quantproject-developers

[Quantproject-developers] QuantProject/b5_Presentation Presentation.prjx, 1.5, NONE Presentation_SD.prjx, 1.1, NONE

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21518/b5_Presentation

Removed Files:
	Presentation.prjx Presentation_SD.prjx 
Log Message:
Removed old sharp develop project files

--- Presentation.prjx DELETED ---

--- Presentation_SD.prjx DELETED ---

[Quantproject-developers] QuantProject/b2_DataAccess DataAccess.prjx, 1.3, NONE DataAccess_SD.prjx, 1.1, NONE

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21518/b2_DataAccess

Removed Files:
	DataAccess.prjx DataAccess_SD.prjx 
Log Message:
Removed old sharp develop project files

--- DataAccess_SD.prjx DELETED ---

--- DataAccess.prjx DELETED ---

[Quantproject-developers] QuantProject/b3_Data Data.prjx, 1.12, NONE Data_SD.prjx, 1.1, NONE

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21518/b3_Data

Removed Files:
	Data.prjx Data_SD.prjx 
Log Message:
Removed old sharp develop project files

--- Data.prjx DELETED ---

--- Data_SD.prjx DELETED ---

[Quantproject-developers] QuantProject/b1_ADT ADT.prjx, 1.7, NONE ADT_SD.prjx, 1.1, NONE

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21518/b1_ADT

Removed Files:
	ADT.prjx ADT_SD.prjx 
Log Message:
Removed old sharp develop project files

--- ADT.prjx DELETED ---

--- ADT_SD.prjx DELETED ---

[Quantproject-developers] QuantProject/b5_Presentation VisualObjectArchiver.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4707/b5_Presentation

Modified Files:
	VisualObjectArchiver.cs 
Log Message:
- the method
public object Load( string suffix , string title , string initialDirectory )
has been added

- the method
public void Save( object obj , string suffix , string title , string initialFileName , string initialDirectory )
has been added

- some minor bugs have been fixed

Index: VisualObjectArchiver.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/VisualObjectArchiver.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** VisualObjectArchiver.cs	11 Dec 2005 17:47:35 -0000	1.1
--- VisualObjectArchiver.cs	7 Feb 2008 18:50:33 -0000	1.2
***************
*** 57,61 ****
  		}
  		private void save( object obj , string suffix ,
! 			 string title , string initialDirectory )
  		{
  			this.obj = obj;
--- 57,61 ----
  		}
  		private void save( object obj , string suffix ,
! 			 string title , string initialFileName , string initialDirectory )
  		{
  			this.obj = obj;
***************
*** 65,69 ****
  				suffix + ")|*." + suffix;
  			this.saveFileDialog.Title = title;
! 			this.saveFileDialog.FileName = title;
  			this.saveFileDialog.InitialDirectory = initialDirectory;
  			this.saveFileDialog.AddExtension = true;
--- 65,69 ----
  				suffix + ")|*." + suffix;
  			this.saveFileDialog.Title = title;
! 			this.saveFileDialog.FileName = initialFileName;
  			this.saveFileDialog.InitialDirectory = initialDirectory;
  			this.saveFileDialog.AddExtension = true;
***************
*** 78,89 ****
  		}
  		public void Save( object obj , string suffix ,
  			string title , string initialDirectory )
  		{
! 			this.save( obj , suffix , title , initialDirectory );
  		}
  		public void Save( object obj , string suffix ,
  			string title )
  		{
! 			this.Save( obj , suffix , title ,
  				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
  		}
--- 78,94 ----
  		}
  		public void Save( object obj , string suffix ,
+ 			string title , string initialFileName , string initialDirectory )
+ 		{
+ 			this.save( obj , suffix , title , initialFileName ,initialDirectory );
+ 		}
+ 		public void Save( object obj , string suffix ,
  			string title , string initialDirectory )
  		{
! 			this.save( obj , suffix , title , title , initialDirectory );
  		}
  		public void Save( object obj , string suffix ,
  			string title )
  		{
! 			this.Save( obj , suffix , title , title ,
  				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
  		}
***************
*** 99,103 ****
  			return openFileDialog.FileName;
  		}
! 		private object load( object obj , string suffix ,
  			string title , string initialDirectory )
  		{
--- 104,108 ----
  			return openFileDialog.FileName;
  		}
! 		private object load( string suffix ,
  			string title , string initialDirectory )
  		{
***************
*** 107,113 ****
  		public object Load( object obj , string suffix , string title )
  		{
! 			return this.load( obj , suffix , title ,
  				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
  		}
  	}
  }
--- 112,122 ----
  		public object Load( object obj , string suffix , string title )
  		{
! 			return this.load( suffix , title ,
  				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
  		}
+ 		public object Load( string suffix , string title , string initialDirectory )
+ 		{
+ 			return this.load( suffix , title , initialDirectory );
+ 		}
  	}
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2130/b4_Business/a2_Strategies/Eligibles

