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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6633/BiasedPVO

Added Files:
	RunBiasedPVO.cs EndOfDayTimerHandlerBiasedPVO.cs 
Log Message:
Added variations of Portfolio Value Oscillator strategy (some of these files have to be
tested yet and will be re-written as soon as possible ...):
- WeightedPVO: basic PVO (with thresholds);
- weigthedBalancedPVO: the weighted PVO with 50% of portfolio invested in short
positions and the remaining half in long ones;
- biasedPVO: it is not simply chosen the genome with the highest fitness
	 (as in the PVO base), but it is chosen the genome (from a 
	 given set of genomes with a good fitness) that
	 has the highest degree of deviation from a threshold;
- biasedPVO No Thresholds: as the biased, but the signal is just the highest gain or loss;
- biasedOTC_PVONoThresholds: as the previous one, but with these differences:
 new positions are opened at market open, choosing the genome 
that opens with the highest gain or loss with respect to the last close
All positions are closed at market close (at the moment ...tests are in progress ...)

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

RunBiasedPVO.cs
Copyright (C) 2006
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 QuantProject.ADT;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
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,
	/// with this difference:
	/// when it is time to open new positions,
	/// it is not simply chosen the genome with the highest fitness
	/// (as in the PVO base), but it is chosen the genome (from a 
	/// given set of genomes with a good fitness) that
	/// has the highest degree of deviation from a threshold
	/// </summary>
	[Serializable]
	public class RunBiasedPVO : RunPVO
	{
    private int numOfDifferentGenomesToEvaluateOutOfSample;
    private double minimumAcceptableGain;

    public RunBiasedPVO(string tickerGroupID, int maxNumOfEligibleTickersForOptimization, 
                                    int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
                                    int generationNumberForGeneticOptimizer,
                                    int populationSizeForGeneticOptimizer, string benchmark,
                                    DateTime startDate, DateTime endDate,
                                    int numOfDifferentGenomesToEvaluateOutOfSample,
                                    int numDaysForOscillatingPeriod,
                                    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, 
                            numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
                            generationNumberForGeneticOptimizer,
                            populationSizeForGeneticOptimizer, benchmark,
                            startDate, endDate,
                            numDaysForOscillatingPeriod,
                            minLevelForOversoldThreshold,
                            maxLevelForOversoldThreshold,
                            minLevelForOverboughtThreshold,
                            maxLevelForOverboughtThreshold,
                            divisorForThresholdComputation,
                            symmetricalThresholds,
                            overboughtMoreThanOversoldForFixedPortfolio,
                            numDaysBetweenEachOptimization,
                            inSamplePortfolioType, maxAcceptableCloseToCloseDrawdown, 
                            maxRunningHours)
		{
      this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
      this.minimumAcceptableGain = minimumAcceptableGain;
      this.ScriptName = "PVO_Biased_NoWeightsPriceSel";
		}

    #region auxiliary overriden methods for Run

    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerBiasedPVO(this.tickerGroupID, this.numberOfEligibleTickers,
    	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
                                                              this.account,
    	                                                        this.generationNumberForGeneticOptimizer,
    	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
    	                                                        this.numOfDifferentGenomesToEvaluateOutOfSample,
                                                              this.numDaysForOscillatingPeriod,
    	                                                        this.minLevelForOversoldThreshold,
                                                              this.maxLevelForOversoldThreshold,
                                                              this.minLevelForOverboughtThreshold,
                                                              this.maxLevelForOverboughtThreshold,
                                                              this.divisorForThresholdComputation,
                                                              this.symmetricalThresholds,
                                                              this.overboughtMoreThanOversoldForFixedPortfolio,
    	                                                        this.numDaysBetweenEachOptimization,
                                                              this.portfolioType, this.maxAcceptableCloseToCloseDrawdown, 
                                                              this.minimumAcceptableGain);
    }

