quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO EndOfDayTimerHandlerWeightedPVO.cs, 1.2, 1.3 GenomeManagerWeightedPVO.cs, 1.1, 1.2 RunWeightedPVO.cs, 1.1, 1.2

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

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

Modified Files:
	EndOfDayTimerHandlerWeightedPVO.cs GenomeManagerWeightedPVO.cs 
	RunWeightedPVO.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: EndOfDayTimerHandlerWeightedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/EndOfDayTimerHandlerWeightedPVO.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerWeightedPVO.cs	29 Aug 2007 09:50:21 -0000	1.2
--- EndOfDayTimerHandlerWeightedPVO.cs	14 Jan 2008 23:07:04 -0000	1.3
***************
*** 65,69 ****
                                  bool overboughtMoreThanOversoldForFixedPortfolio,
                                  int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
--- 65,70 ----
                                  bool overboughtMoreThanOversoldForFixedPortfolio,
                                  int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 double minimumAcceptableGain):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
***************
*** 81,85 ****
                                  overboughtMoreThanOversoldForFixedPortfolio,
                                  numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown)
      {
        
--- 82,87 ----
                                  overboughtMoreThanOversoldForFixedPortfolio,
                                  numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown,
!                                	minimumAcceptableGain)
      {
        
***************
*** 141,145 ****
            this.symmetricalThresholds,
            this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
--- 143,147 ----
            this.symmetricalThresholds,
            this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType,this.benchmark);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
***************
*** 148,152 ****
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
!         GO.MutationRate = 0.2;
          GO.Run(false);
          
--- 150,154 ----
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
! 				GO.MutationRate = 0.5;
          GO.Run(false);
          

Index: RunWeightedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/RunWeightedPVO.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunWeightedPVO.cs	27 Feb 2007 22:52:40 -0000	1.1
--- RunWeightedPVO.cs	14 Jan 2008 23:07:04 -0000	1.2
***************
*** 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: GenomeManagerWeightedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/GenomeManagerWeightedPVO.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerWeightedPVO.cs	27 Feb 2007 22:52:40 -0000	1.1
--- GenomeManagerWeightedPVO.cs	14 Jan 2008 23:07:04 -0000	1.2
***************
*** 40,61 ****
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerWeightedPVO : 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 int[] genePositionsPointingToTickers;
!     
!     protected double[] portfolioValues;//the values for each unit, invested
!                                      //at the beginning of the optimization period,
!     																//throughout the period itself
      
      protected bool genePositionPointsToATicker(int genePosition)
--- 40,80 ----
  	/// </summary>
  	[Serializable]
!   public class GenomeManagerWeightedPVO : GenomeManagerPVO
    {
      protected int[] genePositionsPointingToTickers;
!           
!     public GenomeManagerWeightedPVO(DataTable setOfInitialTickers,
!                            DateTime firstQuoteDate,
!                            DateTime lastQuoteDate,
!                            int numberOfTickersInPortfolio,
!                            int numDaysForOscillatingPeriod,
!                            int minLevelForOversoldThreshold,
! 	                         int maxLevelForOversoldThreshold,
! 	                         int minLevelForOverboughtThreshold,
! 	                         int maxLevelForOverboughtThreshold,
!                            int divisorForThresholdComputation,
!                            bool symmetricalThresholds,
!                            bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
!                            :
!                           base(setOfInitialTickers,
!                            firstQuoteDate, lastQuoteDate,
!                            numberOfTickersInPortfolio,
!                            numDaysForOscillatingPeriod,
!                            minLevelForOversoldThreshold,
! 	                         maxLevelForOversoldThreshold,
! 	                         minLevelForOverboughtThreshold,
! 	                         maxLevelForOverboughtThreshold,
!                            divisorForThresholdComputation,
!                            symmetricalThresholds,
!                            overboughtMoreThanOversoldForFixedPortfolio,
!                            inSamplePortfolioType,
!                            benchmark)
!                                 
!                           
!     {
!     	this.genePositionsPointingToTickers = new int[(this.GenomeSize - this.numOfGenesDedicatedToThresholds)/2];
!     }
      
      protected bool genePositionPointsToATicker(int genePosition)
***************
*** 93,153 ****
      	return this.genePositionsPointingToTickers;
      }
!     
!     private void genomeManagerWeightedPVO_checkParametersForThresholdsComputation()
!     {
!       if(this.maxLevelForOverboughtThreshold < this.minLevelForOverboughtThreshold || 
!          this.maxLevelForOversoldThreshold < this.minLevelForOversoldThreshold ||
!          this.divisorForThresholdComputation < this.maxLevelForOverboughtThreshold ||
!          this.divisorForThresholdComputation < this.maxLevelForOversoldThreshold ||
!          (this.symmetricalThresholds && (this.minLevelForOversoldThreshold != this.minLevelForOverboughtThreshold ||
!                                         this.maxLevelForOversoldThreshold != this.maxLevelForOverboughtThreshold) ) ||
!          (this.overboughtMoreThanOversoldForFixedPortfolio && 
!             (this.minLevelForOverboughtThreshold > Convert.ToInt32(Convert.ToDouble(this.minLevelForOversoldThreshold)* Convert.ToDouble(this.divisorForThresholdComputation) /
!                                                      (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.minLevelForOversoldThreshold) ) )  ||
!               this.maxLevelForOverboughtThreshold < Convert.ToInt32(Convert.ToDouble(this.maxLevelForOversoldThreshold) * Convert.ToDouble(this.divisorForThresholdComputation) /
!                                                      (Convert.ToDouble(this.divisorForThresholdComputation) - Convert.ToDouble(this.maxLevelForOversoldThreshold) ) ) ) ) ) 
! 
!           throw new Exception("Bad parameters for thresholds computation!");
!     }
! 
!     public GenomeManagerWeightedPVO(DataTable setOfInitialTickers,
!                            DateTime firstQuoteDate,
!                            DateTime lastQuoteDate,
!                            int numberOfTickersInPortfolio,
!                            int numDaysForOscillatingPeriod,
!                            int minLevelForOversoldThreshold,
! 	                         int maxLevelForOversoldThreshold,
! 	                         int minLevelForOverboughtThreshold,
! 	                         int maxLevelForOverboughtThreshold,
!                            int divisorForThresholdComputation,
!                            bool symmetricalThresholds,
!                            bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType)
!                            :
!                           base(setOfInitialTickers,
!                           firstQuoteDate,
!                           lastQuoteDate,
!                           numberOfTickersInPortfolio,
!                           0.0,
!                           inSamplePortfolioType)
!                                 
!                           
!     {
!     	this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!     	this.divisorForThresholdComputation = divisorForThresholdComputation;
! 			this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
!       this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
!       this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
!       this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
!       this.symmetricalThresholds = symmetricalThresholds;
!       this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
!       if(this.symmetricalThresholds)//value for thresholds must be unique
!  				numOfGenesDedicatedToThresholds = 1;
!       else
!       	numOfGenesDedicatedToThresholds = 2;
!       this.genePositionsPointingToTickers = new int[(this.GenomeSize - this.numOfGenesDedicatedToThresholds)/2];
!       this.genomeManagerWeightedPVO_checkParametersForThresholdsComputation();
!       this.retrieveData();
!     }
      
      public override int GenomeSize
--- 112,116 ----
      	return this.genePositionsPointingToTickers;
      }
!    
      
      public override int GenomeSize
***************
*** 233,337 ****
      #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)
-     {
-     	this.currentOversoldThreshold = Convert.ToDouble(genome.Genes()[0])/
-                                       Convert.ToDouble(this.divisorForThresholdComputation);
-     	
-     	if(this.symmetricalThresholds)
-     		this.currentOverboughtThreshold = this.currentOversoldThreshold;
-     	else
-      		this.currentOverboughtThreshold = Convert.ToDouble(genome.Genes()[1])/
-                                         	Convert.ToDouble(this.divisorForThresholdComputation);
-     }
-     
-     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++;
- 
-       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)
      {
--- 196,199 ----
***************
*** 358,378 ****
      }
  
-     protected override double[] getPortfolioRatesOfReturn(int[] genes)
-     {
-       double[] returnValue = new double[this.numberOfExaminedReturns];
-       for(int i = 0; i<returnValue.Length; i++)    
-       {  
-         for(int genePosition=this.numOfGenesDedicatedToThresholds; 
-             genePosition<genes.Length;
-             genePosition++)//the first numOfGenesDedicatedToThresholds are for thresholds
-         {  
-           if( this.genePositionPointsToATicker(genePosition) )
-              returnValue[i] +=
-               this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(genes,genePosition,i);
-         }
-       }
-       return returnValue;
-     }
- 
      public override object Decode(Genome genome)
      {
--- 220,223 ----

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO EndOfDayTimerHandlerWeightedBalancedPVO.cs, 1.3, 1.4 GenomeManagerWeightedBalancedPVO.cs, 1.2, 1.3 RunWeightedBalancedPVO.cs, 1.1, 1.2

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

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

Modified Files:
	EndOfDayTimerHandlerWeightedBalancedPVO.cs 
	GenomeManagerWeightedBalancedPVO.cs RunWeightedBalancedPVO.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: EndOfDayTimerHandlerWeightedBalancedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO/EndOfDayTimerHandlerWeightedBalancedPVO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerWeightedBalancedPVO.cs	29 Aug 2007 09:50:21 -0000	1.3
--- EndOfDayTimerHandlerWeightedBalancedPVO.cs	14 Jan 2008 23:07:05 -0000	1.4
***************
*** 68,72 ****
                                  bool overboughtMoreThanOversoldForFixedPortfolio,
                                  int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
--- 68,73 ----
                                  bool overboughtMoreThanOversoldForFixedPortfolio,
                                  int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 double minimumAcceptableGain):
      														base(tickerGroupID, numberOfEligibleTickers, 
                                  numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
***************
*** 84,88 ****
                                  overboughtMoreThanOversoldForFixedPortfolio,
                                  numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown)
      {
        
