quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower GenomeManagerITF.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21302/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower

Modified Files:
	GenomeManagerITF.cs 
Log Message:
GenomeManagers have been updated (WeightedPositions have been used instead
of CandidateProperties)

Index: GenomeManagerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/GenomeManagerITF.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerITF.cs	17 Sep 2006 21:48:39 -0000	1.2
--- GenomeManagerITF.cs	14 Jan 2008 23:38:36 -0000	1.3
***************
*** 28,31 ****
--- 28,36 ----
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
+ using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Timing;
+ using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
***************
*** 41,44 ****
--- 46,50 ----
    {
      private int numDaysForReturnCalculation;
+     private ReturnsManager returnsManager;
      
      public GenomeManagerITF(DataTable setOfInitialTickers,
***************
*** 47,51 ****
                              int numberOfTickersInPortfolio,
                              int numDaysForReturnCalculation,
!                             PortfolioType portfolioType)
                              :
              base(setOfInitialTickers,
--- 53,58 ----
                              int numberOfTickersInPortfolio,
                              int numDaysForReturnCalculation,
!                             PortfolioType portfolioType,
!                            	string benchmark)
                              :
              base(setOfInitialTickers,
***************
*** 54,126 ****
              numberOfTickersInPortfolio,
              0.0,
!             portfolioType)
                                  
                            
      {
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.retrieveData();
      }
      
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       float[] returnValue = null;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       returnValue = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,
!     	                                                          Quotes.AdjustedCloseToCloseRatio);
!       for(int i = 0; i<returnValue.Length; i++)
!         returnValue[i] = returnValue[i] - 1.0f;
!       
!       this.numberOfExaminedReturns = returnValue.Length;
!       
!       return returnValue;
!     }
! 
! 
! 		//fitness is a sharpe-ratio based indicator for the equity line resulting
! 		//from applying the strategy
! 	  public override double GetFitnessValue(Genome genome)
      {
!       this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
!       
!       double[] equityLine = this.getFitnessValue_getEquityLineRates();
!       //return AdvancedFunctions.GetExpectancyScore(equityLine);
!       return AdvancedFunctions.GetSharpeRatio(equityLine);
      }
      
!     private double[] getFitnessValue_getEquityLineRates()
!     {
!       double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
!       double K;//initial capital invested at the beginning of the period
!       for(int i = this.numDaysForReturnCalculation - 1;
!         i<this.PortfolioRatesOfReturn.Length - this.numDaysForReturnCalculation;
!         i += this.numDaysForReturnCalculation)
        {
!         K = 1.0;
!         for(int j=this.numDaysForReturnCalculation - 1;
!           j > -1; j--)
!         {
!           K = K + K * this.PortfolioRatesOfReturn[i-j];
!         }
!        
!         for(int t=1;t<this.numDaysForReturnCalculation + 1;t++)
!         {  
!           if(K < 1.0 && this.PortfolioType == PortfolioType.ShortAndLong)
!             // if gain of first half period is negative and
!             //positions can be reversed
!             returnValue[i+t] = - this.PortfolioRatesOfReturn[i+t];
!           else if(K > 1.0)
!             //if gain of first half period is positive
!             returnValue[i+t] = this.PortfolioRatesOfReturn[i+t];
!           else if(K < 1.0 && this.PortfolioType != PortfolioType.ShortAndLong)
!             //if gain of first half period is negative and
!             //original positions can't be reversed
!             returnValue[i+t] = 0.0;//out of the market
!         }  
!            
        }
        return returnValue;
!     }
! 	
    }
- 
  }
--- 61,118 ----
              numberOfTickersInPortfolio,
              0.0,
!             portfolioType,
!            	benchmark)
                                  
                            
      {
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.setReturnsManager();
      }
      
!      private void setReturnsManager()
      {
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager =
! 				 new ReturnsManager( new CloseToCloseIntervals(
! 																 firstEndOfDayDateTime, 
! 																 lastEndOfDayDateTime, 
! 																 this.benchmark,
! 																 this.numDaysForReturnCalculation) ,
! 														 new HistoricalAdjustedQuoteProvider() );
      }
      
!     private float[] getStrategyReturns_getReturnsActually(
!     									float[] plainReturns)
! 		{
! 			float[] returnValue = new float[plainReturns.Length];
! 			returnValue[0] = 0; //a the very first day the
! 			//first strategy return is equal to 0 because no position
! 			//has been entered
! 			float coefficient = 0;
!     	for(int i = 0; i < returnValue.Length - 1; i++)
        {
!     		if( plainReturns[i] > 0 )
!     			coefficient = 1;//the strategy follows ...
!     		else if( plainReturns[i] <= 0 )
!  				 	coefficient = - 1;
!     		
!     		returnValue[i + 1] = coefficient * plainReturns[i + 1];
        }
        return returnValue;
! 		}
!     
!     protected override float[] getStrategyReturns()
! 		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
!               							 this.returnsManager);
! 			return this.getStrategyReturns_getReturnsActually(plainReturns);
! 		}
    }
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21302/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend

Modified Files:
	GenomeManagerECT.cs 
Log Message:
GenomeManagers have been updated (WeightedPositions have been used instead
of CandidateProperties)

Index: GenomeManagerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/GenomeManagerECT.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManagerECT.cs	17 Sep 2006 21:48:39 -0000	1.4
--- GenomeManagerECT.cs	14 Jan 2008 23:38:36 -0000	1.5
***************
*** 24,31 ****
--- 24,37 ----
  using System.Data;
  using System.Collections;
+ 
  using QuantProject.ADT.Statistics;
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
+ using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Timing;
+ using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
***************
*** 41,158 ****
    {
      private int numDaysForReturnCalculation;
      
      public GenomeManagerECT(DataTable setOfInitialTickers,
!                                                  DateTime firstQuoteDate,
!                                                  DateTime lastQuoteDate,
!                                                  int numberOfTickersInPortfolio,
!                                                  int numDaysForReturnCalculation,
!                                                  PortfolioType portfolioType)
!                                                  :
!                                                 base(setOfInitialTickers,
!                                                 firstQuoteDate,
!                                                 lastQuoteDate,
!                                                 numberOfTickersInPortfolio,
!                                                 0.0,
!                                                 portfolioType)
                                  
                            
      {
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.retrieveData();
      }
      
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       float[] returnValue = null;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       returnValue = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,
!     	                                                          Quotes.AdjustedCloseToCloseRatio);
!       
!       
!       for(int i = 0; i<returnValue.Length; i++)
!         returnValue[i] = returnValue[i] - 1.0f;
!       
!       this.numberOfExaminedReturns = returnValue.Length;
!       
!       return returnValue;
!     }
! 
! //delete remarks if this object inherits from
! //simple genomeManagerForEfficientPortfolio (no coefficients)
! 
! //    public override object Decode(Genome genome)
! //    {
! //    	
! //    	string[] arrayOfTickers = new string[genome.Genes().Length];
! //      int indexOfTicker;
! //      for(int index = 0; index < genome.Genes().Length; index++)
! //      {
! //        indexOfTicker = (int)genome.Genes().GetValue(index);
! //        arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
! //      }
! //      GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers);
! //      return meaning;
! //    }
!   
! 
! 		//fitness is a sharpe-ratio based indicator for the equity line resulting
! 		//from applying the strategy
! 	  public override double GetFitnessValue(Genome genome)
      {
!       this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
!       
!       double[] equityLine = this.getFitnessValue_getEquityLineRates();
! //      double sharpeRatioAll = BasicFunctions.SimpleAverage(equityLine)/
! //                              BasicFunctions.StdDev(equityLine);
! //      double modifiedSharpeRatioAll = BasicFunctions.SimpleAverage(equityLine)/
! //                                      Math.Pow(BasicFunctions.StdDev(equityLine),0.9);
! 
! //      double[] equityLineSecondHalf = new double[equityLine.Length/2];
! //      for(int i = 0; i<equityLine.Length/2; i++)
! //        equityLineSecondHalf[i] = equityLine[i+equityLine.Length/2];
! //      double sharpeRatioSecondHalf = BasicFunctions.SimpleAverage(equityLineSecondHalf)/
! //                              Math.Pow(BasicFunctions.StdDev(equityLineSecondHalf),1.2);
! //      return sharpeRatioAll;//*sharpeRatioSecondHalf; 
! //      return modifiedSharpeRatioAll;
!       //return AdvancedFunctions.GetExpectancyScore(equityLine);
!       return AdvancedFunctions.GetSharpeRatio(equityLine);
! 
      }
      
!     private double[] getFitnessValue_getEquityLineRates()
!     {
!     	double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
!       double K;//initial capital invested at the beginning of the period
!       for(int i = this.numDaysForReturnCalculation - 1;
!           i<this.PortfolioRatesOfReturn.Length - this.numDaysForReturnCalculation;
!           i += this.numDaysForReturnCalculation)
        {
!         K = 1.0;
!         for(int j=this.numDaysForReturnCalculation - 1;
!             j > -1; j--)
!         {
!           K = K + K * this.PortfolioRatesOfReturn[i-j];
!         }
!        
!         for(int t=1;t<this.numDaysForReturnCalculation + 1;t++)
!         {  
!           if(K < 1.0)
!             // if gain of first half period is negative 
!              returnValue[i+t] = this.PortfolioRatesOfReturn[i+t];
!           else if(K > 1.0 && this.PortfolioType == PortfolioType.ShortAndLong)
!             //if gain of first half period is positive and
!             //original positions can be reversed
!              returnValue[i+t] = - this.PortfolioRatesOfReturn[i+t];
!           else if(K > 1.0 && this.PortfolioType != PortfolioType.ShortAndLong)
!             //if gain of first half period is positive and
!             //original positions can't be reversed
!              returnValue[i+t] = 0.0;//out of the market
!         }  
!            
        }
        return returnValue;
!     }
! 	
    }
- 
  }
--- 47,121 ----
    {
      private int numDaysForReturnCalculation;
+     private ReturnsManager returnsManager;
      
      public GenomeManagerECT(DataTable setOfInitialTickers,
! 	                           DateTime firstQuoteDate,
! 	                           DateTime lastQuoteDate,
! 	                           int numberOfTickersInPortfolio,
! 	                           int numDaysForReturnCalculation,
! 	                           PortfolioType portfolioType,
! 	                           string benchmark)
! 	                           :
! 	                          base(setOfInitialTickers,
! 	                          firstQuoteDate,
! 	                          lastQuoteDate,
! 	                          numberOfTickersInPortfolio,
! 	                          0.0,
! 	                          portfolioType,
! 	                         	benchmark)
                                  
                            
      {
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
!       this.setReturnsManager();
      }
      
!     private void setReturnsManager()
      {
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager =
! 				 new ReturnsManager( new CloseToCloseIntervals(
! 																 firstEndOfDayDateTime, 
! 																 lastEndOfDayDateTime, 
! 																 this.benchmark,
! 																 this.numDaysForReturnCalculation) ,
! 														 new HistoricalAdjustedQuoteProvider() );
      }
      
!     private float[] getStrategyReturns_getReturnsActually(
!     									float[] plainReturns)
! 		{
! 			float[] returnValue = new float[plainReturns.Length];
! 			returnValue[0] = 0; //a the very first day the
! 			//first strategy return is equal to 0 because no position
! 			//has been entered
! 			float coefficient = 0;
!     	for(int i = 0; i < returnValue.Length - 1; i++)
        {
!     		if( plainReturns[i] > 0 )
!     		//portfolio is overbought
!     			coefficient = -1;
!     		else if( plainReturns[i] <= 0 )
!  				//portfolio is oversold   			
!         	coefficient = 1;
!     		
!     		returnValue[i + 1] = coefficient * plainReturns[i + 1];
        }
        return returnValue;
! 		}
!     
!     protected override float[] getStrategyReturns()
! 		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
!               							 this.returnsManager);
! 			return this.getStrategyReturns_getReturnsActually(plainReturns);
! 		}
    }
  }

[Quantproject-developers] QuantProject/b3_Data/Selectors/ByLinearIndipendence GenomeManagerForMaxLinearIndipendenceSelector.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors/ByLinearIndipendence
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21302/b3_Data/Selectors/ByLinearIndipendence

Modified Files:
	GenomeManagerForMaxLinearIndipendenceSelector.cs 
Log Message:
GenomeManagers have been updated (WeightedPositions have been used instead
of CandidateProperties)

Index: GenomeManagerForMaxLinearIndipendenceSelector.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/ByLinearIndipendence/GenomeManagerForMaxLinearIndipendenceSelector.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GenomeManagerForMaxLinearIndipendenceSelector.cs	3 Jan 2007 23:20:15 -0000	1.3
--- GenomeManagerForMaxLinearIndipendenceSelector.cs	14 Jan 2008 23:38:36 -0000	1.4
***************
*** 39,50 ****
    public class GenomeManagerForMaxLinearIndipendenceSelector : IGenomeManager
    {
!     private DataTable setOfInitialTickers;
!     private Candidate[] candidates;
!     private DateTime firstQuoteDate;
!     private DateTime lastQuoteDate;
!     private int genomeSize;
!     private int minValueForGenes;
!     private int maxValueForGenes;
!     private double[,] correlationMatrix;
      
      //IGenomeManager implementation for properties 
--- 39,50 ----
    public class GenomeManagerForMaxLinearIndipendenceSelector : IGenomeManager
    {
!     protected DataTable setOfInitialTickers;
!     protected Candidate[] candidates;
!     protected DateTime firstQuoteDate;
!     protected DateTime lastQuoteDate;
!     protected int genomeSize;
!     protected int minValueForGenes;
!     protected int maxValueForGenes;
!     protected double[,] correlationMatrix;
      
      //IGenomeManager implementation for properties 
***************
*** 166,170 ****
      }
  
!     private double getFitnessValue_getCorrelationCoefficient(int i, int j)
      {
        int row = i;
--- 166,170 ----
      }
  
!     protected double getFitnessValue_getCorrelationCoefficient(int i, int j)
      {
        int row = i;

[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs, 1.34, 1.35

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19590/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Some code has been cleaned

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.34
retrieving revision 1.35
diff -C2 -d -r1.34 -r1.35
*** Quotes.cs	13 Jul 2007 10:07:59 -0000	1.34
--- Quotes.cs	14 Jan 2008 23:34:22 -0000	1.35
***************
*** 307,396 ****
        return tableToReturn;
      }
-     
-     private static void getTickersByAdjCloseToClosePearsonCorrelationCoefficient_setTickersAdjCloses(out float[][]
-       tickersReturns, DataTable setOfTickers, DateTime firstQuoteDate, DateTime lastQuoteDate) 
-                                                               
-     {
-       tickersReturns = new float[setOfTickers.Rows.Count][];
-       for(int i = 0; i<setOfTickers.Rows.Count; i++)
-       {
-         DataTable tickerQuoteTable = 
-           QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes((string)setOfTickers.Rows[i][0],
-                                                                 firstQuoteDate,
-                                                                 lastQuoteDate);
-         tickersReturns[i] =
-           ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuoteTable,"quAdjustedClose"); 
- 
-       }
-     }
- 
-     /// <summary>
-     /// Returns a table containing the Pearson correlation coefficient for the adjusted close values
-     /// for any possible couple of tickers contained in the given table, for the specified interval
-     /// </summary>
-     public static DataTable GetTickersByAdjCloseToClosePearsonCorrelationCoefficient( bool orderByASC,
-                                                                             DataTable setOfTickers,
-                                                                             DateTime firstQuoteDate,
-                                                                             DateTime lastQuoteDate)
-                                                               
-     {
-       if(!setOfTickers.Columns.Contains("CorrelatedTicker"))
-         setOfTickers.Columns.Add("CorrelatedTicker", System.Type.GetType("System.String"));
-       if(!setOfTickers.Columns.Contains("PearsonCorrelationCoefficient"))
-         setOfTickers.Columns.Add("PearsonCorrelationCoefficient", System.Type.GetType("System.Double"));
-       int initialNumberOfRows = setOfTickers.Rows.Count;
-       float[][] tickersAdjCloses;
-       getTickersByAdjCloseToClosePearsonCorrelationCoefficient_setTickersAdjCloses(out tickersAdjCloses, setOfTickers, firstQuoteDate, lastQuoteDate);
-       for(int j=0; j!= initialNumberOfRows; j++)
-       {
-         string firstTicker = (string)setOfTickers.Rows[j][0];
-         for(int i = j+1; i!= initialNumberOfRows; i++)
-         {
-           string secondTicker = (string)setOfTickers.Rows[i][0];
-           DataRow rowToAdd = setOfTickers.NewRow();
-           rowToAdd[0] = firstTicker;
-           rowToAdd["PearsonCorrelationCoefficient"] = -2.0;
-           //unassigned value for this column
-           rowToAdd["CorrelatedTicker"] = secondTicker;
-           try
-           {
-             rowToAdd["PearsonCorrelationCoefficient"] = 
-               QuantProject.ADT.Statistics.BasicFunctions.PearsonCorrelationCoefficient(
-               tickersAdjCloses[j],tickersAdjCloses[i]);
-           }
-           catch(Exception ex)
-           {
-             ex = ex;
-           }
-           finally
-           {
-             setOfTickers.Rows.Add(rowToAdd);
-           }
-         }
-       }
-       ExtendedDataTable.DeleteRows(setOfTickers, 0, initialNumberOfRows - 1);
-       //delete initial rows that don't contain correlated ticker and Pearson coeff.
-       return ExtendedDataTable.CopyAndSort(setOfTickers,"PearsonCorrelationCoefficient>-2.0",
-                                           "PearsonCorrelationCoefficient", orderByASC);
-     }
- 
-     /// <summary>
-     /// Returns a table containing the Pearson correlation coefficient for the adjusted close values
-     /// for any possible couple of tickers contained in the given group of tickers,
-     /// for the specified interval
-     /// </summary>
-     public static DataTable GetTickersByAdjCloseToClosePearsonCorrelationCoefficient( bool orderByASC,
-                                                       string groupID,
-                                                       DateTime firstQuoteDate,
-                                                       DateTime lastQuoteDate)
-                                                               
-     {
-       
-       DataTable tickersOfGroup = new Tickers_tickerGroups(groupID);
-       return GetTickersByAdjCloseToClosePearsonCorrelationCoefficient(orderByASC,
-                                                                 tickersOfGroup,
-                                                                 firstQuoteDate,
-                                                                 lastQuoteDate);
-     }
  
      /// <summary>
--- 307,310 ----

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower EndOfDayTimerHandlerITF.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18649/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower

Modified Files:
	EndOfDayTimerHandlerITF.cs 
Log Message:
Handlers have been updated (minor changes)

Index: EndOfDayTimerHandlerITF.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower/EndOfDayTimerHandlerITF.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayTimerHandlerITF.cs	23 Sep 2007 22:08:31 -0000	1.5
--- EndOfDayTimerHandlerITF.cs	14 Jan 2008 23:32:30 -0000	1.6
***************
*** 252,256 ****
            currentDate, this.numberOfTickersToBeChosen,
            this.numDaysForReturnCalculation,
!           this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
--- 252,256 ----
            currentDate, this.numberOfTickersToBeChosen,
            this.numDaysForReturnCalculation,
!           this.portfolioType, this.benchmark);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend EndOfDayTimerHandlerECT.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18649/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend

Modified Files:
	EndOfDayTimerHandlerECT.cs 
Log Message:
Handlers have been updated (minor changes)

Index: EndOfDayTimerHandlerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/EndOfDayTimerHandlerECT.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** EndOfDayTimerHandlerECT.cs	23 Sep 2007 22:07:56 -0000	1.7
--- EndOfDayTimerHandlerECT.cs	14 Jan 2008 23:32:29 -0000	1.8
***************
*** 25,28 ****
--- 25,29 ----
  
  using QuantProject.ADT;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Instruments;
***************
*** 30,33 ****
--- 31,36 ----
  using QuantProject.Business.Timing;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  using QuantProject.Data;
  using QuantProject.Data.DataProviders;
***************
*** 50,57 ****
      private double maxAcceptableCloseToCloseDrawdown;
      private int daysCounterWithPositions;
- //    private int daysCounterWithRightPositions;
- //    private int daysCounterWithReversalPositions;
- //    private bool isReversalPeriodOn = false;
- //    private bool isTheFirstClose = false;
      private DateTime lastCloseDate;
      private IGenomeManager iGenomeManager;
--- 53,56 ----
***************
*** 75,86 ****
      {
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
- //      this.daysCounterWithRightPositions = 0;
- //      this.daysCounterWithReversalPositions = 0; 
- //      this.isReversalPeriodOn = false;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
        this.stopLossConditionReached = false;
        this.currentAccountValue = 0.0;
        this.previousAccountValue = 0.0;
- //      this.numDaysBetweenEachOptimization = 2* numDaysForReturnCalculation;
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
        this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
--- 74,81 ----
***************
*** 117,125 ****
        {
  		    DateTime initialDateForHalfPeriod = 
! 	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
  	      DateTime finalDateForHalfPeriod = 
  	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	returnValue = this.chosenWeightedPositions.GetCloseToCloseReturn(
! 	      	     initialDateForHalfPeriod,finalDateForHalfPeriod);
        }
      	catch(MissingQuotesException ex)
--- 112,126 ----
        {
  		    DateTime initialDateForHalfPeriod = 
! 	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation]["quDate"];
  	      DateTime finalDateForHalfPeriod = 
  	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
! 		   																				new EndOfDayDateTime(initialDateForHalfPeriod,
! 																							EndOfDaySpecificTime.MarketClose) , 
! 																							new EndOfDayDateTime(finalDateForHalfPeriod,
! 																							EndOfDaySpecificTime.MarketClose) ,
! 																							this.benchmark , this.numDaysForReturnCalculation ) ,
! 																				new HistoricalAdjustedQuoteProvider() );
! 				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
        }
      	catch(MissingQuotesException ex)
***************
*** 263,267 ****
            currentDate, this.numberOfTickersToBeChosen,
            this.numDaysForReturnCalculation,
!           this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
--- 264,268 ----
            currentDate, this.numberOfTickersToBeChosen,
            this.numDaysForReturnCalculation,
!           this.portfolioType,this.benchmark);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/OTC_CTOTrendFollower EndOfDayTimerHandlerOTC_CTOTrendFollower.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/OTC_CTOTrendFollower
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18649/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/OTC_CTOTrendFollower

