quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend RunExtremeCounterTrend.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15341/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend

Modified Files:
	RunExtremeCounterTrend.cs 
Log Message:
Enriched the name for the output file.

Index: RunExtremeCounterTrend.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/RunExtremeCounterTrend.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunExtremeCounterTrend.cs	2 Jul 2006 19:41:46 -0000	1.2
--- RunExtremeCounterTrend.cs	3 Aug 2006 21:18:40 -0000	1.3
***************
*** 73,77 ****
                                     	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "ExtremeCounterTrendScriptWithExpScoreWeighted";
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
--- 73,77 ----
                                     	portfolioType, maxRunningHours)
  		{
!       this.ScriptName = "ExtremeCounterTrendScriptWithSharpeRatio";
        this.numDaysForReturnCalculation = numDaysForReturnCalculation;
        this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
***************
*** 116,120 ****
      public override void SaveScriptResults()
      {
!       string fileName = "From"+ this.tickerGroupID + "_" + this.numberOfEligibleTickers +
                        "_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tickers" +
                        this.numberOfTickersToBeChosen + "GenNum" + 
--- 116,120 ----
      public override void SaveScriptResults()
      {
!       string fileName = this.scriptName + "_From_" + this.tickerGroupID + "_" + this.numberOfEligibleTickers +
                        "_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tickers" +
                        this.numberOfTickersToBeChosen + "GenNum" + 

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

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14898/b3_Data/Selectors

Modified Files:
	SelectorByCloseToCloseCorrelationToBenchmark.cs 
Log Message:
Update XLM remarks (for documentation)

Index: SelectorByCloseToCloseCorrelationToBenchmark.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByCloseToCloseCorrelationToBenchmark.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** SelectorByCloseToCloseCorrelationToBenchmark.cs	2 Jul 2006 19:31:18 -0000	1.3
--- SelectorByCloseToCloseCorrelationToBenchmark.cs	3 Aug 2006 21:17:16 -0000	1.4
***************
*** 71,84 ****
       /// Creates a new instance of the selector
       /// </summary>
!      /// <param name="groupID">The group ID containing the tickers that have to be ordered</param>
!      /// <param name="benchmark">Benchmark</param>
       /// <param name="orderInASCmode">Ordering mode</param>
       /// <param name="firstQuoteDate">The first date for the interval</param>
       /// <param name="lastQuoteDate">The last date for the interval</param>
       /// <param name="maxNumOfReturnedTickers">Max number of tickers to be returned</param>
!      /// <param name="numDaysBetweenEachClose">Number of days between closes to be studied. NOTE that
!      /// close values are grouped in pairs and the first close value in each group is 
!      /// not the last close in the previous group. There is, in other words, a discontinuity
!      /// between each group, with length equal to the group's length </param>
       public SelectorByCloseToCloseCorrelationToBenchmark(string groupID, 
                                                          string benchmark,
--- 71,84 ----
       /// Creates a new instance of the selector
       /// </summary>
!      /// <param name="groupID">The group ID containing the tickers that have to be ordered by Pearson
!      /// 												correlation coefficient to a given benchmark</param>
!      /// <param name="benchmark">Benchmark to be used for computation of correlation coefficient</param>
       /// <param name="orderInASCmode">Ordering mode</param>
       /// <param name="firstQuoteDate">The first date for the interval</param>
       /// <param name="lastQuoteDate">The last date for the interval</param>
       /// <param name="maxNumOfReturnedTickers">Max number of tickers to be returned</param>
!      /// <param name="addBenchmarkToTheGivenSetOfTickers">If TRUE, the benchmark is added to
!      /// 																									output table (with correlation
!      /// 																									equal to 1) </param>
       public SelectorByCloseToCloseCorrelationToBenchmark(string groupID, 
                                                          string benchmark,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer.cs, 1.8, 1.9 StrategyType.cs, 1.3, 1.4 MainForm.cs, 1.9, 1.10 LinearCombinationTest.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14164/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	TestDisplayer.cs StrategyType.cs MainForm.cs 
	LinearCombinationTest.cs 
Log Message:
Added ImmediateTrendFollower strategy to the project.
ITF strategy is just the reversal of the ECT
(ExtremeCounterTrend strategy).

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** LinearCombinationTest.cs	2 Jul 2006 19:22:12 -0000	1.7
--- LinearCombinationTest.cs	3 Aug 2006 21:15:57 -0000	1.8
***************
*** 92,99 ****
  		private void run_setStrategy()
  		{
! 			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
! 				this.genomeRepresentation.SignedTickers );
! 			double[] weightsForSignedTickers = GenomeRepresentation.GetWeightsForSignedTickers(
! 				this.genomeRepresentation.SignedTickers );
        switch (this.strategyType)
        {
--- 92,98 ----
  		private void run_setStrategy()
  		{
! 			string[] signedTickers = genomeRepresentation.SignedTickers.Split(";".ToCharArray());
! 			double[] weightsForSignedTickers = 
!           GenomeRepresentation.GetWeightsArray(this.genomeRepresentation.WeightsForSignedTickers);
        switch (this.strategyType)
        {
***************
*** 128,131 ****
--- 127,135 ----
              this.account , signedTickers , weightsForSignedTickers, this.numDaysForOscillatorStrategy );
            break;
+         
+         case StrategyType.ImmediateTrendFollower:
+           this.endOfDayStrategy = new ImmediateTrendFollowerStrategy(
+             this.account , signedTickers , weightsForSignedTickers, this.numDaysForOscillatorStrategy );
+           break;
        }
  		}

Index: MainForm.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/MainForm.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** MainForm.cs	7 Jan 2006 10:45:07 -0000	1.9
--- MainForm.cs	3 Aug 2006 21:15:57 -0000	1.10
***************
*** 109,151 ****
  		private void InitializeComponent()
  		{
! 			this.mainMenu1 = new System.Windows.Forms.MainMenu();
! 			this.menuItem1 = new System.Windows.Forms.MenuItem();
! 			this.menuItem2 = new System.Windows.Forms.MenuItem();
! 			this.menuItem3 = new System.Windows.Forms.MenuItem();
! 			// 
! 			// mainMenu1
! 			// 
! 			this.mainMenu1.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
! 																																							this.menuItem1});
! 			// 
! 			// menuItem1
! 			// 
! 			this.menuItem1.Index = 0;
! 			this.menuItem1.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
! 																																							this.menuItem2,
! 																																							this.menuItem3});
! 			this.menuItem1.Text = "File";
! 			// 
! 			// menuItem2
! 			// 
! 			this.menuItem2.Index = 0;
! 			this.menuItem2.Text = "Create Optimized Genomes";
! 			this.menuItem2.Click += new System.EventHandler(this.menuItem2_Click);
! 			// 
! 			// menuItem3
! 			// 
! 			this.menuItem3.Index = 1;
! 			this.menuItem3.Text = "Test Optimized Genomes";
! 			this.menuItem3.Click += new System.EventHandler(this.menuItem3_Click);
! 			// 
! 			// MainForm
! 			// 
! 			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
! 			this.ClientSize = new System.Drawing.Size(292, 273);
! 			this.Menu = this.mainMenu1;
! 			this.Name = "MainForm";
! 			this.Text = "MainForm";
  
! 		}
  		#endregion
  
--- 109,151 ----
  		private void InitializeComponent()
  		{
!       this.mainMenu1 = new System.Windows.Forms.MainMenu();
!       this.menuItem1 = new System.Windows.Forms.MenuItem();
!       this.menuItem2 = new System.Windows.Forms.MenuItem();
!       this.menuItem3 = new System.Windows.Forms.MenuItem();
!       // 
!       // mainMenu1
!       // 
!       this.mainMenu1.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
!                                                                               this.menuItem1});
!       // 
!       // menuItem1
!       // 
!       this.menuItem1.Index = 0;
!       this.menuItem1.MenuItems.AddRange(new System.Windows.Forms.MenuItem[] {
!                                                                               this.menuItem2,
!                                                                               this.menuItem3});
!       this.menuItem1.Text = "File";
!       // 
!       // menuItem2
!       // 
!       this.menuItem2.Index = 0;
!       this.menuItem2.Text = "Create Optimized Genomes";
!       this.menuItem2.Click += new System.EventHandler(this.menuItem2_Click);
!       // 
!       // menuItem3
!       // 
!       this.menuItem3.Index = 1;
!       this.menuItem3.Text = "Test Optimized Genomes";
!       this.menuItem3.Click += new System.EventHandler(this.menuItem3_Click);
!       // 
!       // MainForm
!       // 
!       this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
!       this.ClientSize = new System.Drawing.Size(292, 273);
!       this.Menu = this.mainMenu1;
!       this.Name = "MainForm";
!       this.Text = "MainForm";
  
!     }
  		#endregion
  
***************
*** 280,284 ****
  			TestDisplayer testDisplayer = new TestDisplayer(
  				this.firstDate , this.lastDate , this.optimizationOutput );
! 			this.optimizationOutput = null;
  			testDisplayer.Show();
  		}
--- 280,284 ----
  			TestDisplayer testDisplayer = new TestDisplayer(
  				this.firstDate , this.lastDate , this.optimizationOutput );
! 			this.optimizationOutput = null;//why this?
  			testDisplayer.Show();
  		}

Index: StrategyType.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/StrategyType.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** StrategyType.cs	2 Jul 2006 19:22:12 -0000	1.3
--- StrategyType.cs	3 Aug 2006 21:15:57 -0000	1.4
***************
*** 35,39 ****
      OpenToCloseCloseToOpenDaily,
      FixedPeriodOscillator,
!     ExtremeCounterTrend
    }
  }
--- 35,40 ----
      OpenToCloseCloseToOpenDaily,
      FixedPeriodOscillator,
!     ExtremeCounterTrend,
!     ImmediateTrendFollower
    }
  }

Index: TestDisplayer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** TestDisplayer.cs	2 Jul 2006 19:22:12 -0000	1.8
--- TestDisplayer.cs	3 Aug 2006 21:15:57 -0000	1.9
***************
*** 38,42 ****
  		private System.Windows.Forms.RadioButton radioButtonFixedPeriodOscillator;
  		private System.Windows.Forms.RadioButton radioButtonOpenToCloseDaily;
- 		private System.Windows.Forms.RadioButton radioButtonReversalOneRank;
  		private System.Windows.Forms.DateTimePicker dtpLastDate;
  		private System.Windows.Forms.Label label1;
--- 38,41 ----
***************
*** 55,58 ****
--- 54,59 ----
  		private GenomeRepresentation lastSelectedGenomeRepresentation;
      private System.Windows.Forms.RadioButton radioButtonOTCCTODaily;
+     private System.Windows.Forms.RadioButton radioButtonExtremeCounterTrend;
+     private System.Windows.Forms.RadioButton radioButtonImmediateTrendFollower;
      private StrategyType selectedStrategyType = StrategyType.OpenToCloseDaily;
  
