quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientOTCPortfolio.cs,1.1,1.2 RunEfficientCTOPortfolio.cs,1.26,1.27

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32410/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunEfficientOTCPortfolio.cs RunEfficientCTOPortfolio.cs 
Log Message:
Minor changes for some RunScript files

Index: RunEfficientOTCPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTCPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunEfficientOTCPortfolio.cs	7 Jan 2006 10:35:39 -0000	1.1
--- RunEfficientOTCPortfolio.cs	14 May 2006 18:21:47 -0000	1.2
***************
*** 70,74 ****
        //this.ScriptName = "OpenCloseScriptsSharpeRatioWithCoeff";
        //this.ScriptName = "OpenCloseScriptsSharpeRatio";
!       this.ScriptName = "OpenCloseScriptsWithCoeff";
        //this.ScriptName = "OpenCloseScripts";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
--- 70,74 ----
        //this.ScriptName = "OpenCloseScriptsSharpeRatioWithCoeff";
        //this.ScriptName = "OpenCloseScriptsSharpeRatio";
!       this.ScriptName = "OpenCloseScriptsSharpeRatioNoCoeff";
        //this.ScriptName = "OpenCloseScripts";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
***************
*** 85,92 ****
                                                                      this.historicalQuoteProvider ) ,
                                   new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
!                                                                      this.historicalQuoteProvider,
!                                                                      new FixedPercentageSlippageManager(this.historicalQuoteProvider,
!                                                                                                         this.endOfDayTimer,0.08)),
!                                  new IBCommissionManager());
       
      }
--- 85,93 ----
                                                                      this.historicalQuoteProvider ) ,
                                   new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer ,
!                                                                      this.historicalQuoteProvider)//,
!                                                                     // new FixedPercentageSlippageManager(this.historicalQuoteProvider,
!                                                                     // this.endOfDayTimer,0.08)), 
!                                  );                                    
!                                  //new IBCommissionManager());
       
      }

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.26
retrieving revision 1.27
diff -C2 -d -r1.26 -r1.27
*** RunEfficientCTOPortfolio.cs	7 Jan 2006 10:35:39 -0000	1.26
--- RunEfficientCTOPortfolio.cs	14 May 2006 18:21:47 -0000	1.27
***************
*** 68,72 ****
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "CloseToOpenScriptsNoCoeff";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      }
--- 68,72 ----
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "CloseToOpenScriptsNoCoeffSharpeRatioCombined";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection RunSimpleSelectionOpenToClose.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32410/b7_Scripts/TickerSelectionTesting/SimpleSelection

Modified Files:
	RunSimpleSelectionOpenToClose.cs 
Log Message:
Minor changes for some RunScript files

Index: RunSimpleSelectionOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/RunSimpleSelectionOpenToClose.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunSimpleSelectionOpenToClose.cs	21 Oct 2005 17:54:11 -0000	1.1
--- RunSimpleSelectionOpenToClose.cs	14 May 2006 18:21:47 -0000	1.2
***************
*** 64,68 ****
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "SimpleSelectionOpenToClose";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      }
--- 64,68 ----
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "SimpleSelectionOpenToCloseSharpeRatio";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination TestDisplayer.cs,1.6,1.7 StrategyType.cs,1.1,1.2 LinearCombinationTest.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31410/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	TestDisplayer.cs StrategyType.cs LinearCombinationTest.cs 
Log Message:
With the TestDisplayer is now possible to test genomes optimized for the FixedPeriodOscillator and the ExtremeCounterTrend strategies

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** LinearCombinationTest.cs	14 Mar 2006 14:53:54 -0000	1.5
--- LinearCombinationTest.cs	14 May 2006 18:18:23 -0000	1.6
***************
*** 46,49 ****
--- 46,50 ----
  //		private bool openToCloseDaily;
      private StrategyType strategyType;
+     private int numDaysForOscillatorStrategy;
  
  		private IHistoricalQuoteProvider historicalQuoteProvider;
***************
*** 61,66 ****
        this.strategyType = strategyType;
  		}
! 
! 		private void oneHourAfterMarketCloseEventHandler( Object sender ,
  			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
--- 62,79 ----
        this.strategyType = strategyType;
  		}
!     
!     public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
!       GenomeRepresentation genomeRepresentation , StrategyType strategyType,
!       int numDaysForOscillatorStrategy)
!     {
!       this.firstDate = firstDate;
!       this.lastDate = lastDate;
!       this.genomeRepresentation = genomeRepresentation;
!       //			this.openToCloseDaily = openToCloseDaily;
!       this.strategyType = strategyType;
!       this.numDaysForOscillatorStrategy = numDaysForOscillatorStrategy;
!     }
! 		
!     private void oneHourAfterMarketCloseEventHandler( Object sender ,
  			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
***************
*** 95,98 ****
--- 108,121 ----
                                        this.account , signedTickers );
            break;
+         
+         case StrategyType.FixedPeriodOscillator:
+           this.endOfDayStrategy = new FixedPeriodOscillatorStrategy(
+             this.account , signedTickers , this.numDaysForOscillatorStrategy , this.numDaysForOscillatorStrategy );
+           break;
+         
+         case StrategyType.ExtremeCounterTrend:
+           this.endOfDayStrategy = new ExtremeCounterTrendStrategy(
+             this.account , signedTickers , this.numDaysForOscillatorStrategy );
+           break;
        }
  		}
***************
*** 121,125 ****
  				new IndexBasedEndOfDayTimer(
  				new EndOfDayDateTime( this.firstDate ,
! 				EndOfDaySpecificTime.MarketOpen ) , "MSFT" );
  			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
--- 144,148 ----
  				new IndexBasedEndOfDayTimer(
  				new EndOfDayDateTime( this.firstDate ,
! 				EndOfDaySpecificTime.MarketOpen ) , "^GSPC" );
  			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
***************
*** 148,152 ****
  			report.Create( "Linear Combination" , 1 ,
  				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
! 				"MSFT" );
  			//			ObjectArchiver.Archive( report.AccountReport ,
  			//				@"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" );
--- 171,176 ----
  			report.Create( "Linear Combination" , 1 ,
  				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
! 			"^GSPC");
! 
  			//			ObjectArchiver.Archive( report.AccountReport ,
  			//				@"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" );

Index: StrategyType.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/StrategyType.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** StrategyType.cs	8 Jan 2006 23:33:52 -0000	1.1
--- StrategyType.cs	14 May 2006 18:18:23 -0000	1.2
***************
*** 32,36 ****
      OpenToCloseDaily,
      OpenToCloseWeekly,
!     CloseToOpenDaily
    }
  }
--- 32,38 ----
      OpenToCloseDaily,
      OpenToCloseWeekly,
!     CloseToOpenDaily,
!     FixedPeriodOscillator,
!     ExtremeCounterTrend
    }
  }

Index: TestDisplayer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/TestDisplayer.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** TestDisplayer.cs	8 Jan 2006 23:33:52 -0000	1.6
--- TestDisplayer.cs	14 May 2006 18:18:23 -0000	1.7
***************
*** 35,38 ****
--- 35,48 ----
  	public class TestDisplayer : System.Windows.Forms.Form
  	{
+ 		private System.Windows.Forms.Label labelDays;
+ 		private System.Windows.Forms.TextBox textBoxDaysFPOscillatorAndRevOneRank;
+ 		private System.Windows.Forms.Label label1;
+ 		private System.Windows.Forms.RadioButton radioButtonOpenToCloseDaily;
+ 		private System.Windows.Forms.RadioButton radioButtonReversalOneRank;
+ 		private System.Windows.Forms.DateTimePicker dtpLastDate;
+ 		private System.Windows.Forms.DateTimePicker dtpFirstDate;
+ 		private System.Windows.Forms.RadioButton radioButtonFixedPeriodOscillator;
+ 		private System.Windows.Forms.RadioButton radioButtonOpenToCloseWeekly;
+ 		private System.Windows.Forms.RadioButton radioButtonCloseToOpenDaily;
  		private System.Windows.Forms.DataGrid dgBestGenomes;
  		/// <summary>
***************
*** 40,52 ****
  		/// </summary>
  		private System.ComponentModel.Container components = null;
- 		private System.Windows.Forms.DateTimePicker dtpFirstDate;
- 		private System.Windows.Forms.DateTimePicker dtpLastDate;
  
  		// Glauco code
  		private ArrayList bestGenomes;
- 		private System.Windows.Forms.Label label1;
- 		private System.Windows.Forms.RadioButton radioButtonOpenToCloseDaily;
- 		private System.Windows.Forms.RadioButton radioButtonOpenToCloseWeekly;
-     private System.Windows.Forms.RadioButton radioButtonCloseToOpenDaily;
  		private GenomeRepresentation lastSelectedGenomeRepresentation;
      private StrategyType selectedStrategyType = StrategyType.OpenToCloseDaily;
--- 50,56 ----
***************
*** 98,193 ****
  		/// the contents of this method with the code editor.
  		/// </summary>
! 		private void InitializeComponent()
! 		{
!       this.dgBestGenomes = new System.Windows.Forms.DataGrid();
!       this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
!       this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
!       this.label1 = new System.Windows.Forms.Label();
!       this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton();
!       this.radioButtonOpenToCloseWeekly = new System.Windows.Forms.RadioButton();
!       this.radioButtonCloseToOpenDaily = new System.Windows.Forms.RadioButton();
!       ((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
!       this.SuspendLayout();
!       // 
!       // dgBestGenomes
!       // 
!       this.dgBestGenomes.DataMember = "";
!       this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
!       this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
!       this.dgBestGenomes.Location = new System.Drawing.Point(0, 157);
!       this.dgBestGenomes.Name = "dgBestGenomes";
!       this.dgBestGenomes.Size = new System.Drawing.Size(584, 216);
!       this.dgBestGenomes.TabIndex = 0;
!       this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
!       // 
!       // dtpFirstDate
!       // 
!       this.dtpFirstDate.Location = new System.Drawing.Point(16, 24);
!       this.dtpFirstDate.Name = "dtpFirstDate";
!       this.dtpFirstDate.TabIndex = 1;
!       // 
!       // dtpLastDate
!       // 
!       this.dtpLastDate.Location = new System.Drawing.Point(264, 24);
!       this.dtpLastDate.Name = "dtpLastDate";
!       this.dtpLastDate.Size = new System.Drawing.Size(208, 20);
!       this.dtpLastDate.TabIndex = 2;
!       // 
!       // label1
!       // 
!       this.label1.Location = new System.Drawing.Point(32, 64);
!       this.label1.Name = "label1";
!       this.label1.Size = new System.Drawing.Size(400, 40);
!       this.label1.TabIndex = 3;
!       this.label1.Text = "Left click data grid rows to reset dates to the optimization period. Right click " +
!         "to preserve date displacements and backtest.";
!       // 
!       // radioButtonOpenToCloseDaily
!       // 
!       this.radioButtonOpenToCloseDaily.Checked = true;
!       this.radioButtonOpenToCloseDaily.Location = new System.Drawing.Point(64, 96);
!       this.radioButtonOpenToCloseDaily.Name = "radioButtonOpenToCloseDaily";
!       this.radioButtonOpenToCloseDaily.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonOpenToCloseDaily.TabIndex = 4;
!       this.radioButtonOpenToCloseDaily.TabStop = true;
!       this.radioButtonOpenToCloseDaily.Text = "Open To Close Daily";
!       this.radioButtonOpenToCloseDaily.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseDaily_CheckedChanged);
!       // 
!       // radioButtonOpenToCloseWeekly
!       // 
!       this.radioButtonOpenToCloseWeekly.Location = new System.Drawing.Point(224, 96);
!       this.radioButtonOpenToCloseWeekly.Name = "radioButtonOpenToCloseWeekly";
!       this.radioButtonOpenToCloseWeekly.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonOpenToCloseWeekly.TabIndex = 5;
!       this.radioButtonOpenToCloseWeekly.Text = "Open To Close Weekly";
!       this.radioButtonOpenToCloseWeekly.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseWeekly_CheckedChanged);
!       // 
!       // radioButtonCloseToOpenDaily
!       // 
!       this.radioButtonCloseToOpenDaily.Location = new System.Drawing.Point(64, 128);
!       this.radioButtonCloseToOpenDaily.Name = "radioButtonCloseToOpenDaily";
!       this.radioButtonCloseToOpenDaily.Size = new System.Drawing.Size(144, 24);
!       this.radioButtonCloseToOpenDaily.TabIndex = 6;
!       this.radioButtonCloseToOpenDaily.Text = "Close To Open Daily";
!       this.radioButtonCloseToOpenDaily.CheckedChanged += new System.EventHandler(this.radioButtonCloseToOpenDaily_CheckedChanged);
!       // 
!       // TestDisplayer
!       // 
!       this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
!       this.ClientSize = new System.Drawing.Size(584, 373);
!       this.Controls.AddRange(new System.Windows.Forms.Control[] {
!                                                                   this.radioButtonCloseToOpenDaily,
!                                                                   this.radioButtonOpenToCloseWeekly,
!                                                                   this.radioButtonOpenToCloseDaily,
!                                                                   this.label1,
!                                                                   this.dtpLastDate,
!                                                                   this.dtpFirstDate,
!                                                                   this.dgBestGenomes});
!       this.Name = "TestDisplayer";
!       this.Text = "TestDisplayer";
!       ((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit();
!       this.ResumeLayout(false);
! 
!     }
  		#endregion
  
--- 102,234 ----
  		/// the contents of this method with the code editor.
  		/// </summary>
! 		private void InitializeComponent() {
! 			this.dgBestGenomes = new System.Windows.Forms.DataGrid();
! 			this.radioButtonCloseToOpenDaily = new System.Windows.Forms.RadioButton();
! 			this.radioButtonOpenToCloseWeekly = new System.Windows.Forms.RadioButton();
! 			this.radioButtonFixedPeriodOscillator = new System.Windows.Forms.RadioButton();
! 			this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
! 			this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
! 			this.radioButtonReversalOneRank = new System.Windows.Forms.RadioButton();
! 			this.radioButtonOpenToCloseDaily = new System.Windows.Forms.RadioButton();
! 			this.label1 = new System.Windows.Forms.Label();
! 			this.textBoxDaysFPOscillatorAndRevOneRank = new System.Windows.Forms.TextBox();
! 			this.labelDays = new System.Windows.Forms.Label();
! 			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
! 			this.SuspendLayout();
! 			// 
! 			// dgBestGenomes
! 			// 
! 			this.dgBestGenomes.DataMember = "";
! 			this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
! 			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
! 			this.dgBestGenomes.Location = new System.Drawing.Point(0, 205);
! 			this.dgBestGenomes.Name = "dgBestGenomes";
! 			this.dgBestGenomes.Size = new System.Drawing.Size(584, 168);
! 			this.dgBestGenomes.TabIndex = 0;
! 			this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
! 			// 
! 			// radioButtonCloseToOpenDaily
! 			// 
! 			this.radioButtonCloseToOpenDaily.Location = new System.Drawing.Point(64, 120);
! 			this.radioButtonCloseToOpenDaily.Name = "radioButtonCloseToOpenDaily";
! 			this.radioButtonCloseToOpenDaily.Size = new System.Drawing.Size(144, 24);
! 			this.radioButtonCloseToOpenDaily.TabIndex = 6;
! 			this.radioButtonCloseToOpenDaily.Text = "Close To Open Daily";
! 			this.radioButtonCloseToOpenDaily.CheckedChanged += new System.EventHandler(this.radioButtonCloseToOpenDaily_CheckedChanged);
! 			// 
! 			// radioButtonOpenToCloseWeekly
! 			// 
! 			this.radioButtonOpenToCloseWeekly.Location = new System.Drawing.Point(64, 144);
! 			this.radioButtonOpenToCloseWeekly.Name = "radioButtonOpenToCloseWeekly";
! 			this.radioButtonOpenToCloseWeekly.Size = new System.Drawing.Size(144, 24);
! 			this.radioButtonOpenToCloseWeekly.TabIndex = 5;
! 			this.radioButtonOpenToCloseWeekly.Text = "Open To Close Weekly";
! 			this.radioButtonOpenToCloseWeekly.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseWeekly_CheckedChanged);
! 			// 
! 			// radioButtonFixedPeriodOscillator
! 			// 
! 			this.radioButtonFixedPeriodOscillator.Location = new System.Drawing.Point(232, 96);
! 			this.radioButtonFixedPeriodOscillator.Name = "radioButtonFixedPeriodOscillator";
! 			this.radioButtonFixedPeriodOscillator.Size = new System.Drawing.Size(192, 24);
! 			this.radioButtonFixedPeriodOscillator.TabIndex = 7;
! 			this.radioButtonFixedPeriodOscillator.Text = "Fixed Period n-days oscillator";
! 			this.radioButtonFixedPeriodOscillator.CheckedChanged += new System.EventHandler(this.radioButtonFixedPeriodOscillator_CheckedChanged);
! 			// 
! 			// dtpFirstDate
! 			// 
! 			this.dtpFirstDate.Location = new System.Drawing.Point(16, 24);
! 			this.dtpFirstDate.Name = "dtpFirstDate";
! 			this.dtpFirstDate.TabIndex = 1;
! 			// 
! 			// dtpLastDate
! 			// 
! 			this.dtpLastDate.Location = new System.Drawing.Point(264, 24);
! 			this.dtpLastDate.Name = "dtpLastDate";
! 			this.dtpLastDate.Size = new System.Drawing.Size(208, 21);
! 			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
! 			// 
! 			this.radioButtonOpenToCloseDaily.Location = new System.Drawing.Point(64, 96);
! 			this.radioButtonOpenToCloseDaily.Name = "radioButtonOpenToCloseDaily";
! 			this.radioButtonOpenToCloseDaily.Size = new System.Drawing.Size(144, 24);
! 			this.radioButtonOpenToCloseDaily.TabIndex = 4;
! 			this.radioButtonOpenToCloseDaily.Text = "Open To Close Daily";
! 			this.radioButtonOpenToCloseDaily.CheckedChanged += new System.EventHandler(this.radioButtonOpenToCloseDaily_CheckedChanged);
! 			// 
! 			// label1
! 			// 
! 			this.label1.Location = new System.Drawing.Point(32, 64);
! 			this.label1.Name = "label1";
! 			this.label1.Size = new System.Drawing.Size(400, 40);
! 			this.label1.TabIndex = 3;
! 			this.label1.Text = "Left click data grid rows to reset dates to the optimization period. Right click " +
! "to preserve date displacements and backtest.";
! 			// 
! 			// textBoxDaysFPOscillatorAndRevOneRank
! 			// 
! 			this.textBoxDaysFPOscillatorAndRevOneRank.Location = new System.Drawing.Point(320, 152);
! 			this.textBoxDaysFPOscillatorAndRevOneRank.Name = "textBoxDaysFPOscillatorAndRevOneRank";
! 			this.textBoxDaysFPOscillatorAndRevOneRank.Size = new System.Drawing.Size(56, 21);
! 			this.textBoxDaysFPOscillatorAndRevOneRank.TabIndex = 8;
! 			this.textBoxDaysFPOscillatorAndRevOneRank.Text = "";
! 			// 
! 			// labelDays
! 			// 
! 			this.labelDays.Location = new System.Drawing.Point(272, 152);
! 			this.labelDays.Name = "labelDays";
! 			this.labelDays.Size = new System.Drawing.Size(40, 16);
! 			this.labelDays.TabIndex = 9;
! 			this.labelDays.Text = "days";
! 			// 
! 			// TestDisplayer
! 			// 
! 			this.AutoScaleBaseSize = new System.Drawing.Size(5, 14);
! 			this.ClientSize = new System.Drawing.Size(584, 373);
! 			this.Controls.Add(this.radioButtonReversalOneRank);
! 			this.Controls.Add(this.labelDays);
! 			this.Controls.Add(this.textBoxDaysFPOscillatorAndRevOneRank);
! 			this.Controls.Add(this.radioButtonFixedPeriodOscillator);
! 			this.Controls.Add(this.radioButtonCloseToOpenDaily);
! 			this.Controls.Add(this.radioButtonOpenToCloseWeekly);
! 			this.Controls.Add(this.radioButtonOpenToCloseDaily);
! 			this.Controls.Add(this.label1);
! 			this.Controls.Add(this.dtpLastDate);
! 			this.Controls.Add(this.dtpFirstDate);
! 			this.Controls.Add(this.dgBestGenomes);
! 			this.Name = "TestDisplayer";
! 			this.Text = "TestDisplayer";
! 			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit();
! 			this.ResumeLayout(false);
! 		}
  		#endregion
  
