quantproject-developers

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

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

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

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

Index: RunBestAndWorstFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst/RunBestAndWorstFollower.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunBestAndWorstFollower.cs	14 Jan 2008 23:43:47 -0000	1.2
--- RunBestAndWorstFollower.cs	19 Aug 2008 17:13:03 -0000	1.3
***************
*** 156,160 ****
        	"_Short_" + this.numOfTickersForShortSelling +
  				"_lenInDays_" + this.lengthInDaysForPerformance;
!       string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
          "\\" + this.scriptName + "\\";
            
--- 156,161 ----
        	"_Short_" + this.numOfTickersForShortSelling +
  				"_lenInDays_" + this.lengthInDaysForPerformance;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
          "\\" + this.scriptName + "\\";
            

[Quantproject-developers] QuantProject/b5_Presentation Presentation_SD.csproj, 1.5, 1.6 VisualObjectArchiver.cs, 1.3, 1.4

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

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

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

Index: VisualObjectArchiver.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/VisualObjectArchiver.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** VisualObjectArchiver.cs	27 Feb 2008 22:29:39 -0000	1.3
--- VisualObjectArchiver.cs	19 Aug 2008 17:12:59 -0000	1.4
***************
*** 91,95 ****
  		{
  			this.Save( obj , suffix , title , title ,
! 				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
  		}
  		private string getPath( string title , string suffix )
--- 91,95 ----
  		{
  			this.Save( obj , suffix , title , title ,
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] );
  		}
  		private string getPath( string title , string suffix )
***************
*** 113,117 ****
  		{
  			return this.load( suffix , title ,
! 				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
  		}
  		public object Load( string suffix , string title , string initialDirectory )
--- 113,117 ----
  		{
  			return this.load( suffix , title ,
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] );
  		}
  		public object Load( string suffix , string title , string initialDirectory )

Index: Presentation_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Presentation_SD.csproj,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** Presentation_SD.csproj	16 Mar 2008 20:14:31 -0000	1.5
--- Presentation_SD.csproj	19 Aug 2008 17:12:59 -0000	1.6
***************
*** 39,42 ****
--- 39,43 ----
    <ItemGroup>
      <Reference Include="System" />
+     <Reference Include="System.Configuration" />
      <Reference Include="System.Data" />
      <Reference Include="System.Drawing" />

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

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

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

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

Index: OptimizationOutput.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/OptimizationOutput.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** OptimizationOutput.cs	3 Aug 2006 21:24:36 -0000	1.3
--- OptimizationOutput.cs	19 Aug 2008 17:12:58 -0000	1.4
***************
*** 3,7 ****
  
  GenomeRepresentation.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  GenomeRepresentation.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;
***************
*** 67,71 ****
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++) 
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
--- 67,71 ----
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++)
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
***************
*** 73,81 ****
  				// set the field to the deserialized value
  				try{
! 				fieldInfo.SetValue( this ,
! 					info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
  				}
  				catch(Exception ex)
! 				{ex = ex;}
  			}
  
--- 73,83 ----
  				// set the field to the deserialized value
  				try{
! 					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));

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.31, 1.32

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

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

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

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** Scripts_SD.csproj	16 Aug 2008 19:53:42 -0000	1.31
--- Scripts_SD.csproj	19 Aug 2008 17:13:13 -0000	1.32
***************
*** 40,43 ****
--- 40,44 ----
    <ItemGroup>
      <Reference Include="System" />
+     <Reference Include="System.Configuration" />
      <Reference Include="System.Data" />
      <Reference Include="System.Drawing" />

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTO_WorstAtDay.cs, 1.3, 1.4 EndOfDayTimerHandlerOTC_WorstAtNight.cs, 1.3, 1.4 EndOfDayTimerHandlerOTCCTO.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/TickerSelectionTesting

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

Index: EndOfDayTimerHandlerOTCCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCCTO.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** EndOfDayTimerHandlerOTCCTO.cs	14 Jan 2008 23:32:31 -0000	1.8
--- EndOfDayTimerHandlerOTCCTO.cs	19 Aug 2008 17:11:27 -0000	1.9
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerOTCCTO.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerOTCCTO.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 37,109 ****
  {
  	
!   /// <summary>
!   /// Implements MarketOpenEventHandler,
!   /// TwoMinutesBeforeMarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
!   /// These handlers contain the core strategy for the efficient close to open portfolio!
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerOTCCTO : EndOfDayTimerHandler
!   {
!     protected int seedForRandomGenerator;
!     
!     public EndOfDayTimerHandlerOTCCTO(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark, double targetReturn,
!                                 PortfolioType portfolioType, int numDaysBetweenEachOptimization):
!   															base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, targetReturn,
!                                 portfolioType)
!     {
!     	this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;  
!     	this.numDaysElapsedSinceLastOptimization = 0;
!     	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
!     }
! 		    
!        
!     /// <summary>
!     /// Handles a "Market Open" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	//temporarily the if condition
!     	//if(this.numDaysElapsedSinceLastOptimization == 0)
!     	AccountManager.ClosePositions(this.account);	
!       this.openPositions();
!     }
!       
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	
!     	//temporarily
!     	//if(this.numDaysElapsedSinceLastOptimization ==
!     	//   this.numDaysBetweenEachOptimization)
!     	AccountManager.ClosePositions(this.account);
!     	try{
!     		this.chosenWeightedPositions.Reverse();
!       	this.openPositions();
!     	}
!     	catch(Exception ex){
! 				ex = ex;
!     	}
!     	this.chosenWeightedPositions.Reverse();
!     }
!     
!     
  
  		#region OneHourAfterMarketCloseEventHandler
!       
!     protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
!       /*
!       SelectorByAverageRawOpenPrice selectorByOpenPrice = 
                    new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                            currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
--- 37,110 ----
  {
  	
! 	/// <summary>
! 	/// Implements MarketOpenEventHandler,
! 	/// TwoMinutesBeforeMarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
! 	/// These handlers contain the core strategy for the efficient close to open portfolio!
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerOTCCTO : EndOfDayTimerHandler
! 	{
! 		protected int seedForRandomGenerator;
! 		
! 		public EndOfDayTimerHandlerOTCCTO(string tickerGroupID, int numberOfEligibleTickers,
! 		                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
! 		                                  int generationNumberForGeneticOptimizer,
! 		                                  int populationSizeForGeneticOptimizer,
! 		                                  string benchmark, double targetReturn,
! 		                                  PortfolioType portfolioType, int numDaysBetweenEachOptimization):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark, targetReturn,
! 			     portfolioType)
! 		{
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.numDaysElapsedSinceLastOptimization = 0;
! 			this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
! 		}
! 		
! 		
! 		/// <summary>
! 		/// Handles a "Market Open" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			//temporarily the if condition
! 			//if(this.numDaysElapsedSinceLastOptimization == 0)
! 			AccountManager.ClosePositions(this.account);
! 			this.openPositions();
! 		}
! 		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			
! 			//temporarily
! 			//if(this.numDaysElapsedSinceLastOptimization ==
! 			//   this.numDaysBetweenEachOptimization)
! 			AccountManager.ClosePositions(this.account);
! 			try{
! 				this.chosenWeightedPositions.Reverse();
! 				this.openPositions();
! 			}
! 			catch(Exception ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 			this.chosenWeightedPositions.Reverse();
! 		}
! 		
! 		
  
  		#region OneHourAfterMarketCloseEventHandler
! 		
! 		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
! 			/*
!       SelectorByAverageRawOpenPrice selectorByOpenPrice =
                    new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                            currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
***************
*** 111,203 ****
                            this.maxPriceForMinimumCommission, 0, 2);
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
!       */
!      	
!      	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       SelectorByLiquidity mostLiquid =
!         new SelectorByLiquidity(tickersFromGroup,
!         false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers);
!       
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay(mostLiquid.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
!      
!       return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
!       
!     }
!     
!     protected virtual void setTickers(DateTime currentDate,
!                                      	bool setGenomeCounter)
!     {
!       
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
!         //the optimization process is possible only if the initial set of tickers is 
!         //as large as the number of tickers to be chosen                     
!       
!       {
!         IGenomeManager genManEfficientOTCCTOPortfolio = 
!           new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
!         	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!         	                                          currentDate,
!         	                                          this.numberOfTickersToBeChosen,
!         	                                          this.targetReturn,
!         	                                         	this.portfolioType,
!         	                                          this.benchmark);
!         
!         GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCCTOPortfolio,
!                                                     this.populationSizeForGeneticOptimizer,
!                                                     this.generationNumberForGeneticOptimizer,
!                                                    this.seedForRandomGenerator);
!         if(setGenomeCounter)
!         	this.genomeCounter = new GenomeCounter(GO);
!         
!         GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                     currentDate, setOfTickersToBeOptimized.Rows.Count);
!          this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
!       }
!       //else it will be buyed again the previous optimized portfolio
!       //that's it the actual chosenTickers member
!     }
  
!     protected void oneHourAfterMarketCloseEventHandler_updatePrices()
!     {
!     	//min price for minimizing commission amount
!     	//according to IB Broker's commission scheme
!     	this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
!       this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
!       //just to avoid warning message
!     }
!     
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	this.seedForRandomGenerator++;
!     	//this.oneHourAfterMarketCloseEventHandler_updatePrices();
!       if(this.numDaysElapsedSinceLastOptimization == 
!     	   this.numDaysBetweenEachOptimization - 1)
!     	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
!       	//sets tickers to be chosen next Market Open event
!       	this.numDaysElapsedSinceLastOptimization = 0;
!     	}
!       else
!       {
!         this.numDaysElapsedSinceLastOptimization++;
!       }
!     	
!     }
! 		   
!     #endregion
  		
!   }
  }
--- 112,204 ----
                            this.maxPriceForMinimumCommission, 0, 2);
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
! 			 */
! 			
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
! 			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
! 			SelectorByLiquidity mostLiquid =
! 				new SelectorByLiquidity(tickersFromGroup,
! 				                        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid =
! 				new SelectorByQuotationAtEachMarketDay(mostLiquid.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                                       this.numberOfEligibleTickers, this.benchmark);
! 			
! 			return quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
! 			
! 		}
! 		
! 		protected virtual void setTickers(DateTime currentDate,
! 		                                  bool setGenomeCounter)
! 		{
! 			
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
! 				//the optimization process is possible only if the initial set of tickers is
! 				//as large as the number of tickers to be chosen
! 				
! 			{
! 				IGenomeManager genManEfficientOTCCTOPortfolio =
! 					new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
! 					                                             currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 					                                             currentDate,
! 					                                             this.numberOfTickersToBeChosen,
! 					                                             this.targetReturn,
! 					                                             this.portfolioType,
! 					                                             this.benchmark);
! 				
! 				GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCCTOPortfolio,
! 				                                           this.populationSizeForGeneticOptimizer,
! 				                                           this.generationNumberForGeneticOptimizer,
! 				                                           this.seedForRandomGenerator);
! 				if(setGenomeCounter)
! 					this.genomeCounter = new GenomeCounter(GO);
! 				
! 				GO.Run(false);
! 				this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				                            currentDate, setOfTickersToBeOptimized.Rows.Count);
! 				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 				                                                     new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
! 			}
! 			//else it will be buyed again the previous optimized portfolio
! 			//that's it the actual chosenTickers member
! 		}
  
! 		protected void oneHourAfterMarketCloseEventHandler_updatePrices()
! 		{
! 			//min price for minimizing commission amount
! 			//according to IB Broker's commission scheme
! 			this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
! 			this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
! 			//just to avoid warning message
! 		}
  		
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.seedForRandomGenerator++;
! 			//this.oneHourAfterMarketCloseEventHandler_updatePrices();
! 			if(this.numDaysElapsedSinceLastOptimization ==
! 			   this.numDaysBetweenEachOptimization - 1)
! 			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
! 				//sets tickers to be chosen next Market Open event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			else
! 			{
! 				this.numDaysElapsedSinceLastOptimization++;
! 			}
! 			
! 		}
! 		
! 		#endregion
! 		
! 	}
  }

Index: EndOfDayTimerHandlerCTO_WorstAtDay.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO_WorstAtDay.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerCTO_WorstAtDay.cs	14 Jan 2008 23:32:31 -0000	1.3
--- EndOfDayTimerHandlerCTO_WorstAtDay.cs	19 Aug 2008 17:11:26 -0000	1.4
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerCTO_WorstAtDay.cs
! Copyright (C) 2007 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerCTO_WorstAtDay.cs
! Copyright (C) 2007
  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;
***************
*** 38,88 ****
  {
  	
!   /// <summary>
!   /// Implements MarketOpenEventHandler,
!   /// MarketCloseEventHandler,
!   /// OneHourAfterMarketCloseEventHandler
!   /// These handlers contain the core strategy 
!   /// for the efficient close to open worst by day portfolio!
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerCTO_WorstAtDay : EndOfDayTimerHandler
!   {
!     protected int seedForRandomGenerator;
!     protected GeneticOptimizer currentGO;
  		protected int numOfGenomesForOTCScanning;
!     
!     public EndOfDayTimerHandlerCTO_WorstAtDay(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark, double targetReturn,
!                                 PortfolioType portfolioType, int numDaysBetweenEachOptimization,
!                                 int numOfGenomesForOTCScanning):
!   															base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, targetReturn,
!                                 portfolioType)
!     {
!     	this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;  
!     	this.numDaysElapsedSinceLastOptimization = 0;
!     	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
!     	this.numOfGenomesForOTCScanning = numOfGenomesForOTCScanning;
!     }
!     
  
!     /// <summary>
!     /// Handles a "Market Open" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       AccountManager.ClosePositions(this.account);
!     }
  		
!     private void marketCloseEventHandler_chooseTheWorstOTCGenome()
  		{
  			int populationSize = this.currentGO.PopulationSize;
--- 38,88 ----
  {
  	
! 	/// <summary>
! 	/// Implements MarketOpenEventHandler,
! 	/// MarketCloseEventHandler,
! 	/// OneHourAfterMarketCloseEventHandler
! 	/// These handlers contain the core strategy
! 	/// for the efficient close to open worst by day portfolio!
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerCTO_WorstAtDay : EndOfDayTimerHandler
! 	{
! 		protected int seedForRandomGenerator;
! 		protected GeneticOptimizer currentGO;
  		protected int numOfGenomesForOTCScanning;
! 		
! 		public EndOfDayTimerHandlerCTO_WorstAtDay(string tickerGroupID, int numberOfEligibleTickers,
! 		                                          int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
! 		                                          int generationNumberForGeneticOptimizer,
! 		                                          int populationSizeForGeneticOptimizer,
! 		                                          string benchmark, double targetReturn,
! 		                                          PortfolioType portfolioType, int numDaysBetweenEachOptimization,
! 		                                          int numOfGenomesForOTCScanning):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark, targetReturn,
! 			     portfolioType)
! 		{
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.numDaysElapsedSinceLastOptimization = 0;
! 			this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
! 			this.numOfGenomesForOTCScanning = numOfGenomesForOTCScanning;
! 		}
! 		
  
! 		/// <summary>
! 		/// Handles a "Market Open" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			AccountManager.ClosePositions(this.account);
! 		}
  		
! 		private void marketCloseEventHandler_chooseTheWorstOTCGenome()
  		{
  			int populationSize = this.currentGO.PopulationSize;
***************
*** 92,243 ****
  			double fitnessOfPreviousCombination = 0.0;
  			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 		  DateTime today = currentTimer.GetCurrentTime().DateTime;
! 		  int numOfGenomesScanned = 0; 
! 		  for(int i = 0; numOfGenomesScanned < this.numOfGenomesForOTCScanning; i++)
! 		  {
! 		  	if(  i == 0 ||
! 		  	     ( ((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Fitness <
! 		  	     fitnessOfPreviousCombination )  )
! 		  	//it is the best genome or the current genome is different from - and
! 		  	//so it has to be strictly less of - the previous scanned genome
! 		  	{
! 		  		fitnessOfPreviousCombination =
! 				  		((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Fitness;
! 				  try{
! 		  		//retrieves loss at day for the CurrentCombination
! 						SignedTickers signedTickers = 
  							new SignedTickers( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Meaning).Tickers);
! 		  			WeightedPositions weightedPositions =
! 		  				new WeightedPositions( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Meaning).TickersPortfolioWeights, 
! 		  				                      	signedTickers);
! 		  			lossOfCurrentCombination =
! 			  			- weightedPositions.GetOpenToCloseReturn( today );
! 		  			//- because fitness in GenomeOTCCTO is just the reversal of what needed
! 				  	numOfGenomesScanned++;
! 				  	if(lossOfCurrentCombination < lossOfCurrentWorstCombination)
! 				  	{
! 				  		indexOfWorstCombination = populationSize - i - 1;
! 				  		lossOfCurrentWorstCombination = lossOfCurrentCombination;
! 				  	}
! 		  		}
! 		  		catch(Exception ex){
! 		  		//if retrieving of loss of current combination fails
! 		  			ex = ex;
! 		  		}
! 		  	}
! 		  }
  			this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[indexOfWorstCombination]).Meaning).TickersPortfolioWeights,
! 				new SignedTickers( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[indexOfWorstCombination]).Meaning).Tickers));
  			
  		}
!     
!                 
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!      	if(this.currentGO != null)
! 			//so a list of genomes is available
  				this.marketCloseEventHandler_chooseTheWorstOTCGenome();
!       
  			this.openPositions();
!     }
  
  		#region OneHourAfterMarketCloseEventHandler
!       
!     protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
  			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
  			SelectorByLiquidity mostLiquid =
  				new SelectorByLiquidity(tickersFromGroup,
! 				false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				this.numberOfEligibleTickers);
!       
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
  				new SelectorByQuotationAtEachMarketDay(mostLiquid.GetTableOfSelectedTickers(),
! 				false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				this.numberOfEligibleTickers, this.benchmark);
!       
! 			SelectorByAverageRawOpenPrice byPrice = 
  				new SelectorByAverageRawOpenPrice(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
! 				false,currentDate.AddDays(-30),
! 				currentDate,
! 				this.numberOfEligibleTickers,
! 				30);
! 			     
  			return byPrice.GetTableOfSelectedTickers();
!     }
!     
!     protected virtual void setTickers(DateTime currentDate,
!                                      	bool setGenomeCounter)
!     {
!       
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen * 2)
!         //the optimization process is possible only if the initial set of tickers is 
!         //as large as the number of tickers to be chosen                     
!       
!       {
!         IGenomeManager genManEfficientCTOPortfolio = 
!           new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
!         	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!         	                                          currentDate,
!         	                                          this.numberOfTickersToBeChosen,
!         	                                          this.targetReturn,
!         	                                         	this.portfolioType,
!         	                                          this.benchmark);
!         
!         GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
!                                                     this.populationSizeForGeneticOptimizer,
!                                                     this.generationNumberForGeneticOptimizer,
!                                                    this.seedForRandomGenerator);
!         if(setGenomeCounter)
!         	this.genomeCounter = new GenomeCounter(GO);
  				GO.MutationRate = 0.25;
  				GO.CrossoverRate = 0.95;
!         GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                     currentDate, setOfTickersToBeOptimized.Rows.Count);
  				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
  				this.currentGO = GO;
!       }
!       //else it will be buyed again the previous optimized portfolio
!       //that's it the actual chosenTickers member
!     }
  
!     protected void oneHourAfterMarketCloseEventHandler_updatePrices()
!     {
!     	//min price for minimizing commission amount
!     	//according to IB Broker's commission scheme
!     	this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
!       this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
!       //just to avoid warning message
!     }
!     
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	this.seedForRandomGenerator++;
!     	//this.oneHourAfterMarketCloseEventHandler_updatePrices();
!       if(this.numDaysElapsedSinceLastOptimization == 
!     	   this.numDaysBetweenEachOptimization - 1)
!     	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
!       	//sets tickers to be chosen next Market Close event
!       	this.numDaysElapsedSinceLastOptimization = 0;
!     	}
!       else
!       {
!         this.numDaysElapsedSinceLastOptimization++;
!       }
!     	
!     }
!     #endregion
!   }
  }
--- 92,244 ----
  			double fitnessOfPreviousCombination = 0.0;
  			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 			DateTime today = currentTimer.GetCurrentTime().DateTime;
! 			int numOfGenomesScanned = 0;
! 			for(int i = 0; numOfGenomesScanned < this.numOfGenomesForOTCScanning; i++)
! 			{
! 				if(  i == 0 ||
! 				   ( ((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Fitness <
! 				    fitnessOfPreviousCombination )  )
! 					//it is the best genome or the current genome is different from - and
! 					//so it has to be strictly less of - the previous scanned genome
! 				{
! 					fitnessOfPreviousCombination =
! 						((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Fitness;
! 					try{
! 						//retrieves loss at day for the CurrentCombination
! 						SignedTickers signedTickers =
  							new SignedTickers( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Meaning).Tickers);
! 						WeightedPositions weightedPositions =
! 							new WeightedPositions( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Meaning).TickersPortfolioWeights,
! 							                      signedTickers);
! 						lossOfCurrentCombination =
! 							- weightedPositions.GetOpenToCloseReturn( today );
! 						//- because fitness in GenomeOTCCTO is just the reversal of what needed
! 						numOfGenomesScanned++;
! 						if(lossOfCurrentCombination < lossOfCurrentWorstCombination)
! 						{
! 							indexOfWorstCombination = populationSize - i - 1;
! 							lossOfCurrentWorstCombination = lossOfCurrentCombination;
! 						}
! 					}
! 					catch(Exception ex)
! 					{
! 						//if retrieving of loss of current combination fails
! 						string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 					}
! 				}
! 			}
  			this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[indexOfWorstCombination]).Meaning).TickersPortfolioWeights,
! 			                                                     new SignedTickers( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[indexOfWorstCombination]).Meaning).Tickers));
  			
  		}
! 		
! 		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			if(this.currentGO != null)
! 				//so a list of genomes is available
  				this.marketCloseEventHandler_chooseTheWorstOTCGenome();
! 			
  			this.openPositions();
! 		}
  
  		#region OneHourAfterMarketCloseEventHandler
! 		
! 		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
  			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
  			SelectorByLiquidity mostLiquid =
  				new SelectorByLiquidity(tickersFromGroup,
! 				                        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid =
  				new SelectorByQuotationAtEachMarketDay(mostLiquid.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                                       this.numberOfEligibleTickers, this.benchmark);
! 			
! 			SelectorByAverageRawOpenPrice byPrice =
  				new SelectorByAverageRawOpenPrice(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
! 				                                  false,currentDate.AddDays(-30),
! 				                                  currentDate,
! 				                                  this.numberOfEligibleTickers,
! 				                                  30);
! 			
  			return byPrice.GetTableOfSelectedTickers();
! 		}
! 		
! 		protected virtual void setTickers(DateTime currentDate,
! 		                                  bool setGenomeCounter)
! 		{
! 			
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen * 2)
! 				//the optimization process is possible only if the initial set of tickers is
! 				//as large as the number of tickers to be chosen
! 				
! 			{
! 				IGenomeManager genManEfficientCTOPortfolio =
! 					new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
! 					                                             currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 					                                             currentDate,
! 					                                             this.numberOfTickersToBeChosen,
! 					                                             this.targetReturn,
! 					                                             this.portfolioType,
! 					                                             this.benchmark);
! 				
! 				GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
! 				                                           this.populationSizeForGeneticOptimizer,
! 				                                           this.generationNumberForGeneticOptimizer,
! 				                                           this.seedForRandomGenerator);
! 				if(setGenomeCounter)
! 					this.genomeCounter = new GenomeCounter(GO);
  				GO.MutationRate = 0.25;
  				GO.CrossoverRate = 0.95;
! 				GO.Run(false);
! 				this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				                            currentDate, setOfTickersToBeOptimized.Rows.Count);
  				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 				                                                     new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
  				this.currentGO = GO;
! 			}
! 			//else it will be buyed again the previous optimized portfolio
! 			//that's it the actual chosenTickers member
! 		}
  
! 		protected void oneHourAfterMarketCloseEventHandler_updatePrices()
! 		{
! 			//min price for minimizing commission amount
! 			//according to IB Broker's commission scheme
! 			this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
! 			this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
! 			//just to avoid warning message
! 		}
! 		
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.seedForRandomGenerator++;
! 			//this.oneHourAfterMarketCloseEventHandler_updatePrices();
! 			if(this.numDaysElapsedSinceLastOptimization ==
! 			   this.numDaysBetweenEachOptimization - 1)
! 			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
! 				//sets tickers to be chosen next Market Close event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			else
! 			{
! 				this.numDaysElapsedSinceLastOptimization++;
! 			}
! 			
! 		}
! 		#endregion
! 	}
  }

Index: EndOfDayTimerHandlerOTC_WorstAtNight.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTC_WorstAtNight.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerOTC_WorstAtNight.cs	14 Jan 2008 23:32:31 -0000	1.3
--- EndOfDayTimerHandlerOTC_WorstAtNight.cs	19 Aug 2008 17:11:26 -0000	1.4
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerOTC_WorstAtNight.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerOTC_WorstAtNight.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  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;
***************
*** 40,77 ****
  {
  	
!   /// <summary>
!   /// Implements MarketOpenEventHandler,
!   /// TwoMinutesBeforeMarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
!   /// These handlers contain the core strategy for the efficient close to open portfolio!
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerOTC_WorstAtNight : EndOfDayTimerHandler
!   {
!     protected int seedForRandomGenerator;
  		protected GeneticOptimizer currentGO;
  		protected int numOfGenomesForCTOScanning;
  		private HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
!     
!     public EndOfDayTimerHandlerOTC_WorstAtNight(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark, double targetReturn,
!                                 PortfolioType portfolioType, int numDaysBetweenEachOptimization,
! 																int numOfGenomesForCTOScanning):
!   															base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, targetReturn,
!                                 portfolioType)
!     {
!     	this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;  
!     	this.numDaysElapsedSinceLastOptimization = 0;
!     	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
  			this.numOfGenomesForCTOScanning = numOfGenomesForCTOScanning;
  			this.historicalAdjustedQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!   
  		private void marketOpenEventHandler_chooseTheWorstCTOGenome()
  		{
--- 40,77 ----
  {
  	
! 	/// <summary>
! 	/// Implements MarketOpenEventHandler,
! 	/// TwoMinutesBeforeMarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
! 	/// These handlers contain the core strategy for the efficient close to open portfolio!
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerOTC_WorstAtNight : EndOfDayTimerHandler
! 	{
! 		protected int seedForRandomGenerator;
  		protected GeneticOptimizer currentGO;
  		protected int numOfGenomesForCTOScanning;
  		private HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
! 		
! 		public EndOfDayTimerHandlerOTC_WorstAtNight(string tickerGroupID, int numberOfEligibleTickers,
! 		                                            int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
! 		                                            int generationNumberForGeneticOptimizer,
! 		                                            int populationSizeForGeneticOptimizer,
! 		                                            string benchmark, double targetReturn,
! 		                                            PortfolioType portfolioType, int numDaysBetweenEachOptimization,
! 		                                            int numOfGenomesForCTOScanning):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark, targetReturn,
! 			     portfolioType)
! 		{
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.numDaysElapsedSinceLastOptimization = 0;
! 			this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
  			this.numOfGenomesForCTOScanning = numOfGenomesForCTOScanning;
  			this.historicalAdjustedQuoteProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
  		private void marketOpenEventHandler_chooseTheWorstCTOGenome()
  		{
***************
*** 82,265 ****
  			double fitnessOfPreviousCombination = 0.0;
  			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 		  DateTime today = currentTimer.GetCurrentTime().DateTime;
! 		  DateTime lastMarketDay = currentTimer.GetPreviousDateTime();
! 		  ReturnsManager returnsManager = new ReturnsManager(
! 		  	new CloseToOpenIntervals(new EndOfDayDateTime(lastMarketDay, EndOfDaySpecificTime.MarketClose),
! 		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
! 		  	                         this.benchmark),
! 		  	this.historicalAdjustedQuoteProvider );
! 		  int numOfGenomesScanned = 0; 
! 		  for(int i = 0;
! 					numOfGenomesScanned < this.numOfGenomesForCTOScanning &&
! 					i < populationSize - 1;
! 					i++)
! 		  {
! 		  	if(  i == 0 ||
! 		  	     ( ((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Fitness <
! 		  	     fitnessOfPreviousCombination )  )
! 		  	//it is the best genome or the current genome is different from - and
! 		  	//so it has to be strictly less of - the previous scanned genome
! 		  	{
! 		  		fitnessOfPreviousCombination =
! 				  		((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Fitness;
! 				  try{
! 		  		//tries to retrieve loss at night for the CurrentCombination
! 			  		SignedTickers signedTickers = 
  							new SignedTickers( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Meaning).Tickers);
! 		  			WeightedPositions weightedPositions =
! 		  				new WeightedPositions( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Meaning).TickersPortfolioWeights, 
! 		  				                      	signedTickers);
! 		  			lossOfCurrentCombination =
! 		  				weightedPositions.GetReturn( 0 , returnsManager );
! 				  	numOfGenomesScanned++;
! 				  	if(lossOfCurrentCombination < lossOfCurrentWorstCombination)
! 				  	{
! 				  		indexOfWorstCombination = populationSize - i - 1;
! 				  		lossOfCurrentWorstCombination = lossOfCurrentCombination;
! 				  	}
! 		  		}
! 		  		catch(Exception ex){
! 		  		//retrieve of loss of current combination fails
! 		  			ex = ex;
! 		  		}
! 		  	}
! 		  }
! 		 this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[indexOfWorstCombination]).Meaning).TickersPortfolioWeights,
! 				new SignedTickers( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[indexOfWorstCombination]).Meaning).Tickers));
  		}
!    
!     /// <summary>
!     /// Handles a "Market Open" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!      	if(this.currentGO != null)
! 			//so a list of genomes is available
! 					this.marketOpenEventHandler_chooseTheWorstCTOGenome();
  			
  			this.openPositions();
!     }
! 		                
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	AccountManager.ClosePositions(this.account);
!     }
!     
  		#region OneHourAfterMarketCloseEventHandler
!       
!     protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
  			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
  			SelectorByLiquidity mostLiquid =
  				new SelectorByLiquidity(tickersFromGroup,
! 				false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				this.numberOfEligibleTickers);
!       
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid = 
  				new SelectorByQuotationAtEachMarketDay(mostLiquid.GetTableOfSelectedTickers(),
! 				false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				this.numberOfEligibleTickers, this.benchmark);
!       
! 			SelectorByAverageRawOpenPrice byPrice = 
  				new SelectorByAverageRawOpenPrice(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
! 				false,currentDate.AddDays(-30),
! 				currentDate,
! 				this.numberOfEligibleTickers,
! 				35);
  			DataTable tickersByPrice = byPrice.GetTableOfSelectedTickers();
!       
! 			SelectorByOpenCloseCorrelationToBenchmark tickersLessCorrelatedToBenchmark = 
  				new SelectorByOpenCloseCorrelationToBenchmark(tickersByPrice,
! 				"^GSPC",true,
! 				currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				tickersByPrice.Rows.Count/2);
!       
  			return tickersLessCorrelatedToBenchmark.GetTableOfSelectedTickers();
  
!     }
!     
!     protected virtual void setTickers(DateTime currentDate,
!                                      	bool setGenomeCounter)
!     {
!       
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
!         //the optimization process is possible only if the initial set of tickers is 
!         //as large as the number of tickers to be chosen                     
!       
!       {
!         IGenomeManager genManEfficientOTCPortfolio = 
! //          new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
! //        	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! //        	                                          currentDate,
! //        	                                          this.numberOfTickersToBeChosen,
! //        	                                          this.targetReturn,
! //        	                                         	this.portfolioType);
!           new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
!                                                     currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                                     currentDate,
!                                                     this.numberOfTickersToBeChosen,
!                                                     this.targetReturn,
!                                                     this.portfolioType,this.benchmark);
  
!         GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
!                                                     this.populationSizeForGeneticOptimizer,
!                                                     this.generationNumberForGeneticOptimizer,
!                                                    this.seedForRandomGenerator);
!         if(setGenomeCounter)
!         	this.genomeCounter = new GenomeCounter(GO);
  				GO.CrossoverRate = 0.0;
  				GO.MutationRate = 0.50;
!         GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                     currentDate, setOfTickersToBeOptimized.Rows.Count);
!         this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
  				this.currentGO = GO;
!       }
!       //else it will be buyed again the previous optimized portfolio
!       //that's it the actual chosenTickers member
!     }
  
!     protected void oneHourAfterMarketCloseEventHandler_updatePrices()
!     {
!     	//min price for minimizing commission amount
!     	//according to IB Broker's commission scheme
!     	this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
!       this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
!       //just to avoid warning message
!     }
!     
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	this.seedForRandomGenerator++;
!     	//this.oneHourAfterMarketCloseEventHandler_updatePrices();
!       if(this.numDaysElapsedSinceLastOptimization == 
!     	   this.numDaysBetweenEachOptimization - 1)
!     	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
!       	//sets tickers to be chosen next Market Open event
!       	this.numDaysElapsedSinceLastOptimization = 0;
!     	}
!       else
!       {
!         this.numDaysElapsedSinceLastOptimization++;
!       }
!     	
!     }
! 		   
!     #endregion
  		