***************
*** 60,63 ****
--- 61,106 ----
  		{
  			this.dgBestGenomes.DataSource = this.bestGenomes;
+       DataGridTableStyle ts = new DataGridTableStyle();
+       ts.MappingName = this.dgBestGenomes.DataSource.GetType().Name;
+       
+       DataGridTextBoxColumn signedTickersBox = new DataGridTextBoxColumn();
+       signedTickersBox.MappingName ="SignedTickers";
+       signedTickersBox.HeaderText = "Tickers";
+       ts.GridColumnStyles.Add(signedTickersBox);
+       
+       DataGridTextBoxColumn weights = new DataGridTextBoxColumn();
+       weights.MappingName ="WeightsForSignedTickers";
+       weights.HeaderText = "Weights";
+       ts.GridColumnStyles.Add(weights);
+       
+       DataGridTextBoxColumn fitness = new DataGridTextBoxColumn();
+       fitness.MappingName ="Fitness";
+       fitness.HeaderText = "Fitness";
+       ts.GridColumnStyles.Add(fitness);
+ 
+       DataGridTextBoxColumn firstDate = new DataGridTextBoxColumn();
+       firstDate.MappingName ="FirstOptimizationDate";
+       firstDate.HeaderText = "FirstOptimizationDate";
+       ts.GridColumnStyles.Add(firstDate);
+ 
+       DataGridTextBoxColumn lastDate = new DataGridTextBoxColumn();
+       lastDate.MappingName ="LastOptimizationDate";
+       lastDate.HeaderText = "LastOptimizationDate";
+       ts.GridColumnStyles.Add(lastDate);
+       
+       DataGridTextBoxColumn genNumber = new DataGridTextBoxColumn();
+       genNumber.MappingName ="GenerationCounter";
+       genNumber.HeaderText = "GenNum";
+       ts.GridColumnStyles.Add(genNumber);
+       
+       DataGridTextBoxColumn eligible = new DataGridTextBoxColumn();
+       eligible.MappingName ="EligibleTickers";
+       eligible.HeaderText = "EligibleTickers";
+       ts.GridColumnStyles.Add(eligible);
+       
+       this.dgBestGenomes.TableStyles.Clear();
+       ts.AllowSorting = true;
+       this.dgBestGenomes.TableStyles.Add(ts);
+       this.dgBestGenomes.AllowSorting = true;
  		}
  		public TestDisplayer( DateTime firstDate , DateTime lastDate ,
***************
*** 111,119 ****
        this.label1 = new System.Windows.Forms.Label();
        this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
!       this.radioButtonReversalOneRank = new System.Windows.Forms.RadioButton();
        this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton();
        this.radioButtonFixedPeriodOscillator = new System.Windows.Forms.RadioButton();
        this.labelDays = new System.Windows.Forms.Label();
        this.radioButtonOTCCTODaily = new System.Windows.Forms.RadioButton();
        ((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
        this.SuspendLayout();
--- 154,163 ----
        this.label1 = new System.Windows.Forms.Label();
        this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
!       this.radioButtonExtremeCounterTrend = new System.Windows.Forms.RadioButton();
        this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton();
        this.radioButtonFixedPeriodOscillator = new System.Windows.Forms.RadioButton();
        this.labelDays = new System.Windows.Forms.Label();
        this.radioButtonOTCCTODaily = new System.Windows.Forms.RadioButton();
+       this.radioButtonImmediateTrendFollower = new System.Windows.Forms.RadioButton();
        ((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
        this.SuspendLayout();
***************
*** 150,154 ****
        // textBoxDaysFPOscillatorAndRevOneRank
        // 
!       this.textBoxDaysFPOscillatorAndRevOneRank.Location = new System.Drawing.Point(320, 152);
        this.textBoxDaysFPOscillatorAndRevOneRank.Name = "textBoxDaysFPOscillatorAndRevOneRank";
        this.textBoxDaysFPOscillatorAndRevOneRank.Size = new System.Drawing.Size(56, 20);
--- 194,198 ----
        // textBoxDaysFPOscillatorAndRevOneRank
        // 
!       this.textBoxDaysFPOscillatorAndRevOneRank.Location = new System.Drawing.Point(320, 176);
        this.textBoxDaysFPOscillatorAndRevOneRank.Name = "textBoxDaysFPOscillatorAndRevOneRank";
        this.textBoxDaysFPOscillatorAndRevOneRank.Size = new System.Drawing.Size(56, 20);
***************
*** 178,189 ****
        this.dtpLastDate.TabIndex = 2;
        // 
!       // radioButtonReversalOneRank
        // 
!       this.radioButtonReversalOneRank.Location = new System.Drawing.Point(232, 120);
!       this.radioButtonReversalOneRank.Name = "radioButtonReversalOneRank";
!       this.radioButtonReversalOneRank.Size = new System.Drawing.Size(192, 24);
!       this.radioButtonReversalOneRank.TabIndex = 10;
!       this.radioButtonReversalOneRank.Text = "Extreme counter trend";
!       this.radioButtonReversalOneRank.CheckedChanged += new System.EventHandler(this.radioButtonReversalOneRank_CheckedChanged);
        // 
        // radioButtonOpenToCloseDaily
--- 222,233 ----
        this.dtpLastDate.TabIndex = 2;
        // 
!       // radioButtonExtremeCounterTrend
        // 
!       this.radioButtonExtremeCounterTrend.Location = new System.Drawing.Point(232, 120);
!       this.radioButtonExtremeCounterTrend.Name = "radioButtonExtremeCounterTrend";
!       this.radioButtonExtremeCounterTrend.Size = new System.Drawing.Size(192, 24);
!       this.radioButtonExtremeCounterTrend.TabIndex = 10;
!       this.radioButtonExtremeCounterTrend.Text = "Extreme counter trend";
!       this.radioButtonExtremeCounterTrend.CheckedChanged += new System.EventHandler(this.radioButtonExtremeCounterTrend_CheckedChanged);
        // 
        // radioButtonOpenToCloseDaily
***************
*** 207,211 ****
        // labelDays
        // 
!       this.labelDays.Location = new System.Drawing.Point(272, 152);
        this.labelDays.Name = "labelDays";
        this.labelDays.Size = new System.Drawing.Size(40, 16);
--- 251,255 ----
        // labelDays
        // 
!       this.labelDays.Location = new System.Drawing.Point(272, 176);
        this.labelDays.Name = "labelDays";
        this.labelDays.Size = new System.Drawing.Size(40, 16);
***************
*** 221,224 ****
--- 265,277 ----
        this.radioButtonOTCCTODaily.Text = "OTC - CTO Daily";
        // 
+       // radioButtonImmediateTrendFollower
+       // 
+       this.radioButtonImmediateTrendFollower.Location = new System.Drawing.Point(232, 144);
+       this.radioButtonImmediateTrendFollower.Name = "radioButtonImmediateTrendFollower";
+       this.radioButtonImmediateTrendFollower.Size = new System.Drawing.Size(192, 24);
+       this.radioButtonImmediateTrendFollower.TabIndex = 12;
+       this.radioButtonImmediateTrendFollower.Text = "Immediate Trend Follower";
+       this.radioButtonImmediateTrendFollower.CheckedChanged += new System.EventHandler(this.radioButtonImmediateTrendFollower_CheckedChanged);
+       // 
        // TestDisplayer
        // 
***************
*** 226,231 ****
        this.ClientSize = new System.Drawing.Size(584, 373);
        this.Controls.AddRange(new System.Windows.Forms.Control[] {
                                                                    this.radioButtonOTCCTODaily,
!                                                                   this.radioButtonReversalOneRank,
                                                                    this.labelDays,
                                                                    this.textBoxDaysFPOscillatorAndRevOneRank,
--- 279,285 ----
        this.ClientSize = new System.Drawing.Size(584, 373);
        this.Controls.AddRange(new System.Windows.Forms.Control[] {
+                                                                   this.radioButtonImmediateTrendFollower,
                                                                    this.radioButtonOTCCTODaily,
!                                                                   this.radioButtonExtremeCounterTrend,
                                                                    this.labelDays,
                                                                    this.textBoxDaysFPOscillatorAndRevOneRank,
***************
*** 288,293 ****
  				this.dgBestGenomes_MouseUp_getClickedGenomeRepresentation( sender , e );
  			dgBestGenomes_MouseUp_rightButton_updateDates( genomeRepresentation );
! 			string[] signedTickers = GenomeRepresentation.GetSignedTickers(
! 				genomeRepresentation.SignedTickers );
  			LinearCombinationTest linearCombinationTest =
  				new LinearCombinationTest( this.dtpFirstDate.Value ,
--- 342,346 ----
  				this.dgBestGenomes_MouseUp_getClickedGenomeRepresentation( sender , e );
  			dgBestGenomes_MouseUp_rightButton_updateDates( genomeRepresentation );
! 			string[] signedTickers = genomeRepresentation.SignedTickers.Split(";".ToCharArray());
  			LinearCombinationTest linearCombinationTest =
  				new LinearCombinationTest( this.dtpFirstDate.Value ,
***************
*** 334,341 ****
        else if(this.radioButtonFixedPeriodOscillator.Checked)
          this.selectedStrategyType = StrategyType.FixedPeriodOscillator;
!       else if(this.radioButtonReversalOneRank.Checked)
          this.selectedStrategyType = StrategyType.ExtremeCounterTrend;
        else if(this.radioButtonOTCCTODaily.Checked)
          this.selectedStrategyType = StrategyType.OpenToCloseCloseToOpenDaily;
      }
      
--- 387,396 ----
        else if(this.radioButtonFixedPeriodOscillator.Checked)
          this.selectedStrategyType = StrategyType.FixedPeriodOscillator;
!       else if(this.radioButtonExtremeCounterTrend.Checked)
          this.selectedStrategyType = StrategyType.ExtremeCounterTrend;
        else if(this.radioButtonOTCCTODaily.Checked)
          this.selectedStrategyType = StrategyType.OpenToCloseCloseToOpenDaily;
+       else if(this.radioButtonImmediateTrendFollower.Checked)
+         this.selectedStrategyType = StrategyType.ImmediateTrendFollower;
      }
      
***************
*** 360,367 ****
      }
  
!     private void radioButtonReversalOneRank_CheckedChanged(object sender, System.EventArgs e)
      {
        this.update_selectedStrategyType();
      }
  	}
  }
--- 415,428 ----
      }
  
!     private void radioButtonExtremeCounterTrend_CheckedChanged(object sender, System.EventArgs e)
      {
        this.update_selectedStrategyType();
      }
+ 
+     private void radioButtonImmediateTrendFollower_CheckedChanged(object sender, System.EventArgs e)
+     {
+       this.update_selectedStrategyType();
+     }
+     
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower RunImmediateTrendFollower.cs, NONE, 1.1 GenomeManagerITF.cs, NONE, 1.1 EndOfDayTimerHandlerITF.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13669/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower

Added Files:
	RunImmediateTrendFollower.cs GenomeManagerITF.cs 
	EndOfDayTimerHandlerITF.cs 
Log Message:
Added ImmediateTrendFollower strategy to the project.
ITF strategy is just the reversal of the ECT
(ExtremeCounterTrend strategy).

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

GenomeManagerITF.cs
Copyright (C) 2003 
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.ADT.Optimizing.Genetic;
using QuantProject.Data;
using QuantProject.Data.DataTables;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.TrendFollowing.ImmediateTrendFollower
{
	/// <summary>
	/// Implements what needed to use the Genetic Optimizer
	/// for finding the portfolio that best suites
	/// the immediate trend follower strategy
	/// </summary>
	[Serializable]
  public class GenomeManagerITF : GenomeManagerForEfficientPortfolio
  {
    private int numDaysForReturnCalculation;
    
    public GenomeManagerITF(DataTable setOfInitialTickers,
                            DateTime firstQuoteDate,
                            DateTime lastQuoteDate,
                            int numberOfTickersInPortfolio,
                            int numDaysForReturnCalculation,
                            PortfolioType portfolioType)
                            :
            base(setOfInitialTickers,
            firstQuoteDate,
            lastQuoteDate,
            numberOfTickersInPortfolio,
            0.0,
            portfolioType)
                                
                          
    {
      this.numDaysForReturnCalculation = numDaysForReturnCalculation;
      this.retrieveData();
    }
    
    protected override float[] getArrayOfRatesOfReturn(string ticker)
    {
      float[] returnValue = null;
      Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
      returnValue = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,
    	                                                          Quotes.AdjustedCloseToCloseRatio);
      for(int i = 0; i<returnValue.Length; i++)
        returnValue[i] = returnValue[i] - 1.0f;
      
      this.numberOfExaminedReturns = returnValue.Length;
      
      return returnValue;
    }


		//fitness is a sharpe-ratio based indicator for the equity line resulting
		//from applying the strategy
	  public override double GetFitnessValue(Genome genome)
    {
      this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
      
      double[] equityLine = this.getFitnessValue_getEquityLineRates();
      //return AdvancedFunctions.GetExpectancyScore(equityLine);
      return AdvancedFunctions.GetSharpeRatio(equityLine);
    }
    
    private double[] getFitnessValue_getEquityLineRates()
    {
    	double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
      double gainForTheLastHalfPeriod = 0.0;
      for(int i = this.numDaysForReturnCalculation - 1;
          i<this.PortfolioRatesOfReturn.Length - this.numDaysForReturnCalculation;
          i += this.numDaysForReturnCalculation)
      {
        gainForTheLastHalfPeriod = 0.0;
        for(int j=this.numDaysForReturnCalculation - 1;
            j > -1; j--)
        {
          gainForTheLastHalfPeriod = 
            (1.0+gainForTheLastHalfPeriod) * this.PortfolioRatesOfReturn[i-j];
        }
      
        for(int t=1;t<this.numDaysForReturnCalculation + 1;t++)
        {  
          if(gainForTheLastHalfPeriod<0.0)
            // if gain of first half period is negative 
             returnValue[i+t] = - this.PortfolioRatesOfReturn[i+t];
            //return of the next half period is still negative
          else// if gain of first half period is positive
             returnValue[i+t] = this.PortfolioRatesOfReturn[i+t]; 
          //return of the next half period is still positive
        }  
           
