization = numDaysForOptimization;
!   		this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
!   		this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
!   		this.benchmark = benchmark;
!   		this.marketDate = marketDate;
!   		this.targetReturn = targetReturn;
!   		this.portfolioType = portfolioType;
!   		this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
!   		this.numberOfSubsets = numberOfSubsets;
!    	}
!     
!   	private DataTable getSetOfTickersToBeOptimized(DateTime date)
!     {
!       /*
!       SelectorByAverageRawOpenPrice selectorByOpenPrice = 
                    new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                            currentDate.AddDays(-this.numDaysForOptimization), currentDate,
--- 38,91 ----
  	/// for the efficient open to close portfolio
  	/// </summary>
! 	[Serializable]
! 	public class RunTestingOptimizationOpenToClose
! 	{
! 		private double[] fitnessesInSample;
! 		private double[] fitnessesOutOfSample;
! 		private string tickerGroupID;
! 		private int numberOfEligibleTickers;
! 		private int numberOfTickersToBeChosen;
! 		private int numDaysForOptimization;
! 		private int populationSizeForGeneticOptimizer;
! 		private int generationNumberForGeneticOptimizer;
! 		private string benchmark;
! 		private DateTime marketDate;
! 		private double targetReturn;
! 		private PortfolioType portfolioType;
! 		private int numDaysAfterLastOptimizationDay;
! 		private int numberOfSubsets;
! 		private Genome[] genomesToTestOutOfSample;
! 		private int numberOfGenomesToTest;
! 		
! 		public RunTestingOptimizationOpenToClose(string tickerGroupID, int numberOfEligibleTickers,
! 		                                         int numberOfTickersToBeChosen, int numDaysForOptimization,
! 		                                         int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer,
! 		                                         string benchmark,
! 		                                         DateTime marketDate, double targetReturn,
! 		                                         PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
! 		                                         int numberOfSubsets, int numberOfGenomesToTest)
! 		{
! 			this.numberOfGenomesToTest = numberOfGenomesToTest;
! 			this.genomesToTestOutOfSample = new Genome[numberOfGenomesToTest];
! 			this.fitnessesInSample = new double[numberOfGenomesToTest];
! 			this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
! 			this.numDaysForOptimization = numDaysForOptimization;
! 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
! 			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! 			this.benchmark = benchmark;
! 			this.marketDate = marketDate;
! 			this.targetReturn = targetReturn;
! 			this.portfolioType = portfolioType;
! 			this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
! 			this.numberOfSubsets = numberOfSubsets;
! 		}
! 		
! 		private DataTable getSetOfTickersToBeOptimized(DateTime date)
! 		{
! 			/*
!       SelectorByAverageRawOpenPrice selectorByOpenPrice =
                    new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                            currentDate.AddDays(-this.numDaysForOptimization), currentDate,
***************
*** 93,350 ****
                            this.maxPriceForMinimumCommission, 0, 2);
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
!       */
!      	
!      	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!       	                                                    date);
!       
!       SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
!         new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
!                                           this.benchmark,true,
!                                           date.AddDays(-this.numDaysForOptimization ),
!                                           date,
!                                          this.numberOfEligibleTickers);
!       
!       DataTable eligibleTickers;
!       eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
!       //eligibleTickers = temporizedGroup.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
!         new SelectorByQuotationAtEachMarketDay( eligibleTickers,
!                                    false, date.AddDays(-this.numDaysForOptimization),
!                                     date, this.numberOfEligibleTickers, this.benchmark);
!       //SelectorByWinningOpenToClose winners =
!       	//new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
!       	  //                               false, date.AddDays(-1),
!       	    //                             date.AddDays(-1), this.numberOfEligibleTickers/2,
!               //                            true);      	                                 
!       //return winners.GetTableOfSelectedTickers();
!      
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!       //return lessCorrelated.GetTableOfSelectedTickers();
!     }
!   	
!     private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
!   		
!     {
!       double returnValue = 0;
!       foreach(string tickerCode in ((GenomeMeaning)genome.Meaning).Tickers)
!       {
!         double coefficient = 1.0;
!         string ticker = tickerCode;
!         if(ticker.StartsWith("-"))
!         {
!           ticker = ticker.Substring(1,ticker.Length -1);
!           coefficient = -1.0;
!         }
!         DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
!         //returnValue is the single return for the numDaysAfterLastOptimizationDay - th day
!         //after the given market date
!         
!         //Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
!         //  															 dateOutOfSample);
!         //returnValue +=
!         //  (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
!         //  tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
! 	 			
!         //returnValue is the average return for the interval between
! 	 			//the given market date and the numDaysAfterLastOptimizationDay - th
! 	 			//day after the given market date
! 	 			//Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!         //  															 dateOutOfSample);
!         //double close, open;
! 	 			//for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 	 			//{
! 		      //close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
! 		      //open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
! 	 				//returnValue +=
! 		      //(close/open - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
! 		      	
! 	 			//}
!         
!         //returnValue is the sharpe ratio for the interval between
!         //the given market date and the numDaysAfterLastOptimizationDay - th
!         //day after the given market date
!         Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!           															 dateOutOfSample);
!         double close, open;
!         double[] returns = new double[this.numDaysAfterLastOptimizationDay];
!         for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
!         {
!           close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
!           open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
!           returns[i] = (close/open - 1.0)*coefficient;
!         }
!         returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
!       }
  
!       return returnValue/genome.Size;
!       
!     }
!     
!     private bool setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(Genome genomeToBeAdded,
!                                                                                                                               bool addWorstGenomes)
!   		
!     {
!       bool returnValue = true;
!       if(addWorstGenomes)
!       //the first half containing the worst genomes has to be checked
!       {
!         for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
!         {
!           if(this.genomesToTestOutOfSample[i]==null)
!             return true;
!           if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[i]))
!             return false;
!         }
!       }
!       else
!       //the second half containing the best genomes has to be checked
!       {
!         for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
!         {
!           if(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]==null)
!             return true;
!           if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]))
!             return false;
!         }
!       }
!       return returnValue;
!     }
!     private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(GeneticOptimizer optimizer,
!                                                                                       bool addWorstGenomes)
!   		
!     {
!       Genome currentGenome;
!       Genome previousGenome = null;
!       int numOfDifferentGenomesFound = 0;
!       for(int j = 0;
!         j<this.populationSizeForGeneticOptimizer && numOfDifferentGenomesFound<this.numberOfGenomesToTest/2;
!         j++)
!       {
!         if(addWorstGenomes == true)
!           currentGenome = (Genome)optimizer.CurrentGeneration[j];
!         else
!           currentGenome = (Genome)optimizer.CurrentGeneration[this.populationSizeForGeneticOptimizer-j-1];
  
!         if(this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(currentGenome, addWorstGenomes))
!         //no genes of the current genome are present in the relative half
!         {
!           if(this.genomesToTestOutOfSample[numOfDifferentGenomesFound]!= null)
!           //the first half of the array has already been filled
!             this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-numOfDifferentGenomesFound]=currentGenome;
!           else//the first half is still empty
!             this.genomesToTestOutOfSample[numOfDifferentGenomesFound] = currentGenome;
!           previousGenome = currentGenome;
!           numOfDifferentGenomesFound++;
!         }
!         
!       }
!      
!     }
!   	
!     private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(IGenomeManager genomeManager)
!   		
!     {
!       GeneticOptimizer optimizer = new GeneticOptimizer(genomeManager,
!                                               this.populationSizeForGeneticOptimizer,
!                                               this.generationNumberForGeneticOptimizer,
!                                               ConstantsProvider.SeedForRandomGenerator);
!       optimizer.Run(false);
!       this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
!                                                                                  true);
!       this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
!                                                                                 false);
!       Array.Sort(this.genomesToTestOutOfSample);
!     }
!     
!     private void setFitnesses_setFitnessesActually(IGenomeManager genomeManager)
!   		
!     {
!       this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(genomeManager);
!       for(int i = 0; i<this.numberOfGenomesToTest; i++)
!       {
!         this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
!         this.fitnessesOutOfSample[i]= 
!           this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
!       }
!       
!     }
  
!     private void setFitnesses()
!   		
!     {
!       
!       DataTable setOfTickersToBeOptimized = 
!       	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientOTC = 
!         new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
!       	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
!       	                                          this.marketDate,
!       	                                          this.numberOfTickersToBeChosen,
!       	                                          this.targetReturn,
!       	                                         	this.portfolioType,
! 																									this.benchmark);
!     
!       this.setFitnesses_setFitnessesActually(genManEfficientOTC);
!       
!     }
!   	
!     public void Run()
!     {
!       try
!       {
!         this.setFitnesses();
!         OptimizationTechniqueEvaluator evaluator = 
!           new OptimizationTechniqueEvaluator(this.fitnessesInSample,
!           this.fitnessesOutOfSample);
!         this.run_writeToLogFile(evaluator);
!       }
!       catch(Exception ex)
!       {
!         ex = ex;
!       }
!     }
!     
!     private void run_writeToLogFile(OptimizationTechniqueEvaluator evaluator)
!     {
!     	double[] averagesInSample = 
!     		evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
!     	double[] averagesOutOfSample = 
!     		evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
!     	double r = evaluator.GetCorrelationBetweenFitnesses();
!     	GenomeCounter genomeCounter = new GenomeCounter(this.genomesToTestOutOfSample);
!     	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
!      	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\OptimizationEvaluation.txt";
!   	  StreamWriter w = File.AppendText(pathFile);
!   	  w.WriteLine ("\n----------------------------------------------\r\n");
!   	  w.Write("\r\nNew Test for Evaluation of Open To Close Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString());
!   	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
!       w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
!                         this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
!       w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
!       w.WriteLine ("\n----------------------------------------------");
!   	  w.Write("\r\nFitnesses compared (sharpe r. OTC): {0}\r", this.fitnessesInSample.Length.ToString());
!   	  w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
!       w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
!   	          this.numberOfSubsets);
!       //
!       for(int i = 0; i<averagesInSample.Length; i++)
!         	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesInSample[i].ToString());
!       
!       w.WriteLine ("\n\n----------------------------------------------");
!       w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of Sample:\r",
!   	          this.numberOfSubsets);
!       //
!       for(int i = 0; i<averagesOutOfSample.Length; i++)
!         	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesOutOfSample[i].ToString());	
!       w.WriteLine ("\n\n----------------------------------------------");
!       //
!       w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", r.ToString());
!       w.WriteLine ("\n-----------------End of Test------------------\r\n");
!       // Update the underlying file.
!       w.Flush();
!       w.Close();
!     }	
  	}
  }
--- 93,351 ----
                            this.maxPriceForMinimumCommission, 0, 2);
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
! 			 */
! 			
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 			                                                      date);
! 			
! 			SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup =
! 				new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
! 				                                              this.benchmark,true,
! 				                                              date.AddDays(-this.numDaysForOptimization ),
! 				                                              date,
! 				                                              this.numberOfEligibleTickers);
! 			
! 			DataTable eligibleTickers;
! 			eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
! 			//eligibleTickers = temporizedGroup.GetTableOfSelectedTickers();
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible =
! 				new SelectorByQuotationAtEachMarketDay( eligibleTickers,
! 				                                       false, date.AddDays(-this.numDaysForOptimization),
! 				                                       date, this.numberOfEligibleTickers, this.benchmark);
! 			//SelectorByWinningOpenToClose winners =
! 			//new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
! 			//                               false, date.AddDays(-1),
! 			//                             date.AddDays(-1), this.numberOfEligibleTickers/2,
! 			//                            true);
! 			//return winners.GetTableOfSelectedTickers();
! 			
! 			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
! 			//return lessCorrelated.GetTableOfSelectedTickers();
! 		}
! 		
! 		private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
! 			
! 		{
! 			double returnValue = 0;
! 			foreach(string tickerCode in ((GenomeMeaning)genome.Meaning).Tickers)
! 			{
! 				double coefficient = 1.0;
! 				string ticker = tickerCode;
! 				if(ticker.StartsWith("-"))
! 				{
! 					ticker = ticker.Substring(1,ticker.Length -1);
! 					coefficient = -1.0;
! 				}
! 				DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
! 				//returnValue is the single return for the numDaysAfterLastOptimizationDay - th day
! 				//after the given market date
! 				
! 				//Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
! 				//  															 dateOutOfSample);
! 				//returnValue +=
! 				//  (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
! 				//  tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
! 				
! 				//returnValue is the average return for the interval between
! 				//the given market date and the numDaysAfterLastOptimizationDay - th
! 				//day after the given market date
! 				//Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
! 				//  															 dateOutOfSample);
! 				//double close, open;
! 				//for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 				//{
! 				//close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
! 				//open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
! 				//returnValue +=
! 				//(close/open - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
! 				
! 				//}
! 				
! 				//returnValue is the sharpe ratio for the interval between
! 				//the given market date and the numDaysAfterLastOptimizationDay - th
! 				//day after the given market date
! 				Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
! 				                                 dateOutOfSample);
! 				double close, open;
! 				double[] returns = new double[this.numDaysAfterLastOptimizationDay];
! 				for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 				{
! 					close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
! 					open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
! 					returns[i] = (close/open - 1.0)*coefficient;
! 				}
! 				returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
! 			}
  
! 			return returnValue/genome.Size;
! 			
! 		}
! 		
! 		private bool setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(Genome genomeToBeAdded,
! 		                                                                                                                          bool addWorstGenomes)
! 			
! 		{
! 			bool returnValue = true;
! 			if(addWorstGenomes)
! 				//the first half containing the worst genomes has to be checked
! 			{
! 				for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
! 				{
! 					if(this.genomesToTestOutOfSample[i]==null)
! 						return true;
! 					if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[i]))
! 						return false;
! 				}
! 			}
! 			else
! 				//the second half containing the best genomes has to be checked
! 			{
! 				for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
! 				{
! 					if(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]==null)
! 						return true;
! 					if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]))
! 						return false;
! 				}
! 			}
! 			return returnValue;
! 		}
! 		private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(GeneticOptimizer optimizer,
! 		                                                                                      bool addWorstGenomes)
! 			
! 		{
! 			Genome currentGenome;
! 			Genome previousGenome = null;
! 			int numOfDifferentGenomesFound = 0;
! 			for(int j = 0;
! 			    j<this.populationSizeForGeneticOptimizer && numOfDifferentGenomesFound<this.numberOfGenomesToTest/2;
! 			    j++)
! 			{
! 				if(addWorstGenomes == true)
! 					currentGenome = (Genome)optimizer.CurrentGeneration[j];
! 				else
! 					currentGenome = (Genome)optimizer.CurrentGeneration[this.populationSizeForGeneticOptimizer-j-1];
  
! 				if(this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(currentGenome, addWorstGenomes))
! 					//no genes of the current genome are present in the relative half
! 				{
! 					if(this.genomesToTestOutOfSample[numOfDifferentGenomesFound]!= null)
! 						//the first half of the array has already been filled
! 						this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-numOfDifferentGenomesFound]=currentGenome;
! 					else//the first half is still empty
! 						this.genomesToTestOutOfSample[numOfDifferentGenomesFound] = currentGenome;
! 					previousGenome = currentGenome;
! 					numOfDifferentGenomesFound++;
! 				}
! 				
! 			}
! 			
! 		}
! 		
! 		private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(IGenomeManager genomeManager)
! 			
! 		{
! 			GeneticOptimizer optimizer = new GeneticOptimizer(genomeManager,
! 			                                                  this.populationSizeForGeneticOptimizer,
! 			                                                  this.generationNumberForGeneticOptimizer,
! 			                                                  ConstantsProvider.SeedForRandomGenerator);
! 			optimizer.Run(false);
! 			this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
! 			                                                                              true);
! 			this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
! 			                                                                              false);
! 			Array.Sort(this.genomesToTestOutOfSample);
! 		}
! 		
! 		private void setFitnesses_setFitnessesActually(IGenomeManager genomeManager)
! 			
! 		{
! 			this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(genomeManager);
! 			for(int i = 0; i<this.numberOfGenomesToTest; i++)
! 			{
! 				this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
! 				this.fitnessesOutOfSample[i]=
! 					this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
! 			}
! 			
! 		}
  
! 		private void setFitnesses()
! 			
! 		{
! 			
! 			DataTable setOfTickersToBeOptimized =
! 				this.getSetOfTickersToBeOptimized(this.marketDate);
! 			IGenomeManager genManEfficientOTC =
! 				new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
! 				                                          this.marketDate.AddDays(-this.numDaysForOptimization),
! 				                                          this.marketDate,
! 				                                          this.numberOfTickersToBeChosen,
! 				                                          this.targetReturn,
! 				                                          this.portfolioType,
! 				                                          this.benchmark);
! 			
! 			this.setFitnesses_setFitnessesActually(genManEfficientOTC);
! 			
! 		}
! 		
! 		public void Run()
! 		{
! 			try
! 			{
! 				this.setFitnesses();
! 				OptimizationTechniqueEvaluator evaluator =
! 					new OptimizationTechniqueEvaluator(this.fitnessesInSample,
! 					                                   this.fitnessesOutOfSample);
! 				this.run_writeToLogFile(evaluator);
! 			}
! 			catch(Exception ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 		}
! 		
! 		private void run_writeToLogFile(OptimizationTechniqueEvaluator evaluator)
! 		{
! 			double[] averagesInSample =
! 				evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
! 			double[] averagesOutOfSample =
! 				evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
! 			double r = evaluator.GetCorrelationBetweenFitnesses();
! 			GenomeCounter genomeCounter = new GenomeCounter(this.genomesToTestOutOfSample);
! 			int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
! 			string pathFile =
! 				System.Configuration.ConfigurationManager.AppSettings["GenericArchive"] +
! 				"\\OptimizationEvaluation.txt";
! 			StreamWriter w = File.AppendText(pathFile);
! 			w.WriteLine ("\n----------------------------------------------\r\n");
! 			w.Write("\r\nNew Test for Evaluation of Open To Close Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString());
! 			w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
! 			w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
! 			w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
! 			        this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
! 			w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
! 			w.WriteLine ("\n----------------------------------------------");
! 			w.Write("\r\nFitnesses compared (sharpe r. OTC): {0}\r", this.fitnessesInSample.Length.ToString());
! 			w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
! 			w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
! 			        this.numberOfSubsets);
! 			//
! 			for(int i = 0; i<averagesInSample.Length; i++)
! 				w.WriteLine("\n{0}-->{1}", i.ToString(), averagesInSample[i].ToString());
! 			
! 			w.WriteLine ("\n\n----------------------------------------------");
! 			w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of Sample:\r",
! 			        this.numberOfSubsets);
! 			//
! 			for(int i = 0; i<averagesOutOfSample.Length; i++)
! 				w.WriteLine("\n{0}-->{1}", i.ToString(), averagesOutOfSample[i].ToString());
! 			w.WriteLine ("\n\n----------------------------------------------");
! 			//
! 			w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", r.ToString());
! 			w.WriteLine ("\n-----------------End of Test------------------\r\n");
! 			// Update the underlying file.
! 			w.Flush();
! 			w.Close();
! 		}
  	}
  }

Index: RunTestingOptimizationCloseToOpen.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationCloseToOpen.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunTestingOptimizationCloseToOpen.cs	14 Jan 2008 23:28:58 -0000	1.3
--- RunTestingOptimizationCloseToOpen.cs	19 Aug 2008 17:13:11 -0000	1.4
***************
*** 3,7 ****
  
  RunTestingOptimizationCloseToOpen.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunTestingOptimizationCloseToOpen.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;
***************
*** 38,321 ****
  	/// for the efficient close to open portfolio
  	/// </summary>
!   [Serializable]
!   public class RunTestingOptimizationCloseToOpen
!   {
!   	private double[] fitnessesInSample;
!   	private double[] fitnessesOutOfSample;
!   	private string tickerGroupID;
!     private int numberOfEligibleTickers;
!     private int numberOfTickersToBeChosen;
!     private int numDaysForOptimization;
!     private int populationSizeForGeneticOptimizer;
!     private int generationNumberForGeneticOptimizer;
!   	private string benchmark;
!   	private DateTime marketDate;
!   	private double targetReturn;
!   	private PortfolioType portfolioType;
!   	private int numDaysAfterLastOptimizationDay;
!   	private int numberOfSubsets;
!   	private Genome[] genomesToTestOutOfSample;
!   	private int numberOfGenomesToTest;
!       	
!     public RunTestingOptimizationCloseToOpen(string tickerGroupID, int numberOfEligibleTickers,
!       				int numberOfTickersToBeChosen, int numDaysForOptimization,
!       				int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer, 
!       				string benchmark,
!       				DateTime marketDate, double targetReturn,
!       				PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
!       				int numberOfSubsets, int numberOfGenomesToTest)
!     {
!   		this.numberOfGenomesToTest = numberOfGenomesToTest;
!   		this.genomesToTestOutOfSample = new Genome[numberOfGenomesToTest];
!   		this.fitnessesInSample = new double[numberOfGenomesToTest];
!   		this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
!   		this.tickerGroupID = tickerGroupID;
!   		this.numberOfEligibleTickers = numberOfEligibleTickers;
!   		this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
!   		this.numDaysForOptimization = numDaysForOptimization;
!   		this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
!   		this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
!   		this.benchmark = benchmark;
!   		this.marketDate = marketDate;
!   		this.targetReturn = targetReturn;
!   		this.portfolioType = portfolioType;
!   		this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
!   		this.numberOfSubsets = numberOfSubsets;
!    	}
!     
!     private DataTable getSetOfTickersToBeOptimized(DateTime date)
!     {
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, date);
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
!         new SelectorByQuotationAtEachMarketDay( temporizedGroup.GetTableOfSelectedTickers(),
!         false, date.AddDays(-this.numDaysForOptimization),
!         date, this.numberOfEligibleTickers, this.benchmark);
  