!   }
  }
--- 82,266 ----
  			double fitnessOfPreviousCombination = 0.0;
  			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 			DateTime today = currentTimer.GetCurrentTime().DateTime;
! 			DateTime lastMarketDay = currentTimer.GetPreviousDateTime();
! 			ReturnsManager returnsManager = new ReturnsManager(
! 				new CloseToOpenIntervals(new EndOfDayDateTime(lastMarketDay, EndOfDaySpecificTime.MarketClose),
! 				                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
! 				                         this.benchmark),
! 				this.historicalAdjustedQuoteProvider );
! 			int numOfGenomesScanned = 0;
! 			for(int i = 0;
! 			    numOfGenomesScanned < this.numOfGenomesForCTOScanning &&
! 			    i < populationSize - 1;
! 			    i++)
! 			{
! 				if(  i == 0 ||
! 				   ( ((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Fitness <
! 				    fitnessOfPreviousCombination )  )
! 					//it is the best genome or the current genome is different from - and
! 					//so it has to be strictly less of - the previous scanned genome
! 				{
! 					fitnessOfPreviousCombination =
! 						((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Fitness;
! 					try{
! 						//tries to retrieve loss at night for the CurrentCombination
! 						SignedTickers signedTickers =
  							new SignedTickers( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Meaning).Tickers);
! 						WeightedPositions weightedPositions =
! 							new WeightedPositions( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[populationSize - i - 1]).Meaning).TickersPortfolioWeights,
! 							                      signedTickers);
! 						lossOfCurrentCombination =
! 							weightedPositions.GetReturn( 0 , returnsManager );
! 						numOfGenomesScanned++;
! 						if(lossOfCurrentCombination < lossOfCurrentWorstCombination)
! 						{
! 							indexOfWorstCombination = populationSize - i - 1;
! 							lossOfCurrentWorstCombination = lossOfCurrentCombination;
! 						}
! 					}
! 					catch(Exception ex)
! 					{
! 						//retrieve of loss of current combination fails
! 						string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 					}
! 				}
! 			}
! 			this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[indexOfWorstCombination]).Meaning).TickersPortfolioWeights,
! 			                                                     new SignedTickers( ((GenomeMeaning)((Genome)this.currentGO.CurrentGeneration[indexOfWorstCombination]).Meaning).Tickers));
  		}
! 		
! 		/// <summary>
! 		/// Handles a "Market Open" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			if(this.currentGO != null)
! 				//so a list of genomes is available
! 				this.marketOpenEventHandler_chooseTheWorstCTOGenome();
  			
  			this.openPositions();
! 		}
! 		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			AccountManager.ClosePositions(this.account);
! 		}
! 		
  		#region OneHourAfterMarketCloseEventHandler
! 		
! 		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
  			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
  			SelectorByLiquidity mostLiquid =
  				new SelectorByLiquidity(tickersFromGroup,
! 				                        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromMostLiquid =
  				new SelectorByQuotationAtEachMarketDay(mostLiquid.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                                       this.numberOfEligibleTickers, this.benchmark);
! 			
! 			SelectorByAverageRawOpenPrice byPrice =
  				new SelectorByAverageRawOpenPrice(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
! 				                                  false,currentDate.AddDays(-30),
! 				                                  currentDate,
! 				                                  this.numberOfEligibleTickers,
! 				                                  35);
  			DataTable tickersByPrice = byPrice.GetTableOfSelectedTickers();
! 			
! 			SelectorByOpenCloseCorrelationToBenchmark tickersLessCorrelatedToBenchmark =
  				new SelectorByOpenCloseCorrelationToBenchmark(tickersByPrice,
! 				                                              "^GSPC",true,
! 				                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                                              tickersByPrice.Rows.Count/2);
! 			
  			return tickersLessCorrelatedToBenchmark.GetTableOfSelectedTickers();
  
! 		}
! 		
! 		protected virtual void setTickers(DateTime currentDate,
! 		                                  bool setGenomeCounter)
! 		{
! 			
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
! 				//the optimization process is possible only if the initial set of tickers is
! 				//as large as the number of tickers to be chosen
! 				
! 			{
! 				IGenomeManager genManEfficientOTCPortfolio =
! 					//          new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
! 					//        	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 					//        	                                          currentDate,
! 					//        	                                          this.numberOfTickersToBeChosen,
! 					//        	                                          this.targetReturn,
! 					//        	                                         	this.portfolioType);
! 					new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
! 					                                             currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 					                                             currentDate,
! 					                                             this.numberOfTickersToBeChosen,
! 					                                             this.targetReturn,
! 					                                             this.portfolioType,this.benchmark);
  
! 				GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
! 				                                           this.populationSizeForGeneticOptimizer,
! 				                                           this.generationNumberForGeneticOptimizer,
! 				                                           this.seedForRandomGenerator);
! 				if(setGenomeCounter)
! 					this.genomeCounter = new GenomeCounter(GO);
  				GO.CrossoverRate = 0.0;
  				GO.MutationRate = 0.50;
! 				GO.Run(false);
! 				this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				                            currentDate, setOfTickersToBeOptimized.Rows.Count);
! 				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 				                                                     new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
  				this.currentGO = GO;
! 			}
! 			//else it will be buyed again the previous optimized portfolio
! 			//that's it the actual chosenTickers member
! 		}
  
! 		protected void oneHourAfterMarketCloseEventHandler_updatePrices()
! 		{
! 			//min price for minimizing commission amount
! 			//according to IB Broker's commission scheme
! 			this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
! 			this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
! 			//just to avoid warning message
! 		}
  		
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.seedForRandomGenerator++;
! 			//this.oneHourAfterMarketCloseEventHandler_updatePrices();
! 			if(this.numDaysElapsedSinceLastOptimization ==
! 			   this.numDaysBetweenEachOptimization - 1)
! 			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
! 				//sets tickers to be chosen next Market Open event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			else
! 			{
! 				this.numDaysElapsedSinceLastOptimization++;
! 			}
! 			
! 		}
! 		
! 		#endregion
! 		
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower EndOfDayTimerHandlerITF.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower

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

Index: EndOfDayTimerHandlerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/EndOfDayTimerHandlerITF.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** EndOfDayTimerHandlerITF.cs	14 Jan 2008 23:32:30 -0000	1.6
--- EndOfDayTimerHandlerITF.cs	19 Aug 2008 17:11:28 -0000	1.7
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerITF.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerITF.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 40,297 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the extreme
!   /// counter trend strategy!
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerITF : EndOfDayTimerHandler
!   {
!     private int numDaysForReturnCalculation;
!     private double maxAcceptableCloseToCloseDrawdown;
!     private int daysCounterWithPositions;
!     private DateTime lastCloseDate;
!     private IGenomeManager iGenomeManager;
!     private int seedForRandomGenerator;
!         
!     public EndOfDayTimerHandlerITF(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,                                
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 int numDaysForReturnCalculation,
!                                 int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
!     														base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, 0.0,
!                                 portfolioType)
!     {
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.stopLossConditionReached = false;
!       this.currentAccountValue = 0.0;
!       this.previousAccountValue = 0.0;
! //      this.numDaysBetweenEachOptimization = 2* numDaysForReturnCalculation;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
!     }
! 	
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	;
!     }
  
!     #region MarketCloseEventHandler
!     
!     protected void marketCloseEventHandler_updateStopLossCondition()
!     {
!       this.previousAccountValue = this.currentAccountValue;
!       this.currentAccountValue = this.account.GetMarketValue();
!       if((this.currentAccountValue - this.previousAccountValue)
!            /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
!       {
!         this.stopLossConditionReached = true;
!       }
!       else
!       {
!         this.stopLossConditionReached = false;
!       }
!     }    
  
!     private double marketCloseEventHandler_openPositions_getLastHalfPeriodGain(IndexBasedEndOfDayTimer timer)
!     {
!       double returnValue = 999.0;
!       try
!       {
! 		    DateTime initialDateForHalfPeriod = 
! 	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
! 	      DateTime finalDateForHalfPeriod = 
! 	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	returnValue =
! 	      	 chosenWeightedPositions.GetCloseToCloseReturn(initialDateForHalfPeriod,finalDateForHalfPeriod);
!       }
!     	catch(MissingQuotesException ex)
!     	{
!     		ex = ex;
!     	}
!     	return returnValue;
!     }   
  
!     private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
!     {
!       double lastHalfPeriodGain = 
!       		this.marketCloseEventHandler_openPositions_getLastHalfPeriodGain(timer);
!     	if(lastHalfPeriodGain != 999.0)
!     	//last half period gain has been properly computed
!     	{
!     		if(lastHalfPeriodGain > 0.0)
!     			AccountManager.OpenPositions(chosenWeightedPositions, this.account);
!     		else//the last HalfPeriodGain has been negative
!     		{
!     			chosenWeightedPositions.Reverse();
!     			//short the portfolio
!     			try{
!             AccountManager.OpenPositions(chosenWeightedPositions, this.account);
!           }
!     			catch(Exception ex)
!           { 
!             ex = ex; 
!           }
!     			finally{
!             chosenWeightedPositions.Reverse();
!           }
!     		}
!     	}
!     }
!     
!     private void marketCloseEventHandler_closePositions()
!     {
!       if(this.daysCounterWithPositions == this.numDaysForReturnCalculation ||
!          this.stopLossConditionReached)
!       {
!       //Close if halfPeriod has elapsed or stop loss condition reached
!           AccountManager.ClosePositions(this.account);
!           this.daysCounterWithPositions = 0;
!       }
!     }    
!     
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       //this.marketCloseEventHandler_updateStopLossCondition();  
!       if(this.account.Portfolio.Count > 0)
!         this.daysCounterWithPositions++;
!       this.marketCloseEventHandler_closePositions();
!       if(chosenWeightedPositions != null)
!       //tickers to buy have been chosen
!       {
!       	if(this.account.Portfolio.Count == 0)
!       			this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
!       }
!          
!     }
  
!     #endregion
!     
!     #region OneHourAfterMarketCloseEventHandler
!    
  
!     protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
!       
!       	SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate,
!       	                                  currentDate.AddDays(-30),
!       	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  30,500, 0.0001,100);
!     
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice = 
!         new SelectorByQuotationAtEachMarketDay(byPrice.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         numOfTickersInGroupAtCurrentDate, this.benchmark);
!      
! //      SelectorByCloseToCloseVolatility lessVolatile =
! //      	new SelectorByCloseToCloseVolatility(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
! //      	                                     true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //      	                                     this.numberOfEligibleTickers);
!       
!         SelectorByLiquidity mostLiquidSelector =
!       	new SelectorByLiquidity(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
!         true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers);
!       
!       
!       return mostLiquidSelector.GetTableOfSelectedTickers();
!     	//OLD for etf
!     	//      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();
!     }
!     
!     
!     protected virtual void setTickers(DateTime currentDate,
!       bool setGenomeCounter)
!     {
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
!         //the optimization process is meaningful only if the initial set of tickers is 
!         //larger than the number of tickers to be chosen                     
!       
!       {
!         this.iGenomeManager =
!           new GenomeManagerITF(setOfTickersToBeOptimized,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
!           currentDate, this.numberOfTickersToBeChosen,
!           this.numDaysForReturnCalculation,
!           this.portfolioType, this.benchmark);
!         GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
!           this.populationSizeForGeneticOptimizer, 
!           this.generationNumberForGeneticOptimizer,
!           this.seedForRandomGenerator);
!         if(setGenomeCounter)
!           this.genomeCounter = new GenomeCounter(GO);
!         
!         GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
!           ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
!           this.numDaysForReturnCalculation);
  				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
!       }
!       //else it will be buyed again the previous optimized portfolio
!       //that's it the actual chosenTickers member
!     }
!     
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       this.seedForRandomGenerator++;
!       this.numDaysElapsedSinceLastOptimization++;
!       if((this.numDaysElapsedSinceLastOptimization - 1 == 
!             this.numDaysBetweenEachOptimization)) //|| this.isTheFirstClose )
!       //num days without optimization has elapsed or
!       //it is the first close (OLD IMPLEMENTATION)
!       {
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
!         //sets tickers to be chosen next Market Close event
!         this.numDaysElapsedSinceLastOptimization = 0;
!       }
! 		      
!     }
  		#endregion
!   }
  }
--- 40,297 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the extreme
! 	/// counter trend strategy!
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerITF : EndOfDayTimerHandler
! 	{
! 		private int numDaysForReturnCalculation;
! 		private double maxAcceptableCloseToCloseDrawdown;
! 		private int daysCounterWithPositions;
! 		private DateTime lastCloseDate;
! 		private IGenomeManager iGenomeManager;
! 		private int seedForRandomGenerator;
! 		
! 		public EndOfDayTimerHandlerITF(string tickerGroupID, int numberOfEligibleTickers,
! 		                               int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                               Account account,
! 		                               int generationNumberForGeneticOptimizer,
! 		                               int populationSizeForGeneticOptimizer,
! 		                               string benchmark,
! 		                               int numDaysForReturnCalculation,
! 		                               int numDaysBetweenEachOptimization,
! 		                               PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark, 0.0,
! 			     portfolioType)
! 		{
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.stopLossConditionReached = false;
! 			this.currentAccountValue = 0.0;
! 			this.previousAccountValue = 0.0;
! 			//      this.numDaysBetweenEachOptimization = 2* numDaysForReturnCalculation;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
! 		}
! 		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			;
! 		}
  
! 		#region MarketCloseEventHandler
! 		
! 		protected void marketCloseEventHandler_updateStopLossCondition()
! 		{
! 			this.previousAccountValue = this.currentAccountValue;
! 			this.currentAccountValue = this.account.GetMarketValue();
! 			if((this.currentAccountValue - this.previousAccountValue)
! 			   /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
! 			{
! 				this.stopLossConditionReached = true;
! 			}
! 			else
! 			{
! 				this.stopLossConditionReached = false;
! 			}
! 		}
  
! 		private double marketCloseEventHandler_openPositions_getLastHalfPeriodGain(IndexBasedEndOfDayTimer timer)
! 		{
! 			double returnValue = 999.0;
! 			try
! 			{
! 				DateTime initialDateForHalfPeriod =
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
! 				DateTime finalDateForHalfPeriod =
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				returnValue =
! 					chosenWeightedPositions.GetCloseToCloseReturn(initialDateForHalfPeriod,finalDateForHalfPeriod);
! 			}
! 			catch(MissingQuotesException ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 			return returnValue;
! 		}
  
! 		private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
! 		{
! 			double lastHalfPeriodGain =
! 				this.marketCloseEventHandler_openPositions_getLastHalfPeriodGain(timer);
! 			if(lastHalfPeriodGain != 999.0)
! 				//last half period gain has been properly computed
! 			{
! 				if(lastHalfPeriodGain > 0.0)
! 					AccountManager.OpenPositions(chosenWeightedPositions, this.account);
! 				else//the last HalfPeriodGain has been negative
! 				{
! 					chosenWeightedPositions.Reverse();
! 					//short the portfolio
! 					try{
! 						AccountManager.OpenPositions(chosenWeightedPositions, this.account);
! 					}
! 					catch(Exception ex)
! 					{
! 						string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 					}
! 					finally{
! 						chosenWeightedPositions.Reverse();
! 					}
! 				}
! 			}
! 		}
! 		
! 		private void marketCloseEventHandler_closePositions()
! 		{
! 			if(this.daysCounterWithPositions == this.numDaysForReturnCalculation ||
! 			   this.stopLossConditionReached)
! 			{
! 				//Close if halfPeriod has elapsed or stop loss condition reached
! 				AccountManager.ClosePositions(this.account);
! 				this.daysCounterWithPositions = 0;
! 			}
! 		}
! 		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			//this.marketCloseEventHandler_updateStopLossCondition();
! 			if(this.account.Portfolio.Count > 0)
! 				this.daysCounterWithPositions++;
! 			this.marketCloseEventHandler_closePositions();
! 			if(chosenWeightedPositions != null)
! 				//tickers to buy have been chosen
! 			{
! 				if(this.account.Portfolio.Count == 0)
! 					this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
! 			}
! 			
! 		}
  
! 		#endregion
! 		
! 		#region OneHourAfterMarketCloseEventHandler
! 		
  
! 		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
! 			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
! 			int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
! 			
! 			SelectorByAverageRawOpenPrice byPrice =
! 				new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate,
! 				                                  currentDate.AddDays(-30),
! 				                                  numOfTickersInGroupAtCurrentDate,
! 				                                  30,500, 0.0001,100);
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice =
! 				new SelectorByQuotationAtEachMarketDay(byPrice.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                                       numOfTickersInGroupAtCurrentDate, this.benchmark);
! 			
! 			//      SelectorByCloseToCloseVolatility lessVolatile =
! 			//      	new SelectorByCloseToCloseVolatility(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
! 			//      	                                     true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 			//      	                                     this.numberOfEligibleTickers);
! 			
! 			SelectorByLiquidity mostLiquidSelector =
! 				new SelectorByLiquidity(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
! 				                        true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			
! 			return mostLiquidSelector.GetTableOfSelectedTickers();
! 			//OLD for etf
! 			//      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();
! 		}
! 		
! 		
! 		protected virtual void setTickers(DateTime currentDate,
! 		                                  bool setGenomeCounter)
! 		{
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
! 				//the optimization process is meaningful only if the initial set of tickers is
! 				//larger than the number of tickers to be chosen
! 				
! 			{
! 				this.iGenomeManager =
! 					new GenomeManagerITF(setOfTickersToBeOptimized,
! 					                     currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 					                     currentDate, this.numberOfTickersToBeChosen,
! 					                     this.numDaysForReturnCalculation,
! 					                     this.portfolioType, this.benchmark);
! 				GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
! 				                                           this.populationSizeForGeneticOptimizer,
! 				                                           this.generationNumberForGeneticOptimizer,
! 				                                           this.seedForRandomGenerator);
! 				if(setGenomeCounter)
! 					this.genomeCounter = new GenomeCounter(GO);
! 				
! 				GO.Run(false);
! 				this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
! 				                            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
! 				                            this.numDaysForReturnCalculation);
  				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 				                                                     new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
! 			}
! 			//else it will be buyed again the previous optimized portfolio
! 			//that's it the actual chosenTickers member
! 		}
! 		
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
! 			this.seedForRandomGenerator++;
! 			this.numDaysElapsedSinceLastOptimization++;
! 			if((this.numDaysElapsedSinceLastOptimization - 1 ==
! 			    this.numDaysBetweenEachOptimization)) //|| this.isTheFirstClose )
! 				//num days without optimization has elapsed or
! 				//it is the first close (OLD IMPLEMENTATION)
! 			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
! 				//sets tickers to be chosen next Market Close event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			
! 		}
  		#endregion
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst EndOfDayTimerHandlerBWFollower.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst

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

Index: EndOfDayTimerHandlerBWFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst/EndOfDayTimerHandlerBWFollower.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerBWFollower.cs	29 Aug 2007 09:32:57 -0000	1.1
--- EndOfDayTimerHandlerBWFollower.cs	19 Aug 2008 17:11:26 -0000	1.2
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerBWFollower.cs
! Copyright (C) 2007 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerBWFollower.cs
! Copyright (C) 2007
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 37,147 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the Best and Worst follower,
!   /// based on the assumption that largest moves are confirmed 
!   /// the next days
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerBWFollower
!   {
!     private string tickerGroupID;
!     private int numberOfEligibleTickers;
  		private int lengthInDaysForPerformance;
!     private string benchmark;
!     private Account account;
!     private int numOfWorstTickers;
!     private int numOfBestTickers;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private string[] bestTickers;
!     private string[] worstTickers;
!     private string[] chosenTickers;
!     private string[] lastOrderedTickers;
!     private ArrayList orders;
  		private bool thereAreEnoughBestTickers;
  		private bool thereAreEnoughWorstTickers;
  		private int closesElapsedWithSomeOpenPosition;
  
!     
!     public EndOfDayTimerHandlerBWFollower(string tickerGroupID, int numberOfEligibleTickers,
! 																						int lengthInDaysForPerformance,
!                                             int numOfBestTickers, 
! 																			      int numOfWorstTickers, int numOfTickersForBuying,
! 																			      int numOfTickersForShortSelling,
! 																			      Account account, string benchmark)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
!       this.account = account;
!       this.benchmark = benchmark;
!       this.numOfBestTickers = numOfBestTickers;
!       this.bestTickers = new string[this.numOfBestTickers];
!       this.numOfWorstTickers = numOfWorstTickers;
!       this.worstTickers = new string[this.numOfWorstTickers];
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.chosenTickers = new string[this.numOfTickersForBuying + this.numOfTickersForShortSelling];
!       this.lastOrderedTickers = new string[this.chosenTickers.Length];
!       this.orders = new ArrayList();
!     }
!     
!     #region MarketOpenEventHandler
  
!     private void addOrderForTicker(string[] tickers, 
!                                    int tickerPosition )
!     {
!       SignedTickers signedTickers = new SignedTickers(tickers);
! 			string ticker = 
!         SignedTicker.GetTicker(tickers[tickerPosition]);
!       double cashForSinglePosition = 
!         this.account.CashAmount / this.chosenTickers.Length;
!       long quantity =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = 
!         new Order( 
!         signedTickers[tickerPosition].MarketOrderType,
!         new Instrument( ticker ) , quantity );
!       this.orders.Add(order);
!     }	
  
!     private void addChosenTickersToOrderList(string[] tickers)
!     {
!       for( int i = 0; i<tickers.Length; i++)
!       {
!         if(tickers[i] != null)
!         {  
!           this.addOrderForTicker( tickers, i );
!           this.lastOrderedTickers[i] = 
!             SignedTicker.GetTicker(tickers[i]);
!         }
!       }
!     }
  
!     private void openPositions(string[] tickers)
!     {
!       this.addChosenTickersToOrderList(tickers);
!       //execute orders actually
!       foreach(object item in this.orders)
!         this.account.AddOrder((Order)item);
!     }
  
!     private void setChosenTickers_addTickersForShorting()
!     {
!       for( int i = 0;i<this.numOfTickersForShortSelling; i++)
!             this.chosenTickers[this.numOfTickersForBuying + i] = "-" + this.worstTickers[i];
!     }
!       
!     private void setChosenTickers_addTickersForBuying()
!     {
!       for( int i = 0; i<this.numOfTickersForBuying; i++ )
!             this.chosenTickers[i] = this.bestTickers[i];
!     }
  
!     private void setChosenTickersBothForLongAndShort()
!     {
! 			if( this.thereAreEnoughBestTickers && 
! 					this.thereAreEnoughWorstTickers )
!       {
  				try
  				{
--- 37,147 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the Best and Worst follower,
! 	/// based on the assumption that largest moves are confirmed
! 	/// the next days
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerBWFollower
! 	{
! 		private string tickerGroupID;
! 		private int numberOfEligibleTickers;
  		private int lengthInDaysForPerformance;
! 		private string benchmark;
! 		private Account account;
! 		private int numOfWorstTickers;
! 		private int numOfBestTickers;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private string[] bestTickers;
! 		private string[] worstTickers;
! 		private string[] chosenTickers;
! 		private string[] lastOrderedTickers;
! 		private ArrayList orders;
  		private bool thereAreEnoughBestTickers;
  		private bool thereAreEnoughWorstTickers;
  		private int closesElapsedWithSomeOpenPosition;
  
! 		
! 		public EndOfDayTimerHandlerBWFollower(string tickerGroupID, int numberOfEligibleTickers,
! 		                                      int lengthInDaysForPerformance,
! 		                                      int numOfBestTickers,
! 		                                      int numOfWorstTickers, int numOfTickersForBuying,
! 		                                      int numOfTickersForShortSelling,
! 		                                      Account account, string benchmark)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
! 			this.account = account;
! 			this.benchmark = benchmark;
! 			this.numOfBestTickers = numOfBestTickers;
! 			this.bestTickers = new string[this.numOfBestTickers];
! 			this.numOfWorstTickers = numOfWorstTickers;
! 			this.worstTickers = new string[this.numOfWorstTickers];
! 			this.numOfTickersForBuying = numOfTickersForBuying;
! 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
! 			this.chosenTickers = new string[this.numOfTickersForBuying + this.numOfTickersForShortSelling];
! 			this.lastOrderedTickers = new string[this.chosenTickers.Length];
! 			this.orders = new ArrayList();
! 		}
! 		
! 		#region MarketOpenEventHandler
  
! 		private void addOrderForTicker(string[] tickers,
! 		                               int tickerPosition )
! 		{
! 			SignedTickers signedTickers = new SignedTickers(tickers);
! 			string ticker =
! 				SignedTicker.GetTicker(tickers[tickerPosition]);
! 			double cashForSinglePosition =
! 				this.account.CashAmount / this.chosenTickers.Length;
! 			long quantity =
! 				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
! 			Order order =
! 				new Order(
! 					signedTickers[tickerPosition].MarketOrderType,
! 					new Instrument( ticker ) , quantity );
! 			this.orders.Add(order);
! 		}
  
! 		private void addChosenTickersToOrderList(string[] tickers)
! 		{
! 			for( int i = 0; i<tickers.Length; i++)
! 			{
! 				if(tickers[i] != null)
! 				{
! 					this.addOrderForTicker( tickers, i );
! 					this.lastOrderedTickers[i] =
! 						SignedTicker.GetTicker(tickers[i]);
! 				}
! 			}
! 		}
  
! 		private void openPositions(string[] tickers)
! 		{
! 			this.addChosenTickersToOrderList(tickers);
! 			//execute orders actually
! 			foreach(object item in this.orders)
! 				this.account.AddOrder((Order)item);
! 		}
  
! 		private void setChosenTickers_addTickersForShorting()
! 		{
! 			for( int i = 0;i<this.numOfTickersForShortSelling; i++)
! 				this.chosenTickers[this.numOfTickersForBuying + i] = "-" + this.worstTickers[i];
! 		}
! 		
! 		private void setChosenTickers_addTickersForBuying()
! 		{
! 			for( int i = 0; i<this.numOfTickersForBuying; i++ )
! 				this.chosenTickers[i] = this.bestTickers[i];
! 		}
  
! 		private void setChosenTickersBothForLongAndShort()
! 		{
! 			if( this.thereAreEnoughBestTickers &&
! 			   this.thereAreEnoughWorstTickers )
! 			{
  				try
  				{
***************
*** 150,165 ****
  				}
  				catch(Exception ex)
! 				{ex = ex;}
!       }
!     }
  
!     /// <summary>
!     /// Handles a "Market Open" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
  				this.account.AddCash(30000);
--- 150,167 ----
  				}
  				catch(Exception ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				}
! 			}
! 		}
  
! 		/// <summary>
! 		/// Handles a "Market Open" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
  				this.account.AddCash(30000);
***************
*** 173,200 ****
  			if(allTickersHasBeenChosenForLongAndShort)
  				this.openPositions(this.chosenTickers);
!     }
  
!     #endregion
  
!     #region MarketCloseEventHandler
  
!     private void closePosition( string ticker )
!     {
!       this.account.ClosePosition( ticker );
!     }
!     
!     private void closePositions()
!     {
!       if(this.lastOrderedTickers != null)
!         foreach( string ticker in this.lastOrderedTickers )
!                 for( int i = 0; i<this.account.Portfolio.Keys.Count; i++ )
!                     if( this.account.Portfolio[ticker]!=null )
!                        closePosition( ticker );
!     }
!     
!     public void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!      	if(this.account.Portfolio.Count > 0)
  			{
  				this.closesElapsedWithSomeOpenPosition++;
--- 175,202 ----
  			if(allTickersHasBeenChosenForLongAndShort)
  				this.openPositions(this.chosenTickers);
! 		}
  
! 		#endregion
  
! 		#region MarketCloseEventHandler
  
! 		private void closePosition( string ticker )
! 		{
! 			this.account.ClosePosition( ticker );
! 		}
! 		
! 		private void closePositions()
! 		{
! 			if(this.lastOrderedTickers != null)
! 				foreach( string ticker in this.lastOrderedTickers )
! 				for( int i = 0; i<this.account.Portfolio.Keys.Count; i++ )
! 				if( this.account.Portfolio[ticker]!=null )
! 				closePosition( ticker );
! 		}
! 		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			if(this.account.Portfolio.Count > 0)
  			{
  				this.closesElapsedWithSomeOpenPosition++;
***************
*** 207,211 ****
  				}
  			}
! 			else//this.account.Portfolio.Count == 0 
  			{
  				if( ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition >= this.lengthInDaysForPerformance )
--- 209,213 ----
  				}
  			}
! 			else//this.account.Portfolio.Count == 0
  			{
  				if( ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition >= this.lengthInDaysForPerformance )
***************
*** 215,224 ****
  				}
  			}
!     }
  
!     #endregion
  
!     #region OneHourAfterMarketCloseEventHandler
!     
  		private void oneHourAfterMarketCloseEventHandler_clear()
  		{
--- 217,226 ----
  				}
  			}
! 		}
  
! 		#endregion
  
! 		#region OneHourAfterMarketCloseEventHandler
! 		
  		private void oneHourAfterMarketCloseEventHandler_clear()
  		{
***************
*** 230,244 ****
  				this.chosenTickers[i] = null;
  		}
!  
  
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
! 			this.oneHourAfterMarketCloseEventHandler_clear(); 
  			DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
--- 232,246 ----
  				this.chosenTickers[i] = null;
  		}
! 		
  