--- 85,90 ----
                                  overboughtMoreThanOversoldForFixedPortfolio,
                                  numDaysBetweenEachOptimization,
!                                 portfolioType, maxAcceptableCloseToCloseDrawdown,
!                                 minimumAcceptableGain)
      {
        
***************
*** 144,148 ****
            this.symmetricalThresholds,
            this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
--- 146,150 ----
            this.symmetricalThresholds,
            this.overboughtMoreThanOversoldForFixedPortfolio,
!           this.portfolioType, this.benchmark);
          GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
            this.populationSizeForGeneticOptimizer, 
***************
*** 151,155 ****
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
!         GO.MutationRate = 0.1;
          GO.Run(false);
          
--- 153,157 ----
          if(setGenomeCounter)
            this.genomeCounter = new GenomeCounter(GO);
!         GO.MutationRate = 0.2;
          GO.Run(false);
          

Index: RunWeightedBalancedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO/RunWeightedBalancedPVO.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunWeightedBalancedPVO.cs	27 Feb 2007 22:52:40 -0000	1.1
--- RunWeightedBalancedPVO.cs	14 Jan 2008 23:07:05 -0000	1.2
***************
*** 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: GenomeManagerWeightedBalancedPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/WeightedPVO/WeightedBalancedPVO/GenomeManagerWeightedBalancedPVO.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeManagerWeightedBalancedPVO.cs	9 Apr 2007 18:00:52 -0000	1.2
--- GenomeManagerWeightedBalancedPVO.cs	14 Jan 2008 23:07:05 -0000	1.3
***************
*** 83,87 ****
                             bool symmetricalThresholds,
                             bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType)
                             :
                            base(setOfInitialTickers,
--- 83,88 ----
                             bool symmetricalThresholds,
                             bool overboughtMoreThanOversoldForFixedPortfolio,
!                            PortfolioType inSamplePortfolioType,
!                            string benchmark)
                             :
                            base(setOfInitialTickers,
***************
*** 97,101 ****
                             symmetricalThresholds,
                             overboughtMoreThanOversoldForFixedPortfolio,
!                            inSamplePortfolioType)
      
      {
--- 98,103 ----
                             symmetricalThresholds,
                             overboughtMoreThanOversoldForFixedPortfolio,
!                            inSamplePortfolioType,
!                            benchmark)
      
      {

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships CloseToCloseCorrelationProvider.cs, NONE, 1.1 CorrelationProvider.cs, NONE, 1.1 OpenToCloseCorrelationProvider.cs, NONE, 1.1 TickersPearsonCorrelation.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6067/b4_Business/a2_Strategies/TickersRelationships

Added Files:
	CloseToCloseCorrelationProvider.cs CorrelationProvider.cs 
	OpenToCloseCorrelationProvider.cs TickersPearsonCorrelation.cs 
Log Message:
Added classes for providing correlation indexes of various types

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

CloseToCloseCorrelationProvider.cs
Copyright (C) 2007 
Marco Milletti

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

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

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

using QuantProject.ADT.Statistics;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;

namespace QuantProject.Business.Strategies.TickersRelationships
{
  /// <summary>
  /// Class that provides close to close correlation's indexes two by two within a 
  /// given set of tickers
  /// </summary>
  [Serializable]
  public class CloseToCloseCorrelationProvider : CorrelationProvider
  {
		private int closeToCloseIntervalLength;
  	
  	/// <summary>
		/// Creates the provider for the close to close correlation
		/// </summary>
		/// <param name="tickersToAnalyze">Array of tickers to be analyzed</param>
		/// <param name="startDate"></param>
		/// <param name="endDate"></param>
		/// <param name="closeToCloseIntervalLength">Length of the close To Close
		/// interval return</param>
		/// <param name="minimumAbsoluteReturnValue">Both current tickers' returns
		/// have to be greater than minimumAbsoluteReturnValue for being considered
		/// significant and so computed in the correlation formula</param>
		/// <param name="maximumAbsoluteReturnValue">Both current tickers' returns
		/// have to be less than maximumAbsoluteReturnValue</param>
		/// <param name="benchmark">The benchmark used for computation
		/// of returns</param>
    public CloseToCloseCorrelationProvider(string[] tickersToAnalyze,
					 DateTime startDate, DateTime endDate, int closeToCloseIntervalLength,
					 float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
					 string benchmark) :
					 base(tickersToAnalyze,
					 startDate, endDate,
					 minimumAbsoluteReturnValue, maximumAbsoluteReturnValue,
					 benchmark)
    {
			this.closeToCloseIntervalLength = closeToCloseIntervalLength;						
    }

		/// <summary>
		/// Creates the provider for the close to close correlation
		/// </summary>
		/// <param name="tickersToAnalyze">Array of tickers to be analyzed</param>
		/// <param name="returnsManager"></param>
		/// <param name="minimumAbsoluteReturnValue">Both current tickers' returns
		/// have to be greater than minimumAbsoluteReturnValue for being considered
		/// significant and so computed in the correlation formula</param>
		/// <param name="maximumAbsoluteReturnValue">Both current tickers' returns
		/// have to be less than maximumAbsoluteReturnValue</param>
		public CloseToCloseCorrelationProvider( string[] tickersToAnalyze,
			ReturnsManager returnsManager,
			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue ):
			base(tickersToAnalyze,
			returnsManager,
			minimumAbsoluteReturnValue, maximumAbsoluteReturnValue)
		{
			
		}
		
		protected override void setEndOfDayDatesTime(DateTime startDate, DateTime endDate)
		{
			this.firstEndOfDayDateTime =
				new EndOfDayDateTime(startDate, EndOfDaySpecificTime.MarketClose);
			this.lastEndOfDayDateTime = 
				new EndOfDayDateTime(endDate, EndOfDaySpecificTime.MarketClose);
		}
		
		protected override void setReturnsManager()
		{
			CloseToCloseIntervals closeToCloseIntervals = 
				new CloseToCloseIntervals(this.firstEndOfDayDateTime, this.lastEndOfDayDateTime,
				                          this.benchmark, this.closeToCloseIntervalLength);
			this.returnsManager = 
				new ReturnsManager(closeToCloseIntervals, 
													 new HistoricalAdjustedQuoteProvider() );
		}
  } // end of class
}

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

TickersPearsonCorrelation.cs
Copyright (C) 2007 
Marco Milletti

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

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

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

using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies.TickersRelationships
{
  /// <summary>
  /// Struct used for the storage of correlation info 
  /// </summary>
  [Serializable]
  public struct TickersPearsonCorrelation : IComparable
  {
    private string firstTicker;
		public string FirstTicker
		{
			get
			{
				return this.firstTicker;
			}
		}
    
		private string secondTicker;
		public string SecondTicker
		{
			get
			{
				return this.secondTicker;
			}
		}

    private double correlationValue;
		public double CorrelationValue
		{
			get
			{
				return this.correlationValue;
			}
		}
    
		public TickersPearsonCorrelation( string firstTicker,
					 string secondTicker, double pearsonCorrelationValue)
    {
    	this.firstTicker = firstTicker;
			this.secondTicker = secondTicker;
			this.correlationValue = pearsonCorrelationValue;
    }

		public int CompareTo(object correlationToBeCompared)
		{
			int returnValue = 1;
			TickersPearsonCorrelation toBeCompared = (TickersPearsonCorrelation)correlationToBeCompared;
			if( this.correlationValue < toBeCompared.correlationValue)
				returnValue = - 1;
			else if (this.correlationValue == toBeCompared.correlationValue)
				returnValue = 0;
//			else if (this.correlationValue > toBeCompared.correlationValue)
//				returnValue = 1;

			return returnValue;
		}
  }
}

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

OpenToCloseCorrelationProvider.cs
Copyright (C) 2008 
Marco Milletti

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

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

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

using QuantProject.ADT.Statistics;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;

namespace QuantProject.Business.Strategies.TickersRelationships
{
  /// <summary>
  /// Class that provides open to close correlation's indexes two by two within a 
  /// given set of tickers
  /// </summary>
  [Serializable]
  public class OpenToCloseCorrelationProvider : CorrelationProvider
  {
		
		/// <summary>
		/// Creates the provider for the open to close correlation
		/// </summary>
		/// <param name="tickersToAnalyze">Array of tickers to be analyzed</param>
		/// <param name="startDate"></param>
		/// <param name="endDate"></param>
		/// <param name="minimumAbsoluteReturnValue">Both current tickers' returns
		/// have to be greater than minimumAbsoluteReturnValue for being considered
		/// significant and so computed in the correlation formula</param>
		/// <param name="maximumAbsoluteReturnValue">Both current tickers' returns
		/// have to be less than maximumAbsoluteReturnValue</param>
		/// <param name="benchmark">The benchmark used for computation
		/// of returns</param>
    public OpenToCloseCorrelationProvider(string[] tickersToAnalyze,
					 DateTime startDate, DateTime endDate,
					 float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
					 string benchmark) : 
					 base(tickersToAnalyze,
					 startDate, endDate,
					 minimumAbsoluteReturnValue, maximumAbsoluteReturnValue,
					 benchmark)
    {
			