    public override void SaveScriptResults()
    {
    	string fileName = DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
    										DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
    		        				this.scriptName +  "GenOS_" + this.numOfDifferentGenomesToEvaluateOutOfSample +
                        "_OsDays_" + numDaysForOscillatingPeriod +
      								"_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
                      "_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tick" +
                      this.numberOfTickersToBeChosen + "GenN°" + 
                      this.generationNumberForGeneticOptimizer +
                      "PopSize" + this.populationSizeForGeneticOptimizer +
        							Convert.ToString(this.portfolioType);
      string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
                         								"\\" + this.ScriptName + "\\";
      string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
                       									"\\" + this.ScriptName + "\\";
      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
                                        "\\" + this.ScriptName + "\\";

      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
      OptimizationOutput optimizationOutput = new OptimizationOutput();
      foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
      		optimizationOutput.Add(genomeRepresentation);
      ObjectArchiver.Archive(optimizationOutput,
                              dirNameWhereToSaveBestGenomes + 
                              fileName + ".bgn");

      //default report with numIntervalDays = 1
      AccountReport accountReport = this.account.CreateReport(fileName,1,
                                    		this.endOfDayTimer.GetCurrentTime(),
                                    		this.benchmark,
                                        new HistoricalAdjustedQuoteProvider());
      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
      ObjectArchiver.Archive(accountReport,
                             dirNameWhereToSaveReports + 
                             fileName + ".qPr");

      this.endOfDayTimer.Stop();

    }

    #endregion 
	}
}

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

EndOfDayTimerHandlerBiasedPVO.cs
Copyright (C) 2006 
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.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Business.Strategies;
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
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerBiasedPVO : EndOfDayTimerHandlerPVO
  {
    protected int numOfDifferentGenomesToEvaluateOutOfSample;
    protected double minimumAcceptableGain;
    protected int currentGenomeIndex = 0;
    protected double currentTickersGainOrLoss = 0.0;
    protected Hashtable genomesCollector;
    protected bool takeProfitConditionReached;

    new protected string[,] chosenTickers;
    new protected double[,] chosenTickersPortfolioWeights;
    new protected double[] currentOversoldThreshold;
    new protected double[] currentOverboughtThreshold;

    public EndOfDayTimerHandlerBiasedPVO(string tickerGroupID, int numberOfEligibleTickers, 
                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
                                Account account,                                
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer,
                                string benchmark,
                                int numOfDifferentGenomesToEvaluateOutOfSample,
                                int numDaysForOscillatingPeriod,
                                int minLevelForOversoldThreshold,
                                int maxLevelForOversoldThreshold,
                                int minLevelForOverboughtThreshold,
                                int maxLevelForOverboughtThreshold,
                                int divisorForThresholdComputation,
                                bool symmetricalThresholds,
                                bool overboughtMoreThanOversoldForFixedPortfolio,
                                int numDaysBetweenEachOptimization,
                                PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
                                double minimumAcceptableGain):
    														base(tickerGroupID, numberOfEligibleTickers, 
                                numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
                                account,                                
                                generationNumberForGeneticOptimizer,
                                populationSizeForGeneticOptimizer,
                                benchmark,
                                numDaysForOscillatingPeriod,
                                minLevelForOversoldThreshold,
                                maxLevelForOversoldThreshold,
                                minLevelForOverboughtThreshold,
                                maxLevelForOverboughtThreshold,
                                divisorForThresholdComputation,
                                symmetricalThresholds,
                                overboughtMoreThanOversoldForFixedPortfolio,
                                numDaysBetweenEachOptimization,
                                portfolioType, maxAcceptableCloseToCloseDrawdown)
    {

      this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
      this.minimumAcceptableGain = minimumAcceptableGain;
      this.chosenTickers = new string[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
      this.chosenTickersPortfolioWeights = new double[numOfDifferentGenomesToEvaluateOutOfSample, numberOfTickersToBeChosen];
      this.currentOversoldThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
      this.currentOverboughtThreshold = new double[numOfDifferentGenomesToEvaluateOutOfSample];
      this.genomesCollector = new Hashtable();
    }