Modified Files:
	EndOfDayTimerHandlerOTC_CTOTrendFollower.cs 
Log Message:
Handlers have been updated (minor changes)

Index: EndOfDayTimerHandlerOTC_CTOTrendFollower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/OTC_CTOTrendFollower/EndOfDayTimerHandlerOTC_CTOTrendFollower.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerOTC_CTOTrendFollower.cs	29 Aug 2007 09:36:28 -0000	1.1
--- EndOfDayTimerHandlerOTC_CTOTrendFollower.cs	14 Jan 2008 23:32:30 -0000	1.2
***************
*** 164,168 ****
                                                      this.numberOfTickersToBeChosen,
                                                      this.targetReturn,
!                                                     this.portfolioType);
  
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
--- 164,168 ----
                                                      this.numberOfTickersToBeChosen,
                                                      this.targetReturn,
!                                                     this.portfolioType, this.benchmark);
  
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs, 1.25, 1.26 EndOfDayTimerHandlerCTC.cs, 1.24, 1.25 EndOfDayTimerHandlerCTCWeekly.cs, 1.8, 1.9 EndOfDayTimerHandlerCTO.cs, 1.26, 1.27 EndOfDayTimerHandlerCTO_WorstAtDay.cs, 1.2, 1.3 EndOfDayTimerHandlerLastChosenPortfolio.cs, 1.4, 1.5 EndOfDayTimerHandlerOTC.cs, 1.6, 1.7 EndOfDayTimerHandlerOTC_WorstAtNight.cs, 1.2, 1.3 EndOfDayTimerHandlerOTCCTO.cs, 1.7, 1.8 EndOfDayTimerHandlerOTCMultiAccount.cs, 1.3, 1.4 EndOfDayTimerHandlerOTCMultiday.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18649/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs EndOfDayTimerHandlerCTC.cs 
	EndOfDayTimerHandlerCTCWeekly.cs EndOfDayTimerHandlerCTO.cs 
	EndOfDayTimerHandlerCTO_WorstAtDay.cs 
	EndOfDayTimerHandlerLastChosenPortfolio.cs 
	EndOfDayTimerHandlerOTC.cs 
	EndOfDayTimerHandlerOTC_WorstAtNight.cs 
	EndOfDayTimerHandlerOTCCTO.cs 
	EndOfDayTimerHandlerOTCMultiAccount.cs 
	EndOfDayTimerHandlerOTCMultiday.cs 
Log Message:
Handlers have been updated (minor changes)

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.25
retrieving revision 1.26
diff -C2 -d -r1.25 -r1.26
*** EndOfDayTimerHandler.cs	29 Aug 2007 09:47:09 -0000	1.25
--- EndOfDayTimerHandler.cs	14 Jan 2008 23:32:30 -0000	1.26
***************
*** 37,41 ****
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandler
    {
      protected DataTable eligibleTickers;
--- 37,41 ----
    /// </summary>
    [Serializable]
!   public abstract class EndOfDayTimerHandler
    {
      protected DataTable eligibleTickers;
***************
*** 233,238 ****
        //add cash first
      	if(this.account.Transactions.Count == 0)
!         this.account.AddCash(15000);     
!       AccountManager.OpenPositions(this.chosenWeightedPositions, this.account);
      }
  	
--- 233,239 ----
        //add cash first
      	if(this.account.Transactions.Count == 0)
!         this.account.AddCash(15000);
!     	if(this.chosenWeightedPositions != null)
!       	AccountManager.OpenPositions(this.chosenWeightedPositions, this.account);
      }
  	
***************
*** 247,265 ****
  		}   
  		
!     public virtual void MarketOpenEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       ;
!     }
!     public virtual void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       ;
!     }
!     public virtual void OneHourAfterMarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
-     {
        ;
-     }
    } 
  }
--- 248,260 ----
  		}   
  		
!     public abstract void MarketOpenEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 			;
!     public abstract void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     	;
!     public abstract void OneHourAfterMarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
        ;
    } 
  }

Index: EndOfDayTimerHandlerLastChosenPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerLastChosenPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerLastChosenPortfolio.cs	29 Aug 2007 09:43:32 -0000	1.4
--- EndOfDayTimerHandlerLastChosenPortfolio.cs	14 Jan 2008 23:32:31 -0000	1.5
***************
*** 86,89 ****
--- 86,94 ----
      }
      
+     public override void OneHourAfterMarketCloseEventHandler(
+       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
+     {
+     	;
+     }
  		
    }

Index: EndOfDayTimerHandlerOTCCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCCTO.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** EndOfDayTimerHandlerOTCCTO.cs	29 Aug 2007 09:43:33 -0000	1.7
--- EndOfDayTimerHandlerOTCCTO.cs	14 Jan 2008 23:32:31 -0000	1.8
***************
*** 145,149 ****
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCCTOPortfolio,
--- 145,150 ----
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType,
!         	                                          this.benchmark);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCCTOPortfolio,

Index: EndOfDayTimerHandlerCTO_WorstAtDay.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO_WorstAtDay.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerCTO_WorstAtDay.cs	29 Aug 2007 09:43:32 -0000	1.2
--- EndOfDayTimerHandlerCTO_WorstAtDay.cs	14 Jan 2008 23:32:31 -0000	1.3
***************
*** 185,189 ****
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
--- 185,190 ----
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType,
!         	                                          this.benchmark);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,

Index: EndOfDayTimerHandlerOTCMultiday.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCMultiday.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** EndOfDayTimerHandlerOTCMultiday.cs	29 Aug 2007 09:43:33 -0000	1.8
--- EndOfDayTimerHandlerOTCMultiday.cs	14 Jan 2008 23:32:32 -0000	1.9
***************
*** 128,132 ****
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
--- 128,133 ----
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType,
!         	                                          this.benchmark);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,

Index: EndOfDayTimerHandlerOTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTC.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** EndOfDayTimerHandlerOTC.cs	29 Aug 2007 09:43:32 -0000	1.6
--- EndOfDayTimerHandlerOTC.cs	14 Jan 2008 23:32:31 -0000	1.7
***************
*** 135,145 ****
  //        	                                          this.numberOfTickersToBeChosen,
  //        	                                          this.targetReturn,
! //        	                                         	this.portfolioType);
            new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
                                                      currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                                     currentDate,
                                                      this.numberOfTickersToBeChosen,
!                                                     this.targetReturn,
!                                                     this.portfolioType);
  
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
--- 135,146 ----
  //        	                                          this.numberOfTickersToBeChosen,
  //        	                                          this.targetReturn,
! //        	                                         	this.portfolioType,
! //																										this.benchmark);
            new GenomeManagerForEfficientOTCCTOPortfolio(setOfTickersToBeOptimized,
                                                      currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                                     currentDate, 
                                                      this.numberOfTickersToBeChosen,
!                                                     this.targetReturn, 
! 																										this.portfolioType, this.benchmark);
  
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
***************
*** 149,157 ****
          if(setGenomeCounter)
          	this.genomeCounter = new GenomeCounter(GO);
!         GO.CrossoverRate = 0.0;
!         GO.MutationRate = 0.70;
          GO.Run(false);
!         this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                     currentDate, setOfTickersToBeOptimized.Rows.Count);
          this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
  					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
--- 150,164 ----
          if(setGenomeCounter)
          	this.genomeCounter = new GenomeCounter(GO);
!         GO.CrossoverRate = 0.85;
!         GO.MutationRate = 0.10;
          GO.Run(false);
!         this.addGenomeToBestGenomes(
!           GO.BestGenome,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!           currentDate,
!           setOfTickersToBeOptimized.Rows.Count,
!           -1,
!          	this.portfolioType,
!           GO.GenerationCounter);
          this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
  					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );

Index: EndOfDayTimerHandlerOTCMultiAccount.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCMultiAccount.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerOTCMultiAccount.cs	29 Aug 2007 09:43:33 -0000	1.3
--- EndOfDayTimerHandlerOTCMultiAccount.cs	14 Jan 2008 23:32:32 -0000	1.4
***************
*** 166,170 ****
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
--- 166,171 ----
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType,
! 																										this.benchmark);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** EndOfDayTimerHandlerCTO.cs	29 Aug 2007 09:43:32 -0000	1.26
--- EndOfDayTimerHandlerCTO.cs	14 Jan 2008 23:32:31 -0000	1.27
***************
*** 122,126 ****
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
--- 122,127 ----
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType,
! 																										this.benchmark);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,

Index: EndOfDayTimerHandlerCTCWeekly.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTCWeekly.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** EndOfDayTimerHandlerCTCWeekly.cs	23 Sep 2007 22:09:34 -0000	1.8
--- EndOfDayTimerHandlerCTCWeekly.cs	14 Jan 2008 23:32:31 -0000	1.9
***************
*** 146,150 ****
            this.numDaysForReturnCalculation,
            this.targetReturn,
!          	this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
                                                      this.populationSizeForGeneticOptimizer, 
--- 146,150 ----
            this.numDaysForReturnCalculation,
            this.targetReturn,
!          	this.portfolioType, this.benchmark);
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
                                                      this.populationSizeForGeneticOptimizer, 

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.24
retrieving revision 1.25
diff -C2 -d -r1.24 -r1.25
*** EndOfDayTimerHandlerCTC.cs	23 Sep 2007 22:09:24 -0000	1.24
--- EndOfDayTimerHandlerCTC.cs	14 Jan 2008 23:32:30 -0000	1.25
***************
*** 205,209 ****
            this.numDaysForReturnCalculation,
            this.targetReturn,
!          	this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
                                                      this.populationSizeForGeneticOptimizer, 
--- 205,209 ----
            this.numDaysForReturnCalculation,
            this.targetReturn,
!          	this.portfolioType, this.benchmark);
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTCPortfolio,
                                                      this.populationSizeForGeneticOptimizer, 

Index: EndOfDayTimerHandlerOTC_WorstAtNight.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTC_WorstAtNight.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerOTC_WorstAtNight.cs	29 Aug 2007 09:43:32 -0000	1.2
--- EndOfDayTimerHandlerOTC_WorstAtNight.cs	14 Jan 2008 23:32:31 -0000	1.3
***************
*** 28,33 ****
--- 28,36 ----
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Financial.Ordering;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  using QuantProject.Data.DataProviders;
  using QuantProject.Data.Selectors;
***************
*** 48,51 ****
--- 51,55 ----
  		protected GeneticOptimizer currentGO;
  		protected int numOfGenomesForCTOScanning;
+ 		private HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
      
      public EndOfDayTimerHandlerOTC_WorstAtNight(string tickerGroupID, int numberOfEligibleTickers, 
***************
*** 67,70 ****
--- 71,75 ----
      	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
  			this.numOfGenomesForCTOScanning = numOfGenomesForCTOScanning;
+ 			this.historicalAdjustedQuoteProvider = new HistoricalAdjustedQuoteProvider();
      }
    
***************
*** 79,82 ****
--- 84,92 ----
  		  DateTime today = currentTimer.GetCurrentTime().DateTime;
  		  DateTime lastMarketDay = currentTimer.GetPreviousDateTime();
+ 		  ReturnsManager returnsManager = new ReturnsManager(
+ 		  	new CloseToOpenIntervals(new EndOfDayDateTime(lastMarketDay, EndOfDaySpecificTime.MarketClose),
+ 		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
+ 		  	                         this.benchmark),
+ 		  	this.historicalAdjustedQuoteProvider );
  		  int numOfGenomesScanned = 0; 
  		  for(int i = 0;
***************
*** 101,105 ****
  		  				                      	signedTickers);
  		  			lossOfCurrentCombination =
! 			  			weightedPositions.GetLastNightReturn(lastMarketDay,today);
  				  	numOfGenomesScanned++;
  				  	if(lossOfCurrentCombination < lossOfCurrentWorstCombination)
--- 111,115 ----
  		  				                      	signedTickers);
  		  			lossOfCurrentCombination =
! 		  				weightedPositions.GetReturn( 0 , returnsManager );
  				  	numOfGenomesScanned++;
  				  	if(lossOfCurrentCombination < lossOfCurrentWorstCombination)
***************
*** 196,200 ****
                                                      this.numberOfTickersToBeChosen,
                                                      this.targetReturn,
!                                                     this.portfolioType);
  
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
--- 206,210 ----
                                                      this.numberOfTickersToBeChosen,
                                                      this.targetReturn,
!                                                     this.portfolioType,this.benchmark);
  
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCPortfolio,
***************
*** 205,209 ****
          	this.genomeCounter = new GenomeCounter(GO);
  				GO.CrossoverRate = 0.0;
! 				GO.MutationRate = 0.70;
          GO.Run(false);
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
--- 215,219 ----
          	this.genomeCounter = new GenomeCounter(GO);
  				GO.CrossoverRate = 0.0;
! 				GO.MutationRate = 0.50;
          GO.Run(false);
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators EndOfDayTimerHandlerFPOscillatorCTC.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18649/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators

Modified Files:
	EndOfDayTimerHandlerFPOscillatorCTC.cs 
Log Message:
Handlers have been updated (minor changes)

Index: EndOfDayTimerHandlerFPOscillatorCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators/EndOfDayTimerHandlerFPOscillatorCTC.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayTimerHandlerFPOscillatorCTC.cs	29 Aug 2007 09:43:30 -0000	1.5
--- EndOfDayTimerHandlerFPOscillatorCTC.cs	14 Jan 2008 23:32:30 -0000	1.6
***************
*** 85,89 ****
        this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
      }
! 	
  
      #region MarketCloseEventHandler
--- 85,94 ----
        this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
      }
! 		
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	;
!     }
  
      #region MarketCloseEventHandler
***************
*** 285,289 ****
            currentDate, this.numberOfTickersToBeChosen,
            this.numDaysForReturnCalculation,
!           this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
--- 290,294 ----
            currentDate, this.numberOfTickersToBeChosen,
            this.numDaysForReturnCalculation,
!           this.portfolioType, this.benchmark);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18649/b7_Scripts/TickerSelectionTesting/TestingOTCTypes

Modified Files:
	EndOfDayTimerHandlerOTCTypes.cs 
Log Message:
Handlers have been updated (minor changes)

Index: EndOfDayTimerHandlerOTCTypes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/EndOfDayTimerHandlerOTCTypes.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** EndOfDayTimerHandlerOTCTypes.cs	29 Aug 2007 09:43:34 -0000	1.8
--- EndOfDayTimerHandlerOTCTypes.cs	14 Jan 2008 23:32:32 -0000	1.9
***************
*** 174,178 ****
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCTypes,
--- 174,179 ----
          	                                          this.numberOfTickersToBeChosen,
          	                                          this.targetReturn,
!         	                                         	this.portfolioType,
!         	                                         	this.benchmark);
          
          GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCTypes,

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationCloseToOpen.cs, 1.2, 1.3 RunTestingOptimizationOpenToClose.cs, 1.8, 1.9 RunTestingOptimizationOpenToCloseFitnessCombined.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16889/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

Modified Files:
	RunTestingOptimizationCloseToOpen.cs 
	RunTestingOptimizationOpenToClose.cs 
	RunTestingOptimizationOpenToCloseFitnessCombined.cs 
Log Message:
Minor changes 

Index: RunTestingOptimizationOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** RunTestingOptimizationOpenToClose.cs	14 May 2006 18:10:31 -0000	1.8
--- RunTestingOptimizationOpenToClose.cs	14 Jan 2008 23:28:58 -0000	1.9
***************
*** 282,286 ****
        	                                          this.numberOfTickersToBeChosen,
        	                                          this.targetReturn,
!       	                                         	this.portfolioType);
      
        this.setFitnesses_setFitnessesActually(genManEfficientOTC);
--- 282,287 ----
        	                                          this.numberOfTickersToBeChosen,
        	                                          this.targetReturn,
!       	                                         	this.portfolioType,
! 																									this.benchmark);
      
        this.setFitnesses_setFitnessesActually(genManEfficientOTC);

Index: RunTestingOptimizationCloseToOpen.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationCloseToOpen.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunTestingOptimizationCloseToOpen.cs	14 May 2006 18:10:31 -0000	1.2
--- RunTestingOptimizationCloseToOpen.cs	14 Jan 2008 23:28:58 -0000	1.3
***************
*** 253,257 ****
        	                                          this.numberOfTickersToBeChosen,
        	                                          this.targetReturn,
!       	                                         	this.portfolioType);
      
        this.setFitnesses_setFitnessesActually(genManEfficientCTOPortfolio);
--- 253,258 ----
        	                                          this.numberOfTickersToBeChosen,
        	                                          this.targetReturn,
!       	                                         	this.portfolioType,
! 																									this.benchmark);
      
        this.setFitnesses_setFitnessesActually(genManEfficientCTOPortfolio);

Index: RunTestingOptimizationOpenToCloseFitnessCombined.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToCloseFitnessCombined.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunTestingOptimizationOpenToCloseFitnessCombined.cs	2 Jul 2006 19:36:12 -0000	1.2
--- RunTestingOptimizationOpenToCloseFitnessCombined.cs	14 Jan 2008 23:28:58 -0000	1.3
***************
*** 260,264 ****
        	                                          this.numberOfTickersToBeChosen,
        	                                          this.targetReturn,
!       	                                         	this.portfolioType);
      
        this.setFitnesses_setFitnessesActually(genManEfficientOTC_CTO);
--- 260,265 ----
        	                                          this.numberOfTickersToBeChosen,
        	                                          this.targetReturn,
!       	                                         	this.portfolioType,
!       	                                          this.benchmark);
      
        this.setFitnesses_setFitnessesActually(genManEfficientOTC_CTO);

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis RunTestingOptimizationExtremeCounterTrend.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16889/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis

Modified Files:
	RunTestingOptimizationExtremeCounterTrend.cs 
Log Message:
Minor changes 

Index: RunTestingOptimizationExtremeCounterTrend.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis/RunTestingOptimizationExtremeCounterTrend.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunTestingOptimizationExtremeCounterTrend.cs	2 Jul 2006 19:36:12 -0000	1.2
--- RunTestingOptimizationExtremeCounterTrend.cs	14 Jan 2008 23:28:58 -0000	1.3
***************
*** 269,273 ****
  	                            this.numberOfTickersToBeChosen,
  	                            this.numDaysForReturnCalculation,
! 	                           	this.portfolioType);
      
        this.setFitnesses_setFitnessesActually(genManExtremeCounterTrend);
--- 269,274 ----
  	                            this.numberOfTickersToBeChosen,
  	                            this.numDaysForReturnCalculation,
! 	                           	this.portfolioType,
! 	                            this.benchmark);
      
        this.setFitnesses_setFitnessesActually(genManExtremeCounterTrend);

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies WeightedPositions.cs, 1.12, 1.13

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16409/b4_Business/a2_Strategies

Modified Files:
	WeightedPositions.cs 
Log Message:
Added methods:
- HasTheSameSignedTickersAs;
- HasTheOppositeSignedTickersAs


Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPositions.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** WeightedPositions.cs	4 Nov 2007 18:59:19 -0000	1.12
--- WeightedPositions.cs	14 Jan 2008 23:27:26 -0000	1.13
***************
*** 605,626 ****
      }
  		
!     #region getLastNightReturn
!   	private double getLastNightReturn( float[] weightedPositionsLastNightReturns )
! 		{
! 			double returnValue = 0.0;
! 			for(int i = 0; i<weightedPositionsLastNightReturns.Length; i++)
! 				returnValue += weightedPositionsLastNightReturns[i] * this[i].Weight;
! 			return returnValue;
! 		}
! 		private float getLastNightReturn_getLastNightReturnForTicker(string ticker,
! 			DateTime lastMarketDay, DateTime today)
! 		{
! 			Quotes tickerQuotes = new Quotes(ticker, lastMarketDay, today);
! 			return 	(  ( (float)tickerQuotes.Rows[1]["quOpen"] *
! 									(float)tickerQuotes.Rows[1]["quAdjustedClose"] /
! 									(float)tickerQuotes.Rows[1]["quClose"]            ) /
! 								(float)tickerQuotes.Rows[0]["quAdjustedClose"]  - 1     );
! 		}
! 		#endregion
    	
    	/// <summary>
--- 605,625 ----
      }
  		
! //    private double getLastNightReturn( float[] weightedPositionsLastNightReturns )
! //		{
! //			double returnValue = 0.0;
! //			for(int i = 0; i<weightedPositionsLastNightReturns.Length; i++)
! //				returnValue += weightedPositionsLastNightReturns[i] * this[i].Weight;
! //			return returnValue;
! //		}
! //		private float getLastNightReturn_getLastNightReturnForTicker(string ticker,
! //			DateTime lastMarketDay, DateTime today)
! //		{
! //			Quotes tickerQuotes = new Quotes(ticker, lastMarketDay, today);
! //			return 	(  ( (float)tickerQuotes.Rows[1]["quOpen"] *
! //									(float)tickerQuotes.Rows[1]["quAdjustedClose"] /
! //									(float)tickerQuotes.Rows[1]["quClose"]            ) /
! //								(float)tickerQuotes.Rows[0]["quAdjustedClose"]  - 1     );
! //		}
! 		
    	