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.oneHourAfterMarketCloseEventHandler_clear();
  			DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
***************
*** 246,284 ****
  				(DateTime)((IndexBasedEndOfDayTimer)sender).IndexQuotes.Rows[currentDateArrayPositionInTimer - this.lengthInDaysForPerformance]["quDate"];
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 				currentDate);
  			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
  			//remark from here for DEBUG
!       
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup = 
  				new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 				false, currentDate.AddDays(-30), currentDate,
! 				tickersFromGroup.Rows.Count, this.benchmark);
  
! 			SelectorByAverageRawOpenPrice byPrice = 
  				new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 				false, currentDate.AddDays(-10), currentDate,
! 				tickersFromGroup.Rows.Count, 25 );
!       
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 				false,currentDate.AddDays(-30), currentDate,
! 				this.numberOfEligibleTickers);
!       
! 			SelectorByCloseToCloseVolatility lessVolatile = 
  				new SelectorByCloseToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
! 				true,currentDate.AddDays(-30), currentDate,
! 				this.numberOfEligibleTickers/2);
!  
  			SelectorByAbsolutePerformance bestTickersFromLessVolatile =
  				new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				false,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
  
  			SelectorByAbsolutePerformance worstTickersFromLessVolatile =
  				new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				true,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
  
  			DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 			{	
  				this.thereAreEnoughBestTickers = true;
  				for(int i = 0;i<this.bestTickers.Length;i++)
--- 248,286 ----
  				(DateTime)((IndexBasedEndOfDayTimer)sender).IndexQuotes.Rows[currentDateArrayPositionInTimer - this.lengthInDaysForPerformance]["quDate"];
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 			                                                      currentDate);
  			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
  			//remark from here for DEBUG
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup =
  				new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 				                                       false, currentDate.AddDays(-30), currentDate,
! 				                                       tickersFromGroup.Rows.Count, this.benchmark);
  
! 			SelectorByAverageRawOpenPrice byPrice =
  				new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 				                                  false, currentDate.AddDays(-10), currentDate,
! 				                                  tickersFromGroup.Rows.Count, 25 );
! 			
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 				                        false,currentDate.AddDays(-30), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			SelectorByCloseToCloseVolatility lessVolatile =
  				new SelectorByCloseToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
! 				                                     true,currentDate.AddDays(-30), currentDate,
! 				                                     this.numberOfEligibleTickers/2);
! 			
  			SelectorByAbsolutePerformance bestTickersFromLessVolatile =
  				new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				                                  false,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
  
  			SelectorByAbsolutePerformance worstTickersFromLessVolatile =
  				new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				                                  true,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
  
  			DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 			{
  				this.thereAreEnoughBestTickers = true;
  				for(int i = 0;i<this.bestTickers.Length;i++)
***************
*** 293,297 ****
  			DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 			{	
  				this.thereAreEnoughWorstTickers = true;
  				for(int i = 0;i<this.worstTickers.Length;i++)
--- 295,299 ----
  			DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 			{
  				this.thereAreEnoughWorstTickers = true;
  				for(int i = 0;i<this.worstTickers.Length;i++)
***************
*** 303,332 ****
  				}
  			}
! //     //for DEBUG
! //     //remark from here for real running
! //       SelectorByLiquidity mostLiquidSelector =
! //        new SelectorByLiquidity(tickersFromGroup,
! //        false,currentDate.AddDays(-30), currentDate,
! //        this.numberOfEligibleTickers);
  //
! //      SelectorByAverageCloseToClosePerformance bestTickersFromMostLiquid =
! //        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! //        false,currentDate,currentDate,this.bestTickers.Length);
  //
! //      SelectorByAverageCloseToClosePerformance worstTickersFromMostLiquid =
! //        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! //        true,currentDate,currentDate,this.worstTickers.Length);
  //
! //      DataTable tableOfBestTickers = bestTickersFromMostLiquid.GetTableOfSelectedTickers();
! //      for(int i = 0;i<this.bestTickers.Length;i++)
! //        if(tableOfBestTickers.Rows[i][0] != null)
! //           this.bestTickers[i] = (string)tableOfBestTickers.Rows[i][0];
  //
! //      DataTable tableOfWorstTickers = worstTickersFromMostLiquid.GetTableOfSelectedTickers();
! //      for(int i = 0;i<this.worstTickers.Length;i++)
! //        if(tableOfWorstTickers.Rows[i][0] != null)
! //          this.worstTickers[i] = (string)tableOfWorstTickers.Rows[i][0];
!     }
!     #endregion
!   }
  }
--- 305,334 ----
  				}
  			}
! 			//     //for DEBUG
! 			//     //remark from here for real running
! 			//       SelectorByLiquidity mostLiquidSelector =
! 			//        new SelectorByLiquidity(tickersFromGroup,
! 			//        false,currentDate.AddDays(-30), currentDate,
! 			//        this.numberOfEligibleTickers);
  //
! 			//      SelectorByAverageCloseToClosePerformance bestTickersFromMostLiquid =
! 			//        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! 			//        false,currentDate,currentDate,this.bestTickers.Length);
  //
! 			//      SelectorByAverageCloseToClosePerformance worstTickersFromMostLiquid =
! 			//        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! 			//        true,currentDate,currentDate,this.worstTickers.Length);
  //
! 			//      DataTable tableOfBestTickers = bestTickersFromMostLiquid.GetTableOfSelectedTickers();
! 			//      for(int i = 0;i<this.bestTickers.Length;i++)
! 			//        if(tableOfBestTickers.Rows[i][0] != null)
! 			//           this.bestTickers[i] = (string)tableOfBestTickers.Rows[i][0];
  //
! 			//      DataTable tableOfWorstTickers = worstTickersFromMostLiquid.GetTableOfSelectedTickers();
! 			//      for(int i = 0;i<this.worstTickers.Length;i++)
! 			//        if(tableOfWorstTickers.Rows[i][0] != null)
! 			//          this.worstTickers[i] = (string)tableOfWorstTickers.Rows[i][0];
! 		}
! 		#endregion
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO EndOfDayTimerHandlerBiasedPVO.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

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

Index: EndOfDayTimerHandlerBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayTimerHandlerBiasedPVO.cs	9 Mar 2008 22:40:51 -0000	1.5
--- EndOfDayTimerHandlerBiasedPVO.cs	19 Aug 2008 17:11:26 -0000	1.6
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerBiasedPVO.cs
! Copyright (C) 2006 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerBiasedPVO.cs
! Copyright (C) 2006
  Marco Milletti
[...1087 lines suppressed...]
! 			this.numDaysElapsedSinceLastOptimization++;
! 			if((this.numDaysElapsedSinceLastOptimization ==
! 			    this.numDaysBetweenEachOptimization))
! 				//num days without optimization has elapsed
! 			{
! 				if(this.pathOfFileContainingGenomes == null)
! 					//tickers have to be set by a new optimization process (in sample)
! 					this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
! 				//sets tickers to be chosen next Market Close event
! 				else//this.pathOfFileContainingGenomes != null
! 					this.setTickersFromFile(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
! 				//set tickers from file
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 		}
! 		
! 		#endregion
  
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination ExtremeCounterTrendStrategy.cs, 1.5, 1.6 FixedLevelOscillatorBiasedPVOStrategy.cs, 1.5, 1.6 GenomeRepresentation.cs, 1.8, 1.9 ImmediateTrendFollowerStrategy.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/WalkForwardTesting/LinearCombination

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

Index: FixedLevelOscillatorBiasedPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorBiasedPVOStrategy.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** FixedLevelOscillatorBiasedPVOStrategy.cs	12 Mar 2008 22:09:04 -0000	1.5
--- FixedLevelOscillatorBiasedPVOStrategy.cs	19 Aug 2008 17:11:29 -0000	1.6
***************
*** 3,7 ****
  
  FixedLevelOscillatorBiasedPVOStrategy.cs
! Copyright (C) 2007 
  Marco Milletti
  
--- 3,7 ----
  
  FixedLevelOscillatorBiasedPVOStrategy.cs
! Copyright (C) 2007
  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;
***************
*** 36,114 ****
  {
  	/// <summary>
! 	/// Fixed Level Oscillators 
  	/// Biased Portfolio Value Oscillator strategy:
  	/// from a group of optimized PVO portfolios, the strategy indicates
  	/// to buy the portfolio that presents the highest degree
! 	/// of moving from a threshold 
  	/// </summary>
  	[Serializable]
  	public class FixedLevelOscillatorBiasedPVOStrategy : EndOfDayTimerHandlerBiasedPVO, IEndOfDayStrategy
  	{
!     
  		public FixedLevelOscillatorBiasedPVOStrategy( Account accountPVO ,
! 			                                     WeightedPositions[] weightedPositionsToEvaluateOutOfSample,
!                                            double[] oversoldThreshold,
!                                            double[] overboughtThreshold,
!                                            int numOfDifferentGenomesToEvaluateOutOfSample,
!                                            int numDaysForOscillatingPeriod,
!                                            double maxAcceptableCloseToCloseDrawdown,
!                                            double minimumAcceptableGain):
!                                         base("", 0, 0, 0, 
!                                         weightedPositionsToEvaluateOutOfSample[0].Count, 0, accountPVO, null, 0, 0,
!                                         "^GSPC", numOfDifferentGenomesToEvaluateOutOfSample,
! 																				false,0,
! 																				1.0,
! 																				1000.0,
! 																				false,
! 																				false,
!                                         numDaysForOscillatingPeriod,numDaysForOscillatingPeriod,1,1,1,1,1,false,false,0,
!                                         PortfolioType.ShortAndLong,maxAcceptableCloseToCloseDrawdown,
!                                         minimumAcceptableGain)
!                                        
  		{
  			this.weightedPositionsToEvaluateOutOfSample = weightedPositionsToEvaluateOutOfSample;
!       this.currentOversoldThreshold = oversoldThreshold;
!       this.currentOverboughtThreshold = overboughtThreshold;
!       this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!       this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
  		}
! 						
!     public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
!       EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!     }
!     		
!     protected override double getCurrentWeightedPositionsGainOrLoss(
  			IndexBasedEndOfDayTimer timer,
! 	  	ReturnsManager returnsManager,
! 	  	int indexForChosenWeightedPositions)
!     {
!       double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod >= 0)
!       //if there are sufficient data for computing currentChosenTickersValue
!       //that's why the method has been overriden
!       {
  				try
  				{
! 					DateTime today = 
  						(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 					DateTime lastMarketDay = 
  						(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
  					returnValue =
  						this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetReturn(
! 						0, returnsManager);
  				}
  				catch(MissingQuotesException ex)
  				{
! 					ex = ex;
  				}
! 			}		
  			return returnValue;
!     }   
  
!     public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       
  		}
  	}
--- 36,114 ----
  {
  	/// <summary>
! 	/// Fixed Level Oscillators
  	/// Biased Portfolio Value Oscillator strategy:
  	/// from a group of optimized PVO portfolios, the strategy indicates
  	/// to buy the portfolio that presents the highest degree
! 	/// of moving from a threshold
  	/// </summary>
  	[Serializable]
  	public class FixedLevelOscillatorBiasedPVOStrategy : EndOfDayTimerHandlerBiasedPVO, IEndOfDayStrategy
  	{
! 		
  		public FixedLevelOscillatorBiasedPVOStrategy( Account accountPVO ,
! 		                                             WeightedPositions[] weightedPositionsToEvaluateOutOfSample,
! 		                                             double[] oversoldThreshold,
! 		                                             double[] overboughtThreshold,
! 		                                             int numOfDifferentGenomesToEvaluateOutOfSample,
! 		                                             int numDaysForOscillatingPeriod,
! 		                                             double maxAcceptableCloseToCloseDrawdown,
! 		                                             double minimumAcceptableGain):
! 			base("", 0, 0, 0,
! 			     weightedPositionsToEvaluateOutOfSample[0].Count, 0, accountPVO, null, 0, 0,
! 			     "^GSPC", numOfDifferentGenomesToEvaluateOutOfSample,
! 			     false,0,
! 			     1.0,
! 			     1000.0,
! 			     false,
! 			     false,
! 			     numDaysForOscillatingPeriod,numDaysForOscillatingPeriod,1,1,1,1,1,false,false,0,
! 			     PortfolioType.ShortAndLong,maxAcceptableCloseToCloseDrawdown,
! 			     minimumAcceptableGain)
! 			
  		{
  			this.weightedPositionsToEvaluateOutOfSample = weightedPositionsToEvaluateOutOfSample;
! 			this.currentOversoldThreshold = oversoldThreshold;
! 			this.currentOverboughtThreshold = overboughtThreshold;
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
! 			this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
  		}
! 		
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     EndOfDayTimingEventArgs endOfDayTimingEventArgs)
! 		{
! 		}
! 		
! 		protected override double getCurrentWeightedPositionsGainOrLoss(
  			IndexBasedEndOfDayTimer timer,
! 			ReturnsManager returnsManager,
! 			int indexForChosenWeightedPositions)
! 		{
! 			double returnValue = 999.0;
! 			if(timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod >= 0)
! 				//if there are sufficient data for computing currentChosenTickersValue
! 				//that's why the method has been overriden
! 			{
  				try
  				{
! 					DateTime today =
  						(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 					DateTime lastMarketDay =
  						(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
  					returnValue =
  						this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetReturn(
! 							0, returnsManager);
  				}
  				catch(MissingQuotesException ex)
  				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  				}
! 			}
  			return returnValue;
! 		}
  
! 		public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                         EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
! 			
  		}
  	}

Index: ImmediateTrendFollowerStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/ImmediateTrendFollowerStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ImmediateTrendFollowerStrategy.cs	29 Aug 2007 09:43:36 -0000	1.2
--- ImmediateTrendFollowerStrategy.cs	19 Aug 2008 17:11:29 -0000	1.3
***************
*** 3,7 ****
  
  ImmediateTrendFollowerStrategy.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  ImmediateTrendFollowerStrategy.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
***************
*** 36,40 ****
  	/// <summary>
  	/// Immediate Trend Follower Strategy (it's just the
! 	/// reversal of the ExtremeCounterTrend strategy 
  	/// </summary>
  	[Serializable]
--- 36,40 ----
  	/// <summary>
  	/// Immediate Trend Follower Strategy (it's just the
! 	/// reversal of the ExtremeCounterTrend strategy
  	/// </summary>
  	[Serializable]
***************
*** 42,135 ****
  	{
  		private int numDaysForReturnCalculation;
!     private int numOfClosesElapsed = 0;
!     private int numOfDaysWithOpenPosition = 0;
  
  		public ImmediateTrendFollowerStrategy( Account account ,
! 			                              WeightedPositions weightedPositions,
! 			                              int numDaysForReturnCalculation) :
!     																base("", 0, 
!                                 weightedPositions.Count, 0, account,
!                                 0,
!                                 0,
!                                 "^GSPC", 0.0,
!                                 PortfolioType.ShortAndLong)
  		{
  			this.account = account;
  			this.chosenWeightedPositions = weightedPositions;
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
  		}
-     
-     public override void MarketOpenEventHandler(
-       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
-     {
-     }
  		
!     public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
!       EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!     }
  
!     private double marketCloseEventHandler_openPositions_getLastHalfPeriodGain(IndexBasedEndOfDayTimer timer)
!     {
!       double returnValue = 999.0;
!       try
!       {
! 		    DateTime initialDateForHalfPeriod = 
! 	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
! 	      DateTime finalDateForHalfPeriod = 
! 	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	returnValue =
! 	      	 this.chosenWeightedPositions.GetCloseToCloseReturn(initialDateForHalfPeriod,finalDateForHalfPeriod);
!       }
!     	catch(MissingQuotesException ex)
!     	{
!     		ex = ex;
!     	}
!     	return returnValue;
!     }   
  
!     private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
!     {
!       double lastHalfPeriodGain = 
!       		this.marketCloseEventHandler_openPositions_getLastHalfPeriodGain(timer);
!     	if(lastHalfPeriodGain != 999.0)
!     	//last half period gain has been properly computed
!     	{
!     		if(lastHalfPeriodGain > 0.0)
!           //the portfolio had a gain for the last half period
!     			this.openPositions();
!     		else//the portfolio had a loss for the last half period
!     		{
!     			this.chosenWeightedPositions.Reverse();
!     			//short the portfolio
!     			try{this.openPositions();}
!     			catch(Exception ex){ex = ex;}
!     			finally{this.chosenWeightedPositions.Reverse();}
!     		}
!     	}
!     }
!         
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       if(this.account.Portfolio.Count > 0)
!         this.numOfDaysWithOpenPosition++;
!       
!       if(this.numOfDaysWithOpenPosition == this.numDaysForReturnCalculation)
!       	AccountManager.ClosePositions(this.account);
!       
!       if(this.account.Portfolio.Count == 0 &&
!           (this.numOfClosesElapsed + 1) >= this.numDaysForReturnCalculation)
!         //portfolio is empty and previous closes can be now checked
!       	if(this.account.Portfolio.Count == 0)
!       		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
!       
!       this.numOfClosesElapsed++;
!     }
  		
!     public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!       
  		}
  	}
--- 42,138 ----
  	{
  		private int numDaysForReturnCalculation;
! 		private int numOfClosesElapsed = 0;
! 		private int numOfDaysWithOpenPosition = 0;
  
  		public ImmediateTrendFollowerStrategy( Account account ,
! 		                                      WeightedPositions weightedPositions,
! 		                                      int numDaysForReturnCalculation) :
! 			base("", 0,
! 			     weightedPositions.Count, 0, account,
! 			     0,
! 			     0,
! 			     "^GSPC", 0.0,
! 			     PortfolioType.ShortAndLong)
  		{
  			this.account = account;
  			this.chosenWeightedPositions = weightedPositions;
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
  		}
  		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 		}
! 		
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     EndOfDayTimingEventArgs endOfDayTimingEventArgs)
! 		{
! 		}
  
! 		private double marketCloseEventHandler_openPositions_getLastHalfPeriodGain(IndexBasedEndOfDayTimer timer)
! 		{
! 			double returnValue = 999.0;
! 			try
! 			{
! 				DateTime initialDateForHalfPeriod =
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
! 				DateTime finalDateForHalfPeriod =
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				returnValue =
! 					this.chosenWeightedPositions.GetCloseToCloseReturn(initialDateForHalfPeriod,finalDateForHalfPeriod);
! 			}
! 			catch(MissingQuotesException ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 			return returnValue;
! 		}
  
! 		private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
! 		{
! 			double lastHalfPeriodGain =
! 				this.marketCloseEventHandler_openPositions_getLastHalfPeriodGain(timer);
! 			if(lastHalfPeriodGain != 999.0)
! 				//last half period gain has been properly computed
! 			{
! 				if(lastHalfPeriodGain > 0.0)
! 					//the portfolio had a gain for the last half period
! 					this.openPositions();
! 				else//the portfolio had a loss for the last half period
! 				{
! 					this.chosenWeightedPositions.Reverse();
! 					//short the portfolio
! 					try{this.openPositions();}
! 					catch(Exception ex)
! 					{
! 						string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 					}
! 					finally{this.chosenWeightedPositions.Reverse();}
! 				}
! 			}
! 		}
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if(this.account.Portfolio.Count > 0)
! 				this.numOfDaysWithOpenPosition++;
! 			
! 			if(this.numOfDaysWithOpenPosition == this.numDaysForReturnCalculation)
! 				AccountManager.ClosePositions(this.account);
! 			
! 			if(this.account.Portfolio.Count == 0 &&
! 			   (this.numOfClosesElapsed + 1) >= this.numDaysForReturnCalculation)
! 				//portfolio is empty and previous closes can be now checked
! 				if(this.account.Portfolio.Count == 0)
! 				this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
! 			
! 			this.numOfClosesElapsed++;
! 		}
! 		
! 		public override void OneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                         EndOfDayTimingEventArgs endOfDayTimingEventArgs)
! 		{
! 			
  		}
  	}

Index: GenomeRepresentation.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/GenomeRepresentation.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** GenomeRepresentation.cs	17 Sep 2006 21:24:53 -0000	1.8
--- GenomeRepresentation.cs	19 Aug 2008 17:11:29 -0000	1.9
***************
*** 3,7 ****
  
  GenomeRepresentation.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  GenomeRepresentation.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
***************
*** 41,54 ****
  		private double fitness;
  		private string signedTickers;
!     private string weights;
  		private int generationCounter;
  		private DateTime firstOptimizationDate;
  		private DateTime lastOptimizationDate;
  		private int eligibleTickers = -1;
!     private int halfPeriodDays = -1;
!     private PortfolioType portfolioType = PortfolioType.ShortAndLong;
  		private int createdGenerations = -1;
!     private double oversoldThreshold = 0.0;
!     private double overboughtThreshold = 0.0;
  		
  		public string SignedTickers
--- 41,54 ----
  		private double fitness;
  		private string signedTickers;
! 		private string weights;
  		private int generationCounter;
  		private DateTime firstOptimizationDate;
  		private DateTime lastOptimizationDate;
  		private int eligibleTickers = -1;
! 		private int halfPeriodDays = -1;
! 		private PortfolioType portfolioType = PortfolioType.ShortAndLong;
  		private int createdGenerations = -1;
! 		private double oversoldThreshold = 0.0;
! 		private double overboughtThreshold = 0.0;
  		
  		public string SignedTickers
***************
*** 59,63 ****
  			}
  		}
!     
  		public int EligibleTickers
  		{
--- 59,63 ----
  			}
  		}
! 		
  		public int EligibleTickers
  		{
***************
*** 68,78 ****
  		}
  		
!     public string WeightsForSignedTickers
!     {
!       get
!       {
!         return this.weights;
!       }
!     }
  		public double Fitness
  		{
--- 68,78 ----
  		}
  		
! 		public string WeightsForSignedTickers
! 		{
! 			get
! 			{
! 				return this.weights;
! 			}
! 		}
  		public double Fitness
  		{
***************
*** 104,138 ****
  		}
  		
!     public int HalfPeriodDays
!     {
!       get
!       {
!         return this.halfPeriodDays;
!       }
!     }
  
!     public PortfolioType PortfolioType
!     {
!       get
!       {
!         return this.portfolioType;
!       }
!     }
  
!     public double OversoldThreshold
!     {
!       get
!       {
!         return this.oversoldThreshold;
!       }
!     }
!     
!     public double OverboughtThreshold
!     {
!       get
!       {
!         return this.overboughtThreshold;
!       }
!     }
  
  //		public static string[] GetSignedTickers( string signedTickers )
--- 104,138 ----
  		}
  		
! 		public int HalfPeriodDays
! 		{
! 			get
! 			{
! 				return this.halfPeriodDays;
! 			}
! 		}
  
! 		public PortfolioType PortfolioType
! 		{
! 			get
! 			{
! 				return this.portfolioType;
! 			}
! 		}
  
! 		public double OversoldThreshold
! 		{
! 			get
! 			{
! 				return this.oversoldThreshold;
! 			}
! 		}
! 		
! 		public double OverboughtThreshold
! 		{
! 			get
! 			{
! 				return this.overboughtThreshold;
! 			}
! 		}
  
  //		public static string[] GetSignedTickers( string signedTickers )
***************
*** 142,178 ****
  //		}
  		
!     	public static double[] GetWeightsArray( string weightsWithSeparator )
!     	{
!     		double[] returnValue;
!         string[] returnValueString = weightsWithSeparator.Split( ";".ToCharArray());
!     		returnValue = new double[returnValueString.Length];
!         for(int i = 0; i<returnValue.Length; i++)
!         {
!           returnValue[i] = Convert.ToDouble(returnValueString[i]);
!         }
!         return returnValue;
!     	}
  
  		public static string[] GetSignedTickers( string signedTickersWithOrWithoutWeights )
  		{
! 			string[] returnValue = 
!         signedTickersWithOrWithoutWeights.Split( ConstantsProvider.SeparatorForTickers.ToCharArray());
  			if( signedTickersWithOrWithoutWeights.Split( ConstantsProvider.SeparatorForWeights.ToCharArray() ).Length > 1 )
! 			//the separator char for tickers is contained in signedTickersWithWeights: 
! 			//so weights have been saved within tickers, separated by this special char
  			{
  				for(int i = 0; i<returnValue.Length; i++)
  				{
! 					returnValue[i] = 
! 						 returnValue[i].Split( ConstantsProvider.SeparatorForWeights.ToCharArray() )[0];
  				}
! 			}	
  			return returnValue;
  		}
! 	
  		public static double[] GetWeightsForSignedTickers( string signedTickersWithOrWithoutWeights )
  		{
! 			string[] signedTickersWithOrWithoutWeightsArray = 
! 								signedTickersWithOrWithoutWeights.Split( ConstantsProvider.SeparatorForTickers.ToCharArray() );
  			double[] returnValue =
  				new double[signedTickersWithOrWithoutWeights.Length];
--- 142,178 ----
  //		}
  		
! 		public static double[] GetWeightsArray( string weightsWithSeparator )
! 		{
! 			double[] returnValue;
! 			string[] returnValueString = weightsWithSeparator.Split( ";".ToCharArray());
! 			returnValue = new double[returnValueString.Length];
! 			for(int i = 0; i<returnValue.Length; i++)
! 			{
! 				returnValue[i] = Convert.ToDouble(returnValueString[i]);
! 			}
! 			return returnValue;
! 		}
  
  		public static string[] GetSignedTickers( string signedTickersWithOrWithoutWeights )
  		{
! 			string[] returnValue =
! 				signedTickersWithOrWithoutWeights.Split( ConstantsProvider.SeparatorForTickers.ToCharArray());
  			if( signedTickersWithOrWithoutWeights.Split( ConstantsProvider.SeparatorForWeights.ToCharArray() ).Length > 1 )
! 				//the separator char for tickers is contained in signedTickersWithWeights:
! 				//so weights have been saved within tickers, separated by this special char
  			{
  				for(int i = 0; i<returnValue.Length; i++)
  				{
! 					returnValue[i] =
! 						returnValue[i].Split( ConstantsProvider.SeparatorForWeights.ToCharArray() )[0];
  				}
! 			}
  			return returnValue;
  		}
! 		
  		public static double[] GetWeightsForSignedTickers( string signedTickersWithOrWithoutWeights )
  		{
! 			string[] signedTickersWithOrWithoutWeightsArray =
! 				signedTickersWithOrWithoutWeights.Split( ConstantsProvider.SeparatorForTickers.ToCharArray() );
  			double[] returnValue =
  				new double[signedTickersWithOrWithoutWeights.Length];
***************
*** 181,193 ****
  			
  			if((signedTickersWithOrWithoutWeights.Split(ConstantsProvider.SeparatorForWeights.ToCharArray())).Length > 1)
! 			//the separator for weights is contained in signedTickersWithWeights: 
! 			//so weights have been saved within tickers, separated by this char
  			{
  				for(int i = 0; i<returnValue.Length; i++)
  				{
! 					returnValue[i] = 
  						Convert.ToDouble( signedTickersWithOrWithoutWeightsArray[i].Split( ConstantsProvider.SeparatorForWeights.ToCharArray() )[1] );
  				}
! 			}	
  			return returnValue;
  		}
--- 181,193 ----
  			
  			if((signedTickersWithOrWithoutWeights.Split(ConstantsProvider.SeparatorForWeights.ToCharArray())).Length > 1)
! 				//the separator for weights is contained in signedTickersWithWeights:
! 				//so weights have been saved within tickers, separated by this char
  			{
  				for(int i = 0; i<returnValue.Length; i++)
  				{
! 					returnValue[i] =
  						Convert.ToDouble( signedTickersWithOrWithoutWeightsArray[i].Split( ConstantsProvider.SeparatorForWeights.ToCharArray() )[1] );
  				}
! 			}
  			return returnValue;
  		}
***************
*** 218,235 ****
  				signedTickers += signedTicker + ";";
  			signedTickers = signedTickers.Substring( 0 ,
! 				signedTickers.Length - 1 );
  			return signedTickers;
  		}
-     		
-     private string getWeights( Genome genome )
-     {
-       string weights = "";
-       foreach ( double weight in ((GenomeMeaning)genome.Meaning).TickersPortfolioWeights )
-         weights += weight.ToString() + ";";
-       weights = weights.Substring( 0, weights.Length - 1 );
-       return weights;
-     }
  		
!     //		private string getSignedTickersWithWeights( Genome genome )
  //		{
  //			string signedTickersWithWeights = "";
--- 218,235 ----
  				signedTickers += signedTicker + ";";
  			signedTickers = signedTickers.Substring( 0 ,
! 			                                        signedTickers.Length - 1 );
  			return signedTickers;
  		}
  		
! 		private string getWeights( Genome genome )
! 		{
! 			string weights = "";
! 			foreach ( double weight in ((GenomeMeaning)genome.Meaning).TickersPortfolioWeights )
! 				weights += weight.ToString() + ";";
! 			weights = weights.Substring( 0, weights.Length - 1 );
! 			return weights;
! 		}
! 		
! 		//		private string getSignedTickersWithWeights( Genome genome )
  //		{
  //			string signedTickersWithWeights = "";
***************
*** 237,241 ****
  //			{
  //				signedTickersWithWeights +=
! //					((GenomeMeaning)genome.Meaning).Tickers[i] + 
  //					ConstantsProvider.SeparatorForWeights +
  //					((GenomeMeaning)genome.Meaning).TickersPortfolioWeights[i] +
--- 237,241 ----
  //			{
  //				signedTickersWithWeights +=
! //					((GenomeMeaning)genome.Meaning).Tickers[i] +
  //					ConstantsProvider.SeparatorForWeights +
  //					((GenomeMeaning)genome.Meaning).TickersPortfolioWeights[i] +
***************
*** 244,266 ****
  //			signedTickersWithWeights = signedTickersWithWeights.Substring( 0 ,
  //					signedTickersWithWeights.Length - 1 );
! //			
  //			return signedTickersWithWeights;
  //		}
  		
!     private void genomeRepresentation_synchronizeOldWithNew()
!     {
!       if(this.weights == null)
!       //for old genomes saved to disk not having "weights" field
!       {
!         foreach(double weight in GenomeRepresentation.GetWeightsForSignedTickers(this.signedTickers))
!           this.weights += weight.ToString() + ";";
!         this.weights = this.weights.Substring( 0, this.weights.Length - 1 );
!       //
!         string newRepresentationForSignedTickers = null;
!         foreach(string ticker in GenomeRepresentation.GetSignedTickers(this.signedTickers))
!           newRepresentationForSignedTickers += ticker + ";";
!         this.signedTickers = newRepresentationForSignedTickers.Substring(0, newRepresentationForSignedTickers.Length -1);
!       }
!     }
  
  		/// <summary>
--- 244,266 ----
  //			signedTickersWithWeights = signedTickersWithWeights.Substring( 0 ,
  //					signedTickersWithWeights.Length - 1 );
! //
  //			return signedTickersWithWeights;
  //		}
  		
! 		private void genomeRepresentation_synchronizeOldWithNew()
! 		{
! 			if(this.weights == null)
! 				//for old genomes saved to disk not having "weights" field
! 			{
! 				foreach(double weight in GenomeRepresentation.GetWeightsForSignedTickers(this.signedTickers))
! 					this.weights += weight.ToString() + ";";
! 				this.weights = this.weights.Substring( 0, this.weights.Length - 1 );
! 				//
! 				string newRepresentationForSignedTickers = null;
! 				foreach(string ticker in GenomeRepresentation.GetSignedTickers(this.signedTickers))
! 					newRepresentationForSignedTickers += ticker + ";";
! 				this.signedTickers = newRepresentationForSignedTickers.Substring(0, newRepresentationForSignedTickers.Length -1);
! 			}
! 		}
  
  		/// <summary>
***************
*** 278,282 ****
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++) 
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
--- 278,282 ----
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++)
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
***************
*** 284,301 ****
  				// set the field to the deserialized value
  				try{
! 				fieldInfo.SetValue( this ,
! 					info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
  				}
  				catch(Exception ex)
! 				{ex = ex;}
  			}
!       this.genomeRepresentation_synchronizeOldWithNew();
  		}
  		
  		private void genomeRepresentation( Genome genome ,
! 			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 			int generationCounter, int eligibleTickers,
! 			int halfPeriodDays, PortfolioType portfolioType,
! 		  int createdGenerations)
  		{
  			this.fitness = genome.Fitness;
--- 284,303 ----
  				// set the field to the deserialized value
  				try{
! 					fieldInfo.SetValue( this ,
! 					                   info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
  				}
  				catch(Exception ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				}
  			}
! 			this.genomeRepresentation_synchronizeOldWithNew();
  		}
  		
  		private void genomeRepresentation( Genome genome ,
! 		                                  DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 		                                  int generationCounter, int eligibleTickers,
! 		                                  int halfPeriodDays, PortfolioType portfolioType,
! 		                                  int createdGenerations)
  		{
  			this.fitness = genome.Fitness;
***************
*** 303,328 ****
  			this.signedTickers = this.getSignedTickers( ((GenomeMeaning)genome.Meaning).Tickers );
  			this.weights = this.getWeights( genome );
!       this.firstOptimizationDate = firstOptimizationDate;
  			this.lastOptimizationDate = lastOptimizationDate;
  			this.generationCounter = generationCounter;
  			this.eligibleTickers = eligibleTickers;
!       this.halfPeriodDays = halfPeriodDays;
!       this.portfolioType = portfolioType;
!       this.createdGenerations = createdGenerations;
  		}
  		
!     public GenomeRepresentation( Genome genome ,
! 			DateTime firstOptimizationDate , DateTime lastOptimizationDate )
  		{
  			this.genomeRepresentation( genome ,
! 				firstOptimizationDate , lastOptimizationDate , -1, -1, -1, PortfolioType.ShortAndLong, -1 );
  		}
  		
!     public GenomeRepresentation( Genome genome ,
! 			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 			int generationCounter )
  		{
  			this.genomeRepresentation( genome , firstOptimizationDate ,
! 				lastOptimizationDate , generationCounter, -1, -1, PortfolioType.ShortAndLong, -1);
  		}
  		
--- 305,330 ----
  			this.signedTickers = this.getSignedTickers( ((GenomeMeaning)genome.Meaning).Tickers );
  			this.weights = this.getWeights( genome );
! 			this.firstOptimizationDate = firstOptimizationDate;
  			this.lastOptimizationDate = lastOptimizationDate;
  			this.generationCounter = generationCounter;
  			this.eligibleTickers = eligibleTickers;
! 			this.halfPeriodDays = halfPeriodDays;
! 			this.portfolioType = portfolioType;
! 			this.createdGenerations = createdGenerations;
  		}
  		
! 		public GenomeRepresentation( Genome genome ,
! 		                            DateTime firstOptimizationDate , DateTime lastOptimizationDate )
  		{
  			this.genomeRepresentation( genome ,
! 			                          firstOptimizationDate , lastOptimizationDate , -1, -1, -1, PortfolioType.ShortAndLong, -1 );
  		}
  		
! 		public GenomeRepresentation( Genome genome ,
! 		                            DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 		                            int generationCounter )
  		{
  			this.genomeRepresentation( genome , firstOptimizationDate ,
! 			                          lastOptimizationDate , generationCounter, -1, -1, PortfolioType.ShortAndLong, -1);
  		}
  		
***************
*** 330,334 ****
  		                            string[] signedTickersArray,
  		                            DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 																int eligibleTickers )
  		{
  			this.fitness = BFOptimizableParamaters.Fitness;
--- 332,336 ----
  		                            string[] signedTickersArray,
  		                            DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 		                            int eligibleTickers )
  		{
  			this.fitness = BFOptimizableParamaters.Fitness;
***************
*** 336,394 ****
  			this.signedTickers = this.getSignedTickers(signedTickersArray);
  			this.weights = null;
!       this.firstOptimizationDate = firstOptimizationDate;
  			this.lastOptimizationDate = lastOptimizationDate;
  			this.eligibleTickers = eligibleTickers;
!    	}
!     
  		
  		public GenomeRepresentation( Genome genome ,
! 			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 			int generationCounter, int eligibleTickers )
  		{
  			this.genomeRepresentation( genome , firstOptimizationDate ,
! 				lastOptimizationDate , generationCounter, eligibleTickers, -1, PortfolioType.ShortAndLong, -1);
  		}
-     
-     public GenomeRepresentation( Genome genome ,
-       DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
-       int generationCounter, int eligibleTickers, int halfPeriodDays )
-     {
-       this.genomeRepresentation( genome , firstOptimizationDate ,
-         lastOptimizationDate , generationCounter, eligibleTickers, halfPeriodDays,
-         PortfolioType.ShortAndLong, -1);
-     }
-     
-     public GenomeRepresentation( Genome genome ,
-       DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
-       int generationCounter, int eligibleTickers,
-       int halfPeriodDays, PortfolioType portfolioType )
-     {
-       this.genomeRepresentation( genome , firstOptimizationDate ,
-         lastOptimizationDate , generationCounter, eligibleTickers,
-         halfPeriodDays, portfolioType, -1);
-     }
  		
! 		 public GenomeRepresentation( Genome genome ,
!       DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
!       int generationCounter, int eligibleTickers,
!       int halfPeriodDays, PortfolioType portfolioType, int createdGenerations )
!     {
!       this.genomeRepresentation( genome , firstOptimizationDate ,
!         lastOptimizationDate , generationCounter, eligibleTickers,
!         halfPeriodDays, portfolioType, createdGenerations);
!     }
  
!     public GenomeRepresentation( Genome genome ,
!       DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
!       int generationCounter, int eligibleTickers,
!       int halfPeriodDays, PortfolioType portfolioType, int createdGenerations,
!       double oversoldThreshold, double overboughtThreshold)
!     {
!       this.genomeRepresentation( genome , firstOptimizationDate ,
!         lastOptimizationDate , generationCounter, eligibleTickers,
!         halfPeriodDays, portfolioType, createdGenerations);
!       this.oversoldThreshold = oversoldThreshold;
!       this.overboughtThreshold = overboughtThreshold;
!     }
  
  		#region GetObjectData
--- 338,396 ----
  			this.signedTickers = this.getSignedTickers(signedTickersArray);
  			this.weights = null;
! 			this.firstOptimizationDate = firstOptimizationDate;
  			this.lastOptimizationDate = lastOptimizationDate;
  			this.eligibleTickers = eligibleTickers;
! 		}
! 		
  		