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!     }
!     private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
!   		
!     {
!       double returnValue = 0;
!       foreach(string tickerCode in ((GenomeMeaning)genome.Meaning).Tickers)
!       {
!         double coefficient = 1.0;
!         string ticker = tickerCode;
!         if(ticker.StartsWith("-"))
!         {
!           ticker = ticker.Substring(1,ticker.Length -1);
!           coefficient = -1.0;
!         }
!         DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
!         //returnValue is the single return for the numDaysAfterLastOptimizationDay - th day
!         //after the given market date
!         
!         //Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
!         //  															 dateOutOfSample);
!         
!         //returnValue +=
! //          (tickerQuotes.GetFirstValidAdjustedOpen(dateOutOfSample.AddDays(1))/
!         //  tickerQuotes.GetFirstValidAdjustedClose(dateOutOfSample) - 1.0)*coefficient;
! 	 			//
!         //returnValue is the average return for the interval between
! 	 			//the given market date and the numDaysAfterLastOptimizationDay - th
! 	 			//day after the given market date
! 	 			//Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!         //  															 dateOutOfSample);
!         //double close, open;
! 	 			//for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 	 			//{
! 		      //close = tickerQuotes.GetFirstValidAdjustedClose(this.marketDate.AddDays(i));
! 		      //open = tickerQuotes.GetFirstValidAdjustedOpen(this.marketDate.AddDays(i+1));
! 	 				//returnValue +=
! 		      	//(open/close - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
! 		      	
! 	 			//}
!         
!         //returnValue is the sharpe ratio for the interval between
!         //the given market date and the numDaysAfterLastOptimizationDay - th
!         //day after the given market date
!         Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!           dateOutOfSample);
!         double close, open;
!         double[] returns = new double[this.numDaysAfterLastOptimizationDay];
!         for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
!         {
!           close = tickerQuotes.GetFirstValidAdjustedClose(this.marketDate.AddDays(i));
!           open = tickerQuotes.GetFirstValidAdjustedOpen(this.marketDate.AddDays(i+1));
!           returns[i] = (open/close - 1.0)*coefficient;
!         }
!         returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
!       }
!       return returnValue/genome.Size;
!       
!     }
!     
!     private bool setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(Genome genomeToBeAdded,
!                                                                                                                               bool addWorstGenomes)
!   		
!     {
!       bool returnValue = true;
!       if(addWorstGenomes)
!       //the first half containing the worst genomes has to be checked
!       {
!         for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
!         {
!           if(this.genomesToTestOutOfSample[i]==null)
!             return true;
!           if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[i]))
!             return false;
!         }
!       }
!       else
!       //the second half containing the best genomes has to be checked
!       {
!         for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
!         {
!           if(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]==null)
!             return true;
!           if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]))
!             return false;
!         }
!       }
!       return returnValue;
!     }
!     private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(GeneticOptimizer optimizer,
!                                                                                       bool addWorstGenomes)
!   		
!     {
!       Genome currentGenome;
!       Genome previousGenome = null;
!       int numOfDifferentGenomesFound = 0;
!       for(int j = 0;
!         j<this.populationSizeForGeneticOptimizer && numOfDifferentGenomesFound<this.numberOfGenomesToTest/2;
!         j++)
!       {
!         if(addWorstGenomes == true)
!           currentGenome = (Genome)optimizer.CurrentGeneration[j];
!         else
!           currentGenome = (Genome)optimizer.CurrentGeneration[this.populationSizeForGeneticOptimizer-j-1];
  
!         if(this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(currentGenome, addWorstGenomes))
!         //no genes of the current genome are present in the relative half
!         {
!           if(this.genomesToTestOutOfSample[numOfDifferentGenomesFound]!= null)
!           //the first half of the array has already been filled
!             this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-numOfDifferentGenomesFound]=currentGenome;
!           else//the first half is still empty
!             this.genomesToTestOutOfSample[numOfDifferentGenomesFound] = currentGenome;
!           previousGenome = currentGenome;
!           numOfDifferentGenomesFound++;
!         }
!         
!       }
!      
!     }
!   	
!     private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(IGenomeManager genomeManager)
!   		
!     {
!       GeneticOptimizer optimizer = new GeneticOptimizer(genomeManager,
!                                               this.populationSizeForGeneticOptimizer,
!                                               this.generationNumberForGeneticOptimizer,
!                                               ConstantsProvider.SeedForRandomGenerator);
!       optimizer.Run(false);
!       this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
!                                                                                  true);
!       this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
!                                                                                 false);
!       Array.Sort(this.genomesToTestOutOfSample);
!     }
!     
!     private void setFitnesses_setFitnessesActually(IGenomeManager genomeManager)
!   		
!     {
!       this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(genomeManager);
!       for(int i = 0; i<this.numberOfGenomesToTest; i++)
!       {
!         this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
!         this.fitnessesOutOfSample[i]= 
!           this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
!       }
!       
!     }
  
!     private void setFitnesses()
!   		
!     {
!       
!       DataTable setOfTickersToBeOptimized = 
!       	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientCTOPortfolio = 
!         new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
!       	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
!       	                                          this.marketDate,
!       	                                          this.numberOfTickersToBeChosen,
!       	                                          this.targetReturn,
!       	                                         	this.portfolioType,
! 																									this.benchmark);
!     
!       this.setFitnesses_setFitnessesActually(genManEfficientCTOPortfolio);
!       
!     }
!   	
!     public void Run()
!     {
!       try
!       {
!         this.setFitnesses();
!         OptimizationTechniqueEvaluator evaluator = 
!           new OptimizationTechniqueEvaluator(this.fitnessesInSample,
!           this.fitnessesOutOfSample);
!         this.run_writeToLogFile(evaluator);
!       }
!       catch(Exception ex)
!       {
!         ex = ex;
!       }
!     }
!     
!     private void run_writeToLogFile(OptimizationTechniqueEvaluator evaluator)
!     {
!     	double[] averagesInSample = 
!     		evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
!     	double[] averagesOutOfSample = 
!     		evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
!     	double r = evaluator.GetCorrelationBetweenFitnesses();
!     	GenomeCounter genomeCounter = new GenomeCounter(this.genomesToTestOutOfSample);
!     	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
!      	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\OptimizationEvaluation.txt";
!   	  StreamWriter w = File.AppendText(pathFile);
!   	  w.WriteLine ("\n----------------------------------------------\r\n");
!   	  w.Write("\r\nNew Test for Evaluation of Close To Open Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString());
!   	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
!       w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
!                         this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
!       w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
!       w.WriteLine ("\n----------------------------------------------");
!   	  w.Write("\r\nFitnesses compared (sharpe ratio CTO): {0}\r", this.fitnessesInSample.Length.ToString());
!   	  w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
!       w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
!   	          this.numberOfSubsets);
!       //
!       for(int i = 0; i<averagesInSample.Length; i++)
!         	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesInSample[i].ToString());
!       
!       w.WriteLine ("\n\n----------------------------------------------");
!       w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of Sample:\r",
!   	          this.numberOfSubsets);
!       //
!       for(int i = 0; i<averagesOutOfSample.Length; i++)
!         	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesOutOfSample[i].ToString());	
!       w.WriteLine ("\n\n----------------------------------------------");
!       //
!       w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", r.ToString());
!       w.WriteLine ("\n-----------------End of Test------------------\r\n");
!       // Update the underlying file.
!       w.Flush();
!       w.Close();
!     }	
  	}
  }
--- 38,322 ----
  	/// for the efficient close to open portfolio
  	/// </summary>
! 	[Serializable]
! 	public class RunTestingOptimizationCloseToOpen
! 	{
! 		private double[] fitnessesInSample;
! 		private double[] fitnessesOutOfSample;
! 		private string tickerGroupID;
! 		private int numberOfEligibleTickers;
! 		private int numberOfTickersToBeChosen;
! 		private int numDaysForOptimization;
! 		private int populationSizeForGeneticOptimizer;
! 		private int generationNumberForGeneticOptimizer;
! 		private string benchmark;
! 		private DateTime marketDate;
! 		private double targetReturn;
! 		private PortfolioType portfolioType;
! 		private int numDaysAfterLastOptimizationDay;
! 		private int numberOfSubsets;
! 		private Genome[] genomesToTestOutOfSample;
! 		private int numberOfGenomesToTest;
! 		
! 		public RunTestingOptimizationCloseToOpen(string tickerGroupID, int numberOfEligibleTickers,
! 		                                         int numberOfTickersToBeChosen, int numDaysForOptimization,
! 		                                         int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer,
! 		                                         string benchmark,
! 		                                         DateTime marketDate, double targetReturn,
! 		                                         PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
! 		                                         int numberOfSubsets, int numberOfGenomesToTest)
! 		{
! 			this.numberOfGenomesToTest = numberOfGenomesToTest;
! 			this.genomesToTestOutOfSample = new Genome[numberOfGenomesToTest];
! 			this.fitnessesInSample = new double[numberOfGenomesToTest];
! 			this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
! 			this.numDaysForOptimization = numDaysForOptimization;
! 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
! 			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! 			this.benchmark = benchmark;
! 			this.marketDate = marketDate;
! 			this.targetReturn = targetReturn;
! 			this.portfolioType = portfolioType;
! 			this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
! 			this.numberOfSubsets = numberOfSubsets;
! 		}
! 		
! 		private DataTable getSetOfTickersToBeOptimized(DateTime date)
! 		{
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, date);
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible =
! 				new SelectorByQuotationAtEachMarketDay( temporizedGroup.GetTableOfSelectedTickers(),
! 				                                       false, date.AddDays(-this.numDaysForOptimization),
! 				                                       date, this.numberOfEligibleTickers, this.benchmark);
  
! 			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
! 		}
! 		private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
! 			
! 		{
! 			double returnValue = 0;
! 			foreach(string tickerCode in ((GenomeMeaning)genome.Meaning).Tickers)
! 			{
! 				double coefficient = 1.0;
! 				string ticker = tickerCode;
! 				if(ticker.StartsWith("-"))
! 				{
! 					ticker = ticker.Substring(1,ticker.Length -1);
! 					coefficient = -1.0;
! 				}
! 				DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
! 				//returnValue is the single return for the numDaysAfterLastOptimizationDay - th day
! 				//after the given market date
! 				
! 				//Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
! 				//  															 dateOutOfSample);
! 				
! 				//returnValue +=
! 				//          (tickerQuotes.GetFirstValidAdjustedOpen(dateOutOfSample.AddDays(1))/
! 				//  tickerQuotes.GetFirstValidAdjustedClose(dateOutOfSample) - 1.0)*coefficient;
! 				//
! 				//returnValue is the average return for the interval between
! 				//the given market date and the numDaysAfterLastOptimizationDay - th
! 				//day after the given market date
! 				//Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
! 				//  															 dateOutOfSample);
! 				//double close, open;
! 				//for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 				//{
! 				//close = tickerQuotes.GetFirstValidAdjustedClose(this.marketDate.AddDays(i));
! 				//open = tickerQuotes.GetFirstValidAdjustedOpen(this.marketDate.AddDays(i+1));
! 				//returnValue +=
! 				//(open/close - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
! 				
! 				//}
! 				
! 				//returnValue is the sharpe ratio for the interval between
! 				//the given market date and the numDaysAfterLastOptimizationDay - th
! 				//day after the given market date
! 				Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
! 				                                 dateOutOfSample);
! 				double close, open;
! 				double[] returns = new double[this.numDaysAfterLastOptimizationDay];
! 				for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 				{
! 					close = tickerQuotes.GetFirstValidAdjustedClose(this.marketDate.AddDays(i));
! 					open = tickerQuotes.GetFirstValidAdjustedOpen(this.marketDate.AddDays(i+1));
! 					returns[i] = (open/close - 1.0)*coefficient;
! 				}
! 				returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
! 			}
! 			return returnValue/genome.Size;
! 			
! 		}
! 		
! 		private bool setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(Genome genomeToBeAdded,
! 		                                                                                                                          bool addWorstGenomes)
! 			
! 		{
! 			bool returnValue = true;
! 			if(addWorstGenomes)
! 				//the first half containing the worst genomes has to be checked
! 			{
! 				for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
! 				{
! 					if(this.genomesToTestOutOfSample[i]==null)
! 						return true;
! 					if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[i]))
! 						return false;
! 				}
! 			}
! 			else
! 				//the second half containing the best genomes has to be checked
! 			{
! 				for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
! 				{
! 					if(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]==null)
! 						return true;
! 					if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]))
! 						return false;
! 				}
! 			}
! 			return returnValue;
! 		}
! 		private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(GeneticOptimizer optimizer,
! 		                                                                                      bool addWorstGenomes)
! 			
! 		{
! 			Genome currentGenome;
! 			Genome previousGenome = null;
! 			int numOfDifferentGenomesFound = 0;
! 			for(int j = 0;
! 			    j<this.populationSizeForGeneticOptimizer && numOfDifferentGenomesFound<this.numberOfGenomesToTest/2;
! 			    j++)
! 			{
! 				if(addWorstGenomes == true)
! 					currentGenome = (Genome)optimizer.CurrentGeneration[j];
! 				else
! 					currentGenome = (Genome)optimizer.CurrentGeneration[this.populationSizeForGeneticOptimizer-j-1];
  
! 				if(this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(currentGenome, addWorstGenomes))
! 					//no genes of the current genome are present in the relative half
! 				{
! 					if(this.genomesToTestOutOfSample[numOfDifferentGenomesFound]!= null)
! 						//the first half of the array has already been filled
! 						this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-numOfDifferentGenomesFound]=currentGenome;
! 					else//the first half is still empty
! 						this.genomesToTestOutOfSample[numOfDifferentGenomesFound] = currentGenome;
! 					previousGenome = currentGenome;
! 					numOfDifferentGenomesFound++;
! 				}
! 				
! 			}
! 			
! 		}
! 		
! 		private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(IGenomeManager genomeManager)
! 			
! 		{
! 			GeneticOptimizer optimizer = new GeneticOptimizer(genomeManager,
! 			                                                  this.populationSizeForGeneticOptimizer,
! 			                                                  this.generationNumberForGeneticOptimizer,
! 			                                                  ConstantsProvider.SeedForRandomGenerator);
! 			optimizer.Run(false);
! 			this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
! 			                                                                              true);
! 			this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
! 			                                                                              false);
! 			Array.Sort(this.genomesToTestOutOfSample);
! 		}
! 		
! 		private void setFitnesses_setFitnessesActually(IGenomeManager genomeManager)
! 			
! 		{
! 			this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(genomeManager);
! 			for(int i = 0; i<this.numberOfGenomesToTest; i++)
! 			{
! 				this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
! 				this.fitnessesOutOfSample[i]=
! 					this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
! 			}
! 			
! 		}
  
! 		private void setFitnesses()
! 			
! 		{
! 			
! 			DataTable setOfTickersToBeOptimized =
! 				this.getSetOfTickersToBeOptimized(this.marketDate);
! 			IGenomeManager genManEfficientCTOPortfolio =
! 				new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
! 				                                          this.marketDate.AddDays(-this.numDaysForOptimization),
! 				                                          this.marketDate,
! 				                                          this.numberOfTickersToBeChosen,
! 				                                          this.targetReturn,
! 				                                          this.portfolioType,
! 				                                          this.benchmark);
! 			
! 			this.setFitnesses_setFitnessesActually(genManEfficientCTOPortfolio);
! 			
! 		}
! 		
! 		public void Run()
! 		{
! 			try
! 			{
! 				this.setFitnesses();
! 				OptimizationTechniqueEvaluator evaluator =
! 					new OptimizationTechniqueEvaluator(this.fitnessesInSample,
! 					                                   this.fitnessesOutOfSample);
! 				this.run_writeToLogFile(evaluator);
! 			}
! 			catch(Exception ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 		}
! 		
! 		private void run_writeToLogFile(OptimizationTechniqueEvaluator evaluator)
! 		{
! 			double[] averagesInSample =
! 				evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
! 			double[] averagesOutOfSample =
! 				evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
! 			double r = evaluator.GetCorrelationBetweenFitnesses();
! 			GenomeCounter genomeCounter = new GenomeCounter(this.genomesToTestOutOfSample);
! 			int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
! 			string pathFile =
! 				System.Configuration.ConfigurationManager.AppSettings["GenericArchive"] +
! 				"\\OptimizationEvaluation.txt";
! 			StreamWriter w = File.AppendText(pathFile);
! 			w.WriteLine ("\n----------------------------------------------\r\n");
! 			w.Write("\r\nNew Test for Evaluation of Close To Open Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString());
! 			w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
! 			w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
! 			w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
! 			        this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
! 			w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
! 			w.WriteLine ("\n----------------------------------------------");
! 			w.Write("\r\nFitnesses compared (sharpe ratio CTO): {0}\r", this.fitnessesInSample.Length.ToString());
! 			w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
! 			w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
! 			        this.numberOfSubsets);
! 			//
! 			for(int i = 0; i<averagesInSample.Length; i++)
! 				w.WriteLine("\n{0}-->{1}", i.ToString(), averagesInSample[i].ToString());
! 			
! 			w.WriteLine ("\n\n----------------------------------------------");
! 			w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of Sample:\r",
! 			        this.numberOfSubsets);
! 			//
! 			for(int i = 0; i<averagesOutOfSample.Length; i++)
! 				w.WriteLine("\n{0}-->{1}", i.ToString(), averagesOutOfSample[i].ToString());
! 			w.WriteLine ("\n\n----------------------------------------------");
! 			//
! 			w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", r.ToString());
! 			w.WriteLine ("\n-----------------End of Test------------------\r\n");
! 			// Update the underlying file.
! 			w.Flush();
! 			w.Close();
! 		}
  	}
  }

Index: RunTestingOptimizationOpenToCloseFitnessCombined.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToCloseFitnessCombined.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunTestingOptimizationOpenToCloseFitnessCombined.cs	14 Jan 2008 23:28:58 -0000	1.3
--- RunTestingOptimizationOpenToCloseFitnessCombined.cs	19 Aug 2008 17:13:11 -0000	1.4
***************
*** 3,7 ****
  
  RunTestingOptimizationOpenToCloseFitnessCombined.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunTestingOptimizationOpenToCloseFitnessCombined.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, ...
 
[truncated message content]

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection RunSimpleSelection.cs, 1.2, 1.3 RunSimpleSelectionOpenToClose.cs, 1.2, 1.3

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:46

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TickerSelectionTesting/SimpleSelection

Modified Files:
	RunSimpleSelection.cs RunSimpleSelectionOpenToClose.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunSimpleSelectionOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/RunSimpleSelectionOpenToClose.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunSimpleSelectionOpenToClose.cs	14 May 2006 18:21:47 -0000	1.2
--- RunSimpleSelectionOpenToClose.cs	19 Aug 2008 17:13:10 -0000	1.3
***************
*** 128,134 ****
          							"Target" + Convert.ToString(this.targetReturn) + 
          							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
                           								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
                         									"\\" + this.ScriptName + "\\";
  
--- 128,136 ----
          							"Target" + Convert.ToString(this.targetReturn) + 
          							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
                           								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
                         									"\\" + this.ScriptName + "\\";
  

Index: RunSimpleSelection.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/RunSimpleSelection.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunSimpleSelection.cs	29 Aug 2007 10:04:30 -0000	1.2
--- RunSimpleSelection.cs	19 Aug 2008 17:13:10 -0000	1.3
***************
*** 3,7 ****
  
  RunSimpleSelection.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunSimpleSelection.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
***************
*** 39,43 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 39,43 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 47,255 ****
  {
  	/// <summary>
! 	/// Base class for simple selection test 
  	/// The strategy simply chooses the tickers with the highest fitness,
  	/// for short or long trading
  	/// </summary>
  	[Serializable]
!   public class RunSimpleSelection
  	{
!     protected string tickerGroupID;
!     protected int numberOfEligibleTickers;
!     protected int numberOfTickersToBeChosen;
!     protected int numDaysForOptimizationPeriod;
  
!     protected ReportTable reportTable;
!     protected EndOfDayDateTime startDateTime;
!     protected EndOfDayDateTime endDateTime;
  		protected IHistoricalQuoteProvider historicalQuoteProvider;
  
!     protected EndOfDayTimerHandlerSimpleSelection endOfDayTimerHandler;
  
!     protected Account account;
  		
!     protected IEndOfDayTimer endOfDayTimer;
  
!     protected string benchmark;
!     
!     protected string scriptName;
!     
!     protected double targetReturn;
!     
!     protected PortfolioType portfolioType;
!     
!     protected DateTime startingTimeForScript;
!     protected double maxRunningHours;
!     //if MaxNumberOfHoursForScript has elapsed and the script
!     //is still running, it will be stopped.
!         
!     public PortfolioType TypeOfPortfolio
!     {
!       get { return this.portfolioType; }
!     }
!        
!     public virtual string ScriptName
!     {
!     	get{return this.scriptName;}
!     	set{this.scriptName = value;}
!     }
!     
!     public DateTime TimerLastDate
!     {
!     	get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
!     }	
! 	
  		public RunSimpleSelection(string benchmark,
!                                 DateTime startDate, DateTime endDate, 
!                                 PortfolioType portfolioType, 
!                                 double maxRunningHours)
  		{
!      
!       this.startDateTime = new EndOfDayDateTime(
!         startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
!       this.endDateTime = new EndOfDayDateTime(
!         endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.benchmark = benchmark;
!      	this.ScriptName = "SimpleTestGeneric";
!      	this.portfolioType = portfolioType;
!      	this.startingTimeForScript = DateTime.Now;
!       this.maxRunningHours = maxRunningHours;
!       //this.numIntervalDays = 3;
  		}
!     
!     public RunSimpleSelection(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                 string benchmark,
!                                 DateTime startDate, DateTime endDate, 
!                                 double targetReturn,
!                                 PortfolioType portfolioType, 
!                                 double maxRunningHours)
  		{
!       //this.progressBarForm = new ProgressBarForm();
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
!       this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
!       this.reportTable = new ReportTable( "Summary_Reports" );
!       this.startDateTime = new EndOfDayDateTime(
!         startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
!       this.endDateTime = new EndOfDayDateTime(
!         endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.benchmark = benchmark;
!      	this.ScriptName = "SimpleTestGeneric";
!      	this.targetReturn = targetReturn;
!      	this.portfolioType = portfolioType;
!      	this.startingTimeForScript = DateTime.Now;
!       this.maxRunningHours = maxRunningHours;
!       //this.numIntervalDays = 3;
  		}
!         
!     #region Run
!  		
!     protected virtual void run_initializeEndOfDayTimer()
!     {
!       //default endOfDayTimer
!     	this.endOfDayTimer =
!         new IndexBasedEndOfDayTimer( this.startDateTime, this.benchmark );
!     	
!     }
!     
!     protected virtual void run_initializeAccount()
!     {
!       //default account with no commissions
!     	this.account = new Account( this.scriptName , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ));
!      
!     }
!     protected virtual void run_initializeEndOfDayTimerHandler()
!     {
!      	//always needs specific implementation in inherited classes; 
!     }
!     
!     protected virtual void run_initializeHistoricalQuoteProvider()
!     {
!      	//always needs specific implementation in inherited classes; 
!     }
!     
!     protected void checkDateForReport_createDirIfNotPresent(string dirPath)
!     {
!     	if(!Directory.Exists(dirPath))
!     		Directory.CreateDirectory(dirPath);
!     }
!     
!     protected virtual void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
!          DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
!       //last date is reached by the timer or maxRunning hours
!       //are elapsed from the time script started
!     		this.SaveScriptResults();
!     }
!     
!     public virtual void SaveScriptResults()
!     {
!       string fileName = "SimpleSelectionFrom"+this.numberOfEligibleTickers +
!                       "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
!                       this.numberOfTickersToBeChosen + 
!         							"Target" + Convert.ToString(this.targetReturn) + 
!         							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!                          								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
!                        									"\\" + this.ScriptName + "\\";
  