***************
*** 239,243 ****
  				new LinearCombinationTest( this.dtpFirstDate.Value ,
  				this.dtpLastDate.Value , genomeRepresentation ,
! 				this.selectedStrategyType);
  			linearCombinationTest.Run();
  			this.lastSelectedGenomeRepresentation = genomeRepresentation;
--- 280,284 ----
  				new LinearCombinationTest( this.dtpFirstDate.Value ,
  				this.dtpLastDate.Value , genomeRepresentation ,
! 				this.selectedStrategyType, Convert.ToInt32(this.textBoxDaysFPOscillatorAndRevOneRank.Text));
  			linearCombinationTest.Run();
  			this.lastSelectedGenomeRepresentation = genomeRepresentation;
***************
*** 278,282 ****
--- 319,328 ----
        else if(this.radioButtonCloseToOpenDaily.Checked)
          this.selectedStrategyType = StrategyType.CloseToOpenDaily;
+       else if(this.radioButtonFixedPeriodOscillator.Checked)
+         this.selectedStrategyType = StrategyType.FixedPeriodOscillator;
+       else if(this.radioButtonReversalOneRank.Checked)
+         this.selectedStrategyType = StrategyType.ExtremeCounterTrend;
      }
+     
      private void radioButtonOpenToCloseDaily_CheckedChanged(object sender, System.EventArgs e)
      {
***************
*** 293,296 ****
--- 339,352 ----
        this.update_selectedStrategyType();
      }
+ 
+     private void radioButtonFixedPeriodOscillator_CheckedChanged(object sender, System.EventArgs e)
+     {
+       this.update_selectedStrategyType();
+     }
+ 
+     private void radioButtonReversalOneRank_CheckedChanged(object sender, System.EventArgs e)
+     {
+       this.update_selectedStrategyType();
+     }
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination FixedPeriodOscillatorStrategy.cs,NONE,1.1 ExtremeCounterTrendStrategy.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-serv29793/b7_Scripts/WalkForwardTesting/LinearCombination

Added Files:
	FixedPeriodOscillatorStrategy.cs 
	ExtremeCounterTrendStrategy.cs 
Log Message:
Added strategies FixedPeriodOscillator and ExtremeCounterTrend, to be used by the TestDisplayer (for testing best genomes found during genetic optimization process)

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

FixedPeriodOscillatorStrategy.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.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>
	/// Close To Close Oscillator strategy
	/// </summary>
	[Serializable]
	public class FixedPeriodOscillatorStrategy : IEndOfDayStrategy
	{
		private Account account;
		private string[] signedTickers;
    private int daysForRightPeriod;
    private int daysForReversalPeriod;
    //length for movement upwards or downwards of the given tickers
    private int daysCounterWithRightPositions;
    private int daysCounterWithReversalPositions;
    private bool isReversalPeriodOn = false;
    private int numOfClosesElapsed = 0;
     

		public FixedPeriodOscillatorStrategy( Account account ,
			                                     string[] signedTickers, 
                                           int daysForRightPeriod,
                                           int daysForReversalPeriod)
		{
			this.account = account;
			this.signedTickers = signedTickers;
      this.daysForRightPeriod = daysForRightPeriod;
      this.daysForReversalPeriod = daysForReversalPeriod;
		}
		private long marketCloseEventHandler_addOrder_getQuantity(
			string ticker )
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( ticker );
			double maxPositionValueForThisTicker =
				accountValue/this.signedTickers.Length;
			long quantity = Convert.ToInt64(	Math.Floor(
				maxPositionValueForThisTicker /	currentTickerAsk ) );
			return quantity;
		}
		private void marketCloseEventHandler_addOrder( string signedTicker )
		{
			OrderType orderType = GenomeRepresentation.GetOrderType( signedTicker );
			string ticker = GenomeRepresentation.GetTicker( signedTicker );
			long quantity = marketCloseEventHandler_addOrder_getQuantity( ticker );
			Order order = new Order( orderType , new Instrument( ticker ) ,
				quantity );
			this.account.AddOrder( order );
		}
		private void marketCloseEventHandler_addOrders()
		{
			foreach ( string signedTicker in this.signedTickers )
				marketCloseEventHandler_addOrder( signedTicker );
		}
		
    public void MarketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
		}
		
    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 );
		}
		
    public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}

    private void marketCloseEventHandler_reverseSignOfTickers()
    {
      for(int i = 0; i<this.signedTickers.Length; i++)
      {
        if(this.signedTickers[i] != null)
        {
          if(this.signedTickers[i].StartsWith("-"))
            this.signedTickers[i] =
              GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.signedTickers[i]);
          else
            this.signedTickers[i] = "-" + this.signedTickers[i];
        }
      }
    }

    private void marketCloseEventHandler_updateCounters(bool isTheFirstClose)
    {
      if(this.account.Portfolio.Count > 0 && isTheFirstClose == false)
      {
        if(this.isReversalPeriodOn)
          this.daysCounterWithReversalPositions++ ;
        else
          this.daysCounterWithRightPositions++ ;
      }
    }

		public void MarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
      bool firstClose = false;
      if( (this.numOfClosesElapsed + 1) >= 
          (this.daysForRightPeriod + this.daysForReversalPeriod) )
      //strategy can now be applied because it is tuned with the optimization's results
      {
        if (this.account.Transactions.Count == 0)
          // it is the first close
        {
          firstClose = true;
          this.account.AddCash( 30000 );
          this.marketCloseEventHandler_addOrders();
        }

        this.marketCloseEventHandler_updateCounters(firstClose);

        if(firstClose == false && this.isReversalPeriodOn == false &&
           this.daysCounterWithRightPositions == this.daysForRightPeriod)
      
        {
          this.marketCloseEventHandler_closePositions();
          this.daysCounterWithRightPositions = 0;
          this.marketCloseEventHandler_reverseSignOfTickers();
          this.marketCloseEventHandler_addOrders();
          this.isReversalPeriodOn = true;
        }
      
        if(this.isReversalPeriodOn == true &&
           this.daysCounterWithReversalPositions == this.daysForReversalPeriod)
      
        {
          this.marketCloseEventHandler_closePositions();
          this.daysCounterWithReversalPositions = 0;
          this.marketCloseEventHandler_reverseSignOfTickers();
          this.marketCloseEventHandler_addOrders();
          this.isReversalPeriodOn = false;
        }
      }
      
      this.numOfClosesElapsed++;

		}
		
    public void OneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
      
		}
	}
}

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

ExtremeCounterTrendStrategy.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>
	/// Strategy that implies an immediate reversal in gain
	/// for the next period
	/// </summary>
	[Serializable]
	public class ExtremeCounterTrendStrategy : IEndOfDayStrategy
	{
		private Account account;
		private string[] signedTickers;
		private int numDaysForReturnCalculation;
    private int numOfClosesElapsed = 0;
    private int numOfDaysWithOpenPosition = 0;

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

    private long marketCloseEventHandler_addOrder_getQuantity(
			string ticker )
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( ticker );
			double maxPositionValueForThisTicker =
				accountValue/this.signedTickers.Length;
			long quantity = Convert.ToInt64(	Math.Floor(
				maxPositionValueForThisTicker /	currentTickerAsk ) );
			return quantity;
		}
		private void marketCloseEventHandler_addOrder( string signedTicker )
		{
			OrderType orderType = GenomeRepresentation.GetOrderType( signedTicker );
			string ticker = GenomeRepresentation.GetTicker( signedTicker );
			long quantity = marketCloseEventHandler_addOrder_getQuantity( ticker );
			Order order = new Order( orderType , new Instrument( ticker ) ,
				quantity );
			this.account.AddOrder( order );
		}
		private void marketCloseEventHandler_addOrders()
		{
			foreach ( string signedTicker in this.signedTickers )
				marketCloseEventHandler_addOrder( signedTicker );
		}
  
    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)
    			this.marketCloseEventHandler_addOrders();
    		else
    		{
    			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/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToClose.cs,1.7,1.8 RunTestingOptimizationCloseToOpen.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28845/EfficientPortfolio

Modified Files:
	RunTestingOptimizationOpenToClose.cs 
	RunTestingOptimizationCloseToOpen.cs 
Log Message:
Updated the way fitness out of sample is computed for the OTC and CTO strategies

Index: RunTestingOptimizationOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** RunTestingOptimizationOpenToClose.cs	7 Jan 2006 10:35:39 -0000	1.7
--- RunTestingOptimizationOpenToClose.cs	14 May 2006 18:10:31 -0000	1.8
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Data.Selectors;
  using QuantProject.Data.DataTables;
+ using QuantProject.ADT.Statistics;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
***************
*** 141,164 ****
          //Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
          //  															 dateOutOfSample);
-         
          //returnValue +=
          //  (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
          //  tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
! 	 			//
          //returnValue is the average return for the interval between
  	 			//the given market date and the numDaysAfterLastOptimizationDay - th
  	 			//day after the given market date
! 	 			Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
            															 dateOutOfSample);
          double close, open;
! 	 			for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 	 			{
! 		      close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
! 		      open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
! 	 				returnValue +=
! 		      	(close/open - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
! 		      	
! 	 			}
        }
        return returnValue/genome.Size;
        
--- 142,180 ----
          //Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
          //  															 dateOutOfSample);
          //returnValue +=
          //  (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
          //  tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
! 	 			
          //returnValue is the average return for the interval between
  	 			//the given market date and the numDaysAfterLastOptimizationDay - th
  	 			//day after the given market date
! 	 			//Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!         //  															 dateOutOfSample);
!         //double close, open;
! 	 			//for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 	 			//{
! 		      //close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
! 		      //open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
! 	 				//returnValue +=
! 		      //(close/open - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
! 		      	
! 	 			//}
!         
!         //returnValue is the sharpe ratio for the interval between
!         //the given market date and the numDaysAfterLastOptimizationDay - th
!         //day after the given market date
!         Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
            															 dateOutOfSample);
          double close, open;
!         double[] returns = new double[this.numDaysAfterLastOptimizationDay];
!         for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
!         {
!           close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
!           open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
!           returns[i] = (close/open - 1.0)*coefficient;
!         }
!         returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
        }
+ 
        return returnValue/genome.Size;
        
***************
*** 260,264 ****
        DataTable setOfTickersToBeOptimized = 
        	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientOTCPortfolio = 
          new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
        	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
--- 276,280 ----
        DataTable setOfTickersToBeOptimized = 
        	this.getSetOfTickersToBeOptimized(this.marketDate);
!        IGenomeManager genManEfficientOTC = 
          new GenomeManagerForEfficientOTCPortfolio(setOfTickersToBeOptimized,
        	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
***************
*** 268,272 ****
        	                                         	this.portfolioType);
      
!       this.setFitnesses_setFitnessesActually(genManEfficientOTCPortfolio);
        
      }
--- 284,288 ----
        	                                         	this.portfolioType);
      
!       this.setFitnesses_setFitnessesActually(genManEfficientOTC);
        
      }
***************
*** 298,302 ****
      	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
       	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\OpenToCloseOptimizationEvaluation.txt";
    	  StreamWriter w = File.AppendText(pathFile);
    	  w.WriteLine ("\n----------------------------------------------\r\n");
--- 314,318 ----
      	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
       	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\OptimizationEvaluation.txt";
    	  StreamWriter w = File.AppendText(pathFile);
    	  w.WriteLine ("\n----------------------------------------------\r\n");
***************
*** 304,312 ****
    	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
        w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test (out of sample){0}\r",
                          this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
        w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
        w.WriteLine ("\n----------------------------------------------");
!   	  w.Write("\r\nFitnesses compared: {0}\r", this.fitnessesInSample.Length.ToString());
    	  w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
        w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
--- 320,328 ----
    	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
        w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
                          this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
        w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
        w.WriteLine ("\n----------------------------------------------");
!   	  w.Write("\r\nFitnesses compared (sharpe r. OTC): {0}\r", this.fitnessesInSample.Length.ToString());
    	  w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
        w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",

Index: RunTestingOptimizationCloseToOpen.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationCloseToOpen.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunTestingOptimizationCloseToOpen.cs	8 Jan 2006 23:36:05 -0000	1.1
--- RunTestingOptimizationCloseToOpen.cs	14 May 2006 18:10:31 -0000	1.2
***************
*** 27,30 ****
--- 27,31 ----
  using QuantProject.ADT;
  using QuantProject.ADT.Optimizing.Genetic;
+ using QuantProject.ADT.Statistics;
  using QuantProject.Data.Selectors;
  using QuantProject.Data.DataTables;
***************
*** 120,134 ****
  	 			//the given market date and the numDaysAfterLastOptimizationDay - th
  	 			//day after the given market date
! 	 			Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!           															 dateOutOfSample);
!         double close, open;
! 	 			for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 	 			{
! 		      close = tickerQuotes.GetFirstValidAdjustedClose(this.marketDate.AddDays(i));
! 		      open = tickerQuotes.GetFirstValidAdjustedOpen(this.marketDate.AddDays(i+1));
! 	 				returnValue +=
! 		      	(open/close - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
  		      	
! 	 			}
        }
        return returnValue/genome.Size;
--- 121,150 ----
  	 			//the given market date and the numDaysAfterLastOptimizationDay - th
  	 			//day after the given market date
! 	 			//Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!         //  															 dateOutOfSample);
!         //double close, open;
! 	 			//for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
! 	 			//{
! 		      //close = tickerQuotes.GetFirstValidAdjustedClose(this.marketDate.AddDays(i));
! 		      //open = tickerQuotes.GetFirstValidAdjustedOpen(this.marketDate.AddDays(i+1));
! 	 				//returnValue +=
! 		      	//(open/close - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
  		      	