Modified Files:
	MostLiquidAndLessVolatile.cs 
Log Message:
- the Description property has been implemented
- the NewMessageHandler delegate has been renamed to NewMessageEventHandler (to comply to our standard naming rules)

Index: MostLiquidAndLessVolatile.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/MostLiquidAndLessVolatile.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** MostLiquidAndLessVolatile.cs	6 Feb 2008 22:56:37 -0000	1.2
--- MostLiquidAndLessVolatile.cs	7 Feb 2008 18:46:56 -0000	1.3
***************
*** 37,50 ****
  	public class MostLiquidAndLessVolatile : IEligiblesSelector
  	{
! 		public event NewMessageHandler NewMessage;
  
  		private string tickersGroupID;
  		private int maxNumberOfEligibleTickersToBeChosen;
  
- 		private string description;
  		public string Description
  		{
  			get{
! 				return "Change me!";
  			}
  		}
--- 37,49 ----
  	public class MostLiquidAndLessVolatile : IEligiblesSelector
  	{
! 		public event NewMessageEventHandler NewMessage;
  
  		private string tickersGroupID;
  		private int maxNumberOfEligibleTickersToBeChosen;
  
  		public string Description
  		{
  			get{
! 				return "Elgbls_mstLqd_alwsQtd_max" + this.maxNumberOfEligibleTickersToBeChosen;
  			}
  		}

[Quantproject-developers] QuantProject/b5_Presentation MessageManager.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1488/b5_Presentation

Modified Files:
	MessageManager.cs 
Log Message:
The NewMessageHandler delegate has been renamed to NewMessageEventHandler (to comply to our standard naming rules)

Index: MessageManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/MessageManager.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** MessageManager.cs	19 Jan 2008 18:24:56 -0000	1.1
--- MessageManager.cs	7 Feb 2008 18:45:57 -0000	1.2
***************
*** 83,87 ****
  		{
  			messageSender.NewMessage +=
! 				new NewMessageHandler( this.newMessageHandler );
  		}
  		#endregion Monitor
--- 83,87 ----
  		{
  			messageSender.NewMessage +=
! 				new NewMessageEventHandler( this.newMessageHandler );
  		}
  		#endregion Monitor

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Logging LogItem.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv1377/b4_Business/a2_Strategies/Logging

Modified Files:
	LogItem.cs 
Log Message:
- the property RealCreationTime has been added
- the property SimulatedCreationTime has been added

Index: LogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Logging/LogItem.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** LogItem.cs	19 Jan 2008 17:46:37 -0000	1.1
--- LogItem.cs	7 Feb 2008 18:45:33 -0000	1.2
***************
*** 30,42 ****
  	/// Single information (about a backtest) to be logged
  	/// </summary>
  	public abstract class LogItem
  	{
! 		protected DateTime creationTime;
! 		protected EndOfDayDateTime endOfDayDateTime;
  
! 		public LogItem( EndOfDayDateTime endOfDayDateTime )
  		{
! 			this.creationTime = DateTime.Now;
! 			this.endOfDayDateTime = endOfDayDateTime;
  		}
  		/// <summary>
--- 30,63 ----
  	/// Single information (about a backtest) to be logged
  	/// </summary>
+ 	[Serializable]
  	public abstract class LogItem
  	{
! 		protected DateTime realCreationTime;
! 		protected EndOfDayDateTime simulatedCreationTime;
  
! 		/// <summary>
! 		/// Real time when this log item is created
! 		/// </summary>
! 		public DateTime RealCreationTime
  		{
! 			get { return this.realCreationTime; }
! 		}
! 
! 		/// <summary>
! 		/// DateTime in the backtest, when this object is created
! 		/// </summary>
! 		public EndOfDayDateTime SimulatedCreationTime
! 		{
! 			get { return this.simulatedCreationTime; }
! 		}
! 		public string Simu
! 		{
! 			get { return this.simulatedCreationTime.Description; }
! 		}
! 
! 		public LogItem( EndOfDayDateTime simulatedCreationTime )
! 		{
! 			this.realCreationTime = DateTime.Now;
! 			this.simulatedCreationTime = simulatedCreationTime;
  		}
  		/// <summary>

[Quantproject-developers] QuantProject/b1_ADT/Messaging IMessageSender.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Messaging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv543/b1_ADT/Messaging

Modified Files:
	IMessageSender.cs 
Log Message:
The NewMessageHandler delegate has been renamed to NewMessageEventHandler (to comply to our standard naming rules)