    }

		/// <summary>
		/// Creates the provider for the open to close correlation
		/// </summary>
		/// <param name="tickersToAnalyze">Array of tickers to be analyzed</param>
		/// <param name="returnsManager"></param>
		/// <param name="minimumAbsoluteReturnValue">Both current tickers' returns
		/// have to be greater than minimumAbsoluteReturnValue for being considered
		/// significant and so computed in the correlation formula</param>
		/// <param name="maximumAbsoluteReturnValue">Both current tickers' returns
		/// have to be less than maximumAbsoluteReturnValue</param>
		public OpenToCloseCorrelationProvider( string[] tickersToAnalyze,
			ReturnsManager returnsManager,
			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue ) :
			base(tickersToAnalyze,
			returnsManager,
			minimumAbsoluteReturnValue, maximumAbsoluteReturnValue)
		{
			
		}

		protected override void setEndOfDayDatesTime(DateTime startDate, DateTime endDate)
		{
			this.firstEndOfDayDateTime =
				new EndOfDayDateTime(startDate, EndOfDaySpecificTime.MarketOpen);
			this.lastEndOfDayDateTime = 
				new EndOfDayDateTime(endDate, EndOfDaySpecificTime.MarketClose);
		}
		
		protected override void setReturnsManager()
		{
			DailyOpenToCloseIntervals dailyOpenToCloseIntervals = 
				new DailyOpenToCloseIntervals(this.firstEndOfDayDateTime, this.lastEndOfDayDateTime,
				                          		this.benchmark);
			this.returnsManager = 
				new ReturnsManager(dailyOpenToCloseIntervals, 
													 new HistoricalRawQuoteProvider() );
		}
		
  } // end of class
}

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

CorrelationProvider.cs
Copyright (C) 2008 
Marco Milletti

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

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

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

using QuantProject.ADT.Statistics;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;


namespace QuantProject.Business.Strategies.TickersRelationships
{
  /// <summary>
  /// Abstract class that provides correlation's indexes two by two within a 
  /// given set of tickers
  /// </summary>
  [Serializable]
  public abstract class CorrelationProvider
  {
		protected ReturnsManager returnsManager;
		protected string[] tickers;
		protected float minimumAbsoluteReturnValue;
		protected float maximumAbsoluteReturnValue;
		protected int numOfCombinationTwoByTwo;
		protected TickersPearsonCorrelation[] pearsonCorrelations;
		protected EndOfDayDateTime firstEndOfDayDateTime;
		protected EndOfDayDateTime lastEndOfDayDateTime;
		protected string benchmark;

		/// <summary>
		/// Creates the correlation provider
		/// </summary>
		/// <param name="tickersToAnalyze">Array of tickers to be analyzed</param>
		/// <param name="startDate"></param>
		/// <param name="endDate"></param>
		/// <param name="minimumAbsoluteReturnValue">Both current tickers' returns
		/// have to be greater than minimumAbsoluteReturnValue for being considered
		/// significant and so computed in the correlation formula</param>
		/// <param name="maximumAbsoluteReturnValue">Both current tickers' returns
		/// have to be less than maximumAbsoluteReturnValue</param>
		/// <param name="benchmark">The benchmark used for computation
		/// of returns</param>
    public CorrelationProvider(string[] tickersToAnalyze,
					 DateTime startDate, DateTime endDate,
					 float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue,
					 string benchmark)
    {
			this.tickers = tickersToAnalyze;
			this.setEndOfDayDatesTime(startDate, endDate);
			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
			this.benchmark = benchmark;
			
			this.numOfCombinationTwoByTwo =
				(int)((Math.Pow(this.tickers.Length, 2) - this.tickers.Length ) / 2);
			this.setReturnsManager();
    }

		/// <summary>
		/// Creates the correlation provider
		/// </summary>
		/// <param name="tickersToAnalyze">Array of tickers to be analyzed</param>
		/// <param name="returnsManager"></param>
		/// <param name="minimumAbsoluteReturnValue">Both current tickers' returns
		/// have to be greater than minimumAbsoluteReturnValue for being considered
		/// significant and so computed in the correlation formula</param>
		/// <param name="maximumAbsoluteReturnValue">Both current tickers' returns
		/// have to be less than maximumAbsoluteReturnValue</param>
		public CorrelationProvider( string[] tickersToAnalyze,
			ReturnsManager returnsManager,
			float minimumAbsoluteReturnValue, float maximumAbsoluteReturnValue )
		{
			this.tickers = tickersToAnalyze;
			this.returnsManager = returnsManager;
			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
						
			this.numOfCombinationTwoByTwo = 
				(int)((Math.Pow(this.tickers.Length, 2) - this.tickers.Length ) / 2);
		}
			
		protected abstract void setEndOfDayDatesTime(DateTime startDate, DateTime endDate);
		protected abstract void setReturnsManager();
		
		protected float[] getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
			float[] firstTickerReturns, float[] secondTickerReturns)
		{
			float[] returnValue;
			float[] tempReturnValue = new float[firstTickerReturns.Length];
			int countSignificantReturns = 0;
			for(int i = 0; i<firstTickerReturns.Length; i++)
				if( Math.Abs(firstTickerReturns[i]) >= this.minimumAbsoluteReturnValue &&
				    Math.Abs(firstTickerReturns[i]) <= this.maximumAbsoluteReturnValue &&
						Math.Abs(secondTickerReturns[i]) >= this.minimumAbsoluteReturnValue && 
						Math.Abs(secondTickerReturns[i]) <= this.maximumAbsoluteReturnValue )
				{
					countSignificantReturns++;
					tempReturnValue[ countSignificantReturns - 1 ] = firstTickerReturns[ i ];
				}
			returnValue = new float[countSignificantReturns];
      Array.Copy(tempReturnValue, 0, returnValue, 0, countSignificantReturns);
			return returnValue;
		}

		protected double getOrderedTickersPearsonCorrelations_setCorrelations_getValue(
			             int indexOfFirstTicker, int indexOfSecondTicker)
		{
			double returnValue;
			float[] firstTickerSignificantReturns = 
				this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
				this.returnsManager.GetReturns(this.tickers[indexOfFirstTicker]),
				this.returnsManager.GetReturns(this.tickers[indexOfSecondTicker]) );
			
			float[] secondTickerSignificantReturns = 
				this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue_getFilteredReturnsForFirstTicker(
				this.returnsManager.GetReturns(this.tickers[indexOfSecondTicker]),
				this.returnsManager.GetReturns(this.tickers[indexOfFirstTicker]) );
			
			returnValue = BasicFunctions.PearsonCorrelationCoefficient(
				firstTickerSignificantReturns,
				secondTickerSignificantReturns );
			
			if ( Double.IsNaN(returnValue) || Double.IsInfinity(returnValue) )
				throw new Exception( "correlation can't be computed for these two tickers: "+
														this.tickers[indexOfFirstTicker] + " and " +
														this.tickers[indexOfSecondTicker] + "!");

			return returnValue;
		}

		protected void getOrderedTickersPearsonCorrelations_setCorrelations()
		{
			this.pearsonCorrelations = 
				new TickersPearsonCorrelation[ this.numOfCombinationTwoByTwo ];
			int index = 0;
			for (int i = 0; i < this.tickers.Length; i++)
				for (int j = i + 1; j < this.tickers.Length; j++)
				{	
					this.pearsonCorrelations[index] = 
						new TickersPearsonCorrelation( this.tickers[i], this.tickers[j],
						this.getOrderedTickersPearsonCorrelations_setCorrelations_getValue( i , j) );
					index++;
				} 
			Array.Sort(this.pearsonCorrelations);
		}

		public TickersPearsonCorrelation[] GetOrderedTickersPearsonCorrelations()
		{
    	if( this.pearsonCorrelations == null )
				this.getOrderedTickersPearsonCorrelations_setCorrelations();
			
			return this.pearsonCorrelations;
		}
		
		public double GetPearsonCorrelation(string firstTicker, string secondTicker)
		{
    	double returnValue = -2.0;
			if( this.pearsonCorrelations == null )
				this.getOrderedTickersPearsonCorrelations_setCorrelations();
			
    	for(int i = 0; i<this.pearsonCorrelations.Length; i++)
    	{
    		if( (this.pearsonCorrelations[i].FirstTicker == firstTicker &&
    		     this.pearsonCorrelations[i].SecondTicker == secondTicker) ||
    		     (this.pearsonCorrelations[i].FirstTicker == secondTicker &&
    		      this.pearsonCorrelations[i].SecondTicker == firstTicker) )
    			returnValue = this.pearsonCorrelations[i].CorrelationValue;
    	}
    	
    	return returnValue;
		}

  } // end of class
}

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4256/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Added Files:
	GenomeManagerPVO_OTC.cs 
Log Message:
Added Portfolio Value Oscillator strategy using Open To Close returns.
Fitness is based on correlation; 2 tickers portfolio is opened at market open
and closed at market close.