    	/// <summary>
***************
*** 629,641 ****
  		/// <param name="lastMarketDay">The last market date before today</param>
  		/// <param name="today">today</param> 
! 		public double GetLastNightReturn( DateTime lastMarketDay , DateTime today )
! 		{
! 			float[] weightedPositionsLastNightReturns = new float[this.Count];
! 			for(int i = 0; i<this.Count; i++)
! 				weightedPositionsLastNightReturns[i] = 
! 					this.getLastNightReturn_getLastNightReturnForTicker(
! 						this[i].Ticker, lastMarketDay, today );
! 			return getLastNightReturn( weightedPositionsLastNightReturns );
! 		}
  				
  		private double getCloseToCloseReturn_setReturns_getReturn(
--- 628,640 ----
  		/// <param name="lastMarketDay">The last market date before today</param>
  		/// <param name="today">today</param> 
! //		public double GetLastNightReturn( DateTime lastMarketDay , DateTime today )
! //		{
! //			float[] weightedPositionsLastNightReturns = new float[this.Count];
! //			for(int i = 0; i<this.Count; i++)
! //				weightedPositionsLastNightReturns[i] = 
! //					this.getLastNightReturn_getLastNightReturnForTicker(
! //						this[i].Ticker, lastMarketDay, today );
! //			return getLastNightReturn( weightedPositionsLastNightReturns );
! //		}
  				
  		private double getCloseToCloseReturn_setReturns_getReturn(
***************
*** 707,710 ****
--- 706,749 ----
  			return toString;
  		}
+ 
+ 		public bool HasTheSameSignedTickersAs(WeightedPositions weightedPositions) 
+ 		{
+ 			//Check for null and compare run-time types and compare length of the weightedPositions
+ 			if (weightedPositions.Count != this.Count)
+ 				return false;
+ 			int numOfEquals = 0;
+ 			//WeightedPositions can't contain the same ticker twice:
+ 			//so, if at the end of the nested cycle
+ 			//numOfEquals is equal to the number of
+ 			//positions, the two instances represent
+ 			//portfolios that contain the same signed tickers
+ 			for (int i = 0; i<this.Count; i++)
+ 				for (int j = 0; j<this.Count; j++)
+ 				if ( this[i].HasTheSameSignedTickerAs(weightedPositions[j]) )
+ 						numOfEquals++;
+ 					
+ 			return numOfEquals == this.Count;
+ 		}
+ 
+ 		public bool HasTheOppositeSignedTickersAs(WeightedPositions weightedPositions) 
+ 		{
+ 			//Check for null and compare run-time types and compare length of the weightedPositions
+ 			if (weightedPositions.Count != this.Count)
+ 				return false;
+ 			int numOfEqualsWithOppositeSign = 0;
+ 			//WeightedPositions can't contain the same ticker twice:
+ 			//so, if at the end of the nested cycle
+ 			//numOfEqualsWithOppositeSign is equal to the number of
+ 			//positions, the two instances represent
+ 			//portfolios that contain the same signed tickers with
+ 			//opposite signs
+ 			for (int i = 0; i<this.Count; i++)
+ 				for (int j = 0; j<this.Count; j++)
+ 				if ( this[i].HasTheOppositeSignedTickerAs(weightedPositions[j]) )
+ 						numOfEqualsWithOppositeSign++;
+ 					
+ 			return numOfEqualsWithOppositeSign == this.Count;
+ 		}
+ 		
  	}
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15095/b4_Business/a2_Strategies

Modified Files:
	WeightedPosition.cs 
Log Message:
Added methods:
- HasTheSameSignedTickerAs;
- HasTheOppositeSignedTickerAs

Index: WeightedPosition.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPosition.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WeightedPosition.cs	4 Nov 2007 18:55:39 -0000	1.2
--- WeightedPosition.cs	14 Jan 2008 23:24:48 -0000	1.3
***************
*** 120,126 ****
  		public override string ToString()
  		{
! 			string toString = this.Ticker + ";" + this.Weight;
  			return toString;
  		}
  	}
  }
--- 120,146 ----
  		public override string ToString()
  		{
! 			string toString = this.Ticker + ";" + this.Weight.ToString();
  			return toString;
  		}
+ 		
+ 		public bool HasTheSameSignedTickerAs(WeightedPosition weightedPosition)
+ 		{
+ 			if ( weightedPosition.Ticker == this.Ticker &&
+ 					 ( (weightedPosition.IsLong && this.IsLong) ||
+ 						 (weightedPosition.IsShort && this.IsShort)  )  )
+ 				return true;
+ 			else
+ 				return false;
+ 		}
+ 		
+ 		public bool HasTheOppositeSignedTickerAs(WeightedPosition weightedPosition)
+ 		{
+ 			if ( weightedPosition.Ticker == this.Ticker &&
+ 					 ( (weightedPosition.IsShort && this.IsLong) ||
+ 						 (weightedPosition.IsLong && this.IsShort)  )  )
+ 				return true;
+ 			else
+ 				return false;
+ 		}
  	}
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14515/b4_Business/a2_Strategies

Modified Files:
	AccountManager.cs 
Log Message:
Code has been reorganised in a more logical way

Index: AccountManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/AccountManager.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** AccountManager.cs	23 Sep 2007 21:53:20 -0000	1.3
--- AccountManager.cs	14 Jan 2008 23:23:05 -0000	1.4
***************
*** 102,108 ****
      #endregion
  
!     #region ReversePositions
!    
! 		static private double reversePositions_getReversedWeightedPositionsFromAccount_getPositionsAbsoluteValue(Account account)
  		{
  			double totalValue = 0;
--- 102,106 ----
      #endregion
  
! 		static private double getWeightedPositions_getPositionsAbsoluteValue(Account account)
  		{
  			double totalValue = 0;
***************
*** 111,119 ****
  					position.Instrument.Key ) * position.Quantity );
  			return totalValue;
! 		}  
  
! 		static private WeightedPositions reversePositions_getReversedWeightedPositionsFromAccount(Account account)
  		{
! 			double positionsAbsoluteValue = reversePositions_getReversedWeightedPositionsFromAccount_getPositionsAbsoluteValue(account); 
  			string[] tickers = getTickersInOpenedPositions( account );
  			double[] weights = new double[tickers.Length];
--- 109,120 ----
  					position.Instrument.Key ) * position.Quantity );
  			return totalValue;
! 		} 
  
! 		/// <summary>
! 		/// Gets the current open WeightedPositions for the given account
! 		/// </summary>
! 		static public WeightedPositions GetWeightedPositions(Account account)
  		{
! 			double positionsAbsoluteValue = getWeightedPositions_getPositionsAbsoluteValue(account); 
  			string[] tickers = getTickersInOpenedPositions( account );
  			double[] weights = new double[tickers.Length];
***************
*** 121,141 ****
  				weights[i] = 
  					( account.GetMarketValue( tickers[i] )*
! 					  account.Portfolio.GetPosition( tickers[i] ).Quantity ) /
  					positionsAbsoluteValue;
! 			WeightedPositions returnValue = new WeightedPositions( weights, tickers );
! 			returnValue.Reverse();
! 			return returnValue;
! 		}  
  
!     static public void ReversePositions(Account account)
      {
        orders.Clear();
! 			WeightedPositions reversedWeightedPositions = 
! 				reversePositions_getReversedWeightedPositionsFromAccount( account );
  			ClosePositions(account);
!       OpenPositions( reversedWeightedPositions , account );
      }   
-     #endregion
- 
    } // end of class
  }
--- 122,139 ----
  				weights[i] = 
  					( account.GetMarketValue( tickers[i] )*
! 					account.Portfolio.GetPosition( tickers[i] ).Quantity ) /
  					positionsAbsoluteValue;
! 			
! 			return new WeightedPositions( weights, tickers );
! 		}
  
!   	static public void ReversePositions(Account account)
      {
        orders.Clear();
! 			WeightedPositions currentWeightedPositions = GetWeightedPositions( account );
! 			currentWeightedPositions.Reverse();
  			ClosePositions(account);
!       OpenPositions( currentWeightedPositions, account );
      }   
    } // end of class
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13374/b4_Business/a05_Timing

Modified Files:
	IndexBasedEndOfDayTimer.cs 
Log Message:
Added method GetPreviousDateTime

Index: IndexBasedEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/IndexBasedEndOfDayTimer.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** IndexBasedEndOfDayTimer.cs	14 May 2006 18:23:38 -0000	1.8
--- IndexBasedEndOfDayTimer.cs	14 Jan 2008 23:21:03 -0000	1.9
***************
*** 120,123 ****
--- 120,132 ----
        return this.indexQuotes.GetPrecedingDate(this.currentTime.DateTime,1);
      }
+     /// <summary>
+     /// Gets the date time that is 'precedingDays' days before
+     /// the current date time of the current timer
+     /// </summary>
+     public DateTime GetPreviousDateTime(int precedingDays)
+     {
+       return this.indexQuotes.GetPrecedingDate(
+     		this.currentTime.DateTime,precedingDays);
+     }
  
  	}

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByCloseToCloseLinearCorrelation.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12311/b3_Data/Selectors

Modified Files:
	SelectorByCloseToCloseLinearCorrelation.cs 
Log Message:
Minor changes to a class the will be deleted soon (correlations should be treated in
business project)

Index: SelectorByCloseToCloseLinearCorrelation.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByCloseToCloseLinearCorrelation.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** SelectorByCloseToCloseLinearCorrelation.cs	28 Dec 2005 23:27:56 -0000	1.2
--- SelectorByCloseToCloseLinearCorrelation.cs	14 Jan 2008 23:18:47 -0000	1.3
***************
*** 25,28 ****
--- 25,30 ----
  using System.Data;
  using System.Windows.Forms;
+ 
+ using QuantProject.ADT.Statistics;
  using QuantProject.DataAccess.Tables;
  using QuantProject.Data.DataTables;
***************
*** 35,39 ****
     public class SelectorByCloseToCloseLinearCorrelation : TickerSelector , ITickerSelector
    {
-         
      
      public SelectorByCloseToCloseLinearCorrelation(DataTable setOfTickersToBeSelected, 
--- 37,40 ----
***************
*** 48,58 ****
                                           maxNumOfReturnedTickers)
      {
!      
      }
!      public SelectorByCloseToCloseLinearCorrelation(string groupID, 
                                  bool orderInASCmode,
                                  DateTime firstQuoteDate,
                                  DateTime lastQuoteDate,
!                                 long maxNumOfReturnedTickers):
                                    base(groupID, 
                                        orderInASCmode,
--- 49,59 ----
                                           maxNumOfReturnedTickers)
      {
! 
      }
!     public SelectorByCloseToCloseLinearCorrelation(string groupID, 
                                  bool orderInASCmode,
                                  DateTime firstQuoteDate,
                                  DateTime lastQuoteDate,
! 																long maxNumOfReturnedTickers):
                                    base(groupID, 
                                        orderInASCmode,
***************
*** 60,66 ****
                                        lastQuoteDate,
                                        maxNumOfReturnedTickers)
!      {
!      
!      }
  
  
--- 61,67 ----
                                        lastQuoteDate,
                                        maxNumOfReturnedTickers)
!     {
! 
!     }
  
  
***************
*** 68,77 ****
      {
        if(this.setOfTickersToBeSelected == null)
!         return QuantProject.Data.DataTables.Quotes.GetTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode,
                                                      this.groupID,
                                                      this.firstQuoteDate,
                                                      this.lastQuoteDate); 
        else
!         return QuantProject.Data.DataTables.Quotes.GetTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode,
                                                      this.setOfTickersToBeSelected,
                                                      this.firstQuoteDate,
--- 69,78 ----
      {
        if(this.setOfTickersToBeSelected == null)
!         return this.getTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode,
                                                      this.groupID,
                                                      this.firstQuoteDate,
                                                      this.lastQuoteDate); 
        else
!         return this.getTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode,
                                                      this.setOfTickersToBeSelected,
                                                      this.firstQuoteDate,
***************
*** 79,82 ****
--- 80,170 ----
      }
      
+ 		 private void getTickersByAdjCloseToClosePearsonCorrelationCoefficient_setTickersAdjCloses(out float[][]
+ 			 tickersReturns, DataTable setOfTickers, DateTime firstQuoteDate, DateTime lastQuoteDate) 
+                                                               
+ 		 {
+ 			 tickersReturns = new float[setOfTickers.Rows.Count][];
+ 			 for(int i = 0; i<setOfTickers.Rows.Count; i++)
+ 			 {
+ 				 DataTable tickerQuoteTable = 
+ 					 QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes((string)setOfTickers.Rows[i][0],
+ 					 firstQuoteDate,
+ 					 lastQuoteDate);
+ 				 tickersReturns[i] =
+ 					 ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuoteTable,"quAdjustedClose"); 
+ 
+ 			 }
+ 		 }
+ 
+ 		 /// <summary>
+ 		 /// Returns a table containing the Pearson correlation coefficient for the adjusted close values
+ 		 /// for any possible couple of tickers contained in the given table, for the specified interval
+ 		 /// </summary>
+ 		 private DataTable getTickersByAdjCloseToClosePearsonCorrelationCoefficient( bool orderByASC,
+ 			 DataTable setOfTickers,
+ 			 DateTime firstQuoteDate,
+ 			 DateTime lastQuoteDate)
+                                                               
+ 		 {
+ 			 if(!setOfTickers.Columns.Contains("CorrelatedTicker"))
+ 				 setOfTickers.Columns.Add("CorrelatedTicker", System.Type.GetType("System.String"));
+ 			 if(!setOfTickers.Columns.Contains("PearsonCorrelationCoefficient"))
+ 				 setOfTickers.Columns.Add("PearsonCorrelationCoefficient", System.Type.GetType("System.Double"));
+ 			 int initialNumberOfRows = setOfTickers.Rows.Count;
+ 			 float[][] tickersAdjCloses;
+ 			 getTickersByAdjCloseToClosePearsonCorrelationCoefficient_setTickersAdjCloses(out tickersAdjCloses, setOfTickers, firstQuoteDate, lastQuoteDate);
+ 			 for(int j=0; j!= initialNumberOfRows; j++)
+ 			 {
+ 				 string firstTicker = (string)setOfTickers.Rows[j][0];
+ 				 for(int i = j+1; i!= initialNumberOfRows; i++)
+ 				 {
+ 					 string secondTicker = (string)setOfTickers.Rows[i][0];
+ 					 DataRow rowToAdd = setOfTickers.NewRow();
+ 					 rowToAdd[0] = firstTicker;
+ 					 rowToAdd["PearsonCorrelationCoefficient"] = -2.0;
+ 					 //unassigned value for this column
+ 					 rowToAdd["CorrelatedTicker"] = secondTicker;
+ 					 try
+ 					 {
+ 						 rowToAdd["PearsonCorrelationCoefficient"] = 
+ 							 QuantProject.ADT.Statistics.BasicFunctions.PearsonCorrelationCoefficient(
+ 							 tickersAdjCloses[j],tickersAdjCloses[i]);
+ 					 }
+ 					 catch(Exception ex)
+ 					 {
+ 						 ex = ex;
+ 					 }
+ 					 finally
+ 					 {
+ 						 setOfTickers.Rows.Add(rowToAdd);
+ 					 }
+ 				 }
+ 			 }
+ 			 ExtendedDataTable.DeleteRows(setOfTickers, 0, initialNumberOfRows - 1);
+ 			 //delete initial rows that don't contain correlated ticker and Pearson coeff.
+ 			 return ExtendedDataTable.CopyAndSort(setOfTickers,"PearsonCorrelationCoefficient>-2.0",
+ 				 "PearsonCorrelationCoefficient", orderByASC);
+ 		 }
+ 
+ 		 /// <summary>
+ 		 /// Returns a table containing the Pearson correlation coefficient for the adjusted close values
+ 		 /// for any possible couple of tickers contained in the given group of tickers,
+ 		 /// for the specified interval
+ 		 /// </summary>
+ 		 private DataTable getTickersByAdjCloseToClosePearsonCorrelationCoefficient( bool orderByASC,
+ 			 string groupID,
+ 			 DateTime firstQuoteDate,
+ 			 DateTime lastQuoteDate)
+                                                               
+ 		 {
+       
+ 			 DataTable tickersOfGroup = 
+ 				 new QuantProject.Data.DataTables.Tickers_tickerGroups(groupID);
+ 			 return this.getTickersByAdjCloseToClosePearsonCorrelationCoefficient(orderByASC,
+ 				 tickersOfGroup,
+ 				 firstQuoteDate,
+ 				 lastQuoteDate);
+ 		 }
+ 
      
      public void SelectAllTickers()

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByCloseToCloseCorrelationToBenchmark.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10304/b3_Data/Selectors

Modified Files:
	SelectorByCloseToCloseCorrelationToBenchmark.cs 
Log Message:
The selector has been simplified

Index: SelectorByCloseToCloseCorrelationToBenchmark.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByCloseToCloseCorrelationToBenchmark.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** SelectorByCloseToCloseCorrelationToBenchmark.cs	3 Aug 2006 21:17:16 -0000	1.4
--- SelectorByCloseToCloseCorrelationToBenchmark.cs	14 Jan 2008 23:14:41 -0000	1.5
***************
*** 31,38 ****
    /// Class for selection on tickers by close to close absolute correlation to 
    /// a given benchmark
-   /// NOTE that
-   /// close values are grouped in pairs and the first close value in each group is 
-   /// not the last close in the previous group. There is, in other words, a discontinuity
-   /// between each group, with length equal to the group's length
    /// </summary>
     public class SelectorByCloseToCloseCorrelationToBenchmark : TickerSelector, ITickerSelector
--- 31,34 ----
***************
*** 131,143 ****
          float[] tickerQuotes = QuantProject.Data.DataTables.Quotes.GetArrayOfAdjustedCloseQuotes((string)row[0], 
                                  firstQuoteDate, lastQuoteDate);
!         if(tickerQuotes.Length == benchmarkQuotes.Length)
!         {
!           if((string)row[0] == benchmark)
!             row["CloseToCloseCorrelationToBenchmark"] = 1;
!           else
!             row["CloseToCloseCorrelationToBenchmark"] =
                BasicFunctions.PearsonCorrelationCoefficient(benchmarkQuotes, tickerQuotes);
-         }
-           
        }
        DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,
--- 127,132 ----
          float[] tickerQuotes = QuantProject.Data.DataTables.Quotes.GetArrayOfAdjustedCloseQuotes((string)row[0], 
                                  firstQuoteDate, lastQuoteDate);
!         row["CloseToCloseCorrelationToBenchmark"] =
                BasicFunctions.PearsonCorrelationCoefficient(benchmarkQuotes, tickerQuotes);
        }
        DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,

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

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8993/b1_ADT

Modified Files:
	ExtendedMath.cs 
Log Message:
Added static method ArrayOfAbs

Index: ExtendedMath.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ExtendedMath.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ExtendedMath.cs	8 Sep 2006 15:18:22 -0000	1.1
--- ExtendedMath.cs	14 Jan 2008 23:11:19 -0000	1.2
***************
*** 25,28 ****
--- 25,51 ----
  			return factorial;
  		}
+ 		#region ArrayOfAbs
+ 		public static double[] ArrayOfAbs( double[] sourceArray )
+ 		{
+ 			double[] arrayOfAbs = new double[sourceArray.Length];
+ 			for(int i = 0; i < sourceArray.Length; i++)
+ 				arrayOfAbs[i] = Math.Abs( sourceArray[i] );
+ 			return arrayOfAbs;
+ 		}
+ 		public static float[] ArrayOfAbs( float[] sourceArray )
+ 		{
+ 			float[] arrayOfAbs = new float[sourceArray.Length];
+ 			for(int i = 0; i < sourceArray.Length; i++)
+ 				arrayOfAbs[i] = Math.Abs( sourceArray[i] );
+ 			return arrayOfAbs;
+ 		}
+ 		public static int[] ArrayOfAbs( int[] sourceArray )
+ 		{
+ 			int[] arrayOfAbs = new int[sourceArray.Length];
+ 			for(int i = 0; i < sourceArray.Length; i++)
+ 				arrayOfAbs[i] = Math.Abs( sourceArray[i] );
+ 			return arrayOfAbs;
+ 		}
+ 		#endregion
  	}
  }