  		public GenomeRepresentation( Genome genome ,
! 		                            DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 		                            int generationCounter, int eligibleTickers )
  		{
  			this.genomeRepresentation( genome , firstOptimizationDate ,
! 			                          lastOptimizationDate , generationCounter, eligibleTickers, -1, PortfolioType.ShortAndLong, -1);
  		}
  		
! 		public GenomeRepresentation( Genome genome ,
! 		                            DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 		                            int generationCounter, int eligibleTickers, int halfPeriodDays )
! 		{
! 			this.genomeRepresentation( genome , firstOptimizationDate ,
! 			                          lastOptimizationDate , generationCounter, eligibleTickers, halfPeriodDays,
! 			                          PortfolioType.ShortAndLong, -1);
! 		}
! 		
! 		public GenomeRepresentation( Genome genome ,
! 		                            DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 		                            int generationCounter, int eligibleTickers,
! 		                            int halfPeriodDays, PortfolioType portfolioType )
! 		{
! 			this.genomeRepresentation( genome , firstOptimizationDate ,
! 			                          lastOptimizationDate , generationCounter, eligibleTickers,
! 			                          halfPeriodDays, portfolioType, -1);
! 		}
! 		
! 		public GenomeRepresentation( Genome genome ,
! 		                            DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 		                            int generationCounter, int eligibleTickers,
! 		                            int halfPeriodDays, PortfolioType portfolioType, int createdGenerations )
! 		{
! 			this.genomeRepresentation( genome , firstOptimizationDate ,
! 			                          lastOptimizationDate , generationCounter, eligibleTickers,
! 			                          halfPeriodDays, portfolioType, createdGenerations);
! 		}
  
! 		public GenomeRepresentation( Genome genome ,
! 		                            DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
! 		                            int generationCounter, int eligibleTickers,
! 		                            int halfPeriodDays, PortfolioType portfolioType, int createdGenerations,
! 		                            double oversoldThreshold, double overboughtThreshold)
! 		{
! 			this.genomeRepresentation( genome , firstOptimizationDate ,
! 			                          lastOptimizationDate , generationCounter, eligibleTickers,
! 			                          halfPeriodDays, portfolioType, createdGenerations);
! 			this.oversoldThreshold = oversoldThreshold;
! 			this.overboughtThreshold = overboughtThreshold;
! 		}
  
  		#region GetObjectData
***************
*** 399,411 ****
  		/// <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));
--- 401,413 ----
  		/// <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));

Index: ExtremeCounterTrendStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/ExtremeCounterTrendStrategy.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** ExtremeCounterTrendStrategy.cs	12 Mar 2008 22:09:04 -0000	1.5
--- ExtremeCounterTrendStrategy.cs	19 Aug 2008 17:11:28 -0000	1.6
***************
*** 3,7 ****
  
  ExtremeCounterTrendStrategy.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  ExtremeCounterTrendStrategy.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;
***************
*** 44,154 ****
  		private WeightedPositions weightedPositions;
  		private int numDaysForReturnCalculation;
!     private int numOfClosesElapsed = 0;
!     private int numOfDaysWithOpenPosition = 0;
!     private PortfolioType portfolioType;
  
!     public Account Account
  		{
  			get { return this.account; }
  			set { this.account = value; }
  		}
!     
  		public ExtremeCounterTrendStrategy( Account account ,
! 			                              WeightedPositions weightedPositions,
!                                     int numDaysForReturnCalculation,
!                                     PortfolioType portfolioType)
  		{
  			this.account = account;
  			this.weightedPositions = weightedPositions;
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.portfolioType = portfolioType;
  		}
-     
-     public void MarketOpenEventHandler(
-       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
-     {
-     }
  		
!     public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
!       EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!     }
  
!     private double marketCloseEventHandler_openPositions_getLastHalfPeriodGain(IndexBasedEndOfDayTimer timer)
!     {
!       double returnValue = 999.0;
!       try
!       {
! 		    DateTime initialDateForHalfPeriod = 
! 	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
! 	      DateTime finalDateForHalfPeriod = 
! 	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	this.weightedPositions.GetCloseToCloseReturn(initialDateForHalfPeriod,finalDateForHalfPeriod);
!       }
!     	catch(MissingQuotesException ex)
!     	{
!     		ex = ex;
!     	}
!     	return returnValue;
!     }   
  
!     private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
!     {
!       double lastHalfPeriodGain = 
!       		this.marketCloseEventHandler_openPositions_getLastHalfPeriodGain(timer);
!     	if(lastHalfPeriodGain != 999.0)
!     	//last half period gain has been properly computed
!     	{
!     		if(lastHalfPeriodGain < 0.0)
!     			AccountManager.OpenPositions(this.weightedPositions,this.account);
!     		else if (lastHalfPeriodGain > 0.0)
!         //if gain of the last half period is positive     
!     		{
!     			this.weightedPositions.Reverse();
!     			//short the portfolio (short --> long; long --> short)
!     			try{
!             AccountManager.OpenPositions(this.weightedPositions,this.account);
!           }
!     			catch(Exception ex)
!           {
!             ex = ex;
!           }
!     			finally{
!             this.weightedPositions.Reverse();
!           }
!     		}
!     	}
!     }
!     
!     private void marketCloseEventHandler_closePositions()
!     {
!     	AccountManager.ClosePositions(this.account);
!       this.numOfDaysWithOpenPosition = 0;
!     }
!         
!     public void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.numOfClosesElapsed++;
  
!       if(this.account.Transactions.Count == 0)
!         this.account.AddCash(15000);
!       
!       if(this.account.Portfolio.Count > 0)
!         this.numOfDaysWithOpenPosition++;
!       
!       if(this.numOfDaysWithOpenPosition == this.numDaysForReturnCalculation)
!           this.marketCloseEventHandler_closePositions();
!      
!       if(this.account.Portfolio.Count == 0 &&
!           this.numOfClosesElapsed >= this.numDaysForReturnCalculation)
!       //portfolio is empty and previous closes can be now checked
!       		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
!     }
  		
!     public void OneHourAfterMarketCloseEventHandler( Object sender ,
! 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
!     }
  	}
  }
--- 44,154 ----
  		private WeightedPositions weightedPositions;
  		private int numDaysForReturnCalculation;
! 		private int numOfClosesElapsed = 0;
! 		private int numOfDaysWithOpenPosition = 0;
! 		private PortfolioType portfolioType;
  
! 		public Account Account
  		{
  			get { return this.account; }
  			set { this.account = value; }
  		}
! 		
  		public ExtremeCounterTrendStrategy( Account account ,
! 		                                   WeightedPositions weightedPositions,
! 		                                   int numDaysForReturnCalculation,
! 		                                   PortfolioType portfolioType)
  		{
  			this.account = account;
  			this.weightedPositions = weightedPositions;
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.portfolioType = portfolioType;
  		}
  		
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 		}
! 		
! 		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
! 		                                                     EndOfDayTimingEventArgs endOfDayTimingEventArgs)
! 		{
! 		}
  
! 		private double marketCloseEventHandler_openPositions_getLastHalfPeriodGain(IndexBasedEndOfDayTimer timer)
! 		{
! 			double returnValue = 999.0;
! 			try
! 			{
! 				DateTime initialDateForHalfPeriod =
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
! 				DateTime finalDateForHalfPeriod =
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				this.weightedPositions.GetCloseToCloseReturn(initialDateForHalfPeriod,finalDateForHalfPeriod);
! 			}
! 			catch(MissingQuotesException ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 			return returnValue;
! 		}
  
! 		private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
! 		{
! 			double lastHalfPeriodGain =
! 				this.marketCloseEventHandler_openPositions_getLastHalfPeriodGain(timer);
! 			if(lastHalfPeriodGain != 999.0)
! 				//last half period gain has been properly computed
! 			{
! 				if(lastHalfPeriodGain < 0.0)
! 					AccountManager.OpenPositions(this.weightedPositions,this.account);
! 				else if (lastHalfPeriodGain > 0.0)
! 					//if gain of the last half period is positive
! 				{
! 					this.weightedPositions.Reverse();
! 					//short the portfolio (short --> long; long --> short)
! 					try{
! 						AccountManager.OpenPositions(this.weightedPositions,this.account);
! 					}
! 					catch(Exception ex)
! 					{
! 						string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 					}
! 					finally{
! 						this.weightedPositions.Reverse();
! 					}
! 				}
! 			}
! 		}
! 		
! 		private void marketCloseEventHandler_closePositions()
! 		{
! 			AccountManager.ClosePositions(this.account);
! 			this.numOfDaysWithOpenPosition = 0;
! 		}
! 		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.numOfClosesElapsed++;
  
! 			if(this.account.Transactions.Count == 0)
! 				this.account.AddCash(15000);
! 			
! 			if(this.account.Portfolio.Count > 0)
! 				this.numOfDaysWithOpenPosition++;
! 			
! 			if(this.numOfDaysWithOpenPosition == this.numDaysForReturnCalculation)
! 				this.marketCloseEventHandler_closePositions();
! 			
! 			if(this.account.Portfolio.Count == 0 &&
! 			   this.numOfClosesElapsed >= this.numDaysForReturnCalculation)
! 				//portfolio is empty and previous closes can be now checked
! 				this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
! 		}
  		
! 		public void OneHourAfterMarketCloseEventHandler( Object sender ,
! 		                                                EndOfDayTimingEventArgs endOfDayTimingEventArgs)
  		{
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC EndOfDayTimerHandlerDOR_OTC.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC

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

Index: EndOfDayTimerHandlerDOR_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC/EndOfDayTimerHandlerDOR_OTC.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerDOR_OTC.cs	16 Aug 2008 19:30:11 -0000	1.3
--- EndOfDayTimerHandlerDOR_OTC.cs	19 Aug 2008 17:11:27 -0000	1.4
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerDOR_OTC.cs
! Copyright (C) 2007 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerDOR_OTC.cs
! Copyright (C) 2007
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 37,187 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for
!   /// the Double OverReaction Open To Close Test,
!   /// based on the OverReaction Hypothesis
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerDOR_OTC
!   {
!     private string tickerGroupID;
!     private int numberOfEligibleTickers;
!     private string benchmark;
!     private Account account;
!     private int numOfWorstTickers;
!     private int numOfBestTickers;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private string[] bestTickers;
!     private string[] worstTickers;
!     private string[] chosenTickers;
!     private string[] lastOrderedTickers;
!     private ArrayList orders;
  		private bool thereAreEnoughBestTickers;
  		private bool thereAreEnoughWorstTickers;
!     
!     public EndOfDayTimerHandlerDOR_OTC(string tickerGroupID, int numberOfEligibleTickers, 
!                                             int numOfBestTickers, 
! 																			      int numOfWorstTickers, int numOfTickersForBuying,
! 																			      int numOfTickersForShortSelling,
! 																			      Account account, string benchmark)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.account = account;
!       this.benchmark = benchmark;
!       this.numOfBestTickers = numOfBestTickers;
!       this.bestTickers = new string[this.numOfBestTickers];
!       this.numOfWorstTickers = numOfWorstTickers;
!       this.worstTickers = new string[this.numOfWorstTickers];
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.chosenTickers = new string[this.numOfTickersForBuying + this.numOfTickersForShortSelling];
!       this.lastOrderedTickers = new string[this.chosenTickers.Length];
!       this.orders = new ArrayList();
!     }
!     
!     #region MarketOpenEventHandler
  
!     private void addOrderForTicker(string[] tickers, 
!                                    int tickerPosition )
!     {
!       SignedTickers signedTickers = new SignedTickers(tickers);
! 			string ticker = 
!         SignedTicker.GetTicker(tickers[tickerPosition]);
!       double cashForSinglePosition = 
!         this.account.CashAmount / this.chosenTickers.Length;
!       long quantity =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = 
  				new Order(signedTickers[tickerPosition].MarketOrderType,
!         new Instrument( ticker ) , quantity );
!       this.orders.Add(order);
!     }	
  
!     private void addChosenTickersToOrderList(string[] tickers)
!     {
!       for( int i = 0; i<tickers.Length; i++)
!       {
!         if(tickers[i] != null)
!         {  
!           this.addOrderForTicker( tickers, i );
!           this.lastOrderedTickers[i] = 
!             SignedTicker.GetTicker(tickers[i]);
!         }
!       }
!     }
  
!     private void openPositions(string[] tickers)
!     {
!       this.addChosenTickersToOrderList(tickers);
!       //execute orders actually
!       foreach(object item in this.orders)
!         this.account.AddOrder((Order)item);
!     }
!     
!     private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
!     {
!       IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
!       ExtendedDateTime nowAtOpen = 
!         new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
!         BarComponent.Open);
!       ExtendedDateTime previousClose =
!         new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
!         BarComponent.Close);
!       double currentValueAtOpen =
!         HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), nowAtOpen);
!       double previousValueAtClose = 
!         HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), previousClose);
!       
!       return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose; 
!     }
  
!     private void setChosenTickers_addTickersForShorting()
!     {
!       DataTable worstTickersOrderedByGainAtOpen = new DataTable();
!       worstTickersOrderedByGainAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
!       worstTickersOrderedByGainAtOpen.Columns.Add("gainAtOpen", Type.GetType("System.Double"));
!       object[] values = new object[2];
!       for (int i = 0; i<this.worstTickers.Length; i++)
!       {
!         values[0] = this.worstTickers[i];
!         values[1] = this.setChosenTickers_getGainOrLossFromPreviousClose(this.worstTickers[i]);
!         worstTickersOrderedByGainAtOpen.Rows.Add(values);
!       }
!       DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
!       orderedRows = worstTickersOrderedByGainAtOpen.Select("", "gainAtOpen DESC");
!       for(int i = 0;i<this.numOfTickersForShortSelling; i++)
!           if( (double)orderedRows[i]["gainAtOpen"] > 0.0 )
!           //at open, current ticker is gaining
!              this.chosenTickers[this.numOfTickersForBuying + i] = "-" +
!                                               (string)orderedRows[i]["ticker"];
!     }
!       
!     private void setChosenTickers_addTickersForBuying()
!     {
!       DataTable bestTickersOrderedByLossAtOpen = new DataTable();
!       bestTickersOrderedByLossAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
!       bestTickersOrderedByLossAtOpen.Columns.Add("lossAtOpen", Type.GetType("System.Double"));
!       object[] values = new object[2];
!       for (int i = 0; i<this.bestTickers.Length; i++)
!       {
!         values[0] = this.bestTickers[i];
!         values[1] = - this.setChosenTickers_getGainOrLossFromPreviousClose(this.bestTickers[i]);
!         bestTickersOrderedByLossAtOpen.Rows.Add(values);
!       }
!       DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
!       orderedRows = bestTickersOrderedByLossAtOpen.Select("", "lossAtOpen DESC");
!       for( int i = 0; i<this.numOfTickersForBuying; i++)
!            if( (double)orderedRows[i]["lossAtOpen"] > 0.0 )
!            //at open, current ticker is losing
!               this.chosenTickers[i] = (string)orderedRows[i]["ticker"];
!     }
  
!     private void setChosenTickersBothForLongAndShort()
!     {
! 			if( this.thereAreEnoughBestTickers && 
! 					this.thereAreEnoughWorstTickers )
!       {
  				try
  				{
--- 37,187 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for
! 	/// the Double OverReaction Open To Close Test,
! 	/// based on the OverReaction Hypothesis
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerDOR_OTC
! 	{
! 		private string tickerGroupID;
! 		private int numberOfEligibleTickers;
! 		private string benchmark;
! 		private Account account;
! 		private int numOfWorstTickers;
! 		private int numOfBestTickers;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private string[] bestTickers;
! 		private string[] worstTickers;
! 		private string[] chosenTickers;
! 		private string[] lastOrderedTickers;
! 		private ArrayList orders;
  		private bool thereAreEnoughBestTickers;
  		private bool thereAreEnoughWorstTickers;
! 		
! 		public EndOfDayTimerHandlerDOR_OTC(string tickerGroupID, int numberOfEligibleTickers,
! 		                                   int numOfBestTickers,
! 		                                   int numOfWorstTickers, int numOfTickersForBuying,
! 		                                   int numOfTickersForShortSelling,
! 		                                   Account account, string benchmark)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.account = account;
! 			this.benchmark = benchmark;
! 			this.numOfBestTickers = numOfBestTickers;
! 			this.bestTickers = new string[this.numOfBestTickers];
! 			this.numOfWorstTickers = numOfWorstTickers;
! 			this.worstTickers = new string[this.numOfWorstTickers];
! 			this.numOfTickersForBuying = numOfTickersForBuying;
! 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
! 			this.chosenTickers = new string[this.numOfTickersForBuying + this.numOfTickersForShortSelling];
! 			this.lastOrderedTickers = new string[this.chosenTickers.Length];
! 			this.orders = new ArrayList();
! 		}
! 		
! 		#region MarketOpenEventHandler
  
! 		private void addOrderForTicker(string[] tickers,
! 		                               int tickerPosition )
! 		{
! 			SignedTickers signedTickers = new SignedTickers(tickers);
! 			string ticker =
! 				SignedTicker.GetTicker(tickers[tickerPosition]);
! 			double cashForSinglePosition =
! 				this.account.CashAmount / this.chosenTickers.Length;
! 			long quantity =
! 				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
! 			Order order =
  				new Order(signedTickers[tickerPosition].MarketOrderType,
! 				          new Instrument( ticker ) , quantity );
! 			this.orders.Add(order);
! 		}
  
! 		private void addChosenTickersToOrderList(string[] tickers)
! 		{
! 			for( int i = 0; i<tickers.Length; i++)
! 			{
! 				if(tickers[i] != null)
! 				{
! 					this.addOrderForTicker( tickers, i );
! 					this.lastOrderedTickers[i] =
! 						SignedTicker.GetTicker(tickers[i]);
! 				}
! 			}
! 		}
  
! 		private void openPositions(string[] tickers)
! 		{
! 			this.addChosenTickersToOrderList(tickers);
! 			//execute orders actually
! 			foreach(object item in this.orders)
! 				this.account.AddOrder((Order)item);
! 		}
! 		
! 		private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
! 		{
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 			ExtendedDateTime nowAtOpen =
! 				new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
! 				                     BarComponent.Open);
! 			ExtendedDateTime previousClose =
! 				new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
! 				                     BarComponent.Close);
! 			double currentValueAtOpen =
! 				HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), nowAtOpen);
! 			double previousValueAtClose =
! 				HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), previousClose);
! 			
! 			return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose;
! 		}
  
! 		private void setChosenTickers_addTickersForShorting()
! 		{
! 			DataTable worstTickersOrderedByGainAtOpen = new DataTable();
! 			worstTickersOrderedByGainAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
! 			worstTickersOrderedByGainAtOpen.Columns.Add("gainAtOpen", Type.GetType("System.Double"));
! 			object[] values = new object[2];
! 			for (int i = 0; i<this.worstTickers.Length; i++)
! 			{
! 				values[0] = this.worstTickers[i];
! 				values[1] = this.setChosenTickers_getGainOrLossFromPreviousClose(this.worstTickers[i]);
! 				worstTickersOrderedByGainAtOpen.Rows.Add(values);
! 			}
! 			DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
! 			orderedRows = worstTickersOrderedByGainAtOpen.Select("", "gainAtOpen DESC");
! 			for(int i = 0;i<this.numOfTickersForShortSelling; i++)
! 				if( (double)orderedRows[i]["gainAtOpen"] > 0.0 )
! 				//at open, current ticker is gaining
! 				this.chosenTickers[this.numOfTickersForBuying + i] = "-" +
! 					(string)orderedRows[i]["ticker"];
! 		}
! 		
! 		private void setChosenTickers_addTickersForBuying()
! 		{
! 			DataTable bestTickersOrderedByLossAtOpen = new DataTable();
! 			bestTickersOrderedByLossAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
! 			bestTickersOrderedByLossAtOpen.Columns.Add("lossAtOpen", Type.GetType("System.Double"));
! 			object[] values = new object[2];
! 			for (int i = 0; i<this.bestTickers.Length; i++)
! 			{
! 				values[0] = this.bestTickers[i];
! 				values[1] = - this.setChosenTickers_getGainOrLossFromPreviousClose(this.bestTickers[i]);
! 				bestTickersOrderedByLossAtOpen.Rows.Add(values);
! 			}
! 			DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
! 			orderedRows = bestTickersOrderedByLossAtOpen.Select("", "lossAtOpen DESC");
! 			for( int i = 0; i<this.numOfTickersForBuying; i++)
! 				if( (double)orderedRows[i]["lossAtOpen"] > 0.0 )
! 				//at open, current ticker is losing
! 				this.chosenTickers[i] = (string)orderedRows[i]["ticker"];
! 		}
  
! 		private void setChosenTickersBothForLongAndShort()
! 		{
! 			if( this.thereAreEnoughBestTickers &&
! 			   this.thereAreEnoughWorstTickers )
! 			{
  				try
  				{
***************
*** 190,246 ****
  				}
  				catch(Exception ex)
! 				{int dummy = 1; dummy++;}
!       }
!     }
  
!     /// <summary>
!     /// Handles a "Market Open" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(30000);
!       this.setChosenTickersBothForLongAndShort();
!       bool allTickersHasBeenChosenForLongAndShort = true;
!       for( int i = 0; i<this.chosenTickers.Length; i++)
!       {
!         if(this.chosenTickers[i] == null)
!           allTickersHasBeenChosenForLongAndShort = false;
!       }
!       if(allTickersHasBeenChosenForLongAndShort)
!         this.openPositions(this.chosenTickers);
!     }
  
!     #endregion
  
!     #region MarketCloseEventHandler
  
!     private void closePosition( string ticker )
!     {
!       this.account.ClosePosition( ticker );
!     }
!     
!     private void closePositions()
!     {
!       if(this.lastOrderedTickers != null)
!         foreach( string ticker in this.lastOrderedTickers )
!                 for( int i = 0; i<this.account.Portfolio.Keys.Count; i++ )
!                     if( this.account.Portfolio[ticker]!=null )
!                        closePosition( ticker );
!     }
!     
!     public void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!      	this.closePositions();
!     }
  
!     #endregion
  
!     #region OneHourAfterMarketCloseEventHandler
!     
  		private void oneHourAfterMarketCloseEventHandler_clear()
  		{
--- 190,248 ----
  				}
  				catch(Exception ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				}
! 			}
! 		}
  
! 		/// <summary>
! 		/// Handles a "Market Open" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
! 				this.account.AddCash(30000);
! 			this.setChosenTickersBothForLongAndShort();
! 			bool allTickersHasBeenChosenForLongAndShort = true;
! 			for( int i = 0; i<this.chosenTickers.Length; i++)
! 			{
! 				if(this.chosenTickers[i] == null)
! 					allTickersHasBeenChosenForLongAndShort = false;
! 			}
! 			if(allTickersHasBeenChosenForLongAndShort)
! 				this.openPositions(this.chosenTickers);
! 		}
  
! 		#endregion
  
! 		#region MarketCloseEventHandler
  
! 		private void closePosition( string ticker )
! 		{
! 			this.account.ClosePosition( ticker );
! 		}
! 		
! 		private void closePositions()
! 		{
! 			if(this.lastOrderedTickers != null)
! 				foreach( string ticker in this.lastOrderedTickers )
! 				for( int i = 0; i<this.account.Portfolio.Keys.Count; i++ )
! 				if( this.account.Portfolio[ticker]!=null )
! 				closePosition( ticker );
! 		}
! 		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.closePositions();
! 		}
  
! 		#endregion
  
! 		#region OneHourAfterMarketCloseEventHandler
! 		
  		private void oneHourAfterMarketCloseEventHandler_clear()
  		{
***************
*** 252,303 ****
  				this.chosenTickers[i] = null;
  		}
!  
  
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.oneHourAfterMarketCloseEventHandler_clear(); 
!       DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!                                             currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       //remark from here for DEBUG
!       
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup = 
  				new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 							false, currentDate.AddDays(-30), currentDate,
! 							tickersFromGroup.Rows.Count, this.benchmark);
  
! 			SelectorByAverageRawOpenPrice byPrice = 
!         new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 							false, currentDate.AddDays(-10), currentDate,
! 							tickersFromGroup.Rows.Count, 25 );
!       
!       SelectorByLiquidity mostLiquidSelector =
!         new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
!         false,currentDate.AddDays(-30), currentDate,
!         this.numberOfEligibleTickers);
!       
!       SelectorByOpenToCloseVolatility lessVolatile = 
!       	new SelectorByOpenToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
!       	                                    true,currentDate.AddDays(-30), currentDate,
!       	                                    this.numberOfEligibleTickers/2);
!  
!       SelectorByAverageCloseToClosePerformance bestTickersFromLessVolatile =
!         new SelectorByAverageCloseToClosePerformance(lessVolatile.GetTableOfSelectedTickers(),
!         false,currentDate,currentDate,this.bestTickers.Length);
  
!       SelectorByAverageCloseToClosePerformance worstTickersFromLessVolatile =
!         new SelectorByAverageCloseToClosePerformance(lessVolatile.GetTableOfSelectedTickers(),
!         true,currentDate,currentDate,this.worstTickers.Length);
  
  			DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 			{	
  				this.thereAreEnoughBestTickers = true;
  				for(int i = 0;i<this.bestTickers.Length;i++)
--- 254,305 ----
  				this.chosenTickers[i] = null;
  		}
! 		
  
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.oneHourAfterMarketCloseEventHandler_clear();
! 			DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 			                                                      currentDate);
! 			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
! 			//remark from here for DEBUG
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup =
  				new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 				                                       false, currentDate.AddDays(-30), currentDate,
! 				                                       tickersFromGroup.Rows.Count, this.benchmark);
  
! 			SelectorByAverageRawOpenPrice byPrice =
! 				new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 				                                  false, currentDate.AddDays(-10), currentDate,
! 				                                  tickersFromGroup.Rows.Count, 25 );
! 			
! 			SelectorByLiquidity mostLiquidSelector =
! 				new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 				                        false,currentDate.AddDays(-30), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			SelectorByOpenToCloseVolatility lessVolatile =
! 				new SelectorByOpenToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
! 				                                    true,currentDate.AddDays(-30), currentDate,
! 				                                    this.numberOfEligibleTickers/2);
! 			
! 			SelectorByAverageCloseToClosePerformance bestTickersFromLessVolatile =
! 				new SelectorByAverageCloseToClosePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				                                             false,currentDate,currentDate,this.bestTickers.Length);
  
! 			SelectorByAverageCloseToClosePerformance worstTickersFromLessVolatile =
! 				new SelectorByAverageCloseToClosePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				                                             true,currentDate,currentDate,this.worstTickers.Length);
  
  			DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 			{
  				this.thereAreEnoughBestTickers = true;
  				for(int i = 0;i<this.bestTickers.Length;i++)
***************
*** 312,316 ****
  			DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 			{	
  				this.thereAreEnoughWorstTickers = true;
  				for(int i = 0;i<this.worstTickers.Length;i++)
--- 314,318 ----
  			DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 			{
  				this.thereAreEnoughWorstTickers = true;
  				for(int i = 0;i<this.worstTickers.Length;i++)
***************
*** 322,351 ****
  				}
  			}
! //     //for DEBUG
! //     //remark from here for real running
! //       SelectorByLiquidity mostLiquidSelector =
! //        new SelectorByLiquidity(tickersFromGroup,
! //        false,currentDate.AddDays(-30), currentDate,
! //        this.numberOfEligibleTickers);
  //
! //      SelectorByAverageCloseToClosePerformance bestTickersFromMostLiquid =
! //        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! //        false,currentDate,currentDate,this.bestTickers.Length);
  //
! //      SelectorByAverageCloseToClosePerformance worstTickersFromMostLiquid =
! //        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! //        true,currentDate,currentDate,this.worstTickers.Length);
  //
! //      DataTable tableOfBestTickers = bestTickersFromMostLiquid.GetTableOfSelectedTickers();
! //      for(int i = 0;i<this.bestTickers.Length;i++)
! //        if(tableOfBestTickers.Rows[i][0] != null)
! //           this.bestTickers[i] = (string)tableOfBestTickers.Rows[i][0];
  //
! //      DataTable tableOfWorstTickers = worstTickersFromMostLiquid.GetTableOfSelectedTickers();
! //      for(int i = 0;i<this.worstTickers.Length;i++)
! //        if(tableOfWorstTickers.Rows[i][0] != null)
! //          this.worstTickers[i] = (string)tableOfWorstTickers.Rows[i][0];
!     }
!     #endregion
!   }
  }
--- 324,353 ----
  				}
  			}
! 			//     //for DEBUG
! 			//     //remark from here for real running
! 			//       SelectorByLiquidity mostLiquidSelector =
! 			//        new SelectorByLiquidity(tickersFromGroup,
! 			//        false,currentDate.AddDays(-30), currentDate,
! 			//        this.numberOfEligibleTickers);
  //
! 			//      SelectorByAverageCloseToClosePerformance bestTickersFromMostLiquid =
! 			//        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! 			//        false,currentDate,currentDate,this.bestTickers.Length);
  //
! 			//      SelectorByAverageCloseToClosePerformance worstTickersFromMostLiquid =
! 			//        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! 			//        true,currentDate,currentDate,this.worstTickers.Length);
  //
! 			//      DataTable tableOfBestTickers = bestTickersFromMostLiquid.GetTableOfSelectedTickers();
! 			//      for(int i = 0;i<this.bestTickers.Length;i++)
! 			//        if(tableOfBestTickers.Rows[i][0] != null)
! 			//           this.bestTickers[i] = (string)tableOfBestTickers.Rows[i][0];
  //
! 			//      DataTable tableOfWorstTickers = worstTickersFromMostLiquid.GetTableOfSelectedTickers();
! 			//      for(int i = 0;i<this.worstTickers.Length;i++)
! 			//        if(tableOfWorstTickers.Rows[i][0] != null)
! 			//          this.worstTickers[i] = (string)tableOfWorstTickers.Rows[i][0];
! 		}
! 		#endregion
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest EndOfDayTimerHandlerSimpleOHTest.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest

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

Index: EndOfDayTimerHandlerSimpleOHTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest/EndOfDayTimerHandlerSimpleOHTest.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerSimpleOHTest.cs	29 Aug 2007 09:40:11 -0000	1.3
--- EndOfDayTimerHandlerSimpleOHTest.cs	19 Aug 2008 17:11:28 -0000	1.4
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerSimpleOHTest.cs
! Copyright (C) 2007 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerSimpleOHTest.cs
! Copyright (C) 2007
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 37,137 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the Simple OH Test,
!   /// based on the OverReaction Hypothesis
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerSimpleOHTest
!   {
!     private string tickerGroupID;
!     private int numberOfEligibleTickers;
  		private int lengthInDaysForPerformance;
!     private string benchmark;
!     private Account account;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private string[] bestTickers = null;
!     private string[] worstTickers = null;
!     private string[] chosenTickers;
!     private string[] lastOrderedTickers;
!     private ArrayList orders;
  		private bool thereAreEnoughBestTickers;
  		private bool thereAreEnoughWorstTickers;
  		private int closesElapsedWithSomeOpenPosition;
  
!     
!     public EndOfDayTimerHandlerSimpleOHTest(string tickerGroupID, int numberOfEligibleTickers,
! 																						int lengthInDaysForPerformance,
!                                             int numOfTickersForBuying,
! 																			      int numOfTickersForShortSelling,
! 																			      Account account, string benchmark)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
!       this.account = account;
!       this.benchmark = benchmark;
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.chosenTickers = new string[this.numOfTickersForBuying + this.numOfTickersForShortSelling];
!       this.lastOrderedTickers = new string[this.chosenTickers.Length];
!       this.orders = new ArrayList();
!     }
!     
!     #region MarketOpenEventHandler
  
!     private void addOrderForTicker(string[] tickers, 
!                                    int tickerPosition )
!     {
  			SignedTicker signedTicker = new SignedTicker( tickers[tickerPosition] );
!       string ticker = signedTicker.Ticker;
!       double cashForSinglePosition = 
!         this.account.CashAmount / this.chosenTickers.Length;
!       long quantity =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = 
!         new Order( signedTicker.MarketOrderType ,
!         new Instrument( ticker ) , quantity );
!       this.orders.Add(order);
!     }	
  
!     private void addChosenTickersToOrderList(string[] tickers)
!     {
!       for( int i = 0; i<tickers.Length; i++)
!       {
!         if(tickers[i] != null)
!         {  
!           this.addOrderForTicker( tickers, i );
!           this.lastOrderedTickers[i] = 
!             SignedTicker.GetTicker(tickers[i]);
!         }
!       }
!     }
  
!     private void openPositions(string[] tickers)
!     {
!       this.addChosenTickersToOrderList(tickers);
!       //execute orders actually
!       foreach(object item in this.orders)
!         this.account.AddOrder((Order)item);
!     }
  
!     private void setChosenTickers_addTickersForShorting()
!     {
!       for( int i = 0;i<this.numOfTickersForShortSelling; i++)
!             this.chosenTickers[this.numOfTickersForBuying + i] = "-" + this.bestTickers[i];
!     }
!       
!     private void setChosenTickers_addTickersForBuying()
!     {
!       for( int i = 0; i<this.numOfTickersForBuying; i++ )
!             this.chosenTickers[i] = this.worstTickers[i];
!     }
  
!     private void setChosenTickersBothForLongAndShort()
!     {
! 			if( this.thereAreEnoughBestTickers && 
! 					this.thereAreEnoughWorstTickers )
!       {
  				try
  				{
--- 37,137 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the Simple OH Test,
! 	/// based on the OverReaction Hypothesis
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerSimpleOHTest
! 	{
! 		private string tickerGroupID;
! 		private int numberOfEligibleTickers;
  		private int lengthInDaysForPerformance;
! 		private string benchmark;
! 		private Account account;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private string[] bestTickers = null;
! 		private string[] worstTickers = null;
! 		private string[] chosenTickers;
! 		private string[] lastOrderedTickers;
! 		private ArrayList orders;
  		private bool thereAreEnoughBestTickers;
  		private bool thereAreEnoughWorstTickers;
  		private int closesElapsedWithSomeOpenPosition;
  
