quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting CandidateProperties.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13442/b7_Scripts/TickerSelectionTesting

Modified Files:
	CandidateProperties.cs 
Log Message:
the method
public float GetReturn( int arrayElementPosition , bool isLong )
has been added


Index: CandidateProperties.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/CandidateProperties.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** CandidateProperties.cs	21 Oct 2005 22:15:53 -0000	1.3
--- CandidateProperties.cs	11 Dec 2005 18:21:55 -0000	1.4
***************
*** 111,114 ****
--- 111,123 ----
        this.fitness = 0.0;
      }
+ 		public float GetReturn( int arrayElementPosition ,
+ 			bool isLong )
+ 		{
+ 			float returnValue = this.arrayOfRatesOfReturn[ arrayElementPosition ];
+ 			if ( !isLong )
+ 				// a reverse position return is requested
+ 				returnValue = -returnValue;
+ 			return returnValue;
+ 		}
    }
  

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.45,1.46

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv13029/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
- VisualObjectArchiver.cs has been moved to the presentation layer
- WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankDebugInSampleForm.cs has been added
- WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankRunInSampleDebug.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.45
retrieving revision 1.46
diff -C2 -d -r1.45 -r1.46
*** b7_Scripts.csproj	22 Nov 2005 16:25:15 -0000	1.45
--- b7_Scripts.csproj	11 Dec 2005 18:21:04 -0000	1.46
***************
*** 399,405 ****
                  />
                  <File
!                     RelPath = "WalkForwardTesting\LinearCombination\VisualObjectArchiver.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
                  />
                  <File
--- 399,405 ----
                  />
                  <File
!                     RelPath = "WalkForwardTesting\LinearCombination\TestDisplayer.resx"
!                     DependentUpon = "TestDisplayer.cs"
!                     BuildAction = "EmbeddedResource"
                  />
                  <File
***************
*** 454,457 ****
--- 454,467 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankDebugInSampleForm.cs"
+                     SubType = "Form"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankDebugInSampleForm.resx"
+                     DependentUpon = "WFMultiOneRankDebugInSampleForm.cs"
+                     BuildAction = "EmbeddedResource"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankReportDebugger.cs"
                      SubType = "Code"
***************
*** 459,462 ****
--- 469,477 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankRunInSampleDebug.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\WalkForwardOneRank\BestPerformingTickers.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination VisualObjectArchiver.cs,1.2,NONE

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12447/b7_Scripts/WalkForwardTesting/LinearCombination

Removed Files:
	VisualObjectArchiver.cs 
Log Message:
VisualObjectArchiver.cs has been moved to the presentation layer

--- VisualObjectArchiver.cs DELETED ---

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest RunWalkForwardLinearCombination.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv8636/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest

Modified Files:
	RunWalkForwardLinearCombination.cs 
Log Message:
The namespace QuantProject.Presentation is now used

Index: RunWalkForwardLinearCombination.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest/RunWalkForwardLinearCombination.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunWalkForwardLinearCombination.cs	22 Aug 2005 22:23:16 -0000	1.2
--- RunWalkForwardLinearCombination.cs	11 Dec 2005 18:06:52 -0000	1.3
***************
*** 30,33 ****
--- 30,34 ----
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
+ using QuantProject.Presentation;
  using QuantProject.Presentation.Reporting.WindowsForm;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankDebugInSample.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv8528/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger

Modified Files:
	WFMultiOneRankDebugInSample.cs 
Log Message:
firstDateTime is used instead of numberDaysForInSampleOptimization

Index: WFMultiOneRankDebugInSample.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger/WFMultiOneRankDebugInSample.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFMultiOneRankDebugInSample.cs	24 Nov 2005 17:26:20 -0000	1.1
--- WFMultiOneRankDebugInSample.cs	11 Dec 2005 18:06:18 -0000	1.2
***************
*** 37,45 ****
  	{
  		private string[] signedTickers;
! 		private DateTime dateTime;
  		private int numberDaysForInSampleOptimization;
  		private string benchmark;
  
- 		private DateTime startDateTime;
  		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private IndexBasedEndOfDayTimer endOfDayTimer;
--- 37,45 ----
  	{
  		private string[] signedTickers;
! 		private DateTime firstDateTime;
! 		private DateTime lastDateTime;
  		private int numberDaysForInSampleOptimization;
  		private string benchmark;
  
  		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private IndexBasedEndOfDayTimer endOfDayTimer;
***************
*** 49,63 ****
  
  		public WFMultiOneRankDebugInSample( string[] signedTickers ,
! 			DateTime dateTime , int numberDaysForInSampleOptimization ,
  			string benchmark )
  		{
  			this.signedTickers = signedTickers;
! 			this.dateTime = dateTime;
  			this.numberDaysForInSampleOptimization =
  				numberDaysForInSampleOptimization;
  			this.benchmark = benchmark;
  
! 			this.startDateTime = this.dateTime.AddDays(
! 				-this.numberDaysForInSampleOptimization - 1 );
  			this.historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
--- 49,64 ----
  
  		public WFMultiOneRankDebugInSample( string[] signedTickers ,
! 			DateTime firstDateTime , DateTime lastDateTime ,
  			string benchmark )
  		{
  			this.signedTickers = signedTickers;
! 			this.firstDateTime = firstDateTime;
! 			this.lastDateTime = lastDateTime;
  			this.numberDaysForInSampleOptimization =
  				numberDaysForInSampleOptimization;
  			this.benchmark = benchmark;
  
! //			this.startDateTime = this.dateTime.AddDays(
! //				-this.numberDaysForInSampleOptimization - 1 );
  			this.historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
***************
*** 68,72 ****
  			this.endOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 				new EndOfDayDateTime( this.startDateTime ,
  				EndOfDaySpecificTime.MarketOpen ), this.benchmark );
  		}
--- 69,73 ----
  			this.endOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 				new EndOfDayDateTime( this.firstDateTime ,
  				EndOfDaySpecificTime.MarketOpen ), this.benchmark );
  		}
***************
*** 96,100 ****
  		{
  			if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
! 				this.dateTime )
  			{
  				// the simulation has reached the ending date
--- 97,101 ----
  		{
  			if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
! 				this.lastDateTime )
  			{
  				// the simulation has reached the ending date
***************
*** 102,106 ****
  				Report report = new Report( this.account , this.historicalQuoteProvider );
  				report.Create( "WFT One Rank" , 1 ,
! 					new EndOfDayDateTime( this.dateTime , EndOfDaySpecificTime.OneHourAfterMarketClose ) , "^SPX" );
  				report.Show();
  			}
--- 103,107 ----
  				Report report = new Report( this.account , this.historicalQuoteProvider );
  				report.Create( "WFT One Rank" , 1 ,
! 					new EndOfDayDateTime( this.lastDateTime , EndOfDaySpecificTime.OneHourAfterMarketClose ) , "^SPX" );
  				report.Show();
  			}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankGenomeManager.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv7456/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank

Modified Files:
	WFMultiOneRankGenomeManager.cs 
Log Message:
Bug fixex

Index: WFMultiOneRankGenomeManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankGenomeManager.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFMultiOneRankGenomeManager.cs	12 Nov 2005 19:03:39 -0000	1.1
--- WFMultiOneRankGenomeManager.cs	11 Dec 2005 18:04:17 -0000	1.2
***************
*** 137,144 ****
  				this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(tickerIdx);
  			//			this.setOfCandidates[position].LongRatesOfReturn = longReturns;
! 			float[] arrayOfRatesOfReturn =
! 				this.setOfCandidates[ position ].ArrayOfRatesOfReturn;
  			//the investment is assumed to be equally divided for each ticker
! 			return ( arrayOfRatesOfReturn[ arrayElementPosition ] / this.GenomeSize );
  		}    
      
--- 137,146 ----
  				this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(tickerIdx);
  			//			this.setOfCandidates[position].LongRatesOfReturn = longReturns;
! //			float[] arrayOfRatesOfReturn =
! //				this.setOfCandidates[ position ].ArrayOfRatesOfReturn;
! 			float currentReturn = this.setOfCandidates[ position ].GetReturn(
! 				arrayElementPosition , tickerIdx > 0 );
  			//the investment is assumed to be equally divided for each ticker
! 			return ( currentReturn / this.GenomeSize );
  		}    
      

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankReportDebugger.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv6540/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger

Modified Files:
	WFMultiOneRankReportDebugger.cs 
Log Message:
The WFMultiOneRankDebugInSampleForm class is used now