[Quantproject-developers] QuantProject/b1_ADT ExtendedDataTable.cs, 1.10, 1.11

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8107/b1_ADT

Modified Files:
	ExtendedDataTable.cs 
Log Message:
Added static method GetArrayOfStringFromColumn

Index: ExtendedDataTable.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ExtendedDataTable.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** ExtendedDataTable.cs	25 Jun 2005 10:01:54 -0000	1.10
--- ExtendedDataTable.cs	14 Jan 2008 23:10:00 -0000	1.11
***************
*** 109,112 ****
--- 109,136 ----
      }
      /// <summary>
+     /// Get an array of string corresponding to a column compatible with the string type in a given data table
+     /// </summary>
+     public static string[] GetArrayOfStringFromColumn(DataTable table,
+                                                       int columnIndex)
+     {
+       int numRows = table.Rows.Count;
+       string[] arrayOfString = new string[numRows];
+       int index = 0;
+       try
+       {
+         for(; index!= numRows; index++)
+         {
+           arrayOfString[index] = (string) table.Rows[index][columnIndex];
+         }
+       }
+       catch(Exception ex)
+       {
+         MessageBox.Show(ex.ToString());
+         index = numRows;
+       }
+       return arrayOfString;
+     }
+     
+     /// <summary>
      /// Get an array of float corresponding to a column compatible with the float type in a given data table,
      /// filtered by the given filterExpression

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedPVONoThresholds EndOfDayTimerHandlerBiasedPVONoThresholds.cs, 1.2, 1.3 GenomeManagerBiasedPVONoThresholds.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedPVONoThresholds
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7110/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedPVONoThresholds

Modified Files:
	EndOfDayTimerHandlerBiasedPVONoThresholds.cs 
	GenomeManagerBiasedPVONoThresholds.cs 
Log Message:
Several changes applied to the classes implementing the Portfolio Value 
Oscillator strategy (the most important one relates to the use of ReturnsManager)

Index: GenomeManagerBiasedPVONoThresholds.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedPVONoThresholds/GenomeManagerBiasedPVONoThresholds.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerBiasedPVONoThresholds.cs	27 Feb 2007 22:52:40 -0000	1.1
--- GenomeManagerBiasedPVONoThresholds.cs	14 Jan 2008 23:07:04 -0000	1.2
***************
*** 24,27 ****
--- 24,28 ----
  using System.Data;
  using System.Collections;
+ 
  using QuantProject.ADT;
  using QuantProject.ADT.Statistics;
***************
*** 29,32 ****
--- 30,38 ----
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
+ using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Timing;
+ using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
***************
*** 41,50 ****
    public class GenomeManagerBiasedPVONoThresholds : GenomeManagerForEfficientPortfolio
    {
! 
      public GenomeManagerBiasedPVONoThresholds(DataTable setOfInitialTickers,
                             DateTime firstQuoteDate,
                             DateTime lastQuoteDate,
                             int numberOfTickersInPortfolio,
!                            PortfolioType inSamplePortfolioType)
                             :
                            base(setOfInitialTickers,
--- 47,58 ----
    public class GenomeManagerBiasedPVONoThresholds : GenomeManagerForEfficientPortfolio
    {
! 		private ReturnsManager returnsManager;
! 		
      public GenomeManagerBiasedPVONoThresholds(DataTable setOfInitialTickers,
                             DateTime firstQuoteDate,
                             DateTime lastQuoteDate,
                             int numberOfTickersInPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
                             :
                            base(setOfInitialTickers,
***************
*** 53,142 ****
                            numberOfTickersInPortfolio,
                            0.0,
!                           inSamplePortfolioType)
                                  
                            
      {
!     	this.retrieveData();
      }
      
!     #region Get Min and Max Value
! 
!     public override int GetMinValueForGenes(int genePosition)
!     {
!     	int returnValue;
!       switch (this.portfolioType)
!       {
!         case PortfolioType.OnlyLong :
!           returnValue = 0;
!           break;
!         default://For ShortAndLong or OnlyShort portfolios
!           returnValue = - this.originalNumOfTickers;
!           break;
!       }
!     	return returnValue;
!     }
! 
!     public override int GetMaxValueForGenes(int genePosition)
!     {
!       int returnValue;
!       switch (this.portfolioType)
        {
!         case PortfolioType.OnlyShort :
!           returnValue = - 1;
!           break;
!         default ://For ShortAndLong or OnlyLong portfolios
!           returnValue = this.originalNumOfTickers - 1;
!           break;
        }
-     	return returnValue;
-     }																
-   	
-     #endregion
- 												
-     protected override float[] getArrayOfRatesOfReturn(string ticker)
-     {
-       float[] returnValue = null;
-       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
-       tickerQuotes.RecalculateCloseToCloseRatios();
-       returnValue = QuantProject.ADT.ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,
-     	                                                          Quotes.AdjustedCloseToCloseRatio);
-       for(int i = 0; i<returnValue.Length; i++)
-         returnValue[i] = returnValue[i] - 1.0f;
-       
-       this.numberOfExaminedReturns = returnValue.Length;
-       
-       return returnValue;
-     }
-     
-     //fitness is a number that indicates how much the portfolio
-     //tends to preserve equity (no gain and no loss), with a low std dev
- 	  public override double GetFitnessValue(Genome genome)
-     {
-       double returnValue = -1.0;
- 	  	this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn( genome.Genes() );
- 	  	//double[] asbolutePortfolioRatesOfReturns = new double[this.portfolioRatesOfReturn.Length];
- //	  	for( int i = 0; i<asbolutePortfolioRatesOfReturns.Length; i++ )
- //	  		asbolutePortfolioRatesOfReturns[i] = Math.Abs(this.portfolioRatesOfReturn[i]);
- 	  	returnValue = 1.0/
-         //(  BasicFunctions.SimpleAverage(asbolutePortfolioRatesOfReturns) *
-           (  
-             Math.Abs( BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn) ) *
-             BasicFunctions.StdDev(this.portfolioRatesOfReturn)  );  //);
        return returnValue;
!     }
      
!     public override object Decode(Genome genome)
!     {
!       string[] arrayOfTickers = new string[genome.Genes().Length];
!       int indexOfTicker;
!       for(int index = 0; index < genome.Genes().Length; index++)
!       {
!         indexOfTicker = (int)genome.Genes().GetValue(index);
!         arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
!       }
!       GenomeMeaningPVO meaning = new GenomeMeaningPVO(arrayOfTickers,
!                                                       0.0, 0.0, 2);
!       return meaning;
!     }
    }
  }
--- 61,134 ----
                            numberOfTickersInPortfolio,
                            0.0,
!                           inSamplePortfolioType,
!                           benchmark)
                                  
                            
      {
! 			this.setReturnsManager();
      }
      
! 		private void setReturnsManager()
! 		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager = 
! 				new ReturnsManager( new CloseToCloseIntervals(
! 																firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark),
! 														new HistoricalAdjustedQuoteProvider() ); 
! 		}
! 		
!   	private float[] getStrategyReturns_getReturnsActually(
!     									float[] plainReturns)
! 		{
! 			float[] returnValue = new float[plainReturns.Length];
! 			returnValue[0] = 0; //at the very first day the
! 			//first strategy return is equal to 0 because no position
! 			//has been entered
! 			float coefficient = 0;
!     	for(int i = 0; i < returnValue.Length - 1; i++)
        {
!     		if( plainReturns[i] >= 0 )
!     		//portfolio is overbought
!     			coefficient = -1;
!     		else if( plainReturns[i] <= 0 )
!  				//portfolio is oversold   			
!         	coefficient = 1;
!     		//else 
!     		// coefficient = coefficient; the previous coeff is kept
!     		returnValue[i + 1] = coefficient * plainReturns[i + 1];
        }
        return returnValue;
! 		}
      
!     protected override float[] getStrategyReturns()
! 		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
!               							 this.returnsManager);
! 			return this.getStrategyReturns_getReturnsActually(plainReturns);
! 		}
    }
+   	
+ //    public override object Decode(Genome genome)
+ //    {
+ //      string[] arrayOfTickers = new string[genome.Genes().Length];
+ //      int indexOfTicker;
+ //      for(int index = 0; index < genome.Genes().Length; index++)
+ //      {
+ //        indexOfTicker = (int)genome.Genes().GetValue(index);
+ //        arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
+ //      }
+ //      GenomeMeaningPVO meaning = new GenomeMeaningPVO(arrayOfTickers,
+ //                                                      0.0, 0.0, 2);
+ //      return meaning;
+ //    }
+ 
  }

Index: EndOfDayTimerHandlerBiasedPVONoThresholds.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedPVONoThresholds/EndOfDayTimerHandlerBiasedPVONoThresholds.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerBiasedPVONoThresholds.cs	29 Aug 2007 09:48:18 -0000	1.2
--- EndOfDayTimerHandlerBiasedPVONoThresholds.cs	14 Jan 2008 23:07:04 -0000	1.3
***************
*** 30,33 ****
--- 30,36 ----
  using QuantProject.Business.Timing;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Data;
  using QuantProject.Data.DataProviders;
***************
*** 78,94 ****
  	  #region MarketCloseEventHandler
      
! 		protected override double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
! 			int indexForChosenWeightedPositions)
  		{
  			double returnValue = 999.0;
  			try
  			{
  				DateTime today = 
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				DateTime lastMarketDay = 
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
! 				returnValue =
! 					this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetCloseToCloseReturn(
! 					lastMarketDay, today);
  			}
  			catch(MissingQuotesException ex)
--- 81,104 ----
  	  #region MarketCloseEventHandler
      
! 		protected override double getCurrentWeightedPositionsGainOrLoss(
! 	  	IndexBasedEndOfDayTimer timer,
! 	  	ReturnsManager returnsManager,
! 	  	int indexForChosenWeightedPositions)
  		{
  			double returnValue = 999.0;
  			try
  			{
+ 				DateTime firstDayOfOscillatingPeriod = 
+ 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod]["quDate"];
  				DateTime today = 
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
! 					new EndOfDayDateTime(firstDayOfOscillatingPeriod,
! 					EndOfDaySpecificTime.MarketClose) , 
! 					new EndOfDayDateTime(finalDateForHalfPeriod,
! 					EndOfDaySpecificTime.MarketClose) ,
! 					this.benchmark , this.numDaysForReturnCalculation ) ,
! 					new HistoricalAdjustedQuoteProvider() );
! 				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
  			}
  			catch(MissingQuotesException ex)
***************
*** 106,110 ****
             													/this.previousAccountValue;
        
!       if( portfolioGainOrLoss < -this.maxAcceptableCloseToCloseDrawdown )
        {
          this.stopLossConditionReached = true;
--- 116,120 ----
             													/this.previousAccountValue;
        
!       if( portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
        {
          this.stopLossConditionReached = true;
***************
*** 130,135 ****
            this.takeProfitConditionReached ||
            this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
!           //reversal conditions have not been reached but 
!           //stop loss or take profit conditions yes
            //or after the close it is necessary to run
            //another optimization
--- 140,144 ----
            this.takeProfitConditionReached ||
            this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
!           //stop loss or take profit conditions have been reached
            //or after the close it is necessary to run
            //another optimization
***************
*** 146,150 ****
       	  this.marketCloseEventHandler_closeIfItIsTimeToClose();
        else if ( this.account.Portfolio.Count == 0 &&
!     	         this.weightedPositionsToEvaluateOutOfSample != null )
  			//portfolio is empty and optimization has been already launched    		
      		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
--- 155,159 ----
       	  this.marketCloseEventHandler_closeIfItIsTimeToClose();
        else if ( this.account.Portfolio.Count == 0 &&
!     	         this.weightedPositionsToEvaluateOutOfSample[0] != null )
  			//portfolio is empty and optimization has been already launched    		
      		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
***************
*** 165,169 ****
            currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
            currentDate, this.numberOfTickersToBeChosen,
!           this.portfolioType);
        GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
--- 174,178 ----
            currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
            currentDate, this.numberOfTickersToBeChosen,
!           this.portfolioType,this.benchmark);
        GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedOTC_PVONoThresholds EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs, 1.2, 1.3 GenomeManagerBiasedOTC_PVONoThresholds.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedOTC_PVONoThresholds
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7110/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedOTC_PVONoThresholds

Modified Files:
	EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs 
	GenomeManagerBiasedOTC_PVONoThresholds.cs 
Log Message:
Several changes applied to the classes implementing the Portfolio Value 
Oscillator strategy (the most important one relates to the use of ReturnsManager)

Index: EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedOTC_PVONoThresholds/EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs	29 Aug 2007 09:50:20 -0000	1.2
--- EndOfDayTimerHandlerBiasedOTC_PVONoThresholds.cs	14 Jan 2008 23:07:04 -0000	1.3
***************
*** 25,28 ****
--- 25,29 ----
  
  using QuantProject.ADT;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Instruments;
***************
*** 30,33 ****
--- 31,36 ----
  using QuantProject.Business.Timing;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
  using QuantProject.Data;
  using QuantProject.Data.DataProviders;
***************
*** 87,103 ****
      }
    
!     protected virtual double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
!                                                 int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
        try
        {
! 		    DateTime today = 
! 	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!         DateTime lastMarketDay = 
!           (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
!         returnValue =
! 	      	 this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetLastNightReturn(
! 	      	      	     lastMarketDay, today);
        }
      	catch(MissingQuotesException ex)
--- 90,104 ----
      }
    
!     protected virtual double getCurrentWeightedPositionsGainOrLoss(
! 			IndexBasedEndOfDayTimer timer,
! 			ReturnsManager returnsManager,
!       int indexForChosenWeightedPositions )
      {
        double returnValue = 999.0;
        try
        {
! 		    returnValue =
! 	      	 this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetReturn(
! 		    		0 , returnsManager);
        }
      	catch(MissingQuotesException ex)
***************
*** 118,124 ****
        double currentMaxAbsoluteMove = 0.0;
        double currentAbsoluteMove = 0.0;
        for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
        {
!         currentWeightedPositionsGainOrLoss = this.getCurrentWeightedPositionsGainOrLoss(timer, i);
        	currentAbsoluteMove =
          	Math.Abs( currentWeightedPositionsGainOrLoss );
--- 119,133 ----
        double currentMaxAbsoluteMove = 0.0;
        double currentAbsoluteMove = 0.0;
+       DateTime today = timer.GetCurrentTime().DateTime;
+ 		  DateTime lastMarketDay = timer.GetPreviousDateTime();
+ 		  ReturnsManager returnsManager = new ReturnsManager(
+ 		  	new CloseToOpenIntervals(new EndOfDayDateTime(lastMarketDay, EndOfDaySpecificTime.MarketClose),
+ 		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
+ 		  	                         this.benchmark),
+ 		  	new HistoricalAdjustedQuoteProvider() );
        for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
        {
!         currentWeightedPositionsGainOrLoss = this.getCurrentWeightedPositionsGainOrLoss(
!       																			 timer, returnsManager, i);
        	currentAbsoluteMove =
          	Math.Abs( currentWeightedPositionsGainOrLoss );
***************
*** 219,223 ****
            currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
            currentDate, this.numberOfTickersToBeChosen,
!           this.portfolioType);
        GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
--- 228,232 ----
            currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
            currentDate, this.numberOfTickersToBeChosen,
!           this.portfolioType, this.benchmark);
        GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 

Index: GenomeManagerBiasedOTC_PVONoThresholds.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/BiasedOTC_PVONoThresholds/GenomeManagerBiasedOTC_PVONoThresholds.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerBiasedOTC_PVONoThresholds.cs	9 Apr 2007 18:04:00 -0000	1.2
--- GenomeManagerBiasedOTC_PVONoThresholds.cs	14 Jan 2008 23:07:04 -0000	1.3
***************
*** 24,27 ****
--- 24,28 ----
  using System.Data;
  using System.Collections;
+ 
  using QuantProject.ADT;
  using QuantProject.ADT.Statistics;
***************
*** 29,32 ****
--- 30,39 ----
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
+ using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Timing;
+ using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
***************
*** 41,50 ****
    public class GenomeManagerBiasedOTC_PVONoThresholds : GenomeManagerForEfficientPortfolio
    {
! 
      public GenomeManagerBiasedOTC_PVONoThresholds(DataTable setOfInitialTickers,
                             DateTime firstQuoteDate,
                             DateTime lastQuoteDate,
                             int numberOfTickersInPortfolio,
!                            PortfolioType inSamplePortfolioType)
                             :
                            base(setOfInitialTickers,
--- 48,59 ----
    public class GenomeManagerBiasedOTC_PVONoThresholds : GenomeManagerForEfficientPortfolio
    {
! 		private ReturnsManager returnsManager;
!   	
      public GenomeManagerBiasedOTC_PVONoThresholds(DataTable setOfInitialTickers,
                             DateTime firstQuoteDate,
                             DateTime lastQuoteDate,
                             int numberOfTickersInPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
                             :
                            base(setOfInitialTickers,
***************
*** 53,149 ****
                            numberOfTickersInPortfolio,
                            0.0,
!                           inSamplePortfolioType)
                                  
                            
      {
!     	this.retrieveData();
      }
      
!     #region Get Min and Max Value
! 
!     public override int GetMinValueForGenes(int genePosition)
!     {
!     	int returnValue;
!       switch (this.portfolioType)
!       {
!         case PortfolioType.OnlyLong :
!           returnValue = 0;
!           break;
!         default://For ShortAndLong or OnlyShort portfolios
!           returnValue = - this.originalNumOfTickers;
!           break;
!       }
!     	return returnValue;
!     }
! 
!     public override int GetMaxValueForGenes(int genePosition)
!     {
!       int returnValue;
!       switch (this.portfolioType)
!       {
!         case PortfolioType.OnlyShort :
!           returnValue = - 1;
!           break;
!         default ://For ShortAndLong or OnlyLong portfolios
!           returnValue = this.originalNumOfTickers - 1;
!           break;
!       }
!     	return returnValue;
!     }																
!   	
!     #endregion
! 												
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       float[] returnValue = new float[2*tickerQuotes.Rows.Count - 1];
!       int j = 0;
!       for(int i = 0;i<tickerQuotes.Rows.Count; i++)
        {
!         //open to close
!         returnValue[j] = (float)tickerQuotes.Rows[i]["quClose"]/
!           (float)tickerQuotes.Rows[i]["quOpen"] - 1;
!         //close to open
!         if(i<tickerQuotes.Rows.Count-1)
!         {
!           returnValue[j+1] = 
!             ( (float)tickerQuotes.Rows[i+1]["quOpen"]*
!             (float)tickerQuotes.Rows[i+1]["quAdjustedClose"]/
!             (float)tickerQuotes.Rows[i+1]["quClose"] )
!             /(float)tickerQuotes.Rows[i]["quAdjustedClose"] - 1;
!         }
!         j += 2 ;
        }
-       this.numberOfExaminedReturns = returnValue.Length;
        return returnValue;
!     }
!     
!     //fitness is a number that indicates how much the portfolio
!     //tends to preserve equity (no gain and no loss), with a low std dev
! 	  public override double GetFitnessValue(Genome genome)
!     {
!       double returnValue = -1.0;
! 	  	this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn( genome.Genes() );
! 	  	//double[] asbolutePortfolioRatesOfReturns = new double[this.portfolioRatesOfReturn.Length];
! //	  	for( int i = 0; i<asbolutePortfolioRatesOfReturns.Length; i++ )
! //	  		asbolutePortfolioRatesOfReturns[i] = Math.Abs(this.portfolioRatesOfReturn[i]);
! 	  	returnValue = BasicFunctions.SimpleAverage(this.portfolioRatesOfReturn);
!             //BasicFunctions.StdDev(this.portfolioRatesOfReturn)  );  //);
!       return returnValue;
!     }
      
!     public override object Decode(Genome genome)
!     {
!       string[] arrayOfTickers = new string[genome.Genes().Length];
!       int indexOfTicker;
!       for(int index = 0; index < genome.Genes().Length; index++)
!       {
!         indexOfTicker = (int)genome.Genes().GetValue(index);
!         arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
!       }
!       GenomeMeaningPVO meaning = new GenomeMeaningPVO(arrayOfTickers,
!                                                       0.0, 0.0, 2);
!       return meaning;
!     }
    }
  }
--- 62,120 ----
                            numberOfTickersInPortfolio,
                            0.0,
!                           inSamplePortfolioType,
!                           benchmark)
                                  