! 	 			//}
!         
!         //returnValue is the sharpe ratio for the interval between
!         //the given market date and the numDaysAfterLastOptimizationDay - th
!         //day after the given market date
!         Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
!           dateOutOfSample);
!         double close, open;
!         double[] returns = new double[this.numDaysAfterLastOptimizationDay];
!         for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
!         {
!           close = tickerQuotes.GetFirstValidAdjustedClose(this.marketDate.AddDays(i));
!           open = tickerQuotes.GetFirstValidAdjustedOpen(this.marketDate.AddDays(i+1));
!           returns[i] = (open/close - 1.0)*coefficient;
!         }
!         returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
        }
        return returnValue/genome.Size;
***************
*** 269,273 ****
      	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
       	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\CloseToOpenOptimizationEvaluation.txt";
    	  StreamWriter w = File.AppendText(pathFile);
    	  w.WriteLine ("\n----------------------------------------------\r\n");
--- 285,289 ----
      	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
       	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
!                     "\\OptimizationEvaluation.txt";
    	  StreamWriter w = File.AppendText(pathFile);
    	  w.WriteLine ("\n----------------------------------------------\r\n");
***************
*** 275,283 ****
    	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
        w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test (out of sample){0}\r",
                          this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
        w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
        w.WriteLine ("\n----------------------------------------------");
!   	  w.Write("\r\nFitnesses compared: {0}\r", this.fitnessesInSample.Length.ToString());
    	  w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
        w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
--- 291,299 ----
    	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
        w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
!       w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
                          this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
        w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
        w.WriteLine ("\n----------------------------------------------");
!   	  w.Write("\r\nFitnesses compared (sharpe ratio CTO): {0}\r", this.fitnessesInSample.Length.ToString());
    	  w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
        w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis RunTestingOptimizationExtremeCounterTrend.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27853/TechnicalAnalysis

Added Files:
	RunTestingOptimizationExtremeCounterTrend.cs 
Log Message:
Added Script to compare fitness in sample with fitness out of sample, for the extreme counter trend strategy (it's only a "skeleton file" at the moment)

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

RunTestingOptimizationExtremeCounterTrend.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.IO;

using QuantProject.ADT;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.ADT.Statistics;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.ExtremeCounterTrend;

namespace QuantProject.Scripts.EvaluatingOptimizationTechnique.TechnicalAnalysis
{
	/// <summary>
	/// For the evaluation of the optimization technique used by the script
	/// for the extreme counter trend strategy
	/// </summary>
  [Serializable]
  public class RunTestingOptimizationExtremeCounterTrend
  {
  	private double[] fitnessesInSample;
  	private double[] fitnessesOutOfSample;
  	private string tickerGroupID;
    private int numberOfEligibleTickers;
    private int numberOfTickersToBeChosen;
    private int numDaysForOptimization;
    private int populationSizeForGeneticOptimizer;
    private int generationNumberForGeneticOptimizer;
  	private string benchmark;
  	private DateTime marketDate;
  	private double targetReturn;
  	private PortfolioType portfolioType;
  	private int numDaysAfterLastOptimizationDay;
  	private int numberOfSubsets;
  	private Genome[] genomesToTestOutOfSample;
  	private int numberOfGenomesToTest;
      	
    public RunTestingOptimizationExtremeCounterTrend(string tickerGroupID, int numberOfEligibleTickers,
      				int numberOfTickersToBeChosen, int numDaysForOptimization,
      				int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer, 
      				string benchmark,
      				DateTime marketDate, double targetReturn,
      				PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
      				int numberOfSubsets, int numberOfGenomesToTest)
    {
  		this.numberOfGenomesToTest = numberOfGenomesToTest;
  		this.genomesToTestOutOfSample = new Genome[numberOfGenomesToTest];
  		this.fitnessesInSample = new double[numberOfGenomesToTest];
  		this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
  		this.tickerGroupID = tickerGroupID;
  		this.numberOfEligibleTickers = numberOfEligibleTickers;
  		this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
  		this.numDaysForOptimization = numDaysForOptimization;
  		this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
  		this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
  		this.benchmark = benchmark;
  		this.marketDate = marketDate;
  		this.targetReturn = targetReturn;
  		this.portfolioType = portfolioType;
  		this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
  		this.numberOfSubsets = numberOfSubsets;
   	}
    
  	private DataTable getSetOfTickersToBeOptimized(DateTime date)
    {
           	
     	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
        																										date);
      
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketFromTemporized = 
        new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
        false, date.AddDays(-this.numDaysForOptimization), date,
        this.numberOfEligibleTickers, this.benchmark);
      
      return quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers();
    }
  	
    private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
  		
    {
      double returnValue = 0;
      foreach(string tickerCode in ((GenomeMeaning)genome.Meaning).Tickers)
      {
        double coefficient = 1.0;
        string ticker = tickerCode;
        if(ticker.StartsWith("-"))
        {
          ticker = ticker.Substring(1,ticker.Length -1);
          coefficient = -1.0;
        }
        DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
        //returnValue is the single return for the numDaysAfterLastOptimizationDay - th day
        //after the given market date
        
        //Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
        //  															 dateOutOfSample);
        //returnValue +=
        //  (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
        //  tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
	 			
        //returnValue is the average return for the interval between
	 			//the given market date and the numDaysAfterLastOptimizationDay - th
	 			//day after the given market date
	 			//Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
        //  															 dateOutOfSample);
        //double close, open;
	 			//for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
	 			//{
		      //close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
		      //open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
	 				//returnValue +=
		      //(close/open - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
		      	
	 			//}
        
        //returnValue is the sharpe ratio for the interval between
        //the given market date and the numDaysAfterLastOptimizationDay - th
        //day after the given market date
        Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
          															 dateOutOfSample);
        double close, open;
        double[] returns = new double[this.numDaysAfterLastOptimizationDay];
        for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
        {
          close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
          open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
          returns[i] = (close/open - 1.0)*coefficient;
        }
        returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
      }

      return returnValue/genome.Size;
      
    }
    
    private bool setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(Genome genomeToBeAdded,
                                                                                                                              bool addWorstGenomes)
  		
    {
      bool returnValue = true;
      if(addWorstGenomes)
      //the first half containing the worst genomes has to be checked
      {
        for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
        {
          if(this.genomesToTestOutOfSample[i]==null)
            return true;
          if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[i]))
            return false;
        }
      }
      else
      //the second half containing the best genomes has to be checked
      {
        for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
        {
          if(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]==null)
            return true;
          if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]))
            return false;
        }
      }
      return returnValue;
    }
    private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(GeneticOptimizer optimizer,
                                                                                      bool addWorstGenomes)
  		
    {
      Genome currentGenome;
      Genome previousGenome = null;
      int numOfDifferentGenomesFound = 0;
      for(int j = 0;
        j<this.populationSizeForGeneticOptimizer && numOfDifferentGenomesFound<this.numberOfGenomesToTest/2;
        j++)
      {
        if(addWorstGenomes == true)
          currentGenome = (Genome)optimizer.CurrentGeneration[j];
        else
          currentGenome = (Genome)optimizer.CurrentGeneration[this.populationSizeForGeneticOptimizer-j-1];

        if(this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(currentGenome, addWorstGenomes))
        //no genes of the current genome are present in the relative half
        {
          if(this.genomesToTestOutOfSample[numOfDifferentGenomesFound]!= null)
          //the first half of the array has already been filled
            this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-numOfDifferentGenomesFound]=currentGenome;
          else//the first half is still empty
            this.genomesToTestOutOfSample[numOfDifferentGenomesFound] = currentGenome;
          previousGenome = currentGenome;
          numOfDifferentGenomesFound++;
        }
        
      }
     
    }
  	
    private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(IGenomeManager genomeManager)
  		
    {
      GeneticOptimizer optimizer = new GeneticOptimizer(genomeManager,
                                              this.populationSizeForGeneticOptimizer,
                                              this.generationNumberForGeneticOptimizer,
                                              ConstantsProvider.SeedForRandomGenerator);
      optimizer.Run(false);
      this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
                                                                                 true);
      this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
                                                                                false);
      Array.Sort(this.genomesToTestOutOfSample);
    }
    
    private void setFitnesses_setFitnessesActually(IGenomeManager genomeManager)
  		
    {
      this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(genomeManager);
      for(int i = 0; i<this.numberOfGenomesToTest; i++)
      {
        this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
        this.fitnessesOutOfSample[i]= 
          this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
      }
      
    }

    private void setFitnesses()
  		
    {
      
      DataTable setOfTickersToBeOptimized = 
      	this.getSetOfTickersToBeOptimized(this.marketDate);
       IGenomeManager genManEfficientOTCTypes = 
        new GenomeManagerForEfficientOTCTypes(setOfTickersToBeOptimized,
      	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
      	                                          this.marketDate,
      	                                          this.numberOfTickersToBeChosen,
      	                                          this.targetReturn,
      	                                         	this.portfolioType);
    
      this.setFitnesses_setFitnessesActually(genManEfficientOTCTypes);
      
    }
  	
    public void Run()
    {
      try
      {
        this.setFitnesses();
        OptimizationTechniqueEvaluator evaluator = 
          new OptimizationTechniqueEvaluator(this.fitnessesInSample,
          this.fitnessesOutOfSample);
        this.run_writeToLogFile(evaluator);
      }
      catch(Exception ex)
      {
        ex = ex;
      }
    }
    
    private void run_writeToLogFile(OptimizationTechniqueEvaluator evaluator)
    {
    	double[] averagesInSample = 
    		evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
    	double[] averagesOutOfSample = 
    		evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
    	double r = evaluator.GetCorrelationBetweenFitnesses();
    	GenomeCounter genomeCounter = new GenomeCounter(this.genomesToTestOutOfSample);
    	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
     	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
                    "\\OptimizationEvaluation.txt";
  	  StreamWriter w = File.AppendText(pathFile);
  	  w.WriteLine ("\n----------------------------------------------\r\n");
  	  w.Write("\r\nNew Test for Evaluation of Open To Close Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString());
  	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
      w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
      w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
                        this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
      w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
      w.WriteLine ("\n----------------------------------------------");
  	  w.Write("\r\nFitnesses compared (sharpe r. OTC - sharpe r. CTO): {0}\r", this.fitnessesInSample.Length.ToString());
  	  w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
      w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
  	          this.numberOfSubsets);
      //
      for(int i = 0; i<averagesInSample.Length; i++)
        	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesInSample[i].ToString());
      
      w.WriteLine ("\n\n----------------------------------------------");
      w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of Sample:\r",
  	          this.numberOfSubsets);
      //
      for(int i = 0; i<averagesOutOfSample.Length; i++)
        	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesOutOfSample[i].ToString());	
      w.WriteLine ("\n\n----------------------------------------------");
      //
      w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", r.ToString());
      w.WriteLine ("\n-----------------End of Test------------------\r\n");
      // Update the underlying file.
      w.Flush();
      w.Close();
    }	
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToCloseFitnessCombined.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv27529/EfficientPortfolio

Added Files:
	RunTestingOptimizationOpenToCloseFitnessCombined.cs 
Log Message:
Added Script to compare Open to close fitness in sample with fitness out of sample

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

RunTestingOptimizationOpenToCloseFitnessCombined.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.IO;

using QuantProject.ADT;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.ADT.Statistics;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.EvaluatingOptimizationTechnique.EfficientPortfolio
{
	/// <summary>
	/// For the evaluation of the optimization technique used by the script
	/// for the efficient open to close portfolio
	/// </summary>
  [Serializable]
  public class RunTestingOptimizationOpenToCloseFitnessCombined
  {
  	private double[] fitnessesInSample;
  	private double[] fitnessesOutOfSample;
  	private string tickerGroupID;
    private int numberOfEligibleTickers;
    private int numberOfTickersToBeChosen;
    private int numDaysForOptimization;
    private int populationSizeForGeneticOptimizer;
    private int generationNumberForGeneticOptimizer;
  	private string benchmark;
  	private DateTime marketDate;
  	private double targetReturn;
  	private PortfolioType portfolioType;
  	private int numDaysAfterLastOptimizationDay;
  	private int numberOfSubsets;
  	private Genome[] genomesToTestOutOfSample;
  	private int numberOfGenomesToTest;
      	
    public RunTestingOptimizationOpenToCloseFitnessCombined(string tickerGroupID, int numberOfEligibleTickers,
      				int numberOfTickersToBeChosen, int numDaysForOptimization,
      				int generationNumberForGeneticOptimizer, int populationSizeForGeneticOptimizer, 
      				string benchmark,
      				DateTime marketDate, double targetReturn,
      				PortfolioType portfolioType, int numDaysAfterLastOptimizationDay,
      				int numberOfSubsets, int numberOfGenomesToTest)
    {
  		this.numberOfGenomesToTest = numberOfGenomesToTest;
  		this.genomesToTestOutOfSample = new Genome[numberOfGenomesToTest];
  		this.fitnessesInSample = new double[numberOfGenomesToTest];
  		this.fitnessesOutOfSample = new double[numberOfGenomesToTest];
  		this.tickerGroupID = tickerGroupID;
  		this.numberOfEligibleTickers = numberOfEligibleTickers;
  		this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
  		this.numDaysForOptimization = numDaysForOptimization;
  		this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
  		this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
  		this.benchmark = benchmark;
  		this.marketDate = marketDate;
  		this.targetReturn = targetReturn;
  		this.portfolioType = portfolioType;
  		this.numDaysAfterLastOptimizationDay = numDaysAfterLastOptimizationDay;
  		this.numberOfSubsets = numberOfSubsets;
   	}
    
  	private DataTable getSetOfTickersToBeOptimized(DateTime date)
    {
      /*
      SelectorByAverageRawOpenPrice selectorByOpenPrice = 
                  new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                          currentDate.AddDays(-this.numDaysForOptimization), currentDate,
                          this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
                          this.maxPriceForMinimumCommission, 0, 2);
      DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
      */
     	
     	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
      	                                                    date);
      
      SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
        new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
                                          this.benchmark,true,
                                          date.AddDays(-this.numDaysForOptimization ),
                                          date,
                                         this.numberOfEligibleTickers);
      
      DataTable eligibleTickers;
      eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
      //eligibleTickers = temporizedGroup.GetTableOfSelectedTickers();
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
        new SelectorByQuotationAtEachMarketDay( eligibleTickers,
                                   false, date.AddDays(-this.numDaysForOptimization),
                                    date, this.numberOfEligibleTickers, this.benchmark);
      //SelectorByWinningOpenToClose winners =
      	//new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
      	  //                               false, date.AddDays(-1),
      	    //                             date.AddDays(-1), this.numberOfEligibleTickers/2,
              //                            true);      	                                 
      //return winners.GetTableOfSelectedTickers();
     
      return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
      //return lessCorrelated.GetTableOfSelectedTickers();
    }
  	
    private double setFitnesses_setFitnessesActually_getFitnessOutOfSample(Genome genome)
  		
    {
      double returnValue = 0;
      foreach(string tickerCode in ((GenomeMeaning)genome.Meaning).Tickers)
      {
        double coefficient = 1.0;
        string ticker = tickerCode;
        if(ticker.StartsWith("-"))
        {
          ticker = ticker.Substring(1,ticker.Length -1);
          coefficient = -1.0;
        }
        DateTime dateOutOfSample = this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay);
        //returnValue is the single return for the numDaysAfterLastOptimizationDay - th day
        //after the given market date
        
        //Quotes tickerQuotes = new Quotes(ticker, dateOutOfSample,
        //  															 dateOutOfSample);
        //returnValue +=
        //  (tickerQuotes.GetFirstValidRawClose(dateOutOfSample)/
        //  tickerQuotes.GetFirstValidRawOpen(dateOutOfSample) - 1.0)*coefficient;
	 			
        //returnValue is the average return for the interval between
	 			//the given market date and the numDaysAfterLastOptimizationDay - th
	 			//day after the given market date
	 			//Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
        //  															 dateOutOfSample);
        //double close, open;
	 			//for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
	 			//{
		      //close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
		      //open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
	 				//returnValue +=
		      //(close/open - 1.0)*coefficient/this.numDaysAfterLastOptimizationDay;
		      	
	 			//}
        
        //returnValue is the sharpe ratio for the interval between
        //the given market date and the numDaysAfterLastOptimizationDay - th
        //day after the given market date
        Quotes tickerQuotes = new Quotes(ticker, this.marketDate,
          															 dateOutOfSample);
        double close, open;
        double[] returns = new double[this.numDaysAfterLastOptimizationDay];
        for(int i = 0; i<this.numDaysAfterLastOptimizationDay; i++)
        {
          close = tickerQuotes.GetFirstValidRawClose(this.marketDate.AddDays(i));
          open = tickerQuotes.GetFirstValidRawOpen(this.marketDate.AddDays(i));
          returns[i] = (close/open - 1.0)*coefficient;
        }
        returnValue += BasicFunctions.SimpleAverage(returns) / BasicFunctions.StdDev(returns);
      }

      return returnValue/genome.Size;
      
    }
    
    private bool setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(Genome genomeToBeAdded,
                                                                                                                              bool addWorstGenomes)
  		
    {
      bool returnValue = true;
      if(addWorstGenomes)
      //the first half containing the worst genomes has to be checked
      {
        for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
        {
          if(this.genomesToTestOutOfSample[i]==null)
            return true;
          if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[i]))
            return false;
        }
      }
      else
      //the second half containing the best genomes has to be checked
      {
        for(int i = 0; i<this.numberOfGenomesToTest/2; i++)
        {
          if(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]==null)
            return true;
          if(!genomeToBeAdded.SharesNoGeneWith(this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-i]))
            return false;
        }
      }
      return returnValue;
    }
    private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(GeneticOptimizer optimizer,
                                                                                      bool addWorstGenomes)
  		