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
!                                     		this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!                              dirNameWhereToSaveReports + 
!                              fileName + ".qPr");
!       //
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
!       ObjectArchiver.Archive(this.account.Transactions,
!                              dirNameWhereToSaveTransactions +
!                              fileName + ".qPt");
!       //
!       this.endOfDayTimer.Stop();
!     }
!     
!     protected virtual void run_initialize()
!     {
!       run_initializeHistoricalQuoteProvider();
!       run_initializeEndOfDayTimer();
!       run_initializeAccount();
!       run_initializeEndOfDayTimerHandler();
!       //run_initializeProgressHandlers();
!     }
!     protected virtual void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       //in inherited classes'override method: 
!       //add here TimerHandler's handlers to timer's events
!       //example
!       //this.endOfDayTimer.EVENT_NAME +=
!       //  new EVENT_NAMEEventHandler(
!       //  this.endOfDayTimerHandler.EVENT_NAMEEventHandler);
!     }
!     
!     
!     public virtual void Run()
!     {
!       this.run_initialize();
!       this.run_addEventHandlers();
!       //this.progressBarForm.Show();
!       this.endOfDayTimer.Start();
!     }
!     
!     #endregion 
!     
  	}
  }
--- 47,257 ----
  {
  	/// <summary>
! 	/// Base class for simple selection test
  	/// The strategy simply chooses the tickers with the highest fitness,
  	/// for short or long trading
  	/// </summary>
  	[Serializable]
! 	public class RunSimpleSelection
  	{
! 		protected string tickerGroupID;
! 		protected int numberOfEligibleTickers;
! 		protected int numberOfTickersToBeChosen;
! 		protected int numDaysForOptimizationPeriod;
  
! 		protected ReportTable reportTable;
! 		protected EndOfDayDateTime startDateTime;
! 		protected EndOfDayDateTime endDateTime;
  		protected IHistoricalQuoteProvider historicalQuoteProvider;
  
! 		protected EndOfDayTimerHandlerSimpleSelection endOfDayTimerHandler;
  
! 		protected Account account;
  		
! 		protected IEndOfDayTimer endOfDayTimer;
  
! 		protected string benchmark;
! 		
! 		protected string scriptName;
! 		
! 		protected double targetReturn;
! 		
! 		protected PortfolioType portfolioType;
! 		
! 		protected DateTime startingTimeForScript;
! 		protected double maxRunningHours;
! 		//if MaxNumberOfHoursForScript has elapsed and the script
! 		//is still running, it will be stopped.
! 		
! 		public PortfolioType TypeOfPortfolio
! 		{
! 			get { return this.portfolioType; }
! 		}
! 		
! 		public virtual string ScriptName
! 		{
! 			get{return this.scriptName;}
! 			set{this.scriptName = value;}
! 		}
! 		
! 		public DateTime TimerLastDate
! 		{
! 			get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
! 		}
! 		
  		public RunSimpleSelection(string benchmark,
! 		                          DateTime startDate, DateTime endDate,
! 		                          PortfolioType portfolioType,
! 		                          double maxRunningHours)
  		{
! 			
! 			this.startDateTime = new EndOfDayDateTime(
! 				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime = new EndOfDayDateTime(
! 				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			this.benchmark = benchmark;
! 			this.ScriptName = "SimpleTestGeneric";
! 			this.portfolioType = portfolioType;
! 			this.startingTimeForScript = DateTime.Now;
! 			this.maxRunningHours = maxRunningHours;
! 			//this.numIntervalDays = 3;
  		}
! 		
! 		public RunSimpleSelection(string tickerGroupID, int numberOfEligibleTickers,
! 		                          int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                          string benchmark,
! 		                          DateTime startDate, DateTime endDate,
! 		                          double targetReturn,
! 		                          PortfolioType portfolioType,
! 		                          double maxRunningHours)
  		{
! 			//this.progressBarForm = new ProgressBarForm();
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
! 			this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
! 			this.reportTable = new ReportTable( "Summary_Reports" );
! 			this.startDateTime = new EndOfDayDateTime(
! 				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime = new EndOfDayDateTime(
! 				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			this.benchmark = benchmark;
! 			this.ScriptName = "SimpleTestGeneric";
! 			this.targetReturn = targetReturn;
! 			this.portfolioType = portfolioType;
! 			this.startingTimeForScript = DateTime.Now;
! 			this.maxRunningHours = maxRunningHours;
! 			//this.numIntervalDays = 3;
  		}
! 		
! 		#region Run
! 		
! 		protected virtual void run_initializeEndOfDayTimer()
! 		{
! 			//default endOfDayTimer
! 			this.endOfDayTimer =
! 				new IndexBasedEndOfDayTimer( this.startDateTime, this.benchmark );
! 			
! 		}
! 		
! 		protected virtual void run_initializeAccount()
! 		{
! 			//default account with no commissions
! 			this.account = new Account( this.scriptName , this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalQuoteProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalQuoteProvider ));
! 			
! 		}
! 		protected virtual void run_initializeEndOfDayTimerHandler()
! 		{
! 			//always needs specific implementation in inherited classes;
! 		}
! 		
! 		protected virtual void run_initializeHistoricalQuoteProvider()
! 		{
! 			//always needs specific implementation in inherited classes;
! 		}
! 		
! 		protected void checkDateForReport_createDirIfNotPresent(string dirPath)
! 		{
! 			if(!Directory.Exists(dirPath))
! 				Directory.CreateDirectory(dirPath);
! 		}
! 		
! 		protected virtual void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
! 		{
! 			if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
! 			   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 				//last date is reached by the timer or maxRunning hours
! 				//are elapsed from the time script started
! 				this.SaveScriptResults();
! 		}
! 		
! 		public virtual void SaveScriptResults()
! 		{
! 			string fileName = "SimpleSelectionFrom"+this.numberOfEligibleTickers +
! 				"OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
! 				this.numberOfTickersToBeChosen +
! 				"Target" + Convert.ToString(this.targetReturn) +
! 				Convert.ToString(this.portfolioType);
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
  
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			//
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			ObjectArchiver.Archive(this.account.Transactions,
! 			                       dirNameWhereToSaveTransactions +
! 			                       fileName + ".qPt");
! 			//
! 			this.endOfDayTimer.Stop();
! 		}
! 		
! 		protected virtual void run_initialize()
! 		{
! 			run_initializeHistoricalQuoteProvider();
! 			run_initializeEndOfDayTimer();
! 			run_initializeAccount();
! 			run_initializeEndOfDayTimerHandler();
! 			//run_initializeProgressHandlers();
! 		}
! 		protected virtual void run_addEventHandlers()
! 		{
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.checkDateForReport);
! 			
! 			//in inherited classes'override method:
! 			//add here TimerHandler's handlers to timer's events
! 			//example
! 			//this.endOfDayTimer.EVENT_NAME +=
! 			//  new EVENT_NAMEEventHandler(
! 			//  this.endOfDayTimerHandler.EVENT_NAMEEventHandler);
! 		}
! 		
! 		
! 		public virtual void Run()
! 		{
! 			this.run_initialize();
! 			this.run_addEventHandlers();
! 			//this.progressBarForm.Show();
! 			this.endOfDayTimer.Start();
! 		}
! 		
! 		#endregion
! 		
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag RunWalkForwardLag.cs, 1.12, 1.13 WFLagChosenTickers.cs, 1.10, 1.11

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:46

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	RunWalkForwardLag.cs WFLagChosenTickers.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunWalkForwardLag.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunWalkForwardLag.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** RunWalkForwardLag.cs	19 Jan 2008 19:23:45 -0000	1.12
--- RunWalkForwardLag.cs	19 Aug 2008 17:13:11 -0000	1.13
***************
*** 52,57 ****
  		private int numberDaysForInSampleOptimization;
  		private int numDaysBetweenEachOptimization;
! 		private int generationNumberForGeneticOptimizer;
! 		private int populationSizeForGeneticOptimizer;
  		private string benchmark;
  		private DateTime firstDateTime;
--- 52,57 ----
  		private int numberDaysForInSampleOptimization;
  		private int numDaysBetweenEachOptimization;
! //		private int generationNumberForGeneticOptimizer;
! //		private int populationSizeForGeneticOptimizer;
  		private string benchmark;
  		private DateTime firstDateTime;
***************
*** 84,89 ****
  				wFLagWeightedPositionsChooser.NumberDaysForInSampleOptimization;
  			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
  			this.benchmark =
  				this.wFLagWeightedPositionsChooser.Benchmark;
--- 84,89 ----
  				wFLagWeightedPositionsChooser.NumberDaysForInSampleOptimization;
  			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! //			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! //			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
  			this.benchmark =
  				this.wFLagWeightedPositionsChooser.Benchmark;
***************
*** 209,214 ****
  				"PrtfPstns_" +
  				this.wFLagWeightedPositionsChooser.NumberOfPortfolioPositions + "_" +
- 				"GenNum_" + this.generationNumberForGeneticOptimizer + "_" +
- 				"PopSize_" + this.populationSizeForGeneticOptimizer + "_" +
  				"From_" + this.getShortStringForDateTime(
  				(DateTime)this.account.Transactions.GetKey( 0 ) ) + "_" +
--- 209,212 ----

Index: WFLagChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagChosenTickers.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** WFLagChosenTickers.cs	7 Oct 2007 13:24:37 -0000	1.10
--- WFLagChosenTickers.cs	19 Aug 2008 17:13:12 -0000	1.11
***************
*** 44,48 ****
  		public event NewProgressEventHandler NewProgress;
  
! 		protected WFLagEligibleTickers eligibleTickers;
  		protected int numberOfDrivingPositions;
  		protected int numberOfPositionsToBeChosen;
--- 44,48 ----
  		public event NewProgressEventHandler NewProgress;
  
! //		protected WFLagEligibleTickers eligibleTickers;
  		protected int numberOfDrivingPositions;
  		protected int numberOfPositionsToBeChosen;
***************
*** 118,122 ****
  			)
  		{
! 			this.eligibleTickers = eligibleTickers;
  			this.numberOfDrivingPositions = numberOfDrivingPositions;
  			this.numberOfPositionsToBeChosen = numberOfPositionsToBeChosen;
--- 118,122 ----
  			)
  		{
! //			this.eligibleTickers = eligibleTickers;
  			this.numberOfDrivingPositions = numberOfDrivingPositions;
  			this.numberOfPositionsToBeChosen = numberOfPositionsToBeChosen;

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis RunTestingOptimizationExtremeCounterTrend.cs, 1.3, 1.4

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:46

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis

Modified Files:
	RunTestingOptimizationExtremeCounterTrend.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunTestingOptimizationExtremeCounterTrend.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis/RunTestingOptimizationExtremeCounterTrend.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunTestingOptimizationExtremeCounterTrend.cs	14 Jan 2008 23:28:58 -0000	1.3
--- RunTestingOptimizationExtremeCounterTrend.cs	19 Aug 2008 17:13:11 -0000	1.4
***************
*** 3,7 ****
  
  RunTestingOptimizationExtremeCounterTrend.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunTestingOptimizationExtremeCounterTrend.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;
***************
*** 39,337 ****
  	/// for the extreme counter trend strategy
  	/// </summary>
!   [Serializable]
!   public class RunTestingOptimizationExtremeCounterTrend
!   {
!   	private double[] fitnessesInSample;
!   	private double[] fitnessesOutOfSample;
!   	private string tickerGroupID;
!     private int numberOfEligibleTickers;
!     private int numberOfTickersToBeChosen;
!     private int numDaysForOptimizationPeriod;
!     private int populationSizeForGeneticOptimizer;
!     private int generationNumberForGeneticOptimizer;
!   	private string benchmark;
!   	private DateTime marketDate;
!   	private int numDaysForReturnCalculation;
!   	private PortfolioType portfolioType;
!   	private int numDaysAfterLastOptimizationDay;
!   	private int numberOfSubsets;
!   	private Genome[] genomesToTestOutOfSample;
!   	private int numberOfGenomesToTest;
!       	
!     public RunTestingOptimizationExtremeCounterTrend(string tickerGroupID, int numberOfEligibleTickers,
!       				int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!       				int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer, 
!       				string benchmark,
!       				DateTime marketDate, int numDaysForReturnCalculation,
!       				PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
!       				int numberOfSubsets, int numberOfGenomesToTest)
!     {
!   		this.numberOfGenomesToTest = numberOfGenomesToTest;
!   		this.genomesToTestOutOfSample = new Genome[numberOfGenomesToTest];
!   		this.fitnessesInSample = new double[numberOfGenomesToTest];
!   		this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
!   		this.tickerGroupID = tickerGroupID;
!   		this.numberOfEligibleTickers = numberOfEligibleTickers;
!   		this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
!   		this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
!   		this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
!   		this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
!   		this.benchmark = benchmark;
!   		this.marketDate = marketDate;
!   		this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!   		this.portfolioType = portfolioType;
!   		this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
!   		this.numberOfSubsets = numberOfSubsets;
!    	}
!     
!   	private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
!            	
!      	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!         																										currentDate);
!       
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromTemporized = 
!         new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         600, this.benchmark);
!       // filter to be used with plain stocks
! //      DataTable tickersQuotedAtEachMarketDay = quotedAtEachMarketDayFromTemporized.GetTableOfSelectedTickers();
! //      SelectorByLiquidity mostLiquid =
! //      	new SelectorByLiquidity(tickersQuotedAtEachMarketDay,
! //      	                        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //      	                        tickersQuotedAtEachMarketDay.Rows.Count/2);
! //      
! //      DataTable mostLiquidTickers = mostLiquid.GetTableOfSelectedTickers();
! //      	                        
! //      SelectorByCloseToCloseVolatility lessVolatile =
! //      	new SelectorByCloseToCloseVolatility(mostLiquidTickers,
! //      	                                     true,currentDate.AddDays(-30), currentDate,
! //      	                                     Math.Min(this.numberOfEligibleTickers, mostLiquidTickers.Rows.Count/2));
! ////      return mostLiquid.GetTableOfSelectedTickers();
! //      return lessVolatile.GetTableOfSelectedTickers();
!       //
!       return quotedAtEachMarketDayFromTemporized.GetTableOfSelectedTickers();
!     }
!   	
!     private double setFitnesses_setFitnessesActually_getFitnessOutOfSample_PortfolioClose(Genome portfolioGenome, DateTime date)
!   		
!     {
!       double returnValue = 0.0;
!       foreach(string tickerCode in ((GenomeMeaning)portfolioGenome.Meaning).Tickers)
!       {
!         double coefficient = 1.0;
!         string ticker = tickerCode;
!         if(ticker.StartsWith("-"))
!         {
!           ticker = ticker.Substring(1,ticker.Length -1);
!           coefficient = -1.0;
!         }
!         Quotes tickerQuotes = new Quotes(ticker, date,
!                                          date);
!         returnValue += (tickerQuotes.GetFirstValidCloseToCloseRatio(date) - 1.0)*coefficient;
!       }
!       return returnValue/portfolioGenome.Size;
!     }
  
!     private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
!   		
!     {
!       double returnValue = 0;
!       foreach(string tickerCode in ((GenomeMeaning)genome.Meaning).Tickers)
!       {
!         double coefficient = 1.0;
!         string ticker = tickerCode;
!         if(ticker.StartsWith("-"))
!         {
!           ticker = ticker.Substring(1,ticker.Length -1);
!           coefficient = -1.0;
!         }
!         DateTime endDateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
!         
!         Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!           															 endDateOutOfSample);
!         double[] returns = new double[tickerQuotes.Rows.Count];
!         for(int i = 1; i<returns.Length; i++)
!         {
!           if(this.setFitnesses_setFitnessesActually_getFitnessOutOfSample_PortfolioClose(
!                 genome, (DateTime)tickerQuotes.Rows[i-1]["quDate"])>0.0)
!             coefficient = -1.0 * coefficient;
!         	returns[i] = (tickerQuotes.GetFirstValidCloseToCloseRatio(
!                           (DateTime)tickerQuotes.Rows[i]["quDate"] ) - 1.0)*coefficient;
!         }
!         returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
!       }
  
!       return returnValue/genome.Size;
!       
!     }
!     
!     private bool setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(Genome genomeToBeAdded,
!                                                                                                                               bool addWorstGenomes)
!   		
!     {
!       bool returnValue = true;
!       if(addWorstGenomes)
!       //the first half containing the worst genomes has to be checked
!       {
!         for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
!         {
!           if(this.genomesToTestOutOfSample[i]==null)
!             return true;
!           if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[i]))
!             return false;
!         }
!       }
!       else
!       //the second half containing the best genomes has to be checked
!       {
!         for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
!         {
!           if(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]==null)
!             return true;
!           if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]))
!             return false;
!         }
!       }
!       return returnValue;
!     }
!     private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(GeneticOptimizer optimizer,
!                                                                                       bool addWorstGenomes)
!   		
!     {
!       Genome currentGenome;
!       Genome previousGenome = null;
!       int numOfDifferentGenomesFound = 0;
!       for(int j = 0;
!         j<this.populationSizeForGeneticOptimizer && numOfDifferentGenomesFound<this.numberOfGenomesToTest/2;
!         j++)
!       {
!         if(addWorstGenomes == true)
!           currentGenome = (Genome)optimizer.CurrentGeneration[j];
!         else
!           currentGenome = (Genome)optimizer.CurrentGeneration[this.populationSizeForGeneticOptimizer-j-1];
  
!         if(this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(currentGenome, addWorstGenomes))
!         //no genes of the current genome are present in the relative half
!         {
!           if(this.genomesToTestOutOfSample[numOfDifferentGenomesFound]!= null)
!           //the first half of the array has already been filled
!             this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-numOfDifferentGenomesFound]=currentGenome;
!           else//the first half is still empty
!             this.genomesToTestOutOfSample[numOfDifferentGenomesFound] = currentGenome;
!           previousGenome = currentGenome;
!           numOfDifferentGenomesFound++;
!         }
!         
!       }
!      
!     }
!   	
!     private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(IGenomeManager genomeManager)
!   		
!     {
!       GeneticOptimizer optimizer = new GeneticOptimizer(genomeManager,
!                                               this.populationSizeForGeneticOptimizer,
!                                               this.generationNumberForGeneticOptimizer,
!                                               ConstantsProvider.SeedForRandomGenerator);
!       optimizer.Run(false);
!       this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
!                                                                                  true);
!       this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
!                                                                                 false);
!       Array.Sort(this.genomesToTestOutOfSample);
!     }
!     
!     private void setFitnesses_setFitnessesActually(IGenomeManager genomeManager)
!   		
!     {
!       this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(genomeManager);
!       for(int i = 0; i<this.numberOfGenomesToTest; i++)
!       {
!         this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
!         this.fitnessesOutOfSample[i]= 
!           this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
!       }
!       
!     }
  
