quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLengthTwoPhasesMain.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-serv21473/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases

Modified Files:
	FixedLengthTwoPhasesMain.cs 
Log Message:
An even smaller group of tickers has been added, to perform even faster tests.

Index: FixedLengthTwoPhasesMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** FixedLengthTwoPhasesMain.cs	19 Jan 2008 18:35:34 -0000	1.1
--- FixedLengthTwoPhasesMain.cs	27 Jan 2008 02:30:30 -0000	1.2
***************
*** 96,100 ****
  			int numberOfPortfolioPositions = 2;
  			int inSampleDays = 30;
! 			string tickersGroupId = "millo";
  
        Benchmark benchmark = new Benchmark( "MSFT" );
--- 96,101 ----
  			int numberOfPortfolioPositions = 2;
  			int inSampleDays = 30;
! //			string tickersGroupId = "millo";
! 			string tickersGroupId = "fastTest";
  
        Benchmark benchmark = new Benchmark( "MSFT" );
***************
*** 142,146 ****
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 2 );
! 			DateTime lastDateTime = new DateTime( 2004 , 1 , 15 );
  			double maxRunningHours = 0.2;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
--- 143,147 ----
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 2 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 7 );
  			double maxRunningHours = 0.2;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =

[Quantproject-developers] QuantProject/b1_ADT ExtendedDateTime.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20895/b1_ADT

Modified Files:
	ExtendedDateTime.cs 
Log Message:
The method
public static string GetShortDescriptionForFileName( DateTime dateTime )
has been added.
It returns a DateTime short description suitable for file names (no slashes)



Index: ExtendedDateTime.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ExtendedDateTime.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** ExtendedDateTime.cs	19 Jan 2008 18:54:42 -0000	1.4
--- ExtendedDateTime.cs	27 Jan 2008 02:29:36 -0000	1.5
***************
*** 104,107 ****
--- 104,120 ----
      }
  		/// <summary>
+ 		/// Returns a DateTime short description suitable for file names (no slashes)
+ 		/// </summary>
+ 		/// <returns></returns>
+ 		public static string GetShortDescriptionForFileName(
+ 			DateTime dateTime )
+ 		{
+ 			string stringForFileName =
+ 				dateTime.Year.ToString() + "_" +
+ 				dateTime.Month.ToString().PadLeft( 2 , '0' ) + "_" +
+ 				dateTime.Day.ToString().PadLeft( 2 , '0' );
+ 			return stringForFileName;
+ 		}
+ 		/// <summary>
  		/// Returns the earliest date
  		/// </summary>

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19994/b4_Business/a2_Strategies

Modified Files:
	EndOfDayStrategyBackTester.cs 
Log Message:
The property DescriptionForLogFileName has been improved

Index: EndOfDayStrategyBackTester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategyBackTester.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayStrategyBackTester.cs	19 Jan 2008 17:35:04 -0000	1.1
--- EndOfDayStrategyBackTester.cs	27 Jan 2008 02:27:46 -0000	1.2
***************
*** 23,26 ****
--- 23,27 ----
  using System;
  
+ using QuantProject.ADT;
  using QuantProject.ADT.FileManaging;
  using QuantProject.ADT.Messaging;
***************
*** 89,95 ****
  				string description =
  					this.backTestID + "_" +
! 					"from_" + this.firstDateTime.ToShortDateString() + "_" +
! 					"to_" + this.lastDateTime.ToShortDateString() + "_" +
! 					"strtgy_" + this.endOfDayStrategy.DescriptionForLogFileName;
  				return description;
  			}
--- 90,98 ----
  				string description =
  					this.backTestID + "_" +
! 					"from_" +
! 					ExtendedDateTime.GetShortDescriptionForFileName( this.firstDateTime ) +
! 					"_to_" +
! 					ExtendedDateTime.GetShortDescriptionForFileName( this.lastDateTime ) +
! 					"_strtgy_" + this.endOfDayStrategy.DescriptionForLogFileName;
  				return description;
  			}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs, 1.18, 1.19

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19133/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.cs 
Log Message:
A text description for the report, suitable for file names also

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** AccountReport.cs	19 Feb 2006 18:03:44 -0000	1.18
--- AccountReport.cs	27 Jan 2008 02:25:43 -0000	1.19
***************
*** 125,128 ****
--- 125,135 ----
      }
  
+ 		/// <summary>
+ 		/// A text description for the report, suitable for file names also
+ 		/// </summary>
+ 		public string Description
+ 		{
+ 			get { return this.reportName; }
+ 		}
      /// <summary>
      /// Add the last account record to the AccountReport

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagMain.cs, 1.15, 1.16

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv26438/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WFLagMain.cs 
Log Message:
Minor changes to test a slightly different strategy

Index: WFLagMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagMain.cs,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** WFLagMain.cs	4 Nov 2007 19:00:14 -0000	1.15
--- WFLagMain.cs	19 Jan 2008 19:30:38 -0000	1.16
***************
*** 148,160 ****
  //				new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() ,
  //				1000 , 20 );
- 			wFLagWeightedPositionsChooser =
- 				new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio(
- 				4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" ,
- 				new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() ,
- 				10000 , 30 );
  //			wFLagWeightedPositionsChooser =
! //				new WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving(
  //				4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" ,
! //				new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() );
  //			new RunWalkForwardLag( "DrvPstns" , 200 ,
  //				wFLagWeightedPositionsChooser ,	7 ,
--- 148,160 ----
  //				new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() ,
  //				1000 , 20 );
  //			wFLagWeightedPositionsChooser =
! //				new WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio(
  //				4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" ,
! //				new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() ,
! //				10000 , 30 );
! 			wFLagWeightedPositionsChooser =
! 				new WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving(
! 				2 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" ,
! 				new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() );
  //			new RunWalkForwardLag( "DrvPstns" , 200 ,
  //				wFLagWeightedPositionsChooser ,	7 ,

[Quantproject-developers] QuantProject/b3_Data/DataTables TickerDataTable.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv25961/b3_Data/DataTables

Modified Files:
	TickerDataTable.cs 
Log Message:
- The method
public static DataTable GetTickersQuotedInEachMarketDay( History marketDays, DataTable setOfTickers,
DateTime firstQuoteDate, DateTime lastQuoteDate,
long maxNumOfReturnedTickers)
has been added

Index: TickerDataTable.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/TickerDataTable.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** TickerDataTable.cs	26 Sep 2007 22:01:44 -0000	1.9
--- TickerDataTable.cs	19 Jan 2008 19:29:34 -0000	1.10
***************
*** 191,195 ****
      #endregion
  
!     
      private static void addColumnNumberOfQuotes(DataTable tableToAnalyze)
      {
--- 191,195 ----
      #endregion
  
!     #region GetTickersQuotedInEachMarketDay
      private static void addColumnNumberOfQuotes(DataTable tableToAnalyze)
      {
***************
*** 197,210 ****
          tableToAnalyze.Columns.Add("NumberOfQuotes", System.Type.GetType("System.Int32"));
      }
! 
!     private static int getNumberOfTradingDays(string marketIndex,
!                                               DateTime firstQuoteDate,
!                                               DateTime lastQuoteDate)
!     {
!       QuantProject.Data.DataTables.Quotes marketQuotes = 
!         new QuantProject.Data.DataTables.Quotes(marketIndex, firstQuoteDate, lastQuoteDate);
!       return marketQuotes.Rows.Count;
!     }
! 
      private static void getTickersQuotedInEachMarketDay_addRow(DataRow rowToBeAdded, int numberOfTradingDays,
                                 DataTable tableToWhichRowIsToBeAdded)
--- 197,201 ----
          tableToAnalyze.Columns.Add("NumberOfQuotes", System.Type.GetType("System.Int32"));
      }
!     
      private static void getTickersQuotedInEachMarketDay_addRow(DataRow rowToBeAdded, int numberOfTradingDays,
                                 DataTable tableToWhichRowIsToBeAdded)
***************
*** 214,316 ****
        newRow["NumberOfQuotes"] = numberOfTradingDays;
        tableToWhichRowIsToBeAdded.Rows.Add(newRow);
      }
      