Index: WFMultiOneRankReportDebugger.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger/WFMultiOneRankReportDebugger.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFMultiOneRankReportDebugger.cs	27 Nov 2005 00:12:40 -0000	1.2
--- WFMultiOneRankReportDebugger.cs	11 Dec 2005 18:03:04 -0000	1.3
***************
*** 133,145 ****
  		{
  			string[] signedTickers;
! 			DateTime dateTime;
! 
  			rightClickEventHandler_withDataRow_getNeededDataFromGrid(
! 				dataGrid , rowNumber , out signedTickers , out dateTime );
! 			WFMultiOneRankDebugInSample wFMultiOneRankDebugInSample =
! 				new WFMultiOneRankDebugInSample( signedTickers , dateTime ,
! 				this.numberDaysForInSampleOptimization ,
! 				this.benchmark );
! 			wFMultiOneRankDebugInSample.Run();
  		}
  		private void rightClickEventHandler( object sender ,
--- 133,150 ----
  		{
  			string[] signedTickers;
!       DateTime lastDateTime;
  			rightClickEventHandler_withDataRow_getNeededDataFromGrid(
! 				dataGrid , rowNumber , out signedTickers , out lastDateTime );
! 			DateTime firstDateTime = lastDateTime.AddDays(
! 				-this.numberDaysForInSampleOptimization - 1 );
! 			WFMultiOneRankDebugInSampleForm wFMultiOneRankDebugInSampleForm =
! 				new WFMultiOneRankDebugInSampleForm( signedTickers ,
! 				firstDateTime , lastDateTime , this.benchmark );
! 			wFMultiOneRankDebugInSampleForm.Show();
! //			WFMultiOneRankDebugInSample wFMultiOneRankDebugInSample =
! //				new WFMultiOneRankDebugInSample( signedTickers , firstDateTime ,
! //				lastDateTime ,
! //				this.benchmark );
! //			wFMultiOneRankDebugInSample.Run();
  		}
  		private void rightClickEventHandler( object sender ,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination MainForm.cs,1.7,1.8

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv5929/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	MainForm.cs 
Log Message:
The namespace QuantProject.Presentation is now used

Index: MainForm.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/MainForm.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** MainForm.cs	15 Oct 2005 18:09:22 -0000	1.7
--- MainForm.cs	11 Dec 2005 18:02:10 -0000	1.8
***************
*** 23,29 ****
--- 23,31 ----
  using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
+ using QuantProject.Presentation;
  using QuantProject.Presentation.Reporting.WindowsForm;
  
  
+ 
  namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
  {

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting RebuildableAccount.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4875/b4_Business/a1_Financial/a2_Accounting

Added Files:
	RebuildableAccount.cs 
Log Message:
Account that can be recreated from a transaction history

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

RebuildableAccount.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;
using System.Collections;

using QuantProject.Business.Financial.Accounting.Transactions;

namespace QuantProject.Business.Financial.Accounting
{
	/// <summary>
	/// Account that can be recreated from a transaction history
	/// </summary>
	public class RebuildableAccount : Account
	{
		public RebuildableAccount( string name ) : base( name )
		{
		}
		/// <summary>
		/// Recreate the account from the transaction history
		/// </summary>
		/// <param name="transactions"></param>
		public void Add( TransactionHistory transactions )
		{
			foreach( Object key in transactions.Keys )
			{
				foreach( EndOfDayTransaction transaction
									 in (ArrayList)transactions[key] )
				{
					this.Add( transaction );
				}
			}
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankDebugInSampleForm.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4427/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger

Added Files:
	WFMultiOneRankDebugInSampleForm.cs 
Log Message:
Form to easily test optimized genomes on different time windows
(both in sample and out of sample)

--- NEW FILE: WFMultiOneRankDebugInSampleForm.cs ---
using System;
using System.Drawing;
using System.Collections;
using System.ComponentModel;
using System.Windows.Forms;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	/// <summary>
	/// Form to easily test optimized genomes on different time windows
	/// (both in sample and out of sample)
	/// </summary>
	public class WFMultiOneRankDebugInSampleForm : System.Windows.Forms.Form
	{
		private System.Windows.Forms.DateTimePicker dateTimePickerFirstDate;
		private System.Windows.Forms.DateTimePicker dateTimePickerLastDate;
		private System.Windows.Forms.Button buttonGoTest;
		/// <summary>
		/// Required designer variable.
		/// </summary>
		private System.ComponentModel.Container components = null;

		private string[] signedTickers;
		private DateTime firstDateTime;
		private DateTime lastDateTime;
		private string benchmark;

		public WFMultiOneRankDebugInSampleForm(
			string[] signedTickers ,
			DateTime firstDateTime ,
			DateTime lastDateTime ,
			string benchmark )
		{
			//
			// Required for Windows Form Designer support
			//
			InitializeComponent();

			this.signedTickers = signedTickers;
			this.firstDateTime = firstDateTime;
			this.lastDateTime = lastDateTime;
			this.benchmark = benchmark;
		}

		/// <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.dateTimePickerFirstDate = new System.Windows.Forms.DateTimePicker();
			this.dateTimePickerLastDate = new System.Windows.Forms.DateTimePicker();
			this.buttonGoTest = new System.Windows.Forms.Button();
			this.SuspendLayout();
			// 
			// dateTimePickerFirstDate
			// 
			this.dateTimePickerFirstDate.Location = new System.Drawing.Point(16, 32);
			this.dateTimePickerFirstDate.Name = "dateTimePickerFirstDate";
			this.dateTimePickerFirstDate.TabIndex = 0;
			// 
			// dateTimePickerLastDate
			// 
			this.dateTimePickerLastDate.Location = new System.Drawing.Point(248, 32);
			this.dateTimePickerLastDate.Name = "dateTimePickerLastDate";
			this.dateTimePickerLastDate.TabIndex = 1;
			// 
			// buttonGoTest
			// 
			this.buttonGoTest.Location = new System.Drawing.Point(200, 80);
			this.buttonGoTest.Name = "buttonGoTest";
			this.buttonGoTest.TabIndex = 2;
			this.buttonGoTest.Text = "Go Test";
			this.buttonGoTest.Click += new System.EventHandler(this.buttonGoTest_Click);
			// 
			// WFMultiOneRankDebugInSampleForm
			// 
			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
			this.ClientSize = new System.Drawing.Size(472, 133);
			this.Controls.AddRange(new System.Windows.Forms.Control[] {
																																	this.buttonGoTest,
																																	this.dateTimePickerLastDate,
																																	this.dateTimePickerFirstDate});
			this.Name = "WFMultiOneRankDebugInSampleForm";
			this.Text = "WFMultiOneRankDebugInSampleForm";
			this.Load += new System.EventHandler(this.WFMultiOneRankDebugInSampleForm_Load);
			this.ResumeLayout(false);

		}
		#endregion

		private void buttonGoTest_Click(object sender, System.EventArgs e)
		{
			WFMultiOneRankDebugInSample wFMultiOneRankDebugInSample =
				new WFMultiOneRankDebugInSample(
				this.signedTickers ,
				this.dateTimePickerFirstDate.Value ,
				this.dateTimePickerLastDate.Value ,
				this.benchmark );
			wFMultiOneRankDebugInSample.Run();
		}

		private void WFMultiOneRankDebugInSampleForm_Load(object sender, System.EventArgs e)
		{
			this.dateTimePickerFirstDate.Value = this.firstDateTime;
			this.dateTimePickerLastDate.Value = this.lastDateTime;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankRunInSampleDebug.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3322/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger

Added Files:
	WFMultiOneRankRunInSampleDebug.cs 
Log Message:
Class used to debug in sample results, starting from saved transactions

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

WFMultiOneRankRunInSampleDebug.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;
using System.Windows.Forms;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Transactions;
using QuantProject.Business.Timing;
using QuantProject.Presentation;
using QuantProject.Presentation.Reporting.WindowsForm;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	/// <summary>
	/// Class used to debug in sample results, starting from saved
	/// transactions
	/// </summary>
	public class WFMultiOneRankRunInSampleDebug
	{
		public WFMultiOneRankRunInSampleDebug()
		{
			//
			// TODO: Add constructor logic here
			//
		}
		public void Run()
		{
			VisualObjectArchiver visualObjectArchiver =
				new VisualObjectArchiver();
			TransactionHistory transactionHistory =
				( TransactionHistory )visualObjectArchiver.Load(
				"Load transactions" , "qPt" , "Load transactions" );
			DateTime lastDateTime =
				((DateTime)transactionHistory.GetKey(
				transactionHistory.Count - 1 ) );
			RebuildableAccount account =
				new RebuildableAccount( "FromSerializedTransactions" );
			account.Add( transactionHistory );
			Report report = new Report( account ,
				new HistoricalAdjustedQuoteProvider() );
			report.Create( "WFT One Rank" , 1 ,
				new EndOfDayDateTime(
				lastDateTime ,
				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
				"^SPX" );
			WFMultiOneRankReportDebugger wFMultiOneRankReportDebugger =
				new WFMultiOneRankReportDebugger( 6 ,
				120 , "^SPX" );
			report.TransactionGrid.MouseUp +=
				new MouseEventHandler(
				wFMultiOneRankReportDebugger.MouseClickEventHandler );
			report.Show();
		}
	}
}

[Quantproject-developers] QuantProject/b5_Presentation VisualObjectArchiver.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv2627/b5_Presentation

Added Files:
	VisualObjectArchiver.cs 
Log Message:
Saves/Loads objects to/form disk, invoking a dialog
form to ask for the full file path to write/read to/from.