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

GenomeManagerPVO_OTC.cs
Copyright (C) 2008 
Marco Milletti

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

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

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

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

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

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator
{
	/// <summary>
	/// Implements what needed to use the Genetic Optimizer
	/// for finding the portfolio that best suites
	/// the Portfolio Value Oscillator strategy, based on
	/// open to close returns
	/// </summary>
	[Serializable]
  public class GenomeManagerPVO_OTC : GenomeManagerPVO
  {
       
    public GenomeManagerPVO_OTC(DataTable setOfInitialTickers,
                           DateTime firstQuoteDate,
                           DateTime lastQuoteDate,
                           int numberOfTickersInPortfolio,
                           int minLevelForOversoldThreshold,
	                         int maxLevelForOversoldThreshold,
	                         int minLevelForOverboughtThreshold,
	                         int maxLevelForOverboughtThreshold,
                           int divisorForThresholdComputation,
                           bool symmetricalThresholds,
                           bool overboughtMoreThanOversoldForFixedPortfolio,
                           PortfolioType inSamplePortfolioType,
                           string benchmark)
                           :
														base(setOfInitialTickers,
														firstQuoteDate,
														lastQuoteDate,
														numberOfTickersInPortfolio,
														1,
														minLevelForOversoldThreshold,
														maxLevelForOversoldThreshold,
														minLevelForOverboughtThreshold,
														maxLevelForOverboughtThreshold,
														divisorForThresholdComputation,
														symmetricalThresholds,
														overboughtMoreThanOversoldForFixedPortfolio,
														inSamplePortfolioType,
														benchmark)
                                
                          
    {
    	
    }
    
    protected override void setReturnsManager(DateTime firstQuoteDate,
                                   DateTime lastQuoteDate)
    {
    	EndOfDayDateTime firstEndOfDayDateTime =
				new EndOfDayDateTime(firstQuoteDate,
    		EndOfDaySpecificTime.MarketOpen);
			EndOfDayDateTime lastEndOfDayDateTime =
				new EndOfDayDateTime(lastQuoteDate,
				EndOfDaySpecificTime.MarketClose);
    	this.returnsManager = 
    		new ReturnsManager( new DailyOpenToCloseIntervals(
															  firstEndOfDayDateTime, 
																lastEndOfDayDateTime, 
																this.benchmark),
														new HistoricalRawQuoteProvider() );
    }
       
    
		//fitness is a sharpe-ratio based indicator for the equity line resulting
		//from applying the strategy
	  public override double GetFitnessValue(Genome genome)
    {
			//NEW implementation: fitness is just the pearson correlation
			//applied to two tickers. This kind of fitness is only valid
			//for tests with 2-tickers portfolios
			double returnValue = -2.0;
			if(this.correlationProvider == null)
				this.correlationProvider = new OpenToCloseCorrelationProvider(
					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;
    }
  }
}

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO EndOfDayTimerHandlerBiasedPVO_OTC.cs, NONE, 1.1 RunBiasedPVO_OTC.cs, NONE, 1.1

[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-serv4256/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO

Added Files:
	EndOfDayTimerHandlerBiasedPVO_OTC.cs RunBiasedPVO_OTC.cs 
Log Message:
Added Portfolio Value Oscillator strategy using Open To Close returns.
Fitness is based on correlation; 2 tickers portfolio is opened at market open
and closed at market close.

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

EndOfDayTimerHandlerBiasedPVO_OTC.cs
Copyright (C) 2008
Marco Milletti

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

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

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

using QuantProject.ADT;
using QuantProject.ADT.Statistics;
using QuantProject.ADT.FileManaging;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.TickersRelationships;
using QuantProject.Data;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.WeightedPVO.WeightedBalancedPVO;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.BiasedPVO
{
	/// <summary>
  /// Implements MarketOpenEventHandler and MarketCloseEventHandler
  /// These handlers contain the core strategy for the Biased Portfolio Value
  /// Oscillator, using Open To Close returns
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerBiasedPVO_OTC : EndOfDayTimerHandlerBiasedPVO
  {
    
    public EndOfDayTimerHandlerBiasedPVO_OTC(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 numDaysOfStayingOnTheMarket,
                                int minLevelForOversoldThreshold,
                                int maxLevelForOversoldThreshold,
                                int minLevelForOverboughtThreshold,
                                int maxLevelForOverboughtThreshold,
                                int divisorForThresholdComputation,
                                bool symmetricalThresholds,
                                bool overboughtMoreThanOversoldForFixedPortfolio,
                                int numDaysBetweenEachOptimization,
                                PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
                                double minimumAcceptableGain):
																base(tickerGroupID, numberOfEligibleTickers,
                                minPriceForTickersToBeChosen,
                                maxPriceForTickersToBeChosen,
                                numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
                                account,
                                pathOfFileContainingGenomes,
                                generationNumberForGeneticOptimizer,
                                populationSizeForGeneticOptimizer,
                                benchmark,
                                numOfDifferentGenomesToEvaluateOutOfSample,
                               	resetThresholdsBeforeCheckingOutOfSample,
                               	numDaysForThresholdsReComputation,
                                numOfStdDevForThresholdsComputation,
                                maxCoefficientForDegreeComputationOfCrossingThreshold,
                                buyOnlyPositionsThatAreMovingTogether,
                                doNotOpenReversedPositionsThatHaveJustBeenClosed,
                                1, numDaysOfStayingOnTheMarket,
                                minLevelForOversoldThreshold,
                                maxLevelForOversoldThreshold,
                                minLevelForOverboughtThreshold,
                                maxLevelForOverboughtThreshold,
                                divisorForThresholdComputation,
                                symmetricalThresholds,
                                overboughtMoreThanOversoldForFixedPortfolio,
                                numDaysBetweenEachOptimization,
                                portfolioType, maxAcceptableCloseToCloseDrawdown,
                                minimumAcceptableGain)
      
    {
			
    }
		
  	#region MarketOpen
  			
		public override void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      if ( this.account.Portfolio.Count == 0 &&
           this.weightedPositionsToEvaluateOutOfSample[0] != null )
			//portfolio is empty and optimization has been already launched
     	   		this.openPositions( (IndexBasedEndOfDayTimer)sender );
    }
    
    protected override 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;
     	}			
//  UPDATE WITH DailyOpenToCloseIntervals
//    	ReturnsManager returnsManager = new ReturnsManager(
//    		new CloseToCloseIntervals(new EndOfDayDateTime(today.AddDays(-this.numDaysForThresholdsReComputation), EndOfDaySpecificTime.MarketClose),
//		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketClose),
//		  	                         this.benchmark,
//		  	                         this.numDaysForOscillatingPeriod),
//		  	new HistoricalAdjustedQuoteProvider() );
//    	//double returnsAverage;
//    	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 override void openPositions_chooseGenome(IndexBasedEndOfDayTimer timer)
    {
      DateTime today = timer.GetCurrentTime().DateTime;
		  DateTime previousTradingDay = 
		  	timer.GetPreviousDateTime(1);
		  ReturnsManager returnsManager = new ReturnsManager(
		  	new CloseToOpenIntervals(new EndOfDayDateTime(previousTradingDay, EndOfDaySpecificTime.MarketClose),
		  	                         new EndOfDayDateTime(today, EndOfDaySpecificTime.MarketOpen),
		  	                         this.benchmark),
		  	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
          }
        }
      }
    }
        
		#endregion
		
    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
     	if(this.account.Portfolio.Count > 0)
     	{
     		this.lastWeightedPositionsClosed = AccountManager.GetWeightedPositions(this.account);
				AccountManager.ClosePositions(this.account);
     	}
    }
   
    #region OneHourAfterMarketCloseEventHandler
        
    protected override void setTickers(DateTime currentDate,
      bool setGenomeCounter)
    {
      DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
      this.iGenomeManager =
          new GenomeManagerPVO_OTC(setOfTickersToBeOptimized,
          currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
          currentDate, this.numberOfTickersToBeChosen,
          this.minLevelForOversoldThreshold,
          this.maxLevelForOversoldThreshold,
          this.minLevelForOverboughtThreshold,
          this.maxLevelForOverboughtThreshold,
          this.divisorForThresholdComputation,
          this.symmetricalThresholds,
          this.overboughtMoreThanOversoldForFixedPortfolio,
          this.portfolioType, this.benchmark);
      GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
          this.populationSizeForGeneticOptimizer, 
          this.generationNumberForGeneticOptimizer,
          this.seedForRandomGenerator);
//      if(setGenomeCounter)
//        this.genomeCounter = new GenomeCounter(GO);
      GO.MutationRate = 0.1;
      GO.CrossoverRate = 0.85;
      GO.Run(false);
       
      this.setTickers_updateTickersWeightsAndThresholdsAndAddGenomesForLog(GO, setOfTickersToBeOptimized.Rows.Count);
           	