!     //new implementation
!     public static DataTable GetTickersQuotedInEachMarketDay(string marketIndex, string groupID,
                                                              DateTime firstQuoteDate,
                                                              DateTime lastQuoteDate,
                                                              long maxNumOfReturnedTickers)
      {
!       History marketDaysForIndex = Quotes.GetMarketDays(marketIndex,
      	                                                  firstQuoteDate , lastQuoteDate);
!      	DataTable groupOfTicker = QuantProject.DataAccess.Tables.Tickers_tickerGroups.GetTickers(groupID);
!       TickerDataTable.addColumnNumberOfQuotes(groupOfTicker);
!       QuantProject.Data.DataTables.GroupQuotes tickerQuotes = 
!                 new QuantProject.Data.DataTables.GroupQuotes(
!                 groupID, firstQuoteDate, lastQuoteDate);
!       DataTable returnValue = groupOfTicker.Clone(); 
!       History marketDaysForTicker;
!       foreach(DataRow row in groupOfTicker.Rows)
!       {
!         marketDaysForTicker = Quotes.GetMarketDays( (string)row[0],
!     	                        firstQuoteDate , lastQuoteDate);
!       	if( marketDaysForTicker.ContainsAllTheDatesIn(marketDaysForIndex) )
!         //the current ticker has been effectively traded in each market day
!           TickerDataTable.getTickersQuotedInEachMarketDay_addRow(
!       			row, marketDaysForTicker.Count, returnValue);
!       }
!       ExtendedDataTable.DeleteRows(returnValue, maxNumOfReturnedTickers);
!       return returnValue;              
      }
!     //new implementation
!     public static DataTable GetTickersQuotedInEachMarketDay(string marketIndex, DataTable setOfTickers,
                                                              DateTime firstQuoteDate,
                                                              DateTime lastQuoteDate,
                                                              long maxNumOfReturnedTickers)
      {
!       History marketDaysForIndex = Quotes.GetMarketDays(marketIndex,
!     	                                                  firstQuoteDate , lastQuoteDate);
!       TickerDataTable.addColumnNumberOfQuotes(setOfTickers);
!       DataTable returnValue = setOfTickers.Clone();
!       History marketDaysForTicker;
!       foreach(DataRow row in setOfTickers.Rows)
!       {
!         marketDaysForTicker = Quotes.GetMarketDays( (string)row[0],
!     	                        firstQuoteDate , lastQuoteDate);
!       	if( marketDaysForTicker.ContainsAllTheDatesIn(marketDaysForIndex) )
!           //the current ticker has been effectively traded in each market day
!           TickerDataTable.getTickersQuotedInEachMarketDay_addRow(
!       			row, marketDaysForTicker.Count, returnValue);         
!       }
!       ExtendedDataTable.DeleteRows(returnValue, maxNumOfReturnedTickers);
!       return returnValue;              
      }
-     
-     //OLD IMPLEMENTATION OF GetTickersQuotedInEachMarketDay
- //    public static DataTable GetTickersQuotedInEachMarketDay(string marketIndex, string groupID,
- //                                                            DateTime firstQuoteDate,
- //                                                            DateTime lastQuoteDate,
- //                                                            long maxNumOfReturnedTickers)
- //    {
- //      int marketDaysForTheGivenMarket = 
- //                    TickerDataTable.getNumberOfTradingDays(marketIndex, firstQuoteDate, lastQuoteDate);
- //      DataTable groupOfTicker = QuantProject.DataAccess.Tables.Tickers_tickerGroups.GetTickers(groupID);
- //      TickerDataTable.addColumnNumberOfQuotes(groupOfTicker);
- //      QuantProject.Data.DataTables.GroupQuotes tickerQuotes = 
- //                new QuantProject.Data.DataTables.GroupQuotes(
- //                groupID, firstQuoteDate, lastQuoteDate);
- //      DataTable returnValue = groupOfTicker.Clone(); 
- //      foreach(DataRow row in groupOfTicker.Rows)
- //      {
- //        if(tickerQuotes.GetNumberOfDaysWithEffectiveTrades((string)row[0]) == marketDaysForTheGivenMarket)
- //        //the current ticker has been effectively traded in each market day
- //          TickerDataTable.getTickersQuotedInEachMarketDay_addRow(row, marketDaysForTheGivenMarket,
- //                                                                 returnValue);
- //      }
- //      ExtendedDataTable.DeleteRows(returnValue, maxNumOfReturnedTickers);
- //      return returnValue;              
- //     
- //    }
- //    
- //    public static DataTable GetTickersQuotedInEachMarketDay(string marketIndex, DataTable setOfTickers,
- //                                                            DateTime firstQuoteDate,
- //                                                            DateTime lastQuoteDate,
- //                                                            long maxNumOfReturnedTickers)
- //    {
- //      int marketDaysForTheGivenMarket = 
- //        TickerDataTable.getNumberOfTradingDays(marketIndex, firstQuoteDate, lastQuoteDate);
- //      TickerDataTable.addColumnNumberOfQuotes(setOfTickers);
- //      DataTable returnValue = setOfTickers.Clone(); 
- //      foreach(DataRow row in setOfTickers.Rows)
- //      {
- //        if(QuantProject.DataAccess.Tables.Quotes.GetNumberOfDaysWithEffectiveTrades((string)row[0],firstQuoteDate,lastQuoteDate) == marketDaysForTheGivenMarket)
- //          //the current ticker has the same number of quotes as the market index
- //          TickerDataTable.getTickersQuotedInEachMarketDay_addRow(row, marketDaysForTheGivenMarket,
- //                                                                  returnValue);         
- //      }
- //      ExtendedDataTable.DeleteRows(returnValue, maxNumOfReturnedTickers);
- //      return returnValue;              
- //    }
  
      private static void getTickersQuotedNotAtEachMarketDay_addRow(DataRow rowToBeAdded,
                                                                    int numberOfTradingDays,
--- 205,263 ----
        newRow["NumberOfQuotes"] = numberOfTradingDays;
        tableToWhichRowIsToBeAdded.Rows.Add(newRow);
+     }    
+     
+     private static void getTickersQuotedInEachMarketDay_handleRow(
+     	DataRow row , History marketDays ,
+     	DateTime firstQuoteDate , DateTime lastQuoteDate ,
+     	DataTable tableToWhichRowIsToBeAdded )
+     {
+     	History marketDaysForTicker = Quotes.GetMarketDays( (string)row[0],
+     	                                           firstQuoteDate , lastQuoteDate);
+     	if( marketDaysForTicker.ContainsAllTheDatesIn( marketDays ) )
+     		//the current ticker has been effectively traded in each market day
+     		TickerDataTable.getTickersQuotedInEachMarketDay_addRow(
+     			row , marketDaysForTicker.Count , tableToWhichRowIsToBeAdded );
      }
      
!     public static DataTable GetTickersQuotedInEachMarketDay(
!     	History marketDays, DataTable setOfTickers,
!     	DateTime firstQuoteDate, DateTime lastQuoteDate,
!     	long maxNumOfReturnedTickers)
!     {
!     	TickerDataTable.addColumnNumberOfQuotes(setOfTickers);
!     	DataTable returnValue = setOfTickers.Clone();
!     	foreach(DataRow row in setOfTickers.Rows)
!     		getTickersQuotedInEachMarketDay_handleRow(
!     			row , marketDays ,
!     			firstQuoteDate , lastQuoteDate , returnValue );
!     	ExtendedDataTable.DeleteRows(returnValue, maxNumOfReturnedTickers);
!     	return returnValue;
!     }
!     #endregion GetTickersQuotedInEachMarketDay
!     
!     public static DataTable GetTickersQuotedInEachMarketDay(string marketIndex, DataTable setOfTickers,
                                                              DateTime firstQuoteDate,
                                                              DateTime lastQuoteDate,
                                                              long maxNumOfReturnedTickers)
      {
!     	History marketDaysForIndex = Quotes.GetMarketDays(marketIndex,
      	                                                  firstQuoteDate , lastQuoteDate);
!     	return GetTickersQuotedInEachMarketDay(
!     		marketDaysForIndex , setOfTickers ,
!     		firstQuoteDate , lastQuoteDate , maxNumOfReturnedTickers );
      }
!     public static DataTable GetTickersQuotedInEachMarketDay(string marketIndex, string groupID,
                                                              DateTime firstQuoteDate,
                                                              DateTime lastQuoteDate,
                                                              long maxNumOfReturnedTickers)
      {
!     	DataTable groupOfTicker =
!     		QuantProject.DataAccess.Tables.Tickers_tickerGroups.GetTickers(groupID);
!     	return GetTickersQuotedInEachMarketDay(
!     		marketIndex , groupOfTicker ,
!     		firstQuoteDate , lastQuoteDate , maxNumOfReturnedTickers );
      }
  
+     
      private static void getTickersQuotedNotAtEachMarketDay_addRow(DataRow rowToBeAdded,
                                                                    int numberOfTradingDays,
***************
*** 345,351 ****
      }
      
      public static DataTable GetTickersNotQuotedAtEachMarketDay(string marketIndex, DataTable setOfTickers,
!                                                             DateTime firstQuoteDate,
!                                                             DateTime lastQuoteDate,
                                                              long maxNumOfReturnedTickers)
      {
--- 292,306 ----
      }
      
+     private static int getNumberOfTradingDays(string marketIndex,
+                                               DateTime firstQuoteDate,
+                                               DateTime lastQuoteDate)
+     {
+     	QuantProject.Data.DataTables.Quotes marketQuotes =
+     		new QuantProject.Data.DataTables.Quotes(marketIndex, firstQuoteDate, lastQuoteDate);
+     	return marketQuotes.Rows.Count;
+     }
      public static DataTable GetTickersNotQuotedAtEachMarketDay(string marketIndex, DataTable setOfTickers,
!                                                                DateTime firstQuoteDate,
!                                                                DateTime lastQuoteDate,
                                                              long maxNumOfReturnedTickers)
      {

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByQuotationAtEachMarketDay.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv25124/b3_Data/Selectors

Modified Files:
	SelectorByQuotationAtEachMarketDay.cs 
Log Message:
- the new constructor
public SelectorByQuotationAtEachMarketDay( DataTable setOfTickersToBeSelected , bool orderInASCmode ,
History marketDays , long maxNumOfReturnedTickers )
has been added

- the method GetTableOfSelectedTickers() has been changed accordingly

MILLO, PLEASE CHECK if any bug may have been introduced by the changes.

Index: SelectorByQuotationAtEachMarketDay.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByQuotationAtEachMarketDay.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** SelectorByQuotationAtEachMarketDay.cs	27 Feb 2005 19:56:07 -0000	1.1
--- SelectorByQuotationAtEachMarketDay.cs	19 Jan 2008 19:27:38 -0000	1.2
***************
*** 25,28 ****
--- 25,30 ----
  using System.Data;
  using System.Windows.Forms;
+ 
+ using QuantProject.ADT.Histories;
  using QuantProject.DataAccess.Tables;
  using QuantProject.Data.DataTables;
***************
*** 35,39 ****
     public class SelectorByQuotationAtEachMarketDay : TickerSelector , ITickerSelector
    {
!     private string marketIndex;    
      
      public SelectorByQuotationAtEachMarketDay(DataTable setOfTickersToBeSelected, 
--- 37,42 ----
     public class SelectorByQuotationAtEachMarketDay : TickerSelector , ITickerSelector
    {
!     private string marketIndex;
!     private History marketDays;
      
      public SelectorByQuotationAtEachMarketDay(DataTable setOfTickersToBeSelected, 
***************
*** 60,87 ****
                                        lastQuoteDate,
                                        maxNumOfReturnedTickers)
!      {
!       this.marketIndex = marketIndex;
!      }
  
  
!     public DataTable GetTableOfSelectedTickers()
!     {
!       if(this.marketIndex == "")
!         throw new Exception("You first need to set TickerSelector's property <<MarketIndex>>!");
             