!     private void setFitnesses()
!   		
!     {
!       
!       DataTable setOfTickersToBeOptimized = 
!       	this.getSetOfTickersToBeOptimized(this.marketDate);
!       
!       IGenomeManager genManExtremeCounterTrend =
!         new GenomeManagerECT(setOfTickersToBeOptimized,
! 	                            this.marketDate.AddDays(-this.numDaysForOptimizationPeriod),
! 	                            this.marketDate,
! 	                            this.numberOfTickersToBeChosen,
! 	                            this.numDaysForReturnCalculation,
! 	                           	this.portfolioType,
! 	                            this.benchmark);
!     
!       this.setFitnesses_setFitnessesActually(genManExtremeCounterTrend);
!       
!     }
!   	
!     public void Run()
!     {
!       try
!       {
!         this.setFitnesses();
!         OptimizationTechniqueEvaluator evaluator = 
!           new OptimizationTechniqueEvaluator(this.fitnessesInSample,
!           this.fitnessesOutOfSample);
!         this.run_writeToLogFile(evaluator);
!       }
!       catch(Exception ex)
!       {
!         ex = ex;
!       }
!     }
!     
!     private void run_writeToLogFile(OptimizationTechniqueEvaluator evaluator)
!     {
!     	double[] averagesInSample = 
!     		evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
!     	double[] averagesOutOfSample = 
!     		evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
!     	double r = evaluator.GetCorrelationBetweenFitnesses();
!     	GenomeCounter genomeCounter = new GenomeCounter(this.genomesToTestOutOfSample);
!     	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
!      	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\OptimizationEvaluation.txt";
!   	  StreamWriter w = File.AppendText(pathFile);
!   	  w.WriteLine ("\n----------------------------------------------\r\n");
!   	  w.Write("\r\nNew Test for Evaluation of Extreme Counter Trend Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString());
!   	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimizationPeriod.ToString());
!       w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
!                         this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
!       w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
!       w.WriteLine ("\n----------------------------------------------");
!   	  w.Write("\r\nFitnesses compared (sharpe r. OTC - sharpe r. CTO): {0}\r", this.fitnessesInSample.Length.ToString());
!   	  w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
!       w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
!   	          this.numberOfSubsets);
!       //
!       for(int i = 0; i<averagesInSample.Length; i++)
!         	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesInSample[i].ToString());
!       
!       w.WriteLine ("\n\n----------------------------------------------");
!       w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of Sample:\r",
!   	          this.numberOfSubsets);
!       //
!       for(int i = 0; i<averagesOutOfSample.Length; i++)
!         	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesOutOfSample[i].ToString());	
!       w.WriteLine ("\n\n----------------------------------------------");
!       //
!       w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", r.ToString());
!       w.WriteLine ("\n-----------------End of Test------------------\r\n");
!       // Update the underlying file.
!       w.Flush();
!       w.Close();
!     }	
  	}
  }
--- 39,338 ----
  	/// for the extreme counter trend strategy
  	/// </summary>
! 	[Serializable]
! 	public class RunTestingOptimizationExtremeCounterTrend
! 	{
! 		private double[] fitnessesInSample;
! 		private double[] fitnessesOutOfSample;
! 		private string tickerGroupID;
! 		private int numberOfEligibleTickers;
! 		private int numberOfTickersToBeChosen;
! 		private int numDaysForOptimizationPeriod;
! 		private int populationSizeForGeneticOptimizer;
! 		private int generationNumberForGeneticOptimizer;
! 		private string benchmark;
! 		private DateTime marketDate;
! 		private int numDaysForReturnCalculation;
! 		private PortfolioType portfolioType;
! 		private int numDaysAfterLastOptimizationDay;
! 		private int numberOfSubsets;
! 		private Genome[] genomesToTestOutOfSample;
! 		private int numberOfGenomesToTest;
! 		
! 		public RunTestingOptimizationExtremeCounterTrend(string tickerGroupID, int numberOfEligibleTickers,
! 		                                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                                 int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer,
! 		                                                 string benchmark,
! 		                                                 DateTime marketDate, int numDaysForReturnCalculation,
! 		                                                 PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
! 		                                                 int numberOfSubsets, int numberOfGenomesToTest)
! 		{
! 			this.numberOfGenomesToTest = numberOfGenomesToTest;
! 			this.genomesToTestOutOfSample = new Genome[numberOfGenomesToTest];
! 			this.fitnessesInSample = new double[numberOfGenomesToTest];
! 			this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
! 			this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
! 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
! 			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! 			this.benchmark = benchmark;
! 			this.marketDate = marketDate;
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.portfolioType = portfolioType;
! 			this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
! 			this.numberOfSubsets = numberOfSubsets;
! 		}
! 		
! 		private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
! 			
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 			                                                      currentDate);
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromTemporized =
! 				new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                                       600, this.benchmark);
! 			// filter to be used with plain stocks
! 			//      DataTable tickersQuotedAtEachMarketDay = quotedAtEachMarketDayFromTemporized.GetTableOfSelectedTickers();
! 			//      SelectorByLiquidity mostLiquid =
! 			//      	new SelectorByLiquidity(tickersQuotedAtEachMarketDay,
! 			//      	                        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 			//      	                        tickersQuotedAtEachMarketDay.Rows.Count/2);
! //
! 			//      DataTable mostLiquidTickers = mostLiquid.GetTableOfSelectedTickers();
! //
! 			//      SelectorByCloseToCloseVolatility lessVolatile =
! 			//      	new SelectorByCloseToCloseVolatility(mostLiquidTickers,
! 			//      	                                     true,currentDate.AddDays(-30), currentDate,
! 			//      	                                     Math.Min(this.numberOfEligibleTickers, mostLiquidTickers.Rows.Count/2));
! 			////      return mostLiquid.GetTableOfSelectedTickers();
! 			//      return lessVolatile.GetTableOfSelectedTickers();
! 			//
! 			return quotedAtEachMarketDayFromTemporized.GetTableOfSelectedTickers();
! 		}
! 		
! 		private double setFitnesses_setFitnessesActually_getFitnessOutOfSample_PortfolioClose(Genome portfolioGenome, DateTime date)
! 			
! 		{
! 			double returnValue = 0.0;
! 			foreach(string tickerCode in ((GenomeMeaning)portfolioGenome.Meaning).Tickers)
! 			{
! 				double coefficient = 1.0;
! 				string ticker = tickerCode;
! 				if(ticker.StartsWith("-"))
! 				{
! 					ticker = ticker.Substring(1,ticker.Length -1);
! 					coefficient = -1.0;
! 				}
! 				Quotes tickerQuotes = new Quotes(ticker, date,
! 				                                 date);
! 				returnValue += (tickerQuotes.GetFirstValidCloseToCloseRatio(date) - 1.0)*coefficient;
! 			}
! 			return returnValue/portfolioGenome.Size;
! 		}
  
! 		private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
! 			
! 		{
! 			double returnValue = 0;
! 			foreach(string tickerCode in ((GenomeMeaning)genome.Meaning).Tickers)
! 			{
! 				double coefficient = 1.0;
! 				string ticker = tickerCode;
! 				if(ticker.StartsWith("-"))
! 				{
! 					ticker = ticker.Substring(1,ticker.Length -1);
! 					coefficient = -1.0;
! 				}
! 				DateTime endDateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
! 				
! 				Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
! 				                                 endDateOutOfSample);
! 				double[] returns = new double[tickerQuotes.Rows.Count];
! 				for(int i = 1; i<returns.Length; i++)
! 				{
! 					if(this.setFitnesses_setFitnessesActually_getFitnessOutOfSample_PortfolioClose(
! 						genome, (DateTime)tickerQuotes.Rows[i-1]["quDate"])>0.0)
! 						coefficient = -1.0 * coefficient;
! 					returns[i] = (tickerQuotes.GetFirstValidCloseToCloseRatio(
! 						(DateTime)tickerQuotes.Rows[i]["quDate"] ) - 1.0)*coefficient;
! 				}
! 				returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
! 			}
  
! 			return returnValue/genome.Size;
! 			
! 		}
! 		
! 		private bool setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(Genome genomeToBeAdded,
! 		                                                                                                                          bool addWorstGenomes)
! 			
! 		{
! 			bool returnValue = true;
! 			if(addWorstGenomes)
! 				//the first half containing the worst genomes has to be checked
! 			{
! 				for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
! 				{
! 					if(this.genomesToTestOutOfSample[i]==null)
! 						return true;
! 					if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[i]))
! 						return false;
! 				}
! 			}
! 			else
! 				//the second half containing the best genomes has to be checked
! 			{
! 				for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
! 				{
! 					if(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]==null)
! 						return true;
! 					if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]))
! 						return false;
! 				}
! 			}
! 			return returnValue;
! 		}
! 		private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(GeneticOptimizer optimizer,
! 		                                                                                      bool addWorstGenomes)
! 			
! 		{
! 			Genome currentGenome;
! 			Genome previousGenome = null;
! 			int numOfDifferentGenomesFound = 0;
! 			for(int j = 0;
! 			    j<this.populationSizeForGeneticOptimizer && numOfDifferentGenomesFound<this.numberOfGenomesToTest/2;
! 			    j++)
! 			{
! 				if(addWorstGenomes == true)
! 					currentGenome = (Genome)optimizer.CurrentGeneration[j];
! 				else
! 					currentGenome = (Genome)optimizer.CurrentGeneration[this.populationSizeForGeneticOptimizer-j-1];
  
! 				if(this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(currentGenome, addWorstGenomes))
! 					//no genes of the current genome are present in the relative half
! 				{
! 					if(this.genomesToTestOutOfSample[numOfDifferentGenomesFound]!= null)
! 						//the first half of the array has already been filled
! 						this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-numOfDifferentGenomesFound]=currentGenome;
! 					else//the first half is still empty
! 						this.genomesToTestOutOfSample[numOfDifferentGenomesFound] = currentGenome;
! 					previousGenome = currentGenome;
! 					numOfDifferentGenomesFound++;
! 				}
! 				
! 			}
! 			
! 		}
! 		
! 		private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(IGenomeManager genomeManager)
! 			
! 		{
! 			GeneticOptimizer optimizer = new GeneticOptimizer(genomeManager,
! 			                                                  this.populationSizeForGeneticOptimizer,
! 			                                                  this.generationNumberForGeneticOptimizer,
! 			                                                  ConstantsProvider.SeedForRandomGenerator);
! 			optimizer.Run(false);
! 			this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
! 			                                                                              true);
! 			this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
! 			                                                                              false);
! 			Array.Sort(this.genomesToTestOutOfSample);
! 		}
! 		
! 		private void setFitnesses_setFitnessesActually(IGenomeManager genomeManager)
! 			
! 		{
! 			this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(genomeManager);
! 			for(int i = 0; i<this.numberOfGenomesToTest; i++)
! 			{
! 				this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
! 				this.fitnessesOutOfSample[i]=
! 					this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
! 			}
! 			
! 		}
  
! 		private void setFitnesses()
! 			
! 		{
! 			
! 			DataTable setOfTickersToBeOptimized =
! 				this.getSetOfTickersToBeOptimized(this.marketDate);
! 			
! 			IGenomeManager genManExtremeCounterTrend =
! 				new GenomeManagerECT(setOfTickersToBeOptimized,
! 				                     this.marketDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				                     this.marketDate,
! 				                     this.numberOfTickersToBeChosen,
! 				                     this.numDaysForReturnCalculation,
! 				                     this.portfolioType,
! 				                     this.benchmark);
! 			
! 			this.setFitnesses_setFitnessesActually(genManExtremeCounterTrend);
! 			
! 		}
! 		
! 		public void Run()
! 		{
! 			try
! 			{
! 				this.setFitnesses();
! 				OptimizationTechniqueEvaluator evaluator =
! 					new OptimizationTechniqueEvaluator(this.fitnessesInSample,
! 					                                   this.fitnessesOutOfSample);
! 				this.run_writeToLogFile(evaluator);
! 			}
! 			catch(Exception ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 		}
! 		
! 		private void run_writeToLogFile(OptimizationTechniqueEvaluator evaluator)
! 		{
! 			double[] averagesInSample =
! 				evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
! 			double[] averagesOutOfSample =
! 				evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
! 			double r = evaluator.GetCorrelationBetweenFitnesses();
! 			GenomeCounter genomeCounter = new GenomeCounter(this.genomesToTestOutOfSample);
! 			int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
! 			string pathFile =
! 				System.Configuration.ConfigurationManager.AppSettings["GenericArchive"] +
! 				"\\OptimizationEvaluation.txt";
! 			StreamWriter w = File.AppendText(pathFile);
! 			w.WriteLine ("\n----------------------------------------------\r\n");
! 			w.Write("\r\nNew Test for Evaluation of Extreme Counter Trend Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString());
! 			w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimizationPeriod.ToString());
! 			w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
! 			w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
! 			        this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
! 			w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
! 			w.WriteLine ("\n----------------------------------------------");
! 			w.Write("\r\nFitnesses compared (sharpe r. OTC - sharpe r. CTO): {0}\r", this.fitnessesInSample.Length.ToString());
! 			w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
! 			w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
! 			        this.numberOfSubsets);
! 			//
! 			for(int i = 0; i<averagesInSample.Length; i++)
! 				w.WriteLine("\n{0}-->{1}", i.ToString(), averagesInSample[i].ToString());
! 			
! 			w.WriteLine ("\n\n----------------------------------------------");
! 			w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of Sample:\r",
! 			        this.numberOfSubsets);
! 			//
! 			for(int i = 0; i<averagesOutOfSample.Length; i++)
! 				w.WriteLine("\n{0}-->{1}", i.ToString(), averagesOutOfSample[i].ToString());
! 			w.WriteLine ("\n\n----------------------------------------------");
! 			//
! 			w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", r.ToString());
! 			w.WriteLine ("\n-----------------End of Test------------------\r\n");
! 			// Update the underlying file.
! 			w.Flush();
! 			w.Close();
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest RunSimpleOHTest.cs, 1.2, 1.3

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:45

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest

Modified Files:
	RunSimpleOHTest.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunSimpleOHTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest/RunSimpleOHTest.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunSimpleOHTest.cs	29 Aug 2007 09:40:11 -0000	1.2
--- RunSimpleOHTest.cs	19 Aug 2008 17:13:09 -0000	1.3
***************
*** 143,147 ****
        	"_Short_" + this.numOfTickersForShortSelling +
  				"_lenInDays_" + this.lengthInDaysForPerformance;
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
          "\\" + this.scriptName + "\\";
            
--- 143,148 ----
        	"_Short_" + this.numOfTickersForShortSelling +
  				"_lenInDays_" + this.lengthInDaysForPerformance;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
          "\\" + this.scriptName + "\\";

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading RunSimplePairTrading.cs, 1.1, 1.2

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:45

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading

Modified Files:
	RunSimplePairTrading.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunSimplePairTrading.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/RunSimplePairTrading.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunSimplePairTrading.cs	14 May 2006 15:25:30 -0000	1.1
--- RunSimplePairTrading.cs	19 Aug 2008 17:13:09 -0000	1.2
***************
*** 113,119 ****
          this.generationNumberForGeneticOptimizer +
          "PopSize" + this.populationSizeForGeneticOptimizer;
!       string dirNameWhereToSaveAccounts = System.Configuration.ConfigurationSettings.AppSettings["AccountsArchive"] +
          "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
          "\\" + this.ScriptName + "\\";
  //      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
--- 113,121 ----
          this.generationNumberForGeneticOptimizer +
          "PopSize" + this.populationSizeForGeneticOptimizer;
!       string dirNameWhereToSaveAccounts =
!       	System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
          "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
          "\\" + this.ScriptName + "\\";
  //      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading RunPairTrading.cs, 1.1, 1.2

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:45

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/ArbitrageTesting/PairTrading

Modified Files:
	RunPairTrading.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunPairTrading.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/RunPairTrading.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunPairTrading.cs	14 May 2006 15:25:30 -0000	1.1
--- RunPairTrading.cs	19 Aug 2008 17:13:09 -0000	1.2
***************
*** 190,196 ****
                        this.generationNumberForGeneticOptimizer +
                        "PopSize" + this.populationSizeForGeneticOptimizer;
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
                           								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
                         									"\\" + this.ScriptName + "\\";
  //      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
--- 190,198 ----
                        this.generationNumberForGeneticOptimizer +
                        "PopSize" + this.populationSizeForGeneticOptimizer;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
                           								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
                         									"\\" + this.ScriptName + "\\";
  //      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower RunImmediateTrendFollower.cs, 1.1, 1.2

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:44

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower

Modified Files:
	RunImmediateTrendFollower.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunImmediateTrendFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/RunImmediateTrendFollower.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunImmediateTrendFollower.cs	3 Aug 2006 21:14:13 -0000	1.1
--- RunImmediateTrendFollower.cs	19 Aug 2008 17:13:08 -0000	1.2
***************
*** 3,7 ****
  
  RunImmediateTrendFollower.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunImmediateTrendFollower.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;
***************
*** 47,160 ****
  	/// <summary>
  	/// Script that implements the immediate trend follower strategy,
! 	/// for finding tickers that tend to 
! 	/// earn (lose) from previous gains (losses), using efficient portfolios  
  	/// </summary>
  	[Serializable]
  	public class RunImmediateTrendFollower : RunEfficientPortfolio
  	{
!     private int numDaysForReturnCalculation;
!     private double maxAcceptableCloseToCloseDrawdown;
!     private int numDaysBetweenEachOptimization;
  		
!     public RunImmediateTrendFollower(string tickerGroupID, int maxNumOfEligibleTickersForOptimization, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate,
!                                    	int numDaysForReturnCalculation,
!                                    	int numDaysBetweenEachOptimization,
!                                     PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double maxRunningHours):
! 																base(tickerGroupID, maxNumOfEligibleTickersForOptimization, 
!                                     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     startDate, endDate, 0.0,
!                                    	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "ITF_Fitness_SR_NoWeights";
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
!     #region auxiliary overriden methods for Run
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerITF(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
!                                                               this.account,
!     	                                                        this.generationNumberForGeneticOptimizer,
!     	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
!     	                                                        this.numDaysForReturnCalculation,
!     	                                                        this.numDaysBetweenEachOptimization,
!                                                               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);
!     }
  
!     public override void SaveScriptResults()
!     {
!       string fileName = this.scriptName + "_From_"+ this.tickerGroupID + "_" + this.numberOfEligibleTickers +
!                       "_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tickers" +
!                       this.numberOfTickersToBeChosen + "GenNum" + 
!                       this.generationNumberForGeneticOptimizer +
!                       "PopSize" + this.populationSizeForGeneticOptimizer +
!         							"HalfPeriodDays" + Convert.ToString(this.numDaysForReturnCalculation) + 
!         							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!                          								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
!                        									"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
!                                         "\\" + this.ScriptName + "\\";
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
!                                     		this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!                              dirNameWhereToSaveReports + 
!                              fileName + ".qPr");
!       //
! //      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! //      ObjectArchiver.Archive(this.account.Transactions,
! //                             dirNameWhereToSaveTransactions +
! //                             fileName + ".qPt");
!       //
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!       		optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       this.endOfDayTimer.Stop();
!        
!     }
!     
!     
!     #endregion 
  	}
  }
--- 47,163 ----
  	/// <summary>
  	/// Script that implements the immediate trend follower strategy,
! 	/// for finding tickers that tend to
! 	/// earn (lose) from previous gains (losses), using efficient portfolios
  	/// </summary>
  	[Serializable]
  	public class RunImmediateTrendFollower : RunEfficientPortfolio
  	{
! 		private int numDaysForReturnCalculation;
! 		private double maxAcceptableCloseToCloseDrawdown;
! 		private int numDaysBetweenEachOptimization;
  		
! 		public RunImmediateTrendFollower(string tickerGroupID, int maxNumOfEligibleTickersForOptimization,
! 		                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                 int generationNumberForGeneticOptimizer,
! 		                                 int populationSizeForGeneticOptimizer, string benchmark,
! 		                                 DateTime startDate, DateTime endDate,
! 		                                 int numDaysForReturnCalculation,
! 		                                 int numDaysBetweenEachOptimization,
! 		                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                                 double maxRunningHours):
! 			base(tickerGroupID, maxNumOfEligibleTickersForOptimization,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, 0.0,
! 			     portfolioType, maxRunningHours)
  		{
! 			this.ScriptName = "ITF_Fitness_SR_NoWeights";
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
  		}
  
! 		#region auxiliary overriden methods for Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerITF(this.tickerGroupID, this.numberOfEligibleTickers,
! 			                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
! 			                                                        this.account,
! 			                                                        this.generationNumberForGeneticOptimizer,
! 			                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
! 			                                                        this.numDaysForReturnCalculation,
! 			                                                        this.numDaysBetweenEachOptimization,
! 			                                                        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);
! 		}
  
! 		public override void SaveScriptResults()
! 		{
! 			string fileName = this.scriptName + "_From_"+ this.tickerGroupID + "_" + this.numberOfEligibleTickers +
! 				"_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tickers" +
! 				this.numberOfTickersToBeChosen + "GenNum" +
! 				this.generationNumberForGeneticOptimizer +
! 				"PopSize" + this.populationSizeForGeneticOptimizer +
! 				"HalfPeriodDays" + Convert.ToString(this.numDaysForReturnCalculation) +
! 				Convert.ToString(this.portfolioType);
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			//
! 			//      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			//      ObjectArchiver.Archive(this.account.Transactions,
! 			//                             dirNameWhereToSaveTransactions +
! 			//                             fileName + ".qPt");
! 			//
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 				optimizationOutput.Add(genomeRepresentation);
! 			ObjectArchiver.Archive(optimizationOutput,
! 			                       dirNameWhereToSaveBestGenomes +
! 			                       fileName + ".bgn");
! 			this.endOfDayTimer.Stop();
! 			
! 		}
! 		
! 		
! 		#endregion
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators RunFPOscillatorCTC.cs, 1.1, 1.2

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:42

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators

Modified Files:
	RunFPOscillatorCTC.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunFPOscillatorCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators/RunFPOscillatorCTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunFPOscillatorCTC.cs	14 May 2006 15:29:22 -0000	1.1
--- RunFPOscillatorCTC.cs	19 Aug 2008 17:13:06 -0000	1.2
***************
*** 3,7 ****
  
  RunFPOscillatorCTC.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunFPOscillatorCTC.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;
***************
*** 47,157 ****
  	/// <summary>
  	/// Script that implements an oscillating strategy,
! 	/// for all market days (fixed period), using efficient portfolios  
  	/// </summary>
  	[Serializable]
  	public class RunFPOscillatorCTC : RunEfficientPortfolio
  	{
!     private int numDaysForReturnCalculation;
!     private double maxAcceptableCloseToCloseDrawdown;
!     private int numDaysBetweenEachOptimization;
  		
!     public RunFPOscillatorCTC(string tickerGroupID, int numberOfEligibleTickers, 
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate,
!                                    	int numDaysForReturnCalculation,
!                                     PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double maxRunningHours):
! 																base(tickerGroupID, numberOfEligibleTickers, 
!                                     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                                     generationNumberForGeneticOptimizer,
!                                     populationSizeForGeneticOptimizer, benchmark,
!                                     startDate, endDate, 0.0,
!                                    	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "FixedPeriodOscillatorCTCScriptWithSharpe";
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.numDaysBetweenEachOptimization = numDaysForReturnCalculation;
  		}
  