    }
    
             
    #endregion

  }
}

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

RunBiasedPVO_OTC.cs
Copyright (C) 2008
Marco Milletti

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

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

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

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

using QuantProject.ADT;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Business.Financial.Accounting.Slippage;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Testing;
using QuantProject.Business.Timing;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors; 
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Presentation.Reporting.WindowsForm;
using QuantProject.ADT.FileManaging;
using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator;


namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.BiasedPVO
{
	/// <summary>
	/// Script that implements the PVO strategy using OTC returns,
	/// with this difference:
	/// when it is time to open new positions,
	/// the first genome (from a given set of genomes with a good fitness) that
	/// crosses a threshold is chosen
	/// </summary>
	[Serializable]
	public class RunBiasedPVO_OTC : RunBiasedPVO
	{
    		
    public RunBiasedPVO_OTC(string tickerGroupID, int maxNumOfEligibleTickersForOptimization,
		                    						double minPriceForTickersToBeChosen,
		                    						double maxPriceForTickersToBeChosen,
                                    int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
                                    int generationNumberForGeneticOptimizer,
                                    int populationSizeForGeneticOptimizer, string benchmark,
                                    DateTime startDate, DateTime endDate,
                                    int numOfDifferentGenomesToEvaluateOutOfSample,
                                    bool resetThresholdsBeforeCheckingOutOfSample,
                                    int numDaysForThresholdsReComputation,
                                    double numOfStdDevForThresholdsComputation,
                                    double maxCoefficientForDegreeComputationOfCrossingThreshold,
                                    bool buyOnlyPositionsThatAreMovingTogether,
                                    bool doNotOpenReversedPositionsThatHaveJustBeenClosed,
                                    int numDaysOfStayingOnTheMarket,
                                    int minLevelForOversoldThreshold,
                                    int maxLevelForOversoldThreshold,
                                    int minLevelForOverboughtThreshold,
                                    int maxLevelForOverboughtThreshold,
                                    int divisorForThresholdComputation,
                                    bool symmetricalThresholds,
                                    bool overboughtMoreThanOversoldForFixedPortfolio,
                                   	int numDaysBetweenEachOptimization,
                                    PortfolioType inSamplePortfolioType, double maxAcceptableCloseToCloseDrawdown, 
                                    double minimumAcceptableGain, double maxRunningHours):
                            				base(tickerGroupID, maxNumOfEligibleTickersForOptimization,
		                    						minPriceForTickersToBeChosen,
		                    						maxPriceForTickersToBeChosen,
                                    numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
                                    generationNumberForGeneticOptimizer,
                                    populationSizeForGeneticOptimizer, benchmark,
                                    startDate, endDate,
                                    numOfDifferentGenomesToEvaluateOutOfSample,
                                    resetThresholdsBeforeCheckingOutOfSample,
                                    numDaysForThresholdsReComputation,
                                    numOfStdDevForThresholdsComputation,
                                    maxCoefficientForDegreeComputationOfCrossingThreshold,
                                    buyOnlyPositionsThatAreMovingTogether,
                                    doNotOpenReversedPositionsThatHaveJustBeenClosed, 1,
                                    numDaysOfStayingOnTheMarket,
                                    minLevelForOversoldThreshold,
                                    maxLevelForOversoldThreshold,
                                    minLevelForOverboughtThreshold,
                                    maxLevelForOverboughtThreshold,
                                    divisorForThresholdComputation,
                                    symmetricalThresholds,
                                    overboughtMoreThanOversoldForFixedPortfolio,
                                   	numDaysBetweenEachOptimization,
                                    inSamplePortfolioType, maxAcceptableCloseToCloseDrawdown, 
                                    minimumAcceptableGain, maxRunningHours)
		{
      this.ScriptName = "PVO_OTC_Biased_NoWeightsPriceSel";
    }
    
//		protected override void run_initializeHistoricalQuoteProvider()
//    {
//    	this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
//    }
		
		protected override void run_initializeAccount()
		{
			this.account = new Account( this.scriptName , this.endOfDayTimer ,
				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
				this.historicalQuoteProvider ) ,
				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
				this.historicalQuoteProvider, 
				new FixedPercentageSlippageManager(
						this.historicalQuoteProvider, this.endOfDayTimer, 0.05 ) ),
				new IBCommissionManager() );
 		}
//		//no slippage, only commissions
//		protected override void run_initializeAccount()
//		{
//			this.account = new Account( this.scriptName , this.endOfDayTimer ,
//				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
//				this.historicalQuoteProvider ) ,
//				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
//				this.historicalQuoteProvider ),
//				new IBCommissionManager() );
//		}

    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerBiasedPVO_OTC(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.numDaysOfStayingOnTheMarket,
			    	                                                        this.minLevelForOversoldThreshold,
			                                                              this.maxLevelForOversoldThreshold,
			                                                              this.minLevelForOverboughtThreshold,
			                                                              this.maxLevelForOverboughtThreshold,
			                                                              this.divisorForThresholdComputation,
			                                                              this.symmetricalThresholds,
			                                                              this.overboughtMoreThanOversoldForFixedPortfolio,
			    	                                                        this.numDaysBetweenEachOptimization,
			                                                              this.portfolioType, this.maxAcceptableCloseToCloseDrawdown, 
			                                                              this.minimumAcceptableGain);
    }
  }
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv459/TickersRelationships

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships added to the repository

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/Commissions IBCommission.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Commissions
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27421

Modified Files:
	IBCommission.cs 
Log Message:
Fixed bug in IBCommission: commission fees have been updated.

Index: IBCommission.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Commissions/IBCommission.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** IBCommission.cs	15 Feb 2005 19:09:01 -0000	1.3
--- IBCommission.cs	13 Jan 2008 23:30:14 -0000	1.4
***************
*** 41,46 ****
  				else
  				{
! 					returnValue = this.transaction.Quantity * 0.01;
! 					returnValue = Math.Max( returnValue , 1.0 );
  				}
  				return returnValue;
--- 41,49 ----
  				else
  				{
! 					returnValue = this.transaction.Quantity * 0.005;
! 					//USD 0.005 per share
! 					returnValue = Math.Min( Math.Max( returnValue , 1.0 ),
! 																	0.005 * this.transaction.Amount);
! 					//0.5% of trade value plus exchange, ECN, and specialist fees
  				}
  				return returnValue;

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic IGenomeManager.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17905/b1_ADT/Optimizing/Genetic

Modified Files:
	IGenomeManager.cs 
Log Message:
Minor logical change: Decode is now declared before GetFitnessValue, because GetFitnessValue will probably require a decode, while Decode will not require the genome's fitness value.

Index: IGenomeManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/IGenomeManager.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** IGenomeManager.cs	3 Jan 2007 23:20:10 -0000	1.5
--- IGenomeManager.cs	30 Dec 2007 00:14:42 -0000	1.6
***************
*** 46,51 ****
      int GetMinValueForGenes(int genePosition);
      int GetNewGeneValue(Genome genome, int genePosition); 
-     double GetFitnessValue(Genome genome);
      object Decode(Genome genome);
  		Genome[] GetChilds(Genome parent1, Genome parent2);
  		void Mutate(Genome genome);
--- 46,51 ----
      int GetMinValueForGenes(int genePosition);
      int GetNewGeneValue(Genome genome, int genePosition); 
      object Decode(Genome genome);
+ 		double GetFitnessValue(Genome genome);
  		Genome[] GetChilds(Genome parent1, Genome parent2);
  		void Mutate(Genome genome);

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27141/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows

Modified Files:
	AverageNumberOfTransactionsPerDay.cs 
Log Message:
Number of transactions is divided by number of market days, now.

Index: AverageNumberOfTransactionsPerDay.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/AverageNumberOfTransactionsPerDay.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** AverageNumberOfTransactionsPerDay.cs	10 Sep 2007 22:08:37 -0000	1.2
--- AverageNumberOfTransactionsPerDay.cs	7 Dec 2007 19:08:37 -0000	1.3
***************
*** 25,28 ****
--- 25,29 ----
  using QuantProject.ADT.Histories;
  using QuantProject.ADT.Statistics;
+ using QuantProject.Data.DataTables;
  using QuantProject.Business.Financial.Accounting.Reporting.Tables;
  
***************
*** 37,49 ****
  	public class AverageNumberOfTransactionsPerDay : DoubleSummaryRow
  	{
! 		public AverageNumberOfTransactionsPerDay( Summary summary ) : base( 1 )
  		{
! 			this.rowDescription = "Average n. of transactions per day";
  			//int totalNumberOfTransactions = summary.AccountReport.Account.Transactions.Count;
  			//there must be a mistake somewhere: why the previous line is not right?
  			int totalNumberOfTransactions = summary.AccountReport.TransactionTable.DataTable.Rows.Count;
! 			TimeSpan timeSpanForScript = 
! 			summary.AccountReport.EndDateTime.DateTime.Subtract(summary.AccountReport.StartDateTime);
! 			this.rowValue = (double)totalNumberOfTransactions / (double)timeSpanForScript.Days;
  		}
  	}
--- 38,52 ----
  	public class AverageNumberOfTransactionsPerDay : DoubleSummaryRow
  	{
! 		public AverageNumberOfTransactionsPerDay( Summary summary ) : base( 2 )
  		{
! 			this.rowDescription = "Average n. of transactions per market day";
  			//int totalNumberOfTransactions = summary.AccountReport.Account.Transactions.Count;
  			//there must be a mistake somewhere: why the previous line is not right?
  			int totalNumberOfTransactions = summary.AccountReport.TransactionTable.DataTable.Rows.Count;
! 			History marketDays = Quotes.GetMarketDays(
! 				summary.AccountReport.Benchmark,
! 				summary.AccountReport.StartDateTime,
! 				summary.AccountReport.EndDateTime.DateTime);
! 			this.rowValue = (double)totalNumberOfTransactions / (double)marketDays.Count;
  		}
  	}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement ReturnsManager.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20965/b4_Business/a2_Strategies/returnsManagement

Modified Files:
	ReturnsManager.cs 
Log Message:
Fixed bug in ReturnsManager's private method isReturnsStandardDeviationAlreadySet

Index: ReturnsManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/ReturnsManager.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** ReturnsManager.cs	4 Nov 2007 18:53:56 -0000	1.8
--- ReturnsManager.cs	13 Nov 2007 19:10:28 -0000	1.9
***************
*** 197,201 ****
  		private bool isReturnsStandardDeviationAlreadySet( string ticker )
  		{
! 			return this.tickersReturns.ContainsKey( ticker );
  		}
  		private void setReturnsStandardDeviation(
--- 197,201 ----
  		private bool isReturnsStandardDeviationAlreadySet( string ticker )
  		{
! 			return this.tickersReturnsStandardDeviations.ContainsKey( ticker );
  		}
  		private void setReturnsStandardDeviation(