!       if(this.setOfTickersToBeSelected == null)
!         return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedInEachMarketDay(
!           this.marketIndex, this.groupID, this.firstQuoteDate, this.lastQuoteDate,
!           this.maxNumOfReturnedTickers);        
  
!       else
!         return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedInEachMarketDay(
!           this.marketIndex, this.setOfTickersToBeSelected, this.firstQuoteDate, this.lastQuoteDate,
!           this.maxNumOfReturnedTickers);
!     }
!     public void SelectAllTickers()
!     {
!       ;
!     }	
! 	}
  }
--- 63,123 ----
                                        lastQuoteDate,
                                        maxNumOfReturnedTickers)
!     {
!     	this.marketIndex = marketIndex;
!     }
!     
!     public SelectorByQuotationAtEachMarketDay(
!     	DataTable setOfTickersToBeSelected , bool orderInASCmode ,
!     	History marketDays , long maxNumOfReturnedTickers ):
!     	base(setOfTickersToBeSelected ,
!     	     orderInASCmode ,
!     	     marketDays.FirstDateTime ,
!     	     marketDays.LastDateTime ,
!     	     maxNumOfReturnedTickers )
!     {
!     	this.marketIndex = "";
!     	this.marketDays = marketDays;
!     }
  
+     
  
! 		 #region GetTableOfSelectedTickers
! 		 private DataTable getTableOfSelectedTickers_givenMarketDays()
! 		 {
! 			 DataTable dataTable =
! 				 QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedInEachMarketDay(
! 				 this.marketDays , this.setOfTickersToBeSelected , this.firstQuoteDate ,
! 				 this.lastQuoteDate , this.maxNumOfReturnedTickers );
! 			 return dataTable;
! 		 }
! 		 private DataTable getTableOfSelectedTickers_givenMarketIndex()
! 		 {
! 			 if(this.marketIndex == "")
! 				 throw new Exception("You first need to set TickerSelector's property <<MarketIndex>>!");
             
! 			 if(this.setOfTickersToBeSelected == null)
! 				 return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedInEachMarketDay(
! 					 this.marketIndex, this.groupID, this.firstQuoteDate, this.lastQuoteDate,
! 					 this.maxNumOfReturnedTickers);        
  
! 			 else
! 				 return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedInEachMarketDay(
! 					 this.marketIndex, this.setOfTickersToBeSelected, this.firstQuoteDate, this.lastQuoteDate,
! 					 this.maxNumOfReturnedTickers);
! 		 }
! 		 public DataTable GetTableOfSelectedTickers()
! 		 {
! 			 if ( this.marketDays != null )
! 				 // marketDays has been passed to the constructor
! 				 return this.getTableOfSelectedTickers_givenMarketDays();
! 			 else
! 				 // marketIndex has been passed to the constructor
! 				 return this.getTableOfSelectedTickers_givenMarketIndex();
! 		 }
! 		 #endregion GetTableOfSelectedTickers
! 		 public void SelectAllTickers()
! 		 {
! 			 ;
! 		 }	
! 	 }
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23501/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	RunWalkForwardLag.cs 
Log Message:
no message

Index: RunWalkForwardLag.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunWalkForwardLag.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** RunWalkForwardLag.cs	28 Oct 2007 18:48:48 -0000	1.11
--- RunWalkForwardLag.cs	19 Jan 2008 19:23:45 -0000	1.12
***************
*** 132,137 ****
  		public static void WriteToTextLog( string message )
  		{
! 			Console.WriteLine( message );
! 			Console.WriteLine( "" );
  			System.Diagnostics.Debug.Listeners[0].WriteLine( message );
  
--- 132,137 ----
  		public static void WriteToTextLog( string message )
  		{
! //			Console.WriteLine( message );
! //			Console.WriteLine( "" );
  			System.Diagnostics.Debug.Listeners[0].WriteLine( message );
  

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag RunSimpleLag.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23494/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	RunSimpleLag.cs 
Log Message:
Minor changes, to do some debugging

Index: RunSimpleLag.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunSimpleLag.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunSimpleLag.cs	8 Nov 2007 17:48:36 -0000	1.2
--- RunSimpleLag.cs	19 Jan 2008 19:23:42 -0000	1.3
***************
*** 71,75 ****
  		public void Run()
  		{
! 			// optimal driving positions
  //			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 , -0.16220520521007 , 0.11494421386237 };
  //			string[] drivingTickers = { "^OEX" , "BDH" , "HHH" , "IIH" };
--- 71,75 ----
  		public void Run()
  		{
! 			// 4 optimal driving positions
  //			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 , -0.16220520521007 , 0.11494421386237 };
  //			string[] drivingTickers = { "^OEX" , "BDH" , "HHH" , "IIH" };
***************
*** 80,99 ****
  //			Description	"^DJT;-0.272826060576681--^OEX;0.304736475342285--BDH;-0.0953627582891244--EWJ;0.32707470579191--"	string
  
! 			// two optimal driving positions
! 			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 };
! 			string[] drivingTickers = { "^OEX" , "BDH" };
  
! 			// three optimal driving positions
  //			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 , -0.16220520521007 };
  //			string[] drivingTickers = { "^OEX" , "BDH" , "HHH" };
  
! 			// two optimal driving with similar weights
  //			double[] drivingWeights = { 0.304736475342285 , -0.0953627582891244 };
  //			string[] drivingTickers = { "^OEX" , "BDH" };
  			
! 			// single optimal driving
  //			double[] drivingWeights = { 1 };
  //			string[] drivingTickers = { "IIH" };
! 			
  
  
--- 80,114 ----
  //			Description	"^DJT;-0.272826060576681--^OEX;0.304736475342285--BDH;-0.0953627582891244--EWJ;0.32707470579191--"	string
  
! 			// subset of 2 optimal driving positions
! //			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 };
! //			string[] drivingTickers = { "^OEX" , "BDH" };
  
! 			// subset of three optimal driving positions
  //			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 , -0.16220520521007 };
  //			string[] drivingTickers = { "^OEX" , "BDH" , "HHH" };
  
! 			// subseto of two optimal driving with similar weights
  //			double[] drivingWeights = { 0.304736475342285 , -0.0953627582891244 };
  //			string[] drivingTickers = { "^OEX" , "BDH" };
  			
! 			// subset of single optimal driving from the 4 optimal driving
  //			double[] drivingWeights = { 1 };
  //			string[] drivingTickers = { "IIH" };
! 
! 
! 
! 			// 2 optimal driving positions
! //			double[] drivingWeights = { 0.74152744108066 , -0.25847255891934 };
! //			string[] drivingTickers = { "^NYA" , "^PSE" };
! 
! 			// subset of single driving positions out of 2 optimal driving
! 						double[] drivingWeights = { 1 };
! 						string[] drivingTickers = { "^NYA" };
! //						double[] drivingWeights = { -1 };
! //						string[] drivingTickers = { "^PSE" };
! 
! 			// 2 optimal driving positions, but with weights slightly changed
! //			double[] drivingWeights = { 0.7 , -0.3 };
! //			string[] drivingTickers = { "^NYA" , "^PSE" };
  
  

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time ReturnIntervals.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23093/b4_Business/a2_Strategies/returnsManagement/time

Modified Files:
	ReturnIntervals.cs 
Log Message:
- The class is not abstract anymore

- the property LastEndOfDayDateTime has been improved (an exception has been added)

- A new constructor
public ReturnIntervals( IIntervalsSelector intervalSelector)
has been added. intervalSelector will be used to add new intervals progressively

- derived classes should become IIntervalSelector(s)

- the method
public void AppendIntervalsButDontGoBeyondLastDate( EndOfDayDateTime lastDate )
has been added

- the method
public void AppendIntervalsToGoJustBeyond( EndOfDayDateTime lastDate )
has been added

- the method public void AppendFirstInterval( EndOfDayDateTime firstDate )
has been added

Index: ReturnIntervals.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/ReturnIntervals.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** ReturnIntervals.cs	30 Oct 2007 19:06:48 -0000	1.4
--- ReturnIntervals.cs	19 Jan 2008 19:22:57 -0000	1.5
***************
*** 25,28 ****
--- 25,29 ----
  
  using QuantProject.ADT.Histories;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
  using QuantProject.Business.Timing;
  
***************
*** 33,37 ****
  	/// never begins before the (n)th interval ends
  	/// </summary>
! 	public abstract class ReturnIntervals : CollectionBase
  	{
  		protected EndOfDayDateTime firstEndOfDayDateTime;
--- 34,38 ----
  	/// never begins before the (n)th interval ends
  	/// </summary>
! 	public class ReturnIntervals : CollectionBase
  	{
  		protected EndOfDayDateTime firstEndOfDayDateTime;
***************
*** 41,46 ****
  		private EndOfDayHistory bordersHistory;
  		protected int intervalLength;
  
! 		public ReturnInterval this[ int index ]  
  		{
  			get  
--- 42,49 ----
  		private EndOfDayHistory bordersHistory;
  		protected int intervalLength;
+ 		
+ 		private IIntervalsSelector intervalsSelector;
  
! 		public ReturnInterval this[ int index ] 
  		{
  			get  
***************
*** 61,64 ****
--- 64,71 ----
  			get
  			{
+ 				if ( this.Count == 0 )
+ 					throw new Exception( "LastEndOfDayDateTime " +
+ 						"cannot be used when ReturnIntervals has " +
+ 						"no ReturnInterval added yet!" );
  				return this[ this.Count - 1 ].End;
  			}
***************
*** 134,137 ****
--- 141,156 ----
  		}
  		
+ 		/// <summary>
+ 		/// Use this constructor if you want to create an empty
+ 		/// collection of intervals. The object will then be populated
+ 		/// adding intervals by means of an IIntervalSelector
+ 		/// </summary>
+ 		/// <param name="intervalSelector">to be used for adding
+ 		/// intervals</param>
+ 		public ReturnIntervals( IIntervalsSelector intervalSelector)
+ 		{
+ 			this.intervalsSelector = intervalSelector;
+ 		}
+ 		
  		protected virtual void setMarketDaysForBenchmark()
  		{
***************
*** 141,145 ****
  		}
  		