Index: IMessageSender.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Messaging/IMessageSender.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IMessageSender.cs	19 Jan 2008 18:15:03 -0000	1.1
--- IMessageSender.cs	7 Feb 2008 18:44:06 -0000	1.2
***************
*** 25,29 ****
  namespace QuantProject.ADT.Messaging
  {
! 	public delegate void NewMessageHandler(
  	Object sender , NewMessageEventArgs eventArgs );
  
--- 25,29 ----
  namespace QuantProject.ADT.Messaging
  {
! 	public delegate void NewMessageEventHandler(
  	Object sender , NewMessageEventArgs eventArgs );
  
***************
*** 34,38 ****
  	public interface IMessageSender
  	{
! 		event NewMessageHandler NewMessage;
  	}
  }
--- 34,38 ----
  	public interface IMessageSender
  	{
! 		event NewMessageEventHandler NewMessage;
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a05_Timing HistoricalEndOfDayTimer.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32510/b4_Business/a05_Timing

Modified Files:
	HistoricalEndOfDayTimer.cs 
Log Message:
Some code has been slightly changed because now EndOfDayDateTime is a struct (it was a class, before)

Index: HistoricalEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/HistoricalEndOfDayTimer.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** HistoricalEndOfDayTimer.cs	19 Jan 2008 19:02:18 -0000	1.8
--- HistoricalEndOfDayTimer.cs	7 Feb 2008 18:43:35 -0000	1.9
***************
*** 110,114 ****
  		public EndOfDayDateTime GetCurrentTime()
  		{
! 			if ( this.currentTime == null )
  				throw new Exception( "Start() has not been invoked yet!" +
  					"GetCurrentTime() cannot be invoked before Start()" ); 
--- 110,114 ----
  		public EndOfDayDateTime GetCurrentTime()
  		{
! 			if ( !this.isActive )
  				throw new Exception( "Start() has not been invoked yet!" +
  					"GetCurrentTime() cannot be invoked before Start()" ); 

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLengthTwoPhasesStrategy.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv31590/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases

Modified Files:
	FixedLengthTwoPhasesStrategy.cs 
Log Message:
The NewMessageHandler delegate has been renamed to NewMessageEventHandler (to comply to our standard naming rules)

Index: FixedLengthTwoPhasesStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** FixedLengthTwoPhasesStrategy.cs	28 Jan 2008 21:47:02 -0000	1.2
--- FixedLengthTwoPhasesStrategy.cs	7 Feb 2008 18:42:05 -0000	1.3
***************
*** 44,48 ****
  	{
  		public event NewLogItemEventHandler NewLogItem;
! 		public event NewMessageHandler NewMessage;
  
  		private int numberOfPortfolioPositions;
--- 44,48 ----
  	{
  		public event NewLogItemEventHandler NewLogItem;
! 		public event NewMessageEventHandler NewMessage;
  
  		private int numberOfPortfolioPositions;

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv31202/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases

Modified Files:
	FixedLengthTwoPhasesMain.cs 
Log Message:
- the private showReport() method is not used anymore, the generic BackTesterReportViewer.ShowReport() method is used instead

Index: FixedLengthTwoPhasesMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** FixedLengthTwoPhasesMain.cs	28 Jan 2008 21:45:31 -0000	1.3
--- FixedLengthTwoPhasesMain.cs	7 Feb 2008 18:41:31 -0000	1.4
***************
*** 28,31 ****
--- 28,32 ----
  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.ReturnsManagement;
***************
*** 34,38 ****
  using QuantProject.Business.Timing;
  using QuantProject.Presentation;
! using QuantProject.Presentation.Reporting.WindowsForm;
  
  
--- 35,40 ----
  using QuantProject.Business.Timing;
  using QuantProject.Presentation;
! using QuantProject.Scripts.General.Logging;
! using QuantProject.Scripts.General.Reporting;
  
  
***************
*** 67,87 ****
  		// 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();
  		}
  
--- 69,108 ----
  		// 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();
! //		}
! 		private void saveLog( BackTestLog backTestLog ,
! 		                    string suggestedLogFileName )
! 		{
! 			string defaultFolderPath =
! 				"C:\\qpReports\\";
! //			this.wFLagLog.TransactionHistory = this.account.Transactions;
! 			LogArchiver.Save( backTestLog ,
! 			              suggestedLogFileName , defaultFolderPath );
! 		}
! 
! 
! 
! 		public void Run1()
! 		{
! 			BackTestLog backTestLog = LogArchiver.Load( "C:\\qpReports\\" );
! 			LogViewer logViewer =
! 				new LogViewer( backTestLog );
! 			logViewer.Show();
  		}
  
***************
*** 91,103 ****
  			double cashToStart = 30000;
  
! 			int numberOfPortfolioPositions = 2;
! 			int inSampleDays = 90;
! 			string tickersGroupId = "SP500";
  			