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

VisualObjectArchiver.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

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

using QuantProject.ADT.FileManaging;

namespace QuantProject.Presentation
{
	/// <summary>
	/// Saves/Loads objects to/form disk, invoking a dialog form to ask for
	/// the full file path to write/read to/from.
	/// </summary>
	public class VisualObjectArchiver
	{
		private SaveFileDialog saveFileDialog;
		/// <summary>
		/// object to be saved
		/// </summary>
		private Object obj;

		public VisualObjectArchiver()
		{
		}
//		public VisualObjectArchiver( ArrayList bestGenomes , string suffix ,
//			string initialDirectory , string title )
//		{
//			this.visualObjectArchiver( bestGenomes , suffix , initialDirectory ,
//				title );
//		}
		private void fileOkEventHandler( object sender , CancelEventArgs e )
		{
			QuantProject.ADT.FileManaging.ObjectArchiver.Archive(
				this.obj , ((SaveFileDialog)this.saveFileDialog).FileName );
		}
		private void save( object obj , string suffix ,
			 string title , string initialDirectory )
		{
			this.obj = obj;
			this.saveFileDialog = new SaveFileDialog();
			this.saveFileDialog.DefaultExt = suffix;
			this.saveFileDialog.Filter = suffix + " files (*."+
				suffix + ")|*." + suffix;
			this.saveFileDialog.Title = title;
			this.saveFileDialog.FileName = title;
			this.saveFileDialog.InitialDirectory = initialDirectory;
			this.saveFileDialog.AddExtension = true;
			this.saveFileDialog.CreatePrompt = true;
			this.saveFileDialog.OverwritePrompt = true;
			//the saveFileDialog title is the same as the
			//menu item clicked by the user
			this.saveFileDialog.CheckPathExists = true;
			this.saveFileDialog.FileOk += new CancelEventHandler(
				this.fileOkEventHandler );
			this.saveFileDialog.ShowDialog();
		}
		public void Save( object obj , string suffix ,
			string title , string initialDirectory )
		{
			this.save( obj , suffix , title , initialDirectory );
		}
		public void Save( object obj , string suffix ,
			string title )
		{
			this.Save( obj , suffix , title ,
				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
		}
		private string getPath( string title , string suffix )
		{
			OpenFileDialog openFileDialog = new OpenFileDialog();
			openFileDialog.Title = title;
			openFileDialog.Filter = suffix + " files (*."+
				suffix + ")|*." + suffix;
			openFileDialog.Multiselect = false;
			openFileDialog.CheckFileExists = true;
			openFileDialog.ShowDialog();
			return openFileDialog.FileName;
		}
		private object load( object obj , string suffix ,
			string title , string initialDirectory )
		{
			string chosenPath = this.getPath( title , suffix );
			return ObjectArchiver.Extract( chosenPath );
		}
		public object Load( object obj , string suffix , string title )
		{
			return this.load( obj , suffix , title ,
				System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] );
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankReportDebugger.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29655/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger

Modified Files:
	WFMultiOneRankReportDebugger.cs 
Log Message:
Bug fixed: casting is used to get the proper comparison behavior.

Index: WFMultiOneRankReportDebugger.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger/WFMultiOneRankReportDebugger.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFMultiOneRankReportDebugger.cs	24 Nov 2005 17:24:57 -0000	1.1
--- WFMultiOneRankReportDebugger.cs	27 Nov 2005 00:12:40 -0000	1.2
***************
*** 108,113 ****
  				dataTable , rowNumber );
  			int currentRowIndex = firstRowNumberForTheGroup;
! 			while ( dataTable.Rows[ currentRowIndex ][ "DateTime" ]
! 				== dataTable.Rows[ rowNumber ][ "DateTime" ] )
  			{
  				// the current row is still in the group
--- 108,113 ----
  				dataTable , rowNumber );
  			int currentRowIndex = firstRowNumberForTheGroup;
! 			while ( (DateTime)dataTable.Rows[ currentRowIndex ][ "DateTime" ]
! 				== (DateTime)dataTable.Rows[ rowNumber ][ "DateTime" ] )
  			{
  				// the current row is still in the group

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankEndOfDayTimerHandler.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29422/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank

Modified Files:
	WFMultiOneRankEndOfDayTimerHandler.cs 
Log Message:
Code has been better organized.
Some bugs have been fixex.

Index: WFMultiOneRankEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankEndOfDayTimerHandler.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFMultiOneRankEndOfDayTimerHandler.cs	12 Nov 2005 19:01:01 -0000	1.1
--- WFMultiOneRankEndOfDayTimerHandler.cs	27 Nov 2005 00:11:29 -0000	1.2
***************
*** 43,51 ****
  	public class WFMultiOneRankEndOfDayTimerHandler
  	{
!     private WFMultiOneRankEligibleTickers eligibleTickers;
  		private WFMultiOneRankChosenTickers chosenTickers;
  
  		private string tickerGroupID;
!     private int numberEligibleTickers;
  		private int numberOfPositionsToBeChosen;
  		private int inSampleWindowDays;
--- 43,51 ----
  	public class WFMultiOneRankEndOfDayTimerHandler
  	{
! 		private WFMultiOneRankEligibleTickers eligibleTickers;
  		private WFMultiOneRankChosenTickers chosenTickers;
  