! 		protected abstract void setIntervals();
  		
  		/// <summary>
--- 160,168 ----
  		}
  		
! 		protected virtual void setIntervals()
! 		{
! 			// TO DO remove this method and change
! 			// derived classes to become IIntervalSelector
! 		}
  		
  		/// <summary>
***************
*** 215,218 ****
--- 238,367 ----
  			this.List.Add( returnInterval );
  		}
+ 		
+ 		#region appendIntervalsButDontGoBeyondLastDate
+ 		private void appendIntervalsButDontGoBeyondLastDate_checkParameters(
+ 			EndOfDayDateTime firstDate , EndOfDayDateTime lastDate )
+ 		{
+ 			if ( firstDate.CompareTo( lastDate ) >= 0 )
+ 				throw new Exception( "lastDate must be greater than firstDate!" );
+ 			if ( this.Count > 0 )
+ 				// some interval has already been added
+ 			{
+ 				EndOfDayDateTime currentLastEndOfDayDateTime =
+ 					this[ this.Count - 1 ].End;
+ 				if ( firstDate.CompareTo( currentLastEndOfDayDateTime ) < 0 )
+ 					throw new Exception( "firstDate cannot be smaller than " +
+ 						"the end of the last interval already in this collection!" );
+ 			}
+ 		}
+ 		/// <summary>
+ 		/// Appends a list of intervals, starting from firstDate and
+ 		/// until the next one would go beyond lastDate.
+ 		/// This method can be invoked even if the ReturnIntervals object
+ 		/// is empty.
+ 		/// The firstDate has to be earlier than lastDate
+ 		/// </summary>
+ 		/// <param name="firstDate"></param>
+ 		/// <param name="lastDate"></param>
+ 		private void appendIntervalsButDontGoBeyondLastDate( EndOfDayDateTime firstDate ,
+ 			EndOfDayDateTime lastDate )
+ 		{
+ 			this.appendIntervalsButDontGoBeyondLastDate_checkParameters(
+ 				firstDate , lastDate );
+ 			ReturnInterval nextInterval =
+ 				this.intervalsSelector.GetFirstInterval( firstDate );
+ 			while ( nextInterval.End.CompareTo( lastDate ) <= 0 )
+ 			{
+ 				this.Add( nextInterval );
+ 				nextInterval =
+ 					this.intervalsSelector.GetNextInterval( this );
+ 			}
+ 		}
+ 		#endregion appendIntervalsButDontGoBeyondLastDate
+ 		
+ 		#region AppendIntervalsButDontGoBeyondLastDate
+ 		private void appendIntervalsButDontGoBeyondLastDate_checkParameters(
+ 			EndOfDayDateTime lastDate )
+ 		{
+ 			if ( this.Count == 0 )
+ 				throw new Exception(
+ 					"ReturnIntervals.AppendIntervalsButDontGoBeyondLastDate( " +
+ 					"EndOfDayDateTime lastDate ) " +
+ 					"has been invoked but the current ReturnIntervals " +
+ 					"object is empty!" );
+ 			if ( lastDate.IsLessThanOrEqualTo( this.LastEndOfDayDateTime ) )
+ 				throw new Exception(
+ 					"ReturnIntervals.AppendIntervalsButDontGoBeyondLastDate( " +
+ 					"EndOfDayDateTime lastDate ) " +
+ 					"has been invoked but lastDate must be larger than the " +
+ 					"end of the last ReturnInterval already in this collection" );
+ 		}
+ 		/// <summary>
+ 		/// Appends a list of intervals,
+ 		/// until the next one would go beyond lastDate.
+ 		/// This method can be invoked only if the ReturnIntervals object
+ 		/// is not empty.
+ 		/// The last added interval must end before lastDate
+ 		/// </summary>
+ 		/// <param name="lastDate"></param>
+ 		public void AppendIntervalsButDontGoBeyondLastDate(
+ 			EndOfDayDateTime lastDate )
+ 		{
+ 			this.appendIntervalsButDontGoBeyondLastDate_checkParameters(
+ 				lastDate );
+ 			EndOfDayDateTime firstDate = this.LastEndOfDayDateTime;
+ 			this.appendIntervalsButDontGoBeyondLastDate( firstDate , lastDate );
+ 		}
+ 		#endregion AppendIntervalsButDontGoBeyondLastDate
+ 		
+ 		#region AppendIntervalsToGoJustBeyond
+ 		private void appendIntervalsToGoJustBeyondLastDate_checkParameters(
+ 			EndOfDayDateTime lastDate )
+ 		{
+ 			if ( this.Count == 0 )
+ 				throw new Exception(
+ 					"ReturnIntervals.AppendIntervalsToGoJustBeyond( EndOfDayDateTime lastDate ) " +
+ 					"has been invoked but the current ReturnIntervals " +
+ 					"object is empty!" );
+ 			if ( lastDate.IsLessThan( this.LastEndOfDayDateTime ) )
+ 				throw new Exception(
+ 					"ReturnIntervals.AppendIntervalsToGoJustBeyond( EndOfDayDateTime lastDate ) " +
+ 					"has been invoked but lastDate must be larger than or equal to " +
+ 					"the end of the last ReturnInterval already in the collection" );
+ 		}
+ 
+ 		/// <summary>
+ 		/// Appends a list of intervals, and stops as soon
+ 		/// as the last added interval exceeds lastDate.
+ 		/// This method can be invoked only if the ReturnIntervals object
+ 		/// is not empty.
+ 		/// The last added interval cannot end after lastDate
+ 		/// </summary>
+ 		/// <param name="lastDate"></param>
+ 		public void AppendIntervalsToGoJustBeyond(
+ 			EndOfDayDateTime lastDate )
+ 		{
+ 			this.appendIntervalsToGoJustBeyondLastDate_checkParameters(
+ 				lastDate );
+ 			if ( this.LastEndOfDayDateTime.IsLessThan( lastDate ) )
+ 				// lastDate comes after the last interval already added				
+ 				this.AppendIntervalsButDontGoBeyondLastDate( lastDate );
+ 			ReturnInterval lastInterval =
+ 				this.intervalsSelector.GetNextInterval( this );
+ 			this.Add( lastInterval );
+ 		}
+ 		#endregion AppendIntervalsToGoJustBeyond
+ 		
+ 		/// <summary>
+ 		/// Appends the first interval (starting from firstDate)
+ 		/// </summary>
+ 		/// <param name="firstDate"></param>
+ 		public void AppendFirstInterval(
+ 			EndOfDayDateTime firstDate )
+ 		{
+ 			ReturnInterval firstInterval =
+ 				this.intervalsSelector.GetFirstInterval( firstDate );
+ 			this.Add( firstInterval );
+ 		}
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time ReturnInterval.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19882/b4_Business/a2_Strategies/returnsManagement/time

Modified Files:
	ReturnInterval.cs 
Log Message:
Now begin and end are duplicated. In the previous version, they may have moved after the interval was built. I believe that would have been bad.

MILLO, PLEASE TEST YOUR SCRIPTS with this new version.

Index: ReturnInterval.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/ReturnInterval.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ReturnInterval.cs	16 Sep 2007 21:40:02 -0000	1.1
--- ReturnInterval.cs	19 Jan 2008 19:10:37 -0000	1.2
***************
*** 56,61 ****
  		{
  			this.checkParameters( begin , end );
! 			this.begin = begin;
! 			this.end = end;
  		}
  		private void checkParameters( EndOfDayDateTime begin ,
--- 56,61 ----
  		{
  			this.checkParameters( begin , end );
! 			this.begin = begin.Copy();
! 			this.end = end.Copy();
  		}
  		private void checkParameters( EndOfDayDateTime begin ,

[Quantproject-developers] QuantProject/b91_QuantProject Main.cs, 1.17, 1.18

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18960/b91_QuantProject

Modified Files:
	Main.cs 
Log Message:
Changed to use the FixedLengthTwoPhases strategy

Index: Main.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/Main.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** Main.cs	24 Jun 2007 21:27:16 -0000	1.17
--- Main.cs	19 Jan 2008 19:08:06 -0000	1.18
***************
*** 32,35 ****
--- 32,37 ----
  
  using QuantProject.Scripts.SimpleTesting;
+ using QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases;
+ using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
  using QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank;
  using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag;
***************
*** 385,388 ****
--- 387,394 ----
          //new RunEfficientCTCPorfolio().Run();
  				//new RunEfficientPorfolio().Run();
+ 
+ //				QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases.FixedLengthTwoPhasesMain
+ //					myMain =
+ //				new QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases.FixedLengthTwoPhasesMain().Run;
          Application.Run(new Principale());
          //geneticOptimizerTest();
***************
*** 458,462 ****
  //      {//call here your scripts
  	//new RunWalkForwardOneRank().Run();
! 			new WFLagMain().ShowDialog();
          
  //			new RunOneRank().Run();
--- 464,469 ----
  //      {//call here your scripts
  	//new RunWalkForwardOneRank().Run();
! //			new WFLagMain().ShowDialog();
! 			new FixedLengthTwoPhasesMain().Run();
          
  //			new RunOneRank().Run();

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18476/b4_Business/a2_Strategies

Modified Files:
	IEndOfDayStrategy.cs 
Log Message:
The new delegate

public delegate void NewLogItemEventHandler( Object sender , NewLogItemEventArgs eventArgs );

has been added (for the NewLogItem event, to be used by strategies)

Index: IEndOfDayStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/IEndOfDayStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IEndOfDayStrategy.cs	2 Aug 2005 23:04:43 -0000	1.1
--- IEndOfDayStrategy.cs	19 Jan 2008 19:07:05 -0000	1.2
***************
*** 24,27 ****
--- 24,28 ----
  
  using QuantProject.Business.Financial.Accounting.Transactions;
+ using QuantProject.Business.Strategies.Logging;
  using QuantProject.Business.Timing;
  
