quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs, 1.26, 1.27

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9863/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs 
Log Message:
Changed IEndOfDayStrategy interface

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** EndOfDayTimerHandler.cs	14 Jan 2008 23:32:30 -0000	1.26
--- EndOfDayTimerHandler.cs	12 Mar 2008 22:09:05 -0000	1.27
***************
*** 76,82 ****
  		
      public Account Account
!     {
!       get { return this.account; }
!     }
  		
      /// <summary>
--- 76,83 ----
  		
      public Account Account
! 		{
! 			get { return this.account; }
! 			set { this.account = value; }
! 		}
  		
      /// <summary>

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.87, 1.88 Scripts_SD.csproj, 1.16, 1.17

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8738

Modified Files:
	b7_Scripts.csproj Scripts_SD.csproj 
Log Message:
Updated sharp develop and VS net project's files

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** Scripts_SD.csproj	9 Mar 2008 23:28:37 -0000	1.16
--- Scripts_SD.csproj	12 Mar 2008 22:06:59 -0000	1.17
***************
*** 70,73 ****
--- 70,75 ----
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVOCorrelationChooser.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVOGeneticChooser.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVO_CTCCorrelationChooser.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVO_OTCCorrelationChooser.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOGenomeManager.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOLogItem.cs" />
***************
*** 76,79 ****
--- 78,84 ----
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOPositionsStatus.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOStrategy.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCLogItem.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCMain.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCStrategy.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\EndOfDayTimerHandlerWeightedPVO.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\GenomeManagerWeightedPVO.cs" />

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.87
retrieving revision 1.88
diff -C2 -d -r1.87 -r1.88
*** b7_Scripts.csproj	9 Mar 2008 23:30:10 -0000	1.87
--- b7_Scripts.csproj	12 Mar 2008 22:06:59 -0000	1.88
***************
*** 330,333 ****
--- 330,348 ----
                  />
                  <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCLogItem.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCMain.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCStrategy.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOGenomeManager.cs"
                      SubType = "Code"
***************
*** 395,398 ****
--- 410,423 ----
                  />
                  <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVO_CTCCorrelationChooser.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVO_OTCCorrelationChooser.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVOCorrelationChooser.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator EndOfDayTimerHandlerPVO.cs, 1.8, 1.9

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8395

Modified Files:
	EndOfDayTimerHandlerPVO.cs 
Log Message:
no message

Index: EndOfDayTimerHandlerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EndOfDayTimerHandlerPVO.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** EndOfDayTimerHandlerPVO.cs	14 Jan 2008 23:07:02 -0000	1.8
--- EndOfDayTimerHandlerPVO.cs	12 Mar 2008 22:06:05 -0000	1.9
***************
*** 71,75 ****
      protected bool overboughtMoreThanOversoldForFixedPortfolio;
      protected HistoricalAdjustedQuoteProvider historicalQuoteProvider;
!         
      public EndOfDayTimerHandlerPVO(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
--- 71,75 ----
      protected bool overboughtMoreThanOversoldForFixedPortfolio;
      protected HistoricalAdjustedQuoteProvider historicalQuoteProvider;
!     
      public EndOfDayTimerHandlerPVO(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVOLogItem.cs, 1.1, 1.2 PVOMain.cs, 1.1, 1.2 PVOStrategy.cs, 1.1, 1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8127

Modified Files:
	PVOLogItem.cs PVOMain.cs PVOStrategy.cs 
Log Message:
Updated objects implementing the PVO strategy

Index: PVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVOStrategy.cs	9 Mar 2008 22:49:25 -0000	1.1
--- PVOStrategy.cs	12 Mar 2008 22:05:33 -0000	1.2
***************
*** 84,88 ****
      public Account Account
  		{
! 			set { this.account = value; }
  		}
      protected bool stopLossConditionReached;
--- 84,89 ----
      public Account Account
  		{
! 			get { return this.account; }
!     	set { this.account = value; }
  		}
      protected bool stopLossConditionReached;

Index: PVOMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOMain.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVOMain.cs	9 Mar 2008 22:49:24 -0000	1.1
--- PVOMain.cs	12 Mar 2008 22:05:33 -0000	1.2
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Strategies.Eligibles;
  using QuantProject.Business.Strategies.EquityEvaluation;
***************
*** 100,125 ****
  			return messageManager;
  		}
! 
! 		// TO DO check if you can add this to QuantProject.Presentation.Reporting.WindowsForm.Report
! 		// as a public method or as a new constructor
! //		private void showReport(
! //			DateTime lastDateTimeRequestedForTheScript ,
! //			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
! //		{			
! ////			DateTime lastReportDateTime = ExtendedDateTime.Min(
! ////				lastDateTimeRequestedForTheScript ,
! ////				endOfDayStrategyBackTester.EndOfDayTimer.GetCurrentTime().DateTime );
! //			DateTime lastReportDateTime =
! //				endOfDayStrategyBackTester.ActualLastDateTime;
! //			Report report = new Report(
! //				endOfDayStrategyBackTester.AccountReport ,
! //				true );
! //			report.Create( endOfDayStrategyBackTester.DescriptionForLogFileName , 1 ,
! //				new EndOfDayDateTime( lastReportDateTime ,
! //				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
! //				endOfDayStrategyBackTester.Benchmark.Ticker );
! //			report.Show();
! //		}
! 		
  		//Saves (in silent mode):
  		//- a log file where the In Sample Analysis are
--- 101,105 ----
  			return messageManager;
  		}
! 			
  		//Saves (in silent mode):
  		//- a log file where the In Sample Analysis are
***************
*** 153,157 ****
  			//general
  			DateTime firstDateTime = new DateTime( 2000 , 6 , 1 );
! 			DateTime lastDateTime = new DateTime( 2000 , 7 , 31 );
  			double maxRunningHours = 5;
  			Benchmark benchmark = new Benchmark( "^GSPC" );
--- 133,137 ----
  			//general
  			DateTime firstDateTime = new DateTime( 2000 , 6 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 6 , 1 );
  			double maxRunningHours = 5;
  			Benchmark benchmark = new Benchmark( "^GSPC" );
***************
*** 164,184 ****
  			      
  			// parameters for the in sample Chooser
! 			double crossoverRate = 0.85;
! 			double mutationRate = 0.02;
! 			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 500;
! 			int generationNumberForGeneticOptimizer = 10;
  			int numberOfBestTestingPositionsToBeReturnedInSample = 5;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
        int numDaysBetweenEachOptimization = 15;
! 			int minLevelForOversoldThreshold = 50;
!       int maxLevelForOversoldThreshold = 100;
!       int minLevelForOverboughtThreshold = 50;
!       int maxLevelForOverboughtThreshold = 100;
        int divisorForThresholdComputation = 10000;
        int numDaysForOscillatingPeriodForChooser = 1; //for genetic optimization
        bool symmetricalThresholds = true;
!       bool overboughtMoreThanOversoldForFixedPortfolio = false;
        double maxAcceptableCloseToCloseDrawdown = 0.03;
        double minimumAcceptableGain = 0.008;
--- 144,164 ----
  			      
  			// parameters for the in sample Chooser
! //			double crossoverRate = 0.85;
! //			double mutationRate = 0.02;
! //			double elitismRate = 0.001;
! //			int populationSizeForGeneticOptimizer = 500;
! //			int generationNumberForGeneticOptimizer = 10;
  			int numberOfBestTestingPositionsToBeReturnedInSample = 5;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
        int numDaysBetweenEachOptimization = 15;
! //			int minLevelForOversoldThreshold = 50;
! //      int maxLevelForOversoldThreshold = 100;
! //      int minLevelForOverboughtThreshold = 50;
! //      int maxLevelForOverboughtThreshold = 100;
        int divisorForThresholdComputation = 10000;
        int numDaysForOscillatingPeriodForChooser = 1; //for genetic optimization
        bool symmetricalThresholds = true;
! //      bool overboughtMoreThanOversoldForFixedPortfolio = false;
        double maxAcceptableCloseToCloseDrawdown = 0.03;
        double minimumAcceptableGain = 0.008;
***************
*** 195,210 ****
  			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
  			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
! 						
  			IInSampleChooser inSampleChooser =
! 				new PVOGeneticChooser(numDaysForOscillatingPeriodForChooser ,
! 				numberOfPortfolioPositions , numberOfBestTestingPositionsToBeReturnedInSample, 
! 				benchmark, decoderForTestingPositions , fitnessEvaluator ,
! 				historicalQuoteProviderForInSampleChooser , 			 
! 				crossoverRate , mutationRate , elitismRate ,
! 				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
! 				seedForRandomGenerator , minLevelForOversoldThreshold ,
! 				maxLevelForOversoldThreshold , minLevelForOverboughtThreshold ,
! 				maxLevelForOverboughtThreshold , divisorForThresholdComputation , 
! 				symmetricalThresholds , overboughtMoreThanOversoldForFixedPortfolio );
  			//parameters for eligiblesSelector
  			bool temporizedGroup = true;
--- 175,194 ----
  			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
  			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
! 			
! //			IInSampleChooser inSampleChooser =
! //				new PVOGeneticChooser(numDaysForOscillatingPeriodForChooser ,
! //				numberOfPortfolioPositions , numberOfBestTestingPositionsToBeReturnedInSample, 
! //				benchmark, decoderForTestingPositions , fitnessEvaluator ,
! //				historicalQuoteProviderForInSampleChooser , 			 
! //				crossoverRate , mutationRate , elitismRate ,
! //				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
! //				seedForRandomGenerator , minLevelForOversoldThreshold ,
! //				maxLevelForOversoldThreshold , minLevelForOverboughtThreshold ,
! //				maxLevelForOverboughtThreshold , divisorForThresholdComputation , 
! //				symmetricalThresholds , overboughtMoreThanOversoldForFixedPortfolio );
! 			
  			IInSampleChooser inSampleChooser =
! 				new PVO_CTCCorrelationChooser(numberOfBestTestingPositionsToBeReturnedInSample,
! 				                              numDaysForOscillatingPeriodForChooser);
  			//parameters for eligiblesSelector
  			bool temporizedGroup = true;
***************
*** 235,245 ****
  				new EndOfDayStrategyBackTester(
  					this.strategyIdentifier , strategy ,
! 					historicalQuoteProviderForBackTester , firstDateTime ,
  					lastDateTime , benchmark , cashToStart , maxRunningHours );
  
- 			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
- 			// constructor
- 			strategy.Account = endOfDayStrategyBackTester.Account;
- 
  			MessageManager messageManager = this.setMessageManager(
  				eligiblesSelector , inSampleChooser ,
--- 219,226 ----
  				new EndOfDayStrategyBackTester(
  					this.strategyIdentifier , strategy ,
! 					historicalQuoteProviderForBackTester ,
! 				  new SimpleAccountProvider(), firstDateTime ,
  					lastDateTime , benchmark , cashToStart , maxRunningHours );
  
  			MessageManager messageManager = this.setMessageManager(
  				eligiblesSelector , inSampleChooser ,
***************
*** 251,262 ****
  		#endregion Run
  		
- 		public void Run1()
- 		{
- 			BackTestLog backTestLog = 
- 				LogArchiver.Load( System.Configuration.ConfigurationSettings.AppSettings["LogArchive"] );
- 			LogViewer logViewer =
- 				new LogViewer( backTestLog );
- 			logViewer.Show();
- 		}
  	}
  }
--- 232,235 ----

Index: PVOLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOLogItem.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVOLogItem.cs	9 Mar 2008 22:49:24 -0000	1.1
--- PVOLogItem.cs	12 Mar 2008 22:05:33 -0000	1.2
***************
*** 25,28 ****
--- 25,29 ----
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Strategies.Eligibles;
  using QuantProject.Business.Strategies.InSample;
***************
*** 45,59 ****
    public class PVOLogItem : LogItem
    {
! //		static public Random rand = new Random(4676);
! 		private TestingPositions[] bestPVOPositionsInSample;
! 		private int numberOfEligibleTickers;
! 		private double fitnessOfFirstPVOPositionsInSample;
! 		private double fitnessOfLastPVOPositionsInSample;
! 		private int generationOfFirstPVOPositionsInSample;
! 		private int generationOfLastPVOPositionsInSample;
! 		private string thresholdsOfFirst;
! 		private string thresholdsOfLast;
! 		private string tickersOfFirst;
! 		private string tickersOfLast;
  		
  		public TestingPositions[] BestPVOPositionsInSample
--- 46,59 ----
    public class PVOLogItem : LogItem
    {
! 		protected TestingPositions[] bestPVOPositionsInSample;
! 		protected int numberOfEligibleTickers;
! 		protected double fitnessOfFirstPVOPositionsInSample;
! 		protected double fitnessOfLastPVOPositionsInSample;
! 		protected int generationOfFirstPVOPositionsInSample;
! 		protected int generationOfLastPVOPositionsInSample;
! 		protected string thresholdsOfFirst;
! 		protected string thresholdsOfLast;
! 		protected string tickersOfFirst;
! 		protected string tickersOfLast;
  		
  		public TestingPositions[] BestPVOPositionsInSample
***************
*** 191,195 ****
  				new EndOfDayStrategyBackTester(
  				"PVO" , strategy ,
! 				historicalQuoteProviderForBackTester , firstDateTime ,
  				lastDateTime , benchmark , cashToStart , maxRunningHours );
  
--- 191,196 ----
  				new EndOfDayStrategyBackTester(
  				"PVO" , strategy ,
! 				historicalQuoteProviderForBackTester ,
! 				new SimpleAccountProvider(), firstDateTime ,
  				lastDateTime , benchmark , cashToStart , maxRunningHours );
  

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

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8127/InSampleChoosers

Modified Files:
	PVOCorrelationChooser.cs 
Log Message:
Updated objects implementing the PVO strategy

Index: PVOCorrelationChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVOCorrelationChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PVOCorrelationChooser.cs	9 Mar 2008 22:49:23 -0000	1.1
--- PVOCorrelationChooser.cs	12 Mar 2008 22:05:32 -0000	1.2
***************
*** 40,44 ****
  	/// requested number of PVOPositions (positions for the PVO strategy)
  	/// </summary>
! 	public class PVOCorrelationChooser : IInSampleChooser
  	{
  		public event NewProgressEventHandler NewProgress;
--- 40,44 ----
  	/// requested number of PVOPositions (positions for the PVO strategy)
  	/// </summary>
! 	public abstract class PVOCorrelationChooser : IInSampleChooser
  	{
  		public event NewProgressEventHandler NewProgress;
***************
*** 47,52 ****
  		protected CorrelationProvider correlationProvider;
  		protected int numberOfBestTestingPositionsToBeReturned;
- 		protected double oversoldThreshold;
- 		protected double overboughtThreshold;
  		protected int numDaysForOscillatingPeriod;
  		
--- 47,50 ----
***************
*** 55,60 ****
  			get
  			{
! 				string description = "PVOCorrelationChooser_" +
! 														 this.correlationProvider.GetType().ToString();
  				return description;
  			}
--- 53,60 ----
  			get
  			{
! 				string description = "CorrelationChooserType:\n" +
! 														 this.correlationProvider.GetType().ToString() + "\n" +
! 														 "NumOfTickersReturned:\n" +
! 														 this.numberOfBestTestingPositionsToBeReturned.ToString();
  				return description;
  			}
***************
*** 75,84 ****
  		/// </param>
  		public PVOCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
! 			double oversoldThreshold, double overboughtThreshold,
! 			int numDaysForOscillatingPeriod)
  		{
  			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
- 			this.oversoldThreshold = oversoldThreshold;
- 			this.overboughtThreshold = overboughtThreshold;
  			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
  		}
--- 75,81 ----
  		/// </param>
  		public PVOCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
! 														     int numDaysForOscillatingPeriod)
  		{
  			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
  			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
  		}
***************
*** 95,109 ****
  		}
  								
! 		protected virtual void setCorrelationProvider(EligibleTickers eligibleTickers ,
! 			ReturnsManager returnsManager)
! 		{
! 			this.correlationProvider = 
! 				new OpenToCloseCorrelationProvider(eligibleTickers.Tickers, returnsManager,
! 																					 0.0001f, 0.5f);
! 		}
  		
! 		protected virtual PVOPositions getTestingPositions(WeightedPositions weightedPositions)
  		{
! 			return new PVOPositions(weightedPositions, this.oversoldThreshold, this.overboughtThreshold, this.numDaysForOscillatingPeriod );
  		}
  
--- 92,102 ----
  		}
  								
! 		protected abstract void setCorrelationProvider(EligibleTickers eligibleTickers ,
! 			ReturnsManager returnsManager);
  		
! 		protected PVOPositions getTestingPositions(WeightedPositions weightedPositions)
  		{
! 			return new PVOPositions(weightedPositions, 0.0, 0.0,
! 			                        this.numDaysForOscillatingPeriod );
  		}
  
***************
*** 124,127 ****
--- 117,122 ----
  				WeightedPositions weightedPositions = new WeightedPositions(signedTickers);
  				bestTestingPositions[i] = this.getTestingPositions(weightedPositions);
+ 				((PVOPositions)bestTestingPositions[i]).FitnessInSample = 
+ 					correlations[correlations.Length - 1 -i].CorrelationValue;
  			}	
  			return bestTestingPositions;

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVO_OTCLogItem.cs, NONE, 1.1 PVO_OTCMain.cs, NONE, 1.1 PVO_OTCStrategy.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7565

Added Files:
	PVO_OTCLogItem.cs PVO_OTCMain.cs PVO_OTCStrategy.cs 
Log Message:
Added objects for the PVO implementation (OTC and CTC)