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag RunSimpleLag.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv26026/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	RunSimpleLag.cs 
Log Message:
Code has been added to test some optimal driving positions subsets

Index: RunSimpleLag.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunSimpleLag.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunSimpleLag.cs	4 Nov 2007 18:51:09 -0000	1.1
--- RunSimpleLag.cs	8 Nov 2007 17:48:36 -0000	1.2
***************
*** 76,83 ****
  
  			// bad driving positions, despite having two optimal tickers
! 			double[] drivingWeights = { -0.272826060576681 , 0.304736475342285 , -0.0953627582891244 , 0.32707470579191 };
! 			string[] drivingTickers = { "^DJT" , "^OEX" , "BDH" , "EWJ" };
  //			Description	"^DJT;-0.272826060576681--^OEX;0.304736475342285--BDH;-0.0953627582891244--EWJ;0.32707470579191--"	string
  
  
  			double[] portfolioWeights = { 0.442536856335084 , -0.557463143664916 };
--- 76,100 ----
  
  			// bad driving positions, despite having two optimal tickers
! //			double[] drivingWeights = { -0.272826060576681 , 0.304736475342285 , -0.0953627582891244 , 0.32707470579191 };
! //			string[] drivingTickers = { "^DJT" , "^OEX" , "BDH" , "EWJ" };
  //			Description	"^DJT;-0.272826060576681--^OEX;0.304736475342285--BDH;-0.0953627582891244--EWJ;0.32707470579191--"	string
  
+ 			// two optimal driving positions
+ 			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 };
+ 			string[] drivingTickers = { "^OEX" , "BDH" };
+ 
+ 			// three optimal driving positions
+ //			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 , -0.16220520521007 };
+ //			string[] drivingTickers = { "^OEX" , "BDH" , "HHH" };
+ 
+ 			// two optimal driving with similar weights
+ //			double[] drivingWeights = { 0.304736475342285 , -0.0953627582891244 };
+ //			string[] drivingTickers = { "^OEX" , "BDH" };
+ 			
+ 			// single optimal driving
+ //			double[] drivingWeights = { 1 };
+ //			string[] drivingTickers = { "IIH" };
+ 			
+ 
  
  			double[] portfolioWeights = { 0.442536856335084 , -0.557463143664916 };

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv25461/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
WalkForwardTesting\WalkForwardLag\RunSimpleLag.cs has been added to the project

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** Scripts_SD.csproj	4 Nov 2007 18:54:41 -0000	1.9
--- Scripts_SD.csproj	8 Nov 2007 17:47:16 -0000	1.10
***************
*** 64,67 ****
--- 64,68 ----
      <Compile Include="TickerSelectionTesting\RunEfficientCTOPortfolio.cs" />
      <Compile Include="WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\RunSimpleLag.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\BruteForce\WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\Decoding\IWFLagDecoder.cs" />

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv25036/b4_Business

Modified Files:
	Business_SD.csproj 
Log Message:
CVS related files have been removed from the project

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** Business_SD.csproj	28 Oct 2007 22:28:26 -0000	1.5
--- Business_SD.csproj	8 Nov 2007 17:46:48 -0000	1.6
***************
*** 179,188 ****
      <Compile Include="a2_Strategies\EquityEvaluation\ExpectancyScore.cs" />
      <Compile Include="a2_Strategies\EquityEvaluation\SharpeRatio.cs" />
-     <None Include="a2_Strategies\returnsManagement\time\CVS\Entries" />
-     <None Include="a2_Strategies\returnsManagement\time\CVS\Entries.Extra" />
-     <None Include="a2_Strategies\returnsManagement\time\CVS\Entries.Extra.Old" />
-     <None Include="a2_Strategies\returnsManagement\time\CVS\Entries.Old" />
-     <None Include="a2_Strategies\returnsManagement\time\CVS\Repository" />
-     <None Include="a2_Strategies\returnsManagement\time\CVS\Root" />
    </ItemGroup>
    <ItemGroup>
--- 179,182 ----
***************
*** 202,206 ****
      <Folder Include="a2_Strategies\returnsManagement" />
      <Folder Include="a2_Strategies\returnsManagement\time" />
-     <Folder Include="a2_Strategies\returnsManagement\time\CVS" />
    </ItemGroup>
    <Import Project="$(MSBuildBinPath)\Microsoft.CSharp.Targets" />
--- 196,199 ----

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

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Collections
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24247/b1_ADT/Collections

Modified Files:
	IntArrayManager.cs 
Log Message:
Bug fixed in the SubArray pubic static method: it should work fine now

Index: IntArrayManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Collections/IntArrayManager.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IntArrayManager.cs	7 Oct 2007 10:25:10 -0000	1.1
--- IntArrayManager.cs	4 Nov 2007 19:11:38 -0000	1.2
***************
*** 71,75 ****
  				subArray[ i ] =	arrayOfInt[ currentPosition ];
  			}
! 			return arrayOfInt;
  		}
  		#endregion SubArray
--- 71,75 ----
  				subArray[ i ] =	arrayOfInt[ currentPosition ];
  			}
! 			return subArray;
  		}
  		#endregion SubArray

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagMain.cs, 1.14, 1.15

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17912/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WFLagMain.cs 
Log Message:
A small snippet of code has been added to invoke a RunSimpleLag backtest.

Index: WFLagMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagMain.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** WFLagMain.cs	28 Oct 2007 22:23:02 -0000	1.14
--- WFLagMain.cs	4 Nov 2007 19:00:14 -0000	1.15
***************
*** 152,156 ****
  				4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" ,
  				new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() ,
! 				1000 , 3 );
  //			wFLagWeightedPositionsChooser =
  //				new WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving(
--- 152,156 ----
  				4 , new SignedTickers( "IWM;-SPY" ) , 100 , "EWQ" ,
  				new QuantProject.Business.Strategies.EquityEvaluation.SharpeRatio() ,
! 				10000 , 30 );
  //			wFLagWeightedPositionsChooser =
  //				new WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving(
***************
*** 162,165 ****
--- 162,167 ----
  //				new DateTime( 2001 , 1 , 8 ) ,
  //				0.5 ).Run();
+ 
+ 			new RunSimpleLag().Run();
  			new RunWalkForwardLag( "DrvPstns" , 200 ,
  				wFLagWeightedPositionsChooser ,	7 ,

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies WeightedPositions.cs, 1.11, 1.12

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17322/b4_Business/a2_Strategies

Modified Files:
	WeightedPositions.cs 
Log Message:
- the ToString() method has been overridden (useful for debugging)
- a new static property WeightedPositions TestInstance has been added: it will be a good habit to add a TestInstance property to many classes, it will be useful whenever an istance is needed for testing anything
- a new string property Description has been added: it is extremely useful in the debugging watch window (for copy and paste also)

Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPositions.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** WeightedPositions.cs	28 Oct 2007 18:54:06 -0000	1.11
--- WeightedPositions.cs	4 Nov 2007 18:59:19 -0000	1.12
***************
*** 100,103 ****
--- 100,121 ----
  		}
  		
+ 		public static WeightedPositions TestInstance
+ 		{
+ 			get
+ 			{
+ 				double[] weights = {1.0};
+ 				string[] tickers = {"DUMMY"};
+ 				WeightedPositions testInstance = new WeightedPositions( weights , tickers );
+ 				return testInstance;				
+ 			}
+ 		}
+ 		
+ 		/// <summary>
+ 		/// text description of these weighted positions. Useful for debugging
+ 		/// </summary>
+ 		public string Description
+ 		{
+ 			get { return this.ToString(); }
+ 		}
  		private void weightedPositions_default( double[] normalizedWeightValues ,
  			string[] tickers )
***************
*** 120,135 ****
  		}
  		
- 		public static WeightedPositions TestInstance
- 		{
- 			get
- 			{
- 				double[] weights = {1.0};
- 				string[] tickers = {"DUMMY"};
- 				WeightedPositions testInstance = new WeightedPositions( weights , tickers );
- 				return testInstance;				
- 			}
- 		}
- 		
- 		
  		public WeightedPositions( double[] normalizedUnsignedWeightValues,
  		                          SignedTickers signedTickers )
--- 138,141 ----
***************
*** 694,697 ****
--- 700,710 ----
  				weightedPosition.Weight = - weightedPosition.Weight;
  		}
+ 		public override string ToString()
+ 		{
+ 			string toString = "";
+ 			for ( int i = 0 ; i < this.Count ; i++ )
+ 				toString += ((WeightedPosition)( this[ i ] )).ToString() + "--";
+ 			return toString;
+ 		}
  	}
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15407/b4_Business/a2_Strategies

Modified Files:
	WeightedPosition.cs 
Log Message:
The ToString() method has been overridden (useful for debugging)

Index: WeightedPosition.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPosition.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WeightedPosition.cs	30 Jul 2006 10:44:45 -0000	1.1
--- WeightedPosition.cs	4 Nov 2007 18:55:39 -0000	1.2
***************
*** 118,123 ****
  			return dailyReturn;
  		}
!     
! 
  	}
  }
--- 118,126 ----
  			return dailyReturn;
  		}
! 		public override string ToString()
! 		{
! 			string toString = this.Ticker + ";" + this.Weight;
! 			return toString;
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14846/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio\WFLagGenerationDebugger.cs has been added