***************
*** 29,32 ****
--- 30,36 ----
  namespace QuantProject.Business.Strategies
  {
+ 	public delegate void NewLogItemEventHandler(
+ 	Object sender , NewLogItemEventArgs eventArgs );
+ 
  	/// <summary>
  	/// Interface to be implemented by end of day strategies

[Quantproject-developers] QuantProject/b1_ADT/Histories History.cs, 1.12, 1.13

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Histories
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16813/b1_ADT/Histories

Modified Files:
	History.cs 
Log Message:
- The property FirstDateTime has been included
- The property LastDateTime has been included

Index: History.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Histories/History.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** History.cs	26 Sep 2007 21:58:18 -0000	1.12
--- History.cs	19 Jan 2008 19:03:05 -0000	1.13
***************
*** 44,51 ****
  			get { return this.Keys; }
  		}
  		public History() : base()
  		{
  		}
!     
  		public Object GetValue( DateTime dateTime )
  		{
--- 44,81 ----
  			get { return this.Keys; }
  		}
+ 		
+ 		/// <summary>
+ 		/// The first DateTime value in the TimeLine
+ 		/// </summary>
+ 		public DateTime FirstDateTime
+ 		{
+ 			get
+ 			{
+ 				if ( this.TimeLine.Count == 0 )
+ 					throw new Exception( "This History collection is empty, " +
+ 					                    "thus FirstDateTime is meaningless!" );
+ 				return (DateTime)(this.GetKey( 0 ));
+ 			}
+ 		}
+ 
+ 		/// <summary>
+ 		/// The last DateTime value in the TimeLine
+ 		/// </summary>
+ 		public DateTime LastDateTime
+ 		{
+ 			get
+ 			{
+ 				if ( this.TimeLine.Count == 0 )
+ 					throw new Exception( "This History collection is empty, " +
+ 					                    "thus LastDateTime is meaningless!" );
+ 				int lastIndex = this.TimeLine.Count - 1;
+ 				return (DateTime)( this.GetKey( lastIndex ) );
+ 			}
+ 		}
+ 
  		public History() : base()
  		{
  		}
! 		
  		public Object GetValue( DateTime dateTime )
  		{

[Quantproject-developers] QuantProject/b4_Business/a05_Timing HistoricalEndOfDayTimer.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16514/b4_Business/a05_Timing

Modified Files:
	HistoricalEndOfDayTimer.cs 
Log Message:
The method GetCurrentTime() has been improved (exception included now)

Index: HistoricalEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/HistoricalEndOfDayTimer.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** HistoricalEndOfDayTimer.cs	4 Feb 2005 00:10:24 -0000	1.7
--- HistoricalEndOfDayTimer.cs	19 Jan 2008 19:02:18 -0000	1.8
***************
*** 110,113 ****
--- 110,116 ----
  		public EndOfDayDateTime GetCurrentTime()
  		{
+ 			if ( this.currentTime == null )
+ 				throw new Exception( "Start() has not been invoked yet!" +
+ 					"GetCurrentTime() cannot be invoked before Start()" ); 
  			return this.currentTime;
  		}

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GeneticOptimizer.cs, 1.26, 1.27

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15239/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
It has been improved the code to debug exceptions given by

this.currentGeneration.Sort

Now a full cycle through the generation (computing each fitness) can easily be done (thus, step by step debug is now allowed)

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** GeneticOptimizer.cs	21 Aug 2007 21:52:23 -0000	1.26
--- GeneticOptimizer.cs	19 Jan 2008 18:59:19 -0000	1.27
***************
*** 297,303 ****
      private void sortCurrentGenerationAndFireNewGenerationEvent()
      {
!       // comment out the following line if you have an exception
        // in the Sort method and you want to break to the proper line
!       // double fitness = ((Genome) this.currentGeneration[ 0 ]).Fitness;
        this.currentGeneration.Sort(this.genomeComparer);
        if(this.NewGeneration != null)
--- 297,306 ----
      private void sortCurrentGenerationAndFireNewGenerationEvent()
      {
!       // comment out the following three lines if you have an exception
        // in the Sort method and you want to break to the proper line
! //      double fitness;
! //      for ( int i = 0 ; i < this.currentGeneration.Count ; i++ )
! //      	fitness = ((Genome) this.currentGeneration[ i ]).Fitness;
! 
        this.currentGeneration.Sort(this.genomeComparer);
        if(this.NewGeneration != null)

[Quantproject-developers] QuantProject/b1_ADT ExtendedDateTime.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13267/b1_ADT

Modified Files:
	ExtendedDateTime.cs 
Log Message:
The method

public static DateTime Min( DateTime dateTime1 , DateTime dateTime2 )

has been added

Index: ExtendedDateTime.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ExtendedDateTime.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** ExtendedDateTime.cs	22 Jul 2006 20:57:38 -0000	1.3
--- ExtendedDateTime.cs	19 Jan 2008 18:54:42 -0000	1.4
***************
*** 103,106 ****
--- 103,119 ----
        return this.DateTime.ToString() + " - " + this.BarComponent.ToString();
      }
+ 		/// <summary>
+ 		/// Returns the earliest date
+ 		/// </summary>
+ 		/// <param name="dateTime1"></param>
+ 		/// <param name="dateTime2"></param>
+ 		/// <returns></returns>
+ 		public static DateTime Min( DateTime dateTime1 , DateTime dateTime2 )
+ 		{
+ 			DateTime returnValue = dateTime1;
+ 			if ( dateTime2 < dateTime1 )
+ 				returnValue = dateTime2;
+ 			return returnValue;
+ 		}
  //		public static SortedList GetArray( SortedList sortedDateTimes )
  //		{

[Quantproject-developers] QuantProject/b4_Business/a05_Timing EndOfDayHistory.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12862/b4_Business/a05_Timing

Modified Files:
	EndOfDayHistory.cs 
Log Message:
- the property FirstEndOfDayDateTime has been added

- the property LastEndOfDayDateTime has been improved (exception included)

- the property History has been added

Index: EndOfDayHistory.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/EndOfDayHistory.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayHistory.cs	16 Sep 2007 21:30:42 -0000	1.1
--- EndOfDayHistory.cs	19 Jan 2008 18:53:51 -0000	1.2
***************
*** 25,28 ****
--- 25,29 ----
  using System.Data;
  using QuantProject.ADT;
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Statistics;
  
***************
*** 36,43 ****
  	public class EndOfDayHistory : AdvancedSortedList
  	{
- 		public EndOfDayDateTime LastEndOfDayDateTime
- 		{
- 			get { return (EndOfDayDateTime)this.GetKey( this.Count - 1 ); }
- 		}
  		/// <summary>
  		/// Returns the ICollection of EndOfDayDateTimes on which the
--- 37,40 ----
***************
*** 48,51 ****
--- 45,113 ----
  			get { return this.Keys; }
  		}
+ 		/// <summary>
+ 		/// The first EndOfDayDateTime value in the collection
+ 		/// </summary>
+ 		public EndOfDayDateTime FirstEndOfDayDateTime
+ 		{
+ 			get
+ 			{
+ 				if ( this.TimeLine.Count == 0 )
+ 					throw new Exception( "This EndOfDayHistory collection is empty, " +
+ 						"thus FirstEndOfDayDateTime is meaningless!" );
+ 				return (EndOfDayDateTime)(this.GetKey( 0 ));
+ 			}
+ 		}
+ 		/// <summary>
+ 		/// The last EndOfDayDateTime value in the collection
+ 		/// </summary>
+ 		public EndOfDayDateTime LastEndOfDayDateTime
+ 		{
+ 			get
+ 			{
+ 				if ( this.TimeLine.Count == 0 )
+ 					throw new Exception( "This EndOfDayHistory collection is empty, " +
+ 						"thus LastEndOfDayDateTime is meaningless!" );
+ 				int lastIndex = this.TimeLine.Count - 1;
+ 				return (EndOfDayDateTime)( this.GetKey( lastIndex ) );
+ 			}
+ 		}
+ 		
+ 		#region History
+ 		private void addDateTimes( History history )
+ 		{
+ 			DateTime currentDateTime = this.FirstEndOfDayDateTime.DateTime;
+ 			history.Add( currentDateTime , currentDateTime );
+ 			foreach ( EndOfDayDateTime endOfDayDateTime
+ 			         in this.Keys )
+ 				if ( endOfDayDateTime.DateTime > currentDateTime )
+ 			{
+ 				history.Add( endOfDayDateTime.DateTime ,
+ 				            endOfDayDateTime.DateTime );
+ 				currentDateTime = endOfDayDateTime.DateTime;
+ 			}
+ 		}
+ 		private History getHistory()
+ 		{
+ 			History history = new History();
+ 			if ( this.Count > 0 )
+ 				this.addDateTimes( history );
+ 			return history;
+ 		}
+ 		
+ 
+ 	/// <summary>
+ 		/// Returns the collection of DateTime(s) for these EndOfDayDateTimes
+ 		/// </summary>
+ 		public History History
+ 		{
+ 			get
+ 			{
+ 				return this.getHistory();
+ 			}
+ 				
+ 			
+ 		}
+ 		#endregion History
+ 
  		public EndOfDayHistory() : base()
  		{

[Quantproject-developers] QuantProject/b4_Business/a05_Timing EndOfDayDateTime.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12062/b4_Business/a05_Timing

Modified Files:
	EndOfDayDateTime.cs 
Log Message:
- the property Description has been added (useful for fast debugging in SharpDevelop)

- the method
public bool IsLessThan( EndOfDayDateTime dateTimeToCompareTo ) 
has been added

- the method
public bool IsLessThanOrEqualTo( EndOfDayDateTime dateTimeToCompareTo )
has been added

- the method public bool IsEqualTo( EndOfDayDateTime dateTimeToCompareTo ) has been added