    #region MarketCloseEventHandler

    protected virtual double getCurrentChosenTickersGainOrLoss(IndexBasedEndOfDayTimer timer,
                                                int indexForChosenTickers)
    {
      double returnValue = 999.0;
      try
      {
		    DateTime initialDate = 
	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod + 2]["quDate"];
	      //so to replicate exactly in sample scheme, where only numOscillatingDay - 1 returns
        //are computed
        DateTime finalDate = 
	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
      	string[] tickers = new string[this.numberOfTickersToBeChosen];
        double[] tickerWeights = new double[this.numberOfTickersToBeChosen];
        for(int i = 0; i < this.numberOfTickersToBeChosen; i++)
        {
          tickers[i] = this.chosenTickers[indexForChosenTickers,i];
          tickerWeights[i] = this.chosenTickersPortfolioWeights[indexForChosenTickers,i];
        }
        returnValue =
	      	 SignedTicker.GetCloseToClosePortfolioReturn(
	      	     tickers, tickerWeights,
	      	     initialDate,finalDate) + 1.0;
      }
    	catch(MissingQuotesException ex)
    	{
    		ex = ex;
    	}
    	return returnValue;
    }   

    private void marketCloseEventHandler_reverseOrClose(IndexBasedEndOfDayTimer timer)
    {
      double currentChosenTickersGainOrLoss = 
        this.getCurrentChosenTickersGainOrLoss(timer, this.currentGenomeIndex);
      this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
      if(currentChosenTickersGainOrLoss != 999.0)
        //currentChosenTickersValue has been properly computed
      {
    		if(currentChosenTickersGainOrLoss >= 1.0 + currentOverboughtThreshold[this.currentGenomeIndex] &&
    	    this.portfolioHasBeenOversold)
    		//open positions derive from an overSold period but now
    		//the overbought threshold has been reached
    		{
    			this.reversePositions();
    			this.portfolioHasBeenOversold = false;
    			this.portfolioHasBeenOverbought = true;
    		}
    		else if(currentChosenTickersGainOrLoss <= 1.0 - currentOversoldThreshold[this.currentGenomeIndex] &&
    	    			this.portfolioHasBeenOverbought)
    		//open positions derive from an overBought period but now
    		//the overSold threshold has been reached
    		{
    			this.reversePositions();
    			this.portfolioHasBeenOversold = true;
    			this.portfolioHasBeenOverbought = false;
    		}
      	else if(this.stopLossConditionReached ||
         	 			this.takeProfitConditionReached ||
        	 			this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
      	//reversal conditions have not been reached but 
      	//stop loss or take profit conditions yes
      	//or after the close it is necessary to run
      	//another optimization
      	{
	        base.closePositions();
          this.orders.Clear();
	        this.portfolioHasBeenOverbought = false;
	        this.portfolioHasBeenOversold = false;
      	}
      }
    }

    private void marketCloseEventHandler_closeIfItIsTimeToClose()
    {
      this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
      if(this.stopLossConditionReached ||
          this.takeProfitConditionReached ||
          this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
          //reversal conditions have not been reached but 
          //stop loss or take profit conditions yes
          //or after the close it is necessary to run
          //another optimization
      {
        base.closePositions();
        this.orders.Clear();
        this.portfolioHasBeenOverbought = false;
        this.portfolioHasBeenOversold = false;
      }
    }