                            
      {
! 			this.setReturnsManager();
      }
      
! 		private void setReturnsManager()
! 		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			this.returnsManager = 
! 				new ReturnsManager( new OpenToCloseCloseToOpenIntervals(
! 																firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark) ,
! 														new HistoricalAdjustedQuoteProvider() ); 
! 		}
! 		
!   	private float[] getStrategyReturns_getReturnsActually(
!     									float[] plainReturns)
! 		{
! 			float[] returnValue = new float[plainReturns.Length];
! 			returnValue[0] = 0; //at the very first day the
! 			//first strategy return is equal to 0 because no position
! 			//has been entered
! 			float coefficient = 0;
!     	for(int i = 0; i < returnValue.Length - 1; i++)
        {
!     		if( plainReturns[i] >= 0 )
!     		//portfolio is overbought
!     			coefficient = -1;
!     		else if( plainReturns[i] <= 0 )
!  				//portfolio is oversold   			
!         	coefficient = 1;
!     		//else 
!     		// coefficient = coefficient; the previous coeff is kept
!     		returnValue[i + 1] = coefficient * plainReturns[i + 1];
        }
        return returnValue;
! 		}
      
!     protected override float[] getStrategyReturns()
! 		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
! 	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
!                							 this.returnsManager);
! 			return this.getStrategyReturns_getReturnsActually(plainReturns);
! 		}
    }
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator EndOfDayTimerHandlerPVO.cs, 1.7, 1.8 GenomeManagerPVO.cs, 1.3, 1.4 RunPVO.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7110/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	EndOfDayTimerHandlerPVO.cs GenomeManagerPVO.cs RunPVO.cs 
Log Message:
Several changes applied to the classes implementing the Portfolio Value 
Oscillator strategy (the most important one relates to the use of ReturnsManager)

Index: GenomeManagerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/GenomeManagerPVO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GenomeManagerPVO.cs	3 Jan 2007 23:20:14 -0000	1.3
--- GenomeManagerPVO.cs	14 Jan 2008 23:07:02 -0000	1.4
***************
*** 24,27 ****
--- 24,28 ----
  using System.Data;
  using System.Collections;
+ 
  using QuantProject.ADT;
  using QuantProject.ADT.Statistics;
***************
*** 29,32 ****
--- 30,39 ----
  using QuantProject.Data;
  using QuantProject.Data.DataTables;
+ using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Timing;
+ using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ using QuantProject.Business.Strategies.TickersRelationships;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
***************
*** 41,60 ****
    public class GenomeManagerPVO : GenomeManagerForEfficientPortfolio
    {
!     private int minLevelForOversoldThreshold;
!     private int maxLevelForOversoldThreshold;
!     private int minLevelForOverboughtThreshold;
!     private int maxLevelForOverboughtThreshold;
!     private int divisorForThresholdComputation;
!     private bool symmetricalThresholds = false;
!     private bool overboughtMoreThanOversoldForFixedPortfolio = false;
!     private int numOfGenesDedicatedToThresholds;
!    	private double currentOversoldThreshold = 0.0;
!     private double currentOverboughtThreshold = 0.0;
!     private int numDaysForOscillatingPeriod;
!     
!     private double[] portfolioValues;//the values for each unit, invested
!                                      //at the beginning of the optimization period,
!     																//throughout the period itself
!     
      private void genomeManagerPVO_checkParametersForThresholdsComputation()
      {
--- 48,66 ----
    public class GenomeManagerPVO : GenomeManagerForEfficientPortfolio
    {
!     protected int minLevelForOversoldThreshold;
!     protected int maxLevelForOversoldThreshold;
!     protected int minLevelForOverboughtThreshold;
!     protected int maxLevelForOverboughtThreshold;
!     protected int divisorForThresholdComputation;
!     protected bool symmetricalThresholds = false;
!     protected bool overboughtMoreThanOversoldForFixedPortfolio = false;
!     protected int numOfGenesDedicatedToThresholds;
!    	protected double currentOversoldThreshold = 0.0;
!     protected double currentOverboughtThreshold = 0.0;
!     protected int numDaysForOscillatingPeriod;
!     protected ReturnsManager returnsManager;
!     protected CorrelationProvider correlationProvider;//used for experimental
!     //tests using 2 tickers and PearsonCorrelationCoefficient as fitness
!         
      private void genomeManagerPVO_checkParametersForThresholdsComputation()
      {
***************
*** 86,90 ****
                             bool symmetricalThresholds,
                             bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType)
                             :
                            base(setOfInitialTickers,
--- 92,97 ----
                             bool symmetricalThresholds,
                             bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
                             :
                            base(setOfInitialTickers,
***************
*** 93,97 ****
                            numberOfTickersInPortfolio,
                            0.0,
!                           inSamplePortfolioType)
                                  
                            
--- 100,105 ----
                            numberOfTickersInPortfolio,
                            0.0,
!                           inSamplePortfolioType,
!                          	benchmark)
                                  
                            
***************
*** 110,114 ****
        	numOfGenesDedicatedToThresholds = 2;
      	this.genomeManagerPVO_checkParametersForThresholdsComputation();
!       this.retrieveData();
      }
      
--- 118,140 ----
        	numOfGenesDedicatedToThresholds = 2;
      	this.genomeManagerPVO_checkParametersForThresholdsComputation();
!     	this.setReturnsManager(firstQuoteDate , lastQuoteDate);
!     }
!     
!     protected virtual void setReturnsManager(DateTime firstQuoteDate,
!                                    DateTime lastQuoteDate)
!     {
!     	EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate,
!     		EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate,
! 				EndOfDaySpecificTime.MarketClose);
!     	this.returnsManager = 
!     		new ReturnsManager( new CloseToCloseIntervals(
! 															  firstEndOfDayDateTime, 
! 																lastEndOfDayDateTime, 
! 																this.benchmark,
! 															  this.numDaysForOscillatingPeriod),
! 														new HistoricalAdjustedQuoteProvider() );
      }
      
***************
*** 193,231 ****
    	
      #endregion
! 												
!     protected override float[] getArrayOfRatesOfReturn(string ticker)
!     {
!       float[] returnValue = null;
!       Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
!       tickerQuotes.RecalculateCloseToCloseRatios();
!       returnValue = QuantProject.ADT.ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,
!     	                                                          Quotes.AdjustedCloseToCloseRatio);
!       for(int i = 0; i<returnValue.Length; i++)
!         returnValue[i] = returnValue[i] - 1.0f;
!       
!       this.numberOfExaminedReturns = returnValue.Length;
!       
!       return returnValue;
!     }
!     //starting from this.numDaysForOscillatingPeriod day,
!     //it computes for each day ahead the value of the
!     //portfolio opened numDaysForOscillatingPeriod days ago
!     private double[] getPortfolioMovingValues()
!     {
!     	double[] returnValue = new double[this.portfolioRatesOfReturn.Length];
!       double[] valuesInOscillatingPeriod = new double[this.numDaysForOscillatingPeriod];
!       valuesInOscillatingPeriod[0] = 1.0;
!       for(int i = this.numDaysForOscillatingPeriod; i<returnValue.Length; i++)
        {
!         for(int j = 1;
!             j < this.numDaysForOscillatingPeriod; j++)
!       			  valuesInOscillatingPeriod[j] = 
!       			    valuesInOscillatingPeriod[j - 1] + 
!                 valuesInOscillatingPeriod[j - 1] * 
!                   this.portfolioRatesOfReturn[i-this.numDaysForOscillatingPeriod+j];
!         returnValue[i-1] = valuesInOscillatingPeriod[this.numDaysForOscillatingPeriod -1];
        }
        return returnValue;
!     }
  
      private void getFitnessValue_setCurrentThresholds(Genome genome)
--- 219,261 ----
    	
      #endregion
! 		
!     
!     #region getStrategyReturns
!     
!     private float[] getStrategyReturns_getReturnsActually(
!     									float[] plainReturns)
! 		{
! 			
! 			float[] returnValue = new float[plainReturns.Length];
! 			returnValue[0] = 0; //a the very first day the
! 			//strategy return is equal to 0 because no position
! 			//has been entered
! 			float coefficient = 0;
!     	for(int i = 0; i < returnValue.Length - 1; i++)
        {
!     		if( plainReturns[i] >= (float)this.currentOverboughtThreshold )
!     		//portfolio has been overbought
!     			coefficient = -1;
!     		else if( plainReturns[i] <= - (float)this.currentOversoldThreshold )
!  				//portfolio has been oversold   			
!         	coefficient = 1;
!     		//else the previous coeff is kept or, if no threshold has been
!     		//reached, then no positions will be opened (coefficient = 0) 
!     		returnValue[i + 1] = coefficient * plainReturns[i + 1];
        }
        return returnValue;
! 			
! 			//return plainReturns;
! 		}
!     
!     protected override float[] getStrategyReturns()
! 		{
! 			float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
!              								 this.returnsManager);
! 			return this.getStrategyReturns_getReturnsActually(plainReturns);
! 		}
!     	
!     #endregion
!        
  
      private void getFitnessValue_setCurrentThresholds(Genome genome)
***************
*** 241,249 ****
      }
      
!     private int getFitnessValue_getDaysOnTheMarket(double[] equityLine)
      {
        int returnValue = 0;
!       foreach(double equityReturn in equityLine)
!         if(equityReturn != 0.0)
          //the applied strategy gets positions on the market
            returnValue++;
--- 271,279 ----
      }
      
!     protected int getFitnessValue_getDaysOnTheMarket()
      {
        int returnValue = 0;
!       foreach(float strategyReturn in this.strategyReturns)
!         if(strategyReturn != 0)
          //the applied strategy gets positions on the market
            returnValue++;
***************
*** 251,315 ****
        return returnValue;
      }
! 
! 		//fitness is a sharpe-ratio based indicator for the equity line resulting
! 		//from applying the strategy
! 	  public override double GetFitnessValue(Genome genome)
      {
!       double returnValue = -1.0;
! 	  	this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
!       this.portfolioValues = this.getPortfolioMovingValues();
!       this.getFitnessValue_setCurrentThresholds(genome);
!       double[] equityLine = this.getFitnessValue_getEquityLineRates();
!       double fitness = Double.NaN;
!       if(this.getFitnessValue_getDaysOnTheMarket(equityLine) >
!           equityLine.Length / 2)
!       //if the genome represents a portfolio that stays on the market
!       //at least half of the theoretical days
!         fitness = AdvancedFunctions.GetSharpeRatio(equityLine);
!       if(!double.IsNaN(fitness) && !double.IsInfinity(fitness))
!       	returnValue = fitness;
!       
!       return returnValue;
      }
      
!     private double[] getFitnessValue_getEquityLineRates()
      {
!     	double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
!     	double coefficient = 0.0;
!     	for(int i = 0; i<this.PortfolioRatesOfReturn.Length - 1;i++)
!       {
!     		if(this.portfolioValues[i] >= 
!     		   1.0 + this.currentOverboughtThreshold)
!     		//portfolio is overbought
!     			coefficient = -1.0;
!         else if(this.portfolioValues[i] <= 
!     		        1.0 - this.currentOversoldThreshold &&
!                 this.portfolioValues[i] > 0.0)
!  				//portfolio is oversold   			
!         	coefficient = 1.0;
!     		  		
!     		returnValue[i + 1] = 
!     			coefficient * this.PortfolioRatesOfReturn[i + 1];
!       }
!       return returnValue;
      }
! 	  
!     protected override double getTickerWeight(int[] genes, int tickerPositionInGenes)
      {
!       return 1.0/(genes.Length - this.numOfGenesDedicatedToThresholds);
      }
! 
!     protected override double[] getPortfolioRatesOfReturn(int[] genes)
      {
!       double[] returnValue = new double[this.numberOfExaminedReturns];
!       for(int i = 0; i<returnValue.Length; i++)    
!       {  
!         for(int j=this.numOfGenesDedicatedToThresholds; j<genes.Length; j++)//the first numOfGenesDedicatedToThresholds are for thresholds
!           returnValue[i] +=
!             this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(genes,j,i);
!       }
!       return returnValue;
      }
  
      public override object Decode(Genome genome)
      {
--- 281,348 ----
        return returnValue;
      }
! 		
!     private double getFitnessValue_calculate_calculateActually()
      {
!     	return this.AverageOfStrategyReturns/Math.Sqrt(this.VarianceOfStrategyReturns);
! 			//return Math.Sqrt(this.VarianceOfStrategyReturns);
      }
      
!     
!     protected override double getFitnessValue_calculate()
      {
! 			double returnValue = -1.0;
! 				if(this.getFitnessValue_getDaysOnTheMarket() >
!           this.strategyReturns.Length / 2)
! 	    	//if the genome represents a portfolio that stays on the market
! 	      //at least half of the theoretical days
! 						returnValue = 
! 							this.getFitnessValue_calculate_calculateActually();
! 			return returnValue;
      }
!     
!     protected string getFitnessValue_getFirstTickerFromGenome(Genome genome)
      {
!     	GenomeMeaningPVO genomeMeaning = (GenomeMeaningPVO)genome.Meaning;
!     	return genomeMeaning.Tickers[0];
      }
!     protected string getFitnessValue_getSecondTickerFromGenome(Genome genome)
      {
!     	GenomeMeaningPVO genomeMeaning = (GenomeMeaningPVO)genome.Meaning;
!     	return genomeMeaning.Tickers[1];
      }
+     
+ 		//fitness is a sharpe-ratio based indicator for the equity line resulting
+ 		//from applying the strategy
+ 	  public override double GetFitnessValue(Genome genome)
+     {
+ //OLD CLASSICAL IMPLEMENTATION (sharpeRatio applied to strategyReturns)
+ //      this.getFitnessValue_setCurrentThresholds(genome);
+ //      return base.GetFitnessValue(genome);
  
+ //NEW implementation: fitness is just the pearson correlation
+ //applied to two tickers. This kind of fitness is only valid
+ //for experimental tests with 2-tickers portfolios
+ 			double returnValue = -2.0;
+ 			if(this.correlationProvider == null)
+ 				this.correlationProvider = new CloseToCloseCorrelationProvider(
+ 					QuantProject.ADT.ExtendedDataTable.GetArrayOfStringFromColumn(this.setOfTickers, 0),
+ 					this.returnsManager, 0.0001f, 0.5f);
+ 			string firstTicker = this.getFitnessValue_getFirstTickerFromGenome(genome);
+ 			string secondTicker = this.getFitnessValue_getSecondTickerFromGenome(genome);
+ 			if(  ( firstTicker.StartsWith("-") && !secondTicker.StartsWith("-") ) ||
+ 			   	 ( secondTicker.StartsWith("-") && !firstTicker.StartsWith("-") )     )
+ 			//tickers have to be opposite in sign	
+ 			{
+ 				double correlationIndex = correlationProvider.GetPearsonCorrelation(
+ 					SignedTicker.GetTicker(firstTicker),
+ 					SignedTicker.GetTicker(secondTicker) );
+ 				if(correlationIndex < 0.96)
+ 				//	if correlation index is not too high to be 
+ 				//  probably originated by the same instrument
+ 					returnValue = correlationIndex;
+ 			}
+ 			return returnValue;
+     }
+     	  
      public override object Decode(Genome genome)
      {
***************
*** 326,338 ****
                    this.decode_getTickerCodeForLongOrShortTrade(geneForTicker);
        }
        if(this.symmetricalThresholds)
!       		meaning = new GenomeMeaningPVO(
!                                       arrayOfTickers,
                                        Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
                                        Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
                                       	this.numDaysForOscillatingPeriod);
        else
!       		meaning = new GenomeMeaningPVO(
!                                       arrayOfTickers,
                                        Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
                                        Convert.ToDouble(genome.Genes()[1])/Convert.ToDouble(this.divisorForThresholdComputation),
--- 359,376 ----
                    this.decode_getTickerCodeForLongOrShortTrade(geneForTicker);
        }
+       	
+       double[] arrayOfWeights = ExtendedMath.ArrayOfAbs(
+ 				WeightedPositions.GetBalancedWeights(new SignedTickers(arrayOfTickers),
+ 	                                     this.returnsManager) );
+       
        if(this.symmetricalThresholds)
!       		meaning = new GenomeMeaningPVO(arrayOfTickers,
! 																			arrayOfWeights,
                                        Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
                                        Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
                                       	this.numDaysForOscillatingPeriod);
        else
!       		meaning = new GenomeMeaningPVO(arrayOfTickers,
! 																			arrayOfWeights,
                                        Convert.ToDouble(genome.Genes()[0])/Convert.ToDouble(this.divisorForThresholdComputation),
                                        Convert.ToDouble(genome.Genes()[1])/Convert.ToDouble(this.divisorForThresholdComputation),

Index: RunPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/RunPVO.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunPVO.cs	27 Feb 2007 22:19:51 -0000	1.4
--- RunPVO.cs	14 Jan 2008 23:07:02 -0000	1.5
***************
*** 61,64 ****
--- 61,65 ----
      protected int numDaysBetweenEachOptimization;
      protected double maxAcceptableCloseToCloseDrawdown;
+     protected double minimumAcceptableGain;
      protected int numDaysForOscillatingPeriod;
      protected bool symmetricalThresholds = false;
***************
*** 80,83 ****
--- 81,85 ----
                                     	int numDaysBetweenEachOptimization,
                                      PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown, 
+                                     double minimumAcceptableGain,
                                      double maxRunningHours):
  																base(tickerGroupID, maxNumOfEligibleTickersForOptimization, 
***************
*** 97,100 ****
--- 99,103 ----
        this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
+       this.minimumAcceptableGain = minimumAcceptableGain;
        this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
***************
*** 119,123 ****
                                                                this.overboughtMoreThanOversoldForFixedPortfolio,
      	                                                        this.numDaysBetweenEachOptimization,
!                                                               this.portfolioType, this.maxAcceptableCloseToCloseDrawdown);
      }
      
--- 122,127 ----
                                                                this.overboughtMoreThanOversoldForFixedPortfolio,
      	                                                        this.numDaysBetweenEachOptimization,
!                                                               this.portfolioType, this.maxAcceptableCloseToCloseDrawdown,
!                                                               this.minimumAcceptableGain);
      }
      

Index: EndOfDayTimerHandlerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EndOfDayTimerHandlerPVO.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** EndOfDayTimerHandlerPVO.cs	23 Sep 2007 22:07:57 -0000	1.7
--- EndOfDayTimerHandlerPVO.cs	14 Jan 2008 23:07:02 -0000	1.8
***************
*** 30,36 ****
--- 30,41 ----
  using QuantProject.Business.Timing;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Strategies.TickersRelationships;
  using QuantProject.Data;
  using QuantProject.Data.DataProviders;
  using QuantProject.Data.Selectors;
+ //using QuantProject.Data.Selectors.ByLinearDipendence;
  using QuantProject.Data.DataTables;
  using QuantProject.ADT.Optimizing.Genetic;
***************
*** 57,60 ****
--- 62,66 ----
      protected double currentOverboughtThreshold;
      protected double maxAcceptableCloseToCloseDrawdown;
+     protected double minimumAcceptableGain;
      protected DateTime lastCloseDate;
      protected IGenomeManager iGenomeManager;
***************
*** 64,67 ****
--- 70,74 ----
      protected bool symmetricalThresholds;
      protected bool overboughtMoreThanOversoldForFixedPortfolio;
+     protected HistoricalAdjustedQuoteProvider historicalQuoteProvider;
          
      public EndOfDayTimerHandlerPVO(string tickerGroupID, int numberOfEligibleTickers, 
***************
*** 80,84 ****
                                  bool overboughtMoreThanOversoldForFixedPortfolio,
                                  int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
--- 87,92 ----
                                  bool overboughtMoreThanOversoldForFixedPortfolio,
                                  int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 double minimumAcceptableGain):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
***************
*** 97,100 ****
--- 105,109 ----
        this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
+       this.minimumAcceptableGain = minimumAcceptableGain;
        this.stopLossConditionReached = false;
        this.currentAccountValue = 0.0;
***************
*** 104,107 ****
--- 113,117 ----
        this.portfolioHasBeenOverbought = false;
        this.portfolioHasBeenOversold = false;
+       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
      }
  	
***************
*** 114,142 ****
      #region MarketCloseEventHandler
      
!     protected void marketCloseEventHandler_updateStopLossCondition()
!     {
!       this.previousAccountValue = this.currentAccountValue;
!       this.currentAccountValue = this.account.GetMarketValue();
!       if( (this.currentAccountValue - this.previousAccountValue)/
!           this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown )
!         this.stopLossConditionReached = true;
!       else
!         this.stopLossConditionReached = false;
!     }    
! 
!     protected virtual double getCurrentChosenWeightedPositionsValue(IndexBasedEndOfDayTimer timer)
      {
        double returnValue = 999.0;
        try
        {
! 		    DateTime initialDate = 
! 	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod + 2]["quDate"];
! 	      //so to replicate exactly in sample scheme, where only numOscillatingDay - 1 returns
!         //are computed
!         DateTime finalDate = 
! 	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!       	returnValue =
! 	      	 this.chosenWeightedPositions.GetCloseToCloseReturn( initialDate,   	     
! 	      	     																		finalDate) + 1.0;
        }
      	catch(MissingQuotesException ex)
--- 124,144 ----
      #region MarketCloseEventHandler
      