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

PVO_OTCLogItem.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Financial.Accounting.AccountProviding;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Scripts.General.Reporting;



namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
  /// <summary>
  /// LogItem for the PVO_OTC strategy
  /// portfolio value oscillator strategy
  /// </summary>
  [Serializable]
  public class PVO_OTCLogItem : PVOLogItem
  {
		
		public PVO_OTCLogItem(EndOfDayDateTime endOfDayDateTime )
			: base( endOfDayDateTime )
		{
			
		}
		
		public override void Run()
		{
			//general
			int inSampleDays = 120;
			DateTime firstDateTime = this.SimulatedCreationTime.DateTime.AddDays(-inSampleDays);
			DateTime lastDateTime = this.SimulatedCreationTime.DateTime;
			double maxRunningHours = 1;
			Benchmark benchmark = new Benchmark( "^GSPC" );
			// definition for the Fitness Evaluator (for
			// objects that use it)
			int	numberOfPortfolioPositions =
				this.BestPVOPositionsInSample[0].WeightedPositions.Count;
			//cash and portfolio type
			double cashToStart = 30000;
			
			HistoricalQuoteProvider historicalQuoteProviderForBackTester,
				historicalQuoteProviderForInSampleChooser,
				historicalQuoteProviderForStrategy;
			historicalQuoteProviderForBackTester =
				new HistoricalAdjustedQuoteProvider();
			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
						
			IEligiblesSelector eligiblesSelector =
				new DummyEligibleSelector();
			//strategyParameters
			TestingPositions[] positionsToTest =
				new TestingPositions[this.bestPVOPositionsInSample.Length];
			positionsToTest = this.bestPVOPositionsInSample;
			PVO_OTCStrategy strategy =
				new PVO_OTCStrategy(eligiblesSelector,
				positionsToTest, inSampleDays,
				benchmark ,
				int.MaxValue ,
				((PVOPositions)positionsToTest[0]).OversoldThreshold,
				((PVOPositions)positionsToTest[0]).OverboughtThreshold,
				historicalQuoteProviderForStrategy);
			
			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
				"PVO_OTC" , strategy ,
				historicalQuoteProviderForBackTester , 
				new SimpleAccountProvider(),
				firstDateTime ,
				lastDateTime , benchmark , cashToStart , maxRunningHours );

			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
			// constructor
			strategy.Account = endOfDayStrategyBackTester.Account;
			endOfDayStrategyBackTester.Run();
			BackTesterReportViewer.ShowReport( lastDateTime ,
				endOfDayStrategyBackTester );
		}
	}
}

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

PVO_OTCMain.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.IO;

using QuantProject.ADT;
using QuantProject.ADT.FileManaging;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Financial.Accounting.AccountProviding;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Presentation;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.Decoding;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.FitnessEvaluators;
using QuantProject.Scripts.General.Logging;
using QuantProject.Scripts.General.Reporting;


namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
	/// <summary>
	/// Entry point for the PVO_OTC strategy. If any strategy
	/// parameter had to be changed, this is the place where it should
	/// be done
	/// </summary>
	public class PVO_OTCMain
	{
		private string strategyIdentifier;
		private string fileNameWithoutExt;
		private string dirNameWhereToSaveResults;
				
		public PVO_OTCMain()
		{
			this.strategyIdentifier = "PVO_OTC";
		}
		
		private void setFileNamesAndDirectory(EndOfDayStrategyBackTester endOfDayStrategyBackTester)
		{
			if(this.fileNameWithoutExt == null)
			{
				this.fileNameWithoutExt = this.strategyIdentifier + "_" +
																	DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
    															DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
																	DateTime.Now.Second.ToString().PadLeft(2,'0');
			  this.dirNameWhereToSaveResults = System.Configuration.ConfigurationSettings.AppSettings["LogArchive"] +
                         								 "\\" + fileNameWithoutExt + "\\";
      
      	if( !Directory.Exists(dirNameWhereToSaveResults) )
    			Directory.CreateDirectory(dirNameWhereToSaveResults);
			}
		}
		
		#region Run
		private MessageManager setMessageManager(
			IEligiblesSelector eligiblesSelector ,
			IInSampleChooser inSampleChooser ,
			IEndOfDayStrategy endOfDayStrategy ,
			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
		{
			this.setFileNamesAndDirectory(endOfDayStrategyBackTester);
			
      string fullPathFileNameForMessagesLog = dirNameWhereToSaveResults + 
      																				this.fileNameWithoutExt +
      																				"LogMessages.txt";
			MessageManager messageManager =
				new MessageManager( fullPathFileNameForMessagesLog );
			messageManager.Monitor( eligiblesSelector );
			messageManager.Monitor( inSampleChooser );
			//			messageManager.Monitor( endOfDayStrategy );
			messageManager.Monitor( endOfDayStrategyBackTester );
			return messageManager;
		}

		// TO DO check if you can add this to QuantProject.Presentation.Reporting.WindowsForm.Report
		// as a public method or as a new constructor
//		private void showReport(
//			DateTime lastDateTimeRequestedForTheScript ,
//			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
//		{			
////			DateTime lastReportDateTime = ExtendedDateTime.Min(
////				lastDateTimeRequestedForTheScript ,
////				endOfDayStrategyBackTester.EndOfDayTimer.GetCurrentTime().DateTime );
//			DateTime lastReportDateTime =
//				endOfDayStrategyBackTester.ActualLastDateTime;
//			Report report = new Report(
//				endOfDayStrategyBackTester.AccountReport ,
//				true );
//			report.Create( endOfDayStrategyBackTester.DescriptionForLogFileName , 1 ,
//				new EndOfDayDateTime( lastReportDateTime ,
//				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
//				endOfDayStrategyBackTester.Benchmark.Ticker );
//			report.Show();
//		}
		
		//Saves (in silent mode):
		//- a log file where the In Sample Analysis are
		//  stored;
		//- a report;
		//- a txt file with a full description of the
		//  strategy's features
		private void saveScriptResults( EndOfDayStrategyBackTester endOfDayStrategyBackTester )
		{
			this.setFileNamesAndDirectory(endOfDayStrategyBackTester);
      string fullPathFileNameForLog = dirNameWhereToSaveResults +
      																this.fileNameWithoutExt + ".qpL";
      string fullPathFileNameForReport = dirNameWhereToSaveResults + 
      																	 this.fileNameWithoutExt + ".qpR";
      string fullPathFileNameForParametersLog = dirNameWhereToSaveResults + 
      																					this.fileNameWithoutExt + "_Parameters.txt";
      ObjectArchiver.Archive(endOfDayStrategyBackTester.Log,
                             fullPathFileNameForLog);
      ObjectArchiver.Archive(endOfDayStrategyBackTester.AccountReport,
                             fullPathFileNameForReport);
      StreamWriter w = File.AppendText(fullPathFileNameForParametersLog);
      w.WriteLine ("\n---\r\n");
      w.WriteLine ( endOfDayStrategyBackTester.Description );
      w.WriteLine ("\n---\r\n");
			w.Flush();
			w.Close();
 		}

		public void Run()
		{
			//general
			DateTime firstDateTime = new DateTime( 2000 , 6 , 1 );
			DateTime lastDateTime = new DateTime( 2005 , 12 , 31 );
			double maxRunningHours = 1.5;
			Benchmark benchmark = new Benchmark( "^GSPC" );
			// definition for the Fitness Evaluator (for
			// objects that use it)
      //IEquityEvaluator equityEvaluator = new SharpeRatio();
     	//cash and portfolio type
			double cashToStart = 30000;
			//int numberOfPortfolioPositions = 4;
			      
			// parameters for the in sample Chooser
			//double crossoverRate = 0.85;
			//double mutationRate = 0.02;
			//double elitismRate = 0.001;
			//int populationSizeForGeneticOptimizer = 500;
//			int generationNumberForGeneticOptimizer = 10;
			int numberOfBestTestingPositionsToBeReturnedInSample = 8;
//			int seedForRandomGenerator =
//				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
      int numDaysBetweenEachOptimization = 15;
//			int minLevelForOversoldThreshold = 50;
//      int maxLevelForOversoldThreshold = 100;
//      int minLevelForOverboughtThreshold = 50;
//      int maxLevelForOverboughtThreshold = 100;
//      int divisorForThresholdComputation = 10000;
//      int numDaysForOscillatingPeriodForChooser = 1; //for genetic optimization
//      bool symmetricalThresholds = true;
//      bool overboughtMoreThanOversoldForFixedPortfolio = false;
//      double maxAcceptableCloseToCloseDrawdown = 0.03;
//      double minimumAcceptableGain = 0.008;
//      IDecoderForTestingPositions decoderForTestingPositions
//      	= new BasicDecoderForPVOPositions(symmetricalThresholds, divisorForThresholdComputation ,
//																				  numDaysForOscillatingPeriodForChooser);
//      IFitnessEvaluator	fitnessEvaluator =
//				new PVOFitnessEvaluator( equityEvaluator );
      HistoricalQuoteProvider historicalQuoteProviderForBackTester,
															historicalQuoteProviderForInSampleChooser,
															historicalQuoteProviderForStrategy;
			historicalQuoteProviderForBackTester =
				new HistoricalAdjustedQuoteProvider();
			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
						
			IInSampleChooser inSampleChooser =
				new PVO_OTCCorrelationChooser(numberOfBestTestingPositionsToBeReturnedInSample);
			//parameters for eligiblesSelector
			bool temporizedGroup = true;
			double minRawOpenPrice = 25;
			double maxRawOpenPrice = 500;
			int numDaysForAverageOpenRawPrice = 20;
			string tickersGroupId = "SP500";
      int maxNumberOfEligiblesToBeChosen = 100;
			IEligiblesSelector eligiblesSelector =
				new ByPriceMostLiquidAlwaysQuoted(
				tickersGroupId , temporizedGroup, maxNumberOfEligiblesToBeChosen,
				numDaysForAverageOpenRawPrice ,
				minRawOpenPrice , maxRawOpenPrice );
			//strategyParameters
			double oversoldThreshold = 0.0075;
			double overboughtThreshold = 0.0075;
			int inSampleDays = 120;
			PVO_OTCStrategy strategy =
				new PVO_OTCStrategy(eligiblesSelector,
					inSampleChooser, inSampleDays,
					benchmark ,
					numDaysBetweenEachOptimization ,
					oversoldThreshold , overboughtThreshold ,
					historicalQuoteProviderForStrategy );
			
			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
					this.strategyIdentifier , strategy ,
				historicalQuoteProviderForBackTester , new SimpleAccountProvider(),firstDateTime ,
					lastDateTime , benchmark , cashToStart , maxRunningHours );

			MessageManager messageManager = this.setMessageManager(
				eligiblesSelector , inSampleChooser ,
				strategy , endOfDayStrategyBackTester );
			endOfDayStrategyBackTester.Run();
			this.saveScriptResults(endOfDayStrategyBackTester);
		}

		#endregion Run
				
	}
}

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

PVO_OTCStrategy.cs
Copyright (C) 2008 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/
using System;
using System.Data;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Data;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Scripts.WalkForwardTesting.LinearCombination;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
	/// <summary>
  /// Implements MarketOpenEventHandler and MarketCloseEventHandler
  /// These handlers contain the core strategy for the Portfolio Value
  /// Oscillator
  /// </summary>
  [Serializable]
  public class PVO_OTCStrategy : IEndOfDayStrategyForBacktester
  {
		public event NewLogItemEventHandler NewLogItem;
		public event NewMessageEventHandler NewMessage;

		//initialized by the constructor
  	protected int inSampleDays;
    protected int numDaysBetweenEachOptimization;
    protected IInSampleChooser inSampleChooser;
    protected IEligiblesSelector eligiblesSelector;
    protected Benchmark benchmark;
    protected HistoricalQuoteProvider historicalQuoteProvider;
    protected double oversoldThreshold;
    protected double overboughtThreshold;
    //initialized after constructor's call
    protected int numDaysElapsedSinceLastOptimization;
    protected ReturnsManager returnsManager;
		protected TestingPositions[] chosenPVOPositions;
		//chosen in sample: these are the eligible positions for out
		//of sample testing
		protected PVOPositions pvoPositionsForOutOfSample;
    protected DateTime lastCloseDate;
    protected Account account;
    public Account Account
		{
    	get { return this.account; }
    	set { this.account = value; }
		}
       
    private string description_GetDescriptionForChooser()
    {
    	if(this.inSampleChooser == null)
    		return "ConstantChooser";
    	else
    		return this.inSampleChooser.Description;	
    }
    
		public string Description
		{
			get
			{
				string description =
					"PVO_OTC\n" +
					"Tickers_" + "2\n" +
					"_inSampleDays_" + this.inSampleDays.ToString() + "\n" +
					this.eligiblesSelector.Description + "\n" +
					"oversoldThreshold_" + this.oversoldThreshold.ToString() + "\n" +
					"overboughtThreshold_" + this.overboughtThreshold.ToString() + "\n" +
					this.description_GetDescriptionForChooser() + "\n" +
					"Optimization each " + this.numDaysBetweenEachOptimization.ToString() + " days";
				return description;
			}
		}
		
		public bool StopBacktestIfMaxRunningHoursHasBeenReached
		{
			get
			{
				return true;
			}
		}

		private void pvo_otcStrategy(IEligiblesSelector eligiblesSelector,
			int inSampleDays,
			Benchmark benchmark,
			int numDaysBetweenEachOptimization,
			double oversoldThreshold,
			double overboughtThreshold,
			HistoricalQuoteProvider historicalQuoteProvider)
		{
			this.eligiblesSelector = eligiblesSelector;
			this.inSampleDays = inSampleDays;
			this.benchmark = benchmark;
			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
			this.oversoldThreshold = oversoldThreshold;
			this.overboughtThreshold = overboughtThreshold;
			this.historicalQuoteProvider = historicalQuoteProvider;
		}

    public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
																IInSampleChooser inSampleChooser,
																int inSampleDays,
																Benchmark benchmark,
																int numDaysBetweenEachOptimization,
																double oversoldThreshold,
																double overboughtThreshold,
                                HistoricalQuoteProvider historicalQuoteProvider)
    														
    {
			this.pvo_otcStrategy(eligiblesSelector, inSampleDays , benchmark , numDaysBetweenEachOptimization ,
				oversoldThreshold, overboughtThreshold,
				historicalQuoteProvider);
			this.inSampleChooser = inSampleChooser;
    }
	
		public PVO_OTCStrategy(IEligiblesSelector eligiblesSelector,
			TestingPositions[] chosenPVOPositions,
			int inSampleDays,
			Benchmark benchmark,
			int numDaysBetweenEachOptimization,
			double oversoldThreshold,
			double overboughtThreshold,
			HistoricalQuoteProvider historicalQuoteProvider)
    														
		{
			this.pvo_otcStrategy(eligiblesSelector, inSampleDays , benchmark , numDaysBetweenEachOptimization ,
				oversoldThreshold, overboughtThreshold, historicalQuoteProvider);
			this.chosenPVOPositions = chosenPVOPositions;
		}
		
		#region MarketOpenEventHandler
		
		protected virtual EndOfDayDateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
		{
			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-1]["quDate"],
				EndOfDaySpecificTime.MarketClose );
		}
		
		private PVOPositionsStatus marketOpenEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
    {
    	EndOfDayDateTime today = timer.GetCurrentTime();
    	EndOfDayDateTime beginOfOscillatingPeriod =
    		this.getBeginOfOscillatingPeriod(timer);
    	PVOPositionsStatus currentStatus = 
    		PVOPositionsStatus.InTheMiddle;
    	for(int i = 0; i<this.chosenPVOPositions.Length; i++)
    	{
    		if(this.chosenPVOPositions[i] != null)
    			currentStatus = 
    				((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
    				                                     this.benchmark.Ticker, this.historicalQuoteProvider);
    		if(currentStatus == PVOPositionsStatus.Oversold ||
    		   currentStatus == PVOPositionsStatus.Overbought )
    		{	
					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
					i = this.chosenPVOPositions.Length;//exit from for
				}
     	}
    		return currentStatus;
    }
		
		protected void marketOpenEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
		{
			PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
			if(timer.CurrentDateArrayPosition >= 1)
				pvoPositionsStatus = 
					this.marketOpenEventHandler_openPositions_getStatus(timer);
			switch (pvoPositionsStatus)
			{
				case PVOPositionsStatus.Overbought:
				{
    			#region manage Overbought case
					this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
					try
					{
						AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
							this.account );
					}
					catch(Exception ex)
					{
						ex = ex;
					}
					finally
					{
						this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
					}
      		#endregion
					break;
				}
				case PVOPositionsStatus.Oversold:
				{
    			AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
						this.account );
					break;
				}
				case PVOPositionsStatus.InTheMiddle://that is
				{  //pvoPositionsForOutOfSample has not been set
      		
					break;
				}
				default:
				{
					//it should never been reached
					break;
				}
			}
		}

    public virtual void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
			if ( this.account.Portfolio.Count == 0 &&
					 this.chosenPVOPositions != null )
					//portfolio is empty and optimization has
				  //been already launched
			{
				try{
					this.marketOpenEventHandler_openPositions( (IndexBasedEndOfDayTimer)sender );
				}
				catch(TickerNotExchangedException ex)
				{ex=ex;}
			}
    }
		
		#endregion
		
		public void FiveMinutesBeforeMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
		}

		private EndOfDayDateTime now()
		{
			return this.account.EndOfDayTimer.GetCurrentTime();
		}

    		       
    public virtual void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
			if(this.account.Portfolio.Count > 0)
				AccountManager.ClosePositions(this.account);
		}
 