    //sets currentGenomeIndex with the genome's index that crosses an overbought/oversold threshold with the
    //highest degree and sets currentTickersGainOrLoss accordingly
    private void marketCloseEventHandler_openPositions_chooseBestGenome(IndexBasedEndOfDayTimer timer)
    {
      //default index is the first
      //genome (with the highest plain fitness), if no other genome
      //has crossed the threshold with a higher degree than the first genome
      double currentMaxDegreeOfCrossingThreshold = 0.0;
      double currentDegreeOfCrossingThreshold = 0.0;
      for(int i = 0; i < this.numOfDifferentGenomesToEvaluateOutOfSample; i++)
      {
        double currentChosenTickersGainOrLoss = 
                 this.getCurrentChosenTickersGainOrLoss(timer, i);
        if(currentChosenTickersGainOrLoss != 999.0)
          //currentChosenTickersValue has been properly computed
        {
          //computing degree of crossing threshold 
          if(currentChosenTickersGainOrLoss >= 1.0 + this.currentOverboughtThreshold[i])
          {
            currentDegreeOfCrossingThreshold = 
              (currentChosenTickersGainOrLoss - 1.0 - this.currentOverboughtThreshold[i])/
            		(1 + this.currentOverboughtThreshold[i]);

          }
          else if (currentChosenTickersGainOrLoss <= 1.0 - this.currentOversoldThreshold[i])
          {
            currentDegreeOfCrossingThreshold = 
              (1.0 - this.currentOversoldThreshold[i] - currentChosenTickersGainOrLoss)/
            		(1.0 - this.currentOversoldThreshold[i]);
          }
          if(currentDegreeOfCrossingThreshold > currentMaxDegreeOfCrossingThreshold)
          {
          	currentMaxDegreeOfCrossingThreshold = currentDegreeOfCrossingThreshold;
          	this.currentGenomeIndex = i;
          	this.currentTickersGainOrLoss = currentChosenTickersGainOrLoss;
          }
        }
      }
   }

    private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
    {
      this.currentTickersGainOrLoss = 999.0; //
    	this.marketCloseEventHandler_openPositions_chooseBestGenome(timer);
      if(this.currentTickersGainOrLoss != 999.0)
    	//currentChosenTickersValue has been properly computed
    	{
        string[] tickers = new string[this.numberOfTickersToBeChosen];
        for(int i = 0; i < this.numberOfTickersToBeChosen; i++)
          tickers[i] = this.chosenTickers[this.currentGenomeIndex,i];
        if(this.currentTickersGainOrLoss >= 1.0 + currentOverboughtThreshold[this.currentGenomeIndex] &&
           this.portfolioType == PortfolioType.ShortAndLong)
    		{
          SignedTicker.ChangeSignOfEachTicker(tickers);
          base.openPositions(tickers);
          this.portfolioHasBeenOverbought = true;
          this.portfolioHasBeenOversold = false;
        }
        else if (this.currentTickersGainOrLoss <= 1.0 - currentOversoldThreshold[this.currentGenomeIndex])
    		{
          base.openPositions(tickers);
          this.portfolioHasBeenOverbought = false;
          this.portfolioHasBeenOversold = true;
        }
        this.currentAccountValue = this.account.GetMarketValue();
    	}
    }

    private void marketCloseEventHandler_updateStopLossAndTakeProfitConditions()
    {
      this.previousAccountValue = this.currentAccountValue;
      this.currentAccountValue = this.account.GetMarketValue();
      double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
           													/this.previousAccountValue;

      if( portfolioGainOrLoss < -this.maxAcceptableCloseToCloseDrawdown )
      {
        this.stopLossConditionReached = true;
        this.takeProfitConditionReached = false;
      }
      else if (portfolioGainOrLoss >= this.minimumAcceptableGain)

      {
        this.stopLossConditionReached = false;
        this.takeProfitConditionReached = true;
      }
      else
      {
      	this.stopLossConditionReached = false;
        this.takeProfitConditionReached = false;
      }
    }   

    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
     	if(this.account.Portfolio.Count > 0)
    	 	//this.marketCloseEventHandler_reverseOrClose((IndexBasedEndOfDayTimer)sender);
     	  this.marketCloseEventHandler_closeIfItIsTimeToClose();
      else if ( this.account.Portfolio.Count == 0 &&
    	         this.chosenTickers[0,0] != null )
			//portfolio is empty and optimization has been already launched    		
    		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
    }