  		private string tickerGroupID;
! 		private int numberEligibleTickers;
  		private int numberOfPositionsToBeChosen;
  		private int inSampleWindowDays;
***************
*** 131,167 ****
  			this.InSampleNewProgress( sender , eventArgs );
  		}
- //		#region OneHourAfterMarketCloseEventHandler
- //		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions(
- //			IEndOfDayTimer endOfDayTimer )
- //		{
- //			foreach ( Position position in this.account.Portfolio )
- //				if ( this.chosenTickers.Contains( position.Instrument.Key ) )
- //				{
- //					this.account.ClosePosition( position );
- //				}
- //		}
- //		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker(
- //			string ticker )
- //		{
- //			double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
- //			long quantity =
- //				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
- //			Order order = new Order( OrderType.MarketBuy , new Instrument( ticker ) , quantity );
- //			this.account.AddOrder( order );
- //		}
- //		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions()
- //		{
- //			foreach ( string ticker in this.chosenTickers.Keys )
- //				if ( !this.account.Contains( ticker ) )
- //				{
- //					oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker( ticker );
- //				}
- //		}
- //		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers(
- //			IEndOfDayTimer endOfDayTimer )
- //		{
- //			this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions( endOfDayTimer );
- //			this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions();
- //		}
  		private bool areBestTickersToBeChosen()
  		{
--- 131,134 ----
***************
*** 186,212 ****
  				// or outOfSampleWindowDays elapsed since last optimization
  			{
! //				this.eligibleTickers.SetTickers( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime );
  				this.eligibleTickers.SetTickers();
  				this.chosenTickers.SetTickers( this.eligibleTickers );
  				this.lastOptimizationDate = this.now().DateTime;
  			}
! //			oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
  		}
! //		#endregion
  		#region FiveMinutesBeforeMarketCloseEventHandler
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePosition(
! 			string ticker )
  		{
! 			this.account.ClosePosition( ticker );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
  		{
!       ArrayList tickers = new ArrayList();
! 			foreach ( string ticker in this.account.Portfolio.Keys )
! 				tickers.Add( ticker );
! 			foreach ( string ticker in tickers )
! 				fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker );
  		}
! 		private bool todayHigherThanYesterday( string ticker )
  		{
  			double todayMarketValueAtClose =
--- 153,184 ----
  				// or outOfSampleWindowDays elapsed since last optimization
  			{
! 				//				this.eligibleTickers.SetTickers( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime );
  				this.eligibleTickers.SetTickers();
  				this.chosenTickers.SetTickers( this.eligibleTickers );
  				this.lastOptimizationDate = this.now().DateTime;
  			}
! 			//			oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
  		}
! 		//		#endregion
  		#region FiveMinutesBeforeMarketCloseEventHandler
! 		private string getTicker( string signedTicker )
  		{
! 			string returnValue;
! 			if ( signedTicker.IndexOf( "-" ) == 0 )
! 				returnValue = signedTicker.Substring( 1 , signedTicker.Length - 1 );
! 			else
! 				returnValue = signedTicker;
! 			return returnValue;
  		}
! 		private int getReturnMultiplier( string signedTicker )
  		{
! 			int returnValue;
! 			if ( signedTicker.IndexOf( "-" ) == 0 )
! 				returnValue = -1;
! 			else
! 				returnValue = 1;
! 			return returnValue;
  		}
! 		private double getTodayReturnForTicker( string ticker )
  		{
  			double todayMarketValueAtClose =
***************
*** 219,264 ****
  				this.historicalAdjustedQuoteProvider.GetMarketValue(
  				ticker , yesterdayAtClose );
! 			bool returnValue =
! 				( todayMarketValueAtClose > yesterdayMarketValueAtClose );
  			return returnValue;
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 			string ticker )
  		{
  			double maxPositionValue = this.account.GetMarketValue() /
  				this.numberOfPositionsToBeChosen;
  			long sharesToBeTraded = OneRank.MaxBuyableShares( ticker ,
  				maxPositionValue , this.account.DataStreamer );
! 			if ( this.todayHigherThanYesterday( ticker ) )
! 				// today close value for ticker is higher than yesterday
! 				// close for ticker
! 				this.account.AddOrder( new Order( OrderType.MarketBuy ,
! 					new Instrument( ticker ) , sharesToBeTraded ) );
! 			else
! 				// today close value for ticker is not higher than yesterday
! 				// close for ticker
! 				this.account.AddOrder( new Order( OrderType.MarketSellShort ,
! 					new Instrument( ticker ) , sharesToBeTraded ) );
! 		}
! 		private string getTicker( string signedTicker )
! 		{
! 			string returnValue;
! 			if ( signedTicker.IndexOf( "-" ) == 0 )
! 				returnValue = signedTicker.Substring( 1 , signedTicker.Length - 1 );
! 			else
! 				returnValue = signedTicker;
! 			return returnValue;
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
  			foreach ( string signedTicker in this.chosenTickers.Keys )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( 
! 					this.getTicker( signedTicker ) );
  		}
  		public void FiveMinutesBeforeMarketCloseEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
! 			fiveMinutesBeforeMarketCloseEventHandler_openPositions();
  		}
  		#endregion
--- 191,301 ----
  				this.historicalAdjustedQuoteProvider.GetMarketValue(
  				ticker , yesterdayAtClose );
! 			double returnValue =
! 				( todayMarketValueAtClose - yesterdayMarketValueAtClose ) /
! 				yesterdayMarketValueAtClose ;
  			return returnValue;
  		}
+ 		private double getTodayReturnForSignedTicker( string signedTicker )
+ 		{
+ 			double todayReturnForTicker = this.getTodayReturnForTicker(
+ 				this.getTicker( signedTicker ) );
+ 			int returnMultiplier = this.getReturnMultiplier( signedTicker );
+ 			return todayReturnForTicker * returnMultiplier;
+ 		}
+ 		/// <summary>
+ 		/// true iff chosen tickers linear combination daily return is down today
+ 		/// </summary>
+ 		/// <returns></returns>
+ 		private bool isToReverse()
+ 		{
+ 			double totalReturn = 0;
+ 			foreach ( string signedTicker in this.chosenTickers.Keys )
+ 				totalReturn += this.getTodayReturnForSignedTicker( signedTicker );
+ 			return totalReturn < 0;
+ 		}
+ 		private OrderType fiveMinutesBeforeMarketCloseEventHandler_openPosition_getOrderType(
+ 			string signedTicker , bool isToReverse )
+ 		{
+ 			OrderType orderType = OrderType.MarketBuy;
+ 			if ( ( signedTicker.StartsWith( "-" ) && !isToReverse ) ||
+ 				( !signedTicker.StartsWith( "-" ) && isToReverse ) )
+ 				orderType = OrderType.MarketSellShort;
+ 			return orderType;
+ 		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 			string signedTicker , bool isToReverse )
  		{
+ 			string ticker = this.getTicker( signedTicker );
+ 			OrderType orderType =
+ 				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition_getOrderType(
+ 				signedTicker , isToReverse );
  			double maxPositionValue = this.account.GetMarketValue() /
  				this.numberOfPositionsToBeChosen;
  			long sharesToBeTraded = OneRank.MaxBuyableShares( ticker ,
  				maxPositionValue , this.account.DataStreamer );
! 			this.account.AddOrder( new Order( orderType ,
! 				new Instrument( ticker ) , sharesToBeTraded ) );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
+ 			bool isToReverse = this.isToReverse();
  			foreach ( string signedTicker in this.chosenTickers.Keys )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( 
! 					signedTicker , isToReverse );
! 		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePosition(
! 			string ticker )
! 		{
! 			this.account.ClosePosition( ticker );
! 		}
! 		private double getTodayReturnForPosition( Position position )
! 		{
! 			string signedTicker = position.Instrument.Key;
! 			double returnValue;
! 			if ( position.Type == PositionType.Short )
! 				signedTicker = "-" + signedTicker;
! 			returnValue =
! 				this.getTodayReturnForSignedTicker( signedTicker );
! 			return returnValue;
! 		}
! 		private double getTodayReturnForPortfolioPositions()
! 		{
! 			double totalReturn = 0;
! 			foreach ( Position position in this.account.Portfolio.Positions )
! 				totalReturn += this.getTodayReturnForPosition( position );
! 			return totalReturn;
! 		}
! 		private bool arePositionsToBeClosed()
! 		{
! 			double todayReturnForPortfolioPositions =
! 				this.getTodayReturnForPortfolioPositions();
! 			return todayReturnForPortfolioPositions < 0;
! 		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions_actually()
! 		{
! 			ArrayList tickers = new ArrayList();
! 			foreach ( string ticker in this.account.Portfolio.Keys )
! 				tickers.Add( ticker );
! 			foreach ( string ticker in tickers )
! 				fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker );
! 		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
! 		{
! 			if ( this.arePositionsToBeClosed() )
! 				this.fiveMinutesBeforeMarketCloseEventHandler_closePositions_actually();
  		}
  		public void FiveMinutesBeforeMarketCloseEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( this.account.Portfolio.Count == 0 )
! 				fiveMinutesBeforeMarketCloseEventHandler_openPositions();
! 			else
! 			{
! 				if ( this.arePositionsToBeClosed() )
! 				{
! 					this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
! 					this.fiveMinutesBeforeMarketCloseEventHandler_openPositions();
! 				}
! 			}
  		}
  		#endregion

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankDebugEndOfDayTimerHandler.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27297/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger

Modified Files:
	WFMultiOneRankDebugEndOfDayTimerHandler.cs 
Log Message:
Bug fixed. The in sample debug looks to work fine now.

Index: WFMultiOneRankDebugEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger/WFMultiOneRankDebugEndOfDayTimerHandler.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFMultiOneRankDebugEndOfDayTimerHandler.cs	24 Nov 2005 17:24:07 -0000	1.1
--- WFMultiOneRankDebugEndOfDayTimerHandler.cs	27 Nov 2005 00:04:08 -0000	1.2
***************
*** 67,71 ****
  			OrderType returnValue = OrderType.MarketBuy;
  			if ( signedTicker.StartsWith( "-" ) )
! 				returnValue = OrderType.MarketSell;
  			return returnValue;
  		}
--- 67,71 ----
  			OrderType returnValue = OrderType.MarketBuy;
  			if ( signedTicker.StartsWith( "-" ) )
! 				returnValue = OrderType.MarketSellShort;
  			return returnValue;
  		}
***************
*** 126,132 ****
  			OrderType orderType = this.getOrderType( signedTicker );
  			bool returnValue = ( ( ( orderType ==
! 				OrderType.MarketBuy ) && ( positionType == PositionType.Long ) ) ||
  				( orderType ==	OrderType.MarketSellShort ) &&
! 				( positionType == PositionType.Short ) );
  			return returnValue;
  		}
--- 126,132 ----
  			OrderType orderType = this.getOrderType( signedTicker );
  			bool returnValue = ( ( ( orderType ==
! 				OrderType.MarketBuy ) && ( positionType == PositionType.Short ) ) ||
  				( orderType ==	OrderType.MarketSellShort ) &&
! 				( positionType == PositionType.Long ) );
  			return returnValue;
  		}
***************
*** 184,188 ****
  		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed()
  		{
! 			bool returnValue =
  				(	( this.isLinearCombinationTodayValueHigherThanYesterday() &&
  				this.isCurrentlyReversed() ) ||
--- 184,188 ----
  		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed()
  		{
! 			bool returnValue = ( this.account.Portfolio.Count > 0 ) &&
  				(	( this.isLinearCombinationTodayValueHigherThanYesterday() &&
  				this.isCurrentlyReversed() ) ||
***************
*** 193,198 ****
  		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeOpened()
  		{
! 			bool returnValue =
! 				this.fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed();
  			return returnValue;
  		}
--- 193,197 ----
  		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeOpened()
  		{
! 			bool returnValue = ( this.account.Portfolio.Count == 0 );
  			return returnValue;
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank RunWalkForwardMultiOneRank.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26535/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank

Modified Files:
	RunWalkForwardMultiOneRank.cs 
Log Message:
A WFMultiOneRankReportDebugger is used now.

Index: RunWalkForwardMultiOneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/RunWalkForwardMultiOneRank.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunWalkForwardMultiOneRank.cs	12 Nov 2005 18:37:40 -0000	1.1
--- RunWalkForwardMultiOneRank.cs	27 Nov 2005 00:03:05 -0000	1.2
***************
*** 56,60 ****
  		private string tickerGroupID;
  		private int numberEligibleTickers;
! 		private int numberOfPositionsToBeChosen;
  		private int numberDaysForInSampleOptimization;
  		private int numDaysBetweenEachOptimization;
--- 56,60 ----
  		private string tickerGroupID;
  		private int numberEligibleTickers;
! 		private int numberOfPortfolioPositions;
  		private int numberDaysForInSampleOptimization;
  		private int numDaysBetweenEachOptimization;
***************
*** 75,79 ****
  			string tickerGroupID ,
  			int numberEligibleTickers ,
! 			int numberOfPositionsToBeChosen ,
  			int numberDaysForInSampleOptimization ,
  			int numDaysBetweenEachOptimization ,
--- 75,79 ----
  			string tickerGroupID ,
  			int numberEligibleTickers ,
! 			int numberOfPortfolioPositions ,
  			int numberDaysForInSampleOptimization ,
  			int numDaysBetweenEachOptimization ,
***************
*** 87,91 ****
  			this.tickerGroupID = tickerGroupID;
  			this.numberEligibleTickers = numberEligibleTickers;
! 			this.numberOfPositionsToBeChosen = numberOfPositionsToBeChosen;
  			this.numberDaysForInSampleOptimization = numberDaysForInSampleOptimization;
  			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
--- 87,91 ----
  			this.tickerGroupID = tickerGroupID;
  			this.numberEligibleTickers = numberEligibleTickers;
! 			this.numberOfPortfolioPositions = numberOfPortfolioPositions;
  			this.numberDaysForInSampleOptimization = numberDaysForInSampleOptimization;
  			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
***************
*** 133,137 ****
  				this.tickerGroupID ,
  				this.numberEligibleTickers ,
! 				this.numberOfPositionsToBeChosen ,
  				this.numberDaysForInSampleOptimization ,
  				this.numDaysBetweenEachOptimization ,
--- 133,137 ----
  				this.tickerGroupID ,
  				this.numberEligibleTickers ,
! 				this.numberOfPortfolioPositions ,
  				this.numberDaysForInSampleOptimization ,
  				this.numDaysBetweenEachOptimization ,
***************
*** 153,167 ****
  				DateTime.Now.ToString() );
  		}
- //		private void run_initializeProgressBar_newThread()
- //		{
- //			this.progressBarForm = new ProgressBarForm( this );
- //			this.progressBarForm.ShowDialog();
- //		}
- //		private void run_initializeProgressBar()
- //		{
- //			Thread thread = new Thread(new ThreadStart(run_initializeProgressBar_newThread));
- ////			thread.IsBackground = true;
- //			thread.Start();
- //		}
  		private void run_initializeProgressHandlers()
  		{
--- 153,156 ----
***************
*** 170,190 ****
  		}
  		#region oneHourAfterMarketCloseEventHandler
- 		//		private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
- 		//			IEndOfDayTimer endOfDayTimer )
- 		//		{
- 		//			long elapsedDays = Convert.ToInt64( ((TimeSpan)( endOfDayTimer.GetCurrentTime().DateTime - 
- 		//				this.startDateTime.DateTime )).TotalDays );
- 		//			double totalDays = Convert.ToDouble( ((TimeSpan)( this.endDateTime.DateTime - 
- 		//				this.startDateTime.DateTime )).TotalDays + 1);
- 		//			if ( Math.Floor( elapsedDays / totalDays * 100 ) >
- 		//				Math.Floor( ( elapsedDays - 1 ) / totalDays * 100 ) )
- 		//			{
- 		//				// a new out of sample time percentage point has been elapsed
- 		//				int currentProgress = Convert.ToInt16( Math.Floor( elapsedDays / totalDays * 100 ) );
- 		//				NewProgressEventArgs newProgressEventArgs =
- 		//					new NewProgressEventArgs( currentProgress , 100 );
- 		//				this.OutOfSampleNewProgress( this , newProgressEventArgs );
- 		//			}
- 		//		}
  		private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
  			IEndOfDayTimer endOfDayTimer )
--- 159,162 ----
***************
*** 202,230 ****
  				this.account.AddCash( 30000 );
  		}
- 		#region oneHourAfterMarketCloseEventHandler
- 		private void showOneRankForm( object sender ,
- 			MouseEventArgs eventArgs )
- 		{
- 			DataGrid dataGrid = (DataGrid)sender;
- 			Point point = new Point( eventArgs.X , eventArgs.Y );
- 			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
- 			DataTable dataTable = (DataTable)dataGrid.DataSource;
- 			DataRow dataRow = dataTable.Rows[ hitTestInfo.Row ];
- 			//			MessageBox.Show( dataRow[ "DateTime" ].ToString() );
- 			DateTime rowDateTime = (DateTime)dataRow[ "DateTime" ];
- 			string rowTicker = (string)dataRow[ "InstrumentKey"];
- 			OneRankForm oneRankForm = new OneRankForm();
- 			oneRankForm.FirstDateTime =
- 				rowDateTime.AddDays( -this.numberDaysForInSampleOptimization );
- 			oneRankForm.LastDateTime = rowDateTime;
- 			oneRankForm.Ticker = rowTicker;
- 			oneRankForm.Show();
- 		}
- 		private void mouseEventHandler( object sender , MouseEventArgs eventArgs )
- 		{
- 			if ( eventArgs.Button == MouseButtons.Right )
- 				this.showOneRankForm( sender , eventArgs );
- 		}
- 		#endregion
  		public void oneHourAfterMarketCloseEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
--- 174,177 ----
***************
*** 243,248 ****
  					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  					this.benchmark );
  				report.TransactionGrid.MouseUp +=
! 					new MouseEventHandler( this.mouseEventHandler );
  				report.Show();
  			}
--- 190,199 ----
  					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  					this.benchmark );
+ 				WFMultiOneRankReportDebugger wFMultiOneRankReportDebugger =
+ 					new WFMultiOneRankReportDebugger( this.numberOfPortfolioPositions ,
+ 					this.numberDaysForInSampleOptimization , this.benchmark );
  				report.TransactionGrid.MouseUp +=
! 					new MouseEventHandler(
! 					wFMultiOneRankReportDebugger.MouseClickEventHandler );
  				report.Show();
  			}

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/OneRank RunOneRank.cs,1.10,1.11

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23785/b7_Scripts/SimpleTesting/OneRank

Modified Files:
	RunOneRank.cs 
Log Message:
^SPX is used as benchmark (it was MSFT before)

Index: RunOneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank/RunOneRank.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** RunOneRank.cs	7 Jun 2005 15:36:24 -0000	1.10
--- RunOneRank.cs	26 Nov 2005 23:58:23 -0000	1.11
***************
*** 44,48 ****
  	public class RunOneRank : Script
  	{
! 		private DateTime startDateTime = new DateTime( 1993 , 1 , 1 );
  		private DateTime endDateTime = new DateTime( 2003 , 12 , 31 );
  		private Account account;
--- 44,48 ----
  	public class RunOneRank : Script
  	{
! 		private DateTime startDateTime = new DateTime( 2003 , 1 , 1 );
  		private DateTime endDateTime = new DateTime( 2003 , 12 , 31 );
  		private Account account;
***************
*** 84,88 ****
  				new IndexBasedEndOfDayTimer(
  				new EndOfDayDateTime( this.startDateTime ,
! 				EndOfDaySpecificTime.MarketOpen ) , "MSFT" );
  
  //			with IB commission
--- 84,88 ----
  				new IndexBasedEndOfDayTimer(
  				new EndOfDayDateTime( this.startDateTime ,
! 				EndOfDaySpecificTime.MarketOpen ) , "^spx" );
  
  //			with IB commission

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Portfolio.cs,1.8,1.9

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23541/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Portfolio.cs 
Log Message:
IsLong method and IsShort method have been overloaded to work with a ticker (string) as a parameter

Index: Portfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Portfolio.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** Portfolio.cs	15 Oct 2005 18:15:43 -0000	1.8
--- Portfolio.cs	26 Nov 2005 23:57:20 -0000	1.9
***************
*** 78,90 ****
  		}
  