    #region OneHourAfterMarketCloseEventHandler
    
		protected virtual void updateReturnsManager(EndOfDayDateTime firstEndOfDayDateTime,
			EndOfDayDateTime lastEndOfDayDateTime)
		{
			this.returnsManager = 
				new ReturnsManager( new DailyOpenToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
				                                                  this.benchmark.Ticker ) ,
				                        this.historicalQuoteProvider);
		}

		private PVO_OTCLogItem getLogItem( EligibleTickers eligibleTickers )
		{
			PVO_OTCLogItem logItem =
				new PVO_OTCLogItem( this.now() );
			logItem.BestPVOPositionsInSample =
				this.chosenPVOPositions;
			logItem.NumberOfEligibleTickers =
				eligibleTickers.Count;
			logItem.FitnessOfFirst = 
				this.chosenPVOPositions[0].FitnessInSample;
			logItem.FitnessOfLast = 
				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].FitnessInSample;
//			logItem.GenerationOfFirst = 
//				((IGeneticallyOptimizable)this.chosenPVOPositions[0]).Generation;
//			logItem.GenerationOfLast = 
//				((IGeneticallyOptimizable)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).Generation;
			logItem.ThresholdsOfFirst = 
				((PVOPositions)this.chosenPVOPositions[0]).OversoldThreshold.ToString() + ";" +
				((PVOPositions)this.chosenPVOPositions[0]).OverboughtThreshold.ToString();
			logItem.ThresholdsOfLast = 
				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OversoldThreshold.ToString() + ";" +
				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OverboughtThreshold.ToString();
			logItem.TickersOfFirst = 
				this.chosenPVOPositions[0].HashCodeForTickerComposition;
			logItem.TickersOfLast = 
				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].HashCodeForTickerComposition;
			return logItem;
		}
		private void raiseNewLogItem( EligibleTickers eligibleTickers )
		{
			PVO_OTCLogItem logItem =
				this.getLogItem( eligibleTickers );
			NewLogItemEventArgs newLogItemEventArgs =
				new NewLogItemEventArgs( logItem );
			this.NewLogItem( this , newLogItemEventArgs );
		}
		private void notifyMessage( EligibleTickers eligibleTickers )
		{
			string message = "Number of Eligible tickers: " +
				eligibleTickers.Count;
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if ( this.NewMessage != null )
				this.NewMessage( this , newMessageEventArgs );
		}
		private void logOptimizationInfo( EligibleTickers eligibleTickers )
		{
			this.raiseNewLogItem( eligibleTickers );
			this.notifyMessage( eligibleTickers );
		}

		private void updateTestingPositions_updateThresholds()
		{
			for(int i = 0; i<this.chosenPVOPositions.Length; i++)
			{
				((PVOPositions)this.chosenPVOPositions[i]).OversoldThreshold =
					this.oversoldThreshold;
				((PVOPositions)this.chosenPVOPositions[i]).OverboughtThreshold =
					this.overboughtThreshold;
			}
		}
		
    protected virtual void updateTestingPositions(DateTime currentDate)
    {
			EndOfDayHistory endOfDayHistory =
				this.benchmark.GetEndOfDayHistory(
				new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
				EndOfDaySpecificTime.MarketOpen),
				new EndOfDayDateTime(currentDate,
				EndOfDaySpecificTime.MarketClose));
			EligibleTickers eligibles = 
				this.eligiblesSelector.GetEligibleTickers(endOfDayHistory);
			this.updateReturnsManager(endOfDayHistory.FirstEndOfDayDateTime,
			                          endOfDayHistory.LastEndOfDayDateTime);
			if(this.inSampleChooser != null)
				this.chosenPVOPositions = (TestingPositions[])inSampleChooser.AnalyzeInSample(eligibles, this.returnsManager);
			this.updateTestingPositions_updateThresholds();
			this.logOptimizationInfo(eligibles);
    }
    
    /// <summary>
    /// Handles a "One hour after market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public virtual void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
      this.numDaysElapsedSinceLastOptimization++;
      if((this.numDaysElapsedSinceLastOptimization == 
            this.numDaysBetweenEachOptimization))
      //num days without optimization has elapsed
      {
        this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
        //sets tickers to be chosen next Market Close event
        this.numDaysElapsedSinceLastOptimization = 0;
      }
		      
    }
		#endregion
  }
}

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers PVO_CTCCorrelationChooser.cs, NONE, 1.1 PVO_OTCCorrelationChooser.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7565/InSampleChoosers

Added Files:
	PVO_CTCCorrelationChooser.cs PVO_OTCCorrelationChooser.cs 
Log Message:
Added objects for the PVO implementation (OTC and CTC)

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

PVO_OTCCorrelationChooser.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.TickersRelationships; 
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers
{
	/// <summary>
	/// PVO_OTCCorrelationChooser to be used for
	/// in sample optimization
	/// By means of correlation, the AnalyzeInSample method returns the 
	/// requested number of PVOPositions (positions for the PVO strategy)
	/// </summary>
	public class PVO_OTCCorrelationChooser : PVOCorrelationChooser
	{
		/// <summary>
		/// PVO_OTCCorrelationChooser to be used for
		/// in sample optimization
		/// </summary>
		/// <param name="numberOfBestTestingPositionsToBeReturned">
		/// The number of PVOPositions that the
		/// AnalyzeInSample method will return
		/// </param>
		public PVO_OTCCorrelationChooser(int numberOfBestTestingPositionsToBeReturned) : 
																		 base(numberOfBestTestingPositionsToBeReturned,1)
		{
			
		}

		protected override void setCorrelationProvider(EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager)
		{
			this.correlationProvider = 
				new OpenToCloseCorrelationProvider(eligibleTickers.Tickers, returnsManager,
																					 0.0001f, 0.5f);
		}
	}
}


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

PVO_CTCCorrelationChooser.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.TickersRelationships; 
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers
{
	/// <summary>
	/// PVO_CTCCorrelationChooser to be used for
	/// in sample optimization
	/// By means of correlation, the AnalyzeInSample method returns the 
	/// requested number of PVOPositions (positions for the PVO strategy)
	/// </summary>
	public class PVO_CTCCorrelationChooser : PVOCorrelationChooser
	{
		/// <summary>
		/// PVO_CTCCorrelationChooser to be used for
		/// in sample optimization
		/// </summary>
		/// <param name="numberOfBestTestingPositionsToBeReturned">
		/// The number of PVOPositions that the
		/// AnalyzeInSample method will return
		/// </param>
		public PVO_CTCCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
		                                 int closeToCloseReturnIntervalLength) :
																		 base(numberOfBestTestingPositionsToBeReturned,
			     															  closeToCloseReturnIntervalLength)
		{
			
		}
				
		protected override void setCorrelationProvider(EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager)
		{
			DateTime firstDate = returnsManager.ReturnIntervals[0].Begin.DateTime;
			DateTime lastDate =  returnsManager.ReturnIntervals.LastEndOfDayDateTime.DateTime;
			this.correlationProvider =
				new CloseToCloseCorrelationProvider(eligibleTickers.Tickers, firstDate,
				                                    lastDate, this.numDaysForOscillatingPeriod,
				                                    0.0001f, 0.5f, "^GSPC");
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies EndOfDayStrategyBackTester.cs, 1.6, 1.7

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6068/a2_Strategies

Modified Files:
	EndOfDayStrategyBackTester.cs 
Log Message:
The strategy's account is set directly in the backtester constructor;
the account is initialized by a IAccountProvider object


Index: EndOfDayStrategyBackTester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategyBackTester.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** EndOfDayStrategyBackTester.cs	7 Mar 2008 23:27:13 -0000	1.6
--- EndOfDayStrategyBackTester.cs	12 Mar 2008 22:02:06 -0000	1.7
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Accounting.Reporting;
+ using	QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Strategies.Logging;
***************
*** 50,54 ****
  		private double cashToStart;
  		private double maxRunningHours;
! 
  		private DateTime startingTimeForScript;
  		private IEndOfDayTimer endOfDayTimer;
--- 51,55 ----
  		private double cashToStart;
  		private double maxRunningHours;
! 		private IAccountProvider accountProvider;
  		private DateTime startingTimeForScript;
  		private IEndOfDayTimer endOfDayTimer;
***************
*** 123,130 ****
  					"_to_" +
  					ExtendedDateTime.GetShortDescriptionForFileName( this.actualLastDateTime ) +
! 					"_annlRtrn_" + this.AccountReport.Summary.AnnualSystemPercentageReturn.FormattedValue +
! 					"_maxDD_" + this.AccountReport.Summary.MaxEquityDrawDown.FormattedValue +
! 					"_" + this.historicalQuoteProvider.Description +
! 					"_" + this.endOfDayStrategy.Description;
  				return description;
  			}
--- 124,131 ----
  					"_to_" +
  					ExtendedDateTime.GetShortDescriptionForFileName( this.actualLastDateTime ) +
! 					"\n_annlRtrn_" + this.AccountReport.Summary.AnnualSystemPercentageReturn.FormattedValue +
! 					"\n_maxDD_" + this.AccountReport.Summary.MaxEquityDrawDown.FormattedValue +
! 					"\nHistoricalQuoteProviderForBackTester_" + this.historicalQuoteProvider.Description +
! 					"\n_" + this.endOfDayStrategy.Description;
  				return description;
  			}
***************
*** 142,145 ****
--- 143,147 ----
  			IEndOfDayStrategyForBacktester endOfDayStrategy ,
  			IHistoricalQuoteProvider historicalQuoteProvider ,
+ 			IAccountProvider accountProvider,
  			DateTime firstDateTime , DateTime lastDateTime ,
  			Benchmark benchmark ,
***************
*** 150,153 ****
--- 152,156 ----
  			this.endOfDayStrategy = endOfDayStrategy;
  			this.historicalQuoteProvider = historicalQuoteProvider;
+ 			this.accountProvider = accountProvider;
  			this.firstDateTime = firstDateTime;
  			this.lastDateTime = lastDateTime;
***************
*** 157,161 ****
  
        this.initialize_endOfDayTimer();
! 			this.initialize_account();
  			this.backTestLog = new BackTestLog( backTestID , firstDateTime ,
  				lastDateTime , benchmark );
--- 160,166 ----
  
        this.initialize_endOfDayTimer();
! 			this.account = this.accountProvider.GetAccount(this.endOfDayTimer,
! 											this.historicalQuoteProvider);
! 			this.endOfDayStrategy.Account = this.account;
  			this.backTestLog = new BackTestLog( backTestID , firstDateTime ,
  				lastDateTime , benchmark );
***************
*** 173,186 ****
  				this.benchmark.Ticker );
  		}
! 		private void initialize_account()
! 		{
! 			this.account = new Account( this.backTestID , this.endOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 				this.historicalQuoteProvider ) );
! 		}
! 
! 
  		#region Run
  		#region run_addEventHandlers
--- 178,182 ----
  				this.benchmark.Ticker );
  		}
! 		
  		#region Run
  		#region run_addEventHandlers

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

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4561/a2_Strategies

Modified Files:
	IEndOfDayStrategy.cs 
Log Message:
Added Account property (get;set;) to the interface, in order to
set the account of the object implementing an IEndOfDayStrategy
to the account created by the EndOfDayStrategyBacktester (directly
in the constructor of the Backtester)
Glauco, please check your main files (the "external" account assignement)

Index: IEndOfDayStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/IEndOfDayStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** IEndOfDayStrategy.cs	19 Jan 2008 19:07:05 -0000	1.2
--- IEndOfDayStrategy.cs	12 Mar 2008 22:00:34 -0000	1.3
***************
*** 23,26 ****
--- 23,27 ----
  using System;
  
+ using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Accounting.Transactions;
  using QuantProject.Business.Strategies.Logging;
***************
*** 46,49 ****
--- 47,51 ----
  		void OneHourAfterMarketCloseEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs );
+ 		Account Account{get;set;}
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships CloseToCloseCorrelationProvider.cs, 1.1, 1.2 CorrelationProvider.cs, 1.2, 1.3

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1509/a2_Strategies/TickersRelationships

Modified Files:
	CloseToCloseCorrelationProvider.cs CorrelationProvider.cs 
Log Message:
Fixed minor bug in CorrelationProvider objects

Index: CloseToCloseCorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/CloseToCloseCorrelationProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** CloseToCloseCorrelationProvider.cs	14 Jan 2008 23:02:30 -0000	1.1
--- CloseToCloseCorrelationProvider.cs	12 Mar 2008 21:56:07 -0000	1.2
***************
*** 62,66 ****
  					 string benchmark) :
  					 base(tickersToAnalyze,
! 					 startDate, endDate,
  					 minimumAbsoluteReturnValue, maximumAbsoluteReturnValue,
  					 benchmark)
--- 62,66 ----
  					 string benchmark) :
  					 base(tickersToAnalyze,
! 					 startDate, endDate, closeToCloseIntervalLength,
  					 minimumAbsoluteReturnValue, maximumAbsoluteReturnValue,
  					 benchmark)

Index: CorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/CorrelationProvider.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** CorrelationProvider.cs	30 Jan 2008 23:11:32 -0000	1.2
--- CorrelationProvider.cs	12 Mar 2008 21:56:08 -0000	1.3
***************
*** 49,54 ****
--- 49,67 ----
  		protected EndOfDayDateTime firstEndOfDayDateTime;
  		protected EndOfDayDateTime lastEndOfDayDateTime;
+ 		protected int returnIntervalLength;
  		protected string benchmark;
  
+ 
+ 		private void correlationProvider_commonInitialization(string[] tickersToAnalyze,
+ 			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue)
+ 		{
+ 			this.tickers = tickersToAnalyze;
+ 			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
+ 			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
+ 			this.numOfCombinationTwoByTwo =
+ 				(int)((Math.Pow(this.tickers.Length, 2) - this.tickers.Length ) / 2);
+ 		}
+ 
+ 
  		/// <summary>
  		/// Creates the correlation provider
***************
*** 65,83 ****
  		/// of returns</param>
      public CorrelationProvider(string[] tickersToAnalyze,
! 					 DateTime startDate, DateTime endDate,
  					 float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
  					 string benchmark)
      {
! 			this.tickers = tickersToAnalyze;
! 			this.setEndOfDayDatesTime(startDate, endDate);
! 			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
! 			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
  			this.benchmark = benchmark;
- 			
- 			this.numOfCombinationTwoByTwo =
- 				(int)((Math.Pow(this.tickers.Length, 2) - this.tickers.Length ) / 2);
- 			this.setReturnsManager();
      }
  
  		/// <summary>
  		/// Creates the correlation provider
--- 78,104 ----
  		/// 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;
+ 			this.benchmark = benchmark;
+ 		}
+ 
  		/// <summary>
  		/// Creates the correlation provider
***************
*** 94,106 ****
  			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue )
  		{
! 			this.tickers = tickersToAnalyze;
  			this.returnsManager = returnsManager;
- 			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
- 			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
- 						
- 			this.numOfCombinationTwoByTwo = 
- 				(int)((Math.Pow(this.tickers.Length, 2) - this.tickers.Length ) / 2);
  		}
! 			
  		protected abstract void setEndOfDayDatesTime(DateTime startDate, DateTime endDate);
  		protected abstract void setReturnsManager();
--- 115,125 ----
  			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue )
  		{
! 			this.correlationProvider_commonInitialization(tickersToAnalyze,
! 				minimumAbsoluteReturnValue, maximumAbsoluteReturnValue);
  			this.returnsManager = returnsManager;
  		}
! 		
! 	
! 
  		protected abstract void setEndOfDayDatesTime(DateTime startDate, DateTime endDate);
  		protected abstract void setReturnsManager();
***************
*** 154,157 ****
--- 173,178 ----
  		protected void getOrderedTickersPearsonCorrelations_setCorrelations()
  		{
+ 			if(this.returnsManager == null)
+ 				this.setReturnsManager();
  			this.pearsonCorrelations = 
  				new TickersPearsonCorrelation[ this.numOfCombinationTwoByTwo ];

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj, 1.58, 1.59 Business_SD.csproj, 1.16, 1.17

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv860

Modified Files:
	b4_Business.csproj Business_SD.csproj 
Log Message:
Added:
- IAccountProvider interface;
- InteractiveBrokerAccountProvider;
-SimpleAccountProvider

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** Business_SD.csproj	7 Mar 2008 23:27:12 -0000	1.16
--- Business_SD.csproj	12 Mar 2008 21:55:13 -0000	1.17
***************
*** 61,64 ****
--- 61,65 ----
      <Compile Include="a07_DataProviders\HistoricalQuoteProvider.cs" />
      <Compile Include="a07_DataProviders\TickerNotExchangedException.cs" />
+     <Compile Include="a1_Financial\a2_Accounting\AccountProviding\IAccountProvider.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\StatisticsSummaryRows\AverageReturnOnMonday.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\AverageNumberOfTransactionsPerDay.cs" />
***************
*** 232,235 ****
--- 233,237 ----
        <Name>b3_Data</Name>
      </ProjectReference>
+     <Folder Include="a1_Financial\a2_Accounting\AccountProviding" />
      <Folder Include="a1_Financial\a2_Accounting\h5_Reporting\StatisticsSummaryRows" />
      <Folder Include="a2_Strategies\EndOfDayStrategies" />