! 		
! 		public EndOfDayTimerHandlerSimpleOHTest(string tickerGroupID, int numberOfEligibleTickers,
! 		                                        int lengthInDaysForPerformance,
! 		                                        int numOfTickersForBuying,
! 		                                        int numOfTickersForShortSelling,
! 		                                        Account account, string benchmark)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
! 			this.account = account;
! 			this.benchmark = benchmark;
! 			this.numOfTickersForBuying = numOfTickersForBuying;
! 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
! 			this.chosenTickers = new string[this.numOfTickersForBuying + this.numOfTickersForShortSelling];
! 			this.lastOrderedTickers = new string[this.chosenTickers.Length];
! 			this.orders = new ArrayList();
! 		}
! 		
! 		#region MarketOpenEventHandler
  
! 		private void addOrderForTicker(string[] tickers,
! 		                               int tickerPosition )
! 		{
  			SignedTicker signedTicker = new SignedTicker( tickers[tickerPosition] );
! 			string ticker = signedTicker.Ticker;
! 			double cashForSinglePosition =
! 				this.account.CashAmount / this.chosenTickers.Length;
! 			long quantity =
! 				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
! 			Order order =
! 				new Order( signedTicker.MarketOrderType ,
! 				          new Instrument( ticker ) , quantity );
! 			this.orders.Add(order);
! 		}
  
! 		private void addChosenTickersToOrderList(string[] tickers)
! 		{
! 			for( int i = 0; i<tickers.Length; i++)
! 			{
! 				if(tickers[i] != null)
! 				{
! 					this.addOrderForTicker( tickers, i );
! 					this.lastOrderedTickers[i] =
! 						SignedTicker.GetTicker(tickers[i]);
! 				}
! 			}
! 		}
  
! 		private void openPositions(string[] tickers)
! 		{
! 			this.addChosenTickersToOrderList(tickers);
! 			//execute orders actually
! 			foreach(object item in this.orders)
! 				this.account.AddOrder((Order)item);
! 		}
  
! 		private void setChosenTickers_addTickersForShorting()
! 		{
! 			for( int i = 0;i<this.numOfTickersForShortSelling; i++)
! 				this.chosenTickers[this.numOfTickersForBuying + i] = "-" + this.bestTickers[i];
! 		}
! 		
! 		private void setChosenTickers_addTickersForBuying()
! 		{
! 			for( int i = 0; i<this.numOfTickersForBuying; i++ )
! 				this.chosenTickers[i] = this.worstTickers[i];
! 		}
  
! 		private void setChosenTickersBothForLongAndShort()
! 		{
! 			if( this.thereAreEnoughBestTickers &&
! 			   this.thereAreEnoughWorstTickers )
! 			{
  				try
  				{
***************
*** 140,155 ****
  				}
  				catch(Exception ex)
! 				{ex = ex;}
!       }
!     }
  
!     /// <summary>
!     /// Handles a "Market Open" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
  				this.account.AddCash(30000);
--- 140,157 ----
  				}
  				catch(Exception ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				}
! 			}
! 		}
  
! 		/// <summary>
! 		/// Handles a "Market Open" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
  				this.account.AddCash(30000);
***************
*** 163,190 ****
  			if(allTickersHasBeenChosenForLongAndShort)
  				this.openPositions(this.chosenTickers);
!     }
  
!     #endregion
  
!     #region MarketCloseEventHandler
  
!     private void closePosition( string ticker )
!     {
!       this.account.ClosePosition( ticker );
!     }
!     
!     private void closePositions()
!     {
!       if(this.lastOrderedTickers != null)
!         foreach( string ticker in this.lastOrderedTickers )
!                 for( int i = 0; i<this.account.Portfolio.Keys.Count; i++ )
!                     if( this.account.Portfolio[ticker]!=null )
!                        closePosition( ticker );
!     }
!     
!     public void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!      	if(this.account.Portfolio.Count > 0)
  			{
  				this.closesElapsedWithSomeOpenPosition++;
--- 165,192 ----
  			if(allTickersHasBeenChosenForLongAndShort)
  				this.openPositions(this.chosenTickers);
! 		}
  
! 		#endregion
  
! 		#region MarketCloseEventHandler
  
! 		private void closePosition( string ticker )
! 		{
! 			this.account.ClosePosition( ticker );
! 		}
! 		
! 		private void closePositions()
! 		{
! 			if(this.lastOrderedTickers != null)
! 				foreach( string ticker in this.lastOrderedTickers )
! 				for( int i = 0; i<this.account.Portfolio.Keys.Count; i++ )
! 				if( this.account.Portfolio[ticker]!=null )
! 				closePosition( ticker );
! 		}
! 		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			if(this.account.Portfolio.Count > 0)
  			{
  				this.closesElapsedWithSomeOpenPosition++;
***************
*** 197,201 ****
  				}
  			}
! 			else//this.account.Portfolio.Count == 0 
  			{
  				if( ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition >= this.lengthInDaysForPerformance )
--- 199,203 ----
  				}
  			}
! 			else//this.account.Portfolio.Count == 0
  			{
  				if( ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition >= this.lengthInDaysForPerformance )
***************
*** 205,214 ****
  				}
  			}
!     }
  
!     #endregion
  
!     #region OneHourAfterMarketCloseEventHandler
!     
  		private void oneHourAfterMarketCloseEventHandler_clear()
  		{
--- 207,216 ----
  				}
  			}
! 		}
  
! 		#endregion
  
! 		#region OneHourAfterMarketCloseEventHandler
! 		
  		private void oneHourAfterMarketCloseEventHandler_clear()
  		{
***************
*** 220,234 ****
  				this.chosenTickers[i] = null;
  		}
!  
  
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
! 			this.oneHourAfterMarketCloseEventHandler_clear(); 
  			DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
--- 222,236 ----
  				this.chosenTickers[i] = null;
  		}
! 		
  
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.oneHourAfterMarketCloseEventHandler_clear();
  			DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
***************
*** 236,274 ****
  				(DateTime)((IndexBasedEndOfDayTimer)sender).IndexQuotes.Rows[currentDateArrayPositionInTimer - this.lengthInDaysForPerformance]["quDate"];
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 				currentDate);
  			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
  			//remark from here for DEBUG
!       
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup = 
  				new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 				false, currentDate.AddDays(-30), currentDate,
! 				tickersFromGroup.Rows.Count, this.benchmark);
  
! 			SelectorByAverageRawOpenPrice byPrice = 
  				new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 				false, currentDate.AddDays(-10), currentDate,
! 				tickersFromGroup.Rows.Count, 25 );
!       
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 				false,currentDate.AddDays(-30), currentDate,
! 				this.numberOfEligibleTickers);
!       
! 			SelectorByCloseToCloseVolatility lessVolatile = 
  				new SelectorByCloseToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
! 				true,currentDate.AddDays(-30), currentDate,
! 				this.numberOfEligibleTickers/2);
!  
  			SelectorByAbsolutePerformance bestTickersFromLessVolatile =
  				new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				false,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
  
  			SelectorByAbsolutePerformance worstTickersFromLessVolatile =
  				new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				true,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
  
  			DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 			{	
  				this.thereAreEnoughBestTickers = true;
  				for(int i = 0;i<this.bestTickers.Length;i++)
--- 238,276 ----
  				(DateTime)((IndexBasedEndOfDayTimer)sender).IndexQuotes.Rows[currentDateArrayPositionInTimer - this.lengthInDaysForPerformance]["quDate"];
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 			                                                      currentDate);
  			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
  			//remark from here for DEBUG
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup =
  				new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 				                                       false, currentDate.AddDays(-30), currentDate,
! 				                                       tickersFromGroup.Rows.Count, this.benchmark);
  
! 			SelectorByAverageRawOpenPrice byPrice =
  				new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 				                                  false, currentDate.AddDays(-10), currentDate,
! 				                                  tickersFromGroup.Rows.Count, 25 );
! 			
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 				                        false,currentDate.AddDays(-30), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			SelectorByCloseToCloseVolatility lessVolatile =
  				new SelectorByCloseToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
! 				                                     true,currentDate.AddDays(-30), currentDate,
! 				                                     this.numberOfEligibleTickers/2);
! 			
  			SelectorByAbsolutePerformance bestTickersFromLessVolatile =
  				new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				                                  false,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
  
  			SelectorByAbsolutePerformance worstTickersFromLessVolatile =
  				new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				                                  true,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
  
  			DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 			{
  				this.thereAreEnoughBestTickers = true;
  				for(int i = 0;i<this.bestTickers.Length;i++)
***************
*** 283,287 ****
  			DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 			{	
  				this.thereAreEnoughWorstTickers = true;
  				for(int i = 0;i<this.worstTickers.Length;i++)
--- 285,289 ----
  			DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 			{
  				this.thereAreEnoughWorstTickers = true;
  				for(int i = 0;i<this.worstTickers.Length;i++)
***************
*** 293,322 ****
  				}
  			}
! //     //for DEBUG
! //     //remark from here for real running
! //       SelectorByLiquidity mostLiquidSelector =
! //        new SelectorByLiquidity(tickersFromGroup,
! //        false,currentDate.AddDays(-30), currentDate,
! //        this.numberOfEligibleTickers);
  //
! //      SelectorByAverageCloseToClosePerformance bestTickersFromMostLiquid =
! //        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! //        false,currentDate,currentDate,this.bestTickers.Length);
  //
! //      SelectorByAverageCloseToClosePerformance worstTickersFromMostLiquid =
! //        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! //        true,currentDate,currentDate,this.worstTickers.Length);
  //
! //      DataTable tableOfBestTickers = bestTickersFromMostLiquid.GetTableOfSelectedTickers();
! //      for(int i = 0;i<this.bestTickers.Length;i++)
! //        if(tableOfBestTickers.Rows[i][0] != null)
! //           this.bestTickers[i] = (string)tableOfBestTickers.Rows[i][0];
  //
! //      DataTable tableOfWorstTickers = worstTickersFromMostLiquid.GetTableOfSelectedTickers();
! //      for(int i = 0;i<this.worstTickers.Length;i++)
! //        if(tableOfWorstTickers.Rows[i][0] != null)
! //          this.worstTickers[i] = (string)tableOfWorstTickers.Rows[i][0];
!     }
!     #endregion
!   }
  }
--- 295,324 ----
  				}
  			}
! 			//     //for DEBUG
! 			//     //remark from here for real running
! 			//       SelectorByLiquidity mostLiquidSelector =
! 			//        new SelectorByLiquidity(tickersFromGroup,
! 			//        false,currentDate.AddDays(-30), currentDate,
! 			//        this.numberOfEligibleTickers);
  //
! 			//      SelectorByAverageCloseToClosePerformance bestTickersFromMostLiquid =
! 			//        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! 			//        false,currentDate,currentDate,this.bestTickers.Length);
  //
! 			//      SelectorByAverageCloseToClosePerformance worstTickersFromMostLiquid =
! 			//        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! 			//        true,currentDate,currentDate,this.worstTickers.Length);
  //
! 			//      DataTable tableOfBestTickers = bestTickersFromMostLiquid.GetTableOfSelectedTickers();
! 			//      for(int i = 0;i<this.bestTickers.Length;i++)
! 			//        if(tableOfBestTickers.Rows[i][0] != null)
! 			//           this.bestTickers[i] = (string)tableOfBestTickers.Rows[i][0];
  //
! 			//      DataTable tableOfWorstTickers = worstTickersFromMostLiquid.GetTableOfSelectedTickers();
! 			//      for(int i = 0;i<this.worstTickers.Length;i++)
! 			//        if(tableOfWorstTickers.Rows[i][0] != null)
! 			//          this.worstTickers[i] = (string)tableOfWorstTickers.Rows[i][0];
! 		}
! 		#endregion
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend EndOfDayTimerHandlerECT.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend

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

Index: EndOfDayTimerHandlerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/EndOfDayTimerHandlerECT.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** EndOfDayTimerHandlerECT.cs	14 Jan 2008 23:32:29 -0000	1.8
--- EndOfDayTimerHandlerECT.cs	19 Aug 2008 17:11:28 -0000	1.9
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerECT.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerECT.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 43,319 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the extreme
!   /// counter trend strategy!
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerECT : EndOfDayTimerHandler
!   {
!     private int numDaysForReturnCalculation;
!     private double maxAcceptableCloseToCloseDrawdown;
!     private int daysCounterWithPositions;
!     private DateTime lastCloseDate;
!     private IGenomeManager iGenomeManager;
!     private int seedForRandomGenerator;
!         
!     public EndOfDayTimerHandlerECT(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,                                
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 int numDaysForReturnCalculation,
!                                 int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
!     														base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, 0.0,
!                                 portfolioType)
!     {
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.stopLossConditionReached = false;
!       this.currentAccountValue = 0.0;
!       this.previousAccountValue = 0.0;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
!     }
! 	
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	;
!     }
!     
  
!     #region MarketCloseEventHandler
!     
!     protected void marketCloseEventHandler_updateStopLossCondition()
!     {
!       this.previousAccountValue = this.currentAccountValue;
!       this.currentAccountValue = this.account.GetMarketValue();
!       if((this.currentAccountValue - this.previousAccountValue)
!            /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
!       {
!         this.stopLossConditionReached = true;
!       }
!       else
!       {
!         this.stopLossConditionReached = false;
!       }
!     }    
  
!     private double marketCloseEventHandler_openPositions_getLastHalfPeriodGain(IndexBasedEndOfDayTimer timer)
!     {
!       double returnValue = 999.0;
!       try
!       {
! 		    DateTime initialDateForHalfPeriod = 
! 	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation]["quDate"];
! 	      DateTime finalDateForHalfPeriod = 
! 	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
! 		   																				new EndOfDayDateTime(initialDateForHalfPeriod,
! 																							EndOfDaySpecificTime.MarketClose) , 
! 																							new EndOfDayDateTime(finalDateForHalfPeriod,
! 																							EndOfDaySpecificTime.MarketClose) ,
! 																							this.benchmark , this.numDaysForReturnCalculation ) ,
! 																				new HistoricalAdjustedQuoteProvider() );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
!       }
!     	catch(MissingQuotesException ex)
!     	{
!     		ex = ex;
!     	}
!     	return returnValue;
!     }   
  
!     private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
!     {
!       double lastHalfPeriodGain = 
!       		this.marketCloseEventHandler_openPositions_getLastHalfPeriodGain(timer);
!     	if(lastHalfPeriodGain != 999.0)
!     	//last half period gain has been properly computed
!     	{
!     		if(lastHalfPeriodGain < 0.0)
!     			AccountManager.OpenPositions(this.chosenWeightedPositions,
!     			                             this.account);
!     		else if (lastHalfPeriodGain > 0.0 &&
!                   this.portfolioType == PortfolioType.ShortAndLong)
!     		{
!     			this.chosenWeightedPositions.Reverse();
!     			//short the portfolio
!     			try{
!             AccountManager.OpenPositions(this.chosenWeightedPositions,
!     				                             this.account);
!           }
!     			catch(Exception ex)
!           {
!             ex = ex;
!           }
!     			finally{
!             this.chosenWeightedPositions.Reverse();
!           }
!     		}
!     	}
!     }
!     
!     private void marketCloseEventHandler_closePositions()
!     {
!       if(this.daysCounterWithPositions == this.numDaysForReturnCalculation ||
!          this.stopLossConditionReached)
!       {
!       //Close if halfPeriod has elapsed or stop loss condition reached
!       	AccountManager.ClosePositions(this.account);
!         this.daysCounterWithPositions = 0;
!       }
!     }    
!     
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       if(this.account.Portfolio.Count > 0)
!         this.daysCounterWithPositions++;
!       //this.marketCloseEventHandler_updateStopLossCondition();  
!       this.marketCloseEventHandler_closePositions();
!       if(this.chosenWeightedPositions != null)
!       //tickers to buy have been chosen
!       {
!       	if(this.account.Portfolio.Count == 0)
!       			this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
!       }
!          
!     }
  
!     #endregion
!     
!     #region OneHourAfterMarketCloseEventHandler
!    
  
!     protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
!       
!       	SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate,
!       	                                  currentDate.AddDays(-30),
!       	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  20,500, 0.0001,100);
!  
!       SelectorByLiquidity mostLiquidSelector =
!       	new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers() ,
!         false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers);
!       
! //      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice = 
!         SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup =
!         	new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
!      
! //      SelectorByCloseToCloseVolatility lessVolatile =
! //      	new SelectorByCloseToCloseVolatility(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
! //      	                                     true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //      	                                     this.numberOfEligibleTickers);
! //      
! //      return lessVolatile.GetTableOfSelectedTickers();
!       return quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(); 
!     	//OLD for etf
!     	//      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();
!     }
!     
!     
!     protected virtual void setTickers(DateTime currentDate,
!       bool setGenomeCounter)
!     {
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.chosenWeightedPositions.Count*2)
!         //the optimization process is meaningful only if the initial set of tickers is 
!         //larger than the number of tickers to be chosen                     
!       {
!         this.iGenomeManager =
!           new GenomeManagerECT(setOfTickersToBeOptimized,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
!           currentDate, this.numberOfTickersToBeChosen,
!           this.numDaysForReturnCalculation,
!           this.portfolioType,this.benchmark);
!         GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
!           this.populationSizeForGeneticOptimizer, 
!           this.generationNumberForGeneticOptimizer,
!           this.seedForRandomGenerator);
!         
!         if(setGenomeCounter)
!           this.genomeCounter = new GenomeCounter(GO);
! //        GO.ElitismRate = 0.00;
!         GO.MutationRate = 0.3;
!         GO.CrossoverRate = 0.9;
! //        GO.MinConvergenceRate = 0.75;
! //        GO.KeepOnRunningUntilConvergenceIsReached = true;
!         //GO.CrossoverRate = 0.5;
!         GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
!           ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
!           this.numDaysForReturnCalculation, this.portfolioType, GO.GenerationCounter);
! //        this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
! //        this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
  				SignedTickers signedTickers = new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers );
! 				this.chosenWeightedPositions = 
  					new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					                       signedTickers);
!       }
!       //else it will be buyed again the previous optimized portfolio
!       //that's it the actual chosenTickers member
!     }
!     
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       this.seedForRandomGenerator++;
!       this.numDaysElapsedSinceLastOptimization++;
!       if((this.numDaysElapsedSinceLastOptimization - 1 == 
!             this.numDaysBetweenEachOptimization)) //|| this.isTheFirstClose )
!       //num days without optimization has elapsed or
!       //it is the first close (OLD IMPLEMENTATION)
!       {
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, true);
!         //sets tickers to be chosen next Market Close event
!         this.numDaysElapsedSinceLastOptimization = 0;
!       }
! 		      
!     }
  		#endregion
!   }
  }
--- 43,319 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the extreme
! 	/// counter trend strategy!
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerECT : EndOfDayTimerHandler
! 	{
! 		private int numDaysForReturnCalculation;
! 		private double maxAcceptableCloseToCloseDrawdown;
! 		private int daysCounterWithPositions;
! 		private DateTime lastCloseDate;
! 		private IGenomeManager iGenomeManager;
! 		private int seedForRandomGenerator;
! 		
! 		public EndOfDayTimerHandlerECT(string tickerGroupID, int numberOfEligibleTickers,
! 		                               int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                               Account account,
! 		                               int generationNumberForGeneticOptimizer,
! 		                               int populationSizeForGeneticOptimizer,
! 		                               string benchmark,
! 		                               int numDaysForReturnCalculation,
! 		                               int numDaysBetweenEachOptimization,
! 		                               PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark, 0.0,
! 			     portfolioType)
! 		{
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.stopLossConditionReached = false;
! 			this.currentAccountValue = 0.0;
! 			this.previousAccountValue = 0.0;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
! 		}
! 		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			;
! 		}
! 		
  
! 		#region MarketCloseEventHandler
! 		
! 		protected void marketCloseEventHandler_updateStopLossCondition()
! 		{
! 			this.previousAccountValue = this.currentAccountValue;
! 			this.currentAccountValue = this.account.GetMarketValue();
! 			if((this.currentAccountValue - this.previousAccountValue)
! 			   /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
! 			{
! 				this.stopLossConditionReached = true;
! 			}
! 			else
! 			{
! 				this.stopLossConditionReached = false;
! 			}
! 		}
  
! 		private double marketCloseEventHandler_openPositions_getLastHalfPeriodGain(IndexBasedEndOfDayTimer timer)
! 		{
! 			double returnValue = 999.0;
! 			try
! 			{
! 				DateTime initialDateForHalfPeriod =
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation]["quDate"];
! 				DateTime finalDateForHalfPeriod =
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
! 					new EndOfDayDateTime(initialDateForHalfPeriod,
! 					                     EndOfDaySpecificTime.MarketClose) ,
! 					new EndOfDayDateTime(finalDateForHalfPeriod,
! 					                     EndOfDaySpecificTime.MarketClose) ,
! 					this.benchmark , this.numDaysForReturnCalculation ) ,
! 				                                                   new HistoricalAdjustedQuoteProvider() );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
! 			}
! 			catch(MissingQuotesException ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 			return returnValue;
! 		}
  
! 		private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
! 		{
! 			double lastHalfPeriodGain =
! 				this.marketCloseEventHandler_openPositions_getLastHalfPeriodGain(timer);
! 			if(lastHalfPeriodGain != 999.0)
! 				//last half period gain has been properly computed
! 			{
! 				if(lastHalfPeriodGain < 0.0)
! 					AccountManager.OpenPositions(this.chosenWeightedPositions,
! 					                             this.account);
! 				else if (lastHalfPeriodGain > 0.0 &&
! 				         this.portfolioType == PortfolioType.ShortAndLong)
! 				{
! 					this.chosenWeightedPositions.Reverse();
! 					//short the portfolio
! 					try{
! 						AccountManager.OpenPositions(this.chosenWeightedPositions,
! 						                             this.account);
! 					}
! 					catch(Exception ex)
! 					{
! 						string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 					}
! 					finally{
! 						this.chosenWeightedPositions.Reverse();
! 					}
! 				}
! 			}
! 		}
! 		
! 		private void marketCloseEventHandler_closePositions()
! 		{
! 			if(this.daysCounterWithPositions == this.numDaysForReturnCalculation ||
! 			   this.stopLossConditionReached)
! 			{
! 				//Close if halfPeriod has elapsed or stop loss condition reached
! 				AccountManager.ClosePositions(this.account);
! 				this.daysCounterWithPositions = 0;
! 			}
! 		}
! 		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			if(this.account.Portfolio.Count > 0)
! 				this.daysCounterWithPositions++;
! 			//this.marketCloseEventHandler_updateStopLossCondition();
! 			this.marketCloseEventHandler_closePositions();
! 			if(this.chosenWeightedPositions != null)
! 				//tickers to buy have been chosen
! 			{
! 				if(this.account.Portfolio.Count == 0)
! 					this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
! 			}
! 			
! 		}
  
! 		#endregion
! 		
! 		#region OneHourAfterMarketCloseEventHandler
! 		
  
! 		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
! 			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
! 			int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
! 			
! 			SelectorByAverageRawOpenPrice byPrice =
! 				new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate,
! 				                                  currentDate.AddDays(-30),
! 				                                  numOfTickersInGroupAtCurrentDate,
! 				                                  20,500, 0.0001,100);
! 			
! 			SelectorByLiquidity mostLiquidSelector =
! 				new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers() ,
! 				                        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			//      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice =
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup =
! 				new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                                       this.numberOfEligibleTickers, this.benchmark);
! 			
! 			//      SelectorByCloseToCloseVolatility lessVolatile =
! 			//      	new SelectorByCloseToCloseVolatility(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
! 			//      	                                     true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 			//      	                                     this.numberOfEligibleTickers);
! //
! 			//      return lessVolatile.GetTableOfSelectedTickers();
! 			return quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers();
! 			//OLD for etf
! 			//      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();
! 		}
! 		
! 		
! 		protected virtual void setTickers(DateTime currentDate,
! 		                                  bool setGenomeCounter)
! 		{
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			if(setOfTickersToBeOptimized.Rows.Count > this.chosenWeightedPositions.Count*2)
! 				//the optimization process is meaningful only if the initial set of tickers is
! 				//larger than the number of tickers to be chosen
! 			{
! 				this.iGenomeManager =
! 					new GenomeManagerECT(setOfTickersToBeOptimized,
! 					                     currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 					                     currentDate, this.numberOfTickersToBeChosen,
! 					                     this.numDaysForReturnCalculation,
! 					                     this.portfolioType,this.benchmark);
! 				GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
! 				                                           this.populationSizeForGeneticOptimizer,
! 				                                           this.generationNumberForGeneticOptimizer,
! 				                                           this.seedForRandomGenerator);
! 				
! 				if(setGenomeCounter)
! 					this.genomeCounter = new GenomeCounter(GO);
! 				//        GO.ElitismRate = 0.00;
! 				GO.MutationRate = 0.3;
! 				GO.CrossoverRate = 0.9;
! 				//        GO.MinConvergenceRate = 0.75;
! 				//        GO.KeepOnRunningUntilConvergenceIsReached = true;
! 				//GO.CrossoverRate = 0.5;
! 				GO.Run(false);
! 				this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
! 				                            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
! 				                            this.numDaysForReturnCalculation, this.portfolioType, GO.GenerationCounter);
! 				//        this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
! 				//        this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
  				SignedTickers signedTickers = new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers );
! 				this.chosenWeightedPositions =
  					new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					                      signedTickers);
! 			}
! 			//else it will be buyed again the previous optimized portfolio
! 			//that's it the actual chosenTickers member
! 		}
! 		
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
! 			this.seedForRandomGenerator++;
! 			this.numDaysElapsedSinceLastOptimization++;
! 			if((this.numDaysElapsedSinceLastOptimization - 1 ==
! 			    this.numDaysBetweenEachOptimization)) //|| this.isTheFirstClose )
! 				//num days without optimization has elapsed or
! 				//it is the first close (OLD IMPLEMENTATION)
! 			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, true);
! 				//sets tickers to be chosen next Market Close event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			
! 		}
  		#endregion
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator EndOfDayTimerHandlerPVO.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

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

Index: EndOfDayTimerHandlerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EndOfDayTimerHandlerPVO.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayTimerHandlerPVO.cs	12 Mar 2008 22:06:05 -0000	1.9
--- EndOfDayTimerHandlerPVO.cs	19 Aug 2008 17:11:28 -0000	1.10
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerPVO.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerPVO.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 46,320 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the Portfolio Value
!   /// Oscillator
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerPVO : EndOfDayTimerHandler
!   {
!     protected int minLevelForOversoldThreshold;
!     protected int maxLevelForOversoldThreshold;
!     protected int minLevelForOverboughtThreshold;
!     protected int maxLevelForOverboughtThreshold;
!     protected int divisorForThresholdComputation;
!     protected int numDaysForOscillatingPeriod;
!     protected double currentOversoldThreshold;
!     protected double currentOverboughtThreshold;
!     protected double maxAcceptableCloseToCloseDrawdown;
!     protected double minimumAcceptableGain;
!     protected DateTime lastCloseDate;
!     protected IGenomeManager iGenomeManager;
!     protected int seedForRandomGenerator;
!     protected bool portfolioHasBeenOverbought;
!     protected bool portfolioHasBeenOversold;
!     protected bool symmetricalThresholds;
!     protected bool overboughtMoreThanOversoldForFixedPortfolio;
!     protected HistoricalAdjustedQuoteProvider historicalQuoteProvider;
!     
!     public EndOfDayTimerHandlerPVO(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,                                
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 int numDaysForOscillatingPeriod,
!                                 int minLevelForOversoldThreshold,
!                                 int maxLevelForOversoldThreshold,
!                                 int minLevelForOverboughtThreshold,
!                                 int maxLevelForOverboughtThreshold,
!                                 int divisorForThresholdComputation,
!                                 bool symmetricalThresholds,
!                                 bool overboughtMoreThanOversoldForFixedPortfolio,
!                                 int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 double minimumAcceptableGain):
!     														base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, 0.0,
!                                 portfolioType)
!     {
!       this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!     	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.stopLossConditionReached = false;
!       this.currentAccountValue = 0.0;
!       this.previousAccountValue = 0.0;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
!       this.portfolioHasBeenOverbought = false;
!       this.portfolioHasBeenOversold = false;
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
! 	
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	;
!     }
  
!     #region MarketCloseEventHandler
!     
!     protected virtual double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
!     {
!       double returnValue = 999.0;
!       try
!       {
! 				DateTime firstDayOfOscillatingPeriod = 
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod]["quDate"];
! 				DateTime today = 
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
  				ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
  					new EndOfDayDateTime(firstDayOfOscillatingPeriod,
! 					EndOfDaySpecificTime.MarketClose) , 
  					new EndOfDayDateTime(today,
! 					EndOfDaySpecificTime.MarketClose) ,
  					this.benchmark , this.numDaysForOscillatingPeriod ) ,
! 					this.historicalQuoteProvider );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
!       }
!     	catch(MissingQuotesException ex)
!     	{
!     		ex = ex;
!     	}
!     	return returnValue;
!     }   
  
!     private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
!     {
!       double currentChosenWeightedPositionsReturn = 
!         this.getCurrentChosenWeightedPositionsReturn(timer);
!       if(currentChosenWeightedPositionsReturn != 999.0 &&
!          this.portfolioType == PortfolioType.ShortAndLong)
!         //currentChosenWeightedPositionsReturn has been
!       	//properly computedand it is possible to reverse positions
!       {
!     		if(currentChosenWeightedPositionsReturn >= currentOverboughtThreshold &&
!       	   this.portfolioHasBeenOversold)
!     		//open positions derive from an overSold period but now
!     		//the overbought threshold has been reached
!     		{
!     			this.reversePositions();
!     			this.portfolioHasBeenOversold = false;
!     			this.portfolioHasBeenOverbought = true;
!     			this.previousAccountValue = this.account.GetMarketValue();
!     		}
!     		if(currentChosenWeightedPositionsReturn <= - currentOversoldThreshold &&
!       	   this.portfolioHasBeenOverbought)
!     		//open positions derive from an overBought period but now
!     		//the overSold threshold has been reached
!     		{
!     			this.reversePositions();
!     			this.portfolioHasBeenOversold = true;
!     			this.portfolioHasBeenOverbought = false;
!     			this.previousAccountValue = this.account.GetMarketValue();
!     		}	
!       }
!     }
  
!     protected void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
!     {
!       if(this.account.CashAmount == 0.0 && this.account.Transactions.Count == 0)
  				this.account.AddCash(15000);
! 			double currentChosenWeightedPositionsReturn = 
!       		this.getCurrentChosenWeightedPositionsReturn(timer);
!     	if(currentChosenWeightedPositionsReturn != 999.0)
!     	//currentChosenTickersValue has been properly computed
!     	{
!     		if(currentChosenWeightedPositionsReturn >= currentOverboughtThreshold &&
!            this.portfolioType == PortfolioType.ShortAndLong)
!     		{
!     			this.chosenWeightedPositions.Reverse();
!           try
!           {
!             AccountManager.OpenPositions( this.chosenWeightedPositions,
!           	                            	this.account );
!             this.portfolioHasBeenOverbought = true;
!           	this.portfolioHasBeenOversold = false;
!           	this.previousAccountValue = this.account.GetMarketValue();
!           }
!           catch(Exception ex)
!           {
!             ex = ex;
!           }
!           finally
!           {
!             this.chosenWeightedPositions.Reverse();
!           }
!     		}
!         else if (currentChosenWeightedPositionsReturn <= - currentOversoldThreshold)
!     		{
!           AccountManager.OpenPositions( this.chosenWeightedPositions,
!           	                            this.account );
!           this.portfolioHasBeenOverbought = false;
!           this.portfolioHasBeenOversold = true;
!           this.previousAccountValue = this.account.GetMarketValue();
!         }
!      	}
!     }
!     
!     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.currentAccountValue = this.account.GetMarketValue();
!       double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
!            													/this.previousAccountValue;
!       
!       if( portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
!       {
!         this.stopLossConditionReached = true;
!         this.takeProfitConditionReached = false;
!       }
!       else if (portfolioGainOrLoss >= this.minimumAcceptableGain)
!                
!       {
!         this.stopLossConditionReached = false;
!         this.takeProfitConditionReached = true;
!       }
!     }
!     
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();  
!       this.marketCloseEventHandler_closePositionsIfNeeded();
!       if(this.chosenWeightedPositions != null)
!       //tickers to buy have been chosen by the optimizer
!       {
!       	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_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
!       }
!     }
  
!     #endregion
!     
!     #region OneHourAfterMarketCloseEventHandler
!   
!     protected virtual DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
!       
!       SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate.AddDays(-15),
!       	                                  currentDate,
!       	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  30,3000, 0.0001,100);
!  
!       SelectorByLiquidity mostLiquidSelector =
!       	new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
!         false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers);
!       
! //      SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
! //      	new SelectorByCloseToCloseCorrelationToBenchmark(mostLiquidSelector.GetTableOfSelectedTickers(),
! //      	                                                 "^GSPC",false,
! //      	                                                 currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //      	                                                 this.numberOfEligibleTickers/2,false);
! //      
!       
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
!         new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
! //      SelectorByMaxLinearDipendence dipendentTickers = 
  //				new SelectorByMaxLinearDipendence(quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(),
  //						currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
  //						this.numberOfEligibleTickers/2,2,1000, this.benchmark);
  //			return dipendentTickers.GetTableOfSelectedTickers();
! 				
! //				DataTable quotedAtEachMarketDay = 
  //					quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
! //				
! //				CloseToCloseCorrelationProvider correlationProvider = 
  //					new CloseToCloseCorrelationProvider(
  //							QuantProject.ADT.ExtendedDataTable.GetArrayOfStringFromColumn(
  //							quotedAtEachMarketDay, 0 ),
! //              currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! //              currentDate,1,0.005,this.benchmark);
  