!     #region auxiliary overriden methods for Run
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerFPOscillatorCTC(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
!                                                               this.account,
!     	                                                        this.generationNumberForGeneticOptimizer,
!     	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
!     	                                                        this.numDaysForReturnCalculation,
!                                                               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);
!     }
  
!     public override void SaveScriptResults()
!     {
!       string fileName = "From"+this.numberOfEligibleTickers +
!                       "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
!                       this.numberOfTickersToBeChosen + "GenNum" + 
!                       this.generationNumberForGeneticOptimizer +
!                       "PopSize" + this.populationSizeForGeneticOptimizer +
!         							"HalfPeriodDays" + Convert.ToString(this.numDaysForReturnCalculation) + 
!         							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!                          								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
!                        									"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
!                                         "\\" + this.ScriptName + "\\";
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
!                                     		this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!                              dirNameWhereToSaveReports + 
!                              fileName + ".qPr");
!       //
! //      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! //      ObjectArchiver.Archive(this.account.Transactions,
! //                             dirNameWhereToSaveTransactions +
! //                             fileName + ".qPt");
!       //
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!       		optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       this.endOfDayTimer.Stop();
!        
!     }
!     
!     
!     #endregion 
  	}
  }
--- 47,160 ----
  	/// <summary>
  	/// Script that implements an oscillating strategy,
! 	/// for all market days (fixed period), using efficient portfolios
  	/// </summary>
  	[Serializable]
  	public class RunFPOscillatorCTC : RunEfficientPortfolio
  	{
! 		private int numDaysForReturnCalculation;
! 		private double maxAcceptableCloseToCloseDrawdown;
! 		private int numDaysBetweenEachOptimization;
  		
! 		public RunFPOscillatorCTC(string tickerGroupID, int numberOfEligibleTickers,
! 		                          int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                          int generationNumberForGeneticOptimizer,
! 		                          int populationSizeForGeneticOptimizer, string benchmark,
! 		                          DateTime startDate, DateTime endDate,
! 		                          int numDaysForReturnCalculation,
! 		                          PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                          double maxRunningHours):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate, 0.0,
! 			     portfolioType, maxRunningHours)
  		{
! 			this.ScriptName = "FixedPeriodOscillatorCTCScriptWithSharpe";
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.numDaysBetweenEachOptimization = numDaysForReturnCalculation;
  		}
  
! 		#region auxiliary overriden methods for Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerFPOscillatorCTC(this.tickerGroupID, this.numberOfEligibleTickers,
! 			                                                                    this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
! 			                                                                    this.account,
! 			                                                                    this.generationNumberForGeneticOptimizer,
! 			                                                                    this.populationSizeForGeneticOptimizer, this.benchmark,
! 			                                                                    this.numDaysForReturnCalculation,
! 			                                                                    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);
! 		}
  
! 		public override void SaveScriptResults()
! 		{
! 			string fileName = "From"+this.numberOfEligibleTickers +
! 				"OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
! 				this.numberOfTickersToBeChosen + "GenNum" +
! 				this.generationNumberForGeneticOptimizer +
! 				"PopSize" + this.populationSizeForGeneticOptimizer +
! 				"HalfPeriodDays" + Convert.ToString(this.numDaysForReturnCalculation) +
! 				Convert.ToString(this.portfolioType);
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			//
! 			//      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			//      ObjectArchiver.Archive(this.account.Transactions,
! 			//                             dirNameWhereToSaveTransactions +
! 			//                             fileName + ".qPt");
! 			//
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 				optimizationOutput.Add(genomeRepresentation);
! 			ObjectArchiver.Archive(optimizationOutput,
! 			                       dirNameWhereToSaveBestGenomes +
! 			                       fileName + ".bgn");
! 			this.endOfDayTimer.Stop();
! 			
! 		}
! 		
! 		
! 		#endregion
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientPortfolio.cs, 1.21, 1.22

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:41

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunEfficientPortfolio.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v
retrieving revision 1.21
retrieving revision 1.22
diff -C2 -d -r1.21 -r1.22
*** RunEfficientPortfolio.cs	29 Aug 2007 10:04:30 -0000	1.21
--- RunEfficientPortfolio.cs	19 Aug 2008 17:13:06 -0000	1.22
***************
*** 3,7 ****
  
  RunEfficientPortfolio.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunEfficientPortfolio.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
***************
*** 40,44 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 40,44 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 52,296 ****
  	/// </summary>
  	[Serializable]
!   public class RunEfficientPortfolio
  	{
!     protected string tickerGroupID;
!     protected int numberOfEligibleTickers;
!     protected int numberOfTickersToBeChosen;
!     protected int numDaysForOptimizationPeriod;
!     protected int generationNumberForGeneticOptimizer;
!     protected int populationSizeForGeneticOptimizer;
  
!     protected ReportTable reportTable;
!     protected EndOfDayDateTime startDateTime;
!     protected EndOfDayDateTime endDateTime;
!     //protected int numIntervalDays;// number of days for the equity line graph
  		protected IHistoricalQuoteProvider historicalQuoteProvider;
  
  
!     //protected ProgressBarForm progressBarForm;
  
!     protected EndOfDayTimerHandler endOfDayTimerHandler;
  
!     protected Account account;
  		
!     protected IEndOfDayTimer endOfDayTimer;
  
!     protected string benchmark;
!     
!     protected string scriptName;
!     
!     protected double targetReturn;
!     
!     protected PortfolioType portfolioType;
!     
!     protected DateTime startingTimeForScript;
!     protected double maxRunningHours;
!     //if MaxNumberOfHoursForScript has elapsed and the script
!     //is still running, it will be stopped.
!     
!     
!     public PortfolioType TypeOfPortfolio
!     {
!       get { return this.portfolioType; }
!     }
!        
!     public virtual string ScriptName
!     {
!     	get{return this.scriptName;}
!     	set{this.scriptName = value;}
!     }
!     
!     public DateTime TimerLastDate
!     {
!     	get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
!     }	
! 	
  		public RunEfficientPortfolio(string benchmark,
!                                 DateTime startDate, DateTime endDate, 
!                                 PortfolioType portfolioType, 
!                                 double maxRunningHours)
  		{
!      
!       this.startDateTime = new EndOfDayDateTime(
!         startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
!       this.endDateTime = new EndOfDayDateTime(
!         endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.benchmark = benchmark;
!      	this.ScriptName = "EfficientGeneric";
!      	this.portfolioType = portfolioType;
!      	this.startingTimeForScript = DateTime.Now;
!       this.maxRunningHours = maxRunningHours;
!       //this.numIntervalDays = 3;
  		}
!     
!     public RunEfficientPortfolio(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer, string benchmark,
!                                 DateTime startDate, DateTime endDate, 
!                                 double targetReturn,
!                                 PortfolioType portfolioType, 
!                                 double maxRunningHours)
  		{
!       //this.progressBarForm = new ProgressBarForm();
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
!       this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
!       this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
!       this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
!       this.reportTable = new ReportTable( "Summary_Reports" );
!       this.startDateTime = new EndOfDayDateTime(
!         startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
!       this.endDateTime = new EndOfDayDateTime(
!         endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.benchmark = benchmark;
!      	this.ScriptName = "EfficientGeneric";
!      	this.targetReturn = targetReturn;
!      	this.portfolioType = portfolioType;
!      	this.startingTimeForScript = DateTime.Now;
!       this.maxRunningHours = maxRunningHours;
!       //this.numIntervalDays = 3;
  		}
-     
-     protected string getGenomeCounterInfo()
-     {
-       string returnValue = "";
-       if(this.endOfDayTimerHandler.GenomeCounter != null)
-         returnValue = "Total generated genomes: " +
-                       this.endOfDayTimerHandler.GenomeCounter.TotalEvaluatedGenomes.ToString() + 
-                       "; Current fitness: " +
-                       this.endOfDayTimerHandler.GenomeCounter.BestFitness.ToString();
-       return returnValue;
-     }
  
!     #region Run
!  		
!     protected virtual void run_initializeEndOfDayTimer()
!     {
!       //default endOfDayTimer
!     	this.endOfDayTimer =
!         new IndexBasedEndOfDayTimer( this.startDateTime, this.endDateTime, 
!                                      this.benchmark );
!     	
!     }
!     
!     protected virtual void run_initializeAccount()
!     {
!       //default account with no commissions and no slippage calculation
!     	this.account = new Account( this.scriptName , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ));
!      
!     }
!     protected virtual void run_initializeEndOfDayTimerHandler()
!     {
!      	//always needs specific implementation in inherited classes; 
!     }
!     
!     protected virtual void run_initializeHistoricalQuoteProvider()
!     {
!      	//always needs specific implementation in inherited classes; 
!     }
!     
!     protected void checkDateForReport_createDirIfNotPresent(string dirPath)
!     {
!     	if(!Directory.Exists(dirPath))
!     		Directory.CreateDirectory(dirPath);
!     }
!     
!     protected virtual void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
!          DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
!       //last date is reached by the timer or maxRunning hours
!       //are elapsed from the time script started
!     		this.SaveScriptResults();
!     }
!     
!     public virtual 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 +
!         							Convert.ToString(this.portfolioType);
!     }
!     
!     
!     public virtual void SaveScriptResults()
!     {
!     	string fileName = this.SaveScriptResults_CreateFileName();
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!                          								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
!                        									"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
!                                         "\\" + this.ScriptName + "\\";
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
!                                     		this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!                              dirNameWhereToSaveReports + 
!                              fileName + ".qPr");
!       //
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
!       ObjectArchiver.Archive(this.account.Transactions,
!                              dirNameWhereToSaveTransactions +
!                              fileName + ".qPt");
!       //
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!       		optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       this.endOfDayTimer.Stop();
!        
!     }
!     
!     protected virtual void run_initialize()
!     {
!       run_initializeHistoricalQuoteProvider();
!       run_initializeEndOfDayTimer();
!       run_initializeAccount();
!       run_initializeEndOfDayTimerHandler();
!       //run_initializeProgressHandlers();
!     }
!     protected virtual void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       //in inherited classes'override method: 
!       //add here TimerHandler's handlers to timer's events
!       //example
!       //this.endOfDayTimer.EVENT_NAME +=
!       //  new EVENT_NAMEEventHandler(
!       //  this.endOfDayTimerHandler.EVENT_NAMEEventHandler);
!     }
!     
!     
!     public virtual void Run()
!     {
!       this.run_initialize();
!       this.run_addEventHandlers();
!       //this.progressBarForm.Show();
!       this.endOfDayTimer.Start();
!     }
!     
!     #endregion 
!     
  	}
  }
--- 52,299 ----
  	/// </summary>
  	[Serializable]
! 	public class RunEfficientPortfolio
  	{
! 		protected string tickerGroupID;
! 		protected int numberOfEligibleTickers;
! 		protected int numberOfTickersToBeChosen;
! 		protected int numDaysForOptimizationPeriod;
! 		protected int generationNumberForGeneticOptimizer;
! 		protected int populationSizeForGeneticOptimizer;
  
! 		protected ReportTable reportTable;
! 		protected EndOfDayDateTime startDateTime;
! 		protected EndOfDayDateTime endDateTime;
! 		//protected int numIntervalDays;// number of days for the equity line graph
  		protected IHistoricalQuoteProvider historicalQuoteProvider;
  
  
! 		//protected ProgressBarForm progressBarForm;
  
! 		protected EndOfDayTimerHandler endOfDayTimerHandler;
  
! 		protected Account account;
  		
! 		protected IEndOfDayTimer endOfDayTimer;
  
! 		protected string benchmark;
! 		
! 		protected string scriptName;
! 		
! 		protected double targetReturn;
! 		
! 		protected PortfolioType portfolioType;
! 		
! 		protected DateTime startingTimeForScript;
! 		protected double maxRunningHours;
! 		//if MaxNumberOfHoursForScript has elapsed and the script
! 		//is still running, it will be stopped.
! 		
! 		
! 		public PortfolioType TypeOfPortfolio
! 		{
! 			get { return this.portfolioType; }
! 		}
! 		
! 		public virtual string ScriptName
! 		{
! 			get{return this.scriptName;}
! 			set{this.scriptName = value;}
! 		}
! 		
! 		public DateTime TimerLastDate
! 		{
! 			get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
! 		}
! 		
  		public RunEfficientPortfolio(string benchmark,
! 		                             DateTime startDate, DateTime endDate,
! 		                             PortfolioType portfolioType,
! 		                             double maxRunningHours)
  		{
! 			
! 			this.startDateTime = new EndOfDayDateTime(
! 				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime = new EndOfDayDateTime(
! 				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			this.benchmark = benchmark;
! 			this.ScriptName = "EfficientGeneric";
! 			this.portfolioType = portfolioType;
! 			this.startingTimeForScript = DateTime.Now;
! 			this.maxRunningHours = maxRunningHours;
! 			//this.numIntervalDays = 3;
  		}
! 		
! 		public RunEfficientPortfolio(string tickerGroupID, int numberOfEligibleTickers,
! 		                             int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                             int generationNumberForGeneticOptimizer,
! 		                             int populationSizeForGeneticOptimizer, string benchmark,
! 		                             DateTime startDate, DateTime endDate,
! 		                             double targetReturn,
! 		                             PortfolioType portfolioType,
! 		                             double maxRunningHours)
  		{
! 			//this.progressBarForm = new ProgressBarForm();
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
! 			this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
! 			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
! 			this.reportTable = new ReportTable( "Summary_Reports" );
! 			this.startDateTime = new EndOfDayDateTime(
! 				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime = new EndOfDayDateTime(
! 				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			this.benchmark = benchmark;
! 			this.ScriptName = "EfficientGeneric";
! 			this.targetReturn = targetReturn;
! 			this.portfolioType = portfolioType;
! 			this.startingTimeForScript = DateTime.Now;
! 			this.maxRunningHours = maxRunningHours;
! 			//this.numIntervalDays = 3;
! 		}
! 		
! 		protected string getGenomeCounterInfo()
! 		{
! 			string returnValue = "";
! 			if(this.endOfDayTimerHandler.GenomeCounter != null)
! 				returnValue = "Total generated genomes: " +
! 					this.endOfDayTimerHandler.GenomeCounter.TotalEvaluatedGenomes.ToString() +
! 					"; Current fitness: " +
! 					this.endOfDayTimerHandler.GenomeCounter.BestFitness.ToString();
! 			return returnValue;
  		}
  
! 		#region Run
! 		
! 		protected virtual void run_initializeEndOfDayTimer()
! 		{
! 			//default endOfDayTimer
! 			this.endOfDayTimer =
! 				new IndexBasedEndOfDayTimer( this.startDateTime, this.endDateTime,
! 				                            this.benchmark );
! 			
! 		}
! 		
! 		protected virtual void run_initializeAccount()
! 		{
! 			//default account with no commissions and no slippage calculation
! 			this.account = new Account( this.scriptName , this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalQuoteProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalQuoteProvider ));
! 			
! 		}
! 		protected virtual void run_initializeEndOfDayTimerHandler()
! 		{
! 			//always needs specific implementation in inherited classes;
! 		}
! 		
! 		protected virtual void run_initializeHistoricalQuoteProvider()
! 		{
! 			//always needs specific implementation in inherited classes;
! 		}
! 		
! 		protected void checkDateForReport_createDirIfNotPresent(string dirPath)
! 		{
! 			if(!Directory.Exists(dirPath))
! 				Directory.CreateDirectory(dirPath);
! 		}
! 		
! 		protected virtual void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
! 		{
! 			if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
! 			   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 				//last date is reached by the timer or maxRunning hours
! 				//are elapsed from the time script started
! 				this.SaveScriptResults();
! 		}
! 		
! 		public virtual 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 +
! 				Convert.ToString(this.portfolioType);
! 		}
! 		
! 		
! 		public virtual void SaveScriptResults()
! 		{
! 			string fileName = this.SaveScriptResults_CreateFileName();
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			//
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			ObjectArchiver.Archive(this.account.Transactions,
! 			                       dirNameWhereToSaveTransactions +
! 			                       fileName + ".qPt");
! 			//
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 				optimizationOutput.Add(genomeRepresentation);
! 			ObjectArchiver.Archive(optimizationOutput,
! 			                       dirNameWhereToSaveBestGenomes +
! 			                       fileName + ".bgn");
! 			this.endOfDayTimer.Stop();
! 			
! 		}
! 		
! 		protected virtual void run_initialize()
! 		{
! 			run_initializeHistoricalQuoteProvider();
! 			run_initializeEndOfDayTimer();
! 			run_initializeAccount();
! 			run_initializeEndOfDayTimerHandler();
! 			//run_initializeProgressHandlers();
! 		}
! 		protected virtual void run_addEventHandlers()
! 		{
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 					this.checkDateForReport);
! 			
! 			//in inherited classes'override method:
! 			//add here TimerHandler's handlers to timer's events
! 			//example
! 			//this.endOfDayTimer.EVENT_NAME +=
! 			//  new EVENT_NAMEEventHandler(
! 			//  this.endOfDayTimerHandler.EVENT_NAMEEventHandler);
! 		}
! 		
! 		
! 		public virtual void Run()
! 		{
! 			this.run_initialize();
! 			this.run_addEventHandlers();
! 			//this.progressBarForm.Show();
! 			this.endOfDayTimer.Start();
! 		}
! 		
! 		#endregion
! 		
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization RunEfficientOTCTypesBruteForce.cs, 1.1, 1.2

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:40

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization

Modified Files:
	RunEfficientOTCTypesBruteForce.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunEfficientOTCTypesBruteForce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization/RunEfficientOTCTypesBruteForce.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunEfficientOTCTypesBruteForce.cs	17 Sep 2006 21:37:18 -0000	1.1
--- RunEfficientOTCTypesBruteForce.cs	19 Aug 2008 17:13:05 -0000	1.2
***************
*** 140,148 ****
          "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
          this.numberOfTickersToBeChosen + "BruteForce";
!       string dirNameWhereToSaveAccounts = System.Configuration.ConfigurationSettings.AppSettings["AccountsArchive"] +
          "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
          "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
          "\\" + this.ScriptName + "\\";
        
--- 140,151 ----
          "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
          this.numberOfTickersToBeChosen + "BruteForce";
!       string dirNameWhereToSaveAccounts =
!       	System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
          "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
          "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes =
!       	System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
          "\\" + this.ScriptName + "\\";

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend RunExtremeCounterTrend.cs, 1.4, 1.5

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:40

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend

Modified Files:
	RunExtremeCounterTrend.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunExtremeCounterTrend.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/RunExtremeCounterTrend.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunExtremeCounterTrend.cs	7 Aug 2006 21:17:13 -0000	1.4
--- RunExtremeCounterTrend.cs	19 Aug 2008 17:13:06 -0000	1.5
***************
*** 123,131 ****
          							"HalfPeriodDays" + Convert.ToString(this.numDaysForReturnCalculation) + 
          							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
                           								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
                         									"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
                                          "\\" + this.ScriptName + "\\";
        //default report with numIntervalDays = 1
--- 123,134 ----
          							"HalfPeriodDays" + Convert.ToString(this.numDaysForReturnCalculation) + 
          							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
                           								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
                         									"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes =
!       	System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
                                          "\\" + this.ScriptName + "\\";
        //default report with numIntervalDays = 1

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes RunEfficientOTCTypes.cs, 1.8, 1.9

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:39

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TickerSelectionTesting/TestingOTCTypes

Modified Files:
	RunEfficientOTCTypes.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunEfficientOTCTypes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/RunEfficientOTCTypes.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** RunEfficientOTCTypes.cs	8 Apr 2007 18:55:21 -0000	1.8
--- RunEfficientOTCTypes.cs	19 Aug 2008 17:13:05 -0000	1.9
***************
*** 150,158 ****
          "_PopSize" + this.populationSizeForGeneticOptimizer +
          Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveAccounts = System.Configuration.ConfigurationSettings.AppSettings["AccountsArchive"] +
          "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
          "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
          "\\" + this.ScriptName + "\\";
        
--- 150,161 ----
          "_PopSize" + this.populationSizeForGeneticOptimizer +
          Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveAccounts =
!       	System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
          "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
          "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes =
!       	System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
          "\\" + this.ScriptName + "\\";

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce RunDOR_WeekEndBounce.cs, 1.1, 1.2

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:39

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce

Modified Files:
	RunDOR_WeekEndBounce.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunDOR_WeekEndBounce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce/RunDOR_WeekEndBounce.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunDOR_WeekEndBounce.cs	29 Aug 2007 09:16:56 -0000	1.1
--- RunDOR_WeekEndBounce.cs	19 Aug 2008 17:13:04 -0000	1.2
***************
*** 151,155 ****
        	"_forLong_" + this.numOfTickersForBuying +
        	"_forShort_" + this.numOfTickersForShortSelling;
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
          "\\" + this.scriptName + "\\";
            
--- 151,156 ----
        	"_forLong_" + this.numOfTickersForBuying +
        	"_forShort_" + this.numOfTickersForShortSelling;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
          "\\" + this.scriptName + "\\";

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC RunDOR_OTC.cs, 1.1, 1.2

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:38

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC

Modified Files:
	RunDOR_OTC.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunDOR_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC/RunDOR_OTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunDOR_OTC.cs	30 Jun 2007 18:58:33 -0000	1.1
--- RunDOR_OTC.cs	19 Aug 2008 17:13:04 -0000	1.2
***************
*** 149,153 ****
        	"_forLong_" + this.numOfTickersForBuying +
        	"_forShort_" + this.numOfTickersForShortSelling;
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
          "\\" + this.scriptName + "\\";
            
--- 149,154 ----
        	"_forLong_" + this.numOfTickersForBuying +
        	"_forShort_" + this.numOfTickersForShortSelling;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
          "\\" + this.scriptName + "\\";

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO RunBiasedPVO.cs, 1.4, 1.5 RunBiasedPVO_OTC.cs, 1.2, 1.3