!     public bool IsLong( Instrument instrument )
!     {
!       return this.Contains( instrument ) && (((Position)this[ instrument.Key ]).Quantity > 0);
!     }
  
!     public bool IsShort( Instrument instrument )
!     {
!       return this.Contains( instrument ) && (((Position)this[ instrument.Key ]).Quantity < 0);
!     }
  
  
--- 78,98 ----
  		}
  
! 		public bool IsLong( string ticker )
! 		{
! 			return this.Contains( ticker ) && (((Position)this[ ticker ]).Quantity > 0);
! 		}
! 		public bool IsLong( Instrument instrument )
! 		{
! 			return IsLong( instrument.Key );
! 		}
  
! 		public bool IsShort( string ticker )
! 		{
! 			return this.Contains( ticker ) && (((Position)this[ ticker ]).Quantity < 0);
! 		}
! 		public bool IsShort( Instrument instrument )
! 		{
! 			return this.IsShort( instrument.Key );
! 		}
  
  

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Account.cs,1.20,1.21

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22160/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Account.cs 
Log Message:
The AddOrder method has been improved:
- an exception is thrown when a sell order for an instrument is submitted, but no long position is held for that ticker
- an exception is thrown when a cover order for an instrument is submitted, but no short position is held for that ticker

Index: Account.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** Account.cs	3 Aug 2005 18:55:10 -0000	1.20
--- Account.cs	26 Nov 2005 23:49:21 -0000	1.21
***************
*** 195,200 ****
--- 195,214 ----
  		}
  
+ 		private void addOrder_throwExceptions( Order order )
+ 		{
+ 			if  ( ( ( order.Type == OrderType.MarketSell ) ||
+ 				( order.Type == OrderType.LimitSell ) ) &&
+ 				( !this.Portfolio.IsLong( order.Instrument.Key ) ) )
+ 				throw new Exception( "A sell order has been submitted, but this " +
+ 					"account doesn't contain a long position for this ticker" );
+ 			if  ( ( ( order.Type == OrderType.MarketCover ) ||
+ 				( order.Type == OrderType.LimitCover ) ) &&
+ 				( !this.Portfolio.IsShort( order.Instrument.Key ) ) )
+ 				throw new Exception( "A cover order has been submitted, but this " +
+ 					"account doesn't contain a short position for this ticker" );
+ 		}
  		public void AddOrder( Order order )
  		{
+ 			this.addOrder_throwExceptions( order );
  			this.orderExecutor.Execute( order );
  		}

Re: [Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.44,1.45

[Glauco S. <gl...@my...>]

At 12:48 PM 11/24/2005 +0100, you wrote:
>Il problema =E8 che ora in locale ho dovuto escludere i file che tu usi per=
 il
>debug (tipo: WFMultiOneRankDebugInSample.cs),
>che non hai committato...

Ora li ho committati. Ho aggiunto una cartella, quindi forse dovrai=20
copiarli da un checkout pulito.


>Quindi se io committo, tu a tua volta dovrai reinserirli e cos=EC via ...
>
>
>----- Original Message -----
>From: "Glauco Siliprandi" <gla...@us...>
>To: <Qua...@li...>
>Sent: Tuesday, November 22, 2005 5:25 PM
>Subject: [Quantproject-developers] QuantProject/b7_Scripts
>b7_Scripts.csproj,1.44,1.45
>
>
>>Update of /cvsroot/quantproject/QuantProject/b7_Scripts
>>In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23225
>>
>>Modified Files:
>>b7_Scripts.csproj
>>Log Message:
>>IWalkForwardProgressNotifier has been moved in the WalkForwardTesting
>>script root
>>
>>Index: b7_Scripts.csproj
>>=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
>>RCS file:
>>/cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
>>retrieving revision 1.44
>>retrieving revision 1.45
>>diff -C2 -d -r1.44 -r1.45
>>*** b7_Scripts.csproj 17 Nov 2005 21:40:58 -0000 1.44
>>--- b7_Scripts.csproj 22 Nov 2005 16:25:15 -0000 1.45
>>***************
>>*** 349,352 ****
>>--- 349,357 ----
>>                  />
>>                  <File
>>+                     RelPath =3D
>>"WalkForwardTesting\IWalkForwardProgressNotifier.cs"
>>+                     SubType =3D "Code"
>>+                     BuildAction =3D "Compile"
>>+                 />
>>+                 <File
>>                      RelPath =3D
>>"WalkForwardTesting\LinearCombination\GenomeRepresentation.cs"
>>                      SubType =3D "Code"
>>***************
>>*** 439,463 ****
>>                  />
>>                  <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardOneRank\BestPerformingTickers.cs"
>>                      SubType =3D "Code"
>>                      BuildAction =3D "Compile"
>>                  />
>>                  <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardOneRank\ChosenTickers.cs"
>>                      SubType =3D "Code"
>>                      BuildAction =3D "Compile"
>>                  />
>>                  <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardOneRank\ComparableAccount.cs"
>>                      SubType =3D "Code"
>>                      BuildAction =3D "Compile"
>>                  />
>>                  <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardOneRank\EligibleTickers.cs"
>>                      SubType =3D "Code"
>>                      BuildAction =3D "Compile"
>>                  />
>>                  <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardOneRank\IWalkForwardProgressNotifier.cs"
>>                      SubType =3D "Code"
>>                      BuildAction =3D "Compile"
>>--- 444,478 ----
>>                  />
>>                  <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankD=
ebugEndOfDayTimerHandler.cs"
>>                      SubType =3D "Code"
>>                      BuildAction =3D "Compile"
>>                  />
>>                  <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankD=
ebugInSample.cs"
>>                      SubType =3D "Code"
>>                      BuildAction =3D "Compile"
>>                  />
>>                  <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRankR=
eportDebugger.cs"
>>                      SubType =3D "Code"
>>                      BuildAction =3D "Compile"
>>                  />
>>                  <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardOneRank\BestPerformingTickers.cs"
>>                      SubType =3D "Code"
>>                      BuildAction =3D "Compile"
>>                  />
>>                  <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardOneRank\ChosenTickers.cs"
>>!                     SubType =3D "Code"
>>!                     BuildAction =3D "Compile"
>>!                 />
>>!                 <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardOneRank\ComparableAccount.cs"
>>!                     SubType =3D "Code"
>>!                     BuildAction =3D "Compile"
>>!                 />
>>!                 <File
>>!                     RelPath =3D
>>"WalkForwardTesting\WalkForwardOneRank\EligibleTickers.cs"
>>                      SubType =3D "Code"
>>                      BuildAction =3D "Compile"
>>
>>
>>
>>-------------------------------------------------------
>>This SF.Net email is sponsored by the JBoss Inc.  Get Certified Today
>>Register for a JBoss Training Course.  Free Certification Exam
>>for All Training Attendees Through End of 2005. For more info visit:
>>http://ads.osdn.com/?ad_id=3D7628&alloc_id=3D16845&op=3Dclick
>>_______________________________________________
>>Quantproject-developers mailing list
>>Qua...@li...
>>https://lists.sourceforge.net/lists/listinfo/quantproject-developers
>
>
>
>-------------------------------------------------------
>This SF.net email is sponsored by: Splunk Inc. Do you grep through log=
 files
>for problems?  Stop!  Download the new AJAX search engine that makes
>searching your log files as easy as surfing the  web.  DOWNLOAD SPLUNK!
>_______________________________________________
>Quantproject-developers mailing list
>Qua...@li...
>https://lists.sourceforge.net/lists/listinfo/quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankDebugInSample.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv7704

Added Files:
	WFMultiOneRankDebugInSample.cs 
Log Message:
Simulation to test the in sample optimization