    {
      Genome currentGenome;
      Genome previousGenome = null;
      int numOfDifferentGenomesFound = 0;
      for(int j = 0;
        j<this.populationSizeForGeneticOptimizer && numOfDifferentGenomesFound<this.numberOfGenomesToTest/2;
        j++)
      {
        if(addWorstGenomes == true)
          currentGenome = (Genome)optimizer.CurrentGeneration[j];
        else
          currentGenome = (Genome)optimizer.CurrentGeneration[this.populationSizeForGeneticOptimizer-j-1];

        if(this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes_sharesNoGeneWithGenomesAlreadyAdded(currentGenome, addWorstGenomes))
        //no genes of the current genome are present in the relative half
        {
          if(this.genomesToTestOutOfSample[numOfDifferentGenomesFound]!= null)
          //the first half of the array has already been filled
            this.genomesToTestOutOfSample[this.numberOfGenomesToTest-1-numOfDifferentGenomesFound]=currentGenome;
          else//the first half is still empty
            this.genomesToTestOutOfSample[numOfDifferentGenomesFound] = currentGenome;
          previousGenome = currentGenome;
          numOfDifferentGenomesFound++;
        }
        
      }
     
    }
  	
    private void setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(IGenomeManager genomeManager)
  		
    {
      GeneticOptimizer optimizer = new GeneticOptimizer(genomeManager,
                                              this.populationSizeForGeneticOptimizer,
                                              this.generationNumberForGeneticOptimizer,
                                              ConstantsProvider.SeedForRandomGenerator);
      optimizer.Run(false);
      this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
                                                                                 true);
      this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample_addGenomes(optimizer,
                                                                                false);
      Array.Sort(this.genomesToTestOutOfSample);
    }
    
    private void setFitnesses_setFitnessesActually(IGenomeManager genomeManager)
  		
    {
      this.setFitnesses_setFitnessesActually_setGenomesToTestOutOfSample(genomeManager);
      for(int i = 0; i<this.numberOfGenomesToTest; i++)
      {
        this.fitnessesInSample[i]=(this.genomesToTestOutOfSample[i]).Fitness;
        this.fitnessesOutOfSample[i]= 
          this.setFitnesses_setFitnessesActually_getFitnessOutOfSample(this.genomesToTestOutOfSample[i]);
      }
      
    }

    private void setFitnesses()
  		
    {
      
      DataTable setOfTickersToBeOptimized = 
      	this.getSetOfTickersToBeOptimized(this.marketDate);
       IGenomeManager genManEfficientOTCTypes = 
        new GenomeManagerForEfficientOTCTypes(setOfTickersToBeOptimized,
      	                                          this.marketDate.AddDays(-this.numDaysForOptimization),
      	                                          this.marketDate,
      	                                          this.numberOfTickersToBeChosen,
      	                                          this.targetReturn,
      	                                         	this.portfolioType);
    
      this.setFitnesses_setFitnessesActually(genManEfficientOTCTypes);
      
    }
  	
    public void Run()
    {
      try
      {
        this.setFitnesses();
        OptimizationTechniqueEvaluator evaluator = 
          new OptimizationTechniqueEvaluator(this.fitnessesInSample,
          this.fitnessesOutOfSample);
        this.run_writeToLogFile(evaluator);
      }
      catch(Exception ex)
      {
        ex = ex;
      }
    }
    
    private void run_writeToLogFile(OptimizationTechniqueEvaluator evaluator)
    {
    	double[] averagesInSample = 
    		evaluator.GetAveragesOfSubsetsInSample(this.numberOfSubsets);
    	double[] averagesOutOfSample = 
    		evaluator.GetAveragesOfSubsetsOutOfSample(this.numberOfSubsets);
    	double r = evaluator.GetCorrelationBetweenFitnesses();
    	GenomeCounter genomeCounter = new GenomeCounter(this.genomesToTestOutOfSample);
    	int differentEvaluatedGenomes = genomeCounter.TotalEvaluatedGenomes;
     	string pathFile = System.Configuration.ConfigurationSettings.AppSettings["GenericArchive"] +
                    "\\OptimizationEvaluation.txt";
  	  StreamWriter w = File.AppendText(pathFile);
  	  w.WriteLine ("\n----------------------------------------------\r\n");
  	  w.Write("\r\nNew Test for Evaluation of Open To Close Optimization {0}\r", DateTime.Now.ToLongDateString()+ " " +DateTime.Now.ToLongTimeString());
  	  w.Write("\r\nNum days for optimization {0}\r", this.numDaysForOptimization.ToString());
      w.Write("\r\nOptimizing market date {0}\r", this.marketDate.ToLongDateString());
      w.Write("\r\nMarket date for test out of sample (sharpe ratio as fitness OS){0}\r",
                        this.marketDate.AddDays(this.numDaysAfterLastOptimizationDay).ToLongDateString());
      w.Write("\r\nNumber of tickers: {0}\r", this.numberOfTickersToBeChosen.ToString());
      w.WriteLine ("\n----------------------------------------------");
  	  w.Write("\r\nFitnesses compared (sharpe r. OTC - sharpe r. CTO): {0}\r", this.fitnessesInSample.Length.ToString());
  	  w.Write("\r\nDifferent evaluated genomes: {0}\r", differentEvaluatedGenomes.ToString());
      w.Write("\r\nAverages of the {0} sub sets of fitnesses In Sample:\r",
  	          this.numberOfSubsets);
      //
      for(int i = 0; i<averagesInSample.Length; i++)
        	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesInSample[i].ToString());
      
      w.WriteLine ("\n\n----------------------------------------------");
      w.Write("\r\nAverages of the {0} sub sets of fitnesses Out of Sample:\r",
  	          this.numberOfSubsets);
      //
      for(int i = 0; i<averagesOutOfSample.Length; i++)
        	w.WriteLine("\n{0}-->{1}", i.ToString(), averagesOutOfSample[i].ToString());	
      w.WriteLine ("\n\n----------------------------------------------");
      //
      w.Write("\r\nCorrelation coefficient between fitnesses: {0}\r", r.ToString());
      w.WriteLine ("\n-----------------End of Test------------------\r\n");
      // Update the underlying file.
      w.Flush();
      w.Close();
    }	
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11492/TechnicalAnalysis

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/TechnicalAnalysis added to the repository

[Quantproject-developers] QuantProject/b3_Data MissingQuotesException.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11143

Added Files:
	MissingQuotesException.cs 
Log Message:
Added MissingQuotesException class

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

MissingQuotesException.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;

namespace QuantProject.Data
{
	/// <summary>
	/// Thrown when needed if an object DataTables.Quotes has no quotes
	/// for a given TimeFrame
	/// </summary>
	public class MissingQuotesException : Exception
	{
		private string ticker;
		private DateTime initialDateTime;
		private DateTime finalDateTime;
		public override string Message
		{
			get
			{
				return "No quotes available for ticker " +
					this.ticker + ", between " + this.initialDateTime.ToShortDateString() + 
					" and " + this.finalDateTime.ToShortDateString();
			}
		}
		public MissingQuotesException(
		         string ticker,DateTime initialDateTime, DateTime finalDateTime )
		{
			this.ticker = ticker;
			this.initialDateTime = initialDateTime;
			this.finalDateTime = finalDateTime;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend RunExtremeCounterTrend.cs,NONE,1.1 GenomeManagerECT.cs,NONE,1.1 EndOfDayTimerHandlerECT.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv10183

Added Files:
	RunExtremeCounterTrend.cs GenomeManagerECT.cs 
	EndOfDayTimerHandlerECT.cs 
Log Message:
Added ExtremeCounterTrend strategy

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

EndOfDayTimerHandlerECT.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.Oscillators.ExtremeCounterTrend
{
	/// <summary>
  /// Implements MarketOpenEventHandler and MarketCloseEventHandler
  /// These handlers contain the core strategy for the extreme
  /// counter trend strategy!
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerECT : 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 int daysCounterWithRightPositions;
//    private int daysCounterWithReversalPositions;
//    private bool isReversalPeriodOn = false;
//    private bool isTheFirstClose = false;
    private DateTime lastCloseDate;
    private IGenomeManager iGenomeManager;
        
    public EndOfDayTimerHandlerECT(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.daysCounterWithRightPositions = 0;
//      this.daysCounterWithReversalPositions = 0; 
//      this.isReversalPeriodOn = false;
      this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
      this.stopLossConditionReached = false;
      this.currentAccountValue = 0.0;
      this.previousAccountValue = 0.0;
//      this.numDaysBetweenEachOptimization = 2* numDaysForReturnCalculation;
      this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
    }
	

    #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
    		{
    			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);
      
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketFromTemporized = 
        new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
        false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
        this.numberOfEligibleTickers, this.benchmark);
      
      return quotedAtEachMarketFromTemporized.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 GenomeManagerECT(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);
        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: GenomeManagerECT.cs ---
/*
QuantProject - Quantitative Finance Library

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

    public override object Decode(Genome genome)
    {
    	
    	string[] arrayOfTickers = new string[genome.Genes().Length];
      int indexOfTicker;
      for(int index = 0; index < genome.Genes().Length; index++)
      {
        indexOfTicker = (int)genome.Genes().GetValue(index);
        arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
      }
      GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers);
      return meaning;
    }
  

		//fitness is a sharpe-ratio based indicator for the equity line resulting
		//from applying the strategy
	  public override double GetFitnessValue(Genome genome)
    {
      this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
      
      double[] equityLine = this.getFitnessValue_getEquityLineRates();
      double sharpeRatioAll = BasicFunctions.SimpleAverage(equityLine)/
                              BasicFunctions.StdDev(equityLine);
//      double[] equityLineSecondHalf = new double[equityLine.Length/2];
//      for(int i = 0; i<equityLine.Length/2; i++)
//        equityLineSecondHalf[i] = equityLine[i+equityLine.Length/2];
//      double sharpeRatioSecondHalf = BasicFunctions.SimpleAverage(equityLineSecondHalf)/
//                              Math.Pow(BasicFunctions.StdDev(equityLineSecondHalf),1.2);
      return sharpeRatioAll;//*sharpeRatioSecondHalf; 
    }
    
    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];
          else
             returnValue[i+t] = - this.PortfolioRatesOfReturn[i+t]; 
        }  
           
      }
      return returnValue;
    }
	
  }

}

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

RunExtremeCounterTrend.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.Oscillators.ExtremeCounterTrend
{
	/// <summary>
	/// Script that implements an oscillating strategy,
	/// for finding tickers that tend to 
	/// earn (lose) from previous losses (gains), using efficient portfolios  
	/// </summary>
	[Serializable]
	public class RunExtremeCounterTrend : RunEfficientPortfolio
	{
    private int numDaysForReturnCalculation;
    private double maxAcceptableCloseToCloseDrawdown;
    private int numDaysBetweenEachOptimization;
		
    public RunExtremeCounterTrend(string tickerGroupID, int numberOfEligibleTickers, 
                                    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, numberOfEligibleTickers, 
                                    numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
                                    generationNumberForGeneticOptimizer,
                                    populationSizeForGeneticOptimizer, benchmark,
                                    startDate, endDate, 0.0,
                                   	portfolioType, maxRunningHours)
		{
      this.ScriptName = "ExtremeCounterTrendScriptWithSharpe";
      this.numDaysForReturnCalculation = numDaysForReturnCalculation;
      this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
      this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
		}

    #region auxiliary overriden methods for Run
    
    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerECT(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 = "From"+this.numberOfEligibleTickers +
                      "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
                      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/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators RunFPOscillatorCTC.cs,NONE,1.1 GenomeManagerForFPOscillatorCTC.cs,NONE,1.1 EndOfDayTimerHandlerFPOscillatorCTC.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8867

Added Files:
	RunFPOscillatorCTC.cs GenomeManagerForFPOscillatorCTC.cs 
	EndOfDayTimerHandlerFPOscillatorCTC.cs 
Log Message:
Added FixedPeriodOscillator strategy, based on technical analysis concepts.

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

EndOfDayTimerHandlerFPOscillatorCTC.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.Oscillators.FixedPeriodOscillators
{
	/// <summary>
  /// Implements MarketOpenEventHandler and MarketCloseEventHandler
  /// These handlers contain the core strategy for the oscillator
  /// close to close strategy!
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerFPOscillatorCTC : 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 int daysCounterWithRightPositions;
    private int daysCounterWithReversalPositions;
    private bool isReversalPeriodOn = false;
//  private bool isTheFirstClose = false;
    private DateTime lastCloseDate;
    private IGenomeManager iGenomeManager;
        
    public EndOfDayTimerHandlerFPOscillatorCTC(string tickerGroupID, int numberOfEligibleTickers, 
                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
                                Account account,                                
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer,
                                string benchmark,
                                int numDaysForReturnCalculation,
                                PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown):
    														base(tickerGroupID, numberOfEligibleTickers, 
                                numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
                                generationNumberForGeneticOptimizer,
                                populationSizeForGeneticOptimizer,
                                benchmark, 0.0,
                                portfolioType)
    {
      this.numDaysForReturnCalculation = numDaysForReturnCalculation;
      this.daysCounterWithRightPositions = 0;
      this.daysCounterWithReversalPositions = 0; 
      this.isReversalPeriodOn = false;
      this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
      this.stopLossConditionReached = false;
      this.currentAccountValue = 0.0;
      this.previousAccountValue = 0.0;
      this.numDaysBetweenEachOptimization = 2* numDaysForReturnCalculation;
      this.numDaysBetweenEachOptimization = numDaysForReturnCalculation;
    }
	

    #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 void marketCloseEventHandler_reverseSignOfTickers(string[] signedTickers)
    {
      for(int i = 0; i<signedTickers.Length; i++)
       if(signedTickers[i] != null)
        	signedTickers[i] = SignedTicker.GetOppositeSignedTicker(signedTickers[i]);
    }

    private void marketCloseEventHandler_updateCounters(bool isTheFirstClose)
    {
      if(this.account.Portfolio.Count > 0 && isTheFirstClose == false)
      {
        if(this.isReversalPeriodOn)
          this.daysCounterWithReversalPositions++ ;
        else
          this.daysCounterWithRightPositions++ ;
      }
    }

    private bool marketCloseEventHandler_openPositionsIfTuned_isTuned(IndexBasedEndOfDayTimer timer)
    {
      bool returnValue = false;
      try
      {
		    double gainForTheLastHalfPeriod;
	      DateTime initialDateForHalfPeriod = 
	          (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForReturnCalculation + 1]["quDate"];
	      DateTime finalDateForHalfPeriod = 
	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
      	gainForTheLastHalfPeriod =
	      	 SignedTicker.GetCloseToClosePortfolioReturn(
	      	     this.chosenTickers, this.chosenTickersPortfolioWeights,
	      	     initialDateForHalfPeriod,finalDateForHalfPeriod);
	      if(gainForTheLastHalfPeriod < 0.0)
	      //in the last periods the combination has lost, so 
	      //it should gain the next days
	          returnValue = true;
	      
	      return returnValue;
      }
    	catch(MissingQuotesException ex)
    	{
    		ex = ex;
    		return returnValue;
    	}
    }   

    private void marketCloseEventHandler_openPositionsIfTuned(IndexBasedEndOfDayTimer timer)
    {
    	if(this.marketCloseEventHandler_openPositionsIfTuned_isTuned(timer))
        base.openPositions();
    }
    
    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();  
      
      if(this.account.Portfolio.Count == 0 &&
         this.chosenTickers[0] != null)
      //portfolio is empty and tickers to buy have been chosen
        this.marketCloseEventHandler_openPositionsIfTuned((IndexBasedEndOfDayTimer)sender);
      else
         this.marketCloseEventHandler_closePositions();
      
        //OLD IMPLEMENTATION: always on the market
//    	//update isTheFirstClose and optimize after adding cash
//    	//(this first optimization could be done also after market close)
//      if (this.account.Transactions.Count == 0)
//      {
//        this.isTheFirstClose = true;
//        this.marketCloseEventHandler_optimize(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
//      }
//      else
//      {	
//        this.isTheFirstClose = false;
//      }      
//      this.marketCloseEventHandler_updateCounters(this.isTheFirstClose);
//      this.marketCloseEventHandler_updateStopLossCondition();
//      
//      if(this.stopLossConditionReached)
//      {
//      	this.orders.Clear();
//      	this.closePositions();
//        this.daysCounterWithReversalPositions = 0;
//        this.daysCounterWithRightPositions = 0;
//        this.marketCloseEventHandler_optimize(this.lastCloseDate);
//        this.openPositions();
//      }
//      else
//      {
//        if(this.account.Portfolio.Count == 0)
//        {
//        	this.orders.Clear();
//        	this.openPositions();
//        }
//        
//        if((this.isTheFirstClose == false && this.isReversalPeriodOn == false &&
//          this.daysCounterWithRightPositions == this.numDaysForReturnCalculation))
//        {
//          this.orders.Clear();
//        	this.closePositions();
//          this.daysCounterWithRightPositions = 0;
//          this.marketCloseEventHandler_reverseSignOfTickers(this.chosenTickers);
//          this.openPositions();
//          this.isReversalPeriodOn = true;
//        }
//      
//        if((this.isReversalPeriodOn == true &&
//          this.daysCounterWithReversalPositions == this.numDaysForReturnCalculation))
//        {
//          this.orders.Clear();
//        	this.closePositions();
//          this.daysCounterWithReversalPositions = 0;
//          this.isReversalPeriodOn = false;
//          //code for only one optimization         
////          this.marketCloseEventHandler_reverseSignOfTickers(this.chosenTickers);
////          this.openPositions();
//          //
//          //normal strategy
//          this.marketCloseEventHandler_optimize(this.lastCloseDate);
//          this.openPositions();
//        }
//
//      } //END OF OLD IMPLEMENTATION
    }

    #endregion
    
    #region OneHourAfterMarketCloseEventHandler
   
    protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
    {
      SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
        currentDate);
      