  //			SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
--- 46,320 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the Portfolio Value
! 	/// Oscillator
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerPVO : EndOfDayTimerHandler
! 	{
! 		protected int minLevelForOversoldThreshold;
! 		protected int maxLevelForOversoldThreshold;
! 		protected int minLevelForOverboughtThreshold;
! 		protected int maxLevelForOverboughtThreshold;
! 		protected int divisorForThresholdComputation;
! 		protected int numDaysForOscillatingPeriod;
! 		protected double currentOversoldThreshold;
! 		protected double currentOverboughtThreshold;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		protected double minimumAcceptableGain;
! 		protected DateTime lastCloseDate;
! 		protected IGenomeManager iGenomeManager;
! 		protected int seedForRandomGenerator;
! 		protected bool portfolioHasBeenOverbought;
! 		protected bool portfolioHasBeenOversold;
! 		protected bool symmetricalThresholds;
! 		protected bool overboughtMoreThanOversoldForFixedPortfolio;
! 		protected HistoricalAdjustedQuoteProvider historicalQuoteProvider;
! 		
! 		public EndOfDayTimerHandlerPVO(string tickerGroupID, int numberOfEligibleTickers,
! 		                               int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                               Account account,
! 		                               int generationNumberForGeneticOptimizer,
! 		                               int populationSizeForGeneticOptimizer,
! 		                               string benchmark,
! 		                               int numDaysForOscillatingPeriod,
! 		                               int minLevelForOversoldThreshold,
! 		                               int maxLevelForOversoldThreshold,
! 		                               int minLevelForOverboughtThreshold,
! 		                               int maxLevelForOverboughtThreshold,
! 		                               int divisorForThresholdComputation,
! 		                               bool symmetricalThresholds,
! 		                               bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                               int numDaysBetweenEachOptimization,
! 		                               PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                               double minimumAcceptableGain):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark, 0.0,
! 			     portfolioType)
! 		{
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
! 			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.stopLossConditionReached = false;
! 			this.currentAccountValue = 0.0;
! 			this.previousAccountValue = 0.0;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
! 			this.portfolioHasBeenOverbought = false;
! 			this.portfolioHasBeenOversold = false;
! 			this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			;
! 		}
  
! 		#region MarketCloseEventHandler
! 		
! 		protected virtual double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
! 		{
! 			double returnValue = 999.0;
! 			try
! 			{
! 				DateTime firstDayOfOscillatingPeriod =
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod]["quDate"];
! 				DateTime today =
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
  				ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
  					new EndOfDayDateTime(firstDayOfOscillatingPeriod,
! 					                     EndOfDaySpecificTime.MarketClose) ,
  					new EndOfDayDateTime(today,
! 					                     EndOfDaySpecificTime.MarketClose) ,
  					this.benchmark , this.numDaysForOscillatingPeriod ) ,
! 				                                                   this.historicalQuoteProvider );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
! 			}
! 			catch(MissingQuotesException ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 			return returnValue;
! 		}
  
! 		private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
! 		{
! 			double currentChosenWeightedPositionsReturn =
! 				this.getCurrentChosenWeightedPositionsReturn(timer);
! 			if(currentChosenWeightedPositionsReturn != 999.0 &&
! 			   this.portfolioType == PortfolioType.ShortAndLong)
! 				//currentChosenWeightedPositionsReturn has been
! 				//properly computedand it is possible to reverse positions
! 			{
! 				if(currentChosenWeightedPositionsReturn >= currentOverboughtThreshold &&
! 				   this.portfolioHasBeenOversold)
! 					//open positions derive from an overSold period but now
! 					//the overbought threshold has been reached
! 				{
! 					this.reversePositions();
! 					this.portfolioHasBeenOversold = false;
! 					this.portfolioHasBeenOverbought = true;
! 					this.previousAccountValue = this.account.GetMarketValue();
! 				}
! 				if(currentChosenWeightedPositionsReturn <= - currentOversoldThreshold &&
! 				   this.portfolioHasBeenOverbought)
! 					//open positions derive from an overBought period but now
! 					//the overSold threshold has been reached
! 				{
! 					this.reversePositions();
! 					this.portfolioHasBeenOversold = true;
! 					this.portfolioHasBeenOverbought = false;
! 					this.previousAccountValue = this.account.GetMarketValue();
! 				}
! 			}
! 		}
  
! 		protected void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
! 		{
! 			if(this.account.CashAmount == 0.0 && this.account.Transactions.Count == 0)
  				this.account.AddCash(15000);
! 			double currentChosenWeightedPositionsReturn =
! 				this.getCurrentChosenWeightedPositionsReturn(timer);
! 			if(currentChosenWeightedPositionsReturn != 999.0)
! 				//currentChosenTickersValue has been properly computed
! 			{
! 				if(currentChosenWeightedPositionsReturn >= currentOverboughtThreshold &&
! 				   this.portfolioType == PortfolioType.ShortAndLong)
! 				{
! 					this.chosenWeightedPositions.Reverse();
! 					try
! 					{
! 						AccountManager.OpenPositions( this.chosenWeightedPositions,
! 						                             this.account );
! 						this.portfolioHasBeenOverbought = true;
! 						this.portfolioHasBeenOversold = false;
! 						this.previousAccountValue = this.account.GetMarketValue();
! 					}
! 					catch(Exception ex)
! 					{
! 						string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 					}
! 					finally
! 					{
! 						this.chosenWeightedPositions.Reverse();
! 					}
! 				}
! 				else if (currentChosenWeightedPositionsReturn <= - currentOversoldThreshold)
! 				{
! 					AccountManager.OpenPositions( this.chosenWeightedPositions,
! 					                             this.account );
! 					this.portfolioHasBeenOverbought = false;
! 					this.portfolioHasBeenOversold = true;
! 					this.previousAccountValue = this.account.GetMarketValue();
! 				}
! 			}
! 		}
! 		
! 		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.currentAccountValue = this.account.GetMarketValue();
! 			double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
! 				/this.previousAccountValue;
! 			
! 			if( portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
! 			{
! 				this.stopLossConditionReached = true;
! 				this.takeProfitConditionReached = false;
! 			}
! 			else if (portfolioGainOrLoss >= this.minimumAcceptableGain)
! 				
! 			{
! 				this.stopLossConditionReached = false;
! 				this.takeProfitConditionReached = true;
! 			}
! 		}
! 		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
! 			this.marketCloseEventHandler_closePositionsIfNeeded();
! 			if(this.chosenWeightedPositions != null)
! 				//tickers to buy have been chosen by the optimizer
! 			{
! 				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_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
! 			}
! 		}
  
! 		#endregion
! 		
! 		#region OneHourAfterMarketCloseEventHandler
! 		
! 		protected virtual DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
! 			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
! 			int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
! 			
! 			SelectorByAverageRawOpenPrice byPrice =
! 				new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate.AddDays(-15),
! 				                                  currentDate,
! 				                                  numOfTickersInGroupAtCurrentDate,
! 				                                  30,3000, 0.0001,100);
! 			
! 			SelectorByLiquidity mostLiquidSelector =
! 				new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 				                        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			//      SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
! 			//      	new SelectorByCloseToCloseCorrelationToBenchmark(mostLiquidSelector.GetTableOfSelectedTickers(),
! 			//      	                                                 "^GSPC",false,
! 			//      	                                                 currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 			//      	                                                 this.numberOfEligibleTickers/2,false);
! //
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection =
! 				new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                                       this.numberOfEligibleTickers, this.benchmark);
! 			//      SelectorByMaxLinearDipendence dipendentTickers =
  //				new SelectorByMaxLinearDipendence(quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(),
  //						currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
  //						this.numberOfEligibleTickers/2,2,1000, this.benchmark);
  //			return dipendentTickers.GetTableOfSelectedTickers();
! 			
! //				DataTable quotedAtEachMarketDay =
  //					quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
! //
! //				CloseToCloseCorrelationProvider correlationProvider =
  //					new CloseToCloseCorrelationProvider(
  //							QuantProject.ADT.ExtendedDataTable.GetArrayOfStringFromColumn(
  //							quotedAtEachMarketDay, 0 ),
! 			//              currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 			//              currentDate,1,0.005,this.benchmark);
  
  //			SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
***************
*** 325,424 ****
  //					this.numberOfEligibleTickers / 2, false);
  //			return byCorrelationToBenchmark.GetTableOfSelectedTickers();
!       
  			return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
!     	//for debug
! //      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
! //        new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
! //        false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //        this.numberOfEligibleTickers, this.benchmark);
! //      return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
!     }
!     protected void addPVOGenomeToBestGenomes(Genome genome,
!                                               DateTime firstOptimizationDate,
!                                               DateTime secondOptimizationDate,
!                                               int eligibleTickers, int daysForOscillatingPeriod,
!                                               PortfolioType portfolioType,
!                                               int createdGenerations,
!                                               double oversoldThreshold,
!                                               double overboughtThreshold)
!     {
!       if(this.bestGenomes == null)
!         this.bestGenomes = new ArrayList();
!       
!       this.bestGenomes.Add(new GenomeRepresentation(genome,
!                               firstOptimizationDate,
!                               secondOptimizationDate,
!                               genome.Generation,
!                               eligibleTickers,
!                               daysForOscillatingPeriod, portfolioType, createdGenerations,
!                               oversoldThreshold, overboughtThreshold));
!     }
!     
!     protected virtual void setTickers(DateTime currentDate,
!       bool setGenomeCounter)
!     {
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
!         //the optimization process is meaningful only if the initial set of tickers is 
!         //larger than the number of tickers to be chosen                     
!       
!       {
!         this.iGenomeManager =
!           new GenomeManagerPVO(setOfTickersToBeOptimized,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
!           currentDate, this.numberOfTickersToBeChosen,
!           this.numDaysForOscillatingPeriod,
!           this.minLevelForOversoldThreshold,
!           this.maxLevelForOversoldThreshold,
!           this.minLevelForOverboughtThreshold,
!           this.maxLevelForOverboughtThreshold,
!           this.divisorForThresholdComputation,
!           this.symmetricalThresholds,
!           this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType,this.benchmark);
!         GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
!           this.populationSizeForGeneticOptimizer, 
!           this.generationNumberForGeneticOptimizer,
!           this.seedForRandomGenerator);
!         if(setGenomeCounter)
!           this.genomeCounter = new GenomeCounter(GO);
!         GO.MutationRate = 0.1;
!         GO.Run(false);
!         
!         this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaningPVO)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaningPVO)GO.BestGenome.Meaning).Tickers) );
!         this.currentOversoldThreshold = ((GenomeMeaningPVO)GO.BestGenome.Meaning).OversoldThreshold;
!         this.currentOverboughtThreshold = ((GenomeMeaningPVO)GO.BestGenome.Meaning).OverboughtThreshold;
!         this.addPVOGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
!           ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
!            this.numDaysForOscillatingPeriod, this.portfolioType, GO.GenerationCounter,
!            this.currentOversoldThreshold, this.currentOverboughtThreshold);
!       }
!       //else it will be buyed again the previous optimized portfolio
!       //that's it the actual chosenTickers member
!     }
!     
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       this.seedForRandomGenerator++;
!       this.numDaysElapsedSinceLastOptimization++;
!       if((this.numDaysElapsedSinceLastOptimization == 
!             this.numDaysBetweenEachOptimization))
!       //num days without optimization has elapsed
!       {
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
!         //sets tickers to be chosen next Market Close event
!         this.numDaysElapsedSinceLastOptimization = 0;
!       }
! 		      
!     }
  		#endregion
!   }
  }
--- 325,424 ----
  //					this.numberOfEligibleTickers / 2, false);
  //			return byCorrelationToBenchmark.GetTableOfSelectedTickers();
! 			
  			return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
! 			//for debug
! 			//      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection =
! 			//        new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
! 			//        false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 			//        this.numberOfEligibleTickers, this.benchmark);
! 			//      return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
! 		}
! 		protected void addPVOGenomeToBestGenomes(Genome genome,
! 		                                         DateTime firstOptimizationDate,
! 		                                         DateTime secondOptimizationDate,
! 		                                         int eligibleTickers, int daysForOscillatingPeriod,
! 		                                         PortfolioType portfolioType,
! 		                                         int createdGenerations,
! 		                                         double oversoldThreshold,
! 		                                         double overboughtThreshold)
! 		{
! 			if(this.bestGenomes == null)
! 				this.bestGenomes = new ArrayList();
! 			
! 			this.bestGenomes.Add(new GenomeRepresentation(genome,
! 			                                              firstOptimizationDate,
! 			                                              secondOptimizationDate,
! 			                                              genome.Generation,
! 			                                              eligibleTickers,
! 			                                              daysForOscillatingPeriod, portfolioType, createdGenerations,
! 			                                              oversoldThreshold, overboughtThreshold));
! 		}
! 		
! 		protected virtual void setTickers(DateTime currentDate,
! 		                                  bool setGenomeCounter)
! 		{
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
! 				//the optimization process is meaningful only if the initial set of tickers is
! 				//larger than the number of tickers to be chosen
! 				
! 			{
! 				this.iGenomeManager =
! 					new GenomeManagerPVO(setOfTickersToBeOptimized,
! 					                     currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 					                     currentDate, this.numberOfTickersToBeChosen,
! 					                     this.numDaysForOscillatingPeriod,
! 					                     this.minLevelForOversoldThreshold,
! 					                     this.maxLevelForOversoldThreshold,
! 					                     this.minLevelForOverboughtThreshold,
! 					                     this.maxLevelForOverboughtThreshold,
! 					                     this.divisorForThresholdComputation,
! 					                     this.symmetricalThresholds,
! 					                     this.overboughtMoreThanOversoldForFixedPortfolio,
! 					                     this.portfolioType,this.benchmark);
! 				GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
! 				                                           this.populationSizeForGeneticOptimizer,
! 				                                           this.generationNumberForGeneticOptimizer,
! 				                                           this.seedForRandomGenerator);
! 				if(setGenomeCounter)
! 					this.genomeCounter = new GenomeCounter(GO);
! 				GO.MutationRate = 0.1;
! 				GO.Run(false);
! 				
! 				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaningPVO)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 				                                                     new SignedTickers( ((GenomeMeaningPVO)GO.BestGenome.Meaning).Tickers) );
! 				this.currentOversoldThreshold = ((GenomeMeaningPVO)GO.BestGenome.Meaning).OversoldThreshold;
! 				this.currentOverboughtThreshold = ((GenomeMeaningPVO)GO.BestGenome.Meaning).OverboughtThreshold;
! 				this.addPVOGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
! 				                               ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
! 				                               this.numDaysForOscillatingPeriod, this.portfolioType, GO.GenerationCounter,
! 				                               this.currentOversoldThreshold, this.currentOverboughtThreshold);
! 			}
! 			//else it will be buyed again the previous optimized portfolio
! 			//that's it the actual chosenTickers member
! 		}
! 		
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
! 			this.seedForRandomGenerator++;
! 			this.numDaysElapsedSinceLastOptimization++;
! 			if((this.numDaysElapsedSinceLastOptimization ==
! 			    this.numDaysBetweenEachOptimization))
! 				//num days without optimization has elapsed
! 			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
! 				//sets tickers to be chosen next Market Close event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			
! 		}
  		#endregion
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators EndOfDayTimerHandlerFPOscillatorCTC.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators

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

Index: EndOfDayTimerHandlerFPOscillatorCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators/EndOfDayTimerHandlerFPOscillatorCTC.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** EndOfDayTimerHandlerFPOscillatorCTC.cs	14 Jan 2008 23:32:30 -0000	1.6
--- EndOfDayTimerHandlerFPOscillatorCTC.cs	19 Aug 2008 17:11:28 -0000	1.7
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerFPOscillatorCTC.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerFPOscillatorCTC.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 40,335 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the oscillator
!   /// close to close strategy!
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerFPOscillatorCTC : EndOfDayTimerHandler
!   {
!     private int numDaysForReturnCalculation;
!     private double maxAcceptableCloseToCloseDrawdown;
!     private int daysCounterWithPositions;
!     private int daysCounterWithRightPositions;
!     private int daysCounterWithReversalPositions;
!     private bool isReversalPeriodOn = false;
! //  private bool isTheFirstClose = false;
!     private DateTime lastCloseDate;
!     private IGenomeManager iGenomeManager;
!     private int seedForRandomGenerator;
!         
!     public EndOfDayTimerHandlerFPOscillatorCTC(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,                                
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 int numDaysForReturnCalculation,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
!     														base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, 0.0,
!                                 portfolioType)
!     {
!       this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.daysCounterWithRightPositions = 0;
!       this.daysCounterWithReversalPositions = 0; 
!       this.isReversalPeriodOn = false;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.stopLossConditionReached = false;
!       this.currentAccountValue = 0.0;
!       this.previousAccountValue = 0.0;
!       this.numDaysBetweenEachOptimization = 2* numDaysForReturnCalculation;
!       this.numDaysBetweenEachOptimization = numDaysForReturnCalculation;
!       this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
!     }
  		
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	;
!     }
  
!     #region MarketCloseEventHandler
!     
!     protected void marketCloseEventHandler_updateStopLossCondition()
!     {
!       this.previousAccountValue = this.currentAccountValue;
!       this.currentAccountValue = this.account.GetMarketValue();
!       if((this.currentAccountValue - this.previousAccountValue)
!            /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
!       {
!         this.stopLossConditionReached = true;
!       }
!       else
!       {
!         this.stopLossConditionReached = false;
!       }
!     }    
!     
!     private void marketCloseEventHandler_updateCounters(bool isTheFirstClose)
!     {
!       if(this.account.Portfolio.Count > 0 && isTheFirstClose == false)
!       {
!         if(this.isReversalPeriodOn)
!           this.daysCounterWithReversalPositions++ ;
!         else
!           this.daysCounterWithRightPositions++ ;
!       }
!     }
  
!     private bool marketCloseEventHandler_openPositionsIfTuned_isTuned(IndexBasedEndOfDayTimer timer)
!     {
!       bool returnValue = false;
!       try
!       {
! 		    double gainForTheLastHalfPeriod;
! 	      DateTime initialDateForHalfPeriod = 
! 	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
! 	      DateTime finalDateForHalfPeriod = 
! 	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	gainForTheLastHalfPeriod =
! 	      	 chosenWeightedPositions.GetCloseToCloseReturn(initialDateForHalfPeriod,finalDateForHalfPeriod);
! 	      if(gainForTheLastHalfPeriod < 0.0)
! 	      //in the last periods the combination has lost, so 
! 	      //it should gain the next days
! 	          returnValue = true;
! 	      
! 	      return returnValue;
!       }
!     	catch(MissingQuotesException ex)
!     	{
!     		ex = ex;
!     		return returnValue;
!     	}
!     }   
  
!     private void marketCloseEventHandler_openPositionsIfTuned(IndexBasedEndOfDayTimer timer)
!     {
!     	if(this.marketCloseEventHandler_openPositionsIfTuned_isTuned(timer))
!         AccountManager.OpenPositions(this.chosenWeightedPositions, this.account);
!     }
!     
!     private void marketCloseEventHandler_closePositions()
!     {
!       this.daysCounterWithPositions++;
!       if(this.daysCounterWithPositions == this.numDaysForReturnCalculation ||
!          this.stopLossConditionReached)
!       {
!       //Close if halfPeriod has elapsed or stop loss condition reached
!         AccountManager.ClosePositions(this.account);
!         this.daysCounterWithPositions = 0;
!       }
!     }    
!     
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.marketCloseEventHandler_updateStopLossCondition();  
!       
!       if(this.account.Portfolio.Count == 0 &&
!          this.chosenWeightedPositions != null)
!       //portfolio is empty and tickers to buy have been chosen
!         this.marketCloseEventHandler_openPositionsIfTuned((IndexBasedEndOfDayTimer)sender);
!       else
!          this.marketCloseEventHandler_closePositions();
!       
!         //OLD IMPLEMENTATION: always on the market
! //    	//update isTheFirstClose and optimize after adding cash
! //    	//(this first optimization could be done also after market close)
! //      if (this.account.Transactions.Count == 0)
! //      {
! //        this.isTheFirstClose = true;
! //        this.marketCloseEventHandler_optimize(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
! //      }
! //      else
! //      {	
! //        this.isTheFirstClose = false;
! //      }      
! //      this.marketCloseEventHandler_updateCounters(this.isTheFirstClose);
! //      this.marketCloseEventHandler_updateStopLossCondition();
! //      
! //      if(this.stopLossConditionReached)
! //      {
! //      	this.orders.Clear();
! //      	this.closePositions();
! //        this.daysCounterWithReversalPositions = 0;
! //        this.daysCounterWithRightPositions = 0;
! //        this.marketCloseEventHandler_optimize(this.lastCloseDate);
! //        this.openPositions();
! //      }
! //      else
! //      {
! //        if(this.account.Portfolio.Count == 0)
! //        {
! //        	this.orders.Clear();
! //        	this.openPositions();
! //        }
! //        
! //        if((this.isTheFirstClose == false && this.isReversalPeriodOn == false &&
! //          this.daysCounterWithRightPositions == this.numDaysForReturnCalculation))
! //        {
! //          this.orders.Clear();
! //        	this.closePositions();
! //          this.daysCounterWithRightPositions = 0;
! //          this.marketCloseEventHandler_reverseSignOfTickers(this.chosenTickers);
! //          this.openPositions();
! //          this.isReversalPeriodOn = true;
! //        }
! //      
! //        if((this.isReversalPeriodOn == true &&
! //          this.daysCounterWithReversalPositions == this.numDaysForReturnCalculation))
! //        {
! //          this.orders.Clear();
! //        	this.closePositions();
! //          this.daysCounterWithReversalPositions = 0;
! //          this.isReversalPeriodOn = false;
! //          //code for only one optimization         
! ////          this.marketCloseEventHandler_reverseSignOfTickers(this.chosenTickers);
! ////          this.openPositions();
! //          //
! //          //normal strategy
! //          this.marketCloseEventHandler_optimize(this.lastCloseDate);
! //          this.openPositions();
! //        }
  //
! //      } //END OF OLD IMPLEMENTATION
!     }
  
!     #endregion
!     
!     #region OneHourAfterMarketCloseEventHandler
!    
!     protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!         currentDate);
!       
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketFromTemporized = 
!         new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
  
! //      SelectorByCloseToCloseVolatility lessVolatile = new SelectorByCloseToCloseVolatility(
! //        quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers(),true,
! //        currentDate.AddDays(-15), currentDate,
! //        this.numberOfEligibleTickers);
  //
! //      return lessVolatile.GetTableOfSelectedTickers();
!       
!       return quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers();
!       
!     }
!     
!     
!     protected virtual void setTickers(DateTime currentDate,
!       bool setGenomeCounter)
!     {
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
!         //the optimization process is meaningful only if the initial set of tickers is 
!         //larger than the number of tickers to be chosen                     
!       
!       {
!         
!         //double targetReturnForEachPeriodOfPortfolioLife =
!         //	Math.Pow(1.60,(double)(1.0/(360.0/this.numDaysOfPortfolioLife))) - 1.0;
!         //the target has to be such that annual system return is minimum 50%
!         //(with no commissions and bid-ask spreads)
  
!         //     	IGenomeManager genManOscillatorCTC =
!         //          new GenomeManagerForEfficientCTCPortfolio(setOfTickersToBeOptimized,
!         //          currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
!         //          currentDate, this.numberOfTickersToBeChosen,
!         //          this.numDaysForReturnCalculation, 0.0,
!         //          this.portfolioType);
!         this.iGenomeManager =
!           new GenomeManagerForFPOscillatorCTC(setOfTickersToBeOptimized,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
!           currentDate, this.numberOfTickersToBeChosen,
!           this.numDaysForReturnCalculation,
!           this.portfolioType, this.benchmark);
!         GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
!           this.populationSizeForGeneticOptimizer, 
!           this.generationNumberForGeneticOptimizer,
!           this.seedForRandomGenerator);
!         if(setGenomeCounter)
!           this.genomeCounter = new GenomeCounter(GO);
!         
!         GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
!           ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
!           this.numDaysForReturnCalculation);
  				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
!       }
!       //else it will be buyed again the previous optimized portfolio
!       //that's it the actual chosenTickers member
!     }
  
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       this.seedForRandomGenerator++;
!       this.numDaysElapsedSinceLastOptimization++;
!       if((this.numDaysElapsedSinceLastOptimization - 1 == 
!             this.numDaysBetweenEachOptimization)) //|| this.isTheFirstClose )
!       //num days without optimization has elapsed or
!       //it is the first close (OLD IMPLEMENTATION)
!       {
!         this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
!         //sets tickers to be chosen next Market Close event
!         this.numDaysElapsedSinceLastOptimization = 0;
!       }
! 		      
!     }
  		#endregion
!   }
  }
--- 40,335 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the oscillator
! 	/// close to close strategy!
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerFPOscillatorCTC : EndOfDayTimerHandler
! 	{
! 		private int numDaysForReturnCalculation;
! 		private double maxAcceptableCloseToCloseDrawdown;
! 		private int daysCounterWithPositions;
! 		private int daysCounterWithRightPositions;
! 		private int daysCounterWithReversalPositions;
! 		private bool isReversalPeriodOn = false;
! 		//  private bool isTheFirstClose = false;
! 		private DateTime lastCloseDate;
! 		private IGenomeManager iGenomeManager;
! 		private int seedForRandomGenerator;
  		
! 		public EndOfDayTimerHandlerFPOscillatorCTC(string tickerGroupID, int numberOfEligibleTickers,
! 		                                           int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                           Account account,
! 		                                           int generationNumberForGeneticOptimizer,
! 		                                           int populationSizeForGeneticOptimizer,
! 		                                           string benchmark,
! 		                                           int numDaysForReturnCalculation,
! 		                                           PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark, 0.0,
! 			     portfolioType)
! 		{
! 			this.numDaysForReturnCalculation = numDaysForReturnCalculation;
! 			this.daysCounterWithRightPositions = 0;
! 			this.daysCounterWithReversalPositions = 0;
! 			this.isReversalPeriodOn = false;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.stopLossConditionReached = false;
! 			this.currentAccountValue = 0.0;
! 			this.previousAccountValue = 0.0;
! 			this.numDaysBetweenEachOptimization = 2* numDaysForReturnCalculation;
! 			this.numDaysBetweenEachOptimization = numDaysForReturnCalculation;
! 			this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
! 		}
! 		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			;
! 		}
  
! 		#region MarketCloseEventHandler
! 		
! 		protected void marketCloseEventHandler_updateStopLossCondition()
! 		{
! 			this.previousAccountValue = this.currentAccountValue;
! 			this.currentAccountValue = this.account.GetMarketValue();
! 			if((this.currentAccountValue - this.previousAccountValue)
! 			   /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
! 			{
! 				this.stopLossConditionReached = true;
! 			}
! 			else
! 			{
! 				this.stopLossConditionReached = false;
! 			}
! 		}
! 		
! 		private void marketCloseEventHandler_updateCounters(bool isTheFirstClose)
! 		{
! 			if(this.account.Portfolio.Count > 0 && isTheFirstClose == false)
! 			{
! 				if(this.isReversalPeriodOn)
! 					this.daysCounterWithReversalPositions++ ;
! 				else
! 					this.daysCounterWithRightPositions++ ;
! 			}
! 		}
  
! 		private bool marketCloseEventHandler_openPositionsIfTuned_isTuned(IndexBasedEndOfDayTimer timer)
! 		{
! 			bool returnValue = false;
! 			try
! 			{
! 				double gainForTheLastHalfPeriod;
! 				DateTime initialDateForHalfPeriod =
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
! 				DateTime finalDateForHalfPeriod =
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				gainForTheLastHalfPeriod =
! 					chosenWeightedPositions.GetCloseToCloseReturn(initialDateForHalfPeriod,finalDateForHalfPeriod);
! 				if(gainForTheLastHalfPeriod < 0.0)
! 					//in the last periods the combination has lost, so
! 					//it should gain the next days
! 					returnValue = true;
! 				
! 				return returnValue;
! 			}
! 			catch(MissingQuotesException ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				return returnValue;
! 			}
! 		}
  
! 		private void marketCloseEventHandler_openPositionsIfTuned(IndexBasedEndOfDayTimer timer)
! 		{
! 			if(this.marketCloseEventHandler_openPositionsIfTuned_isTuned(timer))
! 				AccountManager.OpenPositions(this.chosenWeightedPositions, this.account);
! 		}
! 		
! 		private void marketCloseEventHandler_closePositions()
! 		{
! 			this.daysCounterWithPositions++;
! 			if(this.daysCounterWithPositions == this.numDaysForReturnCalculation ||
! 			   this.stopLossConditionReached)
! 			{
! 				//Close if halfPeriod has elapsed or stop loss condition reached
! 				AccountManager.ClosePositions(this.account);
! 				this.daysCounterWithPositions = 0;
! 			}
! 		}
! 		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.marketCloseEventHandler_updateStopLossCondition();
! 			
! 			if(this.account.Portfolio.Count == 0 &&
! 			   this.chosenWeightedPositions != null)
! 				//portfolio is empty and tickers to buy have been chosen
! 				this.marketCloseEventHandler_openPositionsIfTuned((IndexBasedEndOfDayTimer)sender);
! 			else
! 				this.marketCloseEventHandler_closePositions();
! 			
! 			//OLD IMPLEMENTATION: always on the market
! 			//    	//update isTheFirstClose and optimize after adding cash
! 			//    	//(this first optimization could be done also after market close)
! 			//      if (this.account.Transactions.Count == 0)
! 			//      {
! 			//        this.isTheFirstClose = true;
! 			//        this.marketCloseEventHandler_optimize(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
! 			//      }
! 			//      else
! 			//      {
! 			//        this.isTheFirstClose = false;
! 			//      }
! 			//      this.marketCloseEventHandler_updateCounters(this.isTheFirstClose);
! 			//      this.marketCloseEventHandler_updateStopLossCondition();
  //
! 			//      if(this.stopLossConditionReached)
! 			//      {
! 			//      	this.orders.Clear();
! 			//      	this.closePositions();
! 			//        this.daysCounterWithReversalPositions = 0;
! 			//        this.daysCounterWithRightPositions = 0;
! 			//        this.marketCloseEventHandler_optimize(this.lastCloseDate);
! 			//        this.openPositions();
! 			//      }
! 			//      else
! 			//      {
! 			//        if(this.account.Portfolio.Count == 0)
! 			//        {
! 			//        	this.orders.Clear();
! 			//        	this.openPositions();
! 			//        }
! //
! 			//        if((this.isTheFirstClose == false && this.isReversalPeriodOn == false &&
! 			//          this.daysCounterWithRightPositions == this.numDaysForReturnCalculation))
! 			//        {
! 			//          this.orders.Clear();
! 			//        	this.closePositions();
! 			//          this.daysCounterWithRightPositions = 0;
! 			//          this.marketCloseEventHandler_reverseSignOfTickers(this.chosenTickers);
! 			//          this.openPositions();
! 			//          this.isReversalPeriodOn = true;
! 			//        }
! //
! 			//        if((this.isReversalPeriodOn == true &&
! 			//          this.daysCounterWithReversalPositions == this.numDaysForReturnCalculation))
! 			//        {
! 			//          this.orders.Clear();
! 			//        	this.closePositions();
! 			//          this.daysCounterWithReversalPositions = 0;
! 			//          this.isReversalPeriodOn = false;
! 			//          //code for only one optimization
! 			////          this.marketCloseEventHandler_reverseSignOfTickers(this.chosenTickers);
! 			////          this.openPositions();
! 			//          //
! 			//          //normal strategy
! 			//          this.marketCloseEventHandler_optimize(this.lastCloseDate);
! 			//          this.openPositions();
! 			//        }
! //
! 			//      } //END OF OLD IMPLEMENTATION
! 		}
  
! 		#endregion
! 		
! 		#region OneHourAfterMarketCloseEventHandler
! 		
! 		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 			                                                      currentDate);
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketFromTemporized =
! 				new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                                       this.numberOfEligibleTickers, this.benchmark);
  
! 			//      SelectorByCloseToCloseVolatility lessVolatile = new SelectorByCloseToCloseVolatility(
! 			//        quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers(),true,
! 			//        currentDate.AddDays(-15), currentDate,
! 			//        this.numberOfEligibleTickers);
  //
! 			//      return lessVolatile.GetTableOfSelectedTickers();
! 			
! 			return quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers();
! 			
! 		}
! 		
! 		
! 		protected virtual void setTickers(DateTime currentDate,
! 		                                  bool setGenomeCounter)
! 		{
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
! 				//the optimization process is meaningful only if the initial set of tickers is
! 				//larger than the number of tickers to be chosen
! 				
! 			{
! 				
! 				//double targetReturnForEachPeriodOfPortfolioLife =
! 				//	Math.Pow(1.60,(double)(1.0/(360.0/this.numDaysOfPortfolioLife))) - 1.0;
! 				//the target has to be such that annual system return is minimum 50%
! 				//(with no commissions and bid-ask spreads)
  