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:38

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

Modified Files:
	RunBiasedPVO.cs RunBiasedPVO_OTC.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: RunBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunBiasedPVO.cs	9 Mar 2008 22:40:51 -0000	1.4
--- RunBiasedPVO.cs	19 Aug 2008 17:13:03 -0000	1.5
***************
*** 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.Timing;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 38,42 ----
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 53,57 ****
  	/// when it is time to open new positions,
  	/// it is not simply chosen the genome with the highest fitness
! 	/// (as in the PVO base), but it is chosen the genome (from a 
  	/// given set of genomes with a good fitness) that
  	/// has the highest degree of deviation from a threshold
--- 53,57 ----
  	/// when it is time to open new positions,
  	/// it is not simply chosen the genome with the highest fitness
! 	/// (as in the PVO base), but it is chosen the genome (from a
  	/// given set of genomes with a good fitness) that
  	/// has the highest degree of deviation from a threshold
***************
*** 60,68 ****
  	public class RunBiasedPVO : RunPVO
  	{
!     protected double minPriceForTickersToBeChosen;
!     protected double maxPriceForTickersToBeChosen;
  		protected int numOfDifferentGenomesToEvaluateOutOfSample;
!     protected int numDaysOfStayingOnTheMarket;
!     protected double maxCoefficientForDegreeComputationOfCrossingThreshold;
  		protected double numOfStdDevForThresholdsComputation;
  		protected bool resetThresholdsBeforeCheckingOutOfSample;
--- 60,68 ----
  	public class RunBiasedPVO : RunPVO
  	{
! 		protected double minPriceForTickersToBeChosen;
! 		protected double maxPriceForTickersToBeChosen;
  		protected int numOfDifferentGenomesToEvaluateOutOfSample;
! 		protected int numDaysOfStayingOnTheMarket;
! 		protected double maxCoefficientForDegreeComputationOfCrossingThreshold;
  		protected double numOfStdDevForThresholdsComputation;
  		protected bool resetThresholdsBeforeCheckingOutOfSample;
***************
*** 70,74 ****
  		protected bool doNotOpenReversedPositionsThatHaveJustBeenClosed;
  		protected int numDaysForThresholdsReComputation;
!    
  		protected string pathOfFileContainingGenomes;
  		public string PathOfFileContainingGenomes
--- 70,74 ----
  		protected bool doNotOpenReversedPositionsThatHaveJustBeenClosed;
  		protected int numDaysForThresholdsReComputation;
! 		
  		protected string pathOfFileContainingGenomes;
  		public string PathOfFileContainingGenomes
***************
*** 78,168 ****
  		}
  		
!     public RunBiasedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization,
! 		                    						double minPriceForTickersToBeChosen,
! 		                    						double maxPriceForTickersToBeChosen,
!                                     int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!                                     int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate,
!                                     int numOfDifferentGenomesToEvaluateOutOfSample,
!                                     bool resetThresholdsBeforeCheckingOutOfSample,
!                                     int numDaysForThresholdsReComputation,
!                                     double numOfStdDevForThresholdsComputation,
!                                     double maxCoefficientForDegreeComputationOfCrossingThreshold,
!                                     bool buyOnlyPositionsThatAreMovingTogether,
!                                     bool doNotOpenReversedPositionsThatHaveJustBeenClosed,
!                                     int numDaysForOscillatingPeriod,
!                                     int numDaysOfStayingOnTheMarket,
!                                     int minLevelForOversoldThreshold,
!                                     int maxLevelForOversoldThreshold,
!                                     int minLevelForOverboughtThreshold,
!                                     int maxLevelForOverboughtThreshold,
!                                     int divisorForThresholdComputation,
!                                     bool symmetricalThresholds,
!                                     bool overboughtMoreThanOversoldForFixedPortfolio,
!                                    	int numDaysBetweenEachOptimization,
!                                     PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown, 
!                                     double minimumAcceptableGain, double maxRunningHours):
!                             base(tickerGroupID, maxNumOfEligibleTickersForOptimization, 
!                             numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!                             generationNumberForGeneticOptimizer,
!                             populationSizeForGeneticOptimizer, benchmark,
!                             startDate, endDate,
!                             numDaysForOscillatingPeriod,
!                             minLevelForOversoldThreshold,
!                             maxLevelForOversoldThreshold,
!                             minLevelForOverboughtThreshold,
!                             maxLevelForOverboughtThreshold,
!                             divisorForThresholdComputation,
!                             symmetricalThresholds,
!                             overboughtMoreThanOversoldForFixedPortfolio,
!                             numDaysBetweenEachOptimization,
!                             inSamplePortfolioType, maxAcceptableCloseToCloseDrawdown, 
!                             minimumAcceptableGain,
!                             maxRunningHours)
  		{
!       this.minPriceForTickersToBeChosen = minPriceForTickersToBeChosen;
!       this.maxPriceForTickersToBeChosen = maxPriceForTickersToBeChosen;
  			this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
!       this.minimumAcceptableGain = minimumAcceptableGain;
!       //this.ScriptName = "PVO_Biased_WithWeightsPriceSel";
!       this.ScriptName = "PVO_Biased_NoWeightsPriceSel";
!       this.numDaysOfStayingOnTheMarket = numDaysOfStayingOnTheMarket;
!       this.maxCoefficientForDegreeComputationOfCrossingThreshold = maxCoefficientForDegreeComputationOfCrossingThreshold;
!       this.resetThresholdsBeforeCheckingOutOfSample = resetThresholdsBeforeCheckingOutOfSample;
!       this.numDaysForThresholdsReComputation = numDaysForThresholdsReComputation;
!       this.numOfStdDevForThresholdsComputation = numOfStdDevForThresholdsComputation;
!       this.buyOnlyPositionsThatAreMovingTogether = buyOnlyPositionsThatAreMovingTogether;
!       this.doNotOpenReversedPositionsThatHaveJustBeenClosed = doNotOpenReversedPositionsThatHaveJustBeenClosed;
!       this.pathOfFileContainingGenomes = null;
!       //if this field is set to null, selections of tickers (with
!       //optimization), takes place; otherwise, tickers for
!       //out of sample testing are chosen from a given
!       //set of genomes saved to disk (representing a set of
!       //a certain number of optimizations run over a given period)
  		}
  
!     #region auxiliary overriden methods for Run
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerBiasedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                              this.minPriceForTickersToBeChosen,
!     	                                                              this.maxPriceForTickersToBeChosen,
! 			    	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
  			                                                              this.account,
  			                                                              this.PathOfFileContainingGenomes,
! 			    	                                                        this.generationNumberForGeneticOptimizer,
! 			    	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
! 			    	                                                        this.numOfDifferentGenomesToEvaluateOutOfSample,
! 																																		this.resetThresholdsBeforeCheckingOutOfSample,
! 																																		this.numDaysForThresholdsReComputation,
! 																																		this.numOfStdDevForThresholdsComputation,
! 																																		this.maxCoefficientForDegreeComputationOfCrossingThreshold,
! 																																		this.buyOnlyPositionsThatAreMovingTogether,
! 																																		this.doNotOpenReversedPositionsThatHaveJustBeenClosed,
  			                                                              this.numDaysForOscillatingPeriod,
  			                                                              this.numDaysOfStayingOnTheMarket,
! 			    	                                                        this.minLevelForOversoldThreshold,
  			                                                              this.maxLevelForOversoldThreshold,
  			                                                              this.minLevelForOverboughtThreshold,
--- 78,168 ----
  		}
  		
! 		public RunBiasedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization,
! 		                    double minPriceForTickersToBeChosen,
! 		                    double maxPriceForTickersToBeChosen,
! 		                    int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                    int generationNumberForGeneticOptimizer,
! 		                    int populationSizeForGeneticOptimizer, string benchmark,
! 		                    DateTime startDate, DateTime endDate,
! 		                    int numOfDifferentGenomesToEvaluateOutOfSample,
! 		                    bool resetThresholdsBeforeCheckingOutOfSample,
! 		                    int numDaysForThresholdsReComputation,
! 		                    double numOfStdDevForThresholdsComputation,
! 		                    double maxCoefficientForDegreeComputationOfCrossingThreshold,
! 		                    bool buyOnlyPositionsThatAreMovingTogether,
! 		                    bool doNotOpenReversedPositionsThatHaveJustBeenClosed,
! 		                    int numDaysForOscillatingPeriod,
! 		                    int numDaysOfStayingOnTheMarket,
! 		                    int minLevelForOversoldThreshold,
! 		                    int maxLevelForOversoldThreshold,
! 		                    int minLevelForOverboughtThreshold,
! 		                    int maxLevelForOverboughtThreshold,
! 		                    int divisorForThresholdComputation,
! 		                    bool symmetricalThresholds,
! 		                    bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                    int numDaysBetweenEachOptimization,
! 		                    PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                    double minimumAcceptableGain, double maxRunningHours):
! 			base(tickerGroupID, maxNumOfEligibleTickersForOptimization,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate,
! 			     numDaysForOscillatingPeriod,
! 			     minLevelForOversoldThreshold,
! 			     maxLevelForOversoldThreshold,
! 			     minLevelForOverboughtThreshold,
! 			     maxLevelForOverboughtThreshold,
! 			     divisorForThresholdComputation,
! 			     symmetricalThresholds,
! 			     overboughtMoreThanOversoldForFixedPortfolio,
! 			     numDaysBetweenEachOptimization,
! 			     inSamplePortfolioType, maxAcceptableCloseToCloseDrawdown,
! 			     minimumAcceptableGain,
! 			     maxRunningHours)
  		{
! 			this.minPriceForTickersToBeChosen = minPriceForTickersToBeChosen;
! 			this.maxPriceForTickersToBeChosen = maxPriceForTickersToBeChosen;
  			this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
! 			this.minimumAcceptableGain = minimumAcceptableGain;
! 			//this.ScriptName = "PVO_Biased_WithWeightsPriceSel";
! 			this.ScriptName = "PVO_Biased_NoWeightsPriceSel";
! 			this.numDaysOfStayingOnTheMarket = numDaysOfStayingOnTheMarket;
! 			this.maxCoefficientForDegreeComputationOfCrossingThreshold = maxCoefficientForDegreeComputationOfCrossingThreshold;
! 			this.resetThresholdsBeforeCheckingOutOfSample = resetThresholdsBeforeCheckingOutOfSample;
! 			this.numDaysForThresholdsReComputation = numDaysForThresholdsReComputation;
! 			this.numOfStdDevForThresholdsComputation = numOfStdDevForThresholdsComputation;
! 			this.buyOnlyPositionsThatAreMovingTogether = buyOnlyPositionsThatAreMovingTogether;
! 			this.doNotOpenReversedPositionsThatHaveJustBeenClosed = doNotOpenReversedPositionsThatHaveJustBeenClosed;
! 			this.pathOfFileContainingGenomes = null;
! 			//if this field is set to null, selections of tickers (with
! 			//optimization), takes place; otherwise, tickers for
! 			//out of sample testing are chosen from a given
! 			//set of genomes saved to disk (representing a set of
! 			//a certain number of optimizations run over a given period)
  		}
  
! 		#region auxiliary overriden methods for Run
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerBiasedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
! 			                                                              this.minPriceForTickersToBeChosen,
! 			                                                              this.maxPriceForTickersToBeChosen,
! 			                                                              this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
  			                                                              this.account,
  			                                                              this.PathOfFileContainingGenomes,
! 			                                                              this.generationNumberForGeneticOptimizer,
! 			                                                              this.populationSizeForGeneticOptimizer, this.benchmark,
! 			                                                              this.numOfDifferentGenomesToEvaluateOutOfSample,
! 			                                                              this.resetThresholdsBeforeCheckingOutOfSample,
! 			                                                              this.numDaysForThresholdsReComputation,
! 			                                                              this.numOfStdDevForThresholdsComputation,
! 			                                                              this.maxCoefficientForDegreeComputationOfCrossingThreshold,
! 			                                                              this.buyOnlyPositionsThatAreMovingTogether,
! 			                                                              this.doNotOpenReversedPositionsThatHaveJustBeenClosed,
  			                                                              this.numDaysForOscillatingPeriod,
  			                                                              this.numDaysOfStayingOnTheMarket,
! 			                                                              this.minLevelForOversoldThreshold,
  			                                                              this.maxLevelForOversoldThreshold,
  			                                                              this.minLevelForOverboughtThreshold,
***************
*** 171,184 ****
  			                                                              this.symmetricalThresholds,
  			                                                              this.overboughtMoreThanOversoldForFixedPortfolio,
! 			    	                                                        this.numDaysBetweenEachOptimization,
! 			                                                              this.portfolioType, this.maxAcceptableCloseToCloseDrawdown, 
  			                                                              this.minimumAcceptableGain);
!     }
!     
!        
  		protected void saveScriptResults_saveScriptFeaturesToLogFile(string nameForScriptFiles)
  		{
! 			string pathFile = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
! 												"\\" + this.ScriptName + "\\" + nameForScriptFiles + ".txt";
  			StreamWriter w = File.AppendText(pathFile);
  			w.WriteLine ("\n----------------------------------------------\r\n");
--- 171,185 ----
  			                                                              this.symmetricalThresholds,
  			                                                              this.overboughtMoreThanOversoldForFixedPortfolio,
! 			                                                              this.numDaysBetweenEachOptimization,
! 			                                                              this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
  			                                                              this.minimumAcceptableGain);
! 		}
! 		
! 		
  		protected void saveScriptResults_saveScriptFeaturesToLogFile(string nameForScriptFiles)
  		{
! 			string pathFile =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\" + nameForScriptFiles + ".txt";
  			StreamWriter w = File.AppendText(pathFile);
  			w.WriteLine ("\n----------------------------------------------\r\n");
***************
*** 223,273 ****
  			// Update the underlying file.
  			w.Flush();
! 			w.Close();	
  		}
  
!     public override void SaveScriptResults()
!     {
!     	string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!     										DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
!     										DateTime.Now.Second.ToString().PadLeft(2,'0') + "_" +
!     		        				this.scriptName +  "GenOS_" + this.numOfDifferentGenomesToEvaluateOutOfSample +
!                         "_OsDays_" + numDaysForOscillatingPeriod +
!       								"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
!                       "_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
!                       this.numberOfTickersToBeChosen + "GenN°" + 
!                       this.generationNumberForGeneticOptimizer +
!                       "PopSize" + this.populationSizeForGeneticOptimizer +
!         							Convert.ToString(this.portfolioType);
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!                          								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
!                        									"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
!                                         "\\" + this.ScriptName + "\\";
!       
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       if( this.PathOfFileContainingGenomes == null )
!       {
!       	OptimizationOutput optimizationOutput = new OptimizationOutput();
!         foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!       		optimizationOutput.Add(genomeRepresentation);
!       	ObjectArchiver.Archive(optimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       }
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
!                                     		this.benchmark,
!                                     		new HistoricalAdjustedQuoteProvider());
!       ObjectArchiver.Archive(accountReport,
!                              dirNameWhereToSaveReports + 
!                              fileName + ".qPr");
!       this.saveScriptResults_saveScriptFeaturesToLogFile(fileName);      
!       this.endOfDayTimer.Stop();
!     }
!     
!       
!     #endregion 
  	}
  }
--- 224,277 ----
  			// Update the underlying file.
  			w.Flush();
! 			w.Close();
  		}
  
! 		public override void SaveScriptResults()
! 		{
! 			string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Second.ToString().PadLeft(2,'0') + "_" +
! 				this.scriptName +  "GenOS_" + this.numOfDifferentGenomesToEvaluateOutOfSample +
! 				"_OsDays_" + numDaysForOscillatingPeriod +
! 				"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
! 				"_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
! 				this.numberOfTickersToBeChosen + "GenN°" +
! 				this.generationNumberForGeneticOptimizer +
! 				"PopSize" + this.populationSizeForGeneticOptimizer +
! 				Convert.ToString(this.portfolioType);
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			if( this.PathOfFileContainingGenomes == null )
! 			{
! 				OptimizationOutput optimizationOutput = new OptimizationOutput();
! 				foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 					optimizationOutput.Add(genomeRepresentation);
! 				ObjectArchiver.Archive(optimizationOutput,
! 				                       dirNameWhereToSaveBestGenomes +
! 				                       fileName + ".bgn");
! 			}
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.endOfDayTimer.GetCurrentTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			this.saveScriptResults_saveScriptFeaturesToLogFile(fileName);
! 			this.endOfDayTimer.Stop();
! 		}
! 		
! 		
! 		#endregion
  	}
  }

Index: RunBiasedPVO_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO_OTC.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunBiasedPVO_OTC.cs	9 Mar 2008 22:40:51 -0000	1.2
--- RunBiasedPVO_OTC.cs	19 Aug 2008 17:13:03 -0000	1.3
***************
*** 184,192 ****
  				"PopSize" + this.populationSizeForGeneticOptimizer +
  				Convert.ToString(this.portfolioType);
! 			string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
  				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
  				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
  				"\\" + this.ScriptName + "\\";
        
--- 184,195 ----
  				"PopSize" + this.populationSizeForGeneticOptimizer +
  				Convert.ToString(this.portfolioType);
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
  				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
  				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
  				"\\" + this.ScriptName + "\\";

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm Report.cs, 1.19, 1.20 ReportTabControl.cs, 1.5, 1.6

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:37

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b5_Presentation/Reporting/WindowsForm

Modified Files:
	Report.cs ReportTabControl.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: ReportTabControl.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/ReportTabControl.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** ReportTabControl.cs	6 Feb 2008 23:16:39 -0000	1.5
--- ReportTabControl.cs	19 Aug 2008 17:13:02 -0000	1.6
***************
*** 3,7 ****
  
  ReportTabControl.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  ReportTabControl.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.Runtime.Serialization;
--- 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.Runtime.Serialization;
***************
*** 60,64 ****
  		/// <param name="context"></param>
  		protected ReportTabControl( SerializationInfo info , StreamingContext context ) :
! 							base()
  		{
  			// get the set of serializable members for this class and its base classes
--- 60,64 ----
  		/// <param name="context"></param>
  		protected ReportTabControl( SerializationInfo info , StreamingContext context ) :
! 			base()
  		{
  			// get the set of serializable members for this class and its base classes
***************
*** 68,72 ****
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++) 
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
--- 68,72 ----
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++)
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
***************
*** 76,83 ****
  				{
  					fieldInfo.SetValue( this ,
! 						info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
  				}
  				catch(Exception ex)
! 				{ex = ex;}
  			}
  		}
--- 76,85 ----
  				{
  					fieldInfo.SetValue( this ,
! 					                   info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
  				}
  				catch(Exception ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				}
  			}
  		}
***************
*** 89,101 ****
  		/// <param name="context"></param>
  		void ISerializable.GetObjectData(
! 			SerializationInfo info, StreamingContext context) 
  		{
  			// get the set of serializable members for this class and base classes
  			Type thisType = this.GetType();
! 			MemberInfo[] mi = 
  				FormatterServices.GetSerializableMembers( thisType , context);
  
  			// serialize the fields to the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++) 
  			{
  				info.AddValue(mi[i].Name, ((FieldInfo) mi[i]).GetValue(this));
--- 91,103 ----
  		/// <param name="context"></param>
  		void ISerializable.GetObjectData(
! 			SerializationInfo info, StreamingContext context)
  		{
  			// get the set of serializable members for this class and base classes
  			Type thisType = this.GetType();
! 			MemberInfo[] mi =
  				FormatterServices.GetSerializableMembers( thisType , context);
  
  			// serialize the fields to the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++)
  			{
  				info.AddValue(mi[i].Name, ((FieldInfo) mi[i]).GetValue(this));
***************
*** 110,119 ****
  		/// is to be shown</param>
  		public ReportTabControl( AccountReport accountReport ,
! 			bool showBenchmark )
  		{
  			this.accountReport = accountReport;
  			this.Dock = DockStyle.Fill;
  			this.equityChart = new EquityChartTabPage( this.accountReport ,
! 				showBenchmark );
  			this.Controls.Add( this.equityChart );
  			this.summary = new SummaryTabPage( this.accountReport );
--- 112,121 ----
  		/// is to be shown</param>
  		public ReportTabControl( AccountReport accountReport ,
! 		                        bool showBenchmark )
  		{
  			this.accountReport = accountReport;
  			this.Dock = DockStyle.Fill;
  			this.equityChart = new EquityChartTabPage( this.accountReport ,
! 			                                          showBenchmark );
  			this.Controls.Add( this.equityChart );
  			this.summary = new SummaryTabPage( this.accountReport );

Index: Report.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/Report.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** Report.cs	6 Mar 2008 20:23:04 -0000	1.19
--- Report.cs	19 Aug 2008 17:13:01 -0000	1.20
***************
*** 226,230 ****
          this.saveFileDialog.DefaultExt = "qPr";
          this.saveFileDialog.InitialDirectory = 
!           System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"];
        }
        else if(sender.Text.EndsWith("Account"))
--- 226,230 ----
          this.saveFileDialog.DefaultExt = "qPr";
          this.saveFileDialog.InitialDirectory = 
!           System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"];
        }
        else if(sender.Text.EndsWith("Account"))
***************
*** 234,238 ****
          this.saveFileDialog.DefaultExt = "qPa";
          this.saveFileDialog.InitialDirectory =
!            System.Configuration.ConfigurationSettings.AppSettings["AccountsArchive"];
        }
        else if(sender.Text.EndsWith("Transactions"))
--- 234,238 ----
          this.saveFileDialog.DefaultExt = "qPa";
          this.saveFileDialog.InitialDirectory =
!            System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"];
        }
        else if(sender.Text.EndsWith("Transactions"))

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVO_CTOMain.cs, 1.1, 1.2 PVO_CTOStrategy.cs, 1.1, 1.2 PVO_OTCMain.cs, 1.6, 1.7 PVO_OTCStrategy.cs, 1.5, 1.6 PVO_OTCStrategyLessCorrelated.cs, 1.2, 1.3 PVOMain.cs, 1.5, 1.6 PVOStrategy.cs, 1.5, 1.6 RunPVO.cs, 1.5, 1.6