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketFromTemporized = 
        new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
        false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
        this.numberOfEligibleTickers, this.benchmark);

//      SelectorByCloseToCloseVolatility lessVolatile = new SelectorByCloseToCloseVolatility(
//        quotedAtEachMarketFromTemporized.GetTableOfSelectedTickers(),true,
//        currentDate.AddDays(-15), currentDate,
//        this.numberOfEligibleTickers);
//
//      return lessVolatile.GetTableOfSelectedTickers();
      
      return quotedAtEachMarketFromTemporized.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                     
      
      {
        
        //double targetReturnForEachPeriodOfPortfolioLife =
        //	Math.Pow(1.60,(double)(1.0/(360.0/this.numDaysOfPortfolioLife))) - 1.0;
        //the target has to be such that annual system return is minimum 50%
        //(with no commissions and bid-ask spreads)

        //     	IGenomeManager genManOscillatorCTC =
        //          new GenomeManagerForEfficientCTCPortfolio(setOfTickersToBeOptimized,
        //          currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
        //          currentDate, this.numberOfTickersToBeChosen,
        //          this.numDaysForReturnCalculation, 0.0,
        //          this.portfolioType);
        this.iGenomeManager =
          new GenomeManagerForFPOscillatorCTC(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);
        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: RunFPOscillatorCTC.cs ---
/*
QuantProject - Quantitative Finance Library

RunFPOscillatorCTC.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.Oscillators.FixedPeriodOscillators
{
	/// <summary>
	/// Script that implements an oscillating strategy,
	/// for all market days (fixed period), using efficient portfolios  
	/// </summary>
	[Serializable]
	public class RunFPOscillatorCTC : RunEfficientPortfolio
	{
    private int numDaysForReturnCalculation;
    private double maxAcceptableCloseToCloseDrawdown;
    private int numDaysBetweenEachOptimization;
		
    public RunFPOscillatorCTC(string tickerGroupID, int numberOfEligibleTickers, 
                                    int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
                                    int generationNumberForGeneticOptimizer,
                                    int populationSizeForGeneticOptimizer, string benchmark,
                                    DateTime startDate, DateTime endDate,
                                   	int numDaysForReturnCalculation,
                                    PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown, 
                                    double maxRunningHours):
																base(tickerGroupID, numberOfEligibleTickers, 
                                    numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
                                    generationNumberForGeneticOptimizer,
                                    populationSizeForGeneticOptimizer, benchmark,
                                    startDate, endDate, 0.0,
                                   	portfolioType, maxRunningHours)
		{
      this.ScriptName = "FixedPeriodOscillatorCTCScriptWithSharpe";
      this.numDaysForReturnCalculation = numDaysForReturnCalculation;
      this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
      this.numDaysBetweenEachOptimization = numDaysForReturnCalculation;
		}

    #region auxiliary overriden methods for Run
    
    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerFPOscillatorCTC(this.tickerGroupID, this.numberOfEligibleTickers,
    	                                                        this.numberOfTickersToBeChosen, this.numDaysForOptimizationPeriod,
                                                              this.account,
    	                                                        this.generationNumberForGeneticOptimizer,
    	                                                        this.populationSizeForGeneticOptimizer, this.benchmark,
    	                                                        this.numDaysForReturnCalculation,
                                                              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 = "From"+this.numberOfEligibleTickers +
                      "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
                      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 
	}
}

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

GenomeManagerForFPOscillatorCTC.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.Oscillators.FixedPeriodOscillators
{
	/// <summary>
	/// Implements what needed to use the Genetic Optimizer
	/// for finding the portfolio that best suites
	/// the fixed period Oscillator strategy
	/// </summary>
	[Serializable]
  public class GenomeManagerForFPOscillatorCTC : GenomeManagerForEfficientPortfolio
  {
    private int numDaysForReturnCalculation;
    
    public GenomeManagerForFPOscillatorCTC(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();
    }
    
    private float[] getArrayOfRatesOfReturn_getAdjustedArray(Quotes sourceQuotes,
                                                             int numDaysForHalfPeriod,
                                                             ref DateTime firstQuoteDate)
    {
      float[] returnValue = ExtendedDataTable.GetArrayOfFloatFromColumn(sourceQuotes,
    	                                                                  Quotes.AdjustedCloseToCloseRatio);
      for(int i = 0;i<returnValue.Length;i++)
      	returnValue[i] = returnValue[i]-1;
      //in order to be alligned at the following market day,
      //the array has to be long n, where n is such that
      //n%(2 * hp) + 1 = 2 * hp (hp = half period)
      //if some rates are deleted, first quote day has to be updated
      while( (returnValue.Length + 1) % (2*numDaysForHalfPeriod) != 0)
      {
        float[] newReturnValue = new float[returnValue.Length - 1];
        for(int k = 0;k<returnValue.Length - 1;k++)
          newReturnValue[k] = returnValue[k + 1];
        returnValue = newReturnValue;
        firstQuoteDate = firstQuoteDate.AddDays(1);
        firstQuoteDate = sourceQuotes.GetQuoteDateOrFollowing(firstQuoteDate);
      }

      return returnValue;
    }

    protected override float[] getArrayOfRatesOfReturn(string ticker)
    {
      float[] returnValue = null;
      Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
      returnValue = this.getArrayOfRatesOfReturn_getAdjustedArray(tickerQuotes, this.numDaysForReturnCalculation,
                                                                  ref this.firstQuoteDate);
      this.numberOfExaminedReturns = returnValue.Length;
      
      return returnValue;
    }

//   	//implementation with fitness as average of modified sh for single tickers
//    private double getFitnessValue_getModifiedSharpeRatioForTicker(int[] genes,
//                                                           int tickerPositionInGenes)
//    {
//      bool longReturns = false;
//      if(genes[tickerPositionInGenes] > 0)
//        //genes[tickerPositionInGenes], the code for ticker, points to a ticker for which long returns are to be examined
//        longReturns = true;
//      int position = this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(genes[tickerPositionInGenes]);
//      this.setOfCandidates[position].LongRatesOfReturn = longReturns;
//      float[] arrayOfRatesOfReturn = this.setOfCandidates[position].ArrayOfRatesOfReturn;
//      float[] strategyReturns = new float[arrayOfRatesOfReturn.Length];
//      float sign = 1.0F;
//      for(int i=0; i<arrayOfRatesOfReturn.Length; i++)
//      {
//      	if(i > 0 && (i % this.numDaysForReturnCalculation  ==  0) )
//	          sign = -sign;
//	      	
//	      strategyReturns[i] = sign * arrayOfRatesOfReturn[i];
//	    }
//      double stdDev = BasicFunctions.StdDev(strategyReturns);
//      double powerForStdDev = 2.0;
//      
//      return  BasicFunctions.SimpleAverage(strategyReturns)/
//      				Math.Pow(stdDev, powerForStdDev);
//    }
//    
////    new implementation: fitness is the averaged sum of the "modified" sharpeRatios 
////    for each single ticker
//    public override double GetFitnessValue(Genome genome)
//    {
//      double returnValue = 0.0;
//      for(int i = 0; i<genome.Size; i++)
//      {
//      	returnValue += this.getFitnessValue_getModifiedSharpeRatioForTicker( genome.Genes(),i );
//      }
//      return returnValue/genome.Size;	
//    }
    
    public override object Decode(Genome genome)
    {
    	
    	string[] arrayOfTickers = new string[genome.Genes().Length];
      int indexOfTicker;
      for(int index = 0; index < genome.Genes().Length; index++)
      {
        indexOfTicker = (int)genome.Genes().GetValue(index);
        arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
      }
      GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers);
      return meaning;
    }
    
    //OLD IMPLEMENTATION - linear combination
    public override double GetFitnessValue(Genome genome)
    {
      double returnValue = 0.0;
      this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
      
      double[] oscillatorPortfolioRatesOfReturn = this.getFitnessValue_getOscillatorRates();
      
      double averageOscillatorPortfolioRateOfReturn = 
            BasicFunctions.SimpleAverage(oscillatorPortfolioRatesOfReturn);
        
      double oscillatorPortfolioStdDev = 
            BasicFunctions.StdDev(oscillatorPortfolioRatesOfReturn);

      returnValue = averageOscillatorPortfolioRateOfReturn /
                    Math.Pow(oscillatorPortfolioStdDev,1.2);
     
      return returnValue; 
    }
    
    private double[] getFitnessValue_getOscillatorRates()
    {
    	double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
      double sign = 1.0;
      for(int i = 0;i<this.PortfolioRatesOfReturn.Length; i++)
      {
      	if(i > 0 && (i % this.numDaysForReturnCalculation  ==  0) )
          sign = -sign;
        returnValue[i] = sign*this.PortfolioRatesOfReturn[i];
      }

      return returnValue;
    }
	
		//new implementation: changed how fitness is computed
		//now it is the sharpe ratio for the equity line resulting
		//from applying the strategy
//	  public override double GetFitnessValue(Genome genome)
//    {
//      double returnValue = 0.0;
//      this.portfolioRatesOfReturn = this.getPortfolioRatesOfReturn(genome.Genes());
//      
//      double[] equityLine = this.getFitnessValue_getEquityLineRates();
//      
//      double averageEquityLineRateOfReturn = 
//            BasicFunctions.SimpleAverage(equityLine);
//        
//      double equityLineStdDev = 
//            BasicFunctions.StdDev(equityLine);
//
//      returnValue = averageEquityLineRateOfReturn /
//                    Math.Pow(equityLineStdDev,2.0);
//     
//      return returnValue; 
//    }
//    
//    private double[] getFitnessValue_getEquityLineRates()
//    {
//    	double[] returnValue = new double[this.PortfolioRatesOfReturn.Length];
//      double sign = 1.0;
//      for(int i = this.numDaysForReturnCalculation - 1;
//          i<this.PortfolioRatesOfReturn.Length;
//          i++)
//      {
//      	// if gain of last half period is negative, 
//      	// then add to the array the returns of the second half
//      }
//
//      return returnValue;
//    }
	
  }

}

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8202/FixedPeriodOscillators

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

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8014/ExtremeCounterTrend

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

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7876/Oscillators

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

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7552/TechnicalAnalysisTesting

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

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample RunSimplePairTradingIS.cs,NONE,1.1 OutputDisplayer.cs,NONE,1.1 OptimizationOutput.cs,NONE,1.1 GenomeRepresentation.cs,NONE,1.1 EndOfDayTimerHandlerSimplePTIS.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7517/PairTrading/SimplePairTrading/InSample

Added Files:
	RunSimplePairTradingIS.cs OutputDisplayer.cs 
	OptimizationOutput.cs GenomeRepresentation.cs 
	EndOfDayTimerHandlerSimplePTIS.cs 
Log Message:
Added SimplePairTrading strategy, based on arbitrage concepts

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

OutputDisplayer.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.Drawing;
using System.Collections;
using System.ComponentModel;
using System.Windows.Forms;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading.InSample
{
	/// <summary>
	/// Summary description for OutputDisplayer
	/// </summary>
	public class OutputDisplayer : System.Windows.Forms.Form
	{
		private System.Windows.Forms.Label label2;
		private System.Windows.Forms.Label label1;
		private System.Windows.Forms.Button buttonLoadFromFile;
		private System.Windows.Forms.DateTimePicker dtpLastDate;
		private System.Windows.Forms.DateTimePicker dtpFirstDate;
		private System.Windows.Forms.TextBox textBoxMaxNumOfStdDevForNormalGap;
		private System.Windows.Forms.DataGrid dgBestGenomes;
		/// <summary>
		/// Required designer variable.
		/// </summary>
		private System.ComponentModel.Container components = null;

		// user code
		private ArrayList bestGenomes;
		private GenomeRepresentation lastSelectedGenomeRepresentation;

		private void outputDisplayer()
		{
			this.dgBestGenomes.DataSource = this.bestGenomes;
      DataGridTableStyle styleForGrid = 
          new DataGridTableStyle();
      styleForGrid.AllowSorting = true;
      this.dgBestGenomes.TableStyles.Add(styleForGrid);
		}
		public OutputDisplayer( DateTime firstDate , DateTime lastDate ,
			ArrayList bestGenomes )
		{
			if ( bestGenomes.Count == 0 )
				throw new Exception( "bestGenomes is empty! It should contain " +
					"a genome, at least." );
			//
			// Required for Windows Form Designer support
			//
			InitializeComponent();

			// Marco code
			this.lastSelectedGenomeRepresentation =
				((GenomeRepresentation)bestGenomes[0]);
			this.dtpFirstDate.Value =
				this.lastSelectedGenomeRepresentation.FirstOptimizationDate;
			this.dtpLastDate.Value =
				this.lastSelectedGenomeRepresentation.LastOptimizationDate;
      this.bestGenomes = bestGenomes;
			this.outputDisplayer();
		}

		/// <summary>
		/// Clean up any resources being used.
		/// </summary>
		protected override void Dispose( bool disposing )
		{
			if( disposing )
			{
				if(components != null)
				{
					components.Dispose();
				}
			}
			base.Dispose( disposing );
		}

		#region Windows Form Designer generated code
		/// <summary>
		/// Required method for Designer support - do not modify
		/// the contents of this method with the code editor.
		/// </summary>
		private void InitializeComponent() {
			this.dgBestGenomes = new System.Windows.Forms.DataGrid();
			this.textBoxMaxNumOfStdDevForNormalGap = new System.Windows.Forms.TextBox();
			this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
			this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
			this.buttonLoadFromFile = new System.Windows.Forms.Button();
			this.label1 = new System.Windows.Forms.Label();
			this.label2 = new System.Windows.Forms.Label();
			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
			this.SuspendLayout();
			// 
			// dgBestGenomes
			// 
			this.dgBestGenomes.DataMember = "";
			this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
			this.dgBestGenomes.Location = new System.Drawing.Point(0, 173);
			this.dgBestGenomes.Name = "dgBestGenomes";
			this.dgBestGenomes.Size = new System.Drawing.Size(584, 200);
			this.dgBestGenomes.TabIndex = 0;
			this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
			// 
			// textBoxMaxNumOfStdDevForNormalGap
			// 
			this.textBoxMaxNumOfStdDevForNormalGap.Location = new System.Drawing.Point(264, 88);
			this.textBoxMaxNumOfStdDevForNormalGap.Name = "textBoxMaxNumOfStdDevForNormalGap";
			this.textBoxMaxNumOfStdDevForNormalGap.TabIndex = 5;
			this.textBoxMaxNumOfStdDevForNormalGap.Text = "1";
			// 
			// dtpFirstDate
			// 
			this.dtpFirstDate.Location = new System.Drawing.Point(16, 48);
			this.dtpFirstDate.Name = "dtpFirstDate";
			this.dtpFirstDate.TabIndex = 1;
			// 
			// dtpLastDate
			// 
			this.dtpLastDate.Location = new System.Drawing.Point(264, 48);
			this.dtpLastDate.Name = "dtpLastDate";
			this.dtpLastDate.Size = new System.Drawing.Size(208, 20);
			this.dtpLastDate.TabIndex = 2;
			// 
			// buttonLoadFromFile
			// 
			this.buttonLoadFromFile.Location = new System.Drawing.Point(168, 8);
			this.buttonLoadFromFile.Name = "buttonLoadFromFile";
			this.buttonLoadFromFile.Size = new System.Drawing.Size(136, 24);
			this.buttonLoadFromFile.TabIndex = 4;
			this.buttonLoadFromFile.Text = "Load genomes";
			// 
			// label1
			// 
			this.label1.Location = new System.Drawing.Point(32, 128);
			this.label1.Name = "label1";
			this.label1.Size = new System.Drawing.Size(400, 32);
			this.label1.TabIndex = 3;
			this.label1.Text = "Left click data grid rows to reset dates to the optimization period. Right click " +
"to preserve date displacements and backtest.";
			// 
			// label2
			// 
			this.label2.Location = new System.Drawing.Point(16, 88);
			this.label2.Name = "label2";
			this.label2.Size = new System.Drawing.Size(200, 23);
			this.label2.TabIndex = 6;
			this.label2.Text = "Max Num of StDev for normal Gap";
			// 
			// OutputDisplayer
			// 
			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
			this.ClientSize = new System.Drawing.Size(584, 373);
			this.Controls.Add(this.label2);
			this.Controls.Add(this.textBoxMaxNumOfStdDevForNormalGap);
			this.Controls.Add(this.buttonLoadFromFile);
			this.Controls.Add(this.label1);
			this.Controls.Add(this.dtpLastDate);
			this.Controls.Add(this.dtpFirstDate);
			this.Controls.Add(this.dgBestGenomes);
			this.Name = "OutputDisplayer";
			this.Text = "OutputDisplayer SimplePairTrading";
			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit();
			this.ResumeLayout(false);
		}
		#endregion