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

WFMultiOneRankDebugInSample.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Presentation.Reporting.WindowsForm;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	/// <summary>
	/// Simulation to test the in sample optimization
	/// </summary>
	public class WFMultiOneRankDebugInSample
	{
		private string[] signedTickers;
		private DateTime dateTime;
		private int numberDaysForInSampleOptimization;
		private string benchmark;

		private DateTime startDateTime;
		private IHistoricalQuoteProvider historicalQuoteProvider;
		private IndexBasedEndOfDayTimer endOfDayTimer;
		private Account account;
		private WFMultiOneRankDebugEndOfDayTimerHandler
			endOfDayTimerHandler;

		public WFMultiOneRankDebugInSample( string[] signedTickers ,
			DateTime dateTime , int numberDaysForInSampleOptimization ,
			string benchmark )
		{
			this.signedTickers = signedTickers;
			this.dateTime = dateTime;
			this.numberDaysForInSampleOptimization =
				numberDaysForInSampleOptimization;
			this.benchmark = benchmark;

			this.startDateTime = this.dateTime.AddDays(
				-this.numberDaysForInSampleOptimization - 1 );
			this.historicalQuoteProvider =
				new HistoricalAdjustedQuoteProvider();
		}
		#region run
		private void run_initializeEndOfDayTimer()
		{
			this.endOfDayTimer =
				new IndexBasedEndOfDayTimer(
				new EndOfDayDateTime( this.startDateTime ,
				EndOfDaySpecificTime.MarketOpen ), this.benchmark );
		}
		private void run_initializeAccount()
		{
			this.account = new Account( "WFMultiOneRankDebugInSample" ,
				this.endOfDayTimer ,
				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
				this.historicalQuoteProvider ) ,
				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
				this.historicalQuoteProvider ) );
		}
		private void run_initializeEndOfDayTimerHandler()
		{
			this.endOfDayTimerHandler =
				new WFMultiOneRankDebugEndOfDayTimerHandler(
				this.account , this.signedTickers );
		}
		public void marketOpenEventHandler(	Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( this.account.Transactions.Count == 0 )
				this.account.AddCash( 30000 );
		}
		public void oneHourAfterMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
				this.dateTime )
			{
				// the simulation has reached the ending date
				this.account.EndOfDayTimer.Stop();
				Report report = new Report( this.account , this.historicalQuoteProvider );
				report.Create( "WFT One Rank" , 1 ,
					new EndOfDayDateTime( this.dateTime , EndOfDaySpecificTime.OneHourAfterMarketClose ) , "^SPX" );
				report.Show();
			}
		}
		public void Run()
		{
			run_initializeEndOfDayTimer();
			run_initializeAccount();
			run_initializeEndOfDayTimerHandler();
			this.endOfDayTimer.MarketOpen +=
				new MarketOpenEventHandler( this.marketOpenEventHandler );
			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
				new FiveMinutesBeforeMarketCloseEventHandler(
				this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
			this.endOfDayTimer.OneHourAfterMarketClose +=
				new OneHourAfterMarketCloseEventHandler(
				this.oneHourAfterMarketCloseEventHandler );
			this.endOfDayTimer.Start();
		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankReportDebugger.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv7378

Added Files:
	WFMultiOneRankReportDebugger.cs 
Log Message:
Script to debug the walk forward one rank strategy backtest

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

WFMultiOneRankReportDebugger.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using QuantProject.Business.Financial.Accounting;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	/// <summary>
	/// Script to debug the walk forward one rank strategy backtest
	/// </summary>
	[Serializable]
	public class WFMultiOneRankReportDebugger
	{
		private int numberOfPortfolioPositions;
		private int numberDaysForInSampleOptimization;
		private string benchmark;

		public WFMultiOneRankReportDebugger(
			int numberOfPortfolioPositions ,
			int numberDaysForInSampleOptimization ,
			string benchmark )
		{
			this.numberOfPortfolioPositions = numberOfPortfolioPositions;
			this.numberDaysForInSampleOptimization =
				numberDaysForInSampleOptimization;
			this.benchmark = benchmark;
		}
		#region MouseClickEventHandler
		private int rightClickEventHandler_getRowNumber(  object sender ,
			MouseEventArgs eventArgs )
		{
			DataGrid dataGrid = (DataGrid)sender;
			Point point = new Point( eventArgs.X , eventArgs.Y );
			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
			DataTable dataTable = (DataTable)dataGrid.DataSource;
			return hitTestInfo.Row;
		}
		private void rightClickEventHandler_checkExceptions( object sender ,
			MouseEventArgs eventArgs )
		{
			int rowNumber = rightClickEventHandler_getRowNumber(
				sender , eventArgs );
			DataGrid dataGrid = (DataGrid)sender;
			DataTable dataTable = (DataTable)dataGrid.DataSource;
			DataRow dataRow = dataTable.Rows[ rowNumber ];
			string transactionType = (string)dataRow[ "TransactionType" ];
			if ( ( transactionType != TransactionType.BuyLong.ToString() ) &&
				( transactionType != TransactionType.SellShort.ToString() ) )
				throw new Exception( "The right button of the mouse have been " +
					"clicked on a closing position area. It has to be clicked on " +
					"an opening position area!" );
		}

		private int rightClickEventHandler_withDataRow_getSignedTickers_getFirstRowNumberForTheGroup(
			DataTable dataTable , int rowNumber )
		{			
			DateTime tradingDateTime = (DateTime)dataTable.Rows[ rowNumber ][ "DateTime" ];
			int currentRowIndex = rowNumber;
			while ( ( currentRowIndex > 0 ) &&
				( (DateTime)dataTable.Rows[ currentRowIndex - 1 ][ "DateTime" ] ==
				tradingDateTime ) )
				// current row is still in the same transaction group as the mouse clicked row
				currentRowIndex -- ;
			int returnValue = currentRowIndex;
			if ( currentRowIndex >= this.numberOfPortfolioPositions )
				returnValue += this.numberOfPortfolioPositions;
			return returnValue;
		}
		private string rightClickEventHandler_withDataRow_getSignedTicker(
			DataRow dataRow )
		{
			string returnValue = (string)dataRow[ "InstrumentKey" ];
			string transactionType = (string)dataRow[ "TransactionType" ];
			if ( transactionType == TransactionType.SellShort.ToString() ) 
				// current position is short in the group
				returnValue = "-" + returnValue;
			return returnValue;
		}
		private string[] rightClickEventHandler_withDataRow_getSignedTickers(
			DataTable dataTable , int rowNumber )
		{
			string[] signedTickers = new string[ this.numberOfPortfolioPositions ];
			int firstRowNumberForTheGroup =
				rightClickEventHandler_withDataRow_getSignedTickers_getFirstRowNumberForTheGroup(
				dataTable , rowNumber );
			int currentRowIndex = firstRowNumberForTheGroup;
			while ( dataTable.Rows[ currentRowIndex ][ "DateTime" ]
				== dataTable.Rows[ rowNumber ][ "DateTime" ] )
			{
				// the current row is still in the group
				signedTickers[ currentRowIndex - firstRowNumberForTheGroup ] =
					rightClickEventHandler_withDataRow_getSignedTicker(
					dataTable.Rows[ currentRowIndex ] );
				currentRowIndex ++ ;
			}
			return signedTickers;
		}
		private void rightClickEventHandler_withDataRow_getNeededDataFromGrid(
			DataGrid dataGrid , int rowNumber , out string[] signedTickers ,
			out DateTime dateTime )
		{
			DataTable dataTable = (DataTable)dataGrid.DataSource;
			signedTickers =	rightClickEventHandler_withDataRow_getSignedTickers(
				dataTable , rowNumber );
			DataRow dataRow = dataTable.Rows[ rowNumber ];
			dateTime = (DateTime)dataRow[ "DateTime" ];
		}
		private void rightClickEventHandler_withRowNumber( DataGrid dataGrid ,
			int rowNumber )
		{
			string[] signedTickers;
			DateTime dateTime;

			rightClickEventHandler_withDataRow_getNeededDataFromGrid(
				dataGrid , rowNumber , out signedTickers , out dateTime );
			WFMultiOneRankDebugInSample wFMultiOneRankDebugInSample =
				new WFMultiOneRankDebugInSample( signedTickers , dateTime ,
				this.numberDaysForInSampleOptimization ,
				this.benchmark );
			wFMultiOneRankDebugInSample.Run();
		}
		private void rightClickEventHandler( object sender ,
			MouseEventArgs eventArgs )
		{
			rightClickEventHandler_checkExceptions( sender ,
				eventArgs );
			int rowNumber = rightClickEventHandler_getRowNumber(
				sender , eventArgs );
			rightClickEventHandler_withRowNumber(
				(DataGrid)sender , rowNumber );
			//			MessageBox.Show( dataRow[ "DateTime" ].ToString() );
		}
		public void MouseClickEventHandler( object sender ,
			MouseEventArgs eventArgs )
		{
			if ( eventArgs.Button == MouseButtons.Right )
				this.rightClickEventHandler( sender , eventArgs );
		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankDebugEndOfDayTimerHandler.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv7220

Added Files:
	WFMultiOneRankDebugEndOfDayTimerHandler.cs 
Log Message:
Strategy to debug the in sample optimization