      }
      return returnValue;
    }
	
  }

}

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

EndOfDayTimerHandlerITF.cs
Copyright (C) 2003 
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;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.TrendFollowing.ImmediateTrendFollower
{
	/// <summary>
  /// Implements MarketOpenEventHandler and MarketCloseEventHandler
  /// These handlers contain the core strategy for the extreme
  /// counter trend strategy!
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerITF : EndOfDayTimerHandler
  {
    private int numDaysForReturnCalculation;
    private double maxAcceptableCloseToCloseDrawdown;
    private bool stopLossConditionReached;
    private double currentAccountValue;
    private double previousAccountValue;
    private int numDaysBetweenEachOptimization;
    private int numDaysElapsedSinceLastOptimization;
    private int daysCounterWithPositions;
    private DateTime lastCloseDate;
    private IGenomeManager iGenomeManager;
        
    public EndOfDayTimerHandlerITF(string tickerGroupID, int numberOfEligibleTickers, 
                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
                                Account account,                                
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer,
                                string benchmark,
                                int numDaysForReturnCalculation,
                                int numDaysBetweenEachOptimization,
                                PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
    														base(tickerGroupID, numberOfEligibleTickers, 
                                numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
                                generationNumberForGeneticOptimizer,
                                populationSizeForGeneticOptimizer,
                                benchmark, 0.0,
                                portfolioType)
    {
      this.numDaysForReturnCalculation = numDaysForReturnCalculation;
      this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
      this.stopLossConditionReached = false;
      this.currentAccountValue = 0.0;
      this.previousAccountValue = 0.0;
//      this.numDaysBetweenEachOptimization = 2* numDaysForReturnCalculation;
      this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
    }
	

    #region MarketCloseEventHandler
    
    protected void marketCloseEventHandler_updateStopLossCondition()
    {
      this.previousAccountValue = this.currentAccountValue;
      this.currentAccountValue = this.account.GetMarketValue();
      if((this.currentAccountValue - this.previousAccountValue)
           /this.previousAccountValue < -this.maxAcceptableCloseToCloseDrawdown)
      {
        this.stopLossConditionReached = true;
      }
      else
      {
        this.stopLossConditionReached = false;
      }
    }    

    private double marketCloseEventHandler_openPositions_getLastHalfPeriodGain(IndexBasedEndOfDayTimer timer)
    {
      double returnValue = 999.0;
      try
      {
		    DateTime initialDateForHalfPeriod = 
	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
	      DateTime finalDateForHalfPeriod = 
	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
      	returnValue =
	      	 SignedTicker.GetCloseToClosePortfolioReturn(
	      	     this.chosenTickers, this.chosenTickersPortfolioWeights,
	      	     initialDateForHalfPeriod,finalDateForHalfPeriod);
      }
    	catch(MissingQuotesException ex)
    	{
    		ex = ex;
    	}
    	return returnValue;
    }   

    private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
    {
      double lastHalfPeriodGain = 
      		this.marketCloseEventHandler_openPositions_getLastHalfPeriodGain(timer);
    	if(lastHalfPeriodGain != 999.0)
    	//last half period gain has been properly computed
    	{
    		if(lastHalfPeriodGain > 0.0)
    			base.openPositions();
    		else//the last HalfPeriodGain has been negative
    		{
    			SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
    			//short the portfolio
    			try{ base.openPositions(); }
    			catch(Exception ex){ ex = ex; }
    			finally{SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);}
    		}
    	}
    }
    
    private void marketCloseEventHandler_closePositions()
    {
      this.daysCounterWithPositions++;
      if(this.daysCounterWithPositions == this.numDaysForReturnCalculation ||
         this.stopLossConditionReached)
      {
      //Close if halfPeriod has elapsed or stop loss condition reached
          base.closePositions();
          this.daysCounterWithPositions = 0;
      }
    }    
    
    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      //this.marketCloseEventHandler_updateStopLossCondition();  
      this.marketCloseEventHandler_closePositions();
      if(this.chosenTickers[0] != null)
      //tickers to buy have been chosen
      {
      	if(this.account.Portfolio.Count == 0)
      			this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
      }
         
    }

    #endregion
    
    #region OneHourAfterMarketCloseEventHandler
   

    protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
    {
			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
      DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
      int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
      
      	SelectorByAverageRawOpenPrice byPrice =
      		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate,
      	                                  currentDate.AddDays(-30),
      	                                  numOfTickersInGroupAtCurrentDate,
      	                                  30,500, 0.0001,100);
 
//      SelectorByLiquidity mostLiquidSelector =
//      	new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
//        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
//        this.numberOfEligibleTickers);
      
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromByPrice = 
        new SelectorByQuotationAtEachMarketDay(byPrice.GetTableOfSelectedTickers(),
        false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
        numOfTickersInGroupAtCurrentDate, this.benchmark);
     
      SelectorByCloseToCloseVolatility lessVolatile =
      	new SelectorByCloseToCloseVolatility(quotedAtEachMarketDayFromByPrice.GetTableOfSelectedTickers(),
      	                                     true,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
      	                                     this.numberOfEligibleTickers);
      
      return lessVolatile.GetTableOfSelectedTickers();
    	//OLD for etf
    	//      SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
//        																										currentDate);
//      
//      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromTemporized = 
//        new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
//        false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
//        600, this.benchmark);
//      // filter to be used with plain stocks
//      DataTable tickersQuotedAtEachMarketDay = quotedAtEachMarketDayFromTemporized.GetTableOfSelectedTickers();
//      SelectorByLiquidity mostLiquid =
//      	new SelectorByLiquidity(tickersQuotedAtEachMarketDay,
//      	                        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
//      	                        tickersQuotedAtEachMarketDay.Rows.Count/2);
//      
//      DataTable mostLiquidTickers = mostLiquid.GetTableOfSelectedTickers();
//      	                        
//      SelectorByCloseToCloseVolatility lessVolatile =
//      	new SelectorByCloseToCloseVolatility(mostLiquidTickers,
//      	                                     true,currentDate.AddDays(-30), currentDate,
//      	                                     Math.Min(this.numberOfEligibleTickers, mostLiquidTickers.Rows.Count/2));
//////      return mostLiquid.GetTableOfSelectedTickers();
//      return lessVolatile.GetTableOfSelectedTickers();
//      //
////      return quotedAtEachMarketDayFromTemporized.GetTableOfSelectedTickers();
    }
    
    
    protected virtual void setTickers(DateTime currentDate,
      bool setGenomeCounter)
    {
      DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
      if(setOfTickersToBeOptimized.Rows.Count > this.chosenTickers.Length*2)
        //the optimization process is meaningful only if the initial set of tickers is 
        //larger than the number of tickers to be chosen                     
      
      {
        this.iGenomeManager =
          new GenomeManagerITF(setOfTickersToBeOptimized,
          currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
          currentDate, this.numberOfTickersToBeChosen,
          this.numDaysForReturnCalculation,
          this.portfolioType);
        GeneticOptimizer GO = new GeneticOptimizer(this.iGenomeManager,
          this.populationSizeForGeneticOptimizer, 
          this.generationNumberForGeneticOptimizer,
          ConstantsProvider.SeedForRandomGenerator);
        if(setGenomeCounter)
          this.genomeCounter = new GenomeCounter(GO);
        
        GO.Run(false);
        this.addGenomeToBestGenomes(GO.BestGenome,((GenomeManagerForEfficientPortfolio)this.iGenomeManager).FirstQuoteDate,
          ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count);
        this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
        this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
      }
      //else it will be buyed again the previous optimized portfolio
      //that's it the actual chosenTickers member
    }
    
    /// <summary>
    /// Handles a "One hour after market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
      ConstantsProvider.SeedForRandomGenerator++;
      this.numDaysElapsedSinceLastOptimization++;
      this.orders.Clear();
      if((this.numDaysElapsedSinceLastOptimization - 1 == 
            this.numDaysBetweenEachOptimization)) //|| this.isTheFirstClose )
      //num days without optimization has elapsed or
      //it is the first close (OLD IMPLEMENTATION)
      {
        this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
        //sets tickers to be chosen next Market Close event
        this.numDaysElapsedSinceLastOptimization = 0;
      }
		      
    }
		#endregion
  }
}

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

RunImmediateTrendFollower.cs
Copyright (C) 2003 
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;


namespace QuantProject.Scripts.TechnicalAnalysisTesting.TrendFollowing.ImmediateTrendFollower
{
	/// <summary>
	/// Script that implements the immediate trend follower strategy,
	/// for finding tickers that tend to 
	/// earn (lose) from previous gains (losses), using efficient portfolios  
	/// </summary>
	[Serializable]
	public class RunImmediateTrendFollower : RunEfficientPortfolio
	{
    private int numDaysForReturnCalculation;
    private double maxAcceptableCloseToCloseDrawdown;
    private int numDaysBetweenEachOptimization;
		
    public RunImmediateTrendFollower(string tickerGroupID, int maxNumOfEligibleTickersForOptimization, 
                                    int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
                                    int generationNumberForGeneticOptimizer,
                                    int populationSizeForGeneticOptimizer, string benchmark,
                                    DateTime startDate, DateTime endDate,
                                   	int numDaysForReturnCalculation,
                                   	int numDaysBetweenEachOptimization,
                                    PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
                                    double maxRunningHours):
																base(tickerGroupID, maxNumOfEligibleTickersForOptimization, 
                                    numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
                                    generationNumberForGeneticOptimizer,
                                    populationSizeForGeneticOptimizer, benchmark,
                                    startDate, endDate, 0.0,
                                   	portfolioType, maxRunningHours)
		{
      this.ScriptName = "ITF_Fitness_SR_NoWeights";
      this.numDaysForReturnCalculation = numDaysForReturnCalculation;
      this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
      this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
		}

    #region auxiliary overriden methods for Run
    
    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerITF(this.tickerGroupID, this.numberOfEligibleTickers,
    	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
                                                              this.account,
    	                                                        this.generationNumberForGeneticOptimizer,
    	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
    	                                                        this.numDaysForReturnCalculation,
    	                                                        this.numDaysBetweenEachOptimization,
                                                              this.portfolioType, this.maxAcceptableCloseToCloseDrawdown);
    }
    
    protected override void run_initializeHistoricalQuoteProvider()
    {
    	this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
    }
    
    protected override void run_addEventHandlers()
    {
           
      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.endOfDayTimerHandler.MarketCloseEventHandler);
      
      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.checkDateForReport);
      
      this.endOfDayTimer.OneHourAfterMarketClose += 
      	new OneHourAfterMarketCloseEventHandler(
      	   this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
    }

    public override void SaveScriptResults()
    {
      string fileName = this.scriptName + "_From_"+ this.tickerGroupID + "_" + this.numberOfEligibleTickers +
                      "_DaysForOpt" + this.numDaysForOptimizationPeriod + "Tickers" +
                      this.numberOfTickersToBeChosen + "GenNum" + 
                      this.generationNumberForGeneticOptimizer +
                      "PopSize" + this.populationSizeForGeneticOptimizer +
        							"HalfPeriodDays" + Convert.ToString(this.numDaysForReturnCalculation) + 
        							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 + "\\";
      //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.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
//      ObjectArchiver.Archive(this.account.Transactions,
//                             dirNameWhereToSaveTransactions +
//                             fileName + ".qPt");
      //
      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
      OptimizationOutput optimizationOutput = new OptimizationOutput();
      foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
      		optimizationOutput.Add(genomeRepresentation);
      ObjectArchiver.Archive(optimizationOutput,
                              dirNameWhereToSaveBestGenomes + 
                              fileName + ".bgn");
      this.endOfDayTimer.Stop();
       
    }
    
    
    #endregion 
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination ImmediateTrendFollowerStrategy.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13669/b7_Scripts/WalkForwardTesting/LinearCombination

Added Files:
	ImmediateTrendFollowerStrategy.cs 
Log Message:
Added ImmediateTrendFollower strategy to the project.
ITF strategy is just the reversal of the ECT
(ExtremeCounterTrend strategy).