- the method public EndOfDayDateTime GetNextMarketStatusSwitch() has been added

Index: EndOfDayDateTime.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/EndOfDayDateTime.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayDateTime.cs	30 Jan 2005 19:57:37 -0000	1.4
--- EndOfDayDateTime.cs	19 Jan 2008 18:51:53 -0000	1.5
***************
*** 46,49 ****
--- 46,59 ----
  			set { endOfDaySpecificTime = value; }
  		}
+ 		
+ 		public string Description
+ 		{
+ 			get
+ 			{
+ 				string description = this.dateTime.ToString() + " - " +
+ 					this.endOfDaySpecificTime.ToString();
+ 				return description;
+ 			}
+ 		}
  
  		public EndOfDayDateTime( DateTime dateTime , EndOfDaySpecificTime endOfDaySpecificTime )
***************
*** 94,97 ****
--- 104,140 ----
  		}
  		/// <summary>
+ 		/// True iif this object does not come before dateTimeToCompareTo
+ 		/// </summary>
+ 		/// <param name="dateTimeToCompareTo"></param>
+ 		/// <returns></returns>
+ 		public bool IsLessThan( EndOfDayDateTime dateTimeToCompareTo )
+ 		{
+ 			bool isLessThan =
+ 				( this.CompareTo( dateTimeToCompareTo ) < 0 );
+ 			return isLessThan;
+ 		}
+ 		/// <summary>
+ 		/// True iif this object does not come after dateTimeToCompareTo
+ 		/// </summary>
+ 		/// <param name="dateTimeToCompareTo"></param>
+ 		/// <returns></returns>
+ 		public bool IsLessThanOrEqualTo( EndOfDayDateTime dateTimeToCompareTo )
+ 		{
+ 			bool isLessThanOrEqual =
+ 				( this.CompareTo( dateTimeToCompareTo ) <= 0 );
+ 			return isLessThanOrEqual;
+ 		}
+ 		/// <summary>
+ 		/// True iif this object is equal to dateTimeToCompareTo
+ 		/// </summary>
+ 		/// <param name="dateTimeToCompareTo"></param>
+ 		/// <returns></returns>
+ 		public bool IsEqualTo( EndOfDayDateTime dateTimeToCompareTo )
+ 		{
+ 			bool isEqualTo =
+ 				( this.CompareTo( dateTimeToCompareTo ) == 0 );
+ 			return isEqualTo;
+ 		}
+ 		/// <summary>
  		/// Returns a deep copy of the current instance
  		/// </summary>
***************
*** 103,106 ****
--- 146,178 ----
  				this.endOfDaySpecificTime );
  		}
+ 		/// <summary>
+ 		/// Returns either the next market close or the next market open,
+ 		/// whichever is the nearest (all days are considered as market
+ 		/// days, week-ends included)
+ 		/// We have a market status switch when the market opens and when
+ 		/// the market closes
+ 		/// </summary>
+ 		/// <returns></returns>
+ 		public EndOfDayDateTime GetNextMarketStatusSwitch()
+ 		{
+ 			EndOfDayDateTime nextMarketStatusSwitch;
+ 			if ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketOpen )
+ 				nextMarketStatusSwitch = new EndOfDayDateTime(
+ 					this.DateTime , EndOfDaySpecificTime.MarketOpen );
+ 			else
+ 			{
+ 				// this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketOpen
+ 				if ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketClose )
+ 					// ( this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketOpen )
+ 					// AND ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketClose )
+ 					nextMarketStatusSwitch = new EndOfDayDateTime(
+ 						this.DateTime , EndOfDaySpecificTime.MarketClose );
+ 				else
+ 					// ( this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketClose )
+ 					nextMarketStatusSwitch = new EndOfDayDateTime(
+ 						this.DateTime.AddDays( 1 ) , EndOfDaySpecificTime.MarketOpen );
+ 			}
+ 			return nextMarketStatusSwitch;
+ 		}
  		#region MoveNext
  		private	EndOfDaySpecificTime getNextSpecificTime( )

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.11, 1.12

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9856

Modified Files:
	Scripts_SD.csproj 
Log Message:
WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesLogItem.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesMain.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesStrategy.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\FixedLengthTwoPhasesFitnessEvaluator.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic\FixedLengthTwoPhasesGeneticChooser.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic\FixedLengthTwoPhasesGenomeManager.cs has been added

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** Scripts_SD.csproj	14 Jan 2008 23:49:05 -0000	1.11
--- Scripts_SD.csproj	19 Jan 2008 18:46:27 -0000	1.12
***************
*** 66,69 ****
--- 66,75 ----
      <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" />
+     <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\FixedLengthTwoPhasesFitnessEvaluator.cs" />
+     <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic\FixedLengthTwoPhasesGeneticChooser.cs" />
+     <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic\FixedLengthTwoPhasesGenomeManager.cs" />
      <Compile Include="WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\RunSimpleLag.cs" />
***************
*** 232,236 ****
--- 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" />

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.81, 1.82

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9451

Modified Files:
	b7_Scripts.csproj 
Log Message:
WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesLogItem.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesMain.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesStrategy.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\FixedLengthTwoPhasesFitnessEvaluator.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic\FixedLengthTwoPhasesGeneticChooser.cs has been added
WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic\FixedLengthTwoPhasesGenomeManager.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.81
retrieving revision 1.82
diff -C2 -d -r1.81 -r1.82
*** b7_Scripts.csproj	14 Jan 2008 23:47:36 -0000	1.81
--- b7_Scripts.csproj	19 Jan 2008 18:45:50 -0000	1.82
***************
*** 212,215 ****
--- 212,216 ----
                      BuildAction = "Compile"
                  />
+                 <Folder RelPath = "BackTesting\" />
                  <File
                      RelPath = "CallingReportsForRunScripts\ShowReportFromFile.cs"
***************
*** 669,672 ****
--- 670,703 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesLogItem.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesMain.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\FixedLengthTwoPhases\FixedLengthTwoPhasesStrategy.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\FixedLengthTwoPhasesFitnessEvaluator.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic\FixedLengthTwoPhasesGeneticChooser.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\FixedLengthTwoPhases\InSampleChoosers\Genetic\FixedLengthTwoPhasesGenomeManager.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\CloseToOpenDailyStrategy.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic FixedLengthTwoPhasesGenomeManager.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8397/InSampleChoosers/Genetic

Added Files:
	FixedLengthTwoPhasesGenomeManager.cs 
Log Message:
Genome manager for the fixed length two phases strategy

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

FixedLengthTwoPhasesGenomeManager.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.ADT.Optimizing.Genetic;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases
{
	/// <summary>
	/// Genome manager for the fixed length two phases strategy
	/// </summary>
	public class FixedLengthTwoPhasesGenomeManager : IGenomeManager
	{
		int numberOfPortfolioPositions;
		EligibleTickers eligibleTickers;
		ReturnsManager returnsManager;
		IDecoderForWeightedPositions decoderForWeightedPositions;
		FixedLengthTwoPhasesFitnessEvaluator fitnessEvaluator;
		int seedForRandomGenerator;

		public FixedLengthTwoPhasesGenomeManager(
			int numberOfPortfolioPositions ,
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager ,
			IDecoderForWeightedPositions decoderForWeightedPositions ,
			FixedLengthTwoPhasesFitnessEvaluator fitnessEvaluator ,
			int seedForRandomGenerator )
		{
			this.numberOfPortfolioPositions = numberOfPortfolioPositions;
			this.eligibleTickers = eligibleTickers;
			this.returnsManager = returnsManager;
			this.decoderForWeightedPositions = decoderForWeightedPositions;
			this.fitnessEvaluator = fitnessEvaluator;
			this.seedForRandomGenerator = seedForRandomGenerator;
		}
		public int GenomeSize
		{
			get
			{
				return ( this.numberOfPortfolioPositions );
			}
		}
		public int GetMaxValueForGenes( int genePosition )
		{
			return this.eligibleTickers.Count - 1;
		}
		public int GetMinValueForGenes( int genePosition )
		{
			int minValueForGene =
				-this.eligibleTickers.Count;
			return minValueForGene;
		}
		public int GetNewGeneValue( Genome genome , int genePosition )
		{
			int minGeneValue = this.GetMinValueForGenes( genePosition );
			int maxGeneValue = this.GetMaxValueForGenes( genePosition );
			int returnValue =
				GenomeManagement.RandomGenerator.Next(
				minGeneValue , maxGeneValue + 1);
			return returnValue;
		}
		public object Decode( Genome genome )
		{
			return this.decoderForWeightedPositions.Decode(
				genome.Genes() , this.eligibleTickers , this.returnsManager );
		}
		public double GetFitnessValue( Genome genome )
		{
			object meaning = this.Decode( genome );
			double fitnessValue =
				this.fitnessEvaluator.GetFitnessValue( meaning , this.returnsManager );
			return fitnessValue;
		}
		public Genome[] GetChilds( Genome parent1 , Genome parent2 )
		{
			return
				GenomeManagement.AlternateFixedCrossover(parent1, parent2);
		}

		public void Mutate( Genome genome )
		{
			//			int newValueForGene = GenomeManagement.RandomGenerator.Next(
			//				genome.MinValueForGenes ,
			//				genome.MaxValueForGenes + 1 );
			int genePositionToBeMutated =
				GenomeManagement.RandomGenerator.Next( genome.Size ); 
			int newValueForGene =
				this.GetNewGeneValue( genome , genePositionToBeMutated );
			GenomeManagement.MutateOneGene( genome ,
				genePositionToBeMutated , newValueForGene );
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic FixedLengthTwoPhasesGeneticChooser.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6825/InSampleChoosers/Genetic

Added Files:
	FixedLengthTwoPhasesGeneticChooser.cs 
Log Message:
In sample analyzer for the walk forward fixed length two phases strategy