!     protected virtual double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
      {
        double returnValue = 999.0;
        try
        {
! 				DateTime firstDayOfOscillatingPeriod = 
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod]["quDate"];
! 				DateTime today = 
! 					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
! 					new EndOfDayDateTime(firstDayOfOscillatingPeriod,
! 					EndOfDaySpecificTime.MarketClose) , 
! 					new EndOfDayDateTime(today,
! 					EndOfDaySpecificTime.MarketClose) ,
! 					this.benchmark , this.numDaysForOscillatingPeriod ) ,
! 					this.historicalQuoteProvider );
! 				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
        }
      	catch(MissingQuotesException ex)
***************
*** 149,179 ****
      private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
      {
!       double currentChosenWeightedPositionsTickersValue = 
!         this.getCurrentChosenWeightedPositionsValue(timer);
!       if(currentChosenWeightedPositionsTickersValue != 999.0)
!         //currentChosenTickersValue has been properly computed
        {
!       	if(this.portfolioType == PortfolioType.ShortAndLong)
!       	//it is possible to reverse positions
!       	{
!       		if(currentChosenWeightedPositionsTickersValue >= 1.0 + currentOverboughtThreshold &&
!       	    this.portfolioHasBeenOversold)
!       		//open positions derive from an overSold period but now
!       		//an the overbought threshold has been reached
!       		{
!       			this.reversePositions();
!       			this.portfolioHasBeenOversold = false;
!       			this.portfolioHasBeenOverbought = true;
!       		}
!       		if(currentChosenWeightedPositionsTickersValue <= 1.0 - currentOversoldThreshold &&
!       	    this.portfolioHasBeenOverbought)
!       		//open positions derive from an overSold period but now
!       		//an the overbought threshold has been reached
!       		{
!       			this.reversePositions();
!       			this.portfolioHasBeenOversold = true;
!       			this.portfolioHasBeenOverbought = false;
!       		}	
!       	}
        }
      }
--- 151,181 ----
      private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
      {
!       double currentChosenWeightedPositionsReturn = 
!         this.getCurrentChosenWeightedPositionsReturn(timer);
!       if(currentChosenWeightedPositionsReturn != 999.0 &&
!          this.portfolioType == PortfolioType.ShortAndLong)
!         //currentChosenWeightedPositionsReturn has been
!       	//properly computedand it is possible to reverse positions
        {
!     		if(currentChosenWeightedPositionsReturn >= currentOverboughtThreshold &&
!       	   this.portfolioHasBeenOversold)
!     		//open positions derive from an overSold period but now
!     		//the overbought threshold has been reached
!     		{
!     			this.reversePositions();
!     			this.portfolioHasBeenOversold = false;
!     			this.portfolioHasBeenOverbought = true;
!     			this.previousAccountValue = this.account.GetMarketValue();
!     		}
!     		if(currentChosenWeightedPositionsReturn <= - currentOversoldThreshold &&
!       	   this.portfolioHasBeenOverbought)
!     		//open positions derive from an overBought period but now
!     		//the overSold threshold has been reached
!     		{
!     			this.reversePositions();
!     			this.portfolioHasBeenOversold = true;
!     			this.portfolioHasBeenOverbought = false;
!     			this.previousAccountValue = this.account.GetMarketValue();
!     		}	
        }
      }
***************
*** 183,192 ****
        if(this.account.CashAmount == 0.0 && this.account.Transactions.Count == 0)
  				this.account.AddCash(15000);
! 			double currentChosenWeightedPositionsValue = 
!       		this.getCurrentChosenWeightedPositionsValue(timer);
!     	if(currentChosenWeightedPositionsValue != 999.0)
      	//currentChosenTickersValue has been properly computed
      	{
!     		if(currentChosenWeightedPositionsValue >= 1.0 + currentOverboughtThreshold &&
             this.portfolioType == PortfolioType.ShortAndLong)
      		{
--- 185,194 ----
        if(this.account.CashAmount == 0.0 && this.account.Transactions.Count == 0)
  				this.account.AddCash(15000);
! 			double currentChosenWeightedPositionsReturn = 
!       		this.getCurrentChosenWeightedPositionsReturn(timer);
!     	if(currentChosenWeightedPositionsReturn != 999.0)
      	//currentChosenTickersValue has been properly computed
      	{
!     		if(currentChosenWeightedPositionsReturn >= currentOverboughtThreshold &&
             this.portfolioType == PortfolioType.ShortAndLong)
      		{
***************
*** 198,201 ****
--- 200,204 ----
              this.portfolioHasBeenOverbought = true;
            	this.portfolioHasBeenOversold = false;
+           	this.previousAccountValue = this.account.GetMarketValue();
            }
            catch(Exception ex)
***************
*** 208,219 ****
            }
      		}
!         else if (currentChosenWeightedPositionsValue <= 1.0 - currentOversoldThreshold)
      		{
            AccountManager.OpenPositions( this.chosenWeightedPositions,
!           	                            	this.account );
            this.portfolioHasBeenOverbought = false;
            this.portfolioHasBeenOversold = true;
          }
!     	}
      }
      
--- 211,223 ----
            }
      		}
!         else if (currentChosenWeightedPositionsReturn <= - currentOversoldThreshold)
      		{
            AccountManager.OpenPositions( this.chosenWeightedPositions,
!           	                            this.account );
            this.portfolioHasBeenOverbought = false;
            this.portfolioHasBeenOversold = true;
+           this.previousAccountValue = this.account.GetMarketValue();
          }
!      	}
      }
      
***************
*** 221,231 ****
      {
        if(this.stopLossConditionReached ||
!         this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
        {    
      		AccountManager.ClosePositions(this.account);
-         //a new optimization is needed, now
-         this.chosenWeightedPositions = null;
-         //when positions are closed, these parameters
-         //have to be reset to false
          this.portfolioHasBeenOverbought = false;
          this.portfolioHasBeenOversold = false;
--- 225,232 ----
      {
        if(this.stopLossConditionReached ||
!     	   this.takeProfitConditionReached ||
!          this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
        {    
      		AccountManager.ClosePositions(this.account);
          this.portfolioHasBeenOverbought = false;
          this.portfolioHasBeenOversold = false;
***************
*** 233,240 ****
      }    
      
      public override void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       //this.marketCloseEventHandler_updateStopLossCondition();  
        this.marketCloseEventHandler_closePositionsIfNeeded();
        if(this.chosenWeightedPositions != null)
--- 234,261 ----
      }    
      
+     protected virtual void marketCloseEventHandler_updateStopLossAndTakeProfitConditions()
+     {
+       //this.previousAccountValue has been set at opening positions
+       this.currentAccountValue = this.account.GetMarketValue();
+       double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
+            													/this.previousAccountValue;
+       
+       if( portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
+       {
+         this.stopLossConditionReached = true;
+         this.takeProfitConditionReached = false;
+       }
+       else if (portfolioGainOrLoss >= this.minimumAcceptableGain)
+                
+       {
+         this.stopLossConditionReached = false;
+         this.takeProfitConditionReached = true;
+       }
+     }
+     
      public override void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();  
        this.marketCloseEventHandler_closePositionsIfNeeded();
        if(this.chosenWeightedPositions != null)
***************
*** 247,251 ****
              this.marketCloseEventHandler_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
        }
-          
      }
  
--- 268,271 ----
***************
*** 253,258 ****
      
      #region OneHourAfterMarketCloseEventHandler
!    
! 
      protected virtual DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
--- 273,277 ----
      
      #region OneHourAfterMarketCloseEventHandler
!   
      protected virtual DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
***************
*** 262,269 ****
        
        SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate.AddDays(-30),
        	                                  currentDate,
        	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  20,500, 0.0001,100);
   
        SelectorByLiquidity mostLiquidSelector =
--- 281,288 ----
        
        SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate.AddDays(-15),
        	                                  currentDate,
        	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  30,3000, 0.0001,100);
   
        SelectorByLiquidity mostLiquidSelector =
***************
*** 283,288 ****
          false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
          this.numberOfEligibleTickers, this.benchmark);
!      
!       return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(); 
      	//for debug
  //      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
--- 302,330 ----
          false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
          this.numberOfEligibleTickers, this.benchmark);
! //      SelectorByMaxLinearDipendence dipendentTickers = 
! //				new SelectorByMaxLinearDipendence(quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(),
! //						currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //						this.numberOfEligibleTickers/2,2,1000, this.benchmark);
! //			return dipendentTickers.GetTableOfSelectedTickers();
! 				
! //				DataTable quotedAtEachMarketDay = 
! //					quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
! //				
! //				CloseToCloseCorrelationProvider correlationProvider = 
! //					new CloseToCloseCorrelationProvider(
! //							QuantProject.ADT.ExtendedDataTable.GetArrayOfStringFromColumn(
! //							quotedAtEachMarketDay, 0 ),
! //              currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! //              currentDate,1,0.005,this.benchmark);
! 
! //			SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
! //				new SelectorByCloseToCloseCorrelationToBenchmark(
! //					quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(),
! //					this.benchmark, false,
! //					currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //					this.numberOfEligibleTickers / 2, false);
! //			return byCorrelationToBenchmark.GetTableOfSelectedTickers();
!       
! 			return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
      	//for debug
  //      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
***************
*** 334,338 ****
            this.symmetricalThresholds,
            this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
--- 376,380 ----
            this.symmetricalThresholds,
            this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType,this.benchmark);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
***************
*** 341,345 ****
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
!         GO.MutationRate = 0.2;
          GO.Run(false);
          
--- 383,387 ----
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
!         GO.MutationRate = 0.1;
          GO.Run(false);
          

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7110/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

Modified Files:
	EndOfDayTimerHandlerBiasedPVO.cs RunBiasedPVO.cs 
Log Message:
Several changes applied to the classes implementing the Portfolio Value 
Oscillator strategy (the most important one relates to the use of ReturnsManager)

Index: RunBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunBiasedPVO.cs	8 Apr 2007 18:56:00 -0000	1.2
--- RunBiasedPVO.cs	14 Jan 2008 23:07:03 -0000	1.3
***************
*** 24,27 ****
--- 24,29 ----
  using System.Collections;
  using System.Data;
+ using System.IO;
+ 
  using QuantProject.ADT;
  using QuantProject.ADT.Optimizing.Genetic;
***************
*** 58,65 ****
  	public class RunBiasedPVO : RunPVO
  	{
!     private int numOfDifferentGenomesToEvaluateOutOfSample;
!     private double minimumAcceptableGain;
!     
!     public RunBiasedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization, 
                                      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
                                      int generationNumberForGeneticOptimizer,
--- 60,84 ----
  	public class RunBiasedPVO : RunPVO
  	{
!     protected double minPriceForTickersToBeChosen;
!     protected double maxPriceForTickersToBeChosen;
! 		protected int numOfDifferentGenomesToEvaluateOutOfSample;
!     protected int numDaysOfStayingOnTheMarket;
!     protected double maxCoefficientForDegreeComputationOfCrossingThreshold;
! 		protected double numOfStdDevForThresholdsComputation;
! 		protected bool resetThresholdsBeforeCheckingOutOfSample;
! 		protected bool buyOnlyPositionsThatAreMovingTogether;
! 		protected bool doNotOpenReversedPositionsThatHaveJustBeenClosed;
! 		protected int numDaysForThresholdsReComputation;
!    
! 		protected string pathOfFileContainingGenomes;
! 		public string PathOfFileContainingGenomes
! 		{
! 			get { return pathOfFileContainingGenomes; }
! 			set { pathOfFileContainingGenomes = value; }
! 		}
! 		
!     public RunBiasedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization,
! 		                    						double minPriceForTickersToBeChosen,
! 		                    						double maxPriceForTickersToBeChosen,
                                      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
                                      int generationNumberForGeneticOptimizer,
***************
*** 67,71 ****
--- 86,97 ----
                                      DateTime startDate, DateTime endDate,
                                      int numOfDifferentGenomesToEvaluateOutOfSample,
+                                     bool resetThresholdsBeforeCheckingOutOfSample,
+                                     int numDaysForThresholdsReComputation,
+                                     double numOfStdDevForThresholdsComputation,
+                                     double maxCoefficientForDegreeComputationOfCrossingThreshold,
+                                     bool buyOnlyPositionsThatAreMovingTogether,
+                                     bool doNotOpenReversedPositionsThatHaveJustBeenClosed,
                                      int numDaysForOscillatingPeriod,
+                                     int numDaysOfStayingOnTheMarket,
                                      int minLevelForOversoldThreshold,
                                      int maxLevelForOversoldThreshold,
***************
*** 93,101 ****
                              numDaysBetweenEachOptimization,
                              inSamplePortfolioType, maxAcceptableCloseToCloseDrawdown, 
                              maxRunningHours)
  		{
!       this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
        this.minimumAcceptableGain = minimumAcceptableGain;
!       this.ScriptName = "PVO_Biased_WithWeightsPriceSel";
  		}
  
--- 119,144 ----
                              numDaysBetweenEachOptimization,
                              inSamplePortfolioType, maxAcceptableCloseToCloseDrawdown, 
+                             minimumAcceptableGain,
                              maxRunningHours)
  		{
!       this.minPriceForTickersToBeChosen = minPriceForTickersToBeChosen;
!       this.maxPriceForTickersToBeChosen = maxPriceForTickersToBeChosen;
! 			this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
        this.minimumAcceptableGain = minimumAcceptableGain;
!       //this.ScriptName = "PVO_Biased_WithWeightsPriceSel";
!       this.ScriptName = "PVO_Biased_NoWeightsPriceSel";
!       this.numDaysOfStayingOnTheMarket = numDaysOfStayingOnTheMarket;
!       this.maxCoefficientForDegreeComputationOfCrossingThreshold = maxCoefficientForDegreeComputationOfCrossingThreshold;
!       this.resetThresholdsBeforeCheckingOutOfSample = resetThresholdsBeforeCheckingOutOfSample;
!       this.numDaysForThresholdsReComputation = numDaysForThresholdsReComputation;
!       this.numOfStdDevForThresholdsComputation = numOfStdDevForThresholdsComputation;
!       this.buyOnlyPositionsThatAreMovingTogether = buyOnlyPositionsThatAreMovingTogether;
!       this.doNotOpenReversedPositionsThatHaveJustBeenClosed = doNotOpenReversedPositionsThatHaveJustBeenClosed;
!       this.pathOfFileContainingGenomes = null;
!       //if this field is set to null, selections of tickers (with
!       //optimization), takes place; otherwise, tickers for
!       //out of sample testing are chosen from a given
!       //set of genomes saved to disk (representing a set of
!       //a certain number of optimizations run over a given period)
  		}
  
***************
*** 105,127 ****
      {
        this.endOfDayTimerHandler = new EndOfDayTimerHandlerBiasedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
!                                                               this.account,
!     	                                                        this.generationNumberForGeneticOptimizer,
!     	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
!     	                                                        this.numOfDifferentGenomesToEvaluateOutOfSample,
!                                                               this.numDaysForOscillatingPeriod,
!     	                                                        this.minLevelForOversoldThreshold,
!                                                               this.maxLevelForOversoldThreshold,
!                                                               this.minLevelForOverboughtThreshold,
!                                                               this.maxLevelForOverboughtThreshold,
!                                                               this.divisorForThresholdComputation,
!                                                               this.symmetricalThresholds,
!                                                               this.overboughtMoreThanOversoldForFixedPortfolio,
!     	                                                        this.numDaysBetweenEachOptimization,
!                                                               this.portfolioType, this.maxAcceptableCloseToCloseDrawdown, 
!                                                               this.minimumAcceptableGain);
      }
      
!    
  
      public override void SaveScriptResults()
--- 148,228 ----
      {
        this.endOfDayTimerHandler = new EndOfDayTimerHandlerBiasedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
!     	                                                              this.minPriceForTickersToBeChosen,
!     	                                                              this.maxPriceForTickersToBeChosen,
! 			    	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
! 			                                                              this.account,
! 			                                                              this.PathOfFileContainingGenomes,
! 			    	                                                        this.generationNumberForGeneticOptimizer,
! 			    	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
! 			    	                                                        this.numOfDifferentGenomesToEvaluateOutOfSample,
! 																																		this.resetThresholdsBeforeCheckingOutOfSample,
! 																																		this.numDaysForThresholdsReComputation,
! 																																		this.numOfStdDevForThresholdsComputation,
! 																																		this.maxCoefficientForDegreeComputationOfCrossingThreshold,
! 																																		this.buyOnlyPositionsThatAreMovingTogether,
! 																																		this.doNotOpenReversedPositionsThatHaveJustBeenClosed,
! 			                                                              this.numDaysForOscillatingPeriod,
! 			                                                              this.numDaysOfStayingOnTheMarket,
! 			    	                                                        this.minLevelForOversoldThreshold,
! 			                                                              this.maxLevelForOversoldThreshold,
! 			                                                              this.minLevelForOverboughtThreshold,
! 			                                                              this.maxLevelForOverboughtThreshold,
! 			                                                              this.divisorForThresholdComputation,
! 			                                                              this.symmetricalThresholds,
! 			                                                              this.overboughtMoreThanOversoldForFixedPortfolio,
! 			    	                                                        this.numDaysBetweenEachOptimization,
! 			                                                              this.portfolioType, this.maxAcceptableCloseToCloseDrawdown, 
! 			                                                              this.minimumAcceptableGain);
      }
      
!        
! 		private void saveScriptResults_saveScriptFeaturesToLogFile(string nameForScriptFiles)
! 		{
! 			string pathFile = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
! 												"\\" + this.ScriptName + "\\" + nameForScriptFiles + ".txt";
! 			StreamWriter w = File.AppendText(pathFile);
! 			w.WriteLine ("\n----------------------------------------------\r\n");
! 			w.Write("\r\nScript file: {0}\r", nameForScriptFiles);
! 			w.Write("\r\nSelection of tickers from group: {0}\r", this.tickerGroupID);
! 			w.Write("\r\nSelect eligible from tickers with minimum price (in the last 30 days): {0}\r", this.minPriceForTickersToBeChosen.ToString());
! 			w.Write("\r\nSelect eligible from tickers with maximum price (in the last 30 days): {0}\r", this.maxPriceForTickersToBeChosen.ToString());
! 			w.Write("\r\nMax num of eligible tickers for optimization (most liquid): {0}\r", this.numberOfEligibleTickers.ToString());
! 			w.Write("\r\nNum of tickers in portfolio: {0}\r", this.numberOfTickersToBeChosen.ToString());
! 			w.Write("\r\nPath name file of already optimized genomes: {0}\r", this.PathOfFileContainingGenomes);
! 			w.Write("\r\nLength in days for optimization period: {0}\r", this.numDaysForOptimizationPeriod.ToString());
! 			w.Write("\r\nGeneration number for genetic optimizer: {0}\r", this.generationNumberForGeneticOptimizer.ToString());
! 			w.Write("\r\nPopulation size for genetic optimizer: {0}\r", this.populationSizeForGeneticOptimizer.ToString());
! 			w.Write("\r\nOptimization each (num of days): {0}\r", this.numDaysBetweenEachOptimization.ToString());
! 			w.Write("\r\nBenchmark: {0}\r", this.benchmark);
! 			w.Write("\r\nStart date: {0}\r", this.startDateTime.DateTime.ToLongDateString());
! 			w.Write("\r\nEnd date: {0}\r", this.endDateTime.DateTime.ToLongDateString());
! 			w.Write("\r\nNum of genomes to check out of sample: {0}\r", this.numOfDifferentGenomesToEvaluateOutOfSample.ToString());
! 			w.Write("\r\nReset thresholds out of sample: {0}\r", this.resetThresholdsBeforeCheckingOutOfSample.ToString());
! 			w.Write("\r\nNum of Days for thresholds recomputation out of sample: {0}\r", this.numDaysForThresholdsReComputation.ToString());
! 			w.Write("\r\nNum of standard deviation from average for setting thresholds out of sample: {0}\r", this.numOfStdDevForThresholdsComputation.ToString());
! 			w.Write("\r\nDiscard genome if degree of crossing threshold is {0} * threshold away\r", this.maxCoefficientForDegreeComputationOfCrossingThreshold.ToString());
! 			w.Write("\r\nBuy only positions that are moving together: {0}\r", this.buyOnlyPositionsThatAreMovingTogether.ToString());
! 			w.Write("\r\nDo not reverse positions that have just been closed: {0}\r", this.doNotOpenReversedPositionsThatHaveJustBeenClosed.ToString());
! 			w.Write("\r\nLength return (oscillating period): {0}\r", this.numDaysForOscillatingPeriod.ToString());
! 			w.Write("\r\nNumDays of staying on the market: {0}\r", this.numDaysOfStayingOnTheMarket.ToString());
! 			w.Write("\r\nMin level for oversold threshold: {0}\r", this.minLevelForOversoldThreshold.ToString());
! 			w.Write("\r\nMax level for oversold threshold: {0}\r", this.maxLevelForOversoldThreshold.ToString());
! 			w.Write("\r\nMin level for overbought threshold: {0}\r", this.minLevelForOverboughtThreshold.ToString());
! 			w.Write("\r\nMax level for overbought threshold: {0}\r", this.maxLevelForOverboughtThreshold.ToString());
! 			w.Write("\r\nDivisor for threshold computation: {0}\r", this.divisorForThresholdComputation.ToString());
! 			w.Write("\r\nSymmetrical thresholds: {0}\r", this.symmetricalThresholds.ToString());
! 			w.Write("\r\nOverbought more than oversold: {0}\r", this.overboughtMoreThanOversoldForFixedPortfolio.ToString());
! 			w.Write("\r\nSymmetrical thresholds: {0}\r", this.symmetricalThresholds.ToString());
! 			w.Write("\r\nNum days between each optimization: {0}\r", this.numDaysBetweenEachOptimization.ToString());
! 			w.Write("\r\nIn sample portfolio type: {0}\r", this.portfolioType.ToString());
! 			w.Write("\r\nMax acceptable draw down: {0}\r", this.maxAcceptableCloseToCloseDrawdown.ToString());
! 			w.Write("\r\nMinimum acceptable gain: {0}\r", this.minimumAcceptableGain.ToString());
! 			w.Write("\r\nMax running hours: {0}\r", this.maxRunningHours.ToString());
! 			w.WriteLine ("\n----------------------------------------------");
! 			//w.Write("\r\nFitnesses compared (sharpe r. OTC): {0}\r", this.fitnessesInSample.Length.ToString());
! 			// Update the underlying file.
! 			w.Flush();
! 			w.Close();	
! 		}
  
      public override void SaveScriptResults()
***************
*** 129,132 ****
--- 230,234 ----
      	string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
      										DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
+     										DateTime.Now.Second.ToString().PadLeft(2,'0') + "_" +
      		        				this.scriptName +  "GenOS_" + this.numOfDifferentGenomesToEvaluateOutOfSample +
                          "_OsDays_" + numDaysForOscillatingPeriod +
***************
*** 145,170 ****
        