From: Glauco S. <gla...@us...> - 2008-08-19 17:13:36

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3611/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	PVO_CTOMain.cs PVO_CTOStrategy.cs PVO_OTCMain.cs 
	PVO_OTCStrategy.cs PVO_OTCStrategyLessCorrelated.cs PVOMain.cs 
	PVOStrategy.cs RunPVO.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: PVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOStrategy.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PVOStrategy.cs	14 Aug 2008 23:28:06 -0000	1.5
--- PVOStrategy.cs	19 Aug 2008 17:13:01 -0000	1.6
***************
*** 3,7 ****
  
  PVOStrategy.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  PVOStrategy.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;
  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;
***************
*** 51,108 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the Portfolio Value
!   /// Oscillator
!   /// </summary>
!   [Serializable]
!   public class PVOStrategy : IEndOfDayStrategyForBacktester
!   {
  		public event NewLogItemEventHandler NewLogItem;
  		public event NewMessageEventHandler NewMessage;
  
  		//initialized by the constructor
!   	protected int numberOfTickersToBeChosen;
!     protected int inSampleDays;
!     protected int numDaysBetweenEachOptimization;
!     protected IInSampleChooser inSampleChooser;
!     protected IEligiblesSelector eligiblesSelector;
!     protected Benchmark benchmark;
!     protected HistoricalQuoteProvider historicalQuoteProvider;
!     protected double maxAcceptableCloseToCloseDrawdown;
!     protected double minimumAcceptableGain;
!     protected int numDaysForOscillatingPeriod;
!     //initialized after constructor's call
!     protected int numDaysElapsedSinceLastOptimization;
!     protected ReturnsManager returnsManager;
  		protected TestingPositions[] chosenPVOPositions;
  		//chosen in sample: these are the eligible positions for out
  		//of sample testing
  		protected PVOPositions pvoPositionsForOutOfSample;
!     protected DateTime lastCloseDate;
!     protected bool portfolioHasBeenOverbought;
!     protected bool portfolioHasBeenOversold;
!     protected Account account;
!     public Account Account
  		{
  			get { return this.account; }
!     	set { this.account = value; }
  		}
!     protected bool stopLossConditionReached;
!     protected bool takeProfitConditionReached;
!     protected double currentAccountValue;
!     protected double previousAccountValue;
!     protected double oversoldThreshold;
!     protected double overboughtThreshold;
!     protected double oversoldThresholdMAX;
!     protected double overboughtThresholdMAX;
!      
!     private string description_GetDescriptionForChooser()
!     {
!     	if(this.inSampleChooser == null)
!     		return "ConstantChooser";
!     	else
!     		return this.inSampleChooser.Description;	
!     }
!     
  		public string Description
  		{
--- 51,108 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the Portfolio Value
! 	/// Oscillator
! 	/// </summary>
! 	[Serializable]
! 	public class PVOStrategy : IEndOfDayStrategyForBacktester
! 	{
  		public event NewLogItemEventHandler NewLogItem;
  		public event NewMessageEventHandler NewMessage;
  
  		//initialized by the constructor
! 		protected int numberOfTickersToBeChosen;
! 		protected int inSampleDays;
! 		protected int numDaysBetweenEachOptimization;
! 		protected IInSampleChooser inSampleChooser;
! 		protected IEligiblesSelector eligiblesSelector;
! 		protected Benchmark benchmark;
! 		protected HistoricalQuoteProvider historicalQuoteProvider;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		protected double minimumAcceptableGain;
! 		protected int numDaysForOscillatingPeriod;
! 		//initialized after constructor's call
! 		protected int numDaysElapsedSinceLastOptimization;
! 		protected ReturnsManager returnsManager;
  		protected TestingPositions[] chosenPVOPositions;
  		//chosen in sample: these are the eligible positions for out
  		//of sample testing
  		protected PVOPositions pvoPositionsForOutOfSample;
! 		protected DateTime lastCloseDate;
! 		protected bool portfolioHasBeenOverbought;
! 		protected bool portfolioHasBeenOversold;
! 		protected Account account;
! 		public Account Account
  		{
  			get { return this.account; }
! 			set { this.account = value; }
  		}
! 		protected bool stopLossConditionReached;
! 		protected bool takeProfitConditionReached;
! 		protected double currentAccountValue;
! 		protected double previousAccountValue;
! 		protected double oversoldThreshold;
! 		protected double overboughtThreshold;
! 		protected double oversoldThresholdMAX;
! 		protected double overboughtThresholdMAX;
! 		
! 		private string description_GetDescriptionForChooser()
! 		{
! 			if(this.inSampleChooser == null)
! 				return "ConstantChooser";
! 			else
! 				return this.inSampleChooser.Description;
! 		}
! 		
  		public string Description
  		{
***************
*** 128,143 ****
  
  		private void pvoStrategy(IEligiblesSelector eligiblesSelector,
! 			int inSampleDays,
! 			int numDaysForOscillatingPeriod,
! 			int numberOfTickersToBeChosen,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			double oversoldThresholdMAX,
! 			double overboughtThresholdMAX,
! 			HistoricalQuoteProvider historicalQuoteProvider,
! 			double maxAcceptableCloseToCloseDrawdown,
! 			double minimumAcceptableGain)
  		{
  			this.eligiblesSelector = eligiblesSelector;
--- 128,143 ----
  
  		private void pvoStrategy(IEligiblesSelector eligiblesSelector,
! 		                         int inSampleDays,
! 		                         int numDaysForOscillatingPeriod,
! 		                         int numberOfTickersToBeChosen,
! 		                         Benchmark benchmark,
! 		                         int numDaysBetweenEachOptimization,
! 		                         double oversoldThreshold,
! 		                         double overboughtThreshold,
! 		                         double oversoldThresholdMAX,
! 		                         double overboughtThresholdMAX,
! 		                         HistoricalQuoteProvider historicalQuoteProvider,
! 		                         double maxAcceptableCloseToCloseDrawdown,
! 		                         double minimumAcceptableGain)
  		{
  			this.eligiblesSelector = eligiblesSelector;
***************
*** 150,154 ****
  			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
  			this.minimumAcceptableGain = minimumAcceptableGain;
!       this.oversoldThreshold = oversoldThreshold;
  			this.overboughtThreshold = overboughtThreshold;
  			this.oversoldThresholdMAX = oversoldThresholdMAX;
--- 150,154 ----
  			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
  			this.minimumAcceptableGain = minimumAcceptableGain;
! 			this.oversoldThreshold = oversoldThreshold;
  			this.overboughtThreshold = overboughtThreshold;
  			this.oversoldThresholdMAX = oversoldThresholdMAX;
***************
*** 161,265 ****
  		}
  
!     public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 																IInSampleChooser inSampleChooser,
! 																int inSampleDays,
! 																int numDaysForOscillatingPeriod,
!                                 int numberOfTickersToBeChosen,
!                                 Benchmark benchmark,
! 																int numDaysBetweenEachOptimization,
! 																double oversoldThreshold,
! 																double overboughtThreshold,
! 																double oversoldThresholdMAX,
! 																double overboughtThresholdMAX,
!                                 HistoricalQuoteProvider historicalQuoteProvider,
!                                 double maxAcceptableCloseToCloseDrawdown,
!                                 double minimumAcceptableGain)
!     														
!     {
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 				numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold, overboughtThreshold,
! 				oversoldThresholdMAX, overboughtThresholdMAX,
! 				historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown , 
! 				minimumAcceptableGain );
  			this.inSampleChooser = inSampleChooser;
!     }
! 	
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 			IInSampleChooser inSampleChooser,
! 			int inSampleDays,
! 			int numDaysForOscillatingPeriod,
! 			int numberOfTickersToBeChosen,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			HistoricalQuoteProvider historicalQuoteProvider,
! 			double maxAcceptableCloseToCloseDrawdown,
! 			double minimumAcceptableGain)
!     														
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 				numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold, overboughtThreshold,
! 				double.MaxValue, double.MaxValue,
! 				historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown , 
! 				minimumAcceptableGain );
  			this.inSampleChooser = inSampleChooser;
  		}
  
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 			TestingPositions[] chosenPVOPositions,
! 			int inSampleDays,
! 			int numDaysForOscillatingPeriod,
! 			int numberOfTickersToBeChosen,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			double oversoldThresholdMAX,
! 			double overboughtThresholdMAX,
! 			HistoricalQuoteProvider historicalQuoteProvider,
! 			double maxAcceptableCloseToCloseDrawdown,
! 			double minimumAcceptableGain)
!     														
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 				numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold, overboughtThreshold,
! 				oversoldThresholdMAX, overboughtThresholdMAX,
! 				historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown , 
! 				minimumAcceptableGain );
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 			TestingPositions[] chosenPVOPositions,
! 			int inSampleDays,
! 			int numDaysForOscillatingPeriod,
! 			int numberOfTickersToBeChosen,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			HistoricalQuoteProvider historicalQuoteProvider,
! 			double maxAcceptableCloseToCloseDrawdown,
! 			double minimumAcceptableGain)
!     														
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 				numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 				oversoldThreshold, overboughtThreshold,
! 				double.MaxValue , double.MaxValue ,
! 				historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown , 
! 				minimumAcceptableGain );
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  
!     public virtual void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	;
!     }
  
  		public void FiveMinutesBeforeMarketCloseEventHandler(
--- 161,265 ----
  		}
  
! 		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 		                   IInSampleChooser inSampleChooser,
! 		                   int inSampleDays,
! 		                   int numDaysForOscillatingPeriod,
! 		                   int numberOfTickersToBeChosen,
! 		                   Benchmark benchmark,
! 		                   int numDaysBetweenEachOptimization,
! 		                   double oversoldThreshold,
! 		                   double overboughtThreshold,
! 		                   double oversoldThresholdMAX,
! 		                   double overboughtThresholdMAX,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
! 		                   double maxAcceptableCloseToCloseDrawdown,
! 		                   double minimumAcceptableGain)
! 			
! 		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 			                 numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 			                 oversoldThreshold, overboughtThreshold,
! 			                 oversoldThresholdMAX, overboughtThresholdMAX,
! 			                 historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown ,
! 			                 minimumAcceptableGain );
  			this.inSampleChooser = inSampleChooser;
! 		}
! 		
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 		                   IInSampleChooser inSampleChooser,
! 		                   int inSampleDays,
! 		                   int numDaysForOscillatingPeriod,
! 		                   int numberOfTickersToBeChosen,
! 		                   Benchmark benchmark,
! 		                   int numDaysBetweenEachOptimization,
! 		                   double oversoldThreshold,
! 		                   double overboughtThreshold,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
! 		                   double maxAcceptableCloseToCloseDrawdown,
! 		                   double minimumAcceptableGain)
! 			
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 			                 numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 			                 oversoldThreshold, overboughtThreshold,
! 			                 double.MaxValue, double.MaxValue,
! 			                 historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown ,
! 			                 minimumAcceptableGain );
  			this.inSampleChooser = inSampleChooser;
  		}
  
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 		                   TestingPositions[] chosenPVOPositions,
! 		                   int inSampleDays,
! 		                   int numDaysForOscillatingPeriod,
! 		                   int numberOfTickersToBeChosen,
! 		                   Benchmark benchmark,
! 		                   int numDaysBetweenEachOptimization,
! 		                   double oversoldThreshold,
! 		                   double overboughtThreshold,
! 		                   double oversoldThresholdMAX,
! 		                   double overboughtThresholdMAX,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
! 		                   double maxAcceptableCloseToCloseDrawdown,
! 		                   double minimumAcceptableGain)
! 			
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 			                 numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 			                 oversoldThreshold, overboughtThreshold,
! 			                 oversoldThresholdMAX, overboughtThresholdMAX,
! 			                 historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown ,
! 			                 minimumAcceptableGain );
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  
  		public PVOStrategy(IEligiblesSelector eligiblesSelector,
! 		                   TestingPositions[] chosenPVOPositions,
! 		                   int inSampleDays,
! 		                   int numDaysForOscillatingPeriod,
! 		                   int numberOfTickersToBeChosen,
! 		                   Benchmark benchmark,
! 		                   int numDaysBetweenEachOptimization,
! 		                   double oversoldThreshold,
! 		                   double overboughtThreshold,
! 		                   HistoricalQuoteProvider historicalQuoteProvider,
! 		                   double maxAcceptableCloseToCloseDrawdown,
! 		                   double minimumAcceptableGain)
! 			
  		{
  			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
! 			                 numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
! 			                 oversoldThreshold, overboughtThreshold,
! 			                 double.MaxValue , double.MaxValue ,
! 			                 historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown ,
! 			                 minimumAcceptableGain );
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  
! 		public virtual void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			;
! 		}
  
  		public void FiveMinutesBeforeMarketCloseEventHandler(
***************
*** 273,464 ****
  		}
  
!     #region MarketCloseEventHandler
!     //forOutOfSampleTesting
  		protected virtual EndOfDayDateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
  		{
  			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-this.numDaysForOscillatingPeriod]["quDate"],
! 				EndOfDaySpecificTime.MarketClose );
  		}
  
!     private void marketCloseEventHandler_reverseIfNeeded_reverse(PVOPositionsStatus currentStatus)
!     {
!     	if(currentStatus == PVOPositionsStatus.Overbought)
!     	{
!     		this.portfolioHasBeenOversold = false;
!   			this.portfolioHasBeenOverbought = true;
!     	}
!     	else if(currentStatus == PVOPositionsStatus.Oversold)
!     	{
!     		this.portfolioHasBeenOversold = true;
!   			this.portfolioHasBeenOverbought = false;
!     	}
!     	AccountManager.ReversePositions(this.account);
!     	this.previousAccountValue = this.account.GetMarketValue();
!     }
  
!     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,
  				                                          double.MaxValue, double.MaxValue);
!   		if(pvoPositionsStatus == PVOPositionsStatus.Overbought &&
!     	   this.portfolioHasBeenOversold)
!   		//open positions derive from an overSold period but now
!   		//the overbought threshold has been reached
!   		   		this.marketCloseEventHandler_reverseIfNeeded_reverse(pvoPositionsStatus);
!   		
!   		if(pvoPositionsStatus == PVOPositionsStatus.Oversold &&
!     	   this.portfolioHasBeenOverbought)
!   		//open positions derive from an overBought period but now
!   		//the overSold threshold has been reached
!   					this.marketCloseEventHandler_reverseIfNeeded_reverse(pvoPositionsStatus);
!     }
!     private PVOPositionsStatus marketCloseEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
!     {
!     	EndOfDayDateTime today = timer.GetCurrentTime();
!     	EndOfDayDateTime beginOfOscillatingPeriod =
!     		this.getBeginOfOscillatingPeriod(timer);
!     	PVOPositionsStatus currentStatus = 
!     		PVOPositionsStatus.InTheMiddle;
!     	for(int i = 0; i<this.chosenPVOPositions.Length; i++)
!     	{
!     		if(this.chosenPVOPositions[i] != null)
!     			currentStatus = 
!     				((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
!     				                                     this.benchmark.Ticker, this.historicalQuoteProvider,
!     				                                     double.MaxValue, double.MaxValue);
!     		if(currentStatus == PVOPositionsStatus.Oversold ||
!     		   currentStatus == PVOPositionsStatus.Overbought )
!     		{	
  					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
  					i = this.chosenPVOPositions.Length;//exit from for
  				}
!      	}
!     		return currentStatus;
!     }
!     
!     protected void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
!     {
!       PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
!       if(timer.CurrentDateArrayPosition >= this.numDaysForOscillatingPeriod)
!       	pvoPositionsStatus = 
!       		this.marketCloseEventHandler_openPositions_getStatus(timer);
  			switch (pvoPositionsStatus){
!         case PVOPositionsStatus.Overbought:
!     		{
!     			#region manage Overbought case
!       		this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
!           try{
!             AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
!           	                            	this.account );
!             this.portfolioHasBeenOverbought = true;
!           	this.portfolioHasBeenOversold = false;
!           	this.previousAccountValue = this.account.GetMarketValue();
!           }
!           catch(Exception ex){
!             ex = ex;
!           }
!           finally{
!             this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
!           }
!       		#endregion
!       		break;
!     		}
!         case PVOPositionsStatus.Oversold:
!         {
!     			#region manage Oversold case
!       		AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
!           	                            this.account );
!           this.portfolioHasBeenOverbought = false;
!           this.portfolioHasBeenOversold = true;
!           this.previousAccountValue = this.account.GetMarketValue();
!           #endregion
!           break;
!     		}
!         case PVOPositionsStatus.InTheMiddle://that is
!       	{  //pvoPositionsForOutOfSample has not been set
!       		
!           this.previousAccountValue = this.account.GetMarketValue();
! 					break;
!       	}
  				default:
!         {
!       		//it should never been reached
!           this.previousAccountValue = this.account.GetMarketValue();
! 					break;
!       	}
!       }
!     }
!     
!     protected virtual void marketCloseEventHandler_closePositionsIfNeeded()
!     {
!       if(this.stopLossConditionReached ||
!     	   this.takeProfitConditionReached ||
!          this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
!       {    
!     		AccountManager.ClosePositions(this.account);
!         this.portfolioHasBeenOverbought = false;
!         this.portfolioHasBeenOversold = false;
!       }
!     }    
!     
!     protected virtual void marketCloseEventHandler_updateStopLossAndTakeProfitConditions()
!     {
!       //this.previousAccountValue has been set at opening positions
!       this.stopLossConditionReached = false;
!       this.takeProfitConditionReached = false;
!       this.currentAccountValue = this.account.GetMarketValue();
!       double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
!            													/this.previousAccountValue;
!       
!       if(!double.IsInfinity(portfolioGainOrLoss) &&
!          portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
!       {
!         this.stopLossConditionReached = true;
!         this.takeProfitConditionReached = false;
!       }
!       else if (!double.IsInfinity(portfolioGainOrLoss) &&
!       				 portfolioGainOrLoss >= this.minimumAcceptableGain )
!                
!       {
!         this.stopLossConditionReached = false;
!         this.takeProfitConditionReached = true;
!       }
!     }
!     
!     public virtual void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	try{
! 	    	this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
! 	      //this.marketCloseEventHandler_closePositionsIfNeeded();
! 	      if( this.chosenPVOPositions != null )
! 	      //PVOPositions have been chosen by the chooser
! 	      {
! 	      	if(this.account.Portfolio.Count == 0)
! 	      			this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
! 	        		//positions are opened only if thresholds are reached
! 	      	else//there are some opened positions
! 							this.marketCloseEventHandler_closePositionsIfNeeded();
! 	            //this.marketCloseEventHandler_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
! 	      }
!     	}
!     	catch(TickerNotExchangedException ex)
!     	{ex=ex;}
!     }
  
!     #endregion
!  
!     #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);
  		}
  
--- 273,468 ----
  		}
  
! 		#region MarketCloseEventHandler
! 		//forOutOfSampleTesting
  		protected virtual EndOfDayDateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
  		{
  			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-this.numDaysForOscillatingPeriod]["quDate"],
! 			                            EndOfDaySpecificTime.MarketClose );
  		}
  
! 		private void marketCloseEventHandler_reverseIfNeeded_reverse(PVOPositionsStatus currentStatus)
! 		{
! 			if(currentStatus == PVOPositionsStatus.Overbought)
! 			{
! 				this.portfolioHasBeenOversold = false;
! 				this.portfolioHasBeenOverbought = true;
! 			}
! 			else if(currentStatus == PVOPositionsStatus.Oversold)
! 			{
! 				this.portfolioHasBeenOversold = true;
! 				this.portfolioHasBeenOverbought = false;
! 			}
! 			AccountManager.ReversePositions(this.account);
! 			this.previousAccountValue = this.account.GetMarketValue();
! 		}
  