  			// uncomment the following three lines for faster scripts
! //			int numberOfPortfolioPositions = 2;
! //			int inSampleDays = 30;
! ////			string tickersGroupId = "millo";
! //			string tickersGroupId = "fastTest";
  
        Benchmark benchmark = new Benchmark( "MSFT" );
--- 112,123 ----
  			double cashToStart = 30000;
  
! //			int numberOfPortfolioPositions = 2;
! //			int inSampleDays = 90;
! //			string tickersGroupId = "SP500";
  			
  			// uncomment the following three lines for faster scripts
! 			int numberOfPortfolioPositions = 2;
! 			int inSampleDays = 30;
! 			string tickersGroupId = "fastTest";
  
        Benchmark benchmark = new Benchmark( "MSFT" );
***************
*** 112,116 ****
  			FixedLengthTwoPhasesFitnessEvaluator
  				fixedLengthTwoPhasesFitnessEvaluator =
! 				new FixedLengthTwoPhasesFitnessEvaluator(	equityEvaluator );
  
  			// parameters for the genetic optimizer
--- 132,136 ----
  			FixedLengthTwoPhasesFitnessEvaluator
  				fixedLengthTwoPhasesFitnessEvaluator =
! 				new FixedLengthTwoPhasesFitnessEvaluator( equityEvaluator );
  
  			// parameters for the genetic optimizer
***************
*** 118,123 ****
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 30000;
! 			int generationNumberForGeneticOptimizer = 8;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
--- 138,143 ----
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 3000;
! 			int generationNumberForGeneticOptimizer = 5;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
***************
*** 145,149 ****
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 2 );
! 			DateTime lastDateTime = new DateTime( 2004 , 12 , 31 );
  			double maxRunningHours = 7;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
--- 165,169 ----
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 2 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 6 );
  			double maxRunningHours = 7;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
***************
*** 161,166 ****
  				fixedLengthTwoPhasesStrategy , endOfDayStrategyBackTester );
  			endOfDayStrategyBackTester.Run();
! 			this.showReport( lastDateTime ,
  				endOfDayStrategyBackTester );
  		}
  
--- 181,189 ----
  				fixedLengthTwoPhasesStrategy , endOfDayStrategyBackTester );
  			endOfDayStrategyBackTester.Run();
! 			BackTesterReportViewer.ShowReport( lastDateTime ,
  				endOfDayStrategyBackTester );
+ 			this.saveLog(
+ 				endOfDayStrategyBackTester.Log ,
+ 				endOfDayStrategyBackTester.DescriptionForLogFileName );
  		}
  

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic FixedLengthTwoPhasesGeneticChooser.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29863/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic

Modified Files:
	FixedLengthTwoPhasesGeneticChooser.cs 
Log Message:
The NewMessageHandler delegate has been renamed to NewMessageEventHandler (to comply to our standard naming rules)

Index: FixedLengthTwoPhasesGeneticChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic/FixedLengthTwoPhasesGeneticChooser.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** FixedLengthTwoPhasesGeneticChooser.cs	28 Jan 2008 21:41:52 -0000	1.2
--- FixedLengthTwoPhasesGeneticChooser.cs	7 Feb 2008 18:39:42 -0000	1.3
***************
*** 42,46 ****
  	{
  		public event NewProgressEventHandler NewProgress;
! 		public event NewMessageHandler NewMessage;
  
  		private int numberOfPortfolioPositions;
--- 42,46 ----
  	{
  		public event NewProgressEventHandler NewProgress;
! 		public event NewMessageEventHandler NewMessage;
  
  		private int numberOfPortfolioPositions;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies EndOfDayStrategyBackTester.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv29749/b4_Business/a2_Strategies

Modified Files:
	EndOfDayStrategyBackTester.cs 
Log Message:
The NewMessageHandler delegate has been renamed to NewMessageEventHandler (to comply to our standard naming rules)

Index: EndOfDayStrategyBackTester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategyBackTester.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayStrategyBackTester.cs	28 Jan 2008 21:39:42 -0000	1.3
--- EndOfDayStrategyBackTester.cs	7 Feb 2008 18:39:21 -0000	1.4
***************
*** 40,44 ****
  	public class EndOfDayStrategyBackTester : IMessageSender
  	{
! 		public event NewMessageHandler NewMessage;
  
  		private string backTestID;
--- 40,44 ----
  	public class EndOfDayStrategyBackTester : IMessageSender
  	{
! 		public event NewMessageEventHandler NewMessage;
  
  		private string backTestID;

[Quantproject-developers] QuantProject/b4_Business/a05_Timing EndOfDayDateTime.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv28631/b4_Business/a05_Timing

Modified Files:
	EndOfDayDateTime.cs 
Log Message:
Type changed from class to struct