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

FixedLengthTwoPhasesGeneticChooser.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.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.EquityEvaluation;
using QuantProject.Business.Strategies.Optimizing.Decoding;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases
{
	/// <summary>
	/// In sample analyzer for the walk forward fixed length two phases strategy
	/// </summary>
	public class FixedLengthTwoPhasesGeneticChooser : IInSampleChooser
	{
		public event NewProgressEventHandler NewProgress;
		public event NewMessageHandler NewMessage;

		private int numberOfPortfolioPositions;
		private int inSampleDays;
		private Benchmark benchmark;
		private IDecoderForWeightedPositions decoderForWeightedPositions;
		private FixedLengthTwoPhasesFitnessEvaluator fixedLengthTwoPhasesFitnessEvaluator;
		private IHistoricalQuoteProvider historicalQuoteProvider;
		private double crossoverRate;
		private double mutationRate;
		private double elitismRate;
		private int populationSizeForGeneticOptimizer;
		private int generationNumberForGeneticOptimizer;
		private int seedForRandomGenerator;

		private GeneticOptimizer geneticOptimizer;


		public string Description
		{
			get
			{
				string description = "geneticOTCCTO";
				return description;
			}
		}
		public FixedLengthTwoPhasesGeneticChooser(
			int numberOfPortfolioPositions , int inSampleDays , Benchmark benchmark ,
			IDecoderForWeightedPositions decoderForWeightedPositions ,
			FixedLengthTwoPhasesFitnessEvaluator fixedLengthTwoPhasesFitnessEvaluator ,
			IHistoricalQuoteProvider historicalQuoteProvider ,
			double crossoverRate , double mutationRate , double elitismRate ,
			int populationSizeForGeneticOptimizer ,
			int generationNumberForGeneticOptimizer ,
			int seedForRandomGenerator )
		{
			this.numberOfPortfolioPositions = numberOfPortfolioPositions;
			this.inSampleDays =	inSampleDays;
			this.benchmark = benchmark;
			this.decoderForWeightedPositions = decoderForWeightedPositions;
			this.fixedLengthTwoPhasesFitnessEvaluator =
				fixedLengthTwoPhasesFitnessEvaluator;
			this.historicalQuoteProvider = historicalQuoteProvider;
			this.crossoverRate = crossoverRate;
			this.mutationRate = mutationRate;
			this.elitismRate = elitismRate;
			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
			this.generationNumberForGeneticOptimizer =
				generationNumberForGeneticOptimizer;
			this.seedForRandomGenerator = seedForRandomGenerator;
		}

		#region AnalyzeInSample
		private void analyzeInSample_checkParameters(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			if ( eligibleTickers.Count <	this.numberOfPortfolioPositions )
				throw new Exception( "Eligilbe tickers for driving positions contains " +
					"only " + eligibleTickers.Count +
					" elements, while NumberOfDrivingPositions is " +
					this.numberOfPortfolioPositions );
		}
		#region newGenerationEventHandler
		private void sendNewProgress( NewGenerationEventArgs e )
		{
			if ( this.NewProgress != null )
				this.NewProgress( this ,
					new NewProgressEventArgs( e.GenerationCounter , e.GenerationNumber ) );
		}
		#region sendNewMessage
		private string getProgressMessage(
			int generationCounter , int generationNumber )
		{
			string progressMessage =
				generationCounter.ToString() + " / " +
				generationNumber.ToString() +
				" - " +
				DateTime.Now.ToString();
			return progressMessage;
		}
		private void sendNewMessage( NewGenerationEventArgs e )
		{
			string message = this.getProgressMessage(
				e.GenerationCounter , e.GenerationNumber );
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if( this.NewMessage != null )
				this.NewMessage( this , newMessageEventArgs );
		}
		#endregion sendNewMessage
		private void newGenerationEventHandler(
			object sender , NewGenerationEventArgs e )
		{
//			// comment out this line if no debug is done
//			WFLagGenerationDebugger wFLagGenerationDebugger =
//				new WFLagGenerationDebugger(
//				e.Generation ,
//				this.timeWhenChosePositionsIsRequested.DateTime ,
			//				this.NumberDaysForInSampleOptimization ,
			//				this.benchmark );
			//			wFLagGenerationDebugger.Debug();
			this.sendNewProgress( e );
			this.sendNewMessage( e );
		}
		#endregion newGenerationEventHandler
		private void checkIfBestGenomeIsDecodable(
			IGenomeManager genomeManager , Genome genome )
		{
			object genomeMeaning = genomeManager.Decode( genome );
			if ( !(genomeMeaning is WeightedPositions) )
				throw new Exception( "The genome is not a WeightedPositions. " +
					"It should happen only if the genome is undecodable. This " +
					"should never happen for the best genome." );
		}

		private WeightedPositions getBestWeightedPositionsInSample(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager
			)
		{
			FixedLengthTwoPhasesGenomeManager	genomeManager = 
				new FixedLengthTwoPhasesGenomeManager(
				this.numberOfPortfolioPositions ,
				eligibleTickers ,
				returnsManager ,
				this.decoderForWeightedPositions ,
				this.fixedLengthTwoPhasesFitnessEvaluator ,
				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator );

			this.geneticOptimizer = new GeneticOptimizer(
				this.crossoverRate ,
				this.mutationRate ,
				this.elitismRate ,
				this.populationSizeForGeneticOptimizer ,
				this.generationNumberForGeneticOptimizer ,
				genomeManager ,
				this.seedForRandomGenerator );

			this.geneticOptimizer.NewGeneration +=
				new NewGenerationEventHandler( this.newGenerationEventHandler );

			this.geneticOptimizer.Run( false );

//			this.generation = geneticOptimizer.BestGenome.Generation;

			this.checkIfBestGenomeIsDecodable(
				genomeManager , this.geneticOptimizer.BestGenome );

			WeightedPositions bestWeightedPositionsInSample =
				(WeightedPositions)genomeManager.Decode( this.geneticOptimizer.BestGenome );
			
			return bestWeightedPositionsInSample;
		}

		/// <summary>
		/// Returns the best WeightedPositions with respect to the in sample data
		/// </summary>
		/// <param name="eligibleTickers"></param>
		/// <param name="currentOutOfSampleEndOfDayDateTime"></param>
		/// <returns></returns>
		public object AnalyzeInSample(
			EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager )
		{
			this.analyzeInSample_checkParameters( eligibleTickers ,
				returnsManager );
			WeightedPositions bestWeightedPositionsInSample =
				this.getBestWeightedPositionsInSample( eligibleTickers ,
				returnsManager );
			return bestWeightedPositionsInSample;
		}
		#endregion AnalyzeInSample
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers FixedLengthTwoPhasesFitnessEvaluator.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5222/InSampleChoosers

Added Files:
	FixedLengthTwoPhasesFitnessEvaluator.cs 
Log Message:
FixedLengthTwoPhases strategy with in sample optimizations

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

FixedLengthTwoPhasesFitnessEvaluator.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.EquityEvaluation;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases
{
	/// <summary>
	/// Evaluates (in sample) the fitness for a given WeightedPositions
	/// </summary>
	public class FixedLengthTwoPhasesFitnessEvaluator
	{
		private IEquityEvaluator equityEvaluator;

		public FixedLengthTwoPhasesFitnessEvaluator(
			IEquityEvaluator equityEvaluator )
		{
			this.equityEvaluator = equityEvaluator;
		}
		#region GetFitnessValue
		/// <summary>
		/// This private method is written in compact mode, in order
		/// to gain efficiency (it would have been more readable if
		/// we used a nested method call in it, but it would have
		/// been much slower)
		/// </summary>
		/// <param name="weightedPositionsReturns"></param>
		/// <returns></returns>
		private float[] getFitnessValue_getStrategyReturns(
			float[] weightedPositionsReturns )
		{
			float[] strategyReturns = new float[ weightedPositionsReturns.Length ];
			for ( int i = 0 ; i < weightedPositionsReturns.Length ; i++ )
			{
				// this for content would be more readable if a method call was used,
				// but it would have dramatically slowed down the script
				if ( i % 2 == 0 )
					// the i-th return refers to the first phase, thus it is
					// a long phase
					strategyReturns[ i ] = weightedPositionsReturns[ i ];
				else
					// the i-th return refers to the first phase, thus it is
					// a long phase
					strategyReturns[ i ] = -weightedPositionsReturns[ i ];
			}
			return strategyReturns;
		}
		private double getFitnessValue(
			WeightedPositions weightedPositions , ReturnsManager returnsManager )
		{
			float[] weightedPositionsReturns =
				weightedPositions.GetReturns( returnsManager );
			float[] strategyReturns =
				this.getFitnessValue_getStrategyReturns(	weightedPositionsReturns );
			float fitnessValue =
				this.equityEvaluator.GetReturnsEvaluation( strategyReturns );
			return fitnessValue;
		}
		public double GetFitnessValue( object meaning , ReturnsManager returnsManager )
		{
			double fitnessValue;
			if ( meaning is WeightedPositions )
			{
				// for the current optimization's candidate,
				// all positions's tickers are distinct
				WeightedPositions weightedPositions =
					(WeightedPositions)meaning;
				fitnessValue = this.getFitnessValue( weightedPositions , returnsManager );
			}
			else
			{
				// the current optimization's candidate contains
				// two genes that decode to the same tickers
				fitnessValue = -0.4;
			}
			return fitnessValue;
		}
		#endregion
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4805

Added Files:
	FixedLengthTwoPhasesStrategy.cs 
Log Message:
FixedLengthTwoPhases strategy with in sample optimizations