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

ImmediateTrendFollowerStrategy.cs
Copyright (C) 2003 
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 QuantProject.Data;
using QuantProject.Data.DataTables;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;
using QuantProject.Business.Timing;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Immediate Trend Follower Strategy (it's just the
	/// reversal of the ExtremeCounterTrend strategy 
	/// </summary>
	[Serializable]
	public class ImmediateTrendFollowerStrategy : IEndOfDayStrategy
	{
		private Account account;
		private string[] signedTickers;
		private double[] weightsForSignedTickers;
		private int numDaysForReturnCalculation;
    private int numOfClosesElapsed = 0;
    private int numOfDaysWithOpenPosition = 0;

		public ImmediateTrendFollowerStrategy( Account account ,
			                              string[] signedTickers,
			                              double[] weightsForSignedTickers,
                                    int numDaysForReturnCalculation)
		{
			this.account = account;
			this.signedTickers = signedTickers;
			this.weightsForSignedTickers = weightsForSignedTickers;
      this.numDaysForReturnCalculation = numDaysForReturnCalculation;
		}
    
    public void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    }
		
    public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
      EndOfDayTimingEventArgs endOfDayTimingEventArgs)
    {
    }

    private long marketCloseEventHandler_addOrder_getQuantity(
			int indexForSignedTicker)
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( SignedTicker.GetTicker(this.signedTickers[indexForSignedTicker]) );
			double maxPositionValueForThisTicker =
				accountValue*this.weightsForSignedTickers[indexForSignedTicker];
			long quantity = Convert.ToInt64(	Math.Floor(
				maxPositionValueForThisTicker /	currentTickerAsk ) );
			return quantity;
		}
		private void marketCloseEventHandler_addOrder( int indexForSignedTicker )
		{
			OrderType orderType = GenomeRepresentation.GetOrderType( this.signedTickers[indexForSignedTicker] );
			string ticker = GenomeRepresentation.GetTicker( this.signedTickers[indexForSignedTicker] );
			long quantity = marketCloseEventHandler_addOrder_getQuantity( indexForSignedTicker );
			Order order = new Order( orderType , new Instrument( ticker ) ,
				quantity );
			this.account.AddOrder( order );
		}
		private void marketCloseEventHandler_addOrders()
		{
			for(int i = 0; i<this.signedTickers.Length; i++)
				marketCloseEventHandler_addOrder( i );
		}
  
    private double marketCloseEventHandler_openPositions_getLastHalfPeriodGain(IndexBasedEndOfDayTimer timer)
    {
      double returnValue = 999.0;
      try
      {
		    DateTime initialDateForHalfPeriod = 
	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
	      DateTime finalDateForHalfPeriod = 
	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
      	returnValue =
	      	 SignedTicker.GetCloseToClosePortfolioReturn(
	      	     this.signedTickers,initialDateForHalfPeriod,finalDateForHalfPeriod);
      }
    	catch(MissingQuotesException ex)
    	{
    		ex = ex;
    	}
    	return returnValue;
    }   

    private void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
    {
      double lastHalfPeriodGain = 
      		this.marketCloseEventHandler_openPositions_getLastHalfPeriodGain(timer);
    	if(lastHalfPeriodGain != 999.0)
    	//last half period gain has been properly computed
    	{
    		if(lastHalfPeriodGain > 0.0)
          //the portfolio had a gain for the last half period
    			this.marketCloseEventHandler_addOrders();
    		else//the portfolio had a loss for the last half period
    		{
    			SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
    			//short the portfolio
    			try{this.marketCloseEventHandler_addOrders();}
    			catch(Exception ex){ex = ex;}
    			finally{SignedTicker.ChangeSignOfEachTicker(this.signedTickers);}
    		}
    	}
    }
    
    private void marketCloseEventHandler_closePositions()
    {
      ArrayList tickers = new ArrayList();
      foreach ( Position position in this.account.Portfolio.Positions )
        tickers.Add( position.Instrument.Key );
      foreach ( string ticker in tickers )
        this.account.ClosePosition( ticker );
      this.numOfDaysWithOpenPosition = 0;
    }
        
    public void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      if(this.account.Transactions.Count == 0)
        this.account.AddCash(30000);
      
      if(this.account.Portfolio.Count > 0)
        this.numOfDaysWithOpenPosition++;
      
      if(this.numOfDaysWithOpenPosition == this.numDaysForReturnCalculation)
          this.marketCloseEventHandler_closePositions();
      
      if(this.account.Portfolio.Count == 0 &&
          (this.numOfClosesElapsed + 1) >= this.numDaysForReturnCalculation)
        //portfolio is empty and previous closes can be now checked
      	if(this.account.Portfolio.Count == 0)
      		this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
      
      this.numOfClosesElapsed++;
    }
		
    public void OneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
      
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12071/ImmediateTrendFollower

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/ImmediateTrendFollower added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11688/TrendFollowing

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing added to the repository

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic Genome.cs, 1.11, 1.12

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1350/b1_ADT/Optimizing/Genetic

Modified Files:
	Genome.cs 
Log Message:
Fixed bug in Clone() method:
field "generation" is now properly initialized to the value
of the genome that has to be cloned

Index: Genome.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/Genome.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** Genome.cs	30 Jul 2006 14:00:28 -0000	1.11
--- Genome.cs	2 Aug 2006 21:55:42 -0000	1.12
***************
*** 158,161 ****
--- 158,162 ----
        returnValue.Fitness = this.Fitness;
        returnValue.Meaning = this.Meaning;
+       returnValue.generation = this.Generation;
        returnValue.hasBeenCloned = true;
        

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GenomeManagement.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10406/b1_ADT/Optimizing/Genetic

Modified Files:
	GenomeManagement.cs 
Log Message:
Fixed bug in setMaskForChildsForAlternateFixedCrossover method.

Index: GenomeManagement.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeManagement.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** GenomeManagement.cs	2 Jul 2006 19:51:36 -0000	1.8
--- GenomeManagement.cs	2 Aug 2006 17:19:30 -0000	1.9
***************
*** 142,155 ****
      private static void setMaskForChildsForAlternateFixedCrossover()
      {
!       for(int childIndex = 0; childIndex < 2; childIndex++)
        {
!         for(int genePos = 0; genePos < genomeSize; genePos++)
          {
!           if(genePos%2 == 0)
!             //gene position is even
!             maskForChilds[childIndex, genePos] = 1;
!           else
!             // gene position is odd
!             maskForChilds[childIndex, genePos] = 2;
          }
        }
--- 142,158 ----
      private static void setMaskForChildsForAlternateFixedCrossover()
      {
!       for(int genePos = 0; genePos < genomeSize; genePos++)
        {
!         if(genePos%2 == 0)
!         //gene position is even
!         {  
!           maskForChilds[0, genePos] = 1;
!           maskForChilds[1, genePos] = 2;
!         }
!         else
!         // gene position is odd
          {
!           maskForChilds[0, genePos] = 2;
!           maskForChilds[1, genePos] = 1;
          }
        }

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7185/b7_Scripts/WalkForwardTesting/WalkForwardLag

Added Files:
	WeightedPositions.cs 
Log Message:
WeightedPositions.cs has been moved from the b7_Scripts.csproj project to the b4_Business.csproj project.
It has been moved from a2_Strategies\WeightedPositions.cs to WalkForwardTesting\WalkForwardLag\WeightedPositions.cs
It has been moved from the namespace QuantProject.Business.Strategies to the namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
This move was needed because I need to deserialize some QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositions objects, but I believe the proper namespace should be QuantProject.Business.Strategies
So, it may be a good idea to move it there, when possible, in the future.

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

WeightedPositions.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;
using System.Collections;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
{
	[Serializable]
	/// <summary>
	/// Consistent group of weighted positions: weights are
	/// checked to sum up to 1.
	/// </summary>
	public class WeightedPositions : SortedList
	{
		/// <summary>
		/// returns the type for this class
		/// </summary>
		public static System.Type Type
		{
			get { return getType(); }
		}
		public WeightedPositions( double[] normalizedWeightValues ,
			string[] tickers )
		{
			this.checkParameters( normalizedWeightValues , tickers );
			for ( int i=0 ; i < tickers.Length ; i++ )
			{
				string ticker = tickers[ i ];
				double weight = normalizedWeightValues[ i ];
				if ( !this.ContainsKey( ticker ) )
					this.Add( ticker , new WeightedPosition( weight , ticker ) );
				else
					((WeightedPosition)this[ ticker ]).Weight += weight;
			}
		}
		private void checkParameters( double[] normalizedWeightValues ,
			string[] tickers )
		{
			if ( normalizedWeightValues.Length != tickers.Length )
				throw new Exception( "The number of normalized weights is " +
					"different from the number of tickers. They should be the same " +
					"number!" );
			double totalWeight =
				ADT.Statistics.BasicFunctions.SumOfAbs( normalizedWeightValues );
			if ( ( totalWeight < 0.999 ) || ( totalWeight > 1.001 ) )
				throw new Exception( "The total of (absolute) weights " +
					"should sum up to 1, " +
					"but it sums up to " + totalWeight.ToString() );
		}
		public WeightedPosition GetWeightedPosition( string ticker )
		{
			return (WeightedPosition)this[ ticker ];
		}
		public WeightedPosition GetWeightedPosition( int i )
		{
			return (WeightedPosition)this.GetByIndex( i );
		}
		#region GetEquityLine
		/// <summary>
		/// Returns a virtual amount of quantities for each virtual ticker.
		/// Non integer values can be returned also, that's why we call
		/// them virtual quantities
		/// </summary>
		/// <returns></returns>
		private Hashtable getVirtualQuantities( double beginningCash , DateTime dateTime )
		{
			Hashtable virtualQuantities = new Hashtable();
			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider =
				new HistoricalAdjustedQuoteProvider();
			EndOfDayDateTime endOfDayDateTime =
				new EndOfDayDateTime( dateTime , EndOfDaySpecificTime.MarketClose );
			foreach( WeightedPosition weightedPosition in	this.Values )
			{
				string ticker = weightedPosition.Ticker;
				double valueForThisPosition =
					beginningCash * Math.Abs( weightedPosition.Weight );
				double tickerQuote =
					historicalAdjustedQuoteProvider.GetMarketValue(
					ticker , endOfDayDateTime );
				double virtualQuantityForThisPosition = valueForThisPosition / tickerQuote;
				if ( weightedPosition.IsShort )
					virtualQuantityForThisPosition = -virtualQuantityForThisPosition;
				virtualQuantities.Add( ticker , virtualQuantityForThisPosition );
			}
			return virtualQuantities;
		}
		private double getCash( double beginningCash , Hashtable virtualQuantities )
		{
			double cash = beginningCash;
			foreach ( WeightedPosition weightedPosition in this.Values )
			{
				double thisVirtualQuantity =
					(double)virtualQuantities[ weightedPosition.Ticker ];
				double thisPositionValue =
					beginningCash * Math.Abs( weightedPosition.Weight );
				if ( thisVirtualQuantity > 0 )
					// long position
					cash -= thisPositionValue;
				else
					// virtualQuantity < 0 i.e. short position
					cash += thisPositionValue;
			}
			return cash;
		}
		private double getVirtualPortfolioValue( DateTime dateTime ,
			Hashtable tickerVirtualQuantities )
		{
			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider =
				new HistoricalAdjustedQuoteProvider();
			double virtualPortfolioValue = 0;
			foreach( string ticker in tickerVirtualQuantities.Keys )
			{
				EndOfDayDateTime endOfDayDateTime =	new EndOfDayDateTime(
					dateTime , EndOfDaySpecificTime.MarketClose );
				double tickerQuote = historicalAdjustedQuoteProvider.GetMarketValue(
					ticker , endOfDayDateTime );
				double virtualQuantity = (double)tickerVirtualQuantities[ ticker ];
				virtualPortfolioValue +=	virtualQuantity * tickerQuote;
			}
			return virtualPortfolioValue;
		}
		/// <summary>
		/// computes the equity line for this weighted positions. The equity line is virtual because
		/// quantities for each ticker can be non integer also (it is simulated an account where
		/// every single penny is always invested, so fractional quantities are simulated)
		/// </summary>
		/// <param name="beginningCash">cash amount when the simulated strategy begins</param>
		/// <param name="equityDates">an ordered list of DateTime(s) where the equity line has to be computed</param>
		/// <returns></returns>
		public EquityLine GetVirtualEquityLine(
			double beginningCash , SortedList equityDates )
		{
			DateTime firstDate = (DateTime)equityDates.GetKey( 0 );
			EquityLine equityLine =
				new EquityLine();
			Hashtable virtualQuantities =
				this.getVirtualQuantities( beginningCash , firstDate );
			double cash = this.getCash( beginningCash , virtualQuantities ); 
			for( int i = 0 ; i < equityDates.Count ; i++ )
			{
				DateTime dateTime = (DateTime)equityDates.GetKey( i );
				equityLine.Add( dateTime ,
					cash + this.getVirtualPortfolioValue( dateTime ,
					virtualQuantities ) );
			}
			return equityLine;
		}
		#endregion
		#region getType
		private static WeightedPositions getSimpleDummyInstance()
		{
			double[] weights = {1.0};
			string[] tickers = {"DUMMY"};
			WeightedPositions dummyInstance = new WeightedPositions( weights , tickers );
			return dummyInstance;
		}
		private static System.Type getType()
		{
			WeightedPositions weightedPositions =
				WeightedPositions.getSimpleDummyInstance();
			return weightedPositions.GetType();
		}
		#endregion
		#region GetCloseToClosePortfolioReturns
//		private static double getCloseToCloseReturn( string ticker ,
//			SortedList datesForReturnComputation , int i )
//		{
//			DateTime previousDate = (DateTime)datesForReturnComputation.GetByIndex( i );
//			DateTime currentDate =
//				(DateTime)datesForReturnComputation.GetByIndex( i + 1 );
//			HistoricalAdjustedQuoteProvider historicalQuoteProvider =
//				new HistoricalAdjustedQuoteProvider();
//			double previousQuote = historicalQuoteProvider.GetMarketValue( ticker ,
//				new EndOfDayDateTime( previousDate , EndOfDaySpecificTime.MarketClose ) );
//			double currentQuote = historicalQuoteProvider.GetMarketValue( ticker ,
//				new EndOfDayDateTime( currentDate , EndOfDaySpecificTime.MarketClose ) );
//			double closeToCloseReturn = currentQuote / previousQuote - 1.0;
//			return closeToCloseReturn;
//		}
//		private static double getMultiplier( string signedTicker )
//		{
//			double multiplier = 1.0;
//			if ( IsShort( signedTicker ) )
//				multiplier = -multiplier;
//			return multiplier;
//		}
		private double getCloseToClosePortfolioReturn(
			SortedList datesForReturnComputation , int i )
		{
			DateTime dateTime =
				(DateTime)datesForReturnComputation.GetByIndex( i + 1 );
			double dailyReturn = 0.0;
			foreach ( WeightedPosition weightedPosition in
				this.Values )
				dailyReturn +=
					weightedPosition.GetCloseToCloseDailyReturn( dateTime );
			return dailyReturn;
		}
		private double[] getCloseToClosePortfolioReturns(
			SortedList datesForReturnComputation )
		{
			// the return for first DateTime cannot be computed so the returned
			// array will have one element less the datesForReturnComputation
			double[] closeToClosePortfolioReturns =
				new double[ datesForReturnComputation.Count - 1 ];
			for ( int i=0 ; i < closeToClosePortfolioReturns.Length ; i++ )
				closeToClosePortfolioReturns[ i ] =
					this.getCloseToClosePortfolioReturn(
					datesForReturnComputation , i );
			return closeToClosePortfolioReturns;
		}
		/// <summary>
		/// Gets portfolio's return (for this weighted positions) computed on the
		/// market days contained in commonMarketDays
		/// </summary>
		/// <param name="commonMarketDays">SortedList of DateTime objects: positions
		/// are assumed to be exchanged in all such market days, otherwise
		/// an exception should be thrown</param>
		/// <returns></returns>
		public double[] GetCloseToClosePortfolioReturns( SortedList commonMarketDays )
		{
			// TO DO check parameter: check if each position is exchanged in each common market day
			return
				getCloseToClosePortfolioReturns( commonMarketDays );
		}
		#endregion