Index: EndOfDayDateTime.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/EndOfDayDateTime.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayDateTime.cs	19 Jan 2008 18:51:53 -0000	1.5
--- EndOfDayDateTime.cs	7 Feb 2008 18:38:02 -0000	1.6
***************
*** 30,34 ****
  	/// </summary>
  	[Serializable]
!   public class EndOfDayDateTime : IComparable
  	{
  		private DateTime dateTime;
--- 30,34 ----
  	/// </summary>
  	[Serializable]
!   public struct EndOfDayDateTime : IComparable
  	{
  		private DateTime dateTime;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByPriceMostLiquidAlwaysQuoted.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27738/b4_Business/a2_Strategies/Eligibles

Modified Files:
	ByPriceMostLiquidAlwaysQuoted.cs 
Log Message:
The Description property has been implemented

Index: ByPriceMostLiquidAlwaysQuoted.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceMostLiquidAlwaysQuoted.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ByPriceMostLiquidAlwaysQuoted.cs	6 Feb 2008 22:59:30 -0000	1.1
--- ByPriceMostLiquidAlwaysQuoted.cs	7 Feb 2008 18:36:11 -0000	1.2
***************
*** 45,49 ****
  	public class ByPriceMostLiquidAlwaysQuoted : IEligiblesSelector
  	{
! 		public event NewMessageHandler NewMessage;
  		
  		private bool temporizedGroup;
--- 45,49 ----
  	public class ByPriceMostLiquidAlwaysQuoted : IEligiblesSelector
  	{
! 		public event NewMessageEventHandler NewMessage;
  		
  		private bool temporizedGroup;
***************
*** 54,62 ****
  		private double maxPrice;
  		
- 		private string description;
  		public string Description
  		{
  			get{
! 				return "Change me!";
  			}
  		}
--- 54,62 ----
  		private double maxPrice;
  		
  		public string Description
  		{
  			get{
! 				return "Elgbls_prcRng" + this.minPrice + "_" + this.maxPrice +
! 					"_mstLqd_alwsQtd";
  			}
  		}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27218/b4_Business/a2_Strategies

Modified Files:
	Benchmark.cs 
Log Message:
The code has been slightly simplified (MILLO, please check if it is equivalent)

Index: Benchmark.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Benchmark.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Benchmark.cs	6 Feb 2008 22:53:54 -0000	1.2
--- Benchmark.cs	7 Feb 2008 18:35:38 -0000	1.3
***************
*** 11,14 ****
--- 11,15 ----
  	/// to compare a strategy's results
  	/// </summary>
+ 	[Serializable]
  	public class Benchmark
  	{
***************
*** 109,113 ****
  			if( lastEndOfDayDateTime.IsLessThanOrEqualTo(firstEndOfDayDateTime) )
  				throw new Exception("lastEndOfDayDateTime has to be greater than " +
! 				                    "firstEndOfDayDateTime !!");
  			EndOfDayHistory endOfDayHistory = new EndOfDayHistory();
  			EndOfDayDateTime endOfDayDateTimeToAddToHistory =
--- 110,114 ----
  			if( lastEndOfDayDateTime.IsLessThanOrEqualTo(firstEndOfDayDateTime) )
  				throw new Exception("lastEndOfDayDateTime has to be greater than " +
! 					"firstEndOfDayDateTime !!");
  			EndOfDayHistory endOfDayHistory = new EndOfDayHistory();
  			EndOfDayDateTime endOfDayDateTimeToAddToHistory =
***************
*** 116,129 ****
  			{
  				if( this.isExchanged( endOfDayDateTimeToAddToHistory ) )
- 				{
  					endOfDayHistory.Add( endOfDayDateTimeToAddToHistory, endOfDayDateTimeToAddToHistory );
! 					endOfDayDateTimeToAddToHistory = 
! 						endOfDayDateTimeToAddToHistory.GetNextMarketStatusSwitch();
! 				}
! 				else
! 				{
! 					endOfDayDateTimeToAddToHistory =
! 						endOfDayDateTimeToAddToHistory.GetNextMarketStatusSwitch();
! 				}
  			}
  			return endOfDayHistory;
--- 117,123 ----
  			{
  				if( this.isExchanged( endOfDayDateTimeToAddToHistory ) )
  					endOfDayHistory.Add( endOfDayDateTimeToAddToHistory, endOfDayDateTimeToAddToHistory );
! 				endOfDayDateTimeToAddToHistory =
! 					endOfDayDateTimeToAddToHistory.GetNextMarketStatusSwitch();
  			}
  			return endOfDayHistory;

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.12, 1.13

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv26494/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
The RootNamespace has been changed from Scripts to QuantProject.Scripts
General\Logging\LogArchiver.cs has been added
General\Logging\LogViewer.cs has been added
General\Reporting\BackTesterReportViewer.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesLogItem.cs has been moved to WalkForwardTesting\FixedLengthTwoPhases\Logging\FixedLengthTwoPhasesLogItem.cs