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.58
retrieving revision 1.59
diff -C2 -d -r1.58 -r1.59
*** b4_Business.csproj	7 Mar 2008 23:27:12 -0000	1.58
--- b4_Business.csproj	12 Mar 2008 21:55:13 -0000	1.59
***************
*** 328,331 ****
--- 328,346 ----
                  />
                  <File
+                     RelPath = "a1_Financial\a2_Accounting\AccountProviding\IAccountProvider.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a1_Financial\a2_Accounting\AccountProviding\InteractiveBrokerAccountProvider.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "a1_Financial\a2_Accounting\AccountProviding\SimpleAccountProvider.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a1_Financial\a2_Accounting\Commissions\Commission.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding IAccountProvider.cs, NONE, 1.1 InteractiveBrokerAccountProvider.cs, NONE, 1.1 SimpleAccountProvider.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32742

Added Files:
	IAccountProvider.cs InteractiveBrokerAccountProvider.cs 
	SimpleAccountProvider.cs 
Log Message:
Added:
- IAccountProvider interface;
- InteractiveBrokerAccountProvider;
-SimpleAccountProvider

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

IAccountProvider.cs
Copyright (C) 2008 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Timing;


namespace QuantProject.Business.Financial.Accounting.AccountProviding
{
	/// <summary>
	/// Interface to be implemented by objects
	/// that provide a new account through the
	/// GetAccount method.
	/// These objects are used at the moment
	/// by the EndOfDaysStrategyBackTester
	/// </summary>
	public interface IAccountProvider : ILogDescriptor
	{
		/// <summary>
		/// Returns a new account
		/// </summary>
		/// <param name="instrumentKey">instrument identifier</param>
		/// <param name="endOfDayDateTime">end of day date time for the market evaluation</param>
		/// <returns></returns>
    Account GetAccount( IEndOfDayTimer timer ,
												IHistoricalQuoteProvider historicalQuoteProvider );
	}
}

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

InteractiveBrokerAccountProvider.cs
Copyright (C) 2008 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.ADT;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Business.Financial.Accounting.Slippage;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;


namespace QuantProject.Business.Financial.Accounting.AccountProviding
{
	/// <summary>
	/// IAccountProvider object that provides a typical account
	/// with Interactive Broker for individual traders,
	/// where commissions are managed and slippage can be simulated
	/// through a fixed percentage amount (on stock-price) 
	/// lost at each stock-transaction 
	/// </summary>
	public class InteractiveBrokerAccountProvider : IAccountProvider
	{
		private double slippageFixedPercentage;
		
		public InteractiveBrokerAccountProvider()
		{
			this.slippageFixedPercentage = 0.0;
		}
		
		public InteractiveBrokerAccountProvider(double slippageFixedPercentage)
		{
			if( slippageFixedPercentage < 0.0 ||
			    slippageFixedPercentage > 100.0 )
				throw new OutOfRangeException(slippageFixedPercentage, 0.0, 100.0);
			
			this.slippageFixedPercentage = slippageFixedPercentage;
		}
		
		private ISlippageManager getAccount_getSlippageManager(IEndOfDayTimer timer ,
							IHistoricalQuoteProvider historicalQuoteProvider)
		{
			ISlippageManager slippageManager;
			if(this.slippageFixedPercentage == 0.0)
				slippageManager = new ZeroSlippageManager();
			else//this.slippageFixedPercentage > 0.0
				slippageManager = new FixedPercentageSlippageManager( 
												    historicalQuoteProvider , timer ,
												    this.slippageFixedPercentage );
			return slippageManager;
		}
		
		public Account GetAccount( IEndOfDayTimer timer ,
							IHistoricalQuoteProvider historicalQuoteProvider )
		{
			Account account = 
				new Account( "IBAccount" , timer ,
										new HistoricalEndOfDayDataStreamer( timer ,
												historicalQuoteProvider ) ,
										new HistoricalEndOfDayOrderExecutor( timer ,
												historicalQuoteProvider , 
											  this.getAccount_getSlippageManager(
													timer , historicalQuoteProvider ) ),
				            new IBCommissionManager() );
			return account;
		}
		
		public string Description
		{
			get
			{
				string description =
					"IBAccountForIndividualTraders";
				return description;
			}
		}
	}
}

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

SimpleAccountProvider.cs
Copyright (C) 2008 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;


namespace QuantProject.Business.Financial.Accounting.AccountProviding
{
	/// <summary>
	/// IAccountProvider object that provides an account
	/// with no commissions and slippage
	/// on orders
	/// </summary>
	public class SimpleAccountProvider : IAccountProvider
	{
		public SimpleAccountProvider()
		{
		}
		
		public Account GetAccount( IEndOfDayTimer timer ,
							IHistoricalQuoteProvider historicalQuoteProvider )
		{
			Account account = 
				new Account( "SimpleAccount" , timer ,
										new HistoricalEndOfDayDataStreamer( timer ,
												historicalQuoteProvider ) ,
										new HistoricalEndOfDayOrderExecutor( timer ,
												historicalQuoteProvider ) );
			return account;
		}
		
		public string Description
		{
			get
			{
				string description =
					"SimpleAccount_NoComm_NoSlippage";
				return description;
			}
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding - New directory

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32039/AccountProviding

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding added to the repository

[Quantproject-developers] QuantProject/b1_ADT OutOfRangeException.cs, NONE, 1.1 ADT_SD.csproj, 1.5, 1.6 b1_ADT.csproj, 1.27, 1.28

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30900

Modified Files:
	ADT_SD.csproj b1_ADT.csproj 
Added Files:
	OutOfRangeException.cs 
Log Message:
Added OutOfRangeException, the exception that should be thrown
when a given number does not fit the expected range

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

OutOfRangeException.cs
Copyright (C) 2008 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/
using System;

namespace QuantProject.ADT
{
	/// <summary>
	/// It should be thrown when a given number
	/// is out of the desired range
	/// </summary>
	public class OutOfRangeException : Exception
	{
		private double outOfRangeNumber;
		private double minimumForValidRange;
		private double maximumForValidRange;
		
		public override string Message
		{
			get
			{
				return this.outOfRangeNumber.ToString() + 
							 "is out of range! It should be between " +
							 this.minimumForValidRange.ToString() + " and " +
					     this.maximumForValidRange.ToString();
			}
		}
		public OutOfRangeException( double outOfRangeNumber,
		                            double minimumForValidRange,
		                            double maximumForValidRange)
		{
			this.outOfRangeNumber = outOfRangeNumber;
			this.minimumForValidRange = minimumForValidRange;
			this.maximumForValidRange = maximumForValidRange;
		}
	}
}

Index: ADT_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT_SD.csproj,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** ADT_SD.csproj	19 Jan 2008 18:19:54 -0000	1.5
--- ADT_SD.csproj	12 Mar 2008 21:51:34 -0000	1.6
***************
*** 53,56 ****
--- 53,57 ----
      <Compile Include="ExtendedDateTime.cs" />
      <Compile Include="HashProvider.cs" />
+     <Compile Include="OutOfRangeException.cs" />
      <Compile Include="IProgressNotifier.cs" />
      <Compile Include="Keyed.cs" />

Index: b1_ADT.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/b1_ADT.csproj,v
retrieving revision 1.27
retrieving revision 1.28
diff -C2 -d -r1.27 -r1.28
*** b1_ADT.csproj	19 Jan 2008 18:20:26 -0000	1.27
--- b1_ADT.csproj	12 Mar 2008 21:51:35 -0000	1.28
***************
*** 148,151 ****
--- 148,156 ----
                  />
                  <File
+                     RelPath = "OutOfRangeException.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "RecursiveHashtable.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.86, 1.87

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12013

Modified Files:
	b7_Scripts.csproj 
Log Message:
Updated VS NET project's file

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.86
retrieving revision 1.87
diff -C2 -d -r1.86 -r1.87
*** b7_Scripts.csproj	9 Mar 2008 23:28:36 -0000	1.86
--- b7_Scripts.csproj	9 Mar 2008 23:30:10 -0000	1.87
***************
*** 330,338 ****
                  />
                  <File
-                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCStrategy.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
                      RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOGenomeManager.cs"
                      SubType = "Code"
--- 330,333 ----

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.85, 1.86 Scripts_SD.csproj, 1.15, 1.16

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10136

Modified Files:
	b7_Scripts.csproj Scripts_SD.csproj 
Log Message:
Updated vs net and sharp develop project's files

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** Scripts_SD.csproj	6 Mar 2008 20:07:48 -0000	1.15
--- Scripts_SD.csproj	9 Mar 2008 23:28:37 -0000	1.16
***************
*** 49,52 ****
--- 49,53 ----
      <Compile Include="ArbitrageTesting\OverReactionHypothesis\DoubleOverReaction_OTC\RunDOR_OTC.cs" />
      <Compile Include="AssemblyInfo.cs" />
+     <Compile Include="EvaluatingOptimizationTechnique\TechnicalAnalysis\RunTestingOptimizationExtremeCounterTrend.cs" />
      <Compile Include="General\Logging\LogArchiver.cs" />
      <Compile Include="General\Logging\LogViewer.cs" />
***************
*** 59,65 ****
--- 60,85 ----
      <Compile Include="SimpleTesting\ShortTest\EndOfDayTimerHandler.cs" />
      <Compile Include="SimpleTesting\ShortTest\RunShortTest.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\ExtremeCounterTrend\EndOfDayTimerHandlerECT.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\ExtremeCounterTrend\GenomeManagerECT.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\ExtremeCounterTrend\RunExtremeCounterTrend.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\EndOfDayTimerHandlerBiasedPVO_OTC.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\RunBiasedPVO_OTC.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\Decoding\BasicDecoderForPVOPositions.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\FitnessEvaluators\PVOFitnessEvaluator.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\GenomeManagerPVO_OTC.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVOCorrelationChooser.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVOGeneticChooser.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOGenomeManager.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOLogItem.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOMain.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOPositions.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOPositionsStatus.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOStrategy.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\EndOfDayTimerHandlerWeightedPVO.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\GenomeManagerWeightedPVO.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\RunWeightedPVO.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\WeightedBalancedPVO\EndOfDayTimerHandlerWeightedBalancedPVO.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\WeightedBalancedPVO\GenomeManagerWeightedBalancedPVO.cs" />
+     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\WeightedBalancedPVO\RunWeightedBalancedPVO.cs" />
      <Compile Include="TickerSelectionTesting\EndOfDayTimerHandlerCTC.cs" />
      <Compile Include="TickerSelectionTesting\EndOfDayTimerHandlerCTO.cs" />
***************
*** 69,72 ****
--- 89,93 ----
      <Compile Include="TickerSelectionTesting\RunEfficientCTCPortfolio.cs" />
      <Compile Include="TickerSelectionTesting\RunEfficientCTOPortfolio.cs" />
+     <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesLogItem.cs" />
      <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesMain.cs" />
      <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesStrategy.cs" />
***************
*** 167,171 ****
      <Compile Include="ArbitrageTesting\PairTrading\SimplePairTrading\InSample\RunSimplePairTradingIS.cs" />
      <Compile Include="EvaluatingOptimizationTechnique\EfficientPortfolio\RunTestingOptimizationOpenToCloseFitnessCombined.cs" />
-     <Compile Include="EvaluatingOptimizationTechnique\TechnicalAnalysis\RunTestingOptimizationExtremeCounterTrend.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedPeriodOscillators\RunFPOscillatorCTC.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedPeriodOscillators\EndOfDayTimerHandlerFPOscillatorCTC.cs" />
--- 188,191 ----
***************
*** 188,194 ****
      <Compile Include="ArbitrageTesting\PairTrading\SimplePairTrading\InSample\GenomeRepresentation.cs" />
      <Compile Include="ArbitrageTesting\PairTrading\SimplePairTrading\InSample\OptimizationOutput.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\ExtremeCounterTrend\RunExtremeCounterTrend.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\ExtremeCounterTrend\EndOfDayTimerHandlerECT.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\ExtremeCounterTrend\GenomeManagerECT.cs" />
      <Compile Include="WalkForwardTesting\LinearCombination\ExtremeCounterTrendStrategy.cs" />
      <Compile Include="WalkForwardTesting\LinearCombination\FixedPeriodOscillatorStrategy.cs" />
--- 208,211 ----
***************
*** 220,229 ****
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\EndOfDayTimerHandlerBiasedPVO.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\RunBiasedPVO.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\EndOfDayTimerHandlerWeightedPVO.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\GenomeManagerWeightedPVO.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\RunWeightedPVO.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\WeightedBalancedPVO\EndOfDayTimerHandlerWeightedBalancedPVO.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\WeightedBalancedPVO\GenomeManagerWeightedBalancedPVO.cs" />
-     <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\WeightedBalancedPVO\RunWeightedBalancedPVO.cs" />
      <Compile Include="WalkForwardTesting\LinearCombination\FixedLevelOscillatorBiasedPVOStrategy.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagNewChosenPositionsEventArgs.cs" />
--- 237,240 ----
***************
*** 249,255 ****
--- 260,273 ----
      <Folder Include="EvaluatingOptimizationTechnique\" />
      <Folder Include="EvaluatingOptimizationTechnique\EfficientPortfolio\" />
+     <Folder Include="BackTesting" />
+     <Folder Include="TechnicalAnalysisTesting\Oscillators\ExtremeCounterTrend" />
+     <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\Decoding" />
      <Folder Include="General" />
      <Folder Include="General\Logging" />
      <Folder Include="General\Reporting" />
+     <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\FitnessEvaluators" />
+     <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers" />
+     <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO" />
+     <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\WeightedBalancedPVO" />
      <Folder Include="TickerSelectionTesting\SimpleSelection\" />
      <Folder Include="WalkForwardTesting\FixedLengthTwoPhases" />
***************
*** 269,273 ****
      <Folder Include="TechnicalAnalysisTesting\Oscillators\" />
      <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedPeriodOscillators\" />
-     <Folder Include="TechnicalAnalysisTesting\Oscillators\ExtremeCounterTrend\" />
      <ProjectReference Include="..\b1_ADT\ADT_SD.csproj">
        <Project>{6A426DC3-013E-4D38-A1AE-7BE128BF2DD7}</Project>
--- 287,290 ----
***************
*** 299,304 ****
      <Folder Include="WalkForwardTesting\WalkForwardLag\GeneticOptimizerTesting" />
      <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO" />
-     <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO" />
-     <Folder Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\WeightedBalancedPVO" />
      <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers" />
      <Folder Include="ArbitrageTesting\OverReactionHypothesis" />
--- 316,319 ----

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.85
retrieving revision 1.86
diff -C2 -d -r1.85 -r1.86
*** b7_Scripts.csproj	6 Mar 2008 20:04:18 -0000	1.85
--- b7_Scripts.csproj	9 Mar 2008 23:28:36 -0000	1.86
***************
*** 254,262 ****
                  />
                  <File
-                     RelPath = "General\Logging\LogViewer.resx"
-                     DependentUpon = "LogViewer.cs"
-                     BuildAction = "EmbeddedResource"
-                 />
-                 <File
                      RelPath = "General\Reporting\BackTesterReportViewer.cs"
                      SubType = "Code"
--- 254,257 ----
***************
*** 335,338 ****
--- 330,368 ----
                  />
                  <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCStrategy.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOGenomeManager.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOLogItem.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOMain.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOPositions.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOPositionsStatus.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOStrategy.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\RunPVO.cs"
                      SubType = "Code"
***************
*** 360,363 ****
--- 390,413 ----
                  />
                  <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\Decoding\BasicDecoderForPVOPositions.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\FitnessEvaluators\PVOFitnessEvaluator.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVOCorrelationChooser.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVOGeneticChooser.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\WeightedPVO\EndOfDayTimerHandlerWeightedPVO.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator PVOGenomeManager.cs, NONE, 1.1 PVOLogItem.cs, NONE, 1.1 PVOMain.cs, NONE, 1.1 PVOPositions.cs, NONE, 1.1 PVOPositionsStatus.cs, NONE, 1.1 PVOStrategy.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6639/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Added Files:
	PVOGenomeManager.cs PVOLogItem.cs PVOMain.cs PVOPositions.cs 
	PVOPositionsStatus.cs PVOStrategy.cs 
Log Message:
Added a new implementation for the PVO strategy (now common objects
recently added at business layer by Glauco are used).
At the moment, these files perform a PVO strategy using close to close returns,
on a multiday - minimum 1 day - basis.
Take profit and stop loss levels can be set.