	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies WeightedPositions.cs, 1.1, NONE

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7065/b4_Business/a2_Strategies

Removed Files:
	WeightedPositions.cs 
Log Message:
WeightedPositions.cs has been moved from the b7_Scripts.csproj project to the b4_Business.csproj project.
It has been moved from a2_Strategies\WeightedPositions.cs to WalkForwardTesting\WalkForwardLag\WeightedPositions.cs
It has been moved from the namespace QuantProject.Business.Strategies to the namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
This move was needed because I need to deserialize some QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositions objects, but I believe the proper namespace should be QuantProject.Business.Strategies
So, it may be a good idea to move it there, when possible, in the future.

--- WeightedPositions.cs DELETED ---

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj, 1.35, 1.36

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5318/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
WeightedPositions.cs has been moved from the b7_Scripts.csproj project to the b4_Business.csproj project.
It has been moved from a2_Strategies\WeightedPositions.cs to WalkForwardTesting\WalkForwardLag\WeightedPositions.cs
It has been moved from the namespace QuantProject.Business.Strategies to the namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
This move was needed because I need to deserialize some QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositions objects, but I believe the proper namespace should be QuantProject.Business.Strategies
So, it may be a good idea to move it there, when possible, in the future.

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.35
retrieving revision 1.36
diff -C2 -d -r1.35 -r1.36
*** b4_Business.csproj	30 Jul 2006 12:57:34 -0000	1.35
--- b4_Business.csproj	31 Jul 2006 16:39:47 -0000	1.36
***************
*** 620,628 ****
                  />
                  <File
-                     RelPath = "a2_Strategies\WeightedPositions.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
                      RelPath = "a3_Testing\BackTester.cs"
                      SubType = "Code"
--- 620,623 ----

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.58, 1.59

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5318/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
WeightedPositions.cs has been moved from the b7_Scripts.csproj project to the b4_Business.csproj project.
It has been moved from a2_Strategies\WeightedPositions.cs to WalkForwardTesting\WalkForwardLag\WeightedPositions.cs
It has been moved from the namespace QuantProject.Business.Strategies to the namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
This move was needed because I need to deserialize some QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositions objects, but I believe the proper namespace should be QuantProject.Business.Strategies
So, it may be a good idea to move it there, when possible, in the future.

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.58
retrieving revision 1.59
diff -C2 -d -r1.58 -r1.59
*** b7_Scripts.csproj	30 Jul 2006 13:05:18 -0000	1.58
--- b7_Scripts.csproj	31 Jul 2006 16:39:47 -0000	1.59
***************
*** 589,592 ****
--- 589,597 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\WalkForwardLag\WeightedPositions.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\WalkForwardLag\WFLagCandidates.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b1_ADT/Statistics BasicFunctions.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Statistics
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv24287/b1_ADT/Statistics

Modified Files:
	BasicFunctions.cs 
Log Message:
- the public method SumOfAbs has been added
- the public method MultiplyBy has been added

Index: BasicFunctions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Statistics/BasicFunctions.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** BasicFunctions.cs	2 Jul 2006 19:29:52 -0000	1.7
--- BasicFunctions.cs	30 Jul 2006 14:16:31 -0000	1.8
***************
*** 98,101 ****
--- 98,120 ----
  		}
      
+ 		static public  double SumOfAbs( double[] data )
+ 		{
+ 			double sum = 0;
+ 			for( int i = 0; i < data.Length ; i ++ ) 
+ 			{
+ 				sum += Math.Abs( data[ i ] );
+ 			}
+ 			return	sum;
+ 		}
+ 		static public double[] MultiplyBy( double[] data , double multiplier )
+ 		{
+ 			double[] returnData = new double[ data.Length ];
+ 			for( int i = 0; i < data.Length ; i ++ ) 
+ 			{
+ 				returnData[ i ] = data[ i ] * multiplier;
+ 			}
+ 			return returnData;
+ 		}
+ 		
  		static public double SimpleAverage( double[] data ) 
  		{

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic Genome.cs, 1.10, 1.11

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17615/b1_ADT/Optimizing/Genetic

Modified Files:
	Genome.cs 
Log Message:
- now, an exception is thrown if Fitness is required, but Fitness is not a number (in such a case, probably it is requested before it is computed)

Index: Genome.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/Genome.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** Genome.cs	8 Nov 2005 18:32:25 -0000	1.10
--- Genome.cs	30 Jul 2006 14:00:28 -0000	1.11
***************
*** 63,67 ****
      public double Fitness
      {
!       get{return this.fitness;}
        set{this.fitness = value;}
      }
--- 63,73 ----
      public double Fitness
      {
!       get
! 			{
! 				if ( double.IsNaN( this.fitness ) )
! 					throw new Exception(
! 						"The fitness for this genome is not a number!" );
! 				return this.fitness;
! 			}
        set{this.fitness = value;}
      }

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

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/FileManaging
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16800/b1_ADT/FileManaging

Modified Files:
	ObjectArchiver.cs 
Log Message:
- a try catch structure has been cut out

Index: ObjectArchiver.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/FileManaging/ObjectArchiver.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** ObjectArchiver.cs	8 Jun 2006 18:43:57 -0000	1.3
--- ObjectArchiver.cs	30 Jul 2006 13:58:26 -0000	1.4
***************
*** 64,69 ****
        object returnValue = null;
      	
! 			try
! 			{
  				ObjectArchiver.stream = new FileStream(
  					fullPath,
--- 64,69 ----
        object returnValue = null;
      	
! //			try
! //			{
  				ObjectArchiver.stream = new FileStream(
  					fullPath,
***************
*** 72,85 ****
  					FileShare.None);
  				returnValue = ObjectArchiver.formatter.Deserialize(stream);
! 			}
! 			catch( Exception ex )
! 			{
! 				string stringForBreakpoint = ex.Message;
! 				stringForBreakpoint = stringForBreakpoint;
! 			}
! 			finally
! 			{
  				ObjectArchiver.stream.Close();
! 			}
        return returnValue;
      }
--- 72,85 ----
  					FileShare.None);
  				returnValue = ObjectArchiver.formatter.Deserialize(stream);
! //			}
! //			catch( Exception ex )
! //			{
! //				string stringForBreakpoint = ex.Message;
! //				stringForBreakpoint = stringForBreakpoint;
! //			}
! //			finally
! //			{
  				ObjectArchiver.stream.Close();
! //			}
        return returnValue;
      }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Position.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16245/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Position.cs 
Log Message:
- the IsLong property has been added
- the IsShort propery has been added

Index: Position.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Position.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Position.cs	15 Oct 2005 18:19:22 -0000	1.2
--- Position.cs	30 Jul 2006 13:57:06 -0000	1.3
***************
*** 64,67 ****
--- 64,75 ----
  			}
  		}
+ 		public bool IsLong
+ 		{
+ 			get { return ( this.Quantity >= 0 ); }
+ 		}
+ 		public bool IsShort
+ 		{
+ 			get { return ( !this.IsLong ); }
+ 		}
  		public Position( Instrument instrument , long quantity )
  		{

[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs, 1.28, 1.29

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15565/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
The removeNonContainedDates private method has been fixed (to say the truth, never used yet, so it may still require some tuning...)

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.28
retrieving revision 1.29
diff -C2 -d -r1.28 -r1.29
*** Quotes.cs	22 Jul 2006 20:56:09 -0000	1.28
--- Quotes.cs	30 Jul 2006 13:55:39 -0000	1.29
***************
*** 59,69 ****
  			this.removeNonContainedDates( marketDays );
  		}
! 		private void removeNonContainedDates( SortedList marketDays )
  		{
  			foreach( DataRow dataRow in this.Rows )
! 				if ( marketDays.ContainsKey(
  					(DateTime)dataRow[ Quotes.Date ] ) )
! 					this.Rows.Remove( dataRow );
  		}
  		public Quotes( string ticker )
  		{
--- 59,87 ----
  			this.removeNonContainedDates( marketDays );
  		}
! 		#region removeNonContainedDates
! 		private ArrayList	removeNonContainedDates_getDataRowsToBeRemoved(
! 			SortedList marketDays )
  		{
+ 			ArrayList dataRowsToBeRemoved = new ArrayList();
  			foreach( DataRow dataRow in this.Rows )
! 				if ( !marketDays.ContainsKey(
  					(DateTime)dataRow[ Quotes.Date ] ) )
! 					dataRowsToBeRemoved.Add( dataRow );
! 			return dataRowsToBeRemoved;
! 		}
! 		private void removeDataRows( ICollection dataRowsToBeRemoved )
! 		{
! 			foreach ( DataRow dataRowToBeRemoved in dataRowsToBeRemoved )
! 				this.Rows.Remove( dataRowToBeRemoved );
! 		}
! 		private void removeNonContainedDates( SortedList marketDays )
! 		{
! 			ArrayList dataRowsToBeRemoved =
! 				this.removeNonContainedDates_getDataRowsToBeRemoved(
! 				marketDays );
! 			this.removeDataRows( dataRowsToBeRemoved );
  		}
+ 		#endregion
+ 
  		public Quotes( string ticker )
  		{

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagCandidates.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14660/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WFLagCandidates.cs 
Log Message:
- added a constructor's parameter checking procedure (at least two eligible tickers are required; lastQuoteDate is checked not to lead firstQuoteDate)
- the public method GetTickersReturns has been added

Index: WFLagCandidates.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagCandidates.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFLagCandidates.cs	14 May 2006 21:30:01 -0000	1.3
--- WFLagCandidates.cs	30 Jul 2006 13:53:26 -0000	1.4
***************
*** 44,51 ****
--- 44,63 ----
  			DateTime firstQuoteDate , DateTime lastQuoteDate )
  		{
+ 			this.checkParameters( eligibleTickers , firstQuoteDate ,
+ 				lastQuoteDate );
  			this.eligibleTickers = eligibleTickers;
  			this.firstQuoteDate = firstQuoteDate;
  			this.lastQuoteDate = lastQuoteDate;
  		}
+ 		private void checkParameters( DataTable eligibleTickers ,
+ 			DateTime firstQuoteDate , DateTime lastQuoteDate )
+ 		{
+ 			if ( eligibleTickers.Rows.Count < 2 )
+ 				throw new Exception( "eligibleTickers is expected to have at least " +
+ 					"two rows. It has less than two rows!" );
+       if ( firstQuoteDate >= lastQuoteDate )
+ 				throw new Exception( "firstQuoteDate has to be less than" +
+ 					"lastQuoteDate!" );
+ 		}
  		/// <summary>
  		/// arrays of close to close returns, one for each ticker
***************
*** 67,70 ****
--- 79,98 ----
  		}
  