		private bool aRowHasBeenClicked(
			object sender, System.Windows.Forms.MouseEventArgs e )
		{
			DataGrid dataGrid = (DataGrid)sender;
			Point point = new Point( e.X , e.Y );
			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
			return hitTestInfo.Row>=0;
		}
		private GenomeRepresentation dgBestGenomes_MouseUp_getClickedGenomeRepresentation(
			object sender, System.Windows.Forms.MouseEventArgs e )
		{
			GenomeRepresentation genomeRepresentation = null;
			DataGrid dataGrid = (DataGrid)sender;
			Point point = new Point( e.X , e.Y );
			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
			ArrayList bestGenomes = (ArrayList)dataGrid.DataSource;
			//			DataRow dataRow = dataTable.Rows[ hitTestInfo.Row ];
			if ( hitTestInfo.Row >= 0 )
				// a grid row has been clicked, not the header
				genomeRepresentation =
				(GenomeRepresentation)bestGenomes[ hitTestInfo.Row ];
			return genomeRepresentation;
		}
		private void dgBestGenomes_MouseUp_rightButton_updateDates(
			GenomeRepresentation newSelectedGenomeRepresentation )
		{
			TimeSpan currentFirstDateDisplacement =
				( this.dtpFirstDate.Value -
				this.lastSelectedGenomeRepresentation.FirstOptimizationDate );
			TimeSpan currentLastDateDisplacement =
				( this.dtpLastDate.Value -
				this.lastSelectedGenomeRepresentation.LastOptimizationDate );
			this.dtpFirstDate.Value = newSelectedGenomeRepresentation.FirstOptimizationDate +
				currentFirstDateDisplacement;
			this.dtpLastDate.Value = newSelectedGenomeRepresentation.LastOptimizationDate +
				currentLastDateDisplacement;
		}
		private void dgBestGenomes_MouseUp_rightButton(object sender, System.Windows.Forms.MouseEventArgs e)
		{
			GenomeRepresentation genomeRepresentation =
				this.dgBestGenomes_MouseUp_getClickedGenomeRepresentation( sender , e );
			dgBestGenomes_MouseUp_rightButton_updateDates( genomeRepresentation );
			RunSimplePairTradingIS runSimplePairTradingIS =
				new RunSimplePairTradingIS(Convert.ToDouble(this.textBoxMaxNumOfStdDevForNormalGap.Text),
                                   genomeRepresentation.NumDaysForGap,
                                   genomeRepresentation.AverageGap,
                                   genomeRepresentation.StdDevGap,
                                   genomeRepresentation.FirstTicker,
                                   genomeRepresentation.SecondTicker,
                                   this.dtpFirstDate.Value ,
				                           this.dtpLastDate.Value);
      runSimplePairTradingIS.Run();
			this.lastSelectedGenomeRepresentation = genomeRepresentation;
		}
		
    private void dgBestGenomes_MouseUp_leftButton_updateDates(
			GenomeRepresentation newSelectedGenomeRepresentation )
		{
			this.dtpFirstDate.Value =
				newSelectedGenomeRepresentation.FirstOptimizationDate;
			this.dtpLastDate.Value =
				newSelectedGenomeRepresentation.LastOptimizationDate;
		}
		private void dgBestGenomes_MouseUp_leftButton(object sender, System.Windows.Forms.MouseEventArgs e)
		{
			if ( aRowHasBeenClicked( sender , e ) )
				// a grid row has been clicked, not the header
			{
				GenomeRepresentation newSelectedGenomeRepresentation =
					this.dgBestGenomes_MouseUp_getClickedGenomeRepresentation( sender , e );
				dgBestGenomes_MouseUp_leftButton_updateDates( newSelectedGenomeRepresentation );
				this.lastSelectedGenomeRepresentation = newSelectedGenomeRepresentation;
			}
		}
		private void dgBestGenomes_MouseUp(object sender, System.Windows.Forms.MouseEventArgs e)
		{
			if ( e.Button == MouseButtons.Right )
				this.dgBestGenomes_MouseUp_rightButton( sender , e );
			if ( e.Button == MouseButtons.Left )
				this.dgBestGenomes_MouseUp_leftButton( sender , e );
		}
   
	}
}

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

OptimizationOutput.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;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading.InSample
{
	/// <summary>
	/// Data to be saved/load to/from disk, resulting from the
	/// optimization process.
	/// </summary>
	[Serializable]
	public class OptimizationOutput : ArrayList
	{
//		public ArrayList BestGenomes
//		{
//			get { return this.bestGenomes; }
//		}
		public OptimizationOutput()
		{
		}
		/// <summary>
		/// Adds a genome representation
		/// </summary>
		/// <param name="genomeRepresentation"></param>
		public void Add( GenomeRepresentation genomeRepresentation )
		{
			base.Add( genomeRepresentation );
		}
	}
}

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

EndOfDayTimerHandlerSimplePTIS.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.DataProviders;
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.ArbitrageTesting.PairTrading.SimplePairTrading
{
	
  /// <summary>
  /// Implements MarketOpenEventHandler,
  /// MarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
  /// for the implementation of the simple pair trading strategy for
  /// two given tickers for a given time interval
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerSimplePTIS : EndOfDayTimerHandlerSimplePT
  {
    private int numDaysForGap;
    private double averageGap;
    private double stdDevGap;

    private void endOfDayTimeHandlerSimplePTIS_setChosenTickers(string firstTicker,
                                                                string secondTicker,
                                                                double averageGap,
                                                                double stdDevGap)
    {
      for(int i = 0;i<this.averageGapsOfChosenTickers.Length;i++)
      {
        this.averageGapsOfChosenTickers[i] = averageGap;
        this.stdDevGapsOfChosenTickers[i] = stdDevGap;
        if(i%2 == 0)
          this.chosenTickers[i] = firstTicker;
        else
          this.chosenTickers[i] = secondTicker;
      }
    }

    public EndOfDayTimerHandlerSimplePTIS(double maxNumOfStdDevForNormalGap,
                                          int numDaysForGap,
                                          double averageGap,
                                          double stdDevGap,
                                          string firstTicker, string secondTicker,
                                          DateTime startDate, DateTime endDate,
                                          Account account) : 
                                          base("",0,0,0,0,
                                          "^GSPC",startDate, endDate,
                                          maxNumOfStdDevForNormalGap,
                                          0,0,0,0, account)
    {
    	this.numDaysForGap = numDaysForGap;
      this.averageGap = averageGap;
      this.stdDevGap = stdDevGap;
      this.minimumGainForClosingPositions = 0.002;
      this.maximumToleratedLoss = 0.02;
      this.endOfDayTimeHandlerSimplePTIS_setChosenTickers(firstTicker, secondTicker,
                                                          averageGap, stdDevGap);
    }
      
    /// <summary>
    /// Handles a "Market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	if(((IndexBasedEndOfDayTimer)sender).GetPreviousDateTime() !=
          endOfDayTimingEventArgs.EndOfDayDateTime.DateTime)
      //it is not the first date fired by the timer, so the
      // gap can be computed
          base.MarketCloseEventHandler(sender, endOfDayTimingEventArgs);
    }

    /// <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 )
    {
    	
    }

  }
}

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

GenomeRepresentation.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 QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading.InSample
{
	/// <summary>
	/// Provides the genome relevant informations
	/// </summary>
	[Serializable]
	public class GenomeRepresentation
	{
		private double fitness;
		private string firstTicker;
    private string secondTicker;
		private DateTime firstOptimizationDate;
		private DateTime lastOptimizationDate;
    private int numDaysForGap;
    private double averageGap;
    private double stdDevGap;
    private double maxNumOfStdDevForNormalGap;
    private int generationCounter;

		public string FirstTicker
		{
			get{return this.firstTicker;}
		}
    
    public string SecondTicker
    {
      get{return this.secondTicker;}
    }

		public double Fitness
		{
			get { return this.fitness; }
		}
		public DateTime FirstOptimizationDate
		{
			get { return this.firstOptimizationDate; }
		}
		public DateTime LastOptimizationDate
		{
			get { return this.lastOptimizationDate; }
		}
		/// <summary>
		/// Number of the first generation containing the genome
		/// </summary>
		public int GenerationCounter
		{
			get { return this.generationCounter; }
		}

    public int NumDaysForGap
    {
      get { return this.numDaysForGap; }
    }

    public double AverageGap
    {
      get { return this.averageGap; }
    }
    
    public double StdDevGap
    {
      get { return this.stdDevGap; }
    }

    public double MaxNumOfStdDevForNormalGap
    {
      get { return this.maxNumOfStdDevForNormalGap; }
    }

    private void genomeRepresentation( double maxNumOfStdDevForNormalGap, Genome genome ,
			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
			int generationCounter )
		{
			this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
      this.fitness = genome.Fitness;
      this.averageGap = ((GenomeMeaningSimplePT)genome.Meaning).AverageGap;
      this.stdDevGap = ((GenomeMeaningSimplePT)genome.Meaning).StdDevGap;
      this.firstTicker = ((GenomeMeaningSimplePT)genome.Meaning).FirstTicker;
      this.secondTicker = ((GenomeMeaningSimplePT)genome.Meaning).SecondTicker;
			this.numDaysForGap = ((GenomeMeaningSimplePT)genome.Meaning).NumOfDaysForGap;
      this.firstOptimizationDate = firstOptimizationDate;
			this.lastOptimizationDate = lastOptimizationDate;
			this.generationCounter = generationCounter;
		}
		public GenomeRepresentation( double maxNumOfStdDevForNormalGap, Genome genome ,
			DateTime firstOptimizationDate , DateTime lastOptimizationDate )
		{
			this.genomeRepresentation( maxNumOfStdDevForNormalGap, genome ,
				firstOptimizationDate , lastOptimizationDate , -1 );
		}
		public GenomeRepresentation( double maxNumOfStdDevForNormalGap, Genome genome ,
			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
			int generationCounter )
		{
			this.genomeRepresentation( maxNumOfStdDevForNormalGap, genome , firstOptimizationDate ,
				lastOptimizationDate , generationCounter );
		}
	}
}

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

RunSimplePairTradingIS.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 QuantProject.ADT.FileManaging;
using QuantProject.Data.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Timing;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.DataProviders;
using QuantProject.Presentation.Reporting.WindowsForm;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading;


namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading.InSample
{
	
  /// <summary>
	/// Script to test the pair trading strategy for
	/// two tickers for a given time period
	/// </summary>
  [Serializable]
  public class RunSimplePairTradingIS
  {
    private double maxNumOfStdDevForNormalGap;
    private int numDaysForGap;
    private double averageGap;
    private double stdDevGap;
    private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
    private string firstTicker;
    private string secondTicker;
    private DateTime startDateTime;
    private DateTime endDateTime;
    private IHistoricalQuoteProvider historicalQuoteProvider;
    private Account account;
    private IEndOfDayTimer endOfDayTimer;
    private string benchmark;
    private string scriptName;

    public RunSimplePairTradingIS(double maxNumOfStdDevForNormalGap,
                                  int numDaysForGap,
                                  double averageGap,
                                  double stdDevGap,
                                  string firstTicker, string secondTicker,
                                  DateTime startDate, DateTime endDate)
                                  
    {
      this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
      this.numDaysForGap = numDaysForGap;
      this.averageGap = averageGap;
      this.stdDevGap = stdDevGap;
      this.firstTicker = firstTicker;
      this.secondTicker = secondTicker;
      this.startDateTime = startDate;
      this.endDateTime = endDate;
      this.benchmark = "^GSPC";
      this.scriptName = "SimplePairTradingForGivenTickers";
    }
    
    #region Run
        
    private void run_initializeEndOfDayTimer()
    {
      //default endOfDayTimer
      this.endOfDayTimer =
        new IndexBasedEndOfDayTimer( new EndOfDayDateTime(this.startDateTime,
                                                          EndOfDaySpecificTime.MarketOpen),
                                     this.benchmark );
    	
    }
    
    protected void run_initializeAccount()
    {
      //default account with no commissions and no slippage calculation
      this.account = new Account( this.scriptName , this.endOfDayTimer ,
        new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
        this.historicalQuoteProvider ) ,
        new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
        this.historicalQuoteProvider ));
     
    }
        
    private void run_initializeHistoricalQuoteProvider()
    {
      this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
    }
    
        
    private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
    {
      if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime)
        //last date is reached by the timer
        this.showReport();
    }
    
    private void showReport()
    {
      AccountReport accountReport = this.account.CreateReport(this.scriptName, 1,
                                        this.endOfDayTimer.GetCurrentTime(),
                                        this.benchmark,
                                        new HistoricalAdjustedQuoteProvider());
      Report report = new Report(accountReport);
      report.Show();
      this.endOfDayTimer.Stop();
       
    }
    
    private void run_initialize()
    {
      run_initializeHistoricalQuoteProvider();
      run_initializeEndOfDayTimer();
      run_initializeAccount();
      run_initializeEndOfDayTimerHandler();
    }
    
    
    public void Run()
    {
      this.run_initialize();
      this.run_addEventHandlers();
      this.endOfDayTimer.Start();
    }
    
    private void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePTIS(this.maxNumOfStdDevForNormalGap,
                                                                     this.numDaysForGap,
                                                                     this.averageGap,
                                                                     this.stdDevGap,
                                                                     this.firstTicker, this.secondTicker,
                                                                     this.startDateTime, this.endDateTime,
                                                                     this.account);
    }
    
    
    private void run_addEventHandlers()
    {
      this.endOfDayTimer.MarketOpen +=
        new MarketOpenEventHandler(
        this.endOfDayTimerHandler.MarketOpenEventHandler);  
      
      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.endOfDayTimerHandler.MarketCloseEventHandler);
      
      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.checkDateForReport);
      
      this.endOfDayTimer.OneHourAfterMarketClose +=
        new OneHourAfterMarketCloseEventHandler(
        this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
    }
    #endregion 
    
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading SimplePTGenomeManipulator.cs,NONE,1.1 RunSimplePairTrading.cs,NONE,1.1 GenomeMeaningSimplePT.cs,NONE,1.1 GenomeManagerForSimplePT.cs,NONE,1.1 EndOfDayTimerHandlerSimplePT.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7517/PairTrading/SimplePairTrading

Added Files:
	SimplePTGenomeManipulator.cs RunSimplePairTrading.cs 
	GenomeMeaningSimplePT.cs GenomeManagerForSimplePT.cs 
	EndOfDayTimerHandlerSimplePT.cs 
Log Message:
Added SimplePairTrading strategy, based on arbitrage concepts

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

EndOfDayTimerHandlerSimplePT.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.DataProviders;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading.InSample;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading
{
	
  /// <summary>
  /// Implements MarketOpenEventHandler,
  /// MarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
  /// for the implementation of the simple pair trading strategy
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerSimplePT
  {
    private string tickerGroupID;
    protected string[] chosenTickers = new string[10];
    //this array is designed for containing 
    //five couples of eligible tickers for 
    //the pair trading strategy
    protected double[] averageGapsOfChosenTickers = new double[10];
    protected double[] stdDevGapsOfChosenTickers = new double[10];
    protected string[] lastOrderedTickers = new string[2];
    protected int addedTickersCounter = 0;
    protected float currentPair_firstTickerGain = 0.0F;
    protected float currentPair_secondTickerGain = 0.0F;
    
    private int numberOfEligibleTickers;
    private int numDaysForOptimizationPeriod;
    private int generationNumberForGeneticOptimizer;
    private int populationSizeForGeneticOptimizer;
    protected string benchmark;
    protected DateTime startDate;
    protected DateTime endDate;
    protected double maxNumOfStdDevForNormalGap;
    private double maxLevelForNormalGap;
    private int minNumOfDaysForGapComputation;
    private int maxNumOfDaysForGapComputation;
    private int numDaysBetweenEachOptimization;
    private int numDaysElapsedSinceLastOptimization;
    private double maxRunningHours;
    protected Account account;
    private int seedForRandomGenerator;
    protected double minimumGainForClosingPositions;
    protected double maximumToleratedLoss;
    protected double initialAccountValue = 0.0;
    protected int counterForDaysWithPositions = 0;
    protected int currentNumDaysForGapComputation;
    //it stores the value for the new account
    protected HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
    private OptimizationOutput optimizationOutput;
    
    public OptimizationOutput OptimizationOutput
    {
      get{return this.optimizationOutput;}
    }

    public EndOfDayTimerHandlerSimplePT(string tickerGroupID, int numberOfEligibleTickers, 
                                int numDaysForOptimizationPeriod,
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer,
                                string benchmark,
                                DateTime startDate, DateTime endDate, 
                                double maxNumOfStdDevForNormalGap, int minNumOfDaysForGapComputation,
                                int maxNumOfDaysForGapComputation, int numDaysBetweenEachOptimization,
                                double maxRunningHours,
                                Account account)
    {
    	this.tickerGroupID = tickerGroupID;
      this.numberOfEligibleTickers = numberOfEligibleTickers;
      this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
      this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
      this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
      this.benchmark = benchmark;
      this.startDate = startDate;
      this.endDate = endDate;
      this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
      this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
      this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
      this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      this.maxRunningHours = maxRunningHours;
      this.account = account;
      this.numDaysElapsedSinceLastOptimization = 0;
      this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
      this.historicalAdjustedQuoteProvider = new HistoricalAdjustedQuoteProvider();
      this.minimumGainForClosingPositions = 0.002;
      this.maximumToleratedLoss = 0.02;
      this.optimizationOutput = new OptimizationOutput();
    }

        
    public void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      
    }
       
    #region MarketCloseEventHandler
    
    public void marketCloseEventHandler_closePositions()
    {
      if(this.account.Portfolio[ this.lastOrderedTickers[0] ] != null)
        this.account.ClosePosition( this.lastOrderedTickers[0] );

      if(this.account.Portfolio[ this.lastOrderedTickers[1] ] != null)
        this.account.ClosePosition( this.lastOrderedTickers[1] );
    }
    
    private bool marketCloseEventHandler_isCurrentGainGoodEnoughOrStopLossConditionReached(EndOfDayDateTime currentEndOfDayDateTime)
    {
      bool returnValue = false;
      double currentGain = 
        (this.account.GetMarketValue() - this.initialAccountValue)/
        this.initialAccountValue;
      if(currentGain >= this.minimumGainForClosingPositions ||
        -currentGain >= this.maximumToleratedLoss)
        //gain is good enough or loss is too high ...  
        returnValue = true;

      return returnValue;
    }
    
    private float marketCloseEventHandler_openPositions_getGap(int indexForPair,
                                                                DateTime firstDate,
                                                                DateTime lastDate)
    {
      Quotes firstTickerQuotes = new Quotes(this.chosenTickers[indexForPair], firstDate, lastDate); 
      Quotes secondTickerQuotes = new Quotes(this.chosenTickers[indexForPair+1], firstDate, lastDate);
      this.currentPair_firstTickerGain = 
        (float)firstTickerQuotes.Rows[1]["quClose"]/(float)firstTickerQuotes.Rows[0]["quClose"];
      this.currentPair_secondTickerGain = 
        (float)secondTickerQuotes.Rows[1]["quClose"]/(float)secondTickerQuotes.Rows[0]["quClose"];
      return  (this.currentPair_firstTickerGain - this.currentPair_secondTickerGain);
    }
    
    private void marketCloseEventHandler_openPositions_open(int indexForPair)
                                                            