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** Scripts_SD.csproj	19 Jan 2008 18:46:27 -0000	1.12
--- Scripts_SD.csproj	7 Feb 2008 18:34:22 -0000	1.13
***************
*** 5,9 ****
      <SchemaVersion>2.0</SchemaVersion>
      <ProjectGuid>{B5AAC5AA-DCC1-4698-A362-D399AB9A90C4}</ProjectGuid>
!     <RootNamespace>Scripts</RootNamespace>
      <AssemblyName>QuantProject.Scripts</AssemblyName>
      <OutputType>Library</OutputType>
--- 5,9 ----
      <SchemaVersion>2.0</SchemaVersion>
      <ProjectGuid>{B5AAC5AA-DCC1-4698-A362-D399AB9A90C4}</ProjectGuid>
!     <RootNamespace>QuantProject.Scripts</RootNamespace>
      <AssemblyName>QuantProject.Scripts</AssemblyName>
      <OutputType>Library</OutputType>
***************
*** 49,52 ****
--- 49,55 ----
      <Compile Include="ArbitrageTesting\OverReactionHypothesis\DoubleOverReaction_OTC\RunDOR_OTC.cs" />
      <Compile Include="AssemblyInfo.cs" />
+     <Compile Include="General\Logging\LogArchiver.cs" />
+     <Compile Include="General\Logging\LogViewer.cs" />
+     <Compile Include="General\Reporting\BackTesterReportViewer.cs" />
      <Compile Include="MyTradingSystem.cs" />
      <Compile Include="CallingReportsForRunScripts\ShowReportFromFile.cs" />
***************
*** 66,70 ****
      <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" />
--- 69,72 ----
***************
*** 72,75 ****
--- 74,78 ----
      <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic\FixedLengthTwoPhasesGeneticChooser.cs" />
      <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic\FixedLengthTwoPhasesGenomeManager.cs" />
+     <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\Logging\FixedLengthTwoPhasesLogItem.cs" />
      <Compile Include="WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\RunSimpleLag.cs" />
***************
*** 238,246 ****
      <Folder Include="EvaluatingOptimizationTechnique\" />
      <Folder Include="EvaluatingOptimizationTechnique\EfficientPortfolio\" />
!     <Folder Include="BackTesting" />
      <Folder Include="TickerSelectionTesting\SimpleSelection\" />
      <Folder Include="WalkForwardTesting\FixedLengthTwoPhases" />
      <Folder Include="WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers" />
      <Folder Include="WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic" />
      <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\BruteForce" />
      <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\Decoding" />
--- 241,252 ----
      <Folder Include="EvaluatingOptimizationTechnique\" />
      <Folder Include="EvaluatingOptimizationTechnique\EfficientPortfolio\" />
!     <Folder Include="General" />
!     <Folder Include="General\Logging" />
!     <Folder Include="General\Reporting" />
      <Folder Include="TickerSelectionTesting\SimpleSelection\" />
      <Folder Include="WalkForwardTesting\FixedLengthTwoPhases" />
      <Folder Include="WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers" />
      <Folder Include="WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic" />
+     <Folder Include="WalkForwardTesting\FixedLengthTwoPhases\Logging" />
      <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\BruteForce" />
      <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\Decoding" />