+ 		/// <summary>
+ 		/// arrays of close to close returns, one for each ticker
+ 		/// </summary>
+ 		/// <param name="tickers"></param>
+ 		/// <returns></returns>
+ 		public float[][] GetTickersReturns( string[] tickers )
+ 		{
+ 			if ( this.closeToCloseReturns == null )
+ 				this.set_closeToCloseReturns();
+ 			float[][] tickersReturns = new float[ tickers.Length ][];
+ 			int i = 0;
+ 			for ( i = 0 ; i < tickers.Length ; i++ )
+ 				tickersReturns[ i ] = (float[])this.closeToCloseReturns[ tickers[ i ] ];
+ 			return tickersReturns;
+ 		}
+ 
  		#region set_closeToCloseReturns
  		private float[] getCloseToCloseTickerReturns( string ticker )

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13432/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger

Modified Files:
	WFLagChosenPositions.cs 
Log Message:
- WeightedPositions are used instead of SignedTickers
- now the ISerializable interface is implemented, so that old logs can be examined yet
- it may be worth looking at the deserializing code (not that simple...), as an example for future custom deserialization (if and when needed)

Index: WFLagChosenPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagChosenPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagChosenPositions.cs	8 Apr 2006 18:12:40 -0000	1.1
--- WFLagChosenPositions.cs	30 Jul 2006 13:50:26 -0000	1.2
***************
*** 22,27 ****
--- 22,31 ----
  
  using System;
+ using System.Collections;
+ using System.Reflection;
+ using System.Runtime.Serialization;
  
  using QuantProject.ADT.Collections;
+ using QuantProject.Business.Strategies;
  using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag;
  
***************
*** 32,53 ****
  	/// </summary>
  	[Serializable]
! 	public class WFLagChosenPositions
  	{
  		private QPHashtable drivingPositions;
  		private QPHashtable portfolioPositions;
  		private DateTime lastOptimizationDate;
  
! 		public QPHashtable DrivingPositions
  		{
  			get
  			{
! 				return this.drivingPositions;
  			}
  		}
! 		public QPHashtable PortfolioPositions
  		{
  			get
  			{
! 				return this.portfolioPositions;
  			}
  		}
--- 36,67 ----
  	/// </summary>
  	[Serializable]
! 	public class WFLagChosenPositions : ISerializable
  	{
+ 		// these private members are used for old versions' deserialization, only
  		private QPHashtable drivingPositions;
  		private QPHashtable portfolioPositions;
+ 
+ 		private WeightedPositions drivingWeightedPositions;
+ 		private WeightedPositions portfolioWeightedPositions;
  		private DateTime lastOptimizationDate;
  
! 		public WeightedPositions DrivingWeightedPositions
  		{
  			get
  			{
! 				if ( this.drivingWeightedPositions == null )
! 					// an old version has been deserialized
! 					this.setWeightedPositionsFromQPHashtables();
! 				return this.drivingWeightedPositions;
  			}
  		}
! 		public WeightedPositions PortfolioWeightedPositions
  		{
  			get
  			{
! 				if ( this.portfolioWeightedPositions == null )
! 					// an old version has been deserialized
! 					this.setWeightedPositionsFromQPHashtables();
! 				return this.portfolioWeightedPositions;
  			}
  		}
***************
*** 63,80 ****
  			DateTime lastOptimizationDate )
  		{
! 			this.drivingPositions =
! 				this.copy( wFLagChosenTickers.DrivingPositions );
! 			this.portfolioPositions =
! 				this.copy( wFLagChosenTickers.PortfolioPositions );
  			this.lastOptimizationDate = lastOptimizationDate;
  		}
  
! 		private QPHashtable copy( QPHashtable qPHashTable )
  		{
! 			QPHashtable newCopy = new QPHashtable();
! 			foreach ( string key in qPHashTable.Keys )
! 				newCopy.Add( key , null );
! 			return newCopy;
  		}
  	}
  }
--- 77,232 ----
  			DateTime lastOptimizationDate )
  		{
! 			//			this.drivingPositions =
! 			//				this.copy( wFLagChosenTickers.DrivingWeightedPositions );
! 			//			this.portfolioPositions =
! 			//				this.copy( wFLagChosenTickers.PortfolioWeightedPositions );
! 			this.drivingWeightedPositions = wFLagChosenTickers.DrivingWeightedPositions;
! 			this.portfolioWeightedPositions = wFLagChosenTickers.PortfolioWeightedPositions;
  			this.lastOptimizationDate = lastOptimizationDate;
  		}
  
! 		#region deserialization related constructor and methods
! 		protected WFLagChosenPositions( SerializationInfo info , StreamingContext context )
  		{
! 			this.deserializeBaseClassMembers( info , context );
! 			this.deserializeThisClassMembers( info , context );
! 		}
! 		private void deserializeBaseClassMembers( SerializationInfo info , StreamingContext context )
! 		{
! 			// get the set of serializable members for this class and its base classes
! 			Type thisType = this.GetType();
! 			MemberInfo[] memberInfos = FormatterServices.GetSerializableMembers(
! 				thisType , context);
! 
! 			// deserialize the fields from the info object, only if of the base clas
! 			for (Int32 i = 0 ; i < memberInfos.Length; i++) 
! 			{
! 				// Don't deserialize fields for this class
! 				if (memberInfos[i].DeclaringType != thisType)
! 				{
! 					FieldInfo fieldInfo = (FieldInfo) memberInfos[i];
! 
! 					// set the field to the deserialized value
! 					fieldInfo.SetValue( this ,
! 						info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
! 				}
! 			}
! 		}
! 		private void deserializeDrivingWeightedPositions(
! 			SerializationInfo info , StreamingContext context )
! 		{
! 			try
! 			{
! //				this.drivingWeightedPositions = new WeightedPositions()
! //				System.Type type = System.Type.GetType(
! //					"QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositions" );
! 				this.drivingWeightedPositions = (WeightedPositions)info.GetValue(
! 					"drivingWeightedPositions" , WeightedPositions.Type );
! 			}
! 			catch( Exception ex1 )
! 			{
! 				// the serialized WFLagChosenPositions is of old type
! 				// drivingPositions and portfolioPositions are QPHashtable
! 				try
! 				{
! 					string errorMessage1 = ex1.Message;
! 					this.drivingPositions = new QPHashtable();
! 					this.drivingPositions = (QPHashtable)info.GetValue(
! 						"drivingPositions" , this.drivingPositions.GetType() );
! 					//				drivingWeightedPositions = this.getWeightedPositions( drivingPositions );
! 				}
! 				catch( Exception ex2 )
! 				{
! 					string errorMessage = ex2.Message;
! 					errorMessage = errorMessage;
! 				}
! 			}
! 		}
! 		private void deserializePortfolioWeightedPositions(
! 			SerializationInfo info , StreamingContext context )
! 		{
! 			try
! 			{
! //				this.portfolioWeightedPositions = new WeightedPositions();
! //				System.Type type = System.Type.GetType(
! //					"QuantProject.Scripts.WalkForwardTesting.WalkForwardLag.WeightedPositions" );
! 				this.portfolioWeightedPositions = (WeightedPositions)info.GetValue(
! 					"portfolioWeightedPositions" , WeightedPositions.Type );
! 			}
! 			catch
! 			{
! 				// the serialized WFLagChosenPositions is of old type
! 				// drivingPositions and portfolioPositions are QPHashtable
! 				this.portfolioPositions = new QPHashtable();
! 				this.portfolioPositions = (QPHashtable)info.GetValue(
! 					"portfolioPositions" , this.portfolioPositions.GetType() );
! 				//				portfolioWeightedPositions = this.getWeightedPositions( portfolioPositions );
! 			}
! 		}
! 		private void deserializeThisClassMembers( SerializationInfo info , StreamingContext context )
! 		{
! 			this.lastOptimizationDate = (DateTime)info.GetValue( "lastOptimizationDate" ,
! 				this.lastOptimizationDate.GetType() );
! 			this.deserializeDrivingWeightedPositions( info , context );
! 			this.deserializePortfolioWeightedPositions( info , context );
! 		}
! 		void ISerializable.GetObjectData(
! 			SerializationInfo info, StreamingContext context) 
! 		{
! 			// get the set of serializable members for this class and base classes
! 			Type thisType = this.GetType();
! 			MemberInfo[] mi = 
! 				FormatterServices.GetSerializableMembers( thisType , context);
! 
! 			// serialize the fields to the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++) 
! 			{ 
! 				string memberName = mi[i].Name;
! 				if ( ( memberName != "drivingPositions" ) && ( memberName != "portfolioPositions" ) )
! 					// current member is not used for old versions' deserialization, only
! 					info.AddValue(mi[i].Name, ((FieldInfo) mi[i]).GetValue(this));
! 			}
  		}
+ //		private Hashtable copy( Hashtable hashTable )
+ //		{
+ //			Hashtable newCopy = new Hashtable();
+ //			foreach ( string key in hashTable.Keys )
+ //				newCopy.Add( key , null );
+ //			return newCopy;
+ //		}
+ 		#region setWeightedPositionsFromQPHashtables
+ 		private double getWeightedPositions_getWeight(
+ 			double absoluteWeightForEachPosition , string signedTicker )
+ 		{
+ 			double weight = absoluteWeightForEachPosition;
+ 			if ( SignedTicker.IsShort( signedTicker ) )
+ 				weight = - absoluteWeightForEachPosition;
+ 			return weight;
+ 		}
+ 		private WeightedPositions getWeightedPositions( QPHashtable signedTickers )
+ 		{
+ 			double absoluteWeightForEachPosition =
+ 				1 / Convert.ToDouble( signedTickers.Count );
+ 			double[] weights = new double[ signedTickers.Count ];
+ 			string[] tickers = new string[ signedTickers.Count ];
+ 			int i = 0;
+ 			foreach ( string signedTicker in signedTickers.Keys )
+ 			{
+ 				weights[ i ] = this.getWeightedPositions_getWeight(
+ 					absoluteWeightForEachPosition , signedTicker );
+ 				tickers[ i ] = SignedTicker.GetTicker( signedTicker );
+ 				i++;
+ 			}
+ 			WeightedPositions weightedPositions =
+ 				new WeightedPositions( weights , tickers );
+ 			return weightedPositions;
+ 		}
+ 		private void setWeightedPositionsFromQPHashtables()
+ 		{
+ 			this.drivingWeightedPositions = this.getWeightedPositions( this.drivingPositions );
+ 			this.portfolioWeightedPositions = this.getWeightedPositions( this.portfolioPositions );
+ 		}
+ 		#endregion
+ 		#endregion
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger WFLagChosenPositionsDebugInfo.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11204/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Modified Files:
	WFLagChosenPositionsDebugInfo.cs 
Log Message:
WeightedPositions are used instead of SignedTickers

Index: WFLagChosenPositionsDebugInfo.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagChosenPositionsDebugInfo.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFLagChosenPositionsDebugInfo.cs	22 Jul 2006 20:45:14 -0000	1.3
--- WFLagChosenPositionsDebugInfo.cs	30 Jul 2006 13:45:54 -0000	1.4
***************
*** 47,55 ****
  		public string DrivingPositions
  		{
! 			get { return this.wFLagChosenPositions.DrivingPositions.KeyConcat; }
  		}
  		public string PortfolioPositions
  		{
! 			get { return this.wFLagChosenPositions.PortfolioPositions.KeyConcat; }
  		}
  		public DateTime LastOptimization
--- 47,55 ----
  		public string DrivingPositions
  		{
! 			get { return this.wFLagChosenPositions.DrivingWeightedPositions.ToString(); }
  		}
  		public string PortfolioPositions
  		{
! 			get { return this.wFLagChosenPositions.PortfolioWeightedPositions.ToString(); }
  		}
  		public DateTime LastOptimization
***************
*** 122,135 ****
  			WFLagChosenPositions wFLagChosenPositions )
  		{
! 			int size = wFLagChosenPositions.DrivingPositions.Count +
! 				wFLagChosenPositions.PortfolioPositions.Count;
  			string[] drivingAndPortfolioTickers = new string[ size ];
  			int i = 0;
! 			foreach ( string signedTicker in wFLagChosenPositions.DrivingPositions.Keys )
  			{
  				drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker );
  				i++;
  			}
! 			foreach ( string signedTicker in wFLagChosenPositions.PortfolioPositions.Keys )
  			{
  				drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker );
--- 122,137 ----
  			WFLagChosenPositions wFLagChosenPositions )
  		{
! 			int size = wFLagChosenPositions.DrivingWeightedPositions.Count +
! 				wFLagChosenPositions.PortfolioWeightedPositions.Count;
  			string[] drivingAndPortfolioTickers = new string[ size ];
  			int i = 0;
! 			foreach ( string signedTicker in
! 				wFLagChosenPositions.DrivingWeightedPositions.Keys )
  			{
  				drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker );
  				i++;
  			}
! 			foreach ( string signedTicker in
! 				wFLagChosenPositions.PortfolioWeightedPositions.Keys )
  			{
  				drivingAndPortfolioTickers[ i ] = SignedTicker.GetTicker( signedTicker );