! 				//     	IGenomeManager genManOscillatorCTC =
! 				//          new GenomeManagerForEfficientCTCPortfolio(setOfTickersToBeOptimized,
! 				//          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				//          currentDate, this.numberOfTickersToBeChosen,
! 				//          this.numDaysForReturnCalculation, 0.0,
! 				//          this.portfolioType);
! 				this.iGenomeManager =
! 					new GenomeManagerForFPOscillatorCTC(setOfTickersToBeOptimized,
! 					                                    currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 					                                    currentDate, this.numberOfTickersToBeChosen,
! 					                                    this.numDaysForReturnCalculation,
! 					                                    this.portfolioType, this.benchmark);
! 				GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
! 				                                           this.populationSizeForGeneticOptimizer,
! 				                                           this.generationNumberForGeneticOptimizer,
! 				                                           this.seedForRandomGenerator);
! 				if(setGenomeCounter)
! 					this.genomeCounter = new GenomeCounter(GO);
! 				
! 				GO.Run(false);
! 				this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
! 				                            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
! 				                            this.numDaysForReturnCalculation);
  				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 				                                                     new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
! 			}
! 			//else it will be buyed again the previous optimized portfolio
! 			//that's it the actual chosenTickers member
! 		}
  
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
! 			this.seedForRandomGenerator++;
! 			this.numDaysElapsedSinceLastOptimization++;
! 			if((this.numDaysElapsedSinceLastOptimization - 1 ==
! 			    this.numDaysBetweenEachOptimization)) //|| this.isTheFirstClose )
! 				//num days without optimization has elapsed or
! 				//it is the first close (OLD IMPLEMENTATION)
! 			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
! 				//sets tickers to be chosen next Market Close event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			
! 		}
  		#endregion
! 	}
  }

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/MicrosoftExcel ExcelManager.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/MicrosoftExcel
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b5_Presentation/Reporting/MicrosoftExcel

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

Index: ExcelManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/MicrosoftExcel/ExcelManager.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ExcelManager.cs	15 Aug 2004 00:07:47 -0000	1.2
--- ExcelManager.cs	19 Aug 2008 17:11:28 -0000	1.3
***************
*** 110,114 ****
            excelBook.Worksheets.get_Item( excelBook.Worksheets.Count ),1,Missing.Value);       
        excelSheet.Name = reportTable.Name;
!       excelSheet.Activate();
        drawHeaders( reportTable , excelSheet );
        drawRows( reportTable , excelSheet );
--- 110,114 ----
            excelBook.Worksheets.get_Item( excelBook.Worksheets.Count ),1,Missing.Value);       
        excelSheet.Name = reportTable.Name;
!       ((_Worksheet)excelSheet).Activate();
        drawHeaders( reportTable , excelSheet );
        drawRows( reportTable , excelSheet );

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce

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

Index: EndOfDayTimerHandlerDOR_WeekEndBounce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce/EndOfDayTimerHandlerDOR_WeekEndBounce.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerDOR_WeekEndBounce.cs	29 Aug 2007 09:16:56 -0000	1.1
--- EndOfDayTimerHandlerDOR_WeekEndBounce.cs	19 Aug 2008 17:11:28 -0000	1.2
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerDOR_WeekEndBounce.cs
! Copyright (C) 2007 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerDOR_WeekEndBounce.cs
! Copyright (C) 2007
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 37,207 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for
!   /// the Double OverReaction WeekEnd Bounce Test,
!   /// based on the OverReaction Hypothesis
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerDOR_WeekEndBounce
!   {
!     private string tickerGroupID;
!     private int numberOfEligibleTickers;
!     private string benchmark;
!     private Account account;
!     private int numOfWorstTickers;
!     private int numOfBestTickers;
  		private int lengthInDaysForPerformance;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private string[] bestTickers;
!     private string[] worstTickers;
!     private string[] chosenTickers;
!     private string[] lastOrderedTickers;
!     private ArrayList orders;
  		private bool thereAreEnoughBestTickers;
  		private bool thereAreEnoughWorstTickers;
!     
!     public EndOfDayTimerHandlerDOR_WeekEndBounce(string tickerGroupID, int numberOfEligibleTickers, 
!                                             int numOfBestTickers, 
! 																			      int numOfWorstTickers, 
! 																						int lengthInDaysForPerformance,
! 																						int numOfTickersForBuying,
! 																			      int numOfTickersForShortSelling,
! 																			      Account account, string benchmark)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.account = account;
!       this.benchmark = benchmark;
!       this.numOfBestTickers = numOfBestTickers;
!       this.bestTickers = new string[this.numOfBestTickers];
!       this.numOfWorstTickers = numOfWorstTickers;
!       this.worstTickers = new string[this.numOfWorstTickers];
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.chosenTickers = new string[this.numOfTickersForBuying + this.numOfTickersForShortSelling];
!       this.lastOrderedTickers = new string[this.chosenTickers.Length];
!       this.orders = new ArrayList();
!     }
!     
!     #region MarketOpenEventHandler
  
!     private void closePosition( string ticker )
!     {
!       this.account.ClosePosition( ticker );
!     }
!     
!     private void closePositions()
!     {
!       if(this.lastOrderedTickers != null)
!         foreach( string ticker in this.lastOrderedTickers )
!                 for( int i = 0; i<this.account.Portfolio.Keys.Count; i++ )
!                     if( this.account.Portfolio[ticker]!=null )
!                        closePosition( ticker );
!     }
!     
!     
!     private void addOrderForTicker(string[] tickers, 
!                                    int tickerPosition )
!     {
!       SignedTickers signedTickers = new SignedTickers(tickers);
! 			string ticker = 
!         SignedTicker.GetTicker(tickers[tickerPosition]);
!       double cashForSinglePosition = 
!         this.account.CashAmount / this.chosenTickers.Length;
!       long quantity =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = 
!         new Order( 
!         signedTickers[tickerPosition].MarketOrderType,
!         new Instrument( ticker ) , quantity );
!       this.orders.Add(order);
!     }	
  
!     private void addChosenTickersToOrderList(string[] tickers)
!     {
!       for( int i = 0; i<tickers.Length; i++)
!       {
!         if(tickers[i] != null)
!         {  
!           this.addOrderForTicker( tickers, i );
!           this.lastOrderedTickers[i] = 
!             SignedTicker.GetTicker(tickers[i]);
!         }
!       }
!     }
  
!     private void openPositions(string[] tickers)
!     {
!       this.addChosenTickersToOrderList(tickers);
!       //execute orders actually
!       foreach(object item in this.orders)
!         this.account.AddOrder((Order)item);
!     }
!     
!     private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
!     {
!       IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
!       ExtendedDateTime nowAtOpen = 
!         new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
!         BarComponent.Open);
!       ExtendedDateTime previousClose =
!         new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
!         BarComponent.Close);
!       double currentValueAtOpen =
!         HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), nowAtOpen);
!       double previousValueAtClose = 
!         HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), previousClose);
!       
!       return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose; 
!     }
  
!     private void setChosenTickers_addTickersForShorting()
!     {
!       DataTable worstTickersOrderedByGainAtOpen = new DataTable();
!       worstTickersOrderedByGainAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
!       worstTickersOrderedByGainAtOpen.Columns.Add("gainAtOpen", Type.GetType("System.Double"));
!       object[] values = new object[2];
!       for (int i = 0; i<this.worstTickers.Length; i++)
!       {
!         values[0] = this.worstTickers[i];
!         values[1] = this.setChosenTickers_getGainOrLossFromPreviousClose(this.worstTickers[i]);
!         worstTickersOrderedByGainAtOpen.Rows.Add(values);
!       }
!       DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
!       orderedRows = worstTickersOrderedByGainAtOpen.Select("", "gainAtOpen DESC");
!       for(int i = 0;i<this.numOfTickersForShortSelling; i++)
!           if( (double)orderedRows[i]["gainAtOpen"] > 0.0 )
!           //at open, current ticker is gaining
!              this.chosenTickers[this.numOfTickersForBuying + i] = "-" +
!                                               (string)orderedRows[i]["ticker"];
!     }
!       
!     private void setChosenTickers_addTickersForBuying()
!     {
!       DataTable bestTickersOrderedByLossAtOpen = new DataTable();
!       bestTickersOrderedByLossAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
!       bestTickersOrderedByLossAtOpen.Columns.Add("lossAtOpen", Type.GetType("System.Double"));
!       object[] values = new object[2];
!       for (int i = 0; i<this.bestTickers.Length; i++)
!       {
!         values[0] = this.bestTickers[i];
!         values[1] = - this.setChosenTickers_getGainOrLossFromPreviousClose(this.bestTickers[i]);
!         bestTickersOrderedByLossAtOpen.Rows.Add(values);
!       }
!       DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
!       orderedRows = bestTickersOrderedByLossAtOpen.Select("", "lossAtOpen DESC");
!       for( int i = 0; i<this.numOfTickersForBuying; i++)
!            if( (double)orderedRows[i]["lossAtOpen"] > 0.0 )
!            //at open, current ticker is losing
!               this.chosenTickers[i] = (string)orderedRows[i]["ticker"];
!     }
  
!     private void setChosenTickersBothForLongAndShort()
!     {
! 			if( this.thereAreEnoughBestTickers && 
! 					this.thereAreEnoughWorstTickers )
!       {
  				try
  				{
--- 37,207 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for
! 	/// the Double OverReaction WeekEnd Bounce Test,
! 	/// based on the OverReaction Hypothesis
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerDOR_WeekEndBounce
! 	{
! 		private string tickerGroupID;
! 		private int numberOfEligibleTickers;
! 		private string benchmark;
! 		private Account account;
! 		private int numOfWorstTickers;
! 		private int numOfBestTickers;
  		private int lengthInDaysForPerformance;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private string[] bestTickers;
! 		private string[] worstTickers;
! 		private string[] chosenTickers;
! 		private string[] lastOrderedTickers;
! 		private ArrayList orders;
  		private bool thereAreEnoughBestTickers;
  		private bool thereAreEnoughWorstTickers;
! 		
! 		public EndOfDayTimerHandlerDOR_WeekEndBounce(string tickerGroupID, int numberOfEligibleTickers,
! 		                                             int numOfBestTickers,
! 		                                             int numOfWorstTickers,
! 		                                             int lengthInDaysForPerformance,
! 		                                             int numOfTickersForBuying,
! 		                                             int numOfTickersForShortSelling,
! 		                                             Account account, string benchmark)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.account = account;
! 			this.benchmark = benchmark;
! 			this.numOfBestTickers = numOfBestTickers;
! 			this.bestTickers = new string[this.numOfBestTickers];
! 			this.numOfWorstTickers = numOfWorstTickers;
! 			this.worstTickers = new string[this.numOfWorstTickers];
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
! 			this.numOfTickersForBuying = numOfTickersForBuying;
! 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
! 			this.chosenTickers = new string[this.numOfTickersForBuying + this.numOfTickersForShortSelling];
! 			this.lastOrderedTickers = new string[this.chosenTickers.Length];
! 			this.orders = new ArrayList();
! 		}
! 		
! 		#region MarketOpenEventHandler
  
! 		private void closePosition( string ticker )
! 		{
! 			this.account.ClosePosition( ticker );
! 		}
! 		
! 		private void closePositions()
! 		{
! 			if(this.lastOrderedTickers != null)
! 				foreach( string ticker in this.lastOrderedTickers )
! 				for( int i = 0; i<this.account.Portfolio.Keys.Count; i++ )
! 				if( this.account.Portfolio[ticker]!=null )
! 				closePosition( ticker );
! 		}
! 		
! 		
! 		private void addOrderForTicker(string[] tickers,
! 		                               int tickerPosition )
! 		{
! 			SignedTickers signedTickers = new SignedTickers(tickers);
! 			string ticker =
! 				SignedTicker.GetTicker(tickers[tickerPosition]);
! 			double cashForSinglePosition =
! 				this.account.CashAmount / this.chosenTickers.Length;
! 			long quantity =
! 				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
! 			Order order =
! 				new Order(
! 					signedTickers[tickerPosition].MarketOrderType,
! 					new Instrument( ticker ) , quantity );
! 			this.orders.Add(order);
! 		}
  
! 		private void addChosenTickersToOrderList(string[] tickers)
! 		{
! 			for( int i = 0; i<tickers.Length; i++)
! 			{
! 				if(tickers[i] != null)
! 				{
! 					this.addOrderForTicker( tickers, i );
! 					this.lastOrderedTickers[i] =
! 						SignedTicker.GetTicker(tickers[i]);
! 				}
! 			}
! 		}
  
! 		private void openPositions(string[] tickers)
! 		{
! 			this.addChosenTickersToOrderList(tickers);
! 			//execute orders actually
! 			foreach(object item in this.orders)
! 				this.account.AddOrder((Order)item);
! 		}
! 		
! 		private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
! 		{
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 			ExtendedDateTime nowAtOpen =
! 				new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
! 				                     BarComponent.Open);
! 			ExtendedDateTime previousClose =
! 				new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
! 				                     BarComponent.Close);
! 			double currentValueAtOpen =
! 				HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), nowAtOpen);
! 			double previousValueAtClose =
! 				HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), previousClose);
! 			
! 			return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose;
! 		}
  
! 		private void setChosenTickers_addTickersForShorting()
! 		{
! 			DataTable worstTickersOrderedByGainAtOpen = new DataTable();
! 			worstTickersOrderedByGainAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
! 			worstTickersOrderedByGainAtOpen.Columns.Add("gainAtOpen", Type.GetType("System.Double"));
! 			object[] values = new object[2];
! 			for (int i = 0; i<this.worstTickers.Length; i++)
! 			{
! 				values[0] = this.worstTickers[i];
! 				values[1] = this.setChosenTickers_getGainOrLossFromPreviousClose(this.worstTickers[i]);
! 				worstTickersOrderedByGainAtOpen.Rows.Add(values);
! 			}
! 			DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
! 			orderedRows = worstTickersOrderedByGainAtOpen.Select("", "gainAtOpen DESC");
! 			for(int i = 0;i<this.numOfTickersForShortSelling; i++)
! 				if( (double)orderedRows[i]["gainAtOpen"] > 0.0 )
! 				//at open, current ticker is gaining
! 				this.chosenTickers[this.numOfTickersForBuying + i] = "-" +
! 					(string)orderedRows[i]["ticker"];
! 		}
! 		
! 		private void setChosenTickers_addTickersForBuying()
! 		{
! 			DataTable bestTickersOrderedByLossAtOpen = new DataTable();
! 			bestTickersOrderedByLossAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
! 			bestTickersOrderedByLossAtOpen.Columns.Add("lossAtOpen", Type.GetType("System.Double"));
! 			object[] values = new object[2];
! 			for (int i = 0; i<this.bestTickers.Length; i++)
! 			{
! 				values[0] = this.bestTickers[i];
! 				values[1] = - this.setChosenTickers_getGainOrLossFromPreviousClose(this.bestTickers[i]);
! 				bestTickersOrderedByLossAtOpen.Rows.Add(values);
! 			}
! 			DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
! 			orderedRows = bestTickersOrderedByLossAtOpen.Select("", "lossAtOpen DESC");
! 			for( int i = 0; i<this.numOfTickersForBuying; i++)
! 				if( (double)orderedRows[i]["lossAtOpen"] > 0.0 )
! 				//at open, current ticker is losing
! 				this.chosenTickers[i] = (string)orderedRows[i]["ticker"];
! 		}
  
! 		private void setChosenTickersBothForLongAndShort()
! 		{
! 			if( this.thereAreEnoughBestTickers &&
! 			   this.thereAreEnoughWorstTickers )
! 			{
  				try
  				{
***************
*** 210,264 ****
  				}
  				catch(Exception ex)
! 				{ex = ex;}
!       }
!     }
  
!     /// <summary>
!     /// Handles a "Market Open" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(30000);
!       
!       if (  (this.account.Portfolio.Count == 0 &&
!              endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
!              DayOfWeek.Monday) ||
!             (this.account.Portfolio.Count == 0 &&
!              endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek == 
!              DayOfWeek.Tuesday)  )
!       {
!       	this.setChosenTickersBothForLongAndShort();
!         bool allTickersHasBeenChosenForLongAndShort = true;
! 	      for( int i = 0; i<this.chosenTickers.Length; i++)
! 	      {
! 	        if(this.chosenTickers[i] == null)
! 	          allTickersHasBeenChosenForLongAndShort = false;
! 	      }
! 	      if(allTickersHasBeenChosenForLongAndShort)
! 	        	this.openPositions(this.chosenTickers);
!       }
!       else if (endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
!                DayOfWeek.Wednesday ||
!                endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
!                DayOfWeek.Thursday ||
!                endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
!                DayOfWeek.Friday)
! 	     	 	this.closePositions();
!       	
!     }
  		#endregion
!         
!     public void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!      	
!     }
  
!     #region OneHourAfterMarketCloseEventHandler
!     
  		private void oneHourAfterMarketCloseEventHandler_clear()
  		{
--- 210,266 ----
  				}
  				catch(Exception ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				}
! 			}
! 		}
  
! 		/// <summary>
! 		/// Handles a "Market Open" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
! 				this.account.AddCash(30000);
! 			
! 			if (  (this.account.Portfolio.Count == 0 &&
! 			       endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
! 			       DayOfWeek.Monday) ||
! 			    (this.account.Portfolio.Count == 0 &&
! 			     endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
! 			     DayOfWeek.Tuesday)  )
! 			{
! 				this.setChosenTickersBothForLongAndShort();
! 				bool allTickersHasBeenChosenForLongAndShort = true;
! 				for( int i = 0; i<this.chosenTickers.Length; i++)
! 				{
! 					if(this.chosenTickers[i] == null)
! 						allTickersHasBeenChosenForLongAndShort = false;
! 				}
! 				if(allTickersHasBeenChosenForLongAndShort)
! 					this.openPositions(this.chosenTickers);
! 			}
! 			else if (endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
! 			         DayOfWeek.Wednesday ||
! 			         endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
! 			         DayOfWeek.Thursday ||
! 			         endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
! 			         DayOfWeek.Friday)
! 				this.closePositions();
! 			
! 		}
  		#endregion
! 		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			
! 		}
  
! 		#region OneHourAfterMarketCloseEventHandler
! 		
  		private void oneHourAfterMarketCloseEventHandler_clear()
  		{
***************
*** 270,329 ****
  				this.chosenTickers[i] = null;
  		}
!  
  
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.oneHourAfterMarketCloseEventHandler_clear();
!     	
!       if (	endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
! 						DayOfWeek.Friday &&
! 						(	(IndexBasedEndOfDayTimer)sender ).CurrentDateArrayPosition >= this.lengthInDaysForPerformance 	 )
!     	{
! 	   		DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  				int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
  				SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 	                                            currentDate);
! 	      DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
! 	      	      
! 				SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup = 
  					new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 								false, currentDate.AddDays(-30), currentDate,
! 								tickersFromGroup.Rows.Count, this.benchmark);
! 	
! 				SelectorByAverageRawOpenPrice byPrice = 
! 	        new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 								false, currentDate.AddDays(-10), currentDate,
! 								tickersFromGroup.Rows.Count, 20 );
! 	      
! 	      SelectorByLiquidity mostLiquidSelector =
! 	        new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 	        false,currentDate.AddDays(-30), currentDate,
! 	        this.numberOfEligibleTickers);
! 	      
! 	      SelectorByCloseToCloseVolatility lessVolatile = 
! 	      	new SelectorByCloseToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
! 	      	                                    true,currentDate.AddDays(-30), currentDate,
! 	      	                                    this.numberOfEligibleTickers/2);
! 	 			
! 	      DateTime firstDateForPerformanceComputation =
! 				(DateTime)((IndexBasedEndOfDayTimer)sender).IndexQuotes.Rows[currentDateArrayPositionInTimer - this.lengthInDaysForPerformance]["quDate"];
! 		    
! 	 			SelectorByAbsolutePerformance bestTickersFromLessVolatile =
  					new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 					false,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
! 	
  				SelectorByAbsolutePerformance worstTickersFromLessVolatile =
  					new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 					true,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
! 	
  				DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
  				if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 				{	
  					this.thereAreEnoughBestTickers = true;
  					for(int i = 0;i<this.bestTickers.Length;i++)
--- 272,331 ----
  				this.chosenTickers[i] = null;
  		}
! 		
  
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.oneHourAfterMarketCloseEventHandler_clear();
! 			
! 			if (	endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
! 			    DayOfWeek.Friday &&
! 			    (	(IndexBasedEndOfDayTimer)sender ).CurrentDateArrayPosition >= this.lengthInDaysForPerformance 	 )
! 			{
! 				DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  				int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
  				SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 				                                                      currentDate);
! 				DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
! 				
! 				SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup =
  					new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 					                                       false, currentDate.AddDays(-30), currentDate,
! 					                                       tickersFromGroup.Rows.Count, this.benchmark);
! 				
! 				SelectorByAverageRawOpenPrice byPrice =
! 					new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 					                                  false, currentDate.AddDays(-10), currentDate,
! 					                                  tickersFromGroup.Rows.Count, 20 );
! 				
! 				SelectorByLiquidity mostLiquidSelector =
! 					new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 					                        false,currentDate.AddDays(-30), currentDate,
! 					                        this.numberOfEligibleTickers);
! 				
! 				SelectorByCloseToCloseVolatility lessVolatile =
! 					new SelectorByCloseToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
! 					                                     true,currentDate.AddDays(-30), currentDate,
! 					                                     this.numberOfEligibleTickers/2);
! 				
! 				DateTime firstDateForPerformanceComputation =
! 					(DateTime)((IndexBasedEndOfDayTimer)sender).IndexQuotes.Rows[currentDateArrayPositionInTimer - this.lengthInDaysForPerformance]["quDate"];
! 				
! 				SelectorByAbsolutePerformance bestTickersFromLessVolatile =
  					new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 					                                  false,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
! 				
  				SelectorByAbsolutePerformance worstTickersFromLessVolatile =
  					new SelectorByAbsolutePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 					                                  true,firstDateForPerformanceComputation,currentDate,this.bestTickers.Length);
! 				
  				DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
  				if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 				{
  					this.thereAreEnoughBestTickers = true;
  					for(int i = 0;i<this.bestTickers.Length;i++)
***************
*** 338,342 ****
  				DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
  				if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 				{	
  					this.thereAreEnoughWorstTickers = true;
  					for(int i = 0;i<this.worstTickers.Length;i++)
--- 340,344 ----
  				DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
  				if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 				{
  					this.thereAreEnoughWorstTickers = true;
  					for(int i = 0;i<this.worstTickers.Length;i++)
***************
*** 348,356 ****
  					}
  				}
!     	}
!     }
!     
!     #endregion
!   
!   }
  }
--- 350,358 ----
  					}
  				}
! 			}
! 		}
! 		
! 		#endregion
! 		
! 	}
  }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows AverageLongTradePercentageReturn.cs, 1.4, 1.5 AverageShortTradePercentageReturn.cs, 1.4, 1.5 AverageTradePercentageReturn.cs, 1.4, 1.5 LargestLosingTradePercentage.cs, 1.4, 1.5 LargestWinningTradePercentage.cs, 1.4, 1.5 NumberWinningLongTrades.cs, 1.4, 1.5 NumberWinningShortTrades.cs, 1.4, 1.5 NumberWinningTrades.cs, 1.4, 1.5 TotalNumberOfLongTrades.cs, 1.4, 1.5 TotalNumberOfShortTrades.cs, 1.4, 1.5 TotalNumberOfTrades.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12665/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows

Modified Files:
	AverageLongTradePercentageReturn.cs 
	AverageShortTradePercentageReturn.cs 
	AverageTradePercentageReturn.cs 
	LargestLosingTradePercentage.cs 
	LargestWinningTradePercentage.cs NumberWinningLongTrades.cs 
	NumberWinningShortTrades.cs NumberWinningTrades.cs 
	TotalNumberOfLongTrades.cs TotalNumberOfShortTrades.cs 
	TotalNumberOfTrades.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: AverageLongTradePercentageReturn.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/AverageLongTradePercentageReturn.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** AverageLongTradePercentageReturn.cs	19 Jun 2005 14:55:09 -0000	1.4
--- AverageLongTradePercentageReturn.cs	18 Aug 2008 21:13:15 -0000	1.5
***************
*** 11,19 ****
  	/// </summary>
  	[Serializable]
!   public class AverageLongTradePercentageReturn : PercentageSummaryRow
  	{
  		public AverageLongTradePercentageReturn( Summary summary )
  		{
!       this.rowDescription = "Average long trade % Return";
  			double avgReturn = 0.0;
  			try
--- 11,19 ----
  	/// </summary>
  	[Serializable]
! 	public class AverageLongTradePercentageReturn : PercentageSummaryRow
  	{
  		public AverageLongTradePercentageReturn( Summary summary )
  		{
! 			this.rowDescription = "Average long trade % Return";
  			double avgReturn = 0.0;
  			try
***************
*** 24,31 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!       this.rowValue = avgReturn;
!     }
  	}
  }
--- 24,31 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 			this.rowValue = avgReturn;
! 		}
  	}
  }

Index: NumberWinningShortTrades.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/NumberWinningShortTrades.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** NumberWinningShortTrades.cs	19 Jun 2005 14:47:40 -0000	1.4
--- NumberWinningShortTrades.cs	18 Aug 2008 21:13:15 -0000	1.5
***************
*** 11,19 ****
  	/// </summary>
  	[Serializable]
!   public class NumberWinningShortTrades : IntegerSummaryRow
  	{
  		public NumberWinningShortTrades( Summary summary )
  		{
!       this.rowDescription = "Number winning short trades";
  			this.format = ConstantsProvider.FormatWithZeroDecimals;
  			try
--- 11,19 ----
  	/// </summary>
  	[Serializable]
! 	public class NumberWinningShortTrades : IntegerSummaryRow
  	{
  		public NumberWinningShortTrades( Summary summary )
  		{
! 			this.rowDescription = "Number winning short trades";
  			this.format = ConstantsProvider.FormatWithZeroDecimals;
  			try
***************
*** 25,31 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!     }
  	}
  }
--- 25,31 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 		}
  	}
  }

Index: AverageShortTradePercentageReturn.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/AverageShortTradePercentageReturn.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** AverageShortTradePercentageReturn.cs	19 Jun 2005 14:55:09 -0000	1.4
--- AverageShortTradePercentageReturn.cs	18 Aug 2008 21:13:15 -0000	1.5
***************
*** 11,19 ****
  	/// </summary>
  	[Serializable]
!   public class AverageShortTradePercentageReturn : PercentageSummaryRow
  	{
  		public AverageShortTradePercentageReturn( Summary summary )
  		{
!       this.rowDescription = "Average short trade % Return";
  			double avgReturn = 0.0;
  			try
--- 11,19 ----
  	/// </summary>
  	[Serializable]
! 	public class AverageShortTradePercentageReturn : PercentageSummaryRow
  	{
  		public AverageShortTradePercentageReturn( Summary summary )
  		{
! 			this.rowDescription = "Average short trade % Return";
  			double avgReturn = 0.0;
  			try
***************
*** 21,32 ****
  				avgReturn =
  					(double) summary.AccountReport.RoundTrades.DataTable.Compute(
! 					"avg([%Profit])" , "(Trade='Short')" );
  			}
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!       this.rowValue = avgReturn;
!     }
  	}
  }
--- 21,32 ----
  				avgReturn =
  					(double) summary.AccountReport.RoundTrades.DataTable.Compute(
! 						"avg([%Profit])" , "(Trade='Short')" );
  			}
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 			this.rowValue = avgReturn;
! 		}
  	}
  }

Index: NumberWinningTrades.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/NumberWinningTrades.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** NumberWinningTrades.cs	19 Jun 2005 14:47:40 -0000	1.4
--- NumberWinningTrades.cs	18 Aug 2008 21:13:15 -0000	1.5
***************
*** 11,19 ****
  	/// </summary>
  	[Serializable]
!   public class NumberWinningTrades : IntegerSummaryRow
  	{
  		public NumberWinningTrades( Summary summary )
  		{
!       this.rowDescription = "Number winning trades";
  			this.format = ConstantsProvider.FormatWithZeroDecimals;
  			try
--- 11,19 ----
  	/// </summary>
  	[Serializable]
! 	public class NumberWinningTrades : IntegerSummaryRow
  	{
  		public NumberWinningTrades( Summary summary )
  		{
! 			this.rowDescription = "Number winning trades";
  			this.format = ConstantsProvider.FormatWithZeroDecimals;
  			try
***************
*** 24,30 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!     }
  	}
  }
--- 24,30 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 		}
  	}
  }

Index: TotalNumberOfShortTrades.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/TotalNumberOfShortTrades.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** TotalNumberOfShortTrades.cs	19 Jun 2005 14:42:23 -0000	1.4
--- TotalNumberOfShortTrades.cs	18 Aug 2008 21:13:16 -0000	1.5
***************
*** 11,20 ****
  	/// </summary>
  	[Serializable]
!   public class TotalNumberOfShortTrades : IntegerSummaryRow
  	{
  		public TotalNumberOfShortTrades( Summary summary )
  		{
!       double totalROA = summary.TotalPnl / ( summary.FinalAccountValue - summary.TotalPnl );
!       this.rowDescription = "Total # of short trades";
  			try
  			{
--- 11,20 ----
  	/// </summary>
  	[Serializable]
! 	public class TotalNumberOfShortTrades : IntegerSummaryRow
  	{
  		public TotalNumberOfShortTrades( Summary summary )
  		{
! 			double totalROA = summary.TotalPnl / ( summary.FinalAccountValue - summary.TotalPnl );
! 			this.rowDescription = "Total # of short trades";
  			try
  			{
***************
*** 25,31 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!     }
  	}
  }
--- 25,31 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 		}
  	}
  }

Index: NumberWinningLongTrades.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/NumberWinningLongTrades.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** NumberWinningLongTrades.cs	19 Jun 2005 14:47:40 -0000	1.4
--- NumberWinningLongTrades.cs	18 Aug 2008 21:13:15 -0000	1.5
***************
*** 11,19 ****
  	/// </summary>
  	[Serializable]
!   public class NumberWinningLongTrades : IntegerSummaryRow
  	{
  		public NumberWinningLongTrades( Summary summary )
  		{
!       this.rowDescription = "Number winning long trades";
  			this.format = ConstantsProvider.FormatWithZeroDecimals;
  			try
--- 11,19 ----
  	/// </summary>
  	[Serializable]
! 	public class NumberWinningLongTrades : IntegerSummaryRow
  	{
  		public NumberWinningLongTrades( Summary summary )
  		{
! 			this.rowDescription = "Number winning long trades";
  			this.format = ConstantsProvider.FormatWithZeroDecimals;
  			try
***************
*** 24,30 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!     }
  	}
  }
--- 24,30 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 		}
  	}
  }

Index: TotalNumberOfTrades.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/TotalNumberOfTrades.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** TotalNumberOfTrades.cs	19 Jun 2005 14:42:23 -0000	1.4
--- TotalNumberOfTrades.cs	18 Aug 2008 21:13:16 -0000	1.5
***************
*** 11,20 ****
  	/// </summary>
  	[Serializable]
!   public class TotalNumberOfTrades : IntegerSummaryRow
  	{
  		public TotalNumberOfTrades( Summary summary )
  		{
!       double totalROA = summary.TotalPnl / ( summary.FinalAccountValue - summary.TotalPnl );
!       this.rowDescription = "Total # of trades";
  			this.format = ConstantsProvider.FormatWithZeroDecimals;
  			try
--- 11,20 ----
  	/// </summary>
  	[Serializable]
! 	public class TotalNumberOfTrades : IntegerSummaryRow
  	{
  		public TotalNumberOfTrades( Summary summary )
  		{
! 			double totalROA = summary.TotalPnl / ( summary.FinalAccountValue - summary.TotalPnl );
! 			this.rowDescription = "Total # of trades";
  			this.format = ConstantsProvider.FormatWithZeroDecimals;
  			try
***************
*** 26,32 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!     }
  	}
  }
--- 26,32 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 		}
  	}
  }

Index: LargestWinningTradePercentage.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/LargestWinningTradePercentage.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** LargestWinningTradePercentage.cs	19 Jun 2005 14:47:40 -0000	1.4
--- LargestWinningTradePercentage.cs	18 Aug 2008 21:13:15 -0000	1.5
***************
*** 11,19 ****
  	/// </summary>
  	[Serializable]
!   public class LargestWinningTradePercentage : PercentageSummaryRow
  	{
  		public LargestWinningTradePercentage( Summary summary )
  		{
!       this.rowDescription = "Largest winning trade";
  			try
  			{
--- 11,19 ----
  	/// </summary>
  	[Serializable]
! 	public class LargestWinningTradePercentage : PercentageSummaryRow
  	{
  		public LargestWinningTradePercentage( Summary summary )
  		{
! 			this.rowDescription = "Largest winning trade";
  			try
  			{
***************
*** 23,29 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!     }
  	}
  }
--- 23,29 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 		}
  	}
  }

Index: TotalNumberOfLongTrades.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/TotalNumberOfLongTrades.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** TotalNumberOfLongTrades.cs	19 Jun 2005 14:42:23 -0000	1.4
--- TotalNumberOfLongTrades.cs	18 Aug 2008 21:13:16 -0000	1.5
***************
*** 11,20 ****
  	/// </summary>
  	[Serializable]
!   public class TotalNumberOfLongTrades : IntegerSummaryRow
  	{
  		public TotalNumberOfLongTrades( Summary summary ) : base()
  		{
!       double totalROA = summary.TotalPnl / ( summary.FinalAccountValue - summary.TotalPnl );
!       this.rowDescription = "Total # of long trades";
  			try
  			{
--- 11,20 ----
  	/// </summary>
  	[Serializable]
! 	public class TotalNumberOfLongTrades : IntegerSummaryRow
  	{
  		public TotalNumberOfLongTrades( Summary summary ) : base()
  		{
! 			double totalROA = summary.TotalPnl / ( summary.FinalAccountValue - summary.TotalPnl );
! 			this.rowDescription = "Total # of long trades";
  			try
  			{
***************
*** 25,31 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!     }
  	}
  }
--- 25,31 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 		}
  	}
  }