    {
      double cashForSinglePosition = this.account.CashAmount/2;
      long quantityForFirstTicker =
        Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( this.chosenTickers[indexForPair] ) ) );
      long quantityForSecondTicker =
        Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( this.chosenTickers[indexForPair+1] ) ) );
      OrderType orderTypeForFirstTicker = OrderType.MarketBuy;
      OrderType orderTypeForSecondTicker = OrderType.MarketSellShort;
      if(this.currentPair_firstTickerGain > this.currentPair_secondTickerGain)
      {
        orderTypeForFirstTicker = OrderType.MarketSellShort;
        orderTypeForSecondTicker = OrderType.MarketBuy;
      }
      this.account.AddOrder(new Order( orderTypeForFirstTicker,
                            new Instrument( this.chosenTickers[indexForPair] ) ,
                            quantityForFirstTicker ));
      this.account.AddOrder(new Order( orderTypeForSecondTicker,
                            new Instrument( this.chosenTickers[indexForPair+1] ) ,
                            quantityForSecondTicker ));
      this.lastOrderedTickers[0] = this.chosenTickers[indexForPair];
      this.lastOrderedTickers[1] = this.chosenTickers[indexForPair+1];
    }
    
    private void marketCloseEventHandler_openPositions_setMaxLevelForNormalGap(int indexForPair)
                                                            
    {
      this.maxLevelForNormalGap = this.averageGapsOfChosenTickers[indexForPair] +
                                    this.maxNumOfStdDevForNormalGap * 
                                    this.stdDevGapsOfChosenTickers[indexForPair];
    }
    
    private void marketCloseEventHandler_openPositions(EndOfDayDateTime currentEndOfDayDateTime,
                                                       IndexBasedEndOfDayTimer timer)
    {
      if(this.chosenTickers[0] != null)
      //potential tickers for pair trading have been set
      {
        for(int i = 0; i<this.chosenTickers.Length - 1 && 
          this.account.Portfolio.Count == 0; i++)
        {
          this.marketCloseEventHandler_openPositions_setMaxLevelForNormalGap(i);
          if(Math.Abs(this.marketCloseEventHandler_openPositions_getGap(i, timer.GetPreviousDateTime(),
            timer.GetCurrentTime().DateTime)) >= (float)this.maxLevelForNormalGap)
          //currentGap is too high for being considered rational
          //so there is an arbitrage opportunity
            this.marketCloseEventHandler_openPositions_open(i);
        }
      	this.initialAccountValue = this.account.GetMarketValue();
          //this.account.Portfolio.GetMarketValue(currentEndOfDayDateTime,this.historicalAdjustedQuoteProvider);
      }
    }
        
    public virtual void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      if(this.account.Portfolio.Count == 0)
      //portfolio is empty
      {
        if(this.account.Transactions.Count == 0)
            this.account.AddCash(30000);    
        this.marketCloseEventHandler_openPositions(endOfDayTimingEventArgs.EndOfDayDateTime,
                                                   (IndexBasedEndOfDayTimer)sender);
      }
      else // portfolio is not empty
      {
        this.counterForDaysWithPositions++;
        if(this.counterForDaysWithPositions == this.currentNumDaysForGapComputation ||
           this.marketCloseEventHandler_isCurrentGainGoodEnoughOrStopLossConditionReached(endOfDayTimingEventArgs.EndOfDayDateTime))
        //a number of days equal to the number of days
        //used for gap computation has elapsed or 
        //the current gain is good enough or
        //loss is too high
        {
          this.marketCloseEventHandler_closePositions();
          this.counterForDaysWithPositions = 0;
        }
                 
      }
    }
    #endregion

		#region OneHourAfterMarketCloseEventHandler
      
    protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
    {
     	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
        new SelectorByQuotationAtEachMarketDay( temporizedGroup.GetTableOfSelectedTickers(),
                                                false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                                currentDate, this.numberOfEligibleTickers, this.benchmark);
      return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
    }
    
    private void setTickers_setChosenTickers_addGenomeForOptimizationOutput(Genome genome, DateTime currentDate)
    {
      this.optimizationOutput.Add(new GenomeRepresentation(this.maxNumOfStdDevForNormalGap,
                                                           genome,
                                                           currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                                           currentDate));
    }

    private void setTickers_setChosenTickers_addTickers(Genome genome)
    {
      this.chosenTickers[this.addedTickersCounter] = 
            ((GenomeMeaningSimplePT)genome.Meaning).FirstTicker;
      this.chosenTickers[this.addedTickersCounter+1] = 
        ((GenomeMeaningSimplePT)genome.Meaning).SecondTicker;
      
      this.averageGapsOfChosenTickers[this.addedTickersCounter] = 
            ((GenomeMeaningSimplePT)genome.Meaning).AverageGap;
      this.stdDevGapsOfChosenTickers[this.addedTickersCounter] =
            ((GenomeMeaningSimplePT)genome.Meaning).StdDevGap;

      this.currentNumDaysForGapComputation = ((GenomeMeaningSimplePT)genome.Meaning).NumOfDaysForGap;
      
      this.addedTickersCounter += 2;
    }
    
    private bool setTickers_setChosenTickers_isAnyTickerOfGenomeInChosenTickers(Genome genome)
    {
      bool returnValue = false;
      foreach(string ticker in this.chosenTickers)
      {
        if(ticker == ((GenomeMeaningSimplePT)genome.Meaning).FirstTicker ||
           ticker == ((GenomeMeaningSimplePT)genome.Meaning).SecondTicker)
          returnValue = true;
      }
      return returnValue;
    }
    
    private void setTickers_setChosenTickers(GeneticOptimizer GO, DateTime currentDate)
    {
      this.addedTickersCounter = 0;
      for(int i = 0;
          i<GO.CurrentGeneration.Count -1 &&
            addedTickersCounter<this.chosenTickers.Length;
          i++)
      {
        Genome currentGenome = (Genome)GO.CurrentGeneration[GO.CurrentGeneration.Count-i-1];
        if(!this.setTickers_setChosenTickers_isAnyTickerOfGenomeInChosenTickers(currentGenome))
        {
          this.setTickers_setChosenTickers_addTickers(currentGenome);
          this.setTickers_setChosenTickers_addGenomeForOptimizationOutput(currentGenome,
                                                                          currentDate);
        }
      }
    }

    private void setTickers(DateTime currentDate)
    {
      
      DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
      IGenomeManager genManForSimplePT = 
        new GenomeManagerForSimplePT(setOfTickersToBeOptimized,
        	                            currentDate.AddDays(-this.numDaysForOptimizationPeriod),
        	                            currentDate,
        	                            this.minNumOfDaysForGapComputation,
        	                            this.maxNumOfDaysForGapComputation,
                                      this.maxNumOfStdDevForNormalGap);
      
      GeneticOptimizer GO = new GeneticOptimizer(genManForSimplePT,
                                                this.populationSizeForGeneticOptimizer,
                                                this.generationNumberForGeneticOptimizer,
                                                this.seedForRandomGenerator);
      GO.Run(false);
      this.setTickers_setChosenTickers(GO, currentDate);
    }

    /// <summary>
    /// Handles a "One hour after market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public virtual void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	this.seedForRandomGenerator++;
      if(this.numDaysElapsedSinceLastOptimization == 
    	   this.numDaysBetweenEachOptimization - 1)
    	{
    		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
      	//sets tickers to be chosen at next Market Open event
      	this.numDaysElapsedSinceLastOptimization = 0;
    	}
      else
      {
        this.numDaysElapsedSinceLastOptimization++;
      }
    }
		   
    #endregion
		
  }
}

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

SimplePTGenomeManipulator.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.ADT;
using QuantProject.ADT.Optimizing.Genetic;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading
{
	/// <summary>
	/// Class providing static methods for manipulating Genomes
	/// (used by GenomeManagerForSimplePT)
	/// </summary>
	[Serializable]
  public sealed class SimplePTGenomeManipulator 
	{
		
    public static Random RandomGenerator; 
    private static int genomeSize;
		private static Genome[] childs;
		private static int[,] maskForChilds;
    
    static SimplePTGenomeManipulator()
    {
	  	RandomGenerator = new Random(ConstantsProvider.SeedForRandomGenerator);
		  childs = new Genome[2];  	
		}
    
    private static void initializeStaticMembers(Genome parent1, Genome parent2)
    {
      genomeSize = parent1.Size;
      childs[0]=parent1.Clone();
      childs[1]=parent2.Clone();
      maskForChilds = new int[childs.Length, genomeSize];
      for(int i = 0; i<genomeSize; i++)
      {
      	maskForChilds[0,i]=1;
      	maskForChilds[1,i]=2;
      }
      //maskForChilds has been set in order to re-create
      //a copy of parents by using setChildsUsingMaskForChilds()
    }

    private static void setMaskForChildsForMixingWithoutDuplicates(Genome parent1, Genome parent2)
		                                                           
    {
      //exchange numOfDaysForGap
      maskForChilds[0, 0] = 2;
      maskForChilds[1, 0] = 1;
      //exchange tickers if possible
      if(!IsTickerContainedInGenome(parent1.GetGeneValue(1), parent2))
        maskForChilds[1, 1] = 1;
      if(!IsTickerContainedInGenome(parent2.GetGeneValue(1), parent1))
        maskForChilds[0, 1] = 2;
    }
    
    private static void setChildsUsingMaskForChilds(Genome parent1,
		                                                Genome parent2)
		{
      for(int childIndex = 0; childIndex < 2; childIndex++)
      {
        for(int genePos = 0 ; genePos < SimplePTGenomeManipulator.genomeSize ; genePos++)
      	{
  	      if(maskForChilds[childIndex,genePos]==1)
           	childs[childIndex].SetGeneValue(parent1.GetGeneValue(genePos), genePos);
       		else//maskForChilds[childIndex,genePos]==2
           	childs[childIndex].SetGeneValue(parent2.GetGeneValue(genePos), genePos);
        }
      }
			
		}
		

		/// <summary>
		/// This method returns an array of genomes based on 
		/// a mix of the genes of parents, such that the 2 childs,
		/// if possible, are different from parents and, at 
		/// the same time, childs' genes are not duplicated  
		/// </summary> 
		/// <param name="parent1">First genome parent from which genes are to be mixed in offspring</param>
    /// <param name="parents">Second genome parent from which genes are to be mixed in offspring</param>
    /// <param name="constToDiscoverGenesDuplicates">Gene y is a duplicate of gene x iff y = |x| - 1
    ///  or y = -|x| -1</param>
    public static Genome[] MixGenesWithoutDuplicates(Genome parent1, Genome parent2)
    {
      initializeStaticMembers(parent1, parent2);
      if(parent1.Size > (parent1.MaxValueForGenes - parent1.MinValueForGenes + 1))
			//it is impossible not to duplicate genes if size is too
			// large for the range of variation of each gene
				throw new Exception("Impossible to avoid duplicates with the given size!");
      if(parent1.Size != parent2.Size)
				throw new Exception("Genomes must have the same size!");	
      
      setMaskForChildsForMixingWithoutDuplicates(parent1, parent2);
      setChildsUsingMaskForChilds(parent1, parent2);
      //throwExcIfAChildHasDuplicateGenes(); //just for debugging purposes
      return childs;
    }
		
    /// <summary>
		/// Returns true if a given gene, when decoded by the
		/// GenomeManagerForSimplePT, refers to a
		/// ticker already contained in a given genome 
		/// </summary> 
		/// <param name="geneCorrespondingToATicker">Gene, corresponding to a certain ticker, that has to be checked</param>
    /// <param name="genome">Genome containing or not the ticker geneCorrespondingToATicker refers to</param>
    public static bool IsTickerContainedInGenome(int geneCorrespondingToATicker,
                                                 Genome genome)
    {
      return geneCorrespondingToATicker == genome.GetGeneValue(1) ||
              geneCorrespondingToATicker == genome.GetGeneValue(2);
    }

	}
}

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

GenomeManagerForSimplePT.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.ArbitrageTesting.PairTrading.SimplePairTrading
{
	/// <summary>
	/// This class implements IGenomeManager interface, in order to find 
	/// tickers that best suite the pair trading strategy
	/// </summary>
	[Serializable]
  public class GenomeManagerForSimplePT : IGenomeManager
  {
    private DataTable setOfInitialTickers;
    private PairTradingCandidate[] candidates;
    private DateTime firstQuoteDate;
    private DateTime lastQuoteDate;
    private int minNumOfDaysForGapComputation;
    private int maxNumOfDaysForGapComputation;
    private double maxNumOfStdDevForNormalGap;
    private int genomeSize;
    private int minValueForGenes;
    private int maxValueForGenes;
    private GeneticOptimizer currentGeneticOptimizer;
    private float[] gaps;
    //it will contain absolute gaps of gain for tickers
    private double[] pairTradingPortfolioGains;

    //IGenomeManager implementation for properties 
    public int GenomeSize
    {
      get{return this.genomeSize;}
    }
    
    public int MinValueForGenes
    {
      get{return this.minValueForGenes;}
    }
    
    public int MaxValueForGenes
    {
      get{return this.maxValueForGenes;}
    }
    
    public GeneticOptimizer CurrentGeneticOptimizer
    {
      get{return this.currentGeneticOptimizer;}
      set{this.currentGeneticOptimizer = value;}
    }
    //end of interface implementation for properties

    public GenomeManagerForSimplePT(DataTable setOfInitialTickers,
                                    DateTime firstQuoteDate,
                                    DateTime lastQuoteDate,
                                    int minNumOfDaysForGapComputation,
                                    int maxNumOfDaysForGapComputation,
                                    double maxNumOfStdDevForNormalGap)                          
    {
      this.genomeSize = 3;//1° pos for numIntervalDays;
      //2° and 3° positions for tickers
      this.setOfInitialTickers = setOfInitialTickers;
      this.setMinAndMaxValueForGenes();
      this.firstQuoteDate = firstQuoteDate;
      this.lastQuoteDate = lastQuoteDate;
      this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
      this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
      this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
      this.candidates = new PairTradingCandidate[this.setOfInitialTickers.Rows.Count];
      this.retrieveData();
      this.pairTradingPortfolioGains = new double[this.candidates[0].ArrayOfAdjustedCloseQuotes.Length];
    }
    
    private void setMinAndMaxValueForGenes()
    {
      this.minValueForGenes = 0;
      this.maxValueForGenes = this.setOfInitialTickers.Rows.Count - 1;
    }

    private float[] retrieveData_getArrayOfAdjustedCloseQuotes(string ticker)
    {
      float[] returnValue = null;
      Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
      returnValue = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes,"quAdjustedClose");
      return returnValue;
    }

    private void retrieveData()
    {
      for(int i = 0; i<this.setOfInitialTickers.Rows.Count; i++)
      {
        string ticker = (string)setOfInitialTickers.Rows[i][0];
        this.candidates[i] = new PairTradingCandidate(ticker,
                                  this.retrieveData_getArrayOfAdjustedCloseQuotes(ticker));
      }
    }

    private void getFitnessValue_setGaps(Genome genome)
    {
      int numOfDaysForGap = genome.GetGeneValue(0);
      int gapsLength = 
        (this.candidates[0].ArrayOfAdjustedCloseQuotes.Length - 1)/numOfDaysForGap;
      this.gaps = new float[gapsLength];
      int j = 0;//counter for gaps array
      for(int i = 0;i<gapsLength-numOfDaysForGap;i += numOfDaysForGap)
      {
        this.gaps[j] = 
        this.candidates[genome.GetGeneValue(0)].ArrayOfAdjustedCloseQuotes[i+numOfDaysForGap]/
                  this.candidates[genome.GetGeneValue(0)].ArrayOfAdjustedCloseQuotes[i] - 
                  this.candidates[genome.GetGeneValue(1)].ArrayOfAdjustedCloseQuotes[i+numOfDaysForGap]/
                  this.candidates[genome.GetGeneValue(1)].ArrayOfAdjustedCloseQuotes[i] ;
        j++;
      }
    }

    public double GetFitnessValue(Genome genome)
    {
      double returnValue = 0.0;
      this.getFitnessValue_setGaps(genome);
      //float maxGap = this.maxNumOfStdDevForNormalGap * 
//      foreach(float gap in this.gaps)
      