    #endregion

    #region OneHourAfterMarketCloseEventHandler

    private void setTickers_updateTickersWeightsAndThresholdsAndAddGenomesForLog(GeneticOptimizer GO,
                                                                                 int eligibleTickersForGO)
    {
    	int addedGenomes = 0;
      int counter = 0;
      Genome currentGenome = null;
      this.genomesCollector.Clear();
      while(addedGenomes < this.numOfDifferentGenomesToEvaluateOutOfSample && 
            counter < GO.PopulationSize)
      {
      	currentGenome = (Genome)GO.CurrentGeneration[GO.PopulationSize - 1 - counter];
      	if(counter == 0 || 
      	   !this.genomesCollector.ContainsKey(currentGenome.Fitness) )
      	//it is the first genome to be added or no genome with the current
      	// fitness has been added to the hashtable yet
      	{
      		for(int i = 0; i<this.numberOfTickersToBeChosen; i++)
      		{
      			this.chosenTickers[addedGenomes,i] = 
      				((GenomeMeaningPVO)currentGenome.Meaning).Tickers[i];
      			this.chosenTickersPortfolioWeights[addedGenomes,i] =
      				((GenomeMeaningPVO)currentGenome.Meaning).TickersPortfolioWeights[i];
      		}
      		this.currentOversoldThreshold[addedGenomes] = 
      				((GenomeMeaningPVO)currentGenome.Meaning).OversoldThreshold;
      		this.currentOverboughtThreshold[addedGenomes] = 
      				((GenomeMeaningPVO)currentGenome.Meaning).OverboughtThreshold;

      		this.genomesCollector.Add(currentGenome.Fitness, null);

      		this.addPVOGenomeToBestGenomes(currentGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
          ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, eligibleTickersForGO,
           this.numDaysForOscillatingPeriod, this.portfolioType, GO.GenerationCounter,
           this.currentOversoldThreshold[addedGenomes], this.currentOverboughtThreshold[addedGenomes]);
      	  addedGenomes ++ ;
      	}
      	counter ++ ;
      }  
    }

    protected override void setTickers(DateTime currentDate,
      bool setGenomeCounter)
    {
      DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
      this.iGenomeManager =
          new GenomeManagerPVO(setOfTickersToBeOptimized,
          currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
          currentDate, this.numberOfTickersToBeChosen,
          this.numDaysForOscillatingPeriod,
          this.minLevelForOversoldThreshold,
          this.maxLevelForOversoldThreshold,
          this.minLevelForOverboughtThreshold,
          this.maxLevelForOverboughtThreshold,
          this.divisorForThresholdComputation,
          this.symmetricalThresholds,
          this.overboughtMoreThanOversoldForFixedPortfolio,
          this.portfolioType);
      GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
          this.populationSizeForGeneticOptimizer, 
          this.generationNumberForGeneticOptimizer,
          this.seedForRandomGenerator);
      if(setGenomeCounter)
        this.genomeCounter = new GenomeCounter(GO);
      GO.MutationRate = 0.4;
      GO.Run(false);

      this.setTickers_updateTickersWeightsAndThresholdsAndAddGenomesForLog(GO, setOfTickersToBeOptimized.Rows.Count);

    }

    #endregion

  }
}

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2011	Jan (78)	Feb (1)	Mar	Apr	May	Jun	Jul	Aug (88)	Sep (6)	Oct (1)	Nov	Dec
2012	Jan	Feb (1)	Mar	Apr (6)	May (5)	Jun	Jul	Aug	Sep	Oct	Nov	Dec (1)
2013	Jan	Feb	Mar	Apr (1)	May (2)	Jun	Jul	Aug	Sep	Oct	Nov	Dec (2)
2014	Jan	Feb	Mar	Apr	May (1)	Jun	Jul	Aug	Sep	Oct	Nov	Dec