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10662/b7_Scripts/WalkForwardTesting/WalkForwardLag

Modified Files:
	WFLagChosenTickers.cs 
Log Message:
WeightedPositions are used instead of SignedTickers

Index: WFLagChosenTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagChosenTickers.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFLagChosenTickers.cs	8 Apr 2006 18:39:55 -0000	1.2
--- WFLagChosenTickers.cs	30 Jul 2006 13:44:48 -0000	1.3
***************
*** 27,30 ****
--- 27,31 ----
  using QuantProject.ADT.Collections;
  using QuantProject.ADT.Optimizing.Genetic;
+ using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
  
***************
*** 49,69 ****
  		private int populationSizeForGeneticOptimizer;
  
! 		private QPHashtable drivingPositions;
! 		private QPHashtable portfolioPositions;
  		private DateTime firstOptimizationDate;
  		private DateTime lastOptimizationDate;
  
! 		public QPHashtable DrivingPositions
  		{
  			get
  			{
! 				return this.drivingPositions;
  			}
  		}
! 		public QPHashtable PortfolioPositions
  		{
  			get
  			{
! 				return this.portfolioPositions;
  			}
  		}
--- 50,84 ----
  		private int populationSizeForGeneticOptimizer;
  
! 		private WeightedPositions drivingWeightedPositions;
! 		private WeightedPositions portfolioWeightedPositions;
  		private DateTime firstOptimizationDate;
  		private DateTime lastOptimizationDate;
  
! //		public QPHashtable PortfolioPositions
! //		{
! //			get
! //			{
! //				return this.portfolioPositions;
! //			}
! //		}
! //		public QPHashtable DrivingPositions
! //		{
! //			get
! //			{
! //				return this.drivingPositions;
! //			}
! //		}
! 		public WeightedPositions DrivingWeightedPositions
  		{
  			get
  			{
! 				return this.drivingWeightedPositions;
  			}
  		}
! 		public WeightedPositions PortfolioWeightedPositions
  		{
  			get
  			{
! 				return this.portfolioWeightedPositions;
  			}
  		}
***************
*** 115,127 ****
  		}
  		private void setSignedTickers_setTickersFromGenome(
! 			WFLagGenomeManager genomeManager ,
  			Genome genome )
  		{
! 			WFLagSignedTickers wFLagSignedTickers =
! 				( WFLagSignedTickers )genomeManager.Decode( genome );
! 			this.drivingPositions = wFLagSignedTickers.DrivingPositions;
! 			this.portfolioPositions = wFLagSignedTickers.PortfolioPositions;
  		}
! 		public void SetSignedTickers( WFLagEligibleTickers eligibleTickers )
  		{
  //			this.setSignedTickers_clearPositions();
--- 130,144 ----
  		}
  		private void setSignedTickers_setTickersFromGenome(
! 			IGenomeManager genomeManager ,
  			Genome genome )
  		{
! 			WFLagWeightedPositions wFLagWeightedPositions =
! 				( WFLagWeightedPositions )genomeManager.Decode( genome );
! 			this.drivingWeightedPositions =
! 				wFLagWeightedPositions.DrivingWeightedPositions;
! 			this.portfolioWeightedPositions =
! 				wFLagWeightedPositions.PortfolioWeightedPositions;
  		}
! 		public void SetWeightedPositions( WFLagEligibleTickers eligibleTickers )
  		{
  //			this.setSignedTickers_clearPositions();
***************
*** 133,140 ****
  				this.endOfDayTimer.GetCurrentTime().DateTime;
  
! 			WFLagGenomeManager genomeManager = 
! 				new WFLagGenomeManager(
  				eligibleTickers.EligibleTickers ,
! 				firstOptimizationDate ,
  				this.lastOptimizationDate ,
  				this.numberOfDrivingPositions ,
--- 150,158 ----
  				this.endOfDayTimer.GetCurrentTime().DateTime;
  
! 			WFLagGenomeManagerWithWeights genomeManager = 
! 				new WFLagGenomeManagerWithWeights(
  				eligibleTickers.EligibleTickers ,
! 				eligibleTickers.EligibleTickers ,
! 				this.firstOptimizationDate ,
  				this.lastOptimizationDate ,
  				this.numberOfDrivingPositions ,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger WFLagDebugGenome.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10200/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger

Modified Files:
	WFLagDebugGenome.cs 
Log Message:
Now two datagrid are used to display driving weighted positions  and portfolio weighted positions.
Previous version used two labels to display driving signed tickers and portfolio signed tickers.

Index: WFLagDebugGenome.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugGenome.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFLagDebugGenome.cs	22 Jul 2006 20:32:42 -0000	1.3
--- WFLagDebugGenome.cs	30 Jul 2006 13:43:42 -0000	1.4
***************
*** 57,62 ****
  		private System.Windows.Forms.Label labelDrivingPositions;
  		private System.Windows.Forms.Label labelPortfolioPositions;
! 		private System.Windows.Forms.Label labelDrivingPositionsContent;
! 		private System.Windows.Forms.Label labelPortfolioPositionsContent;
  		/// <summary>
  		/// Required designer variable.
--- 57,62 ----
  		private System.Windows.Forms.Label labelDrivingPositions;
  		private System.Windows.Forms.Label labelPortfolioPositions;
! 		private System.Windows.Forms.DataGrid dataGridDrivingPositions;
! 		private System.Windows.Forms.DataGrid dataGridPortfolioPositions;
  		/// <summary>
  		/// Required designer variable.
***************
*** 110,115 ****
  			this.labelDrivingPositions = new System.Windows.Forms.Label();
  			this.labelPortfolioPositions = new System.Windows.Forms.Label();
! 			this.labelDrivingPositionsContent = new System.Windows.Forms.Label();
! 			this.labelPortfolioPositionsContent = new System.Windows.Forms.Label();
  			this.SuspendLayout();
  			// 
--- 110,117 ----
  			this.labelDrivingPositions = new System.Windows.Forms.Label();
  			this.labelPortfolioPositions = new System.Windows.Forms.Label();
! 			this.dataGridDrivingPositions = new System.Windows.Forms.DataGrid();
! 			this.dataGridPortfolioPositions = new System.Windows.Forms.DataGrid();
! 			((System.ComponentModel.ISupportInitialize)(this.dataGridDrivingPositions)).BeginInit();
! 			((System.ComponentModel.ISupportInitialize)(this.dataGridPortfolioPositions)).BeginInit();
  			this.SuspendLayout();
  			// 
***************
*** 134,138 ****
  			// TestPostSample
  			// 
! 			this.TestPostSample.Location = new System.Drawing.Point(32, 144);
  			this.TestPostSample.Name = "TestPostSample";
  			this.TestPostSample.Size = new System.Drawing.Size(160, 32);
--- 136,140 ----
  			// TestPostSample
  			// 
! 			this.TestPostSample.Location = new System.Drawing.Point(32, 304);
  			this.TestPostSample.Name = "TestPostSample";
  			this.TestPostSample.Size = new System.Drawing.Size(160, 32);
***************
*** 143,147 ****
  			// PostSampleDays
  			// 
! 			this.PostSampleDays.Location = new System.Drawing.Point(256, 152);
  			this.PostSampleDays.Name = "PostSampleDays";
  			this.PostSampleDays.TabIndex = 3;
--- 145,149 ----
  			// PostSampleDays
  			// 
! 			this.PostSampleDays.Location = new System.Drawing.Point(256, 312);
  			this.PostSampleDays.Name = "PostSampleDays";
  			this.PostSampleDays.TabIndex = 3;
***************
*** 150,154 ****
  			// testPreSample
  			// 
! 			this.testPreSample.Location = new System.Drawing.Point(32, 216);
  			this.testPreSample.Name = "testPreSample";
  			this.testPreSample.Size = new System.Drawing.Size(160, 32);
--- 152,156 ----
  			// testPreSample
  			// 
! 			this.testPreSample.Location = new System.Drawing.Point(32, 376);
  			this.testPreSample.Name = "testPreSample";
  			this.testPreSample.Size = new System.Drawing.Size(160, 32);
***************
*** 159,163 ****
  			// PreSampleDays
  			// 
! 			this.PreSampleDays.Location = new System.Drawing.Point(256, 224);
  			this.PreSampleDays.Name = "PreSampleDays";
  			this.PreSampleDays.TabIndex = 5;
--- 161,165 ----
  			// PreSampleDays
  			// 
! 			this.PreSampleDays.Location = new System.Drawing.Point(256, 384);
  			this.PreSampleDays.Name = "PreSampleDays";
  			this.PreSampleDays.TabIndex = 5;
***************
*** 166,171 ****
  			// labelDrivingPositions
  			// 
! 			this.labelDrivingPositions.Location = new System.Drawing.Point(272, 16);
  			this.labelDrivingPositions.Name = "labelDrivingPositions";
  			this.labelDrivingPositions.TabIndex = 6;
  			this.labelDrivingPositions.Text = "Driving Pos.";
--- 168,174 ----
  			// labelDrivingPositions
  			// 
! 			this.labelDrivingPositions.Location = new System.Drawing.Point(208, 16);
  			this.labelDrivingPositions.Name = "labelDrivingPositions";
+ 			this.labelDrivingPositions.Size = new System.Drawing.Size(72, 23);
  			this.labelDrivingPositions.TabIndex = 6;
  			this.labelDrivingPositions.Text = "Driving Pos.";
***************
*** 174,204 ****
  			// labelPortfolioPositions
  			// 
! 			this.labelPortfolioPositions.Location = new System.Drawing.Point(272, 64);
  			this.labelPortfolioPositions.Name = "labelPortfolioPositions";
  			this.labelPortfolioPositions.TabIndex = 7;
  			this.labelPortfolioPositions.Text = "Portfolio Pos.";
  			this.labelPortfolioPositions.TextAlign = System.Drawing.ContentAlignment.MiddleRight;
  			// 
! 			// labelDrivingPositionsContent
  			// 
! 			this.labelDrivingPositionsContent.Location = new System.Drawing.Point(384, 16);
! 			this.labelDrivingPositionsContent.Name = "labelDrivingPositionsContent";
! 			this.labelDrivingPositionsContent.TabIndex = 8;
! 			this.labelDrivingPositionsContent.TextAlign = System.Drawing.ContentAlignment.MiddleLeft;
  			// 
! 			// labelPortfolioPositionsContent
  			// 
! 			this.labelPortfolioPositionsContent.Location = new System.Drawing.Point(384, 64);
! 			this.labelPortfolioPositionsContent.Name = "labelPortfolioPositionsContent";
! 			this.labelPortfolioPositionsContent.TabIndex = 9;
! 			this.labelPortfolioPositionsContent.TextAlign = System.Drawing.ContentAlignment.MiddleLeft;
  			// 
  			// WFLagDebugGenome
  			// 
  			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
! 			this.ClientSize = new System.Drawing.Size(616, 365);
  			this.Controls.AddRange(new System.Windows.Forms.Control[] {
! 																																	this.labelPortfolioPositionsContent,
! 																																	this.labelDrivingPositionsContent,
  																																	this.labelPortfolioPositions,
  																																	this.labelDrivingPositions,
--- 177,212 ----
  			// labelPortfolioPositions
  			// 
! 			this.labelPortfolioPositions.Location = new System.Drawing.Point(208, 160);
  			this.labelPortfolioPositions.Name = "labelPortfolioPositions";
+ 			this.labelPortfolioPositions.Size = new System.Drawing.Size(72, 23);
  			this.labelPortfolioPositions.TabIndex = 7;
  			this.labelPortfolioPositions.Text = "Portfolio Pos.";
  			this.labelPortfolioPositions.TextAlign = System.Drawing.ContentAlignment.MiddleRight;
  			// 
! 			// dataGridDrivingPositions
  			// 
! 			this.dataGridDrivingPositions.DataMember = "";
! 			this.dataGridDrivingPositions.HeaderForeColor = System.Drawing.SystemColors.ControlText;
! 			this.dataGridDrivingPositions.Location = new System.Drawing.Point(296, 16);
! 			this.dataGridDrivingPositions.Name = "dataGridDrivingPositions";
! 			this.dataGridDrivingPositions.Size = new System.Drawing.Size(312, 128);
! 			this.dataGridDrivingPositions.TabIndex = 10;
  			// 
! 			// dataGridPortfolioPositions
  			// 
! 			this.dataGridPortfolioPositions.DataMember = "";
! 			this.dataGridPortfolioPositions.HeaderForeColor = System.Drawing.SystemColors.ControlText;
! 			this.dataGridPortfolioPositions.Location = new System.Drawing.Point(296, 160);
! 			this.dataGridPortfolioPositions.Name = "dataGridPortfolioPositions";
! 			this.dataGridPortfolioPositions.Size = new System.Drawing.Size(312, 128);
! 			this.dataGridPortfolioPositions.TabIndex = 11;
  			// 
  			// WFLagDebugGenome
  			// 
  			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
! 			this.ClientSize = new System.Drawing.Size(616, 437);
  			this.Controls.AddRange(new System.Windows.Forms.Control[] {
! 																																	this.dataGridPortfolioPositions,
! 																																	this.dataGridDrivingPositions,
  																																	this.labelPortfolioPositions,
  																																	this.labelDrivingPositions,
***************
*** 212,215 ****
--- 220,225 ----
  			this.Text = "WFLagDebugGenome";
  			this.Load += new System.EventHandler(this.WFLagDebugGenome_Load);
+ 			((System.ComponentModel.ISupportInitialize)(this.dataGridDrivingPositions)).EndInit();
+ 			((System.ComponentModel.ISupportInitialize)(this.dataGridPortfolioPositions)).EndInit();
  			this.ResumeLayout(false);
  