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

PVOStrategy.cs
Copyright (C) 2008 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/
using System;
using System.Data;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Data;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Scripts.WalkForwardTesting.LinearCombination;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
	/// <summary>
  /// Implements MarketOpenEventHandler and MarketCloseEventHandler
  /// These handlers contain the core strategy for the Portfolio Value
  /// Oscillator
  /// </summary>
  [Serializable]
  public class PVOStrategy : IEndOfDayStrategyForBacktester
  {
		public event NewLogItemEventHandler NewLogItem;
		public event NewMessageEventHandler NewMessage;

		//initialized by the constructor
  	protected int numberOfTickersToBeChosen;
    protected int inSampleDays;
    protected int numDaysBetweenEachOptimization;
    protected IInSampleChooser inSampleChooser;
    protected IEligiblesSelector eligiblesSelector;
    protected Benchmark benchmark;
    protected HistoricalQuoteProvider historicalQuoteProvider;
    protected double maxAcceptableCloseToCloseDrawdown;
    protected double minimumAcceptableGain;
    protected int numDaysForOscillatingPeriod;
    //initialized after constructor's call
    protected int numDaysElapsedSinceLastOptimization;
    protected ReturnsManager returnsManager;
		protected TestingPositions[] chosenPVOPositions;
		//chosen in sample: these are the eligible positions for out
		//of sample testing
		protected PVOPositions pvoPositionsForOutOfSample;
    protected DateTime lastCloseDate;
    protected bool portfolioHasBeenOverbought;
    protected bool portfolioHasBeenOversold;
    protected Account account;
    public Account Account
		{
			set { this.account = value; }
		}
    protected bool stopLossConditionReached;
    protected bool takeProfitConditionReached;
    protected double currentAccountValue;
    protected double previousAccountValue;
    
    private string description_GetDescriptionForChooser()
    {
    	if(this.inSampleChooser == null)
    		return "ConstantChooser";
    	else
    		return this.inSampleChooser.Description;	
    }
    
		public string Description
		{
			get
			{
				string description =
					"PVO_" +
					"nmbrTckrs_" + this.numberOfTickersToBeChosen.ToString() +
					"_inSmplDays_" + this.inSampleDays.ToString() + "_" +
					this.eligiblesSelector.Description + "_" +
					this.description_GetDescriptionForChooser();
				return description;
			}
		}
		
		public bool StopBacktestIfMaxRunningHoursHasBeenReached
		{
			get
			{
				return true;
			}
		}

		private void pvoStrategy(IEligiblesSelector eligiblesSelector,
			int inSampleDays,
			int numDaysForOscillatingPeriod,
			int numberOfTickersToBeChosen,
			Benchmark benchmark,
			int numDaysBetweenEachOptimization,
			HistoricalQuoteProvider historicalQuoteProvider,
			double maxAcceptableCloseToCloseDrawdown,
			double minimumAcceptableGain)
		{
			this.eligiblesSelector = eligiblesSelector;
			this.inSampleDays = inSampleDays;
			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
			this.benchmark = benchmark;
			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
			this.historicalQuoteProvider = historicalQuoteProvider;
			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
			this.minimumAcceptableGain = minimumAcceptableGain;
      
			this.stopLossConditionReached = false;
			this.currentAccountValue = 0.0;
			this.previousAccountValue = 0.0;
			this.portfolioHasBeenOverbought = false;
			this.portfolioHasBeenOversold = false;
		}

    public PVOStrategy(IEligiblesSelector eligiblesSelector,
																IInSampleChooser inSampleChooser,
																int inSampleDays,
																int numDaysForOscillatingPeriod,
                                int numberOfTickersToBeChosen,
                                Benchmark benchmark,
																int numDaysBetweenEachOptimization,
                                HistoricalQuoteProvider historicalQuoteProvider,
                                double maxAcceptableCloseToCloseDrawdown,
                                double minimumAcceptableGain)
    														
    {
			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
				numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
				historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown , 
				minimumAcceptableGain );
			this.inSampleChooser = inSampleChooser;
    }
	
		public PVOStrategy(IEligiblesSelector eligiblesSelector,
			TestingPositions[] chosenPVOPositions,
			int inSampleDays,
			int numDaysForOscillatingPeriod,
			int numberOfTickersToBeChosen,
			Benchmark benchmark,
			int numDaysBetweenEachOptimization,
			HistoricalQuoteProvider historicalQuoteProvider,
			double maxAcceptableCloseToCloseDrawdown,
			double minimumAcceptableGain)
    														
		{
			this.pvoStrategy(eligiblesSelector, inSampleDays , numDaysForOscillatingPeriod ,
				numberOfTickersToBeChosen , benchmark , numDaysBetweenEachOptimization ,
				historicalQuoteProvider , maxAcceptableCloseToCloseDrawdown , 
				minimumAcceptableGain );
			this.chosenPVOPositions = chosenPVOPositions;
		}

    public virtual void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	;
    }

		public void FiveMinutesBeforeMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
		}

		private EndOfDayDateTime now()
		{
			return this.account.EndOfDayTimer.GetCurrentTime();
		}

    #region MarketCloseEventHandler
    //forOutOfSampleTesting
		protected virtual EndOfDayDateTime getBeginOfOscillatingPeriod(IndexBasedEndOfDayTimer timer)
		{
			return new EndOfDayDateTime(	(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition-this.numDaysForOscillatingPeriod]["quDate"],
				EndOfDaySpecificTime.MarketClose );
		}

    private void marketCloseEventHandler_reverseIfNeeded_reverse(PVOPositionsStatus currentStatus)
    {
    	if(currentStatus == PVOPositionsStatus.Overbought)
    	{
    		this.portfolioHasBeenOversold = false;
  			this.portfolioHasBeenOverbought = true;
    	}
    	else if(currentStatus == PVOPositionsStatus.Oversold)
    	{
    		this.portfolioHasBeenOversold = true;
  			this.portfolioHasBeenOverbought = false;
    	}
    	AccountManager.ReversePositions(this.account);
    	this.previousAccountValue = this.account.GetMarketValue();
    }

    private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
    {
			EndOfDayDateTime today = timer.GetCurrentTime(); 
			EndOfDayDateTime beginOfOscillatingPeriod = this.getBeginOfOscillatingPeriod(timer);
			PVOPositionsStatus pvoPositionsStatus = 
      	this.pvoPositionsForOutOfSample.GetStatus(beginOfOscillatingPeriod, today , this.benchmark.Ticker, this.historicalQuoteProvider);
  		if(pvoPositionsStatus == PVOPositionsStatus.Overbought &&
    	   this.portfolioHasBeenOversold)
  		//open positions derive from an overSold period but now
  		//the overbought threshold has been reached
  		   		this.marketCloseEventHandler_reverseIfNeeded_reverse(pvoPositionsStatus);
  		
  		if(pvoPositionsStatus == PVOPositionsStatus.Oversold &&
    	   this.portfolioHasBeenOverbought)
  		//open positions derive from an overBought period but now
  		//the overSold threshold has been reached
  					this.marketCloseEventHandler_reverseIfNeeded_reverse(pvoPositionsStatus);
    }
    private PVOPositionsStatus marketCloseEventHandler_openPositions_getStatus(IndexBasedEndOfDayTimer timer)
    {
    	EndOfDayDateTime today = timer.GetCurrentTime();
    	EndOfDayDateTime beginOfOscillatingPeriod =
    		this.getBeginOfOscillatingPeriod(timer);
    	PVOPositionsStatus currentStatus = 
    		PVOPositionsStatus.InTheMiddle;
    	for(int i = 0; i<this.chosenPVOPositions.Length; i++)
    	{
    		if(this.chosenPVOPositions[i] != null)
    			currentStatus = 
    				((PVOPositions)this.chosenPVOPositions[i]).GetStatus(beginOfOscillatingPeriod, today,
    				                                     this.benchmark.Ticker, this.historicalQuoteProvider);
    		if(currentStatus == PVOPositionsStatus.Oversold ||
    		   currentStatus == PVOPositionsStatus.Overbought )
    		{	
					this.pvoPositionsForOutOfSample = (PVOPositions)this.chosenPVOPositions[i];
					i = this.chosenPVOPositions.Length;//exit from for
				}
     	}
    		return currentStatus;
    }
    
    protected void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
    {
      PVOPositionsStatus pvoPositionsStatus = PVOPositionsStatus.InTheMiddle;
      if(timer.CurrentDateArrayPosition >= this.numDaysForOscillatingPeriod)
      	pvoPositionsStatus = 
      		this.marketCloseEventHandler_openPositions_getStatus(timer);
			switch (pvoPositionsStatus){
        case PVOPositionsStatus.Overbought:
    		{
    			#region manage Overbought case
      		this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
          try{
            AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
          	                            	this.account );
            this.portfolioHasBeenOverbought = true;
          	this.portfolioHasBeenOversold = false;
          	this.previousAccountValue = this.account.GetMarketValue();
          }
          catch(Exception ex){
            ex = ex;
          }
          finally{
            this.pvoPositionsForOutOfSample.WeightedPositions.Reverse();
          }
      		#endregion
      		break;
    		}
        case PVOPositionsStatus.Oversold:
        {
    			#region manage Oversold case
      		AccountManager.OpenPositions( this.pvoPositionsForOutOfSample.WeightedPositions,
          	                            this.account );
          this.portfolioHasBeenOverbought = false;
          this.portfolioHasBeenOversold = true;
          this.previousAccountValue = this.account.GetMarketValue();
          #endregion
          break;
    		}
        case PVOPositionsStatus.InTheMiddle://that is
      	{  //pvoPositionsForOutOfSample has not been set
      		
          this.previousAccountValue = this.account.GetMarketValue();
					break;
      	}
				default:
        {
      		//it should never been reached
          this.previousAccountValue = this.account.GetMarketValue();
					break;
      	}
      }
    }
    
    protected virtual void marketCloseEventHandler_closePositionsIfNeeded()
    {
      if(this.stopLossConditionReached ||
    	   this.takeProfitConditionReached ||
         this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
      {    
    		AccountManager.ClosePositions(this.account);
        this.portfolioHasBeenOverbought = false;
        this.portfolioHasBeenOversold = false;
      }
    }    
    
    protected virtual void marketCloseEventHandler_updateStopLossAndTakeProfitConditions()
    {
      //this.previousAccountValue has been set at opening positions
      this.stopLossConditionReached = false;
      this.takeProfitConditionReached = false;
      this.currentAccountValue = this.account.GetMarketValue();
      double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
           													/this.previousAccountValue;
      
      if(!double.IsInfinity(portfolioGainOrLoss) &&
         portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
      {
        this.stopLossConditionReached = true;
        this.takeProfitConditionReached = false;
      }
      else if (!double.IsInfinity(portfolioGainOrLoss) &&
      				 portfolioGainOrLoss >= this.minimumAcceptableGain )
               
      {
        this.stopLossConditionReached = false;
        this.takeProfitConditionReached = true;
      }
    }
    
    public virtual void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	try{
	    	this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
	      this.marketCloseEventHandler_closePositionsIfNeeded();
	      if( this.chosenPVOPositions != null )
	      //PVOPositions have been chosen by the chooser
	      {
	      	if(this.account.Portfolio.Count == 0)
	      			this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
	        		//positions are opened only if thresholds are reached
	      	else//there are some opened positions
	            this.marketCloseEventHandler_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
	      }
    	}
    	catch(TickerNotExchangedException ex)
    	{ex=ex;}
    }

    #endregion
 
    #region OneHourAfterMarketCloseEventHandler
    
		protected virtual void updateReturnsManager(EndOfDayDateTime firstEndOfDayDateTime,
			EndOfDayDateTime lastEndOfDayDateTime)
		{
			this.returnsManager = 
				new ReturnsManager(new CloseToCloseIntervals(firstEndOfDayDateTime, lastEndOfDayDateTime,
				this.benchmark.Ticker, this.numDaysForOscillatingPeriod),
				this.historicalQuoteProvider);
		}

		private PVOLogItem getLogItem( EligibleTickers eligibleTickers )
		{
			PVOLogItem logItem =
				new PVOLogItem( this.now() );
			logItem.BestPVOPositionsInSample =
				this.chosenPVOPositions;
			logItem.NumberOfEligibleTickers =
				eligibleTickers.Count;
			logItem.FitnessOfFirst = 
				this.chosenPVOPositions[0].FitnessInSample;
			logItem.FitnessOfLast = 
				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].FitnessInSample;
			logItem.GenerationOfFirst = 
				((IGeneticallyOptimizable)this.chosenPVOPositions[0]).Generation;
			logItem.GenerationOfLast = 
				((IGeneticallyOptimizable)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).Generation;
			logItem.ThresholdsOfFirst = 
				((PVOPositions)this.chosenPVOPositions[0]).OversoldThreshold.ToString() + ";" +
				((PVOPositions)this.chosenPVOPositions[0]).OverboughtThreshold.ToString();
			logItem.ThresholdsOfLast = 
				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OversoldThreshold.ToString() + ";" +
				((PVOPositions)this.chosenPVOPositions[this.chosenPVOPositions.Length - 1]).OverboughtThreshold.ToString();
			logItem.TickersOfFirst = 
				this.chosenPVOPositions[0].HashCodeForTickerComposition;
			logItem.TickersOfLast = 
				this.chosenPVOPositions[this.chosenPVOPositions.Length - 1].HashCodeForTickerComposition;
			return logItem;
		}
		private void raiseNewLogItem( EligibleTickers eligibleTickers )
		{
			PVOLogItem logItem =
				this.getLogItem( eligibleTickers );
			NewLogItemEventArgs newLogItemEventArgs =
				new NewLogItemEventArgs( logItem );
			this.NewLogItem( this , newLogItemEventArgs );
		}
		private void notifyMessage( EligibleTickers eligibleTickers )
		{
			string message = "Number of Eligible tickers: " +
				eligibleTickers.Count;
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if ( this.NewMessage != null )
				this.NewMessage( this , newMessageEventArgs );
		}
		private void logOptimizationInfo( EligibleTickers eligibleTickers )
		{
			this.raiseNewLogItem( eligibleTickers );
			this.notifyMessage( eligibleTickers );
		}

    protected virtual void updateTestingPositions(DateTime currentDate)
    {
			EndOfDayHistory endOfDayHistory =
				this.benchmark.GetEndOfDayHistory(
				new EndOfDayDateTime(currentDate.AddDays(-this.inSampleDays),
				EndOfDaySpecificTime.MarketClose),
				new EndOfDayDateTime(currentDate,
				EndOfDaySpecificTime.MarketClose));
			EligibleTickers eligibles = 
				this.eligiblesSelector.GetEligibleTickers(endOfDayHistory);
			this.updateReturnsManager(endOfDayHistory.FirstEndOfDayDateTime,
			                          endOfDayHistory.LastEndOfDayDateTime);
			if(this.inSampleChooser != null)
				this.chosenPVOPositions = (TestingPositions[])inSampleChooser.AnalyzeInSample(eligibles, this.returnsManager );
			this.logOptimizationInfo(eligibles);
    }
    
    /// <summary>
    /// Handles a "One hour after market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public virtual void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
      this.numDaysElapsedSinceLastOptimization++;
      if((this.numDaysElapsedSinceLastOptimization == 
            this.numDaysBetweenEachOptimization))
      //num days without optimization has elapsed
      {
        this.updateTestingPositions(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
        //sets tickers to be chosen next Market Close event
        this.numDaysElapsedSinceLastOptimization = 0;
      }
		      
    }
		#endregion
  }
}

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

PVOLogItem.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Scripts.General.Reporting;



namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
  /// <summary>
  /// LogItem for the PVO strategy
  /// portfolio value oscillator strategy
  /// </summary>
  [Serializable]
  public class PVOLogItem : LogItem
  {
//		static public Random rand = new Random(4676);
		private TestingPositions[] bestPVOPositionsInSample;
		private int numberOfEligibleTickers;
		private double fitnessOfFirstPVOPositionsInSample;
		private double fitnessOfLastPVOPositionsInSample;
		private int generationOfFirstPVOPositionsInSample;
		private int generationOfLastPVOPositionsInSample;
		private string thresholdsOfFirst;
		private string thresholdsOfLast;
		private string tickersOfFirst;
		private string tickersOfLast;
		
		public TestingPositions[] BestPVOPositionsInSample
		{
			get
			{
				if ( this.bestPVOPositionsInSample == null )
					throw new Exception( "This property has not " +
						"been assigned yet! If you are loading the LogItem from " +
						"a log, this property was not set before logging the LogItem." );
				return this.bestPVOPositionsInSample;
			}
			set { this.bestPVOPositionsInSample = value; }
		}
		public int NumberOfEligibleTickers
		{
			get
			{
				if ( this.numberOfEligibleTickers == int.MinValue )
					throw new Exception( "This property has not " +
						"been assigned yet! If you are loading the LogItem from " +
						"a log, this property was not set before logging the LogItem." );
				return this.numberOfEligibleTickers;
			}
			set { this.numberOfEligibleTickers = value; }
		}
		public double FitnessOfFirst
		{
			get
			{
				if ( this.fitnessOfFirstPVOPositionsInSample == double.MinValue )
					throw new Exception( "This property has not " +
						"been assigned yet! If you are loading the LogItem from " +
						"a log, this property was not set before logging the LogItem." );
				return this.fitnessOfFirstPVOPositionsInSample;
			}
			set { this.fitnessOfFirstPVOPositionsInSample = value; }
		}
		public double FitnessOfLast
		{
			get
			{
				if ( this.fitnessOfLastPVOPositionsInSample == double.MinValue )
					throw new Exception( "This property has not " +
						"been assigned yet! If you are loading the LogItem from " +
						"a log, this property was not set before logging the LogItem." );
				return this.fitnessOfLastPVOPositionsInSample;
			}
			set { this.fitnessOfLastPVOPositionsInSample = value; }
		}
		public int GenerationOfFirst
		{
			get{return this.generationOfFirstPVOPositionsInSample;}
			set{this.generationOfFirstPVOPositionsInSample = value;}
		}
		public int GenerationOfLast
		{
			get{return this.generationOfLastPVOPositionsInSample;}
			set{this.generationOfLastPVOPositionsInSample = value;}
		}
		public string ThresholdsOfFirst
		{
			get{return this.thresholdsOfFirst;}
			set{this.thresholdsOfFirst = value;}
		}
		public string ThresholdsOfLast
		{
			get{return this.thresholdsOfLast;}
			set{this.thresholdsOfLast = value;}
		}
		public string TickersOfFirst
		{
			get{return this.tickersOfFirst;}
			set{this.tickersOfFirst = value;}
		}
		public string TickersOfLast
		{
			get{return this.tickersOfLast;}
			set{this.tickersOfLast = value;}
		}

		public PVOLogItem(EndOfDayDateTime endOfDayDateTime )
			: base( endOfDayDateTime )
		{
			this.numberOfEligibleTickers = int.MinValue;
			this.fitnessOfFirstPVOPositionsInSample = double.MinValue;
			this.fitnessOfLastPVOPositionsInSample = double.MinValue;
		}
		
		public override void Run()
		{
			//general
			int inSampleDays = 120;
			DateTime firstDateTime = this.SimulatedCreationTime.DateTime.AddDays(-inSampleDays);
			DateTime lastDateTime = this.SimulatedCreationTime.DateTime;
			double maxRunningHours = 1;
			Benchmark benchmark = new Benchmark( "^GSPC" );
			// definition for the Fitness Evaluator (for
			// objects that use it)
			int numDaysForOscillatingPeriodForChooser =
				((PVOPositions)this.BestPVOPositionsInSample[0]).NumDaysForOscillatingPeriod;
			int	numberOfPortfolioPositions =
				this.BestPVOPositionsInSample[0].WeightedPositions.Count;
			//cash and portfolio type
			double cashToStart = 30000;
			double maxAcceptableCloseToCloseDrawdown = 0.02;
			double minimumAcceptableGain = 0.007;
			HistoricalQuoteProvider historicalQuoteProviderForBackTester,
				historicalQuoteProviderForInSampleChooser,
				historicalQuoteProviderForStrategy;
			historicalQuoteProviderForBackTester =
				new HistoricalAdjustedQuoteProvider();
			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
						