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

FixedLengthTwoPhasesStrategy.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 System.Data;

using QuantProject.ADT.Messaging;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.Logging;
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;

namespace QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases
{
	/// <summary>
	/// FixedLengthTwoPhases strategy with in sample optimizations
	/// </summary>
	public class FixedLengthTwoPhasesStrategy : IEndOfDayStrategyForBacktester
	{
		public event NewLogItemEventHandler NewLogItem;
		public event NewMessageHandler NewMessage;

		private int numberOfPortfolioPositions;
		private int numDaysBeetweenEachOtpimization;
		private int numDaysForInSampleOptimization;
		private Benchmark benchmark;
		private IIntervalsSelector intervalsSelector;
		private IEligiblesSelector eligiblesSelector;
		private IInSampleChooser inSampleChooser;

		private DateTime lastOptimizationDateTime;
		private ReturnIntervals returnIntervals;
		private IHistoricalQuoteProvider historicalQuoteProvider;

		private Account account;
//		private bool arePositionsToBeClosed;
//		private bool arePositionsToBeOpened;
		private WeightedPositions bestWeightedPositionsInSample;

		public Account Account
		{
			set { this.account = value; }
		}


		public bool StopBacktestIfMaxRunningHoursHasBeenReached
		{
			get
			{
				return this.isInsampleOptimizationNeeded();
			}
		}
		public string DescriptionForLogFileName
		{
			get
			{
				string descriptionForLogFileName =
					"WFOTC_" +
					"oS_" + this.numDaysBeetweenEachOtpimization + "_" +
					this.inSampleChooser.Description;
				return descriptionForLogFileName;
			}
		}

		public FixedLengthTwoPhasesStrategy(
			int numberOfPortfolioPositions ,
			int numDaysBeetweenEachOtpimization ,
			int numDaysForInSampleOptimization ,
			Benchmark benchmark ,
			IIntervalsSelector intervalsSelector ,
			IEligiblesSelector eligiblesSelector ,
			IInSampleChooser inSampleChooser ,
			IHistoricalQuoteProvider historicalQuoteProvider
			 )
		{
			this.numberOfPortfolioPositions = numberOfPortfolioPositions;
			this.numDaysBeetweenEachOtpimization = numDaysBeetweenEachOtpimization;
			this.numDaysForInSampleOptimization = numDaysForInSampleOptimization;
			this.benchmark = benchmark;
			this.intervalsSelector = intervalsSelector;
			this.eligiblesSelector = eligiblesSelector;
			this.inSampleChooser = inSampleChooser;
			this.historicalQuoteProvider = historicalQuoteProvider;
			
			this.returnIntervals =
				new ReturnIntervals( this.intervalsSelector );

//			this.arePositionsToBeClosed = false;
//			this.arePositionsToBeOpened = false;
		}
		#region MarketOpenEventHandler
		private bool marketOpenEventHandler_arePositionsToBeClosed()
		{
			bool arePositionsToBeClosed = (
				( this.account.Portfolio.Count > 0 ) &&
				( this.now().IsEqualTo(
					this.lastIntervalAppended().Begin ) ) );
			return arePositionsToBeClosed;
		}
		#region marketOpenEventHandler_arePositionsToBeOpened
		private bool lastAppendedIntervalIsALongPeriod()
		{
			bool isALongPeriod =
				( ( this.returnIntervals.Count % 2 ) == 1 );
			return isALongPeriod;
		}
		private bool currentTimeBeginsALongPeriod()
		{
			bool beginsTheLastInterval =
				( this.now().IsEqualTo(
					this.lastIntervalAppended().Begin ) );
			bool lastIntervalIsALongPeriod =
				this.lastAppendedIntervalIsALongPeriod();
			return ( beginsTheLastInterval && lastIntervalIsALongPeriod );
		}
		private bool marketOpenEventHandler_arePositionsToBeOpened()
		{
			bool arePositionsToBeOpened = (
				( this.bestWeightedPositionsInSample != null ) &&
				( this.currentTimeBeginsALongPeriod() ) );
			return arePositionsToBeOpened;
		}
		#endregion marketOpenEventHandler_arePositionsToBeOpened
		public void MarketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			this.updateReturnIntervals();
			if ( this.marketOpenEventHandler_arePositionsToBeClosed() )
				AccountManager.ClosePositions( this.account );
			if ( this.marketOpenEventHandler_arePositionsToBeOpened() )
				AccountManager.OpenPositions( this.bestWeightedPositionsInSample ,
					this.account );
		}
		#endregion MarketOpenEventHandler
		public void FiveMinutesBeforeMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
		}
		#region MarketCloseEventHandler
		private bool marketCloseEventHandler_arePositionsToBeClosed()
		{
			return marketOpenEventHandler_arePositionsToBeClosed();
		}
		private bool marketCloseEventHandler_arePositionsToBeOpened()
		{
			// this strategy goes long only
			return false;
		}
		public void MarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			this.updateReturnIntervals();
			if ( this.marketCloseEventHandler_arePositionsToBeClosed() )
				AccountManager.ClosePositions( this.account );
			if ( this.marketCloseEventHandler_arePositionsToBeOpened() )
			{
				this.bestWeightedPositionsInSample.Reverse();
				AccountManager.OpenPositions(
					this.bestWeightedPositionsInSample ,
					this.account );
				this.bestWeightedPositionsInSample.Reverse();
			}
		}
		#endregion MarketCloseEventHandler
		#region OneHourAfterMarketCloseEventHandler
		private bool optimalWeightedPositionsAreToBeUpdated()
		{
			TimeSpan timeSpanSinceLastOptimization =
				this.now().DateTime - this.lastOptimizationDateTime;
			bool areToBeUpdated =	( timeSpanSinceLastOptimization.Days >=
				this.numDaysBeetweenEachOtpimization );
			return areToBeUpdated;
		}
		#region getInSampleReturnIntervals
		private EndOfDayDateTime getInSampleReturnIntervals_getFirstDate()
		{
			DateTime firstDateTime = this.now().DateTime.AddDays(
				-this.numDaysForInSampleOptimization );
			EndOfDayDateTime firstDate = new EndOfDayDateTime(
				firstDateTime , EndOfDaySpecificTime.MarketOpen );
			return firstDate;
		}
		private ReturnIntervals getInSampleReturnIntervals()
		{
			EndOfDayDateTime firstDate =
				this.getInSampleReturnIntervals_getFirstDate();
			EndOfDayDateTime lastDate =
				new EndOfDayDateTime( this.now().DateTime ,
				EndOfDaySpecificTime.MarketClose );
			ReturnIntervals inSampleReturnIntervals =
				new ReturnIntervals( this.intervalsSelector );
			inSampleReturnIntervals.AppendFirstInterval( firstDate );
			if ( inSampleReturnIntervals.LastEndOfDayDateTime.IsLessThan(
				lastDate ) )
				inSampleReturnIntervals.AppendIntervalsButDontGoBeyondLastDate(
					lastDate );
			return inSampleReturnIntervals;
		}
		#endregion getInSampleReturnIntervals
		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 );
		}
		#region logOptimizationInfo
		private void outputMessage( string message )
		{
			MessageManager.DisplayMessage( message ,
				"FixedLengthUpDown.Txt" );
		}
		private FixedLengthTwoPhasesLogItem getLogItem( EligibleTickers eligibleTickers )
		{
			FixedLengthTwoPhasesLogItem logItem =
				new FixedLengthTwoPhasesLogItem( this.now() );
			logItem.BestWeightedPositionsInSample =
				this.bestWeightedPositionsInSample;
			logItem.NumberOfEligibleTickers =
				eligibleTickers.Count;
			return logItem;
		}
		private void raiseNewLogItem( EligibleTickers eligibleTickers )
		{
			FixedLengthTwoPhasesLogItem logItem =
				this.getLogItem( eligibleTickers );
			NewLogItemEventArgs newLogItemEventArgs =
				new NewLogItemEventArgs( logItem );
			this.NewLogItem( this , newLogItemEventArgs );
		}
		private void logOptimizationInfo( EligibleTickers eligibleTickers )
		{
			this.raiseNewLogItem( eligibleTickers );
		}
		#endregion logOptimizationInfo
		private void updateOptimalWeightedPositions_actually()
		{
			ReturnIntervals inSampleReturnIntervals =
				this.getInSampleReturnIntervals();
			EligibleTickers eligibleTickers =
				this.eligiblesSelector.GetEligibleTickers(
				inSampleReturnIntervals.BordersHistory );
			ReturnsManager returnsManager = new ReturnsManager(
				inSampleReturnIntervals , this.historicalQuoteProvider );
			this.bestWeightedPositionsInSample =
				(WeightedPositions)this.inSampleChooser.AnalyzeInSample(
					eligibleTickers , returnsManager );

			this.notifyMessage( eligibleTickers );
			this.logOptimizationInfo( eligibleTickers );
		}
		private void updateOptimalWeightedPositions()
		{
			this.updateOptimalWeightedPositions_actually();
			this.lastOptimizationDateTime = this.now().DateTime;
			FixedLengthTwoPhasesLogItem logItem =
				new FixedLengthTwoPhasesLogItem( this.now() );
			logItem.BestWeightedPositionsInSample = this.bestWeightedPositionsInSample;
//				this.wFLagWeightedPositionsChooser.WFLagChosenPositions ,
//				this.wFLagWeightedPositionsChooser.GenerationWhenChosenPositionsWereFound ,
//				this.now().DateTime );
//			this.NewChosenPositions(
//				this , new WFLagNewChosenPositionsEventArgs(
//				wFLagLogItem ) );
		}
		public void OneHourAfterMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( this.optimalWeightedPositionsAreToBeUpdated() )
				this.updateOptimalWeightedPositions();
		}
		#endregion OneHourAfterMarketCloseEventHandler
		public bool isInsampleOptimizationNeeded()
		{
			DateTime dateTimeForNextOptimization =
				this.lastOptimizationDateTime.AddDays(
				this.numDaysBeetweenEachOtpimization );
			bool returnValue =
				( ( ( this.account.Portfolio.Count == 0 )
				&& ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
				( this.now().DateTime >= dateTimeForNextOptimization ) );
			return returnValue;
		}
		private void updateReturnIntervals()
		{
			EndOfDayDateTime currentEndOfDayDateTime =
				this.account.EndOfDayTimer.GetCurrentTime();
			if ( this.returnIntervals.Count == 0 )
				// no interval has been added yet
				this.returnIntervals.AppendFirstInterval(
					currentEndOfDayDateTime );
			else
				// at least one interval has already been added
				if ( this.returnIntervals.LastEndOfDayDateTime.IsLessThanOrEqualTo(
					currentEndOfDayDateTime ) )
					this.returnIntervals.AppendIntervalsToGoJustBeyond(
						currentEndOfDayDateTime );
		}
		private EndOfDayDateTime now()
		{
			return this.account.EndOfDayTimer.GetCurrentTime();
		}
		private ReturnInterval lastIntervalAppended()
		{
			ReturnInterval lastInterval =
				this.returnIntervals[ this.returnIntervals.Count - 1 ];
			return lastInterval;
		}
	}
}