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** Scripts_SD.csproj	28 Oct 2007 22:29:44 -0000	1.8
--- Scripts_SD.csproj	4 Nov 2007 18:54:41 -0000	1.9
***************
*** 69,72 ****
--- 69,73 ----
      <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\OptimizableParametersManagers\WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagFitnessEvaluator.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio\WFLagGenerationDebugger.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagLogItem.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagMeaningForUndecodableEncoded.cs" />

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement ReturnsManager.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14343/b4_Business/a2_Strategies/returnsManagement

Modified Files:
	ReturnsManager.cs 
Log Message:
- the method getMarketDaysForQuotes is useless and has been removed
- some commented out code has been cleaned out

Index: ReturnsManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/ReturnsManager.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** ReturnsManager.cs	7 Oct 2007 13:15:55 -0000	1.7
--- ReturnsManager.cs	4 Nov 2007 18:53:56 -0000	1.8
***************
*** 64,80 ****
  			get { return this.returnIntervals.Count; }
  		}
- //		protected DateTime firstDateTime
- //		{
- //			get { return this.timeLineForQuotes.GetDateTime( 0 ); }
- //		}
- //		protected DateTime lastDateTime
- //		{
- //			get
- //			{
- //				int lastIndex = this.timeLineForQuotes.Count - 1;
- //				return this.timeLineForQuotes.GetDateTime( lastIndex );
- //			}
- //		}
- //
  		/// <summary>
  		/// Abstract class used to store and efficiently provide arrays of
--- 64,67 ----
***************
*** 90,101 ****
  		/// for the benchmark, each array of returns will have exactly
  		/// n-1 elements</param>
- //		public ReturnsManager( DateTime firstDate , DateTime lastDate ,
- //			string benchmark )
- //		{
- //			// TO DO: let WFLagEligibleTickers use this class also!!!
- //			this.timeLineForQuotes =
- //				this.getMarketDaysForQuotes( firstDate , lastDate , benchmark );
- //			this.commonInitialization();
- //		}
  		public ReturnsManager( ReturnIntervals returnIntervals ,
  			IHistoricalQuoteProvider historicalQuoteProvider )
--- 77,80 ----
***************
*** 112,121 ****
  			this.tickersReturnsStandardDeviations = new Hashtable();
  		}
- 		private History getMarketDaysForQuotes( DateTime firstDate ,
- 			DateTime lastDate , string benchmark )
- 		{
- 			return Quotes.GetMarketDays( benchmark ,
- 				firstDate , lastDate );
- 		}
  
  		private bool isAValidIndexForAReturn( int index )
--- 91,94 ----
***************
*** 129,133 ****
  			return this.tickersReturns.ContainsKey( ticker );
  		}
- //		protected abstract History getQuotes( string ticker );
  		#region setReturns
  		private float selectReturnWithRespectToTheGivenIterval(
--- 102,105 ----

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.79, 1.80

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13367/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
WalkForwardTesting\WalkForwardLag\RunSimpleLag.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.79
retrieving revision 1.80
diff -C2 -d -r1.79 -r1.80
*** b7_Scripts.csproj	28 Oct 2007 18:37:26 -0000	1.79
--- b7_Scripts.csproj	4 Nov 2007 18:51:54 -0000	1.80
***************
*** 794,797 ****
--- 794,802 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\WalkForwardLag\RunSimpleLag.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\WalkForwardLag\RunWalkForwardLag.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag RunSimpleLag.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13248/b7_Scripts/WalkForwardTesting/WalkForwardLag

Added Files:
	RunSimpleLag.cs 
Log Message:
Tests a simple (non walk forward) lag strategy

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

RunWalkForwardLag.cs
Copyright (C) 2007 
Glauco Siliprandi

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

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

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

using System;

using QuantProject.Business.Strategies;
using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WFLagDebugger;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
{
	/// <summary>
	/// Tests a simple (non walk forward) lag strategy
	/// </summary>
	public class RunSimpleLag
	{
		public RunSimpleLag()
		{
			//
			// TODO: Add constructor logic here
			//
		}
		#region Run
		#region getWFLagWeightedPositions
		#region getDrivingWeightedPositions
		private WeightedPositions getWeightedPositions(
			double[] drivingWeights , string[] drivingTickers )
		{
			double[] normalizedWeightValues =
				WeightedPositions.GetNormalizedWeights( drivingWeights );
			WeightedPositions weightedPositions =
				new WeightedPositions( normalizedWeightValues , drivingTickers );
			return weightedPositions;
		}
		#endregion getDrivingWeightedPositions
		private WFLagWeightedPositions getWFLagWeightedPositions(
			double[] drivingWeights , string[] drivingTickers ,
			double[] portfolioWeights , string[] portfolioTickers )
		{
			WeightedPositions drivingWeightedPositions =
				this.getWeightedPositions( drivingWeights , drivingTickers );
			WeightedPositions portfolioWeightedPositions =
				this.getWeightedPositions( portfolioWeights , portfolioTickers );
			WFLagWeightedPositions wFLagWeightedPositions =
				new WFLagWeightedPositions( drivingWeightedPositions ,
				portfolioWeightedPositions);
			return wFLagWeightedPositions;
		}
		#endregion getWFLagWeightedPositions
		/// <summary>
		/// Executes the backtest
		/// </summary>
		public void Run()
		{
			// optimal driving positions
//			double[] drivingWeights = { 0.550560760218599 , -0.172289820708961 , -0.16220520521007 , 0.11494421386237 };
//			string[] drivingTickers = { "^OEX" , "BDH" , "HHH" , "IIH" };

			// bad driving positions, despite having two optimal tickers
			double[] drivingWeights = { -0.272826060576681 , 0.304736475342285 , -0.0953627582891244 , 0.32707470579191 };
			string[] drivingTickers = { "^DJT" , "^OEX" , "BDH" , "EWJ" };
//			Description	"^DJT;-0.272826060576681--^OEX;0.304736475342285--BDH;-0.0953627582891244--EWJ;0.32707470579191--"	string


			double[] portfolioWeights = { 0.442536856335084 , -0.557463143664916 };
			string[] portfolioTickers = { "IWM" , "SPY" };
			DateTime timeWhenOptimizationWasRequested = new DateTime( 2001 , 1 , 4 );
			int numberDaysForInSampleOptimization = 100;
			string benchmark = "EWQ";

			WFLagWeightedPositions wFLagWeightedPositions =
				this.getWFLagWeightedPositions( drivingWeights , drivingTickers ,
				portfolioWeights , portfolioTickers );
			WFLagDebugPositions wFLagDebugPositions =
				new WFLagDebugPositions( wFLagWeightedPositions ,
				timeWhenOptimizationWasRequested ,
				0 ,
				numberDaysForInSampleOptimization ,
				0 ,
				benchmark );
			wFLagDebugPositions.Run();
		}
		#endregion Run
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time ReturnIntervals.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11488/b4_Business/a2_Strategies/returnsManagement/time

Modified Files:
	ReturnIntervals.cs 
Log Message:
Initialization of the class has been reorganized (parameters are checked in a specific method)

Index: ReturnIntervals.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/ReturnIntervals.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** ReturnIntervals.cs	2 Oct 2007 14:40:06 -0000	1.3
--- ReturnIntervals.cs	30 Oct 2007 19:06:48 -0000	1.4
***************
*** 79,88 ****
  		}
  		
! 		private void returnIntervals_initialize(EndOfDayDateTime firstEndOfDayDateTime ,
  			EndOfDayDateTime lastEndOfDayDateTime , string benchmark,
  			int intervalLength)
  		{
  			if(intervalLength < 1)
  				throw new Exception("Interval length has to be greater than 0!");
  			this.intervalLength = intervalLength;
  			this.firstEndOfDayDateTime = firstEndOfDayDateTime;
--- 79,99 ----
  		}
  		
! 		private void returnIntervals_initialize_checkParameters(
! 			EndOfDayDateTime firstEndOfDayDateTime ,
  			EndOfDayDateTime lastEndOfDayDateTime , string benchmark,
  			int intervalLength)
  		{
+ 			if(lastEndOfDayDateTime.CompareTo(firstEndOfDayDateTime) < 1)
+ 				throw new Exception("lastEndOfDayDateTime has to be greater than firstEndOfDayDateTime!");
  			if(intervalLength < 1)
  				throw new Exception("Interval length has to be greater than 0!");
+ 		}
+ 		
+ 		private void returnIntervals_initialize(EndOfDayDateTime firstEndOfDayDateTime ,
+ 			EndOfDayDateTime lastEndOfDayDateTime , string benchmark,
+ 			int intervalLength)
+ 		{
+ 			this.returnIntervals_initialize_checkParameters(
+ 				firstEndOfDayDateTime, lastEndOfDayDateTime, benchmark, intervalLength);
  			this.intervalLength = intervalLength;
  			this.firstEndOfDayDateTime = firstEndOfDayDateTime;

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16198/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio

Modified Files:
	WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs 
Log Message:
- the property GenerationWhenChosenPositionsWereFound has been added
- the property WFLagChosenPositions is a WFLagWeightedPositions now (it was a WFLagChosenPositions in the previous revision)
- code for using a WFLagGenerationDebugger (if needed) has been added

Index: WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs	7 Oct 2007 13:27:55 -0000	1.8
--- WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs	28 Oct 2007 22:35:28 -0000	1.9
***************
*** 53,57 ****
  		protected int generationNumberForGeneticOptimizer;
  