			IEligiblesSelector eligiblesSelector =
				new DummyEligibleSelector();
			//strategyParameters
			int numDaysForOscillatingPeriodForOutOfSample =
				numDaysForOscillatingPeriodForChooser;
			TestingPositions[] positionsToTest =
				new TestingPositions[1];
//			int idx = PVOLogItem.rand.Next(bestPVOPositionsInSample.Length);
			positionsToTest[0] = this.bestPVOPositionsInSample[0];
			PVOStrategy strategy =
				new PVOStrategy(eligiblesSelector,
				positionsToTest, inSampleDays,
				numDaysForOscillatingPeriodForOutOfSample,
				numberOfPortfolioPositions , benchmark ,
				int.MaxValue ,
				historicalQuoteProviderForStrategy ,
				maxAcceptableCloseToCloseDrawdown , minimumAcceptableGain );
			
			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
				"PVO" , strategy ,
				historicalQuoteProviderForBackTester , firstDateTime ,
				lastDateTime , benchmark , cashToStart , maxRunningHours );

			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
			// constructor
			strategy.Account = endOfDayStrategyBackTester.Account;
			endOfDayStrategyBackTester.Run();
			BackTesterReportViewer.ShowReport( lastDateTime ,
				endOfDayStrategyBackTester );
		}
	}
}

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

PVOPositionsStatus.cs
Copyright (C) 2008 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator 
{
  /// <summary>
  /// Specifies in which status a given PVOPositions
  /// is 
  /// </summary>
  [Serializable]
  public enum PVOPositionsStatus
  {
    Oversold,
    InTheMiddle,
    Overbought,
    TooDistantFromThresholds
  }
}

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

PVOMain.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.IO;

using QuantProject.ADT;
using QuantProject.ADT.FileManaging;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Presentation;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.Decoding;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.FitnessEvaluators;
using QuantProject.Scripts.General.Logging;
using QuantProject.Scripts.General.Reporting;


namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
	/// <summary>
	/// Entry point for the PVO strategy. If any strategy
	/// parameter had to be changed, this is the place where it should
	/// be done
	/// </summary>
	public class PVOMain
	{
		private string strategyIdentifier;
		private string fileNameWithoutExt;
		private string dirNameWhereToSaveResults;
				
		public PVOMain()
		{
			this.strategyIdentifier = "PVO";
		}
		
		private void setFileNamesAndDirectory(EndOfDayStrategyBackTester endOfDayStrategyBackTester)
		{
			if(this.fileNameWithoutExt == null)
			{
				this.fileNameWithoutExt = this.strategyIdentifier + "_" +
												DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
    										DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
												DateTime.Now.Second.ToString().PadLeft(2,'0');
			  this.dirNameWhereToSaveResults = System.Configuration.ConfigurationSettings.AppSettings["LogArchive"] +
                         								 "\\" + fileNameWithoutExt + "\\";
      
      	if( !Directory.Exists(dirNameWhereToSaveResults) )
    			Directory.CreateDirectory(dirNameWhereToSaveResults);
			}
		}
		
		#region Run
		private MessageManager setMessageManager(
			IEligiblesSelector eligiblesSelector ,
			IInSampleChooser inSampleChooser ,
			IEndOfDayStrategy endOfDayStrategy ,
			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
		{
			this.setFileNamesAndDirectory(endOfDayStrategyBackTester);
			
      string fullPathFileNameForMessagesLog = dirNameWhereToSaveResults + 
      																				this.fileNameWithoutExt +
      																				"LogMessages.txt";
			MessageManager messageManager =
				new MessageManager( fullPathFileNameForMessagesLog );
			messageManager.Monitor( eligiblesSelector );
			messageManager.Monitor( inSampleChooser );
			//			messageManager.Monitor( endOfDayStrategy );
			messageManager.Monitor( endOfDayStrategyBackTester );
			return messageManager;
		}

		// TO DO check if you can add this to QuantProject.Presentation.Reporting.WindowsForm.Report
		// as a public method or as a new constructor
//		private void showReport(
//			DateTime lastDateTimeRequestedForTheScript ,
//			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
//		{			
////			DateTime lastReportDateTime = ExtendedDateTime.Min(
////				lastDateTimeRequestedForTheScript ,
////				endOfDayStrategyBackTester.EndOfDayTimer.GetCurrentTime().DateTime );
//			DateTime lastReportDateTime =
//				endOfDayStrategyBackTester.ActualLastDateTime;
//			Report report = new Report(
//				endOfDayStrategyBackTester.AccountReport ,
//				true );
//			report.Create( endOfDayStrategyBackTester.DescriptionForLogFileName , 1 ,
//				new EndOfDayDateTime( lastReportDateTime ,
//				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
//				endOfDayStrategyBackTester.Benchmark.Ticker );
//			report.Show();
//		}
		
		//Saves (in silent mode):
		//- a log file where the In Sample Analysis are
		//  stored;
		//- a report;
		//- a txt file with a full description of the
		//  strategy's features
		private void saveScriptResults( EndOfDayStrategyBackTester endOfDayStrategyBackTester )
		{
			this.setFileNamesAndDirectory(endOfDayStrategyBackTester);
      string fullPathFileNameForLog = dirNameWhereToSaveResults +
      																this.fileNameWithoutExt + ".qpL";
      string fullPathFileNameForReport = dirNameWhereToSaveResults + 
      																	 this.fileNameWithoutExt + ".qpR";
      string fullPathFileNameForParametersLog = dirNameWhereToSaveResults + 
      																					this.fileNameWithoutExt + "_Parameters.txt";
      ObjectArchiver.Archive(endOfDayStrategyBackTester.Log,
                             fullPathFileNameForLog);
      ObjectArchiver.Archive(endOfDayStrategyBackTester.AccountReport,
                             fullPathFileNameForReport);
      StreamWriter w = File.AppendText(fullPathFileNameForParametersLog);
      w.WriteLine ("\n---\r\n");
      w.WriteLine ( endOfDayStrategyBackTester.Description );
      w.WriteLine ("\n---\r\n");
			w.Flush();
			w.Close();
 		}

		public void Run()
		{
			//general
			DateTime firstDateTime = new DateTime( 2000 , 6 , 1 );
			DateTime lastDateTime = new DateTime( 2000 , 7 , 31 );
			double maxRunningHours = 5;
			Benchmark benchmark = new Benchmark( "^GSPC" );
			// definition for the Fitness Evaluator (for
			// objects that use it)
      IEquityEvaluator equityEvaluator = new SharpeRatio();
     	//cash and portfolio type
			double cashToStart = 30000;
			int numberOfPortfolioPositions = 4;
			      
			// parameters for the in sample Chooser
			double crossoverRate = 0.85;
			double mutationRate = 0.02;
			double elitismRate = 0.001;
			int populationSizeForGeneticOptimizer = 500;
			int generationNumberForGeneticOptimizer = 10;
			int numberOfBestTestingPositionsToBeReturnedInSample = 5;
			int seedForRandomGenerator =
				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
      int numDaysBetweenEachOptimization = 15;
			int minLevelForOversoldThreshold = 50;
      int maxLevelForOversoldThreshold = 100;
      int minLevelForOverboughtThreshold = 50;
      int maxLevelForOverboughtThreshold = 100;
      int divisorForThresholdComputation = 10000;
      int numDaysForOscillatingPeriodForChooser = 1; //for genetic optimization
      bool symmetricalThresholds = true;
      bool overboughtMoreThanOversoldForFixedPortfolio = false;
      double maxAcceptableCloseToCloseDrawdown = 0.03;
      double minimumAcceptableGain = 0.008;
      IDecoderForTestingPositions decoderForTestingPositions
      	= new BasicDecoderForPVOPositions(symmetricalThresholds, divisorForThresholdComputation ,
																				  numDaysForOscillatingPeriodForChooser);
      IFitnessEvaluator	fitnessEvaluator =
				new PVOFitnessEvaluator( equityEvaluator );
      HistoricalQuoteProvider historicalQuoteProviderForBackTester,
															historicalQuoteProviderForInSampleChooser,
															historicalQuoteProviderForStrategy;
			historicalQuoteProviderForBackTester =
				new HistoricalAdjustedQuoteProvider();
			historicalQuoteProviderForInSampleChooser = historicalQuoteProviderForBackTester;
			historicalQuoteProviderForStrategy = historicalQuoteProviderForInSampleChooser;
						
			IInSampleChooser inSampleChooser =
				new PVOGeneticChooser(numDaysForOscillatingPeriodForChooser ,
				numberOfPortfolioPositions , numberOfBestTestingPositionsToBeReturnedInSample, 
				benchmark, decoderForTestingPositions , fitnessEvaluator ,
				historicalQuoteProviderForInSampleChooser , 			 
				crossoverRate , mutationRate , elitismRate ,
				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
				seedForRandomGenerator , minLevelForOversoldThreshold ,
				maxLevelForOversoldThreshold , minLevelForOverboughtThreshold ,
				maxLevelForOverboughtThreshold , divisorForThresholdComputation , 
				symmetricalThresholds , overboughtMoreThanOversoldForFixedPortfolio );
			//parameters for eligiblesSelector
			bool temporizedGroup = true;
			double minRawOpenPrice = 25;
			double maxRawOpenPrice = 500;
			int numDaysForAverageOpenRawPrice = 20;
			string tickersGroupId = "SP500";
      int maxNumberOfEligiblesToBeChosen = 100;
			IEligiblesSelector eligiblesSelector =
				new ByPriceMostLiquidAlwaysQuoted(
				tickersGroupId , temporizedGroup, maxNumberOfEligiblesToBeChosen,
				numDaysForAverageOpenRawPrice ,
				minRawOpenPrice , maxRawOpenPrice );
			//strategyParameters
			int inSampleDays = 120;
			int numDaysForOscillatingPeriodForOutOfSampleChoosing =
				numDaysForOscillatingPeriodForChooser;
			PVOStrategy strategy =
				new PVOStrategy(eligiblesSelector,
					inSampleChooser, inSampleDays,
					numDaysForOscillatingPeriodForOutOfSampleChoosing,
					numberOfPortfolioPositions , benchmark ,
					numDaysBetweenEachOptimization ,
					historicalQuoteProviderForStrategy ,
					maxAcceptableCloseToCloseDrawdown , minimumAcceptableGain );
			
			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
					this.strategyIdentifier , strategy ,
					historicalQuoteProviderForBackTester , firstDateTime ,
					lastDateTime , benchmark , cashToStart , maxRunningHours );

			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
			// constructor
			strategy.Account = endOfDayStrategyBackTester.Account;

			MessageManager messageManager = this.setMessageManager(
				eligiblesSelector , inSampleChooser ,
				strategy , endOfDayStrategyBackTester );
			endOfDayStrategyBackTester.Run();
			this.saveScriptResults(endOfDayStrategyBackTester);
		}

		#endregion Run
		
		public void Run1()
		{
			BackTestLog backTestLog = 
				LogArchiver.Load( System.Configuration.ConfigurationSettings.AppSettings["LogArchive"] );
			LogViewer logViewer =
				new LogViewer( backTestLog );
			logViewer.Show();
		}
	}
}

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

PVOPositions.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Timing;
using QuantProject.Business.DataProviders;



namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
  /// <summary>
  /// This is the class representing a TestingPositions for the
  /// portfolio value oscillator strategy
  /// </summary>
  [Serializable]
  public class PVOPositions : TestingPositions, IGeneticallyOptimizable
  {
  	private double oversoldThreshold;
  	private double overboughtThreshold;
  	private int numDaysForOscillatingPeriod;
  	private int generation;
				
		private static ReturnsManager returnsManager;

  	  	  	
  	public double OversoldThreshold
    {
      get{return this.oversoldThreshold;}
			set{this.oversoldThreshold = value;}
    }
    public double OverboughtThreshold
    {
      get{return this.overboughtThreshold;}
			set{this.overboughtThreshold = value;}
    }
		public int NumDaysForOscillatingPeriod
    {
      get{return this.numDaysForOscillatingPeriod;}
    }
    
		//explicit interface implementation
		//the property can be used only by a interface
		//instance or through a cast to the interface
		int IGeneticallyOptimizable.Generation
		{
			get{return this.generation;}
			set{this.generation = value;}
		}
		
		public PVOPositions Copy()
		{
			return new PVOPositions(this.WeightedPositions,this.OversoldThreshold,
					this.overboughtThreshold, this.numDaysForOscillatingPeriod);
		}

		public PVOPositions(WeightedPositions weightedPositions,
												double oversoldThreshold,
												double overboughtThreshold,
												int numDaysForOscillatingPeriod) :
												base(weightedPositions)
                            
    {
 			this.oversoldThreshold = oversoldThreshold;
 			this.overboughtThreshold = overboughtThreshold;
 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
 			this.generation = -1;
		}
		
		private void setReturnsManager(EndOfDayDateTime beginOfPeriod,
																	 EndOfDayDateTime endOfPeriod,
																	 string benchmark,
																	 HistoricalQuoteProvider quoteProvider)
		{
			if(PVOPositions.returnsManager == null ||
			   PVOPositions.returnsManager.ReturnIntervals[0].Begin != beginOfPeriod ||
				 PVOPositions.returnsManager.ReturnIntervals[0].End != endOfPeriod)
			//if a returnsManager has not been set yet or a different one has to be set
			//for a different returnInterval
					PVOPositions.returnsManager = new ReturnsManager(new ReturnIntervals(
						new ReturnInterval( beginOfPeriod, endOfPeriod ) ) ,
						quoteProvider );
		}

		private double getOscillatingPeriodReturn(EndOfDayDateTime beginOfPeriod,
																					EndOfDayDateTime endOfPeriod,
		                                      string benchmark,
		                                      HistoricalQuoteProvider quoteProvider)
    {
      this.setReturnsManager(beginOfPeriod, endOfPeriod, benchmark, quoteProvider);
			return this.WeightedPositions.GetReturn(0, PVOPositions.returnsManager);
  	}
		
		public PVOPositionsStatus GetStatus(EndOfDayDateTime beginOfPeriod,
																				EndOfDayDateTime endOfPeriod,
		                                    string benchmark,
		                                    HistoricalQuoteProvider quoteProvider,
		                                    double maxCoefficientOfCrossingThresholds)
    {
      PVOPositionsStatus returnValue;
			double oscillatingPeriodReturn = double.NaN;
      oscillatingPeriodReturn = 
      	this.getOscillatingPeriodReturn(beginOfPeriod, endOfPeriod, benchmark,
      	                                quoteProvider);
      if(oscillatingPeriodReturn >= this.overboughtThreshold && 
         oscillatingPeriodReturn <= maxCoefficientOfCrossingThresholds*this.overboughtThreshold)
      		returnValue = PVOPositionsStatus.Overbought;
      else if(oscillatingPeriodReturn <= -this.oversoldThreshold &&
              Math.Abs(oscillatingPeriodReturn)<=maxCoefficientOfCrossingThresholds*this.oversoldThreshold)
      		returnValue = PVOPositionsStatus.Oversold;
      else if ( Math.Abs(oscillatingPeriodReturn) > maxCoefficientOfCrossingThresholds*this.oversoldThreshold ||
                oscillatingPeriodReturn > maxCoefficientOfCrossingThresholds*this.overboughtThreshold  )
      		returnValue = PVOPositionsStatus.TooDistantFromThresholds;
      else
      	returnValue = PVOPositionsStatus.InTheMiddle;
         	
			return returnValue;
  	}
		
		public PVOPositionsStatus GetStatus(EndOfDayDateTime beginOfPeriod,
																				EndOfDayDateTime endOfPeriod,
		                                    string benchmark,
		                                    HistoricalQuoteProvider quoteProvider)
    {
			return this.GetStatus(beginOfPeriod, endOfPeriod ,
														benchmark, quoteProvider, 10000.0);
			//a very high maxCoefficientOfCrossingThresholds is given:
			//so the status TooDistantFromThresholds should never been reached
  	}

		public bool AreAllTickersMovingTogetherUpOrDown(EndOfDayDateTime beginOfPeriod,
																										EndOfDayDateTime endOfPeriod,
																										string benchmark,
																										HistoricalQuoteProvider quoteProvider)
		{
			bool returnValue = true;
			SignedTickers signedTickers = this.WeightedPositions.SignedTickers;
			float returnOfCurrentTicker, returnOfNextTicker;
			this.setReturnsManager(beginOfPeriod, endOfPeriod, benchmark, quoteProvider);
			for( int i = 0;
				signedTickers.Count > 1 && i < signedTickers.Count - 1 && returnValue == true;
				i++ )
			{
				returnOfCurrentTicker = PVOPositions.returnsManager.GetReturn(signedTickers[ i ].Ticker, 0);
				returnOfNextTicker = PVOPositions.returnsManager.GetReturn(signedTickers[ i+1 ].Ticker, 0);
				if( (returnOfCurrentTicker > 0 && returnOfNextTicker < 0) ||
					(returnOfCurrentTicker < 0 && returnOfNextTicker > 0) )
					returnValue = false;
			}	
			return returnValue;
		}
		