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

WFMultiOneRankDebugEndOfDayTimerHandler.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;
using System.Collections;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	/// <summary>
	/// Strategy to debug the in sample optimization
	/// </summary>
	public class WFMultiOneRankDebugEndOfDayTimerHandler
	{
		private Account account;
		string[] signedTickers;

		public WFMultiOneRankDebugEndOfDayTimerHandler(
			Account account , string[] signedTickers )
		{
			this.account = account;
			this.signedTickers = signedTickers;
		}
		#region FiveMinutesBeforeMarketCloseEventHandler
		private string getTicker( string signedTicker )
		{
			string returnValue = signedTicker;
			if ( signedTicker.StartsWith( "-" ) )
				returnValue = signedTicker.Substring( 1 );
			return returnValue;
		}
		private string getReverseSignedTicker( string signedTicker )
		{
			string returnValue;
			if ( signedTicker.StartsWith( "-" ) )
				returnValue = signedTicker.Substring( 1 );
			else
				returnValue = "-" + signedTicker;
			return returnValue;
		}
		private OrderType getOrderType( string signedTicker )
		{
			OrderType returnValue = OrderType.MarketBuy;
			if ( signedTicker.StartsWith( "-" ) )
				returnValue = OrderType.MarketSell;
			return returnValue;
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_closePosition(
			string ticker )
		{
			this.account.ClosePosition( ticker );
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
		{
			ArrayList tickers = new ArrayList();
			foreach ( string ticker in this.account.Portfolio.Keys )
				tickers.Add( ticker );
			foreach ( string ticker in tickers )
				fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker );
		}
		private double totalGainForSignedTicker( string signedTicker )
		{
			string ticker = this.getTicker( signedTicker );
			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider =
				new HistoricalAdjustedQuoteProvider();
			double todayMarketValueAtClose =
				this.account.DataStreamer.GetCurrentBid( ticker );
			EndOfDayDateTime yesterdayAtClose = new
				EndOfDayDateTime(
				this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
				EndOfDaySpecificTime.MarketClose );
			double yesterdayMarketValueAtClose =
				historicalAdjustedQuoteProvider.GetMarketValue(
				ticker , yesterdayAtClose );
			double returnForLongPosition =
				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
			double returnValue;
			if ( signedTicker.StartsWith( "-" ) )
				// signedTicker represents a short position
				returnValue = - returnForLongPosition;
			else
				// signedTicker represents a long position
				returnValue = returnForLongPosition;
			return returnValue;
		}
		private double todayTotalGainForLinearCombination()
		{
			double todayTotalGain = 0;
			foreach ( string signedTicker in this.signedTickers )
				todayTotalGain += totalGainForSignedTicker( signedTicker );
			return todayTotalGain;
		}
		private bool isLinearCombinationTodayValueHigherThanYesterday()
		{
			double todayTotalGain = todayTotalGainForLinearCombination();
			return todayTotalGain > 0;
		}
		private bool isCurrentlyReversed( string signedTicker )
		{
			PositionType positionType = this.account.Portfolio.GetPosition(
				this.getTicker( signedTicker ) ).Type;
			OrderType orderType = this.getOrderType( signedTicker );
			bool returnValue = ( ( ( orderType ==
				OrderType.MarketBuy ) && ( positionType == PositionType.Long ) ) ||
				( orderType ==	OrderType.MarketSellShort ) &&
				( positionType == PositionType.Short ) );
			return returnValue;
		}
		private bool isCurrentlyReversed()
		{
			return this.isCurrentlyReversed( this.signedTickers[ 0 ] );
			}
		private long 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 openPosition( string ticker , OrderType orderType )
		{
			long quantity = this.getQuantity( ticker );
			Order order = new Order( orderType , new Instrument( ticker ) ,
				quantity );
			this.account.AddOrder( order );
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
			string signedTicker )
		{
			this.openPosition( this.getTicker( signedTicker ) ,
				this.getOrderType( signedTicker ) );
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_openReversePosition(
			string signedTicker )
		{
			this.fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
				this.getReverseSignedTicker( signedTicker ) );
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
			string signedTicker )
		{
			if ( this.isLinearCombinationTodayValueHigherThanYesterday() )
				fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
					signedTicker );
			else
				fiveMinutesBeforeMarketCloseEventHandler_openReversePosition(
					signedTicker );
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
		{
//			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
			foreach ( string signedTicker in this.signedTickers )
				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition(
					signedTicker );
		}
		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed()
		{
			bool returnValue =
				(	( this.isLinearCombinationTodayValueHigherThanYesterday() &&
				this.isCurrentlyReversed() ) ||
				( !this.isLinearCombinationTodayValueHigherThanYesterday() &&
				!this.isCurrentlyReversed() ) );
			return returnValue;
		}
		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeOpened()
		{
			bool returnValue =
				this.fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed();
			return returnValue;
		}
		public void FiveMinutesBeforeMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( this.fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed() )
				this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
			if ( this.fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeOpened() )
				fiveMinutesBeforeMarketCloseEventHandler_openPositions();
		}
		#endregion

	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv6883/ReportDebugger

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger added to the repository

Re: [Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.44,1.45

[Marco M. <mar...@li...>]

Il problema =E8 che ora in locale ho dovuto escludere i file che tu usi p=
er il=20
debug (tipo: WFMultiOneRankDebugInSample.cs),
che non hai committato...

Quindi se io committo, tu a tua volta dovrai reinserirli e cos=EC via ...


----- Original Message -----=20
From: "Glauco Siliprandi" <gla...@us...>
To: <Qua...@li...>
Sent: Tuesday, November 22, 2005 5:25 PM
Subject: [Quantproject-developers] QuantProject/b7_Scripts=20
b7_Scripts.csproj,1.44,1.45


> Update of /cvsroot/quantproject/QuantProject/b7_Scripts
> In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23225
>
> Modified Files:
> b7_Scripts.csproj
> Log Message:
> IWalkForwardProgressNotifier has been moved in the WalkForwardTesting=20
> script root
>
> Index: b7_Scripts.csproj
> =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
> RCS file:=20
> /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
> retrieving revision 1.44
> retrieving revision 1.45
> diff -C2 -d -r1.44 -r1.45
> *** b7_Scripts.csproj 17 Nov 2005 21:40:58 -0000 1.44
> --- b7_Scripts.csproj 22 Nov 2005 16:25:15 -0000 1.45
> ***************
> *** 349,352 ****
> --- 349,357 ----
>                  />
>                  <File
> +                     RelPath =3D=20
> "WalkForwardTesting\IWalkForwardProgressNotifier.cs"
> +                     SubType =3D "Code"
> +                     BuildAction =3D "Compile"
> +                 />
> +                 <File
>                      RelPath =3D=20
> "WalkForwardTesting\LinearCombination\GenomeRepresentation.cs"
>                      SubType =3D "Code"
> ***************
> *** 439,463 ****
>                  />
>                  <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardOneRank\BestPerformingTickers.cs"
>                      SubType =3D "Code"
>                      BuildAction =3D "Compile"
>                  />
>                  <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardOneRank\ChosenTickers.cs"
>                      SubType =3D "Code"
>                      BuildAction =3D "Compile"
>                  />
>                  <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardOneRank\ComparableAccount.cs"
>                      SubType =3D "Code"
>                      BuildAction =3D "Compile"
>                  />
>                  <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardOneRank\EligibleTickers.cs"
>                      SubType =3D "Code"
>                      BuildAction =3D "Compile"
>                  />
>                  <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardOneRank\IWalkForwardProgressNotifier.cs"
>                      SubType =3D "Code"
>                      BuildAction =3D "Compile"
> --- 444,478 ----
>                  />
>                  <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRa=
nkDebugEndOfDayTimerHandler.cs"
>                      SubType =3D "Code"
>                      BuildAction =3D "Compile"
>                  />
>                  <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRa=
nkDebugInSample.cs"
>                      SubType =3D "Code"
>                      BuildAction =3D "Compile"
>                  />
>                  <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardMultiOneRank\ReportDebugger\WFMultiOneRa=
nkReportDebugger.cs"
>                      SubType =3D "Code"
>                      BuildAction =3D "Compile"
>                  />
>                  <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardOneRank\BestPerformingTickers.cs"
>                      SubType =3D "Code"
>                      BuildAction =3D "Compile"
>                  />
>                  <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardOneRank\ChosenTickers.cs"
> !                     SubType =3D "Code"
> !                     BuildAction =3D "Compile"
> !                 />
> !                 <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardOneRank\ComparableAccount.cs"
> !                     SubType =3D "Code"
> !                     BuildAction =3D "Compile"
> !                 />
> !                 <File
> !                     RelPath =3D=20
> "WalkForwardTesting\WalkForwardOneRank\EligibleTickers.cs"
>                      SubType =3D "Code"
>                      BuildAction =3D "Compile"
>
>
>
> -------------------------------------------------------
> This SF.Net email is sponsored by the JBoss Inc.  Get Certified Today
> Register for a JBoss Training Course.  Free Certification Exam
> for All Training Attendees Through End of 2005. For more info visit:
> http://ads.osdn.com/?ad_id=3D7628&alloc_id=3D16845&op=3Dclick
> _______________________________________________
> Quantproject-developers mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantproject-developers=20