       
      //utilizzare l'equity line della strategia

      //individuare i giorni in cui si entra nel mercato
      //in base al segnale (gap > maxGap) ? ottimizzare il maxGap?
      //crea portafoglio di pair trading
      //calcola gain o stop loss ad ogni chiusura in base agli adjCloses
      //se gain o stopLoss non fanno uscire,
      //aggiungi ritorno al portafoglio di pair trading
      //se gain o stopLoss fanno uscire, azzera gain e stopLoss
      //ripeti ciclo esaminando primo gap utile
      //esauriti i gap, 
      //calcolare sharpeRatio di equityLine
      
      returnValue = (1/Math.Abs(BasicFunctions.SimpleAverage(this.gaps)));// /BasicFunctions.StdDev(this.gaps);
      if(Double.IsNaN(returnValue) || Double.IsInfinity(returnValue))
        returnValue = 0.0;
      return returnValue;
    }
   
    public Genome[] GetChilds(Genome parent1, Genome parent2)
    {
      return
        SimplePTGenomeManipulator.MixGenesWithoutDuplicates(parent1, parent2);
    }
    
    public int GetNewGeneValue(Genome genome, int genePosition)
    {
      int returnValue;
      if(genePosition == 0)
        //this positions needs the n° of days for the gap 
        //between tickers'gains 
      {
        returnValue = GenomeManagement.RandomGenerator.Next(this.minNumOfDaysForGapComputation,
          this.maxNumOfDaysForGapComputation + 1);
      }
      else
        //in 2° or 3° position there must be a ticker different from
        // the one contained in 3° or 2° position
      {
        returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
          genome.MaxValueForGenes + 1);
        while(genePosition>0 
          && SimplePTGenomeManipulator.IsTickerContainedInGenome(returnValue,
                                                                 genome))
          //while in the given position has to be stored
          //a new gene pointing to a ticker and
          //the proposed returnValue points to a ticker
          //already stored in the given genome
        {
          // a new returnValue has to be generated
          returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
            genome.MaxValueForGenes + 1);
        }
      }
      return returnValue;
    }
        
    public void Mutate(Genome genome, double mutationRate)
    {
      int newValueForGene;
      int genePositionToBeMutated = GenomeManagement.RandomGenerator.Next(genome.Size); 
      if(genePositionToBeMutated == 0)
        //this positions needs the n° of days for the gap 
        //between tickers'gains 
      {
        newValueForGene = GenomeManagement.RandomGenerator.Next(this.minNumOfDaysForGapComputation,
          this.maxNumOfDaysForGapComputation + 1);
      }
      else
      {
        newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
                                                                genome.MaxValueForGenes + 1);
        while(genePositionToBeMutated>0 &&
                SimplePTGenomeManipulator.IsTickerContainedInGenome(newValueForGene,
                                                                    genome))
                //while in the proposed genePositionToBeMutated has to be stored
                //a new gene pointing to a ticker and
                //the proposed newValueForGene points to a ticker
                //already stored in the given genome
        {
          newValueForGene = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
            genome.MaxValueForGenes + 1);
        }

      }
      GenomeManagement.MutateOneGene(genome, mutationRate,
        genePositionToBeMutated, newValueForGene);
    }

    public object Decode(Genome genome)
    {
      int numOfDaysForGap = genome.GetGeneValue(0);
      string firstTicker = this.candidates[genome.GetGeneValue(1)].Ticker;
      string secondTicker = this.candidates[genome.GetGeneValue(2)].Ticker;
      double averageGap = BasicFunctions.SimpleAverage(this.gaps);
      double stdDevGap = BasicFunctions.StdDev(this.gaps);
      return new GenomeMeaningSimplePT(numOfDaysForGap, averageGap,
                                       stdDevGap,
                                       firstTicker, secondTicker);
    }

  }

}

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

RunSimplePairTrading.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 QuantProject.ADT.FileManaging;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Timing;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Data.DataProviders;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading.InSample;


namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading
{
	
  /// <summary>
	/// Script to test the pair trading strategy on two single tickers
	/// </summary>
  [Serializable]
  public class RunSimplePairTrading : RunPairTrading
  {
    private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
    public RunSimplePairTrading(string tickerGroupID, int numberOfEligibleTickers,
                                int numDaysForOptimizationPeriod, 
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer, string benchmark,
                                DateTime startDate, DateTime endDate, 
                                double maxNumOfStdDevForNormalGap, int minNumOfDaysForGapComputation,
                                int maxNumOfDaysForGapComputation, int numDaysBetweenEachOptimization,
                                double maxRunningHours):
                                base(tickerGroupID, numberOfEligibleTickers,
                                numDaysForOptimizationPeriod, 
                                generationNumberForGeneticOptimizer,
                                populationSizeForGeneticOptimizer, benchmark,
                                startDate, endDate, 
                                minNumOfDaysForGapComputation, maxNumOfDaysForGapComputation,
                                maxNumOfStdDevForNormalGap, numDaysBetweenEachOptimization,
                                maxRunningHours)
    {

    }
    
    #region auxiliary overriden methods for Run
        
    
    
    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePT(this.tickerGroupID,
        this.numberOfEligibleTickers,
        this.numDaysForOptimizationPeriod,
        this.generationNumberForGeneticOptimizer, 
        this.populationSizeForGeneticOptimizer,
        this.benchmark, this.startDateTime.DateTime, this.endDateTime.DateTime,
        this.maxNumOfStdDevForNormalGap, this.minNumOfDaysForGapComputation,
        this.maxNumOfDaysForGapComputation,
        this.numDaysBetweenEachOptimization, this.maxRunningHours, this.account);
    }
    
    
    protected override void run_addEventHandlers()
    {
      this.endOfDayTimer.MarketOpen +=
        new MarketOpenEventHandler(
        this.endOfDayTimerHandler.MarketOpenEventHandler);  
      
      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.endOfDayTimerHandler.MarketCloseEventHandler);
      
      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.checkDateForReport);
      
      this.endOfDayTimer.OneHourAfterMarketClose +=
        new OneHourAfterMarketCloseEventHandler(
        this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
    }
    #endregion 
    
    //necessary far calling RunPairTrading.Run()
    //in classes that inherit from this class
    public override void Run()
    {
      base.Run();
    }
    public override void SaveScriptResults()
    {
      string fileName = "From"+this.numberOfEligibleTickers +
        "OptDays" + this.numDaysForOptimizationPeriod + "GenNum" + 
        this.generationNumberForGeneticOptimizer +
        "PopSize" + this.populationSizeForGeneticOptimizer;
      string dirNameWhereToSaveAccounts = System.Configuration.ConfigurationSettings.AppSettings["AccountsArchive"] +
        "\\" + this.ScriptName + "\\";
      string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
        "\\" + this.ScriptName + "\\";
//      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
//        "\\" + this.ScriptName + "\\";
      
      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
//      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
    
      ObjectArchiver.Archive(this.account,
        dirNameWhereToSaveAccounts +
        fileName + ".qPa");
      ObjectArchiver.Archive(this.account.Transactions,
        dirNameWhereToSaveTransactions +
        fileName + ".qPt");
    
//      OptimizationOutput optimizationOutput = new OptimizationOutput();
//      foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
//        optimizationOutput.Add(genomeRepresentation);
//      ObjectArchiver.Archive(optimizationOutput,
//                              dirNameWhereToSaveBestGenomes + 
//                              fileName + ".bgn");
      this.endOfDayTimer.Stop();
      new OutputDisplayer(this.startDateTime.DateTime, this.endDateTime.DateTime,
                          this.endOfDayTimerHandler.OptimizationOutput).Show();
      
    }
	}
}

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

GenomeMeaningSimplePT.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;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading
{
  /// <summary>
  /// This is the class representing the meaning for genome
  /// found by a GeneticOptimizer initialized by GenomeManagerForSimplePT
  /// </summary>
  [Serializable]
  public class GenomeMeaningSimplePT
  {
  	private string firstTicker;
    private string secondTicker;
  	private int numOfDaysForGap;
    private double averageGap;
    private double stdDevGap;
  	
  	public string FirstTicker
    {
      get{return this.firstTicker;}
    }
    
    public string SecondTicker
    {
      get{return this.secondTicker;}
    }
    
    public int NumOfDaysForGap
    {
      get{return this.numOfDaysForGap;}
    }
    
    public double AverageGap
    {
      get{return this.averageGap;}
    }
    
    public double StdDevGap
    {
      get{return this.stdDevGap;}
    }
    
    public GenomeMeaningSimplePT(int numOfDaysForGap, double averageGap,
                                 double stdDevGap,
                                  string firstTicker, string secondTicker)
    {
 			this.numOfDaysForGap = numOfDaysForGap;
      this.firstTicker = firstTicker;
      this.secondTicker = secondTicker;
      this.averageGap = averageGap;
      this.stdDevGap = stdDevGap;
		}
  }
}

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading RunPairTrading.cs,NONE,1.1 PairTradingCandidate.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7517/PairTrading

Added Files:
	RunPairTrading.cs PairTradingCandidate.cs 
Log Message:
Added SimplePairTrading strategy, based on arbitrage concepts

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

PairTradingCandidate.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;


namespace QuantProject.Scripts.ArbitrageTesting.PairTrading
{
  /// <summary>
  /// This is the class containing basic information
  /// for each candidate to be evaluated for the pair trading strategies
  /// </summary>
  [Serializable]
  public class PairTradingCandidate
  {
    protected string ticker;
    protected float[] arrayOfAdjustedCloseQuotes;
        
    public PairTradingCandidate(string ticker, float[] arrayOfAdjustedCloseQuotes)
    {
      this.ticker = ticker;
      this.arrayOfAdjustedCloseQuotes = arrayOfAdjustedCloseQuotes;
    }
    
    public float[] ArrayOfAdjustedCloseQuotes
    {
      get
      {
        return this.arrayOfAdjustedCloseQuotes;
      }
    }
    
    public string Ticker
    {
      get{return this.ticker;}
    }
    
    public float GetAdjustedCloseQuote( int arrayElementPosition )
		{
			return this.arrayOfAdjustedCloseQuotes[ arrayElementPosition ];
		}

  }

}

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

RunPairTrading.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.IO;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.ADT;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.ADT.FileManaging;
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.Business.Financial.Accounting.Commissions;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors; 
using QuantProject.Presentation.Reporting.WindowsForm;
using QuantProject.Scripts.WalkForwardTesting.LinearCombination;


namespace QuantProject.Scripts.ArbitrageTesting.PairTrading
{
	/// <summary>
	/// Base class for running scripts based
	/// on pair trading strategy
	/// </summary>
	[Serializable]
  public class RunPairTrading
	{
    protected string tickerGroupID;
    protected int numberOfEligibleTickers;
    protected int numDaysForOptimizationPeriod;
    protected int generationNumberForGeneticOptimizer;
    protected int populationSizeForGeneticOptimizer;
    protected EndOfDayDateTime startDateTime;
    protected EndOfDayDateTime endDateTime;
		protected IHistoricalQuoteProvider historicalQuoteProvider;
    protected Account account;
		
    protected IEndOfDayTimer endOfDayTimer;

    protected string benchmark;
    
    protected string scriptName;
    
    protected double maxNumOfStdDevForNormalGap;
    protected int minNumOfDaysForGapComputation;
    protected int maxNumOfDaysForGapComputation;
    protected int numDaysBetweenEachOptimization;
    protected DateTime startingTimeForScript;
    protected double maxRunningHours;
    //if MaxNumberOfHoursForScript has elapsed and the script
    //is still running, it will be stopped.
    
    public virtual string ScriptName
    {
    	get{return this.scriptName;}
    	set{this.scriptName = value;}
    }
    
    public DateTime TimerLastDate
    {
    	get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
    }	
	
//		public RunPairTrading(string benchmark,
//                          DateTime startDate, DateTime endDate,
//                          double maxLevelForNormalGap,
//                          double maxRunningHours)
//		{
//     
//      this.startDateTime = new EndOfDayDateTime(
//        startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
//      this.endDateTime = new EndOfDayDateTime(
//        endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
//      this.maxLevelForNormalGap = maxLevelForNormalGap;
//      this.benchmark = benchmark;
//     	this.ScriptName = "EfficientGeneric";
//     	this.startingTimeForScript = DateTime.Now;
//      this.maxRunningHours = maxRunningHours;
//      //this.numIntervalDays = 3;
//		}
    
    public RunPairTrading(string tickerGroupID, int numberOfEligibleTickers,
                                int numDaysForOptimizationPeriod, 
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer, string benchmark,
                                DateTime startDate, DateTime endDate, 
                                int minNumOfDaysForGapComputation, int maxNumOfDaysForGapComputation, 
                                double maxNumOfStdDevForNormalGap, int numDaysBetweenEachOptimization,
                                double maxRunningHours)
		{
      //this.progressBarForm = new ProgressBarForm();
      this.tickerGroupID = tickerGroupID;
      this.numberOfEligibleTickers = numberOfEligibleTickers;
      this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
      this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
      this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
      this.startDateTime = new EndOfDayDateTime(
        startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
      this.endDateTime = new EndOfDayDateTime(
        endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
      this.benchmark = benchmark;
     	this.ScriptName = "PairTradingGeneric";
     	this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
      this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
      this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
      this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
     	this.startingTimeForScript = DateTime.Now;
      this.maxRunningHours = maxRunningHours;
      //this.numIntervalDays = 3;
		}
    
   
    #region Run
 		
    protected virtual void run_initializeEndOfDayTimer()
    {
      //default endOfDayTimer
    	this.endOfDayTimer =
        new IndexBasedEndOfDayTimer( this.startDateTime, this.benchmark );
    	
    }
    
    protected virtual void run_initializeAccount()
    {
      //default account with no commissions and no slippage calculation
    	this.account = new Account( this.scriptName , this.endOfDayTimer ,
        new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
					this.historicalQuoteProvider ) ,
        new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
					this.historicalQuoteProvider ));
     
    }
    protected virtual void run_initializeEndOfDayTimerHandler()
    {
     	//always needs specific implementation in inherited classes; 
    }
    
    protected virtual void run_initializeHistoricalQuoteProvider()
    {
      this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
    }
    
    protected void checkDateForReport_createDirIfNotPresent(string dirPath)
    {
    	if(!Directory.Exists(dirPath))
    		Directory.CreateDirectory(dirPath);
    }
    
    protected virtual void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
    {
      if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
         DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
      //last date is reached by the timer or maxRunning hours
      //are elapsed from the time script started
    		this.SaveScriptResults();
    }
    
    public virtual void SaveScriptResults()
    {
      string fileName = "From"+this.numberOfEligibleTickers +
                      "OptDays" + this.numDaysForOptimizationPeriod + "GenNum" + 
                      this.generationNumberForGeneticOptimizer +
                      "PopSize" + this.populationSizeForGeneticOptimizer;
      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);
      
      this.endOfDayTimer.Stop();
       
    }
    
    protected virtual void run_initialize()
    {
      run_initializeHistoricalQuoteProvider();
      run_initializeEndOfDayTimer();
      run_initializeAccount();
      run_initializeEndOfDayTimerHandler();
      //run_initializeProgressHandlers();
    }
    protected virtual void run_addEventHandlers()
    {
      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.checkDateForReport);
      
      //in inherited classes'override method: 
      //add here TimerHandler's handlers to timer's events
      //example
      //this.endOfDayTimer.EVENT_NAME +=
      //  new EVENT_NAMEEventHandler(
      //  this.endOfDayTimerHandler.EVENT_NAMEEventHandler);
    }
    
    
    public virtual void Run()
    {
      this.run_initialize();
      this.run_addEventHandlers();
      //this.progressBarForm.Show();
      this.endOfDayTimer.Start();
    }
    
    #endregion 
    
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6864/InSample

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6848/SimplePairTrading

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6837/PairTrading

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6520/ArbitrageTesting

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

[Quantproject-developers] QuantProject/b2_DataAccess DataAccess.prjx,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23641/b2_DataAccess

Modified Files:
	DataAccess.prjx 
Log Message:
Updated sharpdevelop project's files

Index: DataAccess.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/DataAccess.prjx,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** DataAccess.prjx	7 Sep 2005 06:48:02 -0000	1.2
--- DataAccess.prjx	14 May 2006 08:59:15 -0000	1.3
***************
*** 19,22 ****
--- 19,23 ----
      <File name=".\Tables\VisuallyValidatedQuotes.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\Tables\EventType.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\MissingQuoteException.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b4_Business Business.prjx,1.8,1.9

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23641/b4_Business

Modified Files:
	Business.prjx 
Log Message:
Updated sharpdevelop project's files

Index: Business.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business.prjx,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** Business.prjx	20 Dec 2005 19:50:52 -0000	1.8
--- Business.prjx	14 May 2006 08:59:15 -0000	1.9
***************
*** 99,102 ****
--- 99,103 ----
      <File name=".\a1_Financial\a2_Accounting\Slippage\FixedPercentageSlippageManager.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\a1_Financial\a2_Accounting\RebuildableAccount.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\a2_Strategies\SignedTicker.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b1_ADT ADT.prjx,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23641/b1_ADT

Modified Files:
	ADT.prjx 
Log Message:
Updated sharpdevelop project's files

Index: ADT.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT.prjx,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** ADT.prjx	27 Jul 2005 22:37:14 -0000	1.6
--- ADT.prjx	14 May 2006 08:59:15 -0000	1.7
***************
*** 35,38 ****
--- 35,39 ----
      <File name=".\Optimizing\Genetic\NewGenerationEventArgs.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\Optimizing\Genetic\GenomeCounter.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\Collections\QPHashtable.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References />