  }
}

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

PVOGenomeManager.cs
Copyright (C) 2008 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Data;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Statistics;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Data;
using QuantProject.Data.DataTables;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Optimizing.GenomeManagers;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
	/// <summary>
	/// Implements what needed to use the Genetic Optimizer
	/// for finding the portfolio that best suites
	/// the Portfolio Value Oscillator strategy
	/// </summary>
	[Serializable]
  public class PVOGenomeManager : BasicGenomeManager
  {
    protected int minLevelForOversoldThreshold;
    protected int maxLevelForOversoldThreshold;
    protected int minLevelForOverboughtThreshold;
    protected int maxLevelForOverboughtThreshold;
    protected int divisorForThresholdComputation;
    protected bool symmetricalThresholds;
    protected bool overboughtMoreThanOversoldForFixedPortfolio;
    protected int numOfGenesDedicatedToThresholds;
   	protected int numDaysForOscillatingPeriod;
    protected CorrelationProvider correlationProvider;//used for experimental
    //tests using 2 tickers and PearsonCorrelationCoefficient as fitness
        
    private void genomeManagerPVO_checkParametersForThresholdsComputation()
    {
      if(this.maxLevelForOverboughtThreshold < this.minLevelForOverboughtThreshold || 
         this.maxLevelForOversoldThreshold < this.minLevelForOversoldThreshold ||
         this.divisorForThresholdComputation < this.maxLevelForOverboughtThreshold ||
         this.divisorForThresholdComputation < this.maxLevelForOversoldThreshold ||
         (this.symmetricalThresholds && (this.minLevelForOversoldThreshold != this.minLevelForOverboughtThreshold ||
                                        this.maxLevelForOversoldThreshold != this.maxLevelForOverboughtThreshold) ) ||
         (this.overboughtMoreThanOversoldForFixedPortfolio && 
            (this.minLevelForOverboughtThreshold > Convert.ToInt32(Convert.ToDouble(this.minLevelForOversoldThreshold)* Convert.ToDouble(this.divisorForThresholdComputation) /
                                                     (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.minLevelForOversoldThreshold) ) )  ||
              this.maxLevelForOverboughtThreshold < Convert.ToInt32(Convert.ToDouble(this.maxLevelForOversoldThreshold) * Convert.ToDouble(this.divisorForThresholdComputation) /
                                                     (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.maxLevelForOversoldThreshold) ) ) ) ) ) 

          throw new Exception("Bad parameters for thresholds computation!");
    }

    public PVOGenomeManager(EligibleTickers eligibleTickers,
                           int numberOfTickersInPortfolio,
                           int numDaysForOscillatingPeriod,
                           int minLevelForOversoldThreshold,
	                         int maxLevelForOversoldThreshold,
	                         int minLevelForOverboughtThreshold,
	                         int maxLevelForOverboughtThreshold,
                           int divisorForThresholdComputation,
                           IDecoderForTestingPositions decoderForTestingPositions,
                           IFitnessEvaluator fitnessEvaluator,
                           bool symmetricalThresholds,
                           bool overboughtMoreThanOversoldForFixedPortfolio,
                           GenomeManagerType genomeManagerType,
													 ReturnsManager returnsManager,
													 int seedForRandomGenerator)
                           :
														base(eligibleTickers,
														numberOfTickersInPortfolio,
														decoderForTestingPositions,
														fitnessEvaluator,		
														genomeManagerType,
														returnsManager,
														seedForRandomGenerator)
                                
                          
    {
    	this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
    	this.divisorForThresholdComputation = divisorForThresholdComputation;
			this.decoderForTestingPositions = decoderForTestingPositions;
    	this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
      this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
      this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
      this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
      this.symmetricalThresholds = symmetricalThresholds;
      this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
      if(this.symmetricalThresholds)//value for thresholds must be unique
 				numOfGenesDedicatedToThresholds = 1;
      else
      	numOfGenesDedicatedToThresholds = 2;
    	this.genomeManagerPVO_checkParametersForThresholdsComputation();
    }
   
    public override int GenomeSize
    {
      get{return this.genomeSize + this.numOfGenesDedicatedToThresholds;}
    }

    #region Get Min and Max Value

    private int getMinValueForGenes_getMinValueForTicker()
    {
      int returnValue;
      switch (this.genomeManagerType)
      {
        case GenomeManagerType.OnlyLong :
          returnValue = 0;
          break;
        default://For ShortAndLong or OnlyShort portfolios
          returnValue = - this.eligibleTickers.Count;
          break;
      }
      return returnValue;
    }

    public override int GetMinValueForGenes(int genePosition)
    {
    	int returnValue;
    	switch (genePosition)
    	{
    		case 0 ://gene for oversold threshold
					returnValue = this.minLevelForOversoldThreshold;
					break;
				case 1 ://gene for overbought threshold
					if(this.numOfGenesDedicatedToThresholds == 2)
						returnValue = this.minLevelForOverboughtThreshold;
					else
            returnValue = this.getMinValueForGenes_getMinValueForTicker();
				  break;
				default://gene for ticker
					returnValue = this.getMinValueForGenes_getMinValueForTicker();
					break;
      }
    	return returnValue;
    }
    
    private int getMaxValueForGenes_getMaxValueForTicker()
    {
      int returnValue;
      switch (this.genomeManagerType)
      {
        case GenomeManagerType.OnlyShort :
          returnValue = - 1;
          break;
        default ://For ShortAndLong or OnlyLong portfolios
          returnValue = this.eligibleTickers.Count - 1;
          break;
      }
      return returnValue;
    }

    public override int GetMaxValueForGenes(int genePosition)
    {
      int returnValue;
    	switch (genePosition)
    	{
    		case 0 ://gene for oversold threshold
					returnValue = this.maxLevelForOversoldThreshold;
					break;
				case 1 ://gene for overbought threshold
					if(this.numOfGenesDedicatedToThresholds == 2)
						returnValue = this.maxLevelForOverboughtThreshold;
					else
						returnValue = this.getMaxValueForGenes_getMaxValueForTicker();
					break;
				default://gene for ticker
					returnValue = this.getMaxValueForGenes_getMaxValueForTicker();
					break;
      }
    	return returnValue;
    }																
  	
    #endregion
		
       
    public override Genome[] GetChilds(Genome parent1, Genome parent2)
    {
    	//in this simple implementation
    	//child have the tickers of one parent
    	//and the thresholds of the other
    	Genome[] childs = new Genome[2];
    	childs[0] = parent1.Clone();
    	childs[1] = parent2.Clone();
    	//exchange of genes coding thresholds
     	
    	if(this.symmetricalThresholds)//unique value for thresholds
    	{
    		childs[0].SetGeneValue(parent2.GetGeneValue(0),0);
    		childs[1].SetGeneValue(parent1.GetGeneValue(0),0);
    	}
    	else//two different values for thresholds
    	{
    		childs[0].SetGeneValue(parent2.GetGeneValue(0),0);
    		childs[1].SetGeneValue(parent1.GetGeneValue(0),0);
    		childs[0].SetGeneValue(parent2.GetGeneValue(1),1);
    		childs[1].SetGeneValue(parent1.GetGeneValue(1),1);
    	}
    	return childs;
    }

    public override int GetNewGeneValue(Genome genome, int genePosition)
    {
      // in this implementation only new gene values pointing to tickers
      // must be different from the others already stored
      int minValueForGene = genome.GetMinValueForGenes(genePosition);
      int maxValueForGene = genome.GetMaxValueForGenes(genePosition);
      int returnValue = GenomeManagement.RandomGenerator.Next(minValueForGene,
                                      maxValueForGene + 1);
      
      if(this.numOfGenesDedicatedToThresholds == 2 &&
         this.overboughtMoreThanOversoldForFixedPortfolio && genePosition == 1)
      //genePosition points to overbought threshold,
      //dipendent from the oversold one such that the portfolio tends to be fix
      	  returnValue = Convert.ToInt32(Convert.ToDouble(genome.GetGeneValue(0)) * Convert.ToDouble(this.divisorForThresholdComputation) /
      					      (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(genome.GetGeneValue(0))));
      
      while(genePosition > this.numOfGenesDedicatedToThresholds - 1
	          && GenomeManipulator.IsTickerContainedInGenome(returnValue,
      	                                                genome,
      	                                                this.numOfGenesDedicatedToThresholds,
      	                                                genome.Size - 1))
	    //while in the given position has to be stored
	    //a new gene pointing to a ticker and
	    //the proposed returnValue points to a ticker
	    //already stored in the given genome
	              returnValue = GenomeManagement.RandomGenerator.Next(minValueForGene,
	        														maxValueForGene + 1);
	    
      return returnValue;
    }
	  
    public override void Mutate(Genome genome)
    {
      // in this implementation only one gene is mutated
      int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size);
      int minValueForGene = genome.GetMinValueForGenes(genePositionToBeMutated);
      int maxValueForGene = genome.GetMaxValueForGenes(genePositionToBeMutated);
      int newValueForGene = GenomeManagement.RandomGenerator.Next(minValueForGene,
	        																maxValueForGene +1);
      while(genePositionToBeMutated > this.numOfGenesDedicatedToThresholds - 1 &&
	          GenomeManipulator.IsTickerContainedInGenome(newValueForGene,
      	                                            genome,
      	                                            this.numOfGenesDedicatedToThresholds,
      	                                            genome.Size - 1))
	    //while in the proposed genePositionToBeMutated has to be stored
	    //a new gene pointing to a ticker and
	    //the proposed newValueForGene points to a ticker
	    //already stored in the given genome
	          newValueForGene = GenomeManagement.RandomGenerator.Next(minValueForGene,
	        																	maxValueForGene +1);
      //TODO add if when it is mutated a threshold 
      //(just a single threshold or the pair of thresholds)
	    if(genePositionToBeMutated > this.numOfGenesDedicatedToThresholds - 1)
	        GenomeManagement.MutateOneGene(genome,
	          genePositionToBeMutated, newValueForGene);
    }
  }
}

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/Decoding BasicDecoderForPVOPositions.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6639/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/Decoding

Added Files:
	BasicDecoderForPVOPositions.cs 
Log Message:
Added a new implementation for the PVO strategy (now common objects
recently added at business layer by Glauco are used).
At the moment, these files perform a PVO strategy using close to close returns,
on a multiday - minimum 1 day - basis.
Take profit and stop loss levels can be set.


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

BasicDecoderForPVOPositions.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.ADT.Collections;
using QuantProject.ADT.Optimizing.Decoding;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.Decoding;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.Decoding
{
	/// <summary>
	/// Decodes optimization candidates to a 
	/// PVOPositions
	/// In this implementation, only tickers and thresholds are decoded
	/// </summary>
	public class BasicDecoderForPVOPositions : BasicDecoderForTestingPositions
	{
		protected int numOfGenesDedicatedToThresholds;
		protected int numDaysForOscillatingPeriod;
		protected double oversoldThreshold;
		protected double overboughtThreshold;
		protected int divisorForThresholdComputation;
		
		public BasicDecoderForPVOPositions(bool symmetricalThresholds,
		                                   int divisorForThresholdComputation,
		                                   int numDaysForOscillatingPeriod) :
																			 base()
		{
			if(symmetricalThresholds)
        this.numOfGenesDedicatedToThresholds = 1;
			else
				this.numOfGenesDedicatedToThresholds = 2;
			this.divisorForThresholdComputation = divisorForThresholdComputation;
			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
		}
		
		private void decodeDecodable_setThresholds()
		{
			if(this.numOfGenesDedicatedToThresholds == 1)
			//symmetrical	thresholds
			{
				this.oversoldThreshold =
					Convert.ToDouble(this.encoded[0])/Convert.ToDouble(this.divisorForThresholdComputation);
				this.overboughtThreshold = this.oversoldThreshold;
			}
			else//different thresholds, that is this.numOfGenesDedicatedToThresholds == 1
			{
				this.oversoldThreshold =
					Convert.ToDouble(this.encoded[0])/Convert.ToDouble(this.divisorForThresholdComputation);
				this.overboughtThreshold =
					Convert.ToDouble(this.encoded[1])/Convert.ToDouble(this.divisorForThresholdComputation);
			}
		}
		
		protected override TestingPositions decodeDecodable()
		{
			SignedTickers signedTickers =	this.decodeSignedTickers();
			this.decodeDecodable_setThresholds();
			PVOPositions pvoPositions =	new PVOPositions(
					new WeightedPositions( this.getWeights(), signedTickers),
				  this.oversoldThreshold, this.overboughtThreshold,
				  this.numDaysForOscillatingPeriod);
	
			return pvoPositions;
		}
		
		protected override string getDescription()
		{
			return "PVO_Dcdr_NoWghts";
		}

		protected override void setTickerRelatedGeneValues()
		{
			this.tickerRelatedGeneValues = 
				IntArrayManager.SubArray(this.encoded,
				                         this.numOfGenesDedicatedToThresholds,
				                         this.encoded.Length - this.numOfGenesDedicatedToThresholds);
		}
		
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators PVOFitnessEvaluator.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6639/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators

Added Files:
	PVOFitnessEvaluator.cs 
Log Message:
Added a new implementation for the PVO strategy (now common objects
recently added at business layer by Glauco are used).
At the moment, these files perform a PVO strategy using close to close returns,
on a multiday - minimum 1 day - basis.
Take profit and stop loss levels can be set.


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

PVOFitnessEvaluator.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.ADT;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.FitnessEvaluators
{
	/// <summary>
	/// Evaluates (in sample) the fitness for a given TestingPositions
	/// </summary>
	public class PVOFitnessEvaluator : IFitnessEvaluator 
	{
		private IEquityEvaluator strategyEquityEvaluator;
		
		public string Description
		{
			get
			{
				string description = "FitnessEvaluatedWith_" +
								this.strategyEquityEvaluator.GetType().ToString();
				return description;
			}
		}
		
		public PVOFitnessEvaluator(IEquityEvaluator strategyEquityEvaluator)
		{
			this.strategyEquityEvaluator = strategyEquityEvaluator;
		}
		
		#region GetFitnessValue
		//returns true if the strategy gets effective positions on
		//the market for at least half the market days
		private bool getFitnessValue_getFitnessValueActually_strategyGetsSufficientPositions(float[] strategyReturns)
		{
			int daysOnTheMarket = 0;
			foreach(float strategyReturn in strategyReturns)
				if(strategyReturn != 0)
					//the applied strategy gets positions on the market
					daysOnTheMarket++;

			return daysOnTheMarket >= strategyReturns.Length / 2;
		}

		private float getFitnessValue_getFitnessValueActually(
			TestingPositions testingPositions, ReturnsManager returnsManager )
		{
			float fitnessValue = -0.5f;
			PVOPositions pvoPositions = (PVOPositions)testingPositions;
			float oversoldThreshold = Convert.ToSingle(pvoPositions.OversoldThreshold);
			float overboughtThreshold = Convert.ToSingle(pvoPositions.OverboughtThreshold);
			float[] plainWeightedPositionsReturns = 
				testingPositions.WeightedPositions.GetReturns(returnsManager);
			float[] strategyReturns = new float[ plainWeightedPositionsReturns.Length ];
			strategyReturns[0] = 0; //a the very first day the
			//strategy return is equal to 0 because no position
			//has been entered
			float coefficient = 0;
			for(int i = 0; i < strategyReturns.Length - 1; i++)
			{
				if( plainWeightedPositionsReturns[i] >= overboughtThreshold )
					//portfolio has been overbought
					coefficient = -1;
				else if( plainWeightedPositionsReturns[i] <= - oversoldThreshold )
					//portfolio has been oversold   			
					coefficient = 1;
				//else the previous coeff is kept or, if no threshold has been
				//reached, then no positions will be opened (coefficient = 0) 
				strategyReturns[i + 1] = coefficient * plainWeightedPositionsReturns[i + 1];
			}
			if(this.getFitnessValue_getFitnessValueActually_strategyGetsSufficientPositions(strategyReturns))
				fitnessValue = this.strategyEquityEvaluator.GetReturnsEvaluation(strategyReturns);
			return fitnessValue;
		}
		
		public double GetFitnessValue(object meaning , ReturnsManager returnsManager )
		{
			float fitnessValue = -0.5f;
			TestingPositions testingPositions = (TestingPositions)meaning;
			if(testingPositions.WeightedPositions != null)
				fitnessValue = this.getFitnessValue_getFitnessValueActually( testingPositions, returnsManager );
			return fitnessValue;
		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers PVOCorrelationChooser.cs, NONE, 1.1 PVOGeneticChooser.cs, NONE, 1.1

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6639/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers

Added Files:
	PVOCorrelationChooser.cs PVOGeneticChooser.cs 
Log Message:
Added a new implementation for the PVO strategy (now common objects
recently added at business layer by Glauco are used).
At the moment, these files perform a PVO strategy using close to close returns,
on a multiday - minimum 1 day - basis.
Take profit and stop loss levels can be set.