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.82, 1.83

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23957/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
General\Logging\LogArchiver.cs has been added
General\Logging\LogViewer.cs has been added
General\Reporting\BackTesterReportViewer.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesLogItem.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\Logging\FixedLengthTwoPhasesLogItem.cs has been added
WalkForwardTesting\PairsTrading\ has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.82
retrieving revision 1.83
diff -C2 -d -r1.82 -r1.83
*** b7_Scripts.csproj	19 Jan 2008 18:45:50 -0000	1.82
--- b7_Scripts.csproj	7 Feb 2008 18:30:28 -0000	1.83
***************
*** 243,246 ****
--- 243,266 ----
                      BuildAction = "Compile"
                  />
+                 <File
+                     RelPath = "General\Logging\LogArchiver.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "General\Logging\LogViewer.cs"
+                     SubType = "Form"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "General\Logging\LogViewer.resx"
+                     DependentUpon = "LogViewer.cs"
+                     BuildAction = "EmbeddedResource"
+                 />
+                 <File
+                     RelPath = "General\Reporting\BackTesterReportViewer.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
                  <Folder RelPath = "MultiTesting\MultiTestOneRank\" />
                  <File
***************
*** 670,678 ****
                  />
                  <File
-                     RelPath = "WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesLogItem.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
                      RelPath = "WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesMain.cs"
                      SubType = "Code"
--- 690,693 ----
***************
*** 700,703 ****
--- 715,723 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\FixedLengthTwoPhases\Logging\FixedLengthTwoPhasesLogItem.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\CloseToOpenDailyStrategy.cs"
                      SubType = "Code"
***************
*** 799,802 ****
--- 819,823 ----
                      BuildAction = "Compile"
                  />
+                 <Folder RelPath = "WalkForwardTesting\PairsTrading\" />
                  <File
                      RelPath = "WalkForwardTesting\WalkForwardLag\RunSimpleLag.cs"
***************
*** 931,934 ****
--- 952,960 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagDebugGenome.resx"
+                     DependentUpon = "WFLagDebugGenome.cs"
+                     BuildAction = "EmbeddedResource"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagLog.cs"
                      SubType = "Code"
***************
*** 971,974 ****
--- 997,1005 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagDebugChosenPositionsCollection.resx"
+                     DependentUpon = "WFLagDebugChosenPositionsCollection.cs"
+                     BuildAction = "EmbeddedResource"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\WalkForwardLag\WFLagGenomesDebugger\WFLagRunGenomesDebugger.cs"
                      SubType = "Code"
***************
*** 986,989 ****
--- 1017,1025 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\WalkForwardLag\WFLagLogDebugger\WFLagLogDebugger.resx"
+                     DependentUpon = "WFLagLogDebugger.cs"
+                     BuildAction = "EmbeddedResource"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\RunWalkForwardMultiOneRank.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging FixedLengthTwoPhasesLogItem.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22576/Logging

Added Files:
	FixedLengthTwoPhasesLogItem.cs 
Log Message:
It has been moved here from WalkForwardTesting\FixedLengthTwoPhases

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

FixedLengthTwoPhasesLogItem.cs
Copyright (C) 2007
Glauco Siliprandi

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.Logging;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Scripts.General.Reporting;

namespace QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases
{
	/// <summary>
	/// Log item for the FixedLengthTwoPhases strategy
	/// </summary>
	[Serializable]
	public class FixedLengthTwoPhasesLogItem : LogItem
	{
		private WeightedPositions bestWeightedPositionsInSample;
		private int numberOfEligibleTickers;
		
		public WeightedPositions BestWeightedPositionsInSample
		{
			get
			{
				if ( this.bestWeightedPositionsInSample == 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.bestWeightedPositionsInSample;
			}
			set { this.bestWeightedPositionsInSample = 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 FixedLengthTwoPhasesLogItem( EndOfDayDateTime endOfDayDateTime )
			: base( endOfDayDateTime )
		{
			this.numberOfEligibleTickers = int.MinValue;
		}
		public override void Run()
		{
			string backTestId = "SimpleFLTP";
			double cashToStart = 30000;

			Benchmark benchmark = new Benchmark( "MSFT" );

//			int maxNumberOfEligiblesToBeChosen = 100;
//			IDecoderForWeightedPositions decoderForWeightedPositions
//				= new DecoderForBalancedWeightedPositions();
			IHistoricalQuoteProvider historicalQuoteProvider =
				new HistoricalAdjustedQuoteProvider();

//			// definition for the Fitness Evaluator
//			IEquityEvaluator equityEvaluator = new SharpeRatio();
//			FixedLengthTwoPhasesFitnessEvaluator
//				fixedLengthTwoPhasesFitnessEvaluator =
//				new FixedLengthTwoPhasesFitnessEvaluator(	equityEvaluator );

			// parameters for the genetic optimizer
//			double crossoverRate = 0.85;
//			double mutationRate = 0.02;
//			double elitismRate = 0.001;
//			int populationSizeForGeneticOptimizer = 3000;
//			int generationNumberForGeneticOptimizer = 5;
//			int seedForRandomGenerator =
//				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
//			IInSampleChooser inSampleChooser =
//				new FixedLengthTwoPhasesGeneticChooser(
//				numberOfPortfolioPositions , inSampleDays , benchmark ,
//				decoderForWeightedPositions , fixedLengthTwoPhasesFitnessEvaluator ,
//				historicalQuoteProvider ,
//				crossoverRate , mutationRate , elitismRate ,
//				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
//				seedForRandomGenerator );
			IInSampleChooser inSampleChooser =
				new ConstantWeightedPositionsChooser( this.BestWeightedPositionsInSample );

			IIntervalsSelector intervalsSelector =
				new FixedLengthTwoPhasesIntervalsSelector(
				1 , 1 , benchmark );
			IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();

			FixedLengthTwoPhasesStrategy fixedLengthTwoPhasesStrategy =
				new FixedLengthTwoPhasesStrategy(
				this.BestWeightedPositionsInSample.Count ,
				9999 , 9 , benchmark , intervalsSelector ,
				eligiblesSelector , inSampleChooser , historicalQuoteProvider );