Index: AverageTradePercentageReturn.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/AverageTradePercentageReturn.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** AverageTradePercentageReturn.cs	19 Jun 2005 14:55:09 -0000	1.4
--- AverageTradePercentageReturn.cs	18 Aug 2008 21:13:15 -0000	1.5
***************
*** 11,19 ****
  	/// </summary>
  	[Serializable]
!   public class AverageTradePercentageReturn : PercentageSummaryRow
  	{
  		public AverageTradePercentageReturn( Summary summary )
  		{
!       this.rowDescription = "Average trade % Return";
  			try
  			{
--- 11,19 ----
  	/// </summary>
  	[Serializable]
! 	public class AverageTradePercentageReturn : PercentageSummaryRow
  	{
  		public AverageTradePercentageReturn( Summary summary )
  		{
! 			this.rowDescription = "Average trade % Return";
  			try
  			{
***************
*** 22,28 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!     }
  	}
  }
--- 22,28 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 		}
  	}
  }

Index: LargestLosingTradePercentage.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/LargestLosingTradePercentage.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** LargestLosingTradePercentage.cs	19 Jun 2005 14:47:40 -0000	1.4
--- LargestLosingTradePercentage.cs	18 Aug 2008 21:13:15 -0000	1.5
***************
*** 11,19 ****
  	/// </summary>
  	[Serializable]
!   public class LargestLosingTradePercentage : PercentageSummaryRow
  	{
  		public LargestLosingTradePercentage( Summary summary )
  		{
!       this.rowDescription = "Largest losing trade";
  			try
  			{
--- 11,19 ----
  	/// </summary>
  	[Serializable]
! 	public class LargestLosingTradePercentage : PercentageSummaryRow
  	{
  		public LargestLosingTradePercentage( Summary summary )
  		{
! 			this.rowDescription = "Largest losing trade";
  			try
  			{
***************
*** 23,29 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
!     }
  	}
  }
--- 23,29 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs, 1.21, 1.22

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12665/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

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

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.21
retrieving revision 1.22
diff -C2 -d -r1.21 -r1.22
*** AccountReport.cs	6 Feb 2008 20:37:19 -0000	1.21
--- AccountReport.cs	18 Aug 2008 21:13:14 -0000	1.22
***************
*** 335,343 ****
  				try
  				{
! 					fieldInfo.SetValue( this ,
! 					info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
  				}
- 				catch(Exception ex)
- 					{ex = ex;}
  			}
  		}
--- 335,346 ----
  				try
  				{
! 					fieldInfo.SetValue(
! 						this ,
! 						info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
! 				}
! 				catch (Exception ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  				}
  			}
  		}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Account.cs, 1.21, 1.22

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12665/b4_Business/a1_Financial/a2_Accounting

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

Index: Account.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v
retrieving revision 1.21
retrieving revision 1.22
diff -C2 -d -r1.21 -r1.22
*** Account.cs	26 Nov 2005 23:49:21 -0000	1.21
--- Account.cs	18 Aug 2008 21:13:14 -0000	1.22
***************
*** 182,189 ****
  				//cashAmount = cashAmount + moneyAmount;
  			}
! 			catch (Exception exception)
  			{
! 				exception = exception;  // to avoid warning message
! 				/// TO DO!!!
  			}
  		}
--- 182,188 ----
  				//cashAmount = cashAmount + moneyAmount;
  			}
! 			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
  		}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables StatisticsSummary.cs, 1.2, 1.3 Summary.cs, 1.20, 1.21

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12665/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

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

Index: StatisticsSummary.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/StatisticsSummary.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** StatisticsSummary.cs	25 Apr 2008 17:13:42 -0000	1.2
--- StatisticsSummary.cs	18 Aug 2008 21:13:20 -0000	1.3
***************
*** 15,24 ****
  	/// Summary description for StatisticsSummary.
  	/// </summary>
!   [Serializable]
!   public class StatisticsSummary : ReportTable, ISerializable
!   {
!     private AccountReport accountReport;
  		private IHistoricalQuoteProvider historicalQuoteProvider;
!     
  		private AverageReturnOnMondayWithOpenPositions averageReturnOnMondayWithOpenPositions;
  		private AverageReturnOnTuesdayWithOpenPositions averageReturnOnTuesdayWithOpenPositions;
--- 15,24 ----
  	/// Summary description for StatisticsSummary.
  	/// </summary>
! 	[Serializable]
! 	public class StatisticsSummary : ReportTable, ISerializable
! 	{
! 		private AccountReport accountReport;
  		private IHistoricalQuoteProvider historicalQuoteProvider;
! 		
  		private AverageReturnOnMondayWithOpenPositions averageReturnOnMondayWithOpenPositions;
  		private AverageReturnOnTuesdayWithOpenPositions averageReturnOnTuesdayWithOpenPositions;
***************
*** 29,36 ****
  		
  		public AccountReport AccountReport
!     {
!       get { return accountReport; }
!     }
!     
  		public AverageReturnOnMondayWithOpenPositions AverageReturnOnMondayWithOpenPositions
  		{
--- 29,36 ----
  		
  		public AccountReport AccountReport
! 		{
! 			get { return accountReport; }
! 		}
! 		
  		public AverageReturnOnMondayWithOpenPositions AverageReturnOnMondayWithOpenPositions
  		{
***************
*** 75,79 ****
  		}
  		public StatisticsSummary( AccountReport accountReport ,
! 			IHistoricalQuoteProvider historicalDataProvider ) :
  			base( accountReport.Name + " - StatisticsSummary" )
  		{
--- 75,79 ----
  		}
  		public StatisticsSummary( AccountReport accountReport ,
! 		                         IHistoricalQuoteProvider historicalDataProvider ) :
  			base( accountReport.Name + " - StatisticsSummary" )
  		{
***************
*** 91,95 ****
  		/// <param name="context"></param>
  		protected StatisticsSummary( SerializationInfo info , StreamingContext context ) :
! 							base( "Summary" )
  		{
  			// get the set of serializable members for this class and its base classes
--- 91,95 ----
  		/// <param name="context"></param>
  		protected StatisticsSummary( SerializationInfo info , StreamingContext context ) :
! 			base( "Summary" )
  		{
  			// get the set of serializable members for this class and its base classes
***************
*** 99,103 ****
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++) 
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
--- 99,103 ----
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++)
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
***************
*** 107,114 ****
  				{
  					fieldInfo.SetValue( this ,
! 						info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
  				}
- 				catch(Exception ex)
- 				{ex = ex;}
  			}
  		}
--- 107,116 ----
  				{
  					fieldInfo.SetValue( this ,
! 					                   info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
! 				}
! 				catch (Exception ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  				}
  			}
  		}
***************
*** 120,132 ****
  		/// <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));
--- 122,134 ----
  		/// <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));
***************
*** 135,145 ****
  		#endregion
  
!     #region "getStatisticsSummary"
  
!     private void getStatisticsSummary()
!     {
  			if ( this.accountReport.Equity.DataTable.Rows.Count == 0 )
  				throw new Exception( "A StatisticsSummary computation has been requested, but the equity line is empty" );
!       
  			this.averageReturnOnMondayWithOpenPositions = new AverageReturnOnMondayWithOpenPositions(this);
  			this.averageReturnOnTuesdayWithOpenPositions = new AverageReturnOnTuesdayWithOpenPositions(this);
--- 137,147 ----
  		#endregion
  
! 		#region "getStatisticsSummary"
  
! 		private void getStatisticsSummary()
! 		{
  			if ( this.accountReport.Equity.DataTable.Rows.Count == 0 )
  				throw new Exception( "A StatisticsSummary computation has been requested, but the equity line is empty" );
! 			
  			this.averageReturnOnMondayWithOpenPositions = new AverageReturnOnMondayWithOpenPositions(this);
  			this.averageReturnOnTuesdayWithOpenPositions = new AverageReturnOnTuesdayWithOpenPositions(this);
***************
*** 147,155 ****
  			this.averageReturnOnThursdayWithOpenPositions = new AverageReturnOnThursdayWithOpenPositions(this);
  			this.averageReturnOnFridayWithOpenPositions = new AverageReturnOnFridayWithOpenPositions(this);
! 			this.averageReturnOnDayWithOpenPositions = 
  				new AverageReturnOnDayWithOpenPositions(this);
!     }
  
!     #endregion
  
  	}
--- 149,157 ----
  			this.averageReturnOnThursdayWithOpenPositions = new AverageReturnOnThursdayWithOpenPositions(this);
  			this.averageReturnOnFridayWithOpenPositions = new AverageReturnOnFridayWithOpenPositions(this);
! 			this.averageReturnOnDayWithOpenPositions =
  				new AverageReturnOnDayWithOpenPositions(this);
! 		}
  
! 		#endregion
  
  	}

Index: Summary.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/Summary.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** Summary.cs	5 Sep 2007 22:10:16 -0000	1.20
--- Summary.cs	18 Aug 2008 21:13:20 -0000	1.21
***************
*** 15,28 ****
  	/// Summary description for Summary.
  	/// </summary>
!   [Serializable]
!   public class Summary : ReportTable, ISerializable
!   {
!     private AccountReport accountReport;
  		private IHistoricalQuoteProvider historicalQuoteProvider;
!     private double totalPnl;
!     private BenchmarkPercentageReturn benchmarkPercentageReturn;
  		private AnnualSystemPercentageReturn annualSystemPercentageReturn;
  		private double finalAccountValue;
!     private long intervalDays;
  		private TotalNetProfit totalNetProfit;
  		private ReturnOnAccount returnOnAccount;
--- 15,28 ----
  	/// Summary description for Summary.
  	/// </summary>
! 	[Serializable]
! 	public class Summary : ReportTable, ISerializable
! 	{
! 		private AccountReport accountReport;
  		private IHistoricalQuoteProvider historicalQuoteProvider;
! 		private double totalPnl;
! 		private BenchmarkPercentageReturn benchmarkPercentageReturn;
  		private AnnualSystemPercentageReturn annualSystemPercentageReturn;
  		private double finalAccountValue;
! 		private long intervalDays;
  		private TotalNetProfit totalNetProfit;
  		private ReturnOnAccount returnOnAccount;
***************
*** 50,60 ****
  
  		public AccountReport AccountReport
!     {
!       get { return accountReport; }
!     }
!     public double TotalPnl
!     {
!       get { return totalPnl; }
!     }
  		public TotalNetProfit TotalNetProfit
  		{
--- 50,60 ----
  
  		public AccountReport AccountReport
! 		{
! 			get { return accountReport; }
! 		}
! 		public double TotalPnl
! 		{
! 			get { return totalPnl; }
! 		}
  		public TotalNetProfit TotalNetProfit
  		{
***************
*** 66,80 ****
  		}
  		public BenchmarkPercentageReturn BenchmarkPercentageReturn
!     {
!       get { return this.benchmarkPercentageReturn; }
!     }
!     public double FinalAccountValue
!     {
!       get { return finalAccountValue; }
!     }
!     public double IntervalDays
!     {
!       get { return intervalDays; }
!     }
  		public AnnualSystemPercentageReturn AnnualSystemPercentageReturn
  		{
--- 66,80 ----
  		}
  		public BenchmarkPercentageReturn BenchmarkPercentageReturn
! 		{
! 			get { return this.benchmarkPercentageReturn; }
! 		}
! 		public double FinalAccountValue
! 		{
! 			get { return finalAccountValue; }
! 		}
! 		public double IntervalDays
! 		{
! 			get { return intervalDays; }
! 		}
  		public AnnualSystemPercentageReturn AnnualSystemPercentageReturn
  		{
***************
*** 185,189 ****
  		}
  		public Summary( AccountReport accountReport ,
! 			IHistoricalQuoteProvider historicalDataProvider ) :
  			base( accountReport.Name + " - Summary" )
  		{
--- 185,189 ----
  		}
  		public Summary( AccountReport accountReport ,
! 		               IHistoricalQuoteProvider historicalDataProvider ) :
  			base( accountReport.Name + " - Summary" )
  		{
***************
*** 199,203 ****
  		/// <param name="context"></param>
  		protected Summary( SerializationInfo info , StreamingContext context ) :
! 							base( "Summary" )
  		{
  			// get the set of serializable members for this class and its base classes
--- 199,203 ----
  		/// <param name="context"></param>
  		protected Summary( SerializationInfo info , StreamingContext context ) :
! 			base( "Summary" )
  		{
  			// get the set of serializable members for this class and its base classes
***************
*** 207,211 ****
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++) 
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
--- 207,211 ----
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++)
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
***************
*** 215,222 ****
  				{
  					fieldInfo.SetValue( this ,
! 						info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
  				}
- 				catch(Exception ex)
- 				{ex = ex;}
  			}
  		}
--- 215,224 ----
  				{
  					fieldInfo.SetValue( this ,
! 					                   info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
! 				}
! 				catch (Exception ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  				}
  			}
  		}
***************
*** 229,241 ****
  		/// <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));
--- 231,243 ----
  		/// <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));
***************
*** 244,265 ****
  		#endregion
  
!     #region "getSummary"
!     private void getSummaryTable_setColumns( DataTable equityDataTable )
!     {
!       equityDataTable.Columns.Add( "Information"  , Type.GetType( "System.String" ) );
!       equityDataTable.Columns.Add( "Value" , Type.GetType( "System.Double" ) );
!     }
!     private void getSummary()
!     {
  			if ( this.accountReport.Equity.DataTable.Rows.Count == 0 )
  				throw new Exception( "A Summary computation has been requested, but the equity line is empty" );
!       this.totalPnl =
!         (double)this.accountReport.Equity.DataTable.Rows[ this.accountReport.Equity.DataTable.Rows.Count - 1 ][ "PnL" ];
!       this.finalAccountValue =
!         (double)this.accountReport.Equity.DataTable.Rows[ this.accountReport.Equity.DataTable.Rows.Count - 1 ][ "AccountValue" ];
!       this.intervalDays =
!         ((TimeSpan)((DateTime)this.accountReport.Equity.DataTable.Rows[ this.accountReport.Equity.DataTable.Rows.Count - 1 ][ "Date" ] -
!         (DateTime)this.accountReport.Equity.DataTable.Rows[ 0 ][ "Date" ])).Days;
! 			this.returnOnAccount = new ReturnOnAccount( this ); 
  			this.benchmarkPercentageReturn =
  				new BenchmarkPercentageReturn( this , this.historicalQuoteProvider );
--- 246,267 ----
  		#endregion
  
! 		#region "getSummary"
! 		private void getSummaryTable_setColumns( DataTable equityDataTable )
! 		{
! 			equityDataTable.Columns.Add( "Information"  , Type.GetType( "System.String" ) );
! 			equityDataTable.Columns.Add( "Value" , Type.GetType( "System.Double" ) );
! 		}
! 		private void getSummary()
! 		{
  			if ( this.accountReport.Equity.DataTable.Rows.Count == 0 )
  				throw new Exception( "A Summary computation has been requested, but the equity line is empty" );
! 			this.totalPnl =
! 				(double)this.accountReport.Equity.DataTable.Rows[ this.accountReport.Equity.DataTable.Rows.Count - 1 ][ "PnL" ];
! 			this.finalAccountValue =
! 				(double)this.accountReport.Equity.DataTable.Rows[ this.accountReport.Equity.DataTable.Rows.Count - 1 ][ "AccountValue" ];
! 			this.intervalDays =
! 				((TimeSpan)((DateTime)this.accountReport.Equity.DataTable.Rows[ this.accountReport.Equity.DataTable.Rows.Count - 1 ][ "Date" ] -
! 				            (DateTime)this.accountReport.Equity.DataTable.Rows[ 0 ][ "Date" ])).Days;
! 			this.returnOnAccount = new ReturnOnAccount( this );
  			this.benchmarkPercentageReturn =
  				new BenchmarkPercentageReturn( this , this.historicalQuoteProvider );
***************
*** 288,294 ****
  			this.averageNumberOfTransactionsPerDay = new AverageNumberOfTransactionsPerDay(this);
  			//this.DataTable = getSummaryDataTable();
!     }
  
!     #endregion
  
  	}
--- 290,296 ----
  			this.averageNumberOfTransactionsPerDay = new AverageNumberOfTransactionsPerDay(this);
  			//this.DataTable = getSummaryDataTable();
! 		}
  
! 		#endregion
  
  	}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships CorrelationProvider.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12665/b4_Business/a2_Strategies/TickersRelationships

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

Index: CorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/CorrelationProvider.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** CorrelationProvider.cs	8 Apr 2008 21:47:28 -0000	1.4
--- CorrelationProvider.cs	18 Aug 2008 21:13:19 -0000	1.5
***************
*** 3,7 ****
  
  CorrelationProvider.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  CorrelationProvider.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;
***************
*** 34,44 ****
  namespace QuantProject.Business.Strategies.TickersRelationships
  {
!   /// <summary>
!   /// Abstract class that provides correlation's indexes two by two within a 
!   /// given set of tickers
!   /// </summary>
!   [Serializable]
!   public abstract class CorrelationProvider
!   {
  		protected ReturnsManager returnsManager;
  		protected string[] tickers;
--- 34,44 ----
  namespace QuantProject.Business.Strategies.TickersRelationships
  {
! 	/// <summary>
! 	/// Abstract class that provides correlation's indexes two by two within a
! 	/// given set of tickers
! 	/// </summary>
! 	[Serializable]
! 	public abstract class CorrelationProvider
! 	{
  		protected ReturnsManager returnsManager;
  		protected string[] tickers;
***************
*** 53,57 ****
  		
  		private void correlationProvider_commonInitialization(string[] tickersToAnalyze,
! 			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue)
  		{
  			this.tickers = tickersToAnalyze;
--- 53,57 ----
  		
  		private void correlationProvider_commonInitialization(string[] tickersToAnalyze,
! 		                                                      float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue)
  		{
  			this.tickers = tickersToAnalyze;
***************
*** 79,101 ****
  		/// <param name="benchmark">The benchmark used for computation
  		/// of returns</param>
!     public CorrelationProvider(string[] tickersToAnalyze,
! 					 DateTime startDate, DateTime endDate, int returnIntervalLength,
! 					 float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
! 					 string benchmark)
!     {
  			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 					 minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
  			this.setEndOfDayDatesTime(startDate,endDate);
  			this.returnIntervalLength = returnIntervalLength;
  			this.benchmark = benchmark;
!     }
  
  		public CorrelationProvider(string[] tickersToAnalyze,
! 			DateTime startDate, DateTime endDate, 
! 			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
! 			string benchmark)
  		{
  			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 				minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
  			this.setEndOfDayDatesTime(startDate,endDate);
  			this.returnIntervalLength = 1;
--- 79,101 ----
  		/// <param name="benchmark">The benchmark used for computation
  		/// of returns</param>
! 		public CorrelationProvider(string[] tickersToAnalyze,
! 		                           DateTime startDate, DateTime endDate, int returnIntervalLength,
! 		                           float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
! 		                           string benchmark)
! 		{
  			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 			                                              minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
  			this.setEndOfDayDatesTime(startDate,endDate);
  			this.returnIntervalLength = returnIntervalLength;
  			this.benchmark = benchmark;
! 		}
  
  		public CorrelationProvider(string[] tickersToAnalyze,
! 		                           DateTime startDate, DateTime endDate,
! 		                           float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
! 		                           string benchmark)
  		{
  			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 			                                              minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
  			this.setEndOfDayDatesTime(startDate,endDate);
  			this.returnIntervalLength = 1;
***************
*** 114,126 ****
  		/// have to be less than maximumAbsoluteReturnValue</param>
  		public CorrelationProvider( string[] tickersToAnalyze,
! 			ReturnsManager returnsManager,
! 			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue )
  		{
  			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 				minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
  			this.returnsManager = returnsManager;
  		}
  		
! 	
  
  		protected abstract void setEndOfDayDatesTime(DateTime startDate, DateTime endDate);
--- 114,126 ----
  		/// have to be less than maximumAbsoluteReturnValue</param>
  		public CorrelationProvider( string[] tickersToAnalyze,
! 		                           ReturnsManager returnsManager,
! 		                           float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue )
  		{
  			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 			                                              minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
  			this.returnsManager = returnsManager;
  		}
  		
! 		
  
  		protected abstract void setEndOfDayDatesTime(DateTime startDate, DateTime endDate);
***************
*** 135,163 ****
  			for(int i = 0; i<firstTickerReturns.Length; i++)
  				if( Math.Abs(firstTickerReturns[i]) >= this.minimumAbsoluteReturnValue &&
! 				    Math.Abs(firstTickerReturns[i]) <= this.maximumAbsoluteReturnValue &&
! 						Math.Abs(secondTickerReturns[i]) >= this.minimumAbsoluteReturnValue && 
! 						Math.Abs(secondTickerReturns[i]) <= this.maximumAbsoluteReturnValue )
! 				{
! 					countSignificantReturns++;
! 					tempReturnValue[ countSignificantReturns - 1 ] = firstTickerReturns[ i ];
! 				}
  			returnValue = new float[countSignificantReturns];
!       Array.Copy(tempReturnValue, 0, returnValue, 0, countSignificantReturns);
  			return returnValue;
  		}
  
  		protected double getOrderedTickersPearsonCorrelations_setCorrelations_getValue(
! 			             int indexOfFirstTicker, int indexOfSecondTicker)
  		{
  			double returnValue;
! 			float[] firstTickerSignificantReturns = 
  				this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
! 				this.returnsManager.GetReturns(this.tickers[indexOfFirstTicker]),
! 				this.returnsManager.GetReturns(this.tickers[indexOfSecondTicker]) );
  			
! 			float[] secondTickerSignificantReturns = 
  				this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
! 				this.returnsManager.GetReturns(this.tickers[indexOfSecondTicker]),
! 				this.returnsManager.GetReturns(this.tickers[indexOfFirstTicker]) );
  			
  			returnValue = BasicFunctions.PearsonCorrelationCoefficient(
--- 135,163 ----
  			for(int i = 0; i<firstTickerReturns.Length; i++)
  				if( Math.Abs(firstTickerReturns[i]) >= this.minimumAbsoluteReturnValue &&
! 				   Math.Abs(firstTickerReturns[i]) <= this.maximumAbsoluteReturnValue &&
! 				   Math.Abs(secondTickerReturns[i]) >= this.minimumAbsoluteReturnValue &&
! 				   Math.Abs(secondTickerReturns[i]) <= this.maximumAbsoluteReturnValue )
! 			{
! 				countSignificantReturns++;
! 				tempReturnValue[ countSignificantReturns - 1 ] = firstTickerReturns[ i ];
! 			}
  			returnValue = new float[countSignificantReturns];
! 			Array.Copy(tempReturnValue, 0, returnValue, 0, countSignificantReturns);
  			return returnValue;
  		}
  
  		protected double getOrderedTickersPearsonCorrelations_setCorrelations_getValue(
! 			int indexOfFirstTicker, int indexOfSecondTicker)
  		{
  			double returnValue;
! 			float[] firstTickerSignificantReturns =
  				this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
! 					this.returnsManager.GetReturns(this.tickers[indexOfFirstTicker]),
! 					this.returnsManager.GetReturns(this.tickers[indexOfSecondTicker]) );
  			
! 			float[] secondTickerSignificantReturns =
  				this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
! 					this.returnsManager.GetReturns(this.tickers[indexOfSecondTicker]),
! 					this.returnsManager.GetReturns(this.tickers[indexOfFirstTicker]) );
  			
  			returnValue = BasicFunctions.PearsonCorrelationCoefficient(
***************
*** 167,171 ****
  			if ( Double.IsNaN(returnValue) || Double.IsInfinity(returnValue) )
  				throw new MissingCorrelationException(this.tickers[indexOfFirstTicker],
! 														this.tickers[indexOfSecondTicker]);
  
  			return returnValue;
--- 167,171 ----
  			if ( Double.IsNaN(returnValue) || Double.IsInfinity(returnValue) )
  				throw new MissingCorrelationException(this.tickers[indexOfFirstTicker],
! 				                                      this.tickers[indexOfSecondTicker]);
  
  			return returnValue;
***************
*** 176,194 ****
  			if(this.returnsManager == null)
  				this.setReturnsManager();
! 			this.pearsonCorrelations = 
  				new TickersPearsonCorrelation[ this.numOfCombinationTwoByTwo ];
  			int index = 0;
  			for (int i = 0; i < this.tickers.Length; i++)
  				for (int j = i + 1; j < this.tickers.Length; j++)
! 				{	
! 					try{
! 						this.pearsonCorrelations[index] = 
! 							new TickersPearsonCorrelation( this.tickers[i], this.tickers[j],
! 							this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue( i , j) );
! 					}
! 					catch(MissingCorrelationException ex)
! 					{ex=ex;}
! 					index++;
! 				} 
  			Array.Sort(this.pearsonCorrelations);
  		}
--- 176,196 ----
  			if(this.returnsManager == null)
  				this.setReturnsManager();
! 			this.pearsonCorrelations =
  				new TickersPearsonCorrelation[ this.numOfCombinationTwoByTwo ];
  			int index = 0;
  			for (int i = 0; i < this.tickers.Length; i++)
  				for (int j = i + 1; j < this.tickers.Length; j++)
! 			{
! 				try{
! 					this.pearsonCorrelations[index] =
! 						new TickersPearsonCorrelation( this.tickers[i], this.tickers[j],
! 						                              this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue( i , j) );
! 				}
! 				catch(MissingCorrelationException ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				}
! 				index++;
! 			}
  			Array.Sort(this.pearsonCorrelations);
  		}
***************
*** 202,212 ****
  			for(int i = 0; i < this.pearsonCorrelations.Length; i++)
  				System.Console.WriteLine(this.pearsonCorrelations[i].FirstTicker + " " +
! 																 this.pearsonCorrelations[i].SecondTicker + " " +
! 																 this.pearsonCorrelations[i].CorrelationValue.ToString() );
  		}
  
  		public TickersPearsonCorrelation[] GetOrderedTickersPearsonCorrelations()
  		{
!     	if( this.pearsonCorrelations == null )
  				this.getOrderedTickersPearsonCorrelations_setCorrelations();
  			this.showOutputToConsole();
--- 204,214 ----
  			for(int i = 0; i < this.pearsonCorrelations.Length; i++)
  				System.Console.WriteLine(this.pearsonCorrelations[i].FirstTicker + " " +
! 				                         this.pearsonCorrelations[i].SecondTicker + " " +
! 				                         this.pearsonCorrelations[i].CorrelationValue.ToString() );
  		}
  
  		public TickersPearsonCorrelation[] GetOrderedTickersPearsonCorrelations()
  		{
! 			if( this.pearsonCorrelations == null )
  				this.getOrderedTickersPearsonCorrelations_setCorrelations();
  			this.showOutputToConsole();
***************
*** 216,235 ****
  		public double GetPearsonCorrelation(string firstTicker, string secondTicker)
  		{
!     	double returnValue = double.NaN;
  			if( this.pearsonCorrelations == null )
  				this.getOrderedTickersPearsonCorrelations_setCorrelations();
  			
!     	for(int i = 0; i<this.pearsonCorrelations.Length; i++)
!     	{
!     		if( (this.pearsonCorrelations[i].FirstTicker == firstTicker &&
!     		     this.pearsonCorrelations[i].SecondTicker == secondTicker) ||
!     		     (this.pearsonCorrelations[i].FirstTicker == secondTicker &&
!     		      this.pearsonCorrelations[i].SecondTicker == firstTicker) )
!     		{
  					returnValue = this.pearsonCorrelations[i].CorrelationValue;
  					i = this.pearsonCorrelations.Length;//exit from for
  				}
!     	}
!     	if( double.IsNaN(returnValue) )
  				throw new MissingCorrelationException(firstTicker, secondTicker);
  			
--- 218,237 ----
  		public double GetPearsonCorrelation(string firstTicker, string secondTicker)
  		{
! 			double returnValue = double.NaN;
  			if( this.pearsonCorrelations == null )
  				this.getOrderedTickersPearsonCorrelations_setCorrelations();
  			
! 			for(int i = 0; i<this.pearsonCorrelations.Length; i++)
! 			{
! 				if( (this.pearsonCorrelations[i].FirstTicker == firstTicker &&
! 				     this.pearsonCorrelations[i].SecondTicker == secondTicker) ||
! 				   (this.pearsonCorrelations[i].FirstTicker == secondTicker &&
! 				    this.pearsonCorrelations[i].SecondTicker == firstTicker) )
! 				{
  					returnValue = this.pearsonCorrelations[i].CorrelationValue;
  					i = this.pearsonCorrelations.Length;//exit from for
  				}
! 			}
! 			if( double.IsNaN(returnValue) )
  				throw new MissingCorrelationException(firstTicker, secondTicker);
  			
***************
*** 237,240 ****
  		}
  
!   } // end of class
  }
--- 239,242 ----
  		}
  
! 	} // end of class
  }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/InSample DummyInSampleChooser.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12665/b4_Business/a2_Strategies/InSample

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

Index: DummyInSampleChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample/DummyInSampleChooser.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** DummyInSampleChooser.cs	30 Mar 2008 15:46:12 -0000	1.2
--- DummyInSampleChooser.cs	18 Aug 2008 21:13:19 -0000	1.3
***************
*** 40,45 ****
  		public event NewProgressEventHandler NewProgress;
  
- 		private WeightedPositions weightedPositions;
- 
  		public string Description
  		{
--- 40,43 ----
***************
*** 49,53 ****
  		public DummyInSampleChooser()
  		{
- 			this.weightedPositions = weightedPositions;
  		}
  		public object AnalyzeInSample( EligibleTickers eligibleTickers ,
--- 47,50 ----

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12665/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows

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

Index: AverageReturnOnDayOfWeekWithOpenPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows/AverageReturnOnDayOfWeekWithOpenPositions.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** AverageReturnOnDayOfWeekWithOpenPositions.cs	14 Aug 2008 21:36:09 -0000	1.2
--- AverageReturnOnDayOfWeekWithOpenPositions.cs	18 Aug 2008 21:13:16 -0000	1.3
***************
*** 106,110 ****
  			catch (Exception ex)
  			{
! 				ex = ex; // to avoid compilation warning;
  			}
  		}
--- 106,110 ----
  			catch (Exception ex)
  			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
  			}
  		}

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12665/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases

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

Index: FixedLengthTwoPhasesMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** FixedLengthTwoPhasesMain.cs	16 Aug 2008 19:26:57 -0000	1.9
--- FixedLengthTwoPhasesMain.cs	18 Aug 2008 21:13:20 -0000	1.10
***************
*** 61,65 ****
  		{
  			this.benchmark = new Benchmark( "CCE" );
! 			this.numberOfPortfolioPositions = 1;
  			this.historicalQuoteProviderForInSample =
  				new HistoricalRawQuoteProvider();
--- 61,65 ----
  		{
  			this.benchmark = new Benchmark( "CCE" );
! 			this.numberOfPortfolioPositions = 2;
  			this.historicalQuoteProviderForInSample =
  				new HistoricalRawQuoteProvider();
***************
*** 72,76 ****
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
  			
  			int maxNumberOfEligibleTickersToBeChosen = 100;
--- 72,76 ----
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! //			tickersGroupId = "fastTest";
  			
  			int maxNumberOfEligibleTickersToBeChosen = 100;
***************
*** 111,115 ****
  			int numberOfBestTestingPositionsToBeReturned = 20;
  			// uncomment the following line for a faster script
! 			 numberOfBestTestingPositionsToBeReturned = 2;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
--- 111,115 ----
  			int numberOfBestTestingPositionsToBeReturned = 20;
  			// uncomment the following line for a faster script
! 			 numberOfBestTestingPositionsToBeReturned = 5;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
***************
*** 127,131 ****
  			double elitismRate = 0.001;
  			int populationSizeForGeneticOptimizer = 10000;
! 			int generationNumberForGeneticOptimizer = 1;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
--- 127,131 ----
  			double elitismRate = 0.001;
  			int populationSizeForGeneticOptimizer = 10000;
! 			int generationNumberForGeneticOptimizer = 5;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
***************
*** 205,212 ****
  			double cashToStart = 30000;
  
! 			DateTime firstDateTime = new DateTime( 2006 , 1 , 2 );
! 			DateTime lastDateTime = new DateTime( 2006 , 1 , 6 );
  
! 			double maxRunningHours = 1;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
--- 205,212 ----
  			double cashToStart = 30000;
  
! 			DateTime firstDateTime = new DateTime( 2006 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2008 , 4 , 1 );
  
! 			double maxRunningHours = 8;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =

[Quantproject-developers] QuantProject/b91_QuantProject Main.cs, 1.19, 1.20

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12665/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 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** Main.cs	13 Mar 2008 19:45:54 -0000	1.19
--- Main.cs	18 Aug 2008 21:13:20 -0000	1.20
***************
*** 474,479 ****
  //			new WFLagMain().ShowDialog();
  
! //			new FixedLengthTwoPhasesMain().Run();
! 			new PairsTradingMain().Run();
          
  //			new RunOneRank().Run();
--- 474,479 ----
  //			new WFLagMain().ShowDialog();
  
! 			new FixedLengthTwoPhasesMain().Run();
! //			new PairsTradingMain().Run();
          
  //			new RunOneRank().Run();