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

PVOCorrelationChooser.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;

using QuantProject.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.TickersRelationships; 
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.OutOfSample;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers
{
	/// <summary>
	/// PVOCorrelationChooser to be used for
	/// in sample optimization
	/// By means of correlation, the AnalyzeInSample method returns the 
	/// requested number of PVOPositions (positions for the PVO strategy)
	/// </summary>
	public class PVOCorrelationChooser : IInSampleChooser
	{
		public event NewProgressEventHandler NewProgress;
		public event NewMessageEventHandler NewMessage;
		
		protected CorrelationProvider correlationProvider;
		protected int numberOfBestTestingPositionsToBeReturned;
		protected double oversoldThreshold;
		protected double overboughtThreshold;
		protected int numDaysForOscillatingPeriod;
		
		public virtual string Description
		{
			get
			{
				string description = "PVOCorrelationChooser_" +
														 this.correlationProvider.GetType().ToString();
				return description;
			}
		}
		
		/// <summary>
		/// PVOCorrelationChooser to be used for
		/// in sample optimization
		/// </summary>
		/// <param name="numberOfBestTestingPositionsToBeReturned">
		/// The number of PVOPositions that the
		/// AnalyzeInSample method will return
		/// </param>
		/// /// <param name="numDaysForOscillatingPeriod">
		/// Interval's length of the return for the PVOPosition
		/// to be checked out of sample, in order to update the 
		/// status for the PVOPosition itself
		/// </param>
		public PVOCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
			double oversoldThreshold, double overboughtThreshold,
			int numDaysForOscillatingPeriod)
		{
			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
			this.oversoldThreshold = oversoldThreshold;
			this.overboughtThreshold = overboughtThreshold;
			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
		}

		#region AnalyzeInSample
		private void analyzeInSample_checkParameters(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			if ( eligibleTickers.Count <	2 )
				throw new Exception( "Eligible tickers for driving positions contains " +
					"only " + eligibleTickers.Count +
					" elements, while NumberOfDrivingPositions is 2");
		}
								
		protected virtual void setCorrelationProvider(EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager)
		{
			this.correlationProvider = 
				new OpenToCloseCorrelationProvider(eligibleTickers.Tickers, returnsManager,
																					 0.0001f, 0.5f);
		}
		
		protected virtual PVOPositions getTestingPositions(WeightedPositions weightedPositions)
		{
			return new PVOPositions(weightedPositions, this.oversoldThreshold, this.overboughtThreshold, this.numDaysForOscillatingPeriod );
		}

		private TestingPositions[] getBestTestingPositionsInSample(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager	)
		{
			this.setCorrelationProvider(eligibleTickers ,	returnsManager);
			TestingPositions[] bestTestingPositions = 
				new TestingPositions[this.numberOfBestTestingPositionsToBeReturned]; 
			TickersPearsonCorrelation[] correlations = 
				this.correlationProvider.GetOrderedTickersPearsonCorrelations();
			for(int i = 0; i<this.numberOfBestTestingPositionsToBeReturned; i++)
			{
				SignedTickers signedTickers = 
					new SignedTickers("-"+correlations[correlations.Length - 1 -i].FirstTicker + ";" +
														correlations[correlations.Length - 1 -i].SecondTicker);
				WeightedPositions weightedPositions = new WeightedPositions(signedTickers);
				bestTestingPositions[i] = this.getTestingPositions(weightedPositions);
			}	
			return bestTestingPositions;
		}

		/// <summary>
		/// Returns the best TestingPositions with respect to the in sample data
		/// </summary>
		/// <param name="eligibleTickers"></param>
		/// <returns></returns>
		public object AnalyzeInSample(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			if ( this.NewMessage != null )
				this.NewMessage( this , new NewMessageEventArgs( "New Correlation Analysis" ) );
			if ( this.NewProgress != null )
				this.NewProgress( this , new NewProgressEventArgs( 1 , 1 ) );
			this.analyzeInSample_checkParameters( eligibleTickers ,
				returnsManager );
			TestingPositions[] bestTestingPositionsInSample =
				this.getBestTestingPositionsInSample( eligibleTickers ,
				returnsManager );
			return bestTestingPositionsInSample;
		}
		#endregion 
	}
}

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

PVOGeneticChooser.cs
Copyright (C) 2008
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Strategies;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.Optimizing.GenomeManagers;


namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers
{
	/// <summary>
	/// In sample genetic analyzer for the Portfolio Value Oscillator 
	/// </summary>
	public class PVOGeneticChooser : GeneticChooser
	{
		protected int numDaysForOscillatingPeriod;
		protected int minLevelForOversoldThreshold;
    protected int maxLevelForOversoldThreshold;
    protected int minLevelForOverboughtThreshold;
    protected int maxLevelForOverboughtThreshold;
    protected int divisorForThresholdComputation;
    protected bool symmetricalThresholds;
    protected bool overboughtMoreThanOversoldForFixedPortfolio;
    		
    public PVOGeneticChooser(
    	int numDaysForOscillatingPeriod,
			int numberOfPortfolioPositions , int numberOfBestTestingPositionsToBeReturned ,
			Benchmark benchmark ,
			IDecoderForTestingPositions decoderForTestingPositions ,
			IFitnessEvaluator fitnessEvaluator ,
			IHistoricalQuoteProvider historicalQuoteProvider ,
			double crossoverRate , double mutationRate , double elitismRate ,
			int populationSizeForGeneticOptimizer ,
			int generationNumberForGeneticOptimizer ,
			int seedForRandomGenerator, 
		  int minLevelForOversoldThreshold , int maxLevelForOversoldThreshold,
	    int minLevelForOverboughtThreshold , int maxLevelForOverboughtThreshold,
	    int divisorForThresholdComputation,
	    bool symmetricalThresholds , bool overboughtMoreThanOversoldForFixedPortfolio)
	    :
			base(numberOfPortfolioPositions, numberOfBestTestingPositionsToBeReturned,
			benchmark ,	decoderForTestingPositions ,
			fitnessEvaluator , historicalQuoteProvider ,
			crossoverRate , mutationRate , elitismRate ,
			populationSizeForGeneticOptimizer ,
			generationNumberForGeneticOptimizer ,
			seedForRandomGenerator )
		{
			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
			this.minLevelForOversoldThreshold = minLevelForOversoldThreshold;
			this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
			this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
			this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
			this.divisorForThresholdComputation = divisorForThresholdComputation;
			this.symmetricalThresholds = symmetricalThresholds;
			this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
		}

		protected override string getHashCodeForGenome(QuantProject.ADT.Optimizing.Genetic.Genome genome)
		{
			string returnValue = ((TestingPositions)genome.Meaning).HashCodeForTickerComposition;
			return returnValue;
		}
    
		protected override IGenomeManager getGenomeManager(EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager)
		{
			return  
				new PVOGenomeManager(eligibleTickers, this.numberOfPortfolioPositions,
														 this.numDaysForOscillatingPeriod ,
				                     this.minLevelForOversoldThreshold, this.maxLevelForOversoldThreshold,
				                     this.minLevelForOverboughtThreshold, this.maxLevelForOverboughtThreshold,
				                     this.divisorForThresholdComputation, this.decoderForTestingPositions,
				                     this.fitnessEvaluator, this.symmetricalThresholds,
				                     this.overboughtMoreThanOversoldForFixedPortfolio,
				                     GenomeManagerType.ShortAndLong, returnsManager,
														 this.seedForRandomGenerator);
		}

	}
}

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO EndOfDayTimerHandlerBiasedPVO.cs, 1.4, 1.5 EndOfDayTimerHandlerBiasedPVO_OTC.cs, 1.1, 1.2 RunBiasedPVO.cs, 1.3, 1.4 RunBiasedPVO_OTC.cs, 1.1, 1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1495/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

Modified Files:
	EndOfDayTimerHandlerBiasedPVO.cs 
	EndOfDayTimerHandlerBiasedPVO_OTC.cs RunBiasedPVO.cs 
	RunBiasedPVO_OTC.cs 
Log Message:
Updated old implementation of the PVO_OTC strategy 

Index: EndOfDayTimerHandlerBiasedPVO_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO_OTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerBiasedPVO_OTC.cs	14 Jan 2008 22:58:11 -0000	1.1
--- EndOfDayTimerHandlerBiasedPVO_OTC.cs	9 Mar 2008 22:40:51 -0000	1.2
***************
*** 138,145 ****
  //  UPDATE WITH DailyOpenToCloseIntervals
  //    	ReturnsManager returnsManager = new ReturnsManager(
! //    		new CloseToCloseIntervals(new EndOfDayDateTime(today.AddDays(-this.numDaysForThresholdsReComputation), EndOfDaySpecificTime.MarketClose),
! //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketClose),
! //		  	                         this.benchmark,
! //		  	                         this.numDaysForOscillatingPeriod),
  //		  	new HistoricalAdjustedQuoteProvider() );
  //    	//double returnsAverage;
--- 138,144 ----
  //  UPDATE WITH DailyOpenToCloseIntervals
  //    	ReturnsManager returnsManager = new ReturnsManager(
! //    		new CloseToOpenIntervals(new EndOfDayDateTime(today.AddDays(-this.numDaysForThresholdsReComputation), EndOfDaySpecificTime.MarketClose),
! //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
! //		  	                         this.benchmark),
  //		  	new HistoricalAdjustedQuoteProvider() );
  //    	//double returnsAverage;

Index: EndOfDayTimerHandlerBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerBiasedPVO.cs	14 Jan 2008 23:07:03 -0000	1.4
--- EndOfDayTimerHandlerBiasedPVO.cs	9 Mar 2008 22:40:51 -0000	1.5
***************
*** 353,357 ****
  			//positions that have just been closed
  			{
! 				AccountManager.OpenPositions(weightedPositions, this.account);
  				this.portfolioHasBeenOverbought = overboughtPortfolio;
  				this.portfolioHasBeenOversold = !overboughtPortfolio;
--- 353,357 ----
  			//positions that have just been closed
  			{
! 				AccountManager.OpenPositions(weightedPositions, this.account, 30000);
  				this.portfolioHasBeenOverbought = overboughtPortfolio;
  				this.portfolioHasBeenOversold = !overboughtPortfolio;

Index: RunBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunBiasedPVO.cs	14 Jan 2008 23:07:03 -0000	1.3
--- RunBiasedPVO.cs	9 Mar 2008 22:40:51 -0000	1.4
***************
*** 177,181 ****
      
         
! 		private void saveScriptResults_saveScriptFeaturesToLogFile(string nameForScriptFiles)
  		{
  			string pathFile = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
--- 177,181 ----
      
         
! 		protected void saveScriptResults_saveScriptFeaturesToLogFile(string nameForScriptFiles)
  		{
  			string pathFile = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +

Index: RunBiasedPVO_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO_OTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunBiasedPVO_OTC.cs	14 Jan 2008 22:58:11 -0000	1.1
--- RunBiasedPVO_OTC.cs	9 Mar 2008 22:40:51 -0000	1.2
***************
*** 115,122 ****
      }
      
! //		protected override void run_initializeHistoricalQuoteProvider()
! //    {
! //    	this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
! //    }
  		
  		protected override void run_initializeAccount()
--- 115,122 ----
      }
      
! 		protected override void run_initializeHistoricalQuoteProvider()
!     {
!     	this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
!     }
  		
  		protected override void run_initializeAccount()
***************
*** 171,174 ****
--- 171,216 ----
  			                                                              this.minimumAcceptableGain);
      }
+ 		
+ 		public override void SaveScriptResults()
+ 		{
+ 			string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
+ 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
+ 				DateTime.Now.Second.ToString().PadLeft(2,'0') + "_" +
+ 				this.scriptName +  "GenOS_" + this.numOfDifferentGenomesToEvaluateOutOfSample +
+ 				"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
+ 				"_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
+ 				this.numberOfTickersToBeChosen + "GenN°" + 
+ 				this.generationNumberForGeneticOptimizer +
+ 				"PopSize" + this.populationSizeForGeneticOptimizer +
+ 				Convert.ToString(this.portfolioType);
+ 			string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
+ 				"\\" + this.ScriptName + "\\";
+ 			string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
+ 				"\\" + this.ScriptName + "\\";
+ 			string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
+ 				"\\" + this.ScriptName + "\\";
+       
+ 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
+ 			if( this.PathOfFileContainingGenomes == null )
+ 			{
+ 				OptimizationOutput optimizationOutput = new OptimizationOutput();
+ 				foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
+ 					optimizationOutput.Add(genomeRepresentation);
+ 				ObjectArchiver.Archive(optimizationOutput,
+ 					dirNameWhereToSaveBestGenomes + 
+ 					fileName + ".bgn");
+ 			}
+ 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
+ 			AccountReport accountReport = this.account.CreateReport(fileName,1,
+ 				this.endOfDayTimer.GetCurrentTime(),
+ 				this.benchmark,
+ 				this.historicalQuoteProvider);
+ 			ObjectArchiver.Archive(accountReport,
+ 				dirNameWhereToSaveReports + 
+ 				fileName + ".qPr");
+ 			this.saveScriptResults_saveScriptFeaturesToLogFile(fileName);      
+ 			this.endOfDayTimer.Stop();
+ 		}
+ 
    }
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers - New directory

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30670/InSampleChoosers

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators - New directory

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30644/FitnessEvaluators

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/FitnessEvaluators added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/Decoding - New directory

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30477/Decoding

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/Decoding added to the repository

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/InSample GeneticChooser.cs, 1.8, 1.9

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30434

Modified Files:
	GeneticChooser.cs 
Log Message:
Fixed bug in AnalyzeInSample method: now a new TestingPositions object is returnes

Index: GeneticChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample/GeneticChooser.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** GeneticChooser.cs	7 Mar 2008 23:27:13 -0000	1.8
--- GeneticChooser.cs	9 Mar 2008 21:42:21 -0000	1.9
***************
*** 55,59 ****
  		//the method that returns the hash code for genome
  		//is virtual)
! 		protected TestingPositions[] bestTestingPositions;
  		protected Benchmark benchmark;
  		protected IDecoderForTestingPositions decoderForTestingPositions;
--- 55,59 ----
  		//the method that returns the hash code for genome
  		//is virtual)
! //		protected TestingPositions[] bestTestingPositions;
  		protected Benchmark benchmark;
  		protected IDecoderForTestingPositions decoderForTestingPositions;
***************
*** 104,110 ****
  			this.numberOfPortfolioPositions = numberOfPortfolioPositions;
  			this.numberOfBestTestingPositionsToBeReturned = numberOfBestTestingPositionsToBeReturned;
- //			this.choosePositionsWithAtLeastOneDifferentTicker =
- //				choosePositionsWithAtLeastOneDifferentTicker;
- 			this.bestTestingPositions = new TestingPositions[numberOfBestTestingPositionsToBeReturned];
  			this.benchmark = benchmark;
  			this.decoderForTestingPositions = decoderForTestingPositions;
--- 104,107 ----
***************
*** 186,191 ****
  
  		
! 		private void setBestTestingPositions()
  		{
  			GeneticOptimizer GO = this.geneticOptimizer;
  			int addedTestingPositions = 0;
--- 183,189 ----
  
  		
! 		private TestingPositions[] getBestTestingPositionsInSample_getTestingPositionsActually()
  		{
+ 			TestingPositions[] bestTestingPositions = new TestingPositions[numberOfBestTestingPositionsToBeReturned];
  			GeneticOptimizer GO = this.geneticOptimizer;
  			int addedTestingPositions = 0;
***************
*** 201,209 ****
        	if( counter == 0 || !genomesCollector.ContainsKey(currentGenomeHashcode) )
        	{
! 					this.bestTestingPositions[addedTestingPositions] = 
  						(TestingPositions)currentGenome.Meaning;
! 					((TestingPositions)this.bestTestingPositions[addedTestingPositions]).FitnessInSample =
  						currentGenome.Fitness;
! 					((IGeneticallyOptimizable)this.bestTestingPositions[addedTestingPositions]).Generation =
  						currentGenome.Generation;
  					genomesCollector.Add(currentGenomeHashcode, null);
--- 199,207 ----
        	if( counter == 0 || !genomesCollector.ContainsKey(currentGenomeHashcode) )
        	{
! 					bestTestingPositions[addedTestingPositions] = 
  						(TestingPositions)currentGenome.Meaning;
! 					((TestingPositions)bestTestingPositions[addedTestingPositions]).FitnessInSample =
  						currentGenome.Fitness;
! 					((IGeneticallyOptimizable)bestTestingPositions[addedTestingPositions]).Generation =
  						currentGenome.Generation;
  					genomesCollector.Add(currentGenomeHashcode, null);
***************
*** 211,215 ****
        	}
        	counter ++ ;
!       }  
  		}
  
--- 209,214 ----
        	}
        	counter ++ ;
!       } 
! 			return bestTestingPositions;
  		}
  
***************
*** 235,241 ****
  				new NewGenerationEventHandler( this.newGenerationEventHandler );
  			this.geneticOptimizer.Run( false );
! 			this.setBestTestingPositions();
! 	
! 			return this.bestTestingPositions;
  		}
  
--- 234,239 ----
  				new NewGenerationEventHandler( this.newGenerationEventHandler );
  			this.geneticOptimizer.Run( false );
! 			
! 			return this.getBestTestingPositionsInSample_getTestingPositionsActually();
  		}