			DateTime firstDateTime = this.simulatedCreationTime.DateTime.AddDays( -90 );
			DateTime lastDateTime = this.simulatedCreationTime.DateTime;
			double maxRunningHours = 0.3;
			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
				backTestId , fixedLengthTwoPhasesStrategy ,
				historicalQuoteProvider , firstDateTime ,
				lastDateTime , benchmark , cashToStart , maxRunningHours );

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

//			MessageManager messageManager = this.setMessageManager(
//				eligiblesSelector , inSampleChooser ,
//				fixedLengthTwoPhasesStrategy , endOfDayStrategyBackTester );
			endOfDayStrategyBackTester.Run();
			BackTesterReportViewer.ShowReport( lastDateTime ,
				endOfDayStrategyBackTester );
//			this.saveLog(
//				endOfDayStrategyBackTester.Log ,
//				endOfDayStrategyBackTester.DescriptionForLogFileName );
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22014

Modified Files:
	FixedLengthTwoPhasesLogItem.cs 
Log Message:
It has been moved to WalkForwardTesting\FixedLengthTwoPhases\Logging

Index: FixedLengthTwoPhasesLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesLogItem.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** FixedLengthTwoPhasesLogItem.cs	19 Jan 2008 18:31:59 -0000	1.1
--- FixedLengthTwoPhasesLogItem.cs	7 Feb 2008 18:27:36 -0000	1.2
***************
*** 1,76 ****
- /*
- QuantProject - Quantitative Finance Library
- 
- FixedLengthTwoPhasesLogItem.cs
- Copyright (C) 2007
- Glauco Siliprandi
- 
- 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.Logging;
- using QuantProject.Business.Timing;
- 
- namespace QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases
- {
- 	/// <summary>
- 	/// Log item for the FixedLengthTwoPhases strategy
- 	/// </summary>
- 	public class FixedLengthTwoPhasesLogItem : LogItem
- 	{
- 		private WeightedPositions bestWeightedPositionsInSample;
- 		private int numberOfEligibleTickers;
- 		
- 		public WeightedPositions BestWeightedPositionsInSample
- 		{
- 			get
- 			{
- 				if ( this.bestWeightedPositionsInSample == 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.bestWeightedPositionsInSample;
- 			}
- 			set { this.bestWeightedPositionsInSample = 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 FixedLengthTwoPhasesLogItem( EndOfDayDateTime endOfDayDateTime )
- 			: base( endOfDayDateTime )
- 		{
- 			this.numberOfEligibleTickers = int.MinValue;
- 		}
- 		public override void Run()
- 		{
- 			// TO DO write a script to debug the in sample
- 			// optimization result
- 		}
- 	}
- }
--- 0 ----

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21371/Logging

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21226/PairsTrading

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading added to the repository

[Quantproject-developers] nome di ByPriceMostLiquidAlwaysQuoted

[Glauco S. <gl...@my...>]

Prima una nota banale: anche dopo l'update non l'avevo nel progetto. 
Forse manca il commit del progetto? (comunque ho risolto)
Seconda nota, banale, ma un po' meno: leggendo il nome stavo inserendo, 
come Description, un MinPrice. L'avevo cioe' interpretato come un 
selettore di prezzo minimo. Giustamente, invece, l'hai implementato piu' 
generale (selettore di prezzo minimo e prezzo massimo).
Proporrei un nome tipoPriceRangeMostLiquidAlwaysQuoted. Fammi sapere, ok?

Marco Milletti wrote:
> Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
> In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24777/a2_Strategies/Eligibles
>
> Added Files:
> 	ByPriceMostLiquidAlwaysQuoted.cs

[Quantproject-developers] QuantProject/b7_Scripts/General/Reporting BackTesterReportViewer.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/General/Reporting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18722

Added Files:
	BackTesterReportViewer.cs 
Log Message:
Displays a report for a given EndOfDayStrategyBackTester

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

BackTesterReportViewer.cs
Copyright (C) 2008
Glauco Siliprandi

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.Timing;
using QuantProject.Presentation.Reporting.WindowsForm;


namespace QuantProject.Scripts.General.Reporting
{
	/// <summary>
	/// Displays a report for a given EndOfDayStrategyBackTester
	/// </summary>
	public class BackTesterReportViewer
	{
		public BackTesterReportViewer()
		{
		}
		/// <summary>
		/// Displays a report for a given EndOfDayStrategyBackTester
		/// </summary>
		/// <param name="lastDateTimeRequestedForTheScript"></param>
		/// <param name="endOfDayStrategyBackTester"></param>
		public static void ShowReport(
			DateTime lastDateTimeRequestedForTheScript ,
			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
		{
			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();
		}
	}
}