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
        		optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
                                dirNameWhereToSaveBestGenomes + 
                                fileName + ".bgn");
!       
!       //default report with numIntervalDays = 1
        AccountReport accountReport = this.account.CreateReport(fileName,1,
                                      		this.endOfDayTimer.GetCurrentTime(),
                                      		this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
        ObjectArchiver.Archive(accountReport,
                               dirNameWhereToSaveReports + 
                               fileName + ".qPr");
!             
        this.endOfDayTimer.Stop();
-        
      }
      
!     
      #endregion 
  	}
--- 247,272 ----
        
        this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       if( this.PathOfFileContainingGenomes == null )
!       {
!       	OptimizationOutput optimizationOutput = new OptimizationOutput();
!         foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
        		optimizationOutput.Add(genomeRepresentation);
!       	ObjectArchiver.Archive(optimizationOutput,
                                dirNameWhereToSaveBestGenomes + 
                                fileName + ".bgn");
!       }
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
        AccountReport accountReport = this.account.CreateReport(fileName,1,
                                      		this.endOfDayTimer.GetCurrentTime(),
                                      		this.benchmark,
!                                     		new HistoricalAdjustedQuoteProvider());
        ObjectArchiver.Archive(accountReport,
                               dirNameWhereToSaveReports + 
                               fileName + ".qPr");
!       this.saveScriptResults_saveScriptFeaturesToLogFile(fileName);      
        this.endOfDayTimer.Stop();
      }
      
!       
      #endregion 
  	}

Index: EndOfDayTimerHandlerBiasedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/EndOfDayTimerHandlerBiasedPVO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerBiasedPVO.cs	29 Aug 2007 09:47:54 -0000	1.3
--- EndOfDayTimerHandlerBiasedPVO.cs	14 Jan 2008 23:07:03 -0000	1.4
***************
*** 25,28 ****
--- 25,31 ----
  
  using QuantProject.ADT;
+ using QuantProject.ADT.Statistics;
+ using QuantProject.ADT.FileManaging;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Instruments;
***************
*** 30,33 ****
--- 33,39 ----
  using QuantProject.Business.Timing;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ using QuantProject.Business.Strategies.TickersRelationships;
  using QuantProject.Data;
  using QuantProject.Data.DataProviders;
***************
*** 39,43 ****
  using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator;
  using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.WeightedPVO.WeightedBalancedPVO;
- using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.BiasedPVO.BiasedPVONoThresholds;
  
  namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.BiasedPVO
--- 45,48 ----
***************
*** 49,65 ****
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandlerBiasedPVO : EndOfDayTimerHandlerBiasedPVONoThresholds
    {
!     new protected double[] currentOverboughtThreshold;
  		new protected double[] currentOversoldThreshold;
  
!     public EndOfDayTimerHandlerBiasedPVO(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,                                
                                  int generationNumberForGeneticOptimizer,
                                  int populationSizeForGeneticOptimizer,
                                  string benchmark,
                                  int numOfDifferentGenomesToEvaluateOutOfSample,
                                  int numDaysForOscillatingPeriod,
                                  int minLevelForOversoldThreshold,
                                  int maxLevelForOversoldThreshold,
--- 54,98 ----
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandlerBiasedPVO : EndOfDayTimerHandlerPVO
    {
!     protected int numOfDifferentGenomesToEvaluateOutOfSample;
!     protected int currentGenomeIndex = 0;
!     protected double currentWeightedPositionsGainOrLoss = 0.0;
!     protected Hashtable genomesCollector;
!   	protected WeightedPositions[] weightedPositionsToEvaluateOutOfSample;
!   	new protected double[] currentOverboughtThreshold;
  		new protected double[] currentOversoldThreshold;
+ 		protected double maxCoefficientForDegreeComputationOfCrossingThreshold;
+ 		protected int numDaysWithOpenPositions;
+ 		protected double numOfStdDevForThresholdsComputation;
+ 		protected int numDaysOfStayingOnTheMarket;
+ 		protected bool resetThresholdsBeforeCheckingOutOfSample;
+ 		protected int numDaysForThresholdsReComputation;
+ 		protected bool buyOnlyPositionsThatAreMovingTogether;
+ 		protected bool doNotOpenReversedPositionsThatHaveJustBeenClosed;
+ 		protected double minPriceForTickersToBeChosen;
+     protected double maxPriceForTickersToBeChosen;
+ 		protected WeightedPositions lastWeightedPositionsClosed;
+ 		protected string pathOfFileContainingGenomes;
+ 		protected OptimizationOutput optimizationOutput;
  
!     public EndOfDayTimerHandlerBiasedPVO(string tickerGroupID, int numberOfEligibleTickers,
!                                          double minPriceForTickersToBeChosen,
!                                          double maxPriceForTickersToBeChosen,
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,
!                                 string pathOfFileContainingGenomes,
                                  int generationNumberForGeneticOptimizer,
                                  int populationSizeForGeneticOptimizer,
                                  string benchmark,
                                  int numOfDifferentGenomesToEvaluateOutOfSample,
+                                	bool resetThresholdsBeforeCheckingOutOfSample,
+                                	int numDaysForThresholdsReComputation,
+                                 double numOfStdDevForThresholdsComputation,
+                                 double maxCoefficientForDegreeComputationOfCrossingThreshold,
+                                 bool buyOnlyPositionsThatAreMovingTogether,
+                                 bool doNotOpenReversedPositionsThatHaveJustBeenClosed,
                                  int numDaysForOscillatingPeriod,
+                                 int numDaysOfStayingOnTheMarket,
                                  int minLevelForOversoldThreshold,
                                  int maxLevelForOversoldThreshold,
***************
*** 72,103 ****
                                  PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
                                  double minimumAcceptableGain):
! 																base(tickerGroupID, numberOfEligibleTickers, 
! 																numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 																account, generationNumberForGeneticOptimizer,
! 																populationSizeForGeneticOptimizer, benchmark,
! 																numOfDifferentGenomesToEvaluateOutOfSample,
! 																numDaysBetweenEachOptimization,
! 																portfolioType, maxAcceptableCloseToCloseDrawdown,
! 																minimumAcceptableGain)
      {
  			this.currentOverboughtThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
! 			this.currentOversoldThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!       this.minLevelForOversoldThreshold = minLevelForOversoldThreshold;
!       this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
!       this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
!       this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
! 			this.divisorForThresholdComputation = divisorForThresholdComputation;
! 			this.symmetricalThresholds =symmetricalThresholds;
!       this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
      }
- 	
  
      #region MarketCloseEventHandler
      
  		
      //sets currentGenomeIndex with the genome's index that crosses an overbought/oversold threshold with the
!     //highest degree and sets currentTickersGainOrLoss accordingly
!     protected override void openPositions_chooseBestGenome(IndexBasedEndOfDayTimer timer)
      {
        //default index is the first
--- 105,272 ----
                                  PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
                                  double minimumAcceptableGain):
! 																base(tickerGroupID,numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen,numDaysForOptimizationPeriod,
!                                 account,                                
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark,
!                                 numDaysForOscillatingPeriod,
!                                 minLevelForOversoldThreshold,
!                                 maxLevelForOversoldThreshold,
!                                 minLevelForOverboughtThreshold,
!                                 maxLevelForOverboughtThreshold,
!                                 divisorForThresholdComputation,
!                                 symmetricalThresholds,
!                                 overboughtMoreThanOversoldForFixedPortfolio,
!                                 numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown,
!                                 minimumAcceptableGain)
!       
      {
+ 			this.minPriceForTickersToBeChosen = minPriceForTickersToBeChosen;
+ 			this.maxPriceForTickersToBeChosen = maxPriceForTickersToBeChosen;
+     	this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
+ 			this.weightedPositionsToEvaluateOutOfSample = new WeightedPositions[numOfDifferentGenomesToEvaluateOutOfSample];
+       this.currentOversoldThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
  			this.currentOverboughtThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
! 			this.resetThresholdsBeforeCheckingOutOfSample = resetThresholdsBeforeCheckingOutOfSample;
! 			this.numDaysForThresholdsReComputation = numDaysForThresholdsReComputation;
! 			this.maxCoefficientForDegreeComputationOfCrossingThreshold = maxCoefficientForDegreeComputationOfCrossingThreshold;
! 			this.numOfStdDevForThresholdsComputation = numOfStdDevForThresholdsComputation;
! 			this.numDaysOfStayingOnTheMarket = numDaysOfStayingOnTheMarket;
! 			this.buyOnlyPositionsThatAreMovingTogether = buyOnlyPositionsThatAreMovingTogether;
! 			this.doNotOpenReversedPositionsThatHaveJustBeenClosed = doNotOpenReversedPositionsThatHaveJustBeenClosed;
! 			this.genomesCollector = new Hashtable();
! 			this.pathOfFileContainingGenomes = pathOfFileContainingGenomes;
!     }
! 		
! 		//to avoid handlers in inherited classes
! 		public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       ;
      }
  
      #region MarketCloseEventHandler
      
+     protected virtual double getCurrentWeightedPositionsGainOrLoss(
+ 			IndexBasedEndOfDayTimer timer,
+ 			ReturnsManager returnsManager,
+       int indexForChosenWeightedPositions )
+     {
+       double returnValue = double.MinValue;
+       try
+       {
+ 		    returnValue =
+ 	      	 this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetReturn(
+ 		    		0 , returnsManager);
+       }
+     	catch(MissingQuotesException ex)
+     	{
+     		ex = ex;
+     	}
+     	return returnValue;
+     }
  		
+ 		protected bool areAllTickersMovingTogetherUpOrDown(
+ 			IndexBasedEndOfDayTimer timer,
+ 			ReturnsManager returnsManager,
+ 			int indexForChosenWeightedPositions )
+ 		{
+ 			bool returnValue = true;
+ 			SignedTickers signedTickers = 
+ 				this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].SignedTickers;
+ 			float returnOfCurrentTicker, returnOfNextTicker;
+ 			for( int i = 0;
+ 				   signedTickers.Count > 1 && i < signedTickers.Count - 1 && returnValue == true;
+ 				   i++ )
+ 			{
+ 				returnOfCurrentTicker = returnsManager.GetReturn(signedTickers[ i ].Ticker, 0);
+ 				returnOfNextTicker = returnsManager.GetReturn(signedTickers[ i+1 ].Ticker, 0);
+ 				if( (returnOfCurrentTicker > 0 && returnOfNextTicker < 0) ||
+ 					  (returnOfCurrentTicker < 0 && returnOfNextTicker > 0) )
+ 							returnValue = false;
+ 			}	
+ 			return returnValue;
+ 		}
+ 
+     protected virtual void openPositions_chooseGenome_resetThresholds(DateTime today)
+     {
+ 			for(int i = 0; i < this.weightedPositionsToEvaluateOutOfSample.Length; i++)
+     	{
+ 				this.currentOversoldThreshold[i] = (double)this.maxLevelForOversoldThreshold/
+ 					(double)this.divisorForThresholdComputation;
+     		this.currentOverboughtThreshold[i] = (double)this.maxLevelForOverboughtThreshold/
+ 					(double)this.divisorForThresholdComputation;
+      	}			
+ //  
+ //    	ReturnsManager returnsManager = new ReturnsManager(
+ //    		new CloseToCloseIntervals(new EndOfDayDateTime(today.AddDays(-this.numDaysForThresholdsReComputation), EndOfDaySpecificTime.MarketClose),
+ //		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketClose),
+ //		  	                         this.benchmark,
+ //		  	                         this.numDaysForOscillatingPeriod),
+ //		  	new HistoricalAdjustedQuoteProvider() );
+ //    	//double returnsAverage;
+ //    	double returnsStdDev;
+ //    	for(int i = 0; i < this.weightedPositionsToEvaluateOutOfSample.Length; i++)
+ //    	{
+ ////				returnsAverage = BasicFunctions.GetSimpleAverage(
+ ////					this.weightedPositionsToEvaluateOutOfSample[i].GetReturns(returnsManager) );
+ //				returnsStdDev = BasicFunctions.GetStdDev(
+ //    			this.weightedPositionsToEvaluateOutOfSample[i].GetReturns(returnsManager) );
+ //     		this.currentOversoldThreshold[i] = -this.numOfStdDevForThresholdsComputation * returnsStdDev;
+ //    		this.currentOverboughtThreshold[i] = this.numOfStdDevForThresholdsComputation * returnsStdDev;
+ //     	}
+     }
+     //NEW IMPLEMENTATION of chooseBestGenome, now named chooseGenome
+     //sets currentGenomeIndex with the first genome's index that crosses an overbought/oversold threshold with the
+     //"acceptable" degree and sets currentWeightedPositionsGainOrLoss accordingly
+     protected virtual void openPositions_chooseGenome(IndexBasedEndOfDayTimer timer)
+     {
+       DateTime today = timer.GetCurrentTime().DateTime;
+ 		  DateTime firstMarketDayForOscillatingPeriod = 
+ 		  	timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
+ 		  ReturnsManager returnsManager = new ReturnsManager(
+ 		  	new CloseToCloseIntervals(new EndOfDayDateTime(firstMarketDayForOscillatingPeriod, EndOfDaySpecificTime.MarketClose),
+ 		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketClose),
+ 		  	                         this.benchmark,
+ 		  	                         this.numDaysForOscillatingPeriod),
+ 		  	new HistoricalAdjustedQuoteProvider() );
+ 		  if(this.resetThresholdsBeforeCheckingOutOfSample)
+ 		  	this.openPositions_chooseGenome_resetThresholds(today);
+ 		  this.currentWeightedPositionsGainOrLoss = double.MinValue;
+ 		  double currentWeightedPositionsGainOrLoss_temp = double.MinValue;
+       for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
+       {
+         currentWeightedPositionsGainOrLoss_temp = 
+                  this.getCurrentWeightedPositionsGainOrLoss(
+         				 timer, returnsManager, i);
+ 				if( currentWeightedPositionsGainOrLoss_temp != double.MinValue &&
+ 					  ( this.buyOnlyPositionsThatAreMovingTogether == false ||
+         	      ( this.buyOnlyPositionsThatAreMovingTogether == true && 
+ 									this.areAllTickersMovingTogetherUpOrDown(timer, returnsManager, i) == true	 ) )		)
+         //currentWeightedPositionsGainOrLoss_temp has been properly computed and
+ 				//only positions that are moving together can be bought
+         {
+           if( (currentWeightedPositionsGainOrLoss_temp >= this.currentOverboughtThreshold[i] &&
+                currentWeightedPositionsGainOrLoss_temp <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
+             																						 this.currentOverboughtThreshold[i] ) ||
+ 						  (currentWeightedPositionsGainOrLoss_temp <= - this.currentOversoldThreshold[i] && 
+         	          Math.Abs(currentWeightedPositionsGainOrLoss_temp) <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
+             																						 								 this.currentOversoldThreshold[i] ) )
+           // if the current genome matches the requested criteria
+           {
+ 						this.currentGenomeIndex = i;
+ 						this.currentWeightedPositionsGainOrLoss = currentWeightedPositionsGainOrLoss_temp;
+ 						i = this.numOfDifferentGenomesToEvaluateOutOfSample; //exit from for
+           }
+         }
+       }
+     }
+     
+     /* OLD IMPLEMENTATION OF chooseBestGenome
      //sets currentGenomeIndex with the genome's index that crosses an overbought/oversold threshold with the
!     //highest "acceptable" degree and sets currentWeightedPositionsGainOrLoss accordingly
!     protected void openPositions_chooseBestGenome(IndexBasedEndOfDayTimer timer)
      {
        //default index is the first
***************
*** 106,132 ****
        double currentMaxDegreeOfCrossingThreshold = 0.0;
        double currentDegreeOfCrossingThreshold = 0.0;
        for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
        {
          double currentChosenWeightedPositionsGainOrLoss = 
!                  this.getCurrentWeightedPositionsGainOrLoss(timer, i);
!         if(currentChosenWeightedPositionsGainOrLoss != 999.0)
!           //currentChosenTickersValue has been properly computed
          {
!           //computing degree of crossing threshold 
!           if(currentChosenWeightedPositionsGainOrLoss >= 1.0 + this.currentOverboughtThreshold[i])
            {
              currentDegreeOfCrossingThreshold = 
!               (currentChosenWeightedPositionsGainOrLoss - 1.0 - this.currentOverboughtThreshold[i])/
!             		(1 + this.currentOverboughtThreshold[i]);
   
            }
!           else if (currentChosenWeightedPositionsGainOrLoss <= 1.0 - this.currentOversoldThreshold[i])
            {
              currentDegreeOfCrossingThreshold = 
!               (1.0 - this.currentOversoldThreshold[i] - currentChosenWeightedPositionsGainOrLoss)/
!             		(1.0 - this.currentOversoldThreshold[i]);
            }
!           if(currentDegreeOfCrossingThreshold > currentMaxDegreeOfCrossingThreshold)
!           {
            	currentMaxDegreeOfCrossingThreshold = currentDegreeOfCrossingThreshold;
            	this.currentGenomeIndex = i;
--- 275,337 ----
        double currentMaxDegreeOfCrossingThreshold = 0.0;
        double currentDegreeOfCrossingThreshold = 0.0;
+       DateTime today = timer.GetCurrentTime().DateTime;
+ 		  DateTime firstMarketDayForOscillatingPeriod = 
+ 		  	timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
+ 		  ReturnsManager returnsManager = new ReturnsManager(
+ 		  	new CloseToCloseIntervals(new EndOfDayDateTime(firstMarketDayForOscillatingPeriod, EndOfDaySpecificTime.MarketClose),
+ 		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketClose),
+ 		  	                         this.benchmark,
+ 		  	                         this.numDaysForOscillatingPeriod),
+ 		  	new HistoricalAdjustedQuoteProvider() );
+ 		  if(this.resetThresholdsBeforeCheckingOutOfSample)
+ 		  	this.openPositions_chooseBestGenome_resetThresholds(today);
+ 		  this.currentWeightedPositionsGainOrLoss = 999.0;
        for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
        {
          double currentChosenWeightedPositionsGainOrLoss = 
!                  this.getCurrentWeightedPositionsGainOrLoss(
!         				 timer, returnsManager, i);
! 				if(currentChosenWeightedPositionsGainOrLoss != 999.0)
!           //currentChosenWeightedPositionsGainOrLoss has been properly computed
          {
!           if( ( this.buyOnlyPositionsThatAreMovingTogether == false ||
!         	      ( this.buyOnlyPositionsThatAreMovingTogether == true && 
! 									this.areAllTickersMovingTogetherUpOrDown(timer, returnsManager, i) == true	 ) ) &&
! 						 currentChosenWeightedPositionsGainOrLoss >= this.currentOverboughtThreshold[i] &&
!              currentChosenWeightedPositionsGainOrLoss <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
!             																						 this.currentOverboughtThreshold[i] )
!           // if it is requested that current tickers have to move together in the same direction
! 					// if current gain crosses overbought threshold but not
!         	// as maxCoefficientForDegreeComputationOfCrossingThreshold times 
!         	// as overbought threshold (that is, it could be a reasonable 
!         	// market inefficiency)
            {
              currentDegreeOfCrossingThreshold = 
!               (currentChosenWeightedPositionsGainOrLoss - this.currentOverboughtThreshold[i])/
!             	 this.currentOverboughtThreshold[i];
   