! 		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,
  				                                          double.MaxValue, double.MaxValue);
! 			if(pvoPositionsStatus == PVOPositionsStatus.Overbought &&
! 			   this.portfolioHasBeenOversold)
! 				//open positions derive from an overSold period but now
! 				//the overbought threshold has been reached
! 				this.marketCloseEventHandler_reverseIfNeeded_reverse(pvoPositionsStatus);
! 			
! 			if(pvoPositionsStatus == PVOPositionsStatus.Oversold &&
! 			   this.portfolioHasBeenOverbought)
! 				//open positions derive from an overBought period but now
! 				//the overSold threshold has been reached
! 				this.marketCloseEventHandler_reverseIfNeeded_reverse(pvoPositionsStatus);
! 		}
! 		private PVOPositionsStatus marketCloseEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
! 		{
! 			EndOfDayDateTime today = timer.GetCurrentTime();
! 			EndOfDayDateTime beginOfOscillatingPeriod =
! 				this.getBeginOfOscillatingPeriod(timer);
! 			PVOPositionsStatus currentStatus =
! 				PVOPositionsStatus.InTheMiddle;
! 			for(int i = 0; i<this.chosenPVOPositions.Length; i++)
! 			{
! 				if(this.chosenPVOPositions[i] != null)
! 					currentStatus =
! 						((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
! 						                                                     this.benchmark.Ticker, this.historicalQuoteProvider,
! 						                                                     double.MaxValue, double.MaxValue);
! 				if(currentStatus == PVOPositionsStatus.Oversold ||
! 				   currentStatus == PVOPositionsStatus.Overbought )
! 				{
  					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
  					i = this.chosenPVOPositions.Length;//exit from for
  				}
! 			}
! 			return currentStatus;
! 		}
! 		
! 		protected void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
! 		{
! 			PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
! 			if(timer.CurrentDateArrayPosition >= this.numDaysForOscillatingPeriod)
! 				pvoPositionsStatus =
! 					this.marketCloseEventHandler_openPositions_getStatus(timer);
  			switch (pvoPositionsStatus){
! 				case PVOPositionsStatus.Overbought:
! 					{
! 						#region manage Overbought case
! 						this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
! 						try{
! 							AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
! 							                             this.account );
! 							this.portfolioHasBeenOverbought = true;
! 							this.portfolioHasBeenOversold = false;
! 							this.previousAccountValue = this.account.GetMarketValue();
! 						}
! 						catch(Exception ex)
! 						{
! 							string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 						}
! 
! 						finally{
! 							this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
! 						}
! 						#endregion
! 						break;
! 					}
! 				case PVOPositionsStatus.Oversold:
! 					{
! 						#region manage Oversold case
! 						AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
! 						                             this.account );
! 						this.portfolioHasBeenOverbought = false;
! 						this.portfolioHasBeenOversold = true;
! 						this.previousAccountValue = this.account.GetMarketValue();
! 						#endregion
! 						break;
! 					}
! 				case PVOPositionsStatus.InTheMiddle://that is
! 					{  //pvoPositionsForOutOfSample has not been set
! 						
! 						this.previousAccountValue = this.account.GetMarketValue();
! 						break;
! 					}
  				default:
! 					{
! 						//it should never been reached
! 						this.previousAccountValue = this.account.GetMarketValue();
! 						break;
! 					}
! 			}
! 		}
! 		
! 		protected virtual void marketCloseEventHandler_closePositionsIfNeeded()
! 		{
! 			if(this.stopLossConditionReached ||
! 			   this.takeProfitConditionReached ||
! 			   this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
! 			{
! 				AccountManager.ClosePositions(this.account);
! 				this.portfolioHasBeenOverbought = false;
! 				this.portfolioHasBeenOversold = false;
! 			}
! 		}
! 		
! 		protected virtual void marketCloseEventHandler_updateStopLossAndTakeProfitConditions()
! 		{
! 			//this.previousAccountValue has been set at opening positions
! 			this.stopLossConditionReached = false;
! 			this.takeProfitConditionReached = false;
! 			this.currentAccountValue = this.account.GetMarketValue();
! 			double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
! 				/this.previousAccountValue;
! 			
! 			if(!double.IsInfinity(portfolioGainOrLoss) &&
! 			   portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
! 			{
! 				this.stopLossConditionReached = true;
! 				this.takeProfitConditionReached = false;
! 			}
! 			else if (!double.IsInfinity(portfolioGainOrLoss) &&
! 			         portfolioGainOrLoss >= this.minimumAcceptableGain )
! 				
! 			{
! 				this.stopLossConditionReached = false;
! 				this.takeProfitConditionReached = true;
! 			}
! 		}
! 		
! 		public virtual void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			try{
! 				this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
! 				//this.marketCloseEventHandler_closePositionsIfNeeded();
! 				if( this.chosenPVOPositions != null )
! 					//PVOPositions have been chosen by the chooser
! 				{
! 					if(this.account.Portfolio.Count == 0)
! 						this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
! 					//positions are opened only if thresholds are reached
! 					else//there are some opened positions
! 						this.marketCloseEventHandler_closePositionsIfNeeded();
! 					//this.marketCloseEventHandler_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
! 				}
! 			}
! 			catch(TickerNotExchangedException ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 		}
  
! 		#endregion
! 		
! 		#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);
  		}
  
***************
*** 471,491 ****
  			logItem.NumberOfEligibleTickers =
  				eligibleTickers.Count;
! 			logItem.FitnessOfFirst = 
  				this.chosenPVOPositions[0].FitnessInSample;
! 			logItem.FitnessOfLast = 
  				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].FitnessInSample;
! 			logItem.GenerationOfFirst = 
  				((IGeneticallyOptimizable)this.chosenPVOPositions[0]).Generation;
! 			logItem.GenerationOfLast = 
  				((IGeneticallyOptimizable)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).Generation;
! 			logItem.ThresholdsOfFirst = 
  				((PVOPositions)this.chosenPVOPositions[0]).OversoldThreshold.ToString() + ";" +
  				((PVOPositions)this.chosenPVOPositions[0]).OverboughtThreshold.ToString();
! 			logItem.ThresholdsOfLast = 
  				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OversoldThreshold.ToString() + ";" +
  				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OverboughtThreshold.ToString();
! 			logItem.TickersOfFirst = 
  				this.chosenPVOPositions[0].HashCodeForTickerComposition;
! 			logItem.TickersOfLast = 
  				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].HashCodeForTickerComposition;
  			return logItem;
--- 475,495 ----
  			logItem.NumberOfEligibleTickers =
  				eligibleTickers.Count;
! 			logItem.FitnessOfFirst =
  				this.chosenPVOPositions[0].FitnessInSample;
! 			logItem.FitnessOfLast =
  				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].FitnessInSample;
! 			logItem.GenerationOfFirst =
  				((IGeneticallyOptimizable)this.chosenPVOPositions[0]).Generation;
! 			logItem.GenerationOfLast =
  				((IGeneticallyOptimizable)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).Generation;
! 			logItem.ThresholdsOfFirst =
  				((PVOPositions)this.chosenPVOPositions[0]).OversoldThreshold.ToString() + ";" +
  				((PVOPositions)this.chosenPVOPositions[0]).OverboughtThreshold.ToString();
! 			logItem.ThresholdsOfLast =
  				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OversoldThreshold.ToString() + ";" +
  				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OverboughtThreshold.ToString();
! 			logItem.TickersOfFirst =
  				this.chosenPVOPositions[0].HashCodeForTickerComposition;
! 			logItem.TickersOfLast =
  				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].HashCodeForTickerComposition;
  			return logItem;
***************
*** 524,536 ****
  		}
  
!     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,
--- 528,540 ----
  		}
  
! 		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,
***************
*** 540,566 ****
  			this.updateTestingPositions_updateThresholds();
  			this.logOptimizationInfo(eligibles);
!     }
!     
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <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 == 
!             this.numDaysBetweenEachOptimization))
!       //num days without optimization has elapsed
!       {
!         this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!         //sets tickers to be chosen next Market Close event
!         this.numDaysElapsedSinceLastOptimization = 0;
!       }
! 		      
!     }
  		#endregion
!   }
  }
--- 544,570 ----
  			this.updateTestingPositions_updateThresholds();
  			this.logOptimizationInfo(eligibles);
! 		}
! 		
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <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 ==
! 			    this.numDaysBetweenEachOptimization))
! 				//num days without optimization has elapsed
! 			{
! 				this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
! 				//sets tickers to be chosen next Market Close event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			
! 		}
  		#endregion
! 	}
  }

Index: PVO_OTCMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCMain.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** PVO_OTCMain.cs	14 Aug 2008 23:28:06 -0000	1.6
--- PVO_OTCMain.cs	19 Aug 2008 17:12:59 -0000	1.7
***************
*** 208,212 ****
  		{
  			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				System.Configuration.ConfigurationSettings.AppSettings["LogArchive"];
  			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
  		}
--- 208,212 ----
  		{
  			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				System.Configuration.ConfigurationManager.AppSettings["LogArchive"];
  			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
  		}

Index: PVO_OTCStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCStrategy.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PVO_OTCStrategy.cs	14 Aug 2008 23:28:06 -0000	1.5
--- PVO_OTCStrategy.cs	19 Aug 2008 17:13:00 -0000	1.6
***************
*** 3,7 ****
  
  PVO_OTCStrategy.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  PVO_OTCStrategy.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;
  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;
***************
*** 52,104 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the Portfolio Value
!   /// Oscillator
!   /// </summary>
!   [Serializable]
!   public class PVO_OTCStrategy : IEndOfDayStrategyForBacktester
!   {
  		public event NewLogItemEventHandler NewLogItem;
  		public event NewMessageEventHandler NewMessage;
  
  		//initialized by the constructor
!   	protected int inSampleDays;
!     protected int numDaysBetweenEachOptimization;
!     protected IInSampleChooser inSampleChooser;
!     protected IEligiblesSelector eligiblesSelector;
!     protected Benchmark benchmark;
!     protected HistoricalQuoteProvider historicalQuoteProvider;
!     protected double oversoldThreshold;
!     protected double overboughtThreshold;
!     protected double oversoldThresholdMAX;
!     protected double overboughtThresholdMAX;
!     //initialized after constructor's call
!     protected int numDaysElapsedSinceLastOptimization;
!     protected ReturnsManager returnsManager;
  		protected TestingPositions[] chosenPVOPositions;
  		//chosen in sample: these are the eligible positions for out
  		//of sample testing
  		protected PVOPositions pvoPositionsForOutOfSample;
!     protected DateTime lastCloseDate;
  		protected DateTime lastOptimizationDateTime;
!     protected Account account;
!     public Account Account
  		{
!     	get { return this.account; }
!     	set { this.account = value; }
  		}
!     private int numOfClosingsToCrossBeforeExit;
!     private int numOfClosingsWithOpenPositions;
!     private int minimumNumberOfEligiblesForValidOptimization;
!     private bool optimalPositionsHaveBeenUpdated;
!     
!     private string description_GetDescriptionForChooser()
!     {
!     	if(this.inSampleChooser == null)
!     		return "ConstantChooser";
!     	else
!     		return this.inSampleChooser.Description;	
!     }
!     
  		public string Description
  		{
--- 52,104 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the Portfolio Value
! 	/// Oscillator
! 	/// </summary>
! 	[Serializable]
! 	public class PVO_OTCStrategy : IEndOfDayStrategyForBacktester
! 	{
  		public event NewLogItemEventHandler NewLogItem;
  		public event NewMessageEventHandler NewMessage;
  
  		//initialized by the constructor
! 		protected int inSampleDays;
! 		protected int numDaysBetweenEachOptimization;
! 		protected IInSampleChooser inSampleChooser;
! 		protected IEligiblesSelector eligiblesSelector;
! 		protected Benchmark benchmark;
! 		protected HistoricalQuoteProvider historicalQuoteProvider;
! 		protected double oversoldThreshold;
! 		protected double overboughtThreshold;
! 		protected double oversoldThresholdMAX;
! 		protected double overboughtThresholdMAX;
! 		//initialized after constructor's call
! 		protected int numDaysElapsedSinceLastOptimization;
! 		protected ReturnsManager returnsManager;
  		protected TestingPositions[] chosenPVOPositions;
  		//chosen in sample: these are the eligible positions for out
  		//of sample testing
  		protected PVOPositions pvoPositionsForOutOfSample;
! 		protected DateTime lastCloseDate;
  		protected DateTime lastOptimizationDateTime;
! 		protected Account account;
! 		public Account Account
  		{
! 			get { return this.account; }
! 			set { this.account = value; }
  		}
! 		private int numOfClosingsToCrossBeforeExit;
! 		private int numOfClosingsWithOpenPositions;
! 		private int minimumNumberOfEligiblesForValidOptimization;
! 		private bool optimalPositionsHaveBeenUpdated;
! 		
! 		private string description_GetDescriptionForChooser()
! 		{
! 			if(this.inSampleChooser == null)
! 				return "ConstantChooser";
! 			else
! 				return this.inSampleChooser.Description;
! 		}
! 		
  		public string Description
  		{
***************
*** 127,140 ****
  
  		private void pvo_otcStrategy(IEligiblesSelector eligiblesSelector,
! 			int minimumNumberOfEligiblesForValidOptimization,
! 		  int inSampleDays,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			int numOfClosingsToCrossBeforeExit,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			double oversoldThresholdMAX,
! 			double overboughtThresholdMAX,
! 			HistoricalQuoteProvider historicalQuoteProvider)
  		{
  			this.numOfClosingsWithOpenPositions = 0;
--- 127,140 ----
  
  		private void pvo_otcStrategy(IEligiblesSelector eligiblesSelector,
! 		                             int minimumNumberOfEligiblesForValidOptimization,
! 		                             int inSampleDays,
! 		                             Benchmark benchmark,
! 		                             int numDaysBetweenEachOptimization,
! 		                             int numOfClosingsToCrossBeforeExit,
! 		                             double oversoldThreshold,
! 		                             double overboughtThreshold,
! 		                             double oversoldThresholdMAX,
! 		                             double overboughtThresholdMAX,
! 		                             HistoricalQuoteProvider historicalQuoteProvider)
  		{
  			this.numOfClosingsWithOpenPositions = 0;
***************
*** 154,238 ****
  		}
  
!     public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 		                       			int minimumNumberOfEligiblesForValidOptimization,
! 																IInSampleChooser inSampleChooser,
! 																int inSampleDays,
! 																Benchmark benchmark,
! 																int numDaysBetweenEachOptimization,
! 																int numOfClosingsToCrossBeforeExit,
! 																double oversoldThreshold,
! 																double overboughtThreshold,
! 																double oversoldThresholdMAX,
! 																double overboughtThresholdMAX,
!                                 HistoricalQuoteProvider historicalQuoteProvider)
!     														
!     {
! 			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization, 
! 			  inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsToCrossBeforeExit, oversoldThreshold, overboughtThreshold,
! 				oversoldThresholdMAX, overboughtThresholdMAX,
! 				historicalQuoteProvider);
  			this.inSampleChooser = inSampleChooser;
!     }
! 	 	
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 	                     			int minimumNumberOfEligiblesForValidOptimization,
! 														IInSampleChooser inSampleChooser,
! 														int inSampleDays,
! 														Benchmark benchmark,
! 														int numDaysBetweenEachOptimization,
! 														int numOfClosingsToCrossBeforeExit,
! 														double oversoldThreshold,
! 														double overboughtThreshold,
! 	                          HistoricalQuoteProvider historicalQuoteProvider)
!     														
!     {
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			  inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsToCrossBeforeExit, oversoldThreshold, overboughtThreshold,
! 				double.MaxValue, double.MaxValue,
! 				historicalQuoteProvider);
  			this.inSampleChooser = inSampleChooser;
!     }
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 			int minimumNumberOfEligiblesForValidOptimization,
! 			TestingPositions[] chosenPVOPositions,
! 			int inSampleDays,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			int numOfClosingsToCrossBeforeExit,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			double oversoldThresholdMAX,
! 			double overboughtThresholdMAX,
! 			HistoricalQuoteProvider historicalQuoteProvider)
!     														
  		{
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			  inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsToCrossBeforeExit,
! 				oversoldThreshold, overboughtThreshold,
! 				oversoldThresholdMAX, overboughtThresholdMAX,
! 				historicalQuoteProvider);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 			int minimumNumberOfEligiblesForValidOptimization,
! 			TestingPositions[] chosenPVOPositions,
! 			int inSampleDays,
! 			Benchmark benchmark,
! 			int numDaysBetweenEachOptimization,
! 			int numOfClosingsToCrossBeforeExit,
! 			double oversoldThreshold,
! 			double overboughtThreshold,
! 			HistoricalQuoteProvider historicalQuoteProvider)
!     														
  		{
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			  inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 				numOfClosingsToCrossBeforeExit,
! 				oversoldThreshold, overboughtThreshold,
! 				double.MaxValue, double.MaxValue,
! 				historicalQuoteProvider);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
--- 154,238 ----
  		}
  
! 		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       IInSampleChooser inSampleChooser,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       int numOfClosingsToCrossBeforeExit,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       double oversoldThresholdMAX,
! 		                       double overboughtThresholdMAX,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
! 			
! 		{
! 			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     numOfClosingsToCrossBeforeExit, oversoldThreshold, overboughtThreshold,
! 			                     oversoldThresholdMAX, overboughtThresholdMAX,
! 			                     historicalQuoteProvider);
  			this.inSampleChooser = inSampleChooser;
! 		}
! 		
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       IInSampleChooser inSampleChooser,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       int numOfClosingsToCrossBeforeExit,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
! 			
! 		{
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     numOfClosingsToCrossBeforeExit, oversoldThreshold, overboughtThreshold,
! 			                     double.MaxValue, double.MaxValue,
! 			                     historicalQuoteProvider);
  			this.inSampleChooser = inSampleChooser;
! 		}
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       TestingPositions[] chosenPVOPositions,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       int numOfClosingsToCrossBeforeExit,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       double oversoldThresholdMAX,
! 		                       double overboughtThresholdMAX,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
! 			
  		{
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     numOfClosingsToCrossBeforeExit,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     oversoldThresholdMAX, overboughtThresholdMAX,
! 			                     historicalQuoteProvider);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
  		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
! 		                       int minimumNumberOfEligiblesForValidOptimization,
! 		                       TestingPositions[] chosenPVOPositions,
! 		                       int inSampleDays,
! 		                       Benchmark benchmark,
! 		                       int numDaysBetweenEachOptimization,
! 		                       int numOfClosingsToCrossBeforeExit,
! 		                       double oversoldThreshold,
! 		                       double overboughtThreshold,
! 		                       HistoricalQuoteProvider historicalQuoteProvider)
! 			
  		{
  			this.pvo_otcStrategy(eligiblesSelector, minimumNumberOfEligiblesForValidOptimization,
! 			                     inSampleDays , benchmark , numDaysBetweenEachOptimization ,
! 			                     numOfClosingsToCrossBeforeExit,
! 			                     oversoldThreshold, overboughtThreshold,
! 			                     double.MaxValue, double.MaxValue,
! 			                     historicalQuoteProvider);
  			this.chosenPVOPositions = chosenPVOPositions;
  		}
***************
*** 244,273 ****
  		{
  			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"],
! 				EndOfDaySpecificTime.MarketClose );
  		}
  		
  		private PVOPositionsStatus marketOpenEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
!     {
!     	EndOfDayDateTime today = timer.GetCurrentTime();
!     	EndOfDayDateTime beginOfOscillatingPeriod =
!     		this.getBeginOfOscillatingPeriod(timer);
!     	PVOPositionsStatus currentStatus = 
!     		PVOPositionsStatus.InTheMiddle;
!     	for(int i = 0; i<this.chosenPVOPositions.Length; i++)
!     	{
!     		if(this.chosenPVOPositions[i] != null)
!     			currentStatus = 
!     				((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
!     				                                     this.benchmark.Ticker, this.historicalQuoteProvider,
!     				                                     this.oversoldThresholdMAX, this.overboughtThresholdMAX);
!     		if(currentStatus == PVOPositionsStatus.Oversold ||
!     		   currentStatus == PVOPositionsStatus.Overbought )
!     		{	
  					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
  					i = this.chosenPVOPositions.Length;//exit from for
  				}
!      	}
!     		return currentStatus;
!     }
  		
  		protected void marketOpenEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
--- 244,273 ----
  		{
  			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"],
! 			                            EndOfDaySpecificTime.MarketClose );
  		}
  		
  		private PVOPositionsStatus marketOpenEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
! 		{
! 			EndOfDayDateTime today = timer.GetCurrentTime();
! 			EndOfDayDateTime beginOfOscillatingPeriod =
! 				this.getBeginOfOscillatingPeriod(timer);
! 			PVOPositionsStatus currentStatus =
! 				PVOPositionsStatus.InTheMiddle;
! 			for(int i = 0; i<this.chosenPVOPositions.Length; i++)
! 			{
! 				if(this.chosenPVOPositions[i] != null)
! 					currentStatus =
! 						((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
! 						                                                     this.benchmark.Ticker, this.historicalQuoteProvider,
! 						                                                     this.oversoldThresholdMAX, this.overboughtThresholdMAX);
! 				if(currentStatus == PVOPositionsStatus.Oversold ||
! 				   currentStatus == PVOPositionsStatus.Overbought )
! 				{
  					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
  					i = this.chosenPVOPositions.Length;//exit from for
  				}
! 			}
! 			return currentStatus;
! 		}
  		
  		protected void marketOpenEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
***************
*** 275,329 ****
  			PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
  			if(timer.CurrentDateArrayPosition >= 1)
! 				pvoPositionsStatus = 
  					this.marketOpenEventHandler_openPositions_getStatus(timer);
  			switch (pvoPositionsStatus)
  			{
  				case PVOPositionsStatus.Overbought:
- 				{
-     			#region manage Overbought case
- 					this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
- 					try
- 					{
- 						AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
- 							this.account );
- 					}
- 					catch(Exception ex)
- 					{
- 						ex = ex;
- 					}
- 					finally
  					{
  						this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
  					}
-       		#endregion
- 					break;
- 				}
  				case PVOPositionsStatus.Oversold:
! 				{
!     			AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
! 						this.account );
! 					break;
! 				}
  				case PVOPositionsStatus.InTheMiddle://that is
! 				{  //pvoPositionsForOutOfSample has not been set
!       		
! 					break;
! 				}
  				default:
! 				{
! 					//it should never been reached
! 					break;
! 				}
  			}
  		}
  
!     public virtual void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
  			if ( this.account.Portfolio.Count == 0 &&
! 					 this.chosenPVOPositions != null && 
! 					 this.optimalPositionsHaveBeenUpdated == true)
! 					//portfolio is empty and optimization has
! 				  //been already successfully launched
  			{
  				try{
--- 275,329 ----
  			PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
  			if(timer.CurrentDateArrayPosition >= 1)
! 				pvoPositionsStatus =
  					this.marketOpenEventHandler_openPositions_getStatus(timer);
  			switch (pvoPositionsStatus)
  			{
  				case PVOPositionsStatus.Overbought:
  					{
+ 						#region manage Overbought case
  						this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
+ 						try
+ 						{
+ 							AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
+ 							                             this.account );
+ 						}
+ 						catch(Exception ex)
+ 						{
+ 							string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
+ 						}
+ 						finally
+ 						{
+ 							this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
+ 						}
+ 						#endregion
+ 						break;
  					}
  				case PVOPositionsStatus.Oversold:
! 					{
! 						AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
! 						                             this.account );
! 						break;
! 					}
  				case PVOPositionsStatus.InTheMiddle://that is
! 					{  //pvoPositionsForOutOfSample has not been set
! 						
! 						break;
! 					}
  				default:
! 					{
! 						//it should never been reached
! 						break;
! 					}
  			}
  		}
  
! 		public virtual void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
  			if ( this.account.Portfolio.Count == 0 &&
! 			    this.chosenPVOPositions != null &&
! 			    this.optimalPositionsHaveBeenUpdated == true)
! 				//portfolio is empty and optimization has
! 				//been already successfully launched
  			{
  				try{
***************
*** 331,337 ****
...
 
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