***************
*** 316,325 ****
  		}
  
  		private void WFLagDebugGenome_Load(object sender, System.EventArgs e)
  		{
! 			this.labelDrivingPositionsContent.Text =
! 				this.wFLagChosenPositions.DrivingPositions.KeyConcat;
! 			this.labelPortfolioPositionsContent.Text =
! 				this.wFLagChosenPositions.PortfolioPositions.KeyConcat;
  		}
  	}
--- 326,349 ----
  		}
  
+ 		private void setDataGridDrivingPositions()
+ 		{
+ 			ArrayList drivingWeightedPositions =
+ 				new ArrayList( this.wFLagChosenPositions.DrivingWeightedPositions.Values );
+ 			this.dataGridDrivingPositions.DataSource = drivingWeightedPositions;
+ 		}
+ 		private void setDataGridPortfolioPositions()
+ 		{
+ 			ArrayList portfolioWeightedPositions =
+ 				new ArrayList( this.wFLagChosenPositions.PortfolioWeightedPositions.Values );
+ 			this.dataGridPortfolioPositions.DataSource = portfolioWeightedPositions;
+ 		}
  		private void WFLagDebugGenome_Load(object sender, System.EventArgs e)
  		{
! //			this.labelDrivingPositionsContent.Text =
! //				this.wFLagChosenPositions.DrivingPositions.KeyConcat;
! //			this.labelPortfolioPositionsContent.Text =
! //				this.wFLagChosenPositions.PortfolioPositions.KeyConcat;
! 			this.setDataGridDrivingPositions();
! 			this.setDataGridPortfolioPositions();
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions WFLagDebugPositions.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv9281/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions

Modified Files:
	WFLagDebugPositions.cs 
Log Message:
WeightedPositions are used instead of SignedTickers

Index: WFLagDebugPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions/WFLagDebugPositions.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFLagDebugPositions.cs	31 May 2006 14:19:43 -0000	1.3
--- WFLagDebugPositions.cs	30 Jul 2006 13:41:48 -0000	1.4
***************
*** 195,207 ****
  		}
  		#endregion
! 		private void addEquityLineForSignedTickers(
! 			ICollection signedTickers , Color color , Report report )
  		{
! 			EquityLine equityLineSignedTickers =
! 				this.getEquityLineForSignedTickers(
! 				signedTickers , report );
! 			report.AddEquityLine( equityLineSignedTickers ,
  				color );
  		}
  		public void oneHourAfterMarketCloseEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
--- 195,217 ----
  		}
  		#endregion
! //		private void addEquityLineForSignedTickers(
! //			ICollection signedTickers , Color color , Report report )
! //		{
! //			EquityLine equityLineSignedTickers =
! //				this.getEquityLineForSignedTickers(
! //				signedTickers , report );
! //			report.AddEquityLine( equityLineSignedTickers ,
! //				color );
! //		}
! 		private void addEquityLineForWeightedPositions(
! 			WeightedPositions weightedPositions , Color color , Report report )
  		{
! 			EquityLine equityLineForWeightedPositions =
! 				weightedPositions.GetVirtualEquityLine(
! 				30000 , report.AccountReport.EquityLine );
! 			report.AddEquityLine( equityLineForWeightedPositions ,
  				color );
  		}
+ 		
  		public void oneHourAfterMarketCloseEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 219,228 ****
  //				EquityLine equityLineForDrivingPositions =
  //					this.getEquityLineForPositions( report );
! 				this.addEquityLineForSignedTickers(
! 					this.wFLagChosenPositions.DrivingPositions.Keys ,
  					Color.YellowGreen ,	report );
! 				this.addEquityLineForSignedTickers(
! 					this.wFLagChosenPositions.PortfolioPositions.Keys ,
  					Color.Brown ,	report );
  				report.Show();
  			}
--- 229,244 ----
  //				EquityLine equityLineForDrivingPositions =
  //					this.getEquityLineForPositions( report );
! //				this.addEquityLineForSignedTickers(
! //					this.wFLagChosenPositions.DrivingWeightedPositions.Keys ,
! //					Color.YellowGreen ,	report );
! 				this.addEquityLineForWeightedPositions(
! 					this.wFLagChosenPositions.DrivingWeightedPositions ,
  					Color.YellowGreen ,	report );
! 				this.addEquityLineForWeightedPositions(
! 					this.wFLagChosenPositions.PortfolioWeightedPositions ,
  					Color.Brown ,	report );
+ 				//				this.addEquityLineForSignedTickers(
+ 				//					this.wFLagChosenPositions.PortfolioWeightedPositions.Keys ,
+ 				//					Color.Brown ,	report );
  				report.Show();
  			}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions WFLagDebugPositionsEndOfDayTimerHandler.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8814/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions

Modified Files:
	WFLagDebugPositionsEndOfDayTimerHandler.cs 
Log Message:
WeightedPositions are used instead of SignedTickers

Index: WFLagDebugPositionsEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions/WFLagDebugPositionsEndOfDayTimerHandler.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagDebugPositionsEndOfDayTimerHandler.cs	8 Apr 2006 18:16:08 -0000	1.1
--- WFLagDebugPositionsEndOfDayTimerHandler.cs	30 Jul 2006 13:40:35 -0000	1.2
***************
*** 52,59 ****
  			double todayTotalGain = 0;
  			DateTime today = this.account.EndOfDayTimer.GetCurrentTime().DateTime;
! 			foreach ( string signedTicker in
! 				this.wFLagChosenPositions.DrivingPositions.Keys )
  				todayTotalGain +=
! 					SignedTicker.GetCloseToCloseDailyReturn( signedTicker ,	today );
  //			todayTotalGain += totalGainForSignedTicker( signedTicker );
  			return todayTotalGain;
--- 52,59 ----
  			double todayTotalGain = 0;
  			DateTime today = this.account.EndOfDayTimer.GetCurrentTime().DateTime;
! 			foreach ( WeightedPosition weightedPosition in
! 				this.wFLagChosenPositions.DrivingWeightedPositions.Values )
  				todayTotalGain +=
! 					weightedPosition.GetCloseToCloseDailyReturn( today );
  //			todayTotalGain += totalGainForSignedTicker( signedTicker );
  			return todayTotalGain;
***************
*** 64,68 ****
  			return todayTotalGain > 0;
  		}
! 		private string getFirstAccountPosition()
  		{
  			IEnumerator accountPositions =
--- 64,68 ----
  			return todayTotalGain > 0;
  		}
! 		private Position getFirstAccountPosition()
  		{
  			IEnumerator accountPositions =
***************
*** 70,82 ****
  			accountPositions.MoveNext();
  			Position firstPosition = (Position)accountPositions.Current;
! 			string firstAccountPosition = SignedTicker.GetSignedTicker( firstPosition );
! 			return firstAccountPosition;
  		}
  		private bool isCurrentlyReversed()
  		{
! 			string firstAccountPosition = this.getFirstAccountPosition();
  			bool isReversed =
! 				this.wFLagChosenPositions.PortfolioPositions.ContainsKey(
! 				SignedTicker.GetOppositeSignedTicker( firstAccountPosition ) );
  			return isReversed;
  		}
--- 70,87 ----
  			accountPositions.MoveNext();
  			Position firstPosition = (Position)accountPositions.Current;
! 			return firstPosition;
  		}
  		private bool isCurrentlyReversed()
  		{
! 			Position firstAccountPosition = this.getFirstAccountPosition();
! 			WeightedPosition weightedPosition =
! 				this.wFLagChosenPositions.PortfolioWeightedPositions.GetWeightedPosition(
! 				firstAccountPosition.Instrument.Key );
  			bool isReversed =
! 				( ( weightedPosition.IsLong && firstAccountPosition.IsShort ) ||
! 				( weightedPosition.IsShort && firstAccountPosition.IsLong ) );
! //			bool isReversed =
! //				this.wFLagChosenPositions.PortfolioWeightedPositions.ContainsKey(
! //				SignedTicker.GetOppositeSignedTicker( firstAccountPosition ) );
  			return isReversed;
  		}
***************
*** 103,153 ****
  			return returnValue;
  		}
! 		private long getQuantity(	string ticker )
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( ticker );
  			double maxPositionValueForThisTicker =
! 				accountValue / this.wFLagChosenPositions.PortfolioPositions.Count;
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void openPosition( string ticker , OrderType orderType )
  		{
! 			long quantity = this.getQuantity( ticker );
! 			Order order = new Order( orderType , new Instrument( ticker ) ,
! 				quantity );
  			this.account.AddOrder( order );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 			string signedTicker )
  		{
! 			this.openPosition( SignedTicker.GetTicker( signedTicker ) ,
! 				SignedTicker.GetMarketOrderType( signedTicker ) );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openOppositePosition(
! 			string signedTicker )
  		{
  			this.fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 				SignedTicker.GetOppositeSignedTicker( signedTicker ) );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 			string signedTicker )
  		{
  			if ( this.isDrivingPositionsTodayValueHigherThanYesterday() )
  				fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 					signedTicker );
  			else
  				fiveMinutesBeforeMarketCloseEventHandler_openOppositePosition(
! 					signedTicker );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
  			//			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
! 			foreach ( string signedTicker in
! 				this.wFLagChosenPositions.PortfolioPositions.Keys )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 					signedTicker );
  		}
  		public void FiveMinutesBeforeMarketCloseEventHandler(
--- 108,158 ----
  			return returnValue;
  		}
! 		private long getQuantity(	WeightedPosition weightedPosition )
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( weightedPosition.Ticker );
  			double maxPositionValueForThisTicker =
! 				accountValue * Math.Abs( weightedPosition.Weight );
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void openPosition( WeightedPosition weightedPosition )
  		{
! 			long quantity = this.getQuantity( weightedPosition );
! 			OrderType orderType = weightedPosition.GetOrderType();
! 			Order order = new Order(
! 				orderType , new Instrument( weightedPosition.Ticker ) ,	quantity );
  			this.account.AddOrder( order );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 			WeightedPosition weightedPosition )
  		{
! 			this.openPosition( weightedPosition );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openOppositePosition(
! 			WeightedPosition weightedPosition )
  		{
  			this.fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 				weightedPosition.GetOppositeWeightedPosition() );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 			WeightedPosition weightedPosition )
  		{
  			if ( this.isDrivingPositionsTodayValueHigherThanYesterday() )
  				fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 					weightedPosition );
  			else
  				fiveMinutesBeforeMarketCloseEventHandler_openOppositePosition(
! 					weightedPosition );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
  			//			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
! 			foreach ( WeightedPosition weightedPosition in
! 				this.wFLagChosenPositions.PortfolioWeightedPositions.Values )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 					weightedPosition );
  		}
  		public void FiveMinutesBeforeMarketCloseEventHandler(