            }
! 					else if ( ( this.buyOnlyPositionsThatAreMovingTogether == false ||
! 											( this.buyOnlyPositionsThatAreMovingTogether == true && 
! 												this.areAllTickersMovingTogetherUpOrDown(timer, returnsManager, i) == true		)	)  &&
! 									 currentChosenWeightedPositionsGainOrLoss <= - this.currentOversoldThreshold[i] && 
!         	         Math.Abs(currentChosenWeightedPositionsGainOrLoss) <= this.maxCoefficientForDegreeComputationOfCrossingThreshold *
!             																						 								 this.currentOversoldThreshold[i] )
!           // if it is requested that current tickers have to move together in the same direction
! 					// if current loss crosses oversold threshold but not
!         	// as maxCoefficientForDegreeComputationOfCrossingThreshold times 
!         	// as oversold threshold (that is, it could be a reasonable 
!         	// market inefficiency)
            {
              currentDegreeOfCrossingThreshold = 
!             	( Math.Abs(currentChosenWeightedPositionsGainOrLoss) - this.currentOversoldThreshold[i])/
!             	  this.currentOversoldThreshold[i];
            }
!           
!         	if(currentDegreeOfCrossingThreshold > currentMaxDegreeOfCrossingThreshold)
!           // if a genome crosses a threshold without crossing
!         	// as maxCoefficientForDegreeComputationOfCrossingThreshold times
!         	// as oversold or overbought thresholds
!         	{
            	currentMaxDegreeOfCrossingThreshold = currentDegreeOfCrossingThreshold;
            	this.currentGenomeIndex = i;
***************
*** 136,156 ****
        }
      }
  
!     protected override void openPositions(IndexBasedEndOfDayTimer timer)
      {
!       this.currentWeightedPositionsGainOrLoss = 999.0; //
!     	this.openPositions_chooseBestGenome(timer);
!       if(this.currentWeightedPositionsGainOrLoss != 999.0)
!     	//currentWeightedPositionsGainOrLoss has been properly computed
      	{
!         if(this.currentWeightedPositionsGainOrLoss >= 1.0 + currentOverboughtThreshold[this.currentGenomeIndex] &&
!            this.portfolioType == PortfolioType.ShortAndLong)
      		{
  					this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex].Reverse();
  					try{
! 						AccountManager.OpenPositions(this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex],
! 							this.account);
! 						this.portfolioHasBeenOverbought = true;
! 						this.portfolioHasBeenOversold = false;
  					}
  					catch(Exception ex){
--- 341,382 ----
        }
      }
+ 		*///END OF OLD IMPLEMENTATION
+ 		
+ 		protected void openPositions_open(WeightedPositions weightedPositions, bool overboughtPortfolio)
+ 		{
+ 			if( this.lastWeightedPositionsClosed == null || 
+ 			    !this.doNotOpenReversedPositionsThatHaveJustBeenClosed ||
+ 			    !weightedPositions.HasTheOppositeSignedTickersAs(this.lastWeightedPositionsClosed) )
+ 			//it is the first time positions are opening or
+ 		  //positions that have been just closed can be reversed or
+ 			//positions to be opened are just the reversed
+ 			//positions that have just been closed
+ 			{
+ 				AccountManager.OpenPositions(weightedPositions, this.account);
+ 				this.portfolioHasBeenOverbought = overboughtPortfolio;
+ 				this.portfolioHasBeenOversold = !overboughtPortfolio;
+ 			}
+ 		}
  
!     protected void openPositions(IndexBasedEndOfDayTimer timer)
      {
!       this.currentWeightedPositionsGainOrLoss = double.MinValue;
! 			try{
! 				this.openPositions_chooseGenome(timer);
! 				//if the genome has been chosen, then this.currentWeightedPositionsGainOrLoss
! 				//has been set to a value different from double.MinValue
! 			}
! 			catch(Exception ex){
! 				ex=ex;
! 			}
! 			if(this.currentWeightedPositionsGainOrLoss != double.MinValue)
!     	//there is a genome that matches requested criteria
      	{
!         if(this.currentWeightedPositionsGainOrLoss >= currentOverboughtThreshold[this.currentGenomeIndex] &&
!            (this.portfolioType == PortfolioType.ShortAndLong || this.portfolioType == PortfolioType.OnlyMixed) )
      		{
  					this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex].Reverse();
  					try{
! 						this.openPositions_open(weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex],true);
  					}
  					catch(Exception ex){
***************
*** 161,184 ****
  					}
          }
!         else if (this.currentWeightedPositionsGainOrLoss <= 1.0 - currentOversoldThreshold[this.currentGenomeIndex])
      		{
! 					AccountManager.OpenPositions(this.weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex],
! 						this.account);
!           this.portfolioHasBeenOverbought = false;
!           this.portfolioHasBeenOversold = true;
          }
!         this.currentAccountValue = this.account.GetMarketValue();
      	}
      }
!    
      public override void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
       	if(this.account.Portfolio.Count > 0)
!      	  this.marketCloseEventHandler_closeIfItIsTimeToClose();
!       else if ( this.account.Portfolio.Count == 0 &&
!     	          this.weightedPositionsToEvaluateOutOfSample != null )
! 			//portfolio is empty and optimization has been already launched    		
!     		this.openPositions((IndexBasedEndOfDayTimer)sender);
      }
  
--- 387,443 ----
  					}
          }
!         else if (this.currentWeightedPositionsGainOrLoss <= - currentOversoldThreshold[this.currentGenomeIndex])
      		{
! 					this.openPositions_open(weightedPositionsToEvaluateOutOfSample[this.currentGenomeIndex],false);
          }
!         this.previousAccountValue = this.account.GetMarketValue();
      	}
      }
! 		
!     
!     private bool marketCloseEventHandler_isTimerStateValidForStrategy(IndexBasedEndOfDayTimer timer)
!     {
!     	bool returnValue;
!     	DateTime currentTime =  timer.GetCurrentTime().DateTime;
!     	DateTime firstDateOfOscillatingPeriod = 
!     						timer.GetPreviousDateTime(this.numDaysForOscillatingPeriod);
!     	returnValue = currentTime.CompareTo(firstDateOfOscillatingPeriod) > 0;
!     	return returnValue;
!     	//currentTime is greater than the date at which previous close 
!     	//has to be compared to the current close with respect to 
!     	//the oscillating strategy's criteria
!     }
!     
! 		protected override void marketCloseEventHandler_closePositionsIfNeeded()
! 		{
! 			if( this.numDaysWithOpenPositions == this.numDaysOfStayingOnTheMarket ||
! 					this.stopLossConditionReached || this.takeProfitConditionReached 		)
! 			{
!      		this.lastWeightedPositionsClosed = AccountManager.GetWeightedPositions(this.account);
! 				AccountManager.ClosePositions(this.account);
! 				this.portfolioHasBeenOverbought = false;
! 				this.portfolioHasBeenOversold = false;
! 				this.numDaysWithOpenPositions = 0;
! 			}
! 		}
! 
      public override void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
       	if(this.account.Portfolio.Count > 0)
!      	{
!      		this.numDaysWithOpenPositions++;
! 				this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
!      		this.marketCloseEventHandler_closePositionsIfNeeded();
!      	}
!       
!      	if ( this.account.Portfolio.Count == 0 &&
!            this.weightedPositionsToEvaluateOutOfSample[0] != null && 
!            this.marketCloseEventHandler_isTimerStateValidForStrategy( (IndexBasedEndOfDayTimer)sender) )
! 			//portfolio is empty and optimization has been already launched and
!      	//currentTime is greater than the date at which previous close 
!     	//has to be compared to the current close with respect to 
!     	//the oscillating strategy's criteria
!      	   		this.openPositions( (IndexBasedEndOfDayTimer)sender );
      }
  
***************
*** 188,192 ****
      #region OneHourAfterMarketCloseEventHandler
          
!     private void setTickers_updateTickersWeightsAndThresholdsAndAddGenomesForLog(GeneticOptimizer GO,
                                                                                   int eligibleTickersForGO)
      {
--- 447,451 ----
      #region OneHourAfterMarketCloseEventHandler
          
!     protected void setTickers_updateTickersWeightsAndThresholdsAndAddGenomesForLog(GeneticOptimizer GO,
                                                                                   int eligibleTickersForGO)
      {
***************
*** 226,229 ****
--- 485,516 ----
      }
      
+     protected override DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
+     {
+ 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
+       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
+       int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
+       
+       SelectorByAverageRawOpenPrice byPrice =
+       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate.AddDays(-15),
+       	                                  currentDate,
+       	                                  numOfTickersInGroupAtCurrentDate,
+       	                                  this.minPriceForTickersToBeChosen,this.maxPriceForTickersToBeChosen,
+       	                                  0.0001,100);
+  
+       SelectorByLiquidity mostLiquidSelector =
+       	new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
+         false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
+         this.numberOfEligibleTickers);
+       
+       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
+         new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
+         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
+         this.numberOfEligibleTickers, this.benchmark);
+ 
+ 			return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
+     	
+     }
+     
+     
      protected override void setTickers(DateTime currentDate,
        bool setGenomeCounter)
***************
*** 231,235 ****
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
        this.iGenomeManager =
!           new GenomeManagerWeightedBalancedPVO(setOfTickersToBeOptimized,
            currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
            currentDate, this.numberOfTickersToBeChosen,
--- 518,522 ----
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
        this.iGenomeManager =
!           new GenomeManagerPVO(setOfTickersToBeOptimized,
            currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
            currentDate, this.numberOfTickersToBeChosen,
***************
*** 242,253 ****
            this.symmetricalThresholds,
            this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType);
        GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
            this.generationNumberForGeneticOptimizer,
            this.seedForRandomGenerator);
!       if(setGenomeCounter)
!         this.genomeCounter = new GenomeCounter(GO);
!       
        GO.MutationRate = 0.1;
        GO.CrossoverRate = 0.85;
--- 529,539 ----
            this.symmetricalThresholds,
            this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType, this.benchmark);
        GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
            this.generationNumberForGeneticOptimizer,
            this.seedForRandomGenerator);
! //      if(setGenomeCounter)
! //        this.genomeCounter = new GenomeCounter(GO);
        GO.MutationRate = 0.1;
        GO.CrossoverRate = 0.85;
***************
*** 258,261 ****
--- 544,625 ----
      }
      
+     private void setTickersFromFile_updateWeightedPositionsToEvaluateOutOfSample_addGenomeRepresentation(GenomeRepresentation genomeRepresentation)
+     {
+     	WeightedPositions weightedPositions = new WeightedPositions(
+     		GenomeRepresentation.GetWeightsArray(genomeRepresentation.WeightsForSignedTickers),
+     		new SignedTickers(GenomeRepresentation.GetSignedTickers(genomeRepresentation.SignedTickers)) );
+     	for(int i = 0; i<this.weightedPositionsToEvaluateOutOfSample.Length; i++)
+     	{
+     		if(this.weightedPositionsToEvaluateOutOfSample[i] == null)
+     		{
+     			this.weightedPositionsToEvaluateOutOfSample[i] = weightedPositions;
+     			this.currentOversoldThreshold[i] = genomeRepresentation.OversoldThreshold;
+     			this.currentOverboughtThreshold[i] = genomeRepresentation.OverboughtThreshold;
+     			i = this.weightedPositionsToEvaluateOutOfSample.Length;//exit from for
+     		}
+     	}
+     }
+     
+     private void setTickersFromFile_updateWeightedPositionsToEvaluateOutOfSample(DateTime currentDate)
+     {
+     	GenomeRepresentation currentGenomeRepresentation;
+     	for(int i = 0; i<this.optimizationOutput.Count;i++)
+     	{
+     		currentGenomeRepresentation = (GenomeRepresentation)this.optimizationOutput[i];
+     		if(currentGenomeRepresentation.LastOptimizationDate == currentDate)
+     		{
+     			this.setTickersFromFile_updateWeightedPositionsToEvaluateOutOfSample_addGenomeRepresentation(
+     				currentGenomeRepresentation);
+     		}
+     	}
+     }
+     
+     private void setTickersFromFile_loadGenomesFromFile()
+     {
+     	if( this.optimizationOutput == null )
+     	 	this.optimizationOutput =
+ 	          (OptimizationOutput)ObjectArchiver.Extract(
+ 						this.pathOfFileContainingGenomes);
+     }
+     
+     private void setTickersFromFile_clearWeightedPositionsToEvaluateOutOfSample()
+     {
+     	for(int i = 0; i< this.weightedPositionsToEvaluateOutOfSample.Length; i++)
+     		this.weightedPositionsToEvaluateOutOfSample[i] = null;
+     }
+     
+     private void setTickersFromFile(DateTime currentDate)
+     {
+     	this.setTickersFromFile_loadGenomesFromFile();
+     	this.setTickersFromFile_clearWeightedPositionsToEvaluateOutOfSample();
+     	this.setTickersFromFile_updateWeightedPositionsToEvaluateOutOfSample(currentDate);
+     }
+     
+     /// <summary>
+     /// Handles a "One hour after market close" event.
+     /// </summary>
+     /// <param name="sender"></param>
+     /// <param name="eventArgs"></param>
+     public override void OneHourAfterMarketCloseEventHandler(
+       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
+     {
+       this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
+       this.seedForRandomGenerator++;
+       this.numDaysElapsedSinceLastOptimization++;
+       if((this.numDaysElapsedSinceLastOptimization == 
+             this.numDaysBetweenEachOptimization))
+       //num days without optimization has elapsed
+       {
+       	if(this.pathOfFileContainingGenomes == null)
+       	//tickers have to be set by a new optimization process (in sample)
+       		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
+         	//sets tickers to be chosen next Market Close event
+         else//this.pathOfFileContainingGenomes != null
+         	this.setTickersFromFile(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
+         	//set tickers from file
+         this.numDaysElapsedSinceLastOptimization = 0;
+       }
+     }
+     
      #endregion
  

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs, 1.2, 1.3 FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs, 1.2, 1.3 FixedLevelOscillatorBiasedPVOStrategy.cs, 1.3, 1.4 FixedLevelOscillatorPVOStrategy.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7110/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs 
	FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs 
	FixedLevelOscillatorBiasedPVOStrategy.cs 
	FixedLevelOscillatorPVOStrategy.cs 
Log Message:
Several changes applied to the classes implementing the Portfolio Value 
Oscillator strategy (the most important one relates to the use of ReturnsManager)

Index: FixedLevelOscillatorBiasedPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorBiasedPVOStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** FixedLevelOscillatorBiasedPVOStrategy.cs	29 Aug 2007 09:43:36 -0000	1.3
--- FixedLevelOscillatorBiasedPVOStrategy.cs	14 Jan 2008 23:07:06 -0000	1.4
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Timing;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
***************
*** 53,60 ****
                                             double maxAcceptableCloseToCloseDrawdown,
                                             double minimumAcceptableGain):
!                                         base("", 0, 
!                                         weightedPositionsToEvaluateOutOfSample[0].Count, 0, accountPVO, 0, 0,
!                                         "", numOfDifferentGenomesToEvaluateOutOfSample,
!                                         numDaysForOscillatingPeriod,1,1,1,1,1,false,false,0,
                                          PortfolioType.ShortAndLong,maxAcceptableCloseToCloseDrawdown,
                                          minimumAcceptableGain)
--- 54,66 ----
                                             double maxAcceptableCloseToCloseDrawdown,
                                             double minimumAcceptableGain):
!                                         base("", 0, 0, 0, 
!                                         weightedPositionsToEvaluateOutOfSample[0].Count, 0, accountPVO, null, 0, 0,
!                                         "^GSPC", numOfDifferentGenomesToEvaluateOutOfSample,
! 																				false,0,
! 																				1.0,
! 																				1000.0,
! 																				false,
! 																				false,
!                                         numDaysForOscillatingPeriod,numDaysForOscillatingPeriod,1,1,1,1,1,false,false,0,
                                          PortfolioType.ShortAndLong,maxAcceptableCloseToCloseDrawdown,
                                          minimumAcceptableGain)
***************
*** 73,81 ****
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
! 																																		int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition + 2 >= this.numDaysForOscillatingPeriod)
        //if there are sufficient data for computing currentChosenTickersValue
        //that's why the method has been overriden
--- 79,89 ----
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(
! 			IndexBasedEndOfDayTimer timer,
! 	  	ReturnsManager returnsManager,
! 	  	int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod >= 0)
        //if there are sufficient data for computing currentChosenTickersValue
        //that's why the method has been overriden
***************
*** 88,93 ****
  						(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
  					returnValue =
! 						this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetCloseToCloseReturn(
! 						lastMarketDay, today);
  				}
  				catch(MissingQuotesException ex)
--- 96,101 ----
  						(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
  					returnValue =
! 						this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetReturn(
! 						0, returnsManager);
  				}
  				catch(MissingQuotesException ex)

Index: FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs	29 Aug 2007 09:43:35 -0000	1.2
--- FixedLevelOscBiasedOTC_PVONoThresholdsStrategy.cs	14 Jan 2008 23:07:06 -0000	1.3
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Timing;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
***************
*** 71,76 ****
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
! 		                                                       int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
--- 72,79 ----
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(
! 			IndexBasedEndOfDayTimer timer,
! 			ReturnsManager returnsManager,
!       int indexForChosenWeightedPositions )
      {
        double returnValue = 999.0;
***************
*** 81,91 ****
  	      try
  	      {
!           DateTime today = 
!             (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!           DateTime lastMarketDay = 
!             (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - 1]["quDate"];
! 	      
!           returnValue = this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetLastNightReturn(
! 																																            lastMarketDay, today);
  	      }
  	    	catch(MissingQuotesException ex)
--- 84,90 ----
  	      try
  	      {
!           returnValue = 
!           	this.weightedPositionsToEvaluateOutOfSample[indexForChosenWeightedPositions].GetReturn(
! 		    		0 , returnsManager);
  	      }
  	    	catch(MissingQuotesException ex)

Index: FixedLevelOscillatorPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorPVOStrategy.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** FixedLevelOscillatorPVOStrategy.cs	30 Aug 2007 18:15:37 -0000	1.6
--- FixedLevelOscillatorPVOStrategy.cs	14 Jan 2008 23:07:06 -0000	1.7
***************
*** 52,56 ****
                                            "^GSPC",
                                            0, 0, 0, 0, 0, 0, false, false, 0, 
!                                           PortfolioType.ShortAndLong, 0.5)
  		{
  			this.chosenWeightedPositions = chosenWeightedPositions;
--- 52,56 ----
                                            "^GSPC",
                                            0, 0, 0, 0, 0, 0, false, false, 0, 
!                                           PortfolioType.ShortAndLong, 0.5, 0.5)
  		{
  			this.chosenWeightedPositions = chosenWeightedPositions;
***************
*** 65,92 ****
      }
  
!     protected override double getCurrentChosenWeightedPositionsValue(IndexBasedEndOfDayTimer timer)
      {
        double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition + 2 >= this.numDaysForOscillatingPeriod)
!       //if there are sufficient data for computing currentChosenTickersValue
        //that's why the method has been overriden
!       {
!         try
!         {
!           DateTime initialDate = 
!             (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod + 2]["quDate"];
!           //so to replicate exactly in sample scheme, where only numOscillatingDay - 1 returns
!           //are computed
!           DateTime finalDate = 
!             (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
!           returnValue =
!             this.chosenWeightedPositions.GetCloseToCloseReturn(initialDate,finalDate) 
!           	+ 1.0;
!         }
!         catch(Exception ex)
!         {
!           ex = ex;
!         }
!       }
        return returnValue;
      }   
--- 65,77 ----
      }
  
!     protected override double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
      {
        double returnValue = 999.0;
!       if(timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod >= 0)
!       //if there are sufficient data for computing currentChosenWeightedPositionsReturn
        //that's why the method has been overriden
!       	returnValue = 
!       		 base.getCurrentChosenWeightedPositionsReturn(timer);
!       
        return returnValue;
      }   

Index: FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs	29 Aug 2007 09:43:35 -0000	1.2
--- FixedLevelOscillatorBiasedPVONoThresholdsStrategy.cs	14 Jan 2008 23:07:06 -0000	1.3
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Strategies.ReturnsManagement;
  using QuantProject.Business.Timing;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
***************
*** 66,71 ****
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(IndexBasedEndOfDayTimer timer,
! 		                                                       int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;
--- 67,74 ----
      }
      		
!     protected override double getCurrentWeightedPositionsGainOrLoss(
! 			IndexBasedEndOfDayTimer timer,
! 	  	ReturnsManager returnsManager,
! 	  	int indexForChosenWeightedPositions)
      {
        double returnValue = 999.0;