! 		protected WFLagChosenPositions wFLagChosenPositions;
  
  //		// first in sample quote date for driving positions
--- 53,59 ----
  		protected int generationNumberForGeneticOptimizer;
  
! 		protected GeneticOptimizer geneticOptimizer;
! 		protected WFLagWeightedPositions wFLagChosenPositions;
! 		private EndOfDayDateTime timeWhenChosePositionsIsRequested;
  
  //		// first in sample quote date for driving positions
***************
*** 83,86 ****
--- 85,96 ----
  			}
  		}
+ 		public int GenerationWhenChosenPositionsWereFound
+ 		{
+ 			get
+ 			{
+ 				return this.geneticOptimizer.BestGenome.Generation;
+ 			}
+ 		}
+ 
  
  		public string Benchmark
***************
*** 92,96 ****
  		}
  
! 		public WFLagChosenPositions WFLagChosenPositions
  		{
  			get
--- 102,106 ----
  		}
  
! 		public WFLagWeightedPositions WFLagChosenPositions
  		{
  			get
***************
*** 144,150 ****
--- 154,169 ----
  			return returnIntervals;
  		}
+ 
  		private void newGenerationEventHandler(
  			object sender , NewGenerationEventArgs e )
  		{
+ 			// comment out this line if no debug is done
+ 			WFLagGenerationDebugger wFLagGenerationDebugger =
+ 				new WFLagGenerationDebugger(
+ 				e.Generation ,
+ 				this.timeWhenChosePositionsIsRequested.DateTime ,
+ 				this.NumberDaysForInSampleOptimization ,
+ 				this.benchmark );
+ 			wFLagGenerationDebugger.Debug();
  			this.NewProgress( sender ,
  				new NewProgressEventArgs( e.GenerationCounter , e.GenerationNumber ) );
***************
*** 173,182 ****
  			EndOfDayDateTime now )
  		{
! 			WFLagWeightedPositions wFLagWeightedPositions =
  				this.getWFLagWeightedPositions_FromDecodableGenome(
  				genomeManager , genome );
! 			this.wFLagChosenPositions =
! 				new WFLagChosenPositions(
! 				wFLagWeightedPositions , genome.Generation , now.DateTime );
  //			this.setWeightedPositions( wFLagWeightedPositions );
  			//			this.drivingWeightedPositions =
--- 192,204 ----
  			EndOfDayDateTime now )
  		{
! 			this.wFLagChosenPositions =
  				this.getWFLagWeightedPositions_FromDecodableGenome(
  				genomeManager , genome );
! //			WFLagWeightedPositions wFLagWeightedPositions =
! //				this.getWFLagWeightedPositions_FromDecodableGenome(
! //				genomeManager , genome );
! //			this.wFLagChosenPositions =
! //				new WFLagChosenPositions(
! //				wFLagWeightedPositions , genome.Generation , now.DateTime );
  //			this.setWeightedPositions( wFLagWeightedPositions );
  			//			this.drivingWeightedPositions =
***************
*** 202,206 ****
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator );
  
! 			GeneticOptimizer geneticOptimizer = new GeneticOptimizer(
  				0.85 ,
  				0.02 ,
--- 224,228 ----
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator );
  
! 			this.geneticOptimizer = new GeneticOptimizer(
  				0.85 ,
  				0.02 ,
***************
*** 211,221 ****
  				ConstantsProvider.SeedForRandomGenerator );
  
! 			geneticOptimizer.NewGeneration +=
  				new NewGenerationEventHandler( this.newGenerationEventHandler );
  
! 			geneticOptimizer.Run( false );
  
  			this.setChosenPositions_FromDecodableGenome(
! 				genomeManager , geneticOptimizer.BestGenome , now );
  
  //			this.generation = geneticOptimizer.BestGenome.Generation;
--- 233,243 ----
  				ConstantsProvider.SeedForRandomGenerator );
  
! 			this.geneticOptimizer.NewGeneration +=
  				new NewGenerationEventHandler( this.newGenerationEventHandler );
  
! 			this.geneticOptimizer.Run( false );
  
  			this.setChosenPositions_FromDecodableGenome(
! 				genomeManager , this.geneticOptimizer.BestGenome , now );
  
  //			this.generation = geneticOptimizer.BestGenome.Generation;
***************
*** 249,252 ****
--- 271,275 ----
  			EndOfDayDateTime now )
  		{
+ 			this.timeWhenChosePositionsIsRequested = now;
  			this.chosePositions_checkParameters( eligibleTickersForDrivingPositions ,
  				now );

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13229/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
The Sharpdevelop project is aligned to the VSNet project, but a file should lack. I will check and fix it as soon as possible

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** Scripts_SD.csproj	29 Aug 2007 10:34:59 -0000	1.7
--- Scripts_SD.csproj	28 Oct 2007 22:29:44 -0000	1.8
***************
*** 64,67 ****
--- 64,74 ----
      <Compile Include="TickerSelectionTesting\RunEfficientCTOPortfolio.cs" />
      <Compile Include="WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\BruteForce\WFLagBruteForceWeightedPositionsChooserForBalancedFixedPortfolioAndBalancedDriving.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\Decoding\IWFLagDecoder.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\Decoding\WFLagDecoderForFixedPortfolioWithBalancedVolatilityAndDrivingWithBalancedVolatility.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\OptimizableParametersManagers\WFLagBruteForceOptimizableParametersManagerForBalancedFixedPortfolioAndBalancedDriving.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagFitnessEvaluator.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagLogItem.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagMeaningForUndecodableEncoded.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardOneRank\BestPerformingTickers.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardOneRank\ChosenTickers.cs" />
***************
*** 152,156 ****
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedPeriodOscillators\GenomeManagerForFPOscillatorCTC.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagRunDebugger.cs" />
-     <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagChosenPositions.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagReportDebugger.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagDebugger\WFLagDebugPositions\WFLagDebugPositionsEndOfDayTimerHandler.cs" />
--- 159,162 ----
***************
*** 185,189 ****
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\GenomeMeaningPVO.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\RunPVO.cs" />
-     <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagBruteForceOptimizableItemManager\WFLagBruteForceOptimizableParametersManager.cs" />
      <Compile Include="TickerSelectionTesting\TestingOTCTypes\BruteForceOptimization\RunEfficientOTCTypesBruteForce.cs" />
      <Compile Include="TickerSelectionTesting\TestingOTCTypes\BruteForceOptimization\EndOfDayTimerHandlerOTCTypesBruteForce.cs" />
--- 191,194 ----
***************
*** 191,197 ****
      <Compile Include="WalkForwardTesting\WalkForwardLag\GeneticOptimizerTesting\WFLagGOTester.cs" />
      <Compile Include="WalkForwardTesting\LinearCombination\FixedLevelOscillatorPVOStrategy.cs" />
-     <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagBruteForceOptimizableItemManager\WFLagFixedPortfolioBruteForceOptimizableParametersManager.cs" />
-     <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagBruteForceOptimizableItemManager\WFLagFixedPortfolioBruteForceOptParamManagerWithPortfolioNormalizedVolatility.cs" />
-     <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagBruteForceOptimizableItemManager\WFLagFixedPortfolioBruteForceOptParamManagerWithNormalizedVolatility.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\EndOfDayTimerHandlerBiasedPVO.cs" />
      <Compile Include="TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\BiasedPVO\RunBiasedPVO.cs" />
--- 196,199 ----
***************
*** 213,217 ****
      <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagNewChosenPositionsEventArgs.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\IWFLagWeightedPositionsChooser.cs" />
-     <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagBruteForceFixedPortfolioWeightedPositionsChooser.cs" />
      <Compile Include="ArbitrageTesting\OverReactionHypothesis\SimpleOHTest\EndOfDayTimerHandlerSimpleOHTest.cs" />
      <Compile Include="ArbitrageTesting\OverReactionHypothesis\SimpleOHTest\RunSimpleOHTest.cs" />
--- 215,218 ----
***************
*** 235,238 ****
--- 236,242 ----
      <Folder Include="EvaluatingOptimizationTechnique\EfficientPortfolio\" />
      <Folder Include="TickerSelectionTesting\SimpleSelection\" />
+     <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\BruteForce" />
+     <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\Decoding" />
+     <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\OptimizableParametersManagers" />
      <Folder Include="WalkForwardTesting\WalkForwardMultiOneRank\" />
      <Folder Include="TechnicalAnalysisTesting\" />

[Quantproject-developers] QuantProject QuantProject_SD.sln, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12738

Modified Files:
	QuantProject_SD.sln 
Log Message:
The Sharpdevelop project is aligned to the VSNet project

Index: QuantProject_SD.sln
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject_SD.sln,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** QuantProject_SD.sln	8 Jul 2006 10:37:39 -0000	1.5
--- QuantProject_SD.sln	28 Oct 2007 22:28:41 -0000	1.6
***************
*** 1,4 ****
! Microsoft Visual Studio Solution File, Format Version 9.00
! # SharpDevelop 2.0.0.1462
  Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "b1_ADT", "b1_ADT\ADT_SD.csproj", "{6A426DC3-013E-4D38-A1AE-7BE128BF2DD7}"
  EndProject
--- 1,6 ----
! 
! Microsoft Visual Studio Solution File, Format Version 9.00
! # Visual Studio 2005
! # SharpDevelop 2.2.1.2648
  Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "b1_ADT", "b1_ADT\ADT_SD.csproj", "{6A426DC3-013E-4D38-A1AE-7BE128BF2DD7}"
  EndProject