quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.cs,1.20,1.21

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23226/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
Log Message:
Changed IGenomeManager interface: added new parameters for the GetNewGeneValue method.
Changed access modifier for some methods of GenomeManagerForEfficientPortfolio
Updated Genome and GeneticOptimizer.

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** GenomeManagerForEfficientPortfolio.cs	23 Oct 2005 19:09:04 -0000	1.20
--- GenomeManagerForEfficientPortfolio.cs	8 Nov 2005 18:32:25 -0000	1.21
***************
*** 52,56 ****
      protected double targetPerformance;
      protected double variance;
!     protected double lowerPartialMoment;
      protected double rateOfReturn;
      protected PortfolioType portfolioType;
--- 52,56 ----
      protected double targetPerformance;
      protected double variance;
!     //protected double lowerPartialMoment;
      protected double rateOfReturn;
      protected PortfolioType portfolioType;
***************
*** 224,228 ****
      #endregion
  
!     public Genome[] GetChilds(Genome parent1, Genome parent2)
      {
        return
--- 224,228 ----
      #endregion
  
!     public virtual Genome[] GetChilds(Genome parent1, Genome parent2)
      {
        return
***************
*** 230,237 ****
      }
      
!     public int GetNewGeneValue(Genome genome)
      {
        // in this implementation new gene values must be different from
        // the others already stored in the given genome
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
                                                                genome.MaxValueForGenes + 1);
--- 230,239 ----
      }
      
!     public virtual int GetNewGeneValue(Genome genome, int genePosition)
      {
        // in this implementation new gene values must be different from
        // the others already stored in the given genome
+       // the generation of new genes doesn't depend on gene's position
+       // within the genome
        int returnValue = GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
                                                                genome.MaxValueForGenes + 1);
***************
*** 247,251 ****
      }
          
!     public void Mutate(Genome genome, double mutationRate)
      {
        // in this implementation only one gene is mutated
--- 249,253 ----
      }
          
!     public virtual void Mutate(Genome genome, double mutationRate)
      {
        // in this implementation only one gene is mutated
***************
*** 269,273 ****
      #region Decode
  
!     private string decode_getTickerCodeForLongOrShortTrade(int geneValue)
      {
        string initialCharForTickerCode = "";
--- 271,275 ----
      #region Decode
  
!     protected string decode_getTickerCodeForLongOrShortTrade(int geneValue)
      {
        string initialCharForTickerCode = "";
***************
*** 355,364 ****
      {
      	float[] returnValue = null;
      	return returnValue;
      }
      
      #region getPortfolioRatesOfReturn
      
!     private int getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(int geneValueForTickerIdx)
      {
        int position = geneValueForTickerIdx;
--- 357,374 ----
      {
      	float[] returnValue = null;
+     	this.numberOfExaminedReturns = returnValue.Length;
      	return returnValue;
+     	
+     }
+     
+     protected virtual double getTickerWeight(int[] genes, int tickerPositionInGenes)
+     {
+       return 1.0/genes.Length;
+       //weights for tickers are all the same in this implementation
      }
      
      #region getPortfolioRatesOfReturn
      
!     protected int getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(int geneValueForTickerIdx)
      {
        int position = geneValueForTickerIdx;
***************
*** 368,393 ****
      }
      
!     private float getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(int tickerIdx,
                                                                                 int arrayElementPosition)
      {
        bool longReturns = false;
!       if(tickerIdx > 0)
!         //the tickerIdx points to a ticker for which long returns are to be examined
          longReturns = true;
!       int position = this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray_getPositionInArray(tickerIdx);
        this.setOfCandidates[position].LongRatesOfReturn = longReturns;
        float[] arrayOfRatesOfReturn = this.setOfCandidates[position].ArrayOfRatesOfReturn;
!       return (arrayOfRatesOfReturn[arrayElementPosition]/this.GenomeSize);
!       //the investment is assumed to be equally divided for each ticker
      }    
      
!     protected double[] getPortfolioRatesOfReturn(int[] tickersIdx)
      {
        double[] returnValue = new double[this.numberOfExaminedReturns];
        for(int i = 0; i<returnValue.Length; i++)    
        {  
!         foreach(int tickerIdx in tickersIdx)
            returnValue[i] +=
!             this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(tickerIdx,i);
        }
        return returnValue;
--- 378,404 ----
      }
      
!     protected float getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(int[] genes,
!                                                                                int tickerPositionInGenes,
                                                                                 int arrayElementPosition)
      {
        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;
!       double tickerWeight = this.getTickerWeight(genes,tickerPositionInGenes);
!       return (arrayOfRatesOfReturn[arrayElementPosition]*(float)tickerWeight);
      }    
      
!     protected virtual double[] getPortfolioRatesOfReturn(int[] genes)
      {
        double[] returnValue = new double[this.numberOfExaminedReturns];
        for(int i = 0; i<returnValue.Length; i++)    
        {  
!         for(int j=0; j<genes.Length; j++)
            returnValue[i] +=
!             this.getPortfolioRatesOfReturn_getRateOfTickerToBeAddedToTheArray(genes,j,i);
        }
        return returnValue;

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic IGenomeManager.cs,1.2,1.3 GenomeManagerTest.cs,1.4,1.5 Genome.cs,1.9,1.10 GeneticOptimizer.cs,1.12,1.13

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23226/b1_ADT/Optimizing/Genetic

Modified Files:
	IGenomeManager.cs GenomeManagerTest.cs Genome.cs 
	GeneticOptimizer.cs 
Log Message:
Changed IGenomeManager interface: added new parameters for the GetNewGeneValue method.
Changed access modifier for some methods of GenomeManagerForEfficientPortfolio
Updated Genome and GeneticOptimizer.

Index: Genome.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/Genome.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** Genome.cs	18 Sep 2005 21:07:21 -0000	1.9
--- Genome.cs	8 Nov 2005 18:32:25 -0000	1.10
***************
*** 131,135 ****
  		{
  			for (int i = 0 ; i < this.size ; i++)
! 				this.genes[i] = this.genomeManager.GetNewGeneValue(this);
  			//whenever at least one gene has been written,
  			//the current generation number is stored
--- 131,135 ----
  		{
  			for (int i = 0 ; i < this.size ; i++)
! 				this.genes[i] = this.genomeManager.GetNewGeneValue(this,i);
  			//whenever at least one gene has been written,
  			//the current generation number is stored

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** GeneticOptimizer.cs	21 Oct 2005 18:15:47 -0000	1.12
--- GeneticOptimizer.cs	8 Nov 2005 18:32:25 -0000	1.13
***************
*** 480,487 ****
      {
        foreach(Genome g in populationOfGenomes)
!       {
!         //if(g != null)
!            this.genomeManager.Mutate(g, this.MutationRate);
!       }
      }
      
--- 480,484 ----
      {
        foreach(Genome g in populationOfGenomes)
!          this.genomeManager.Mutate(g,this.MutationRate);
      }
      

Index: GenomeManagerTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GenomeManagerTest.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManagerTest.cs	31 Jul 2005 20:03:31 -0000	1.4
--- GenomeManagerTest.cs	8 Nov 2005 18:32:25 -0000	1.5
***************
*** 68,72 ****
      }
      
!     public int GetNewGeneValue(Genome genome)
      {
        return GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,
--- 68,72 ----
      }
      
!     public int GetNewGeneValue(Genome genome, int genePosition)
      {
        return GenomeManagement.RandomGenerator.Next(genome.MinValueForGenes,

Index: IGenomeManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/IGenomeManager.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** IGenomeManager.cs	31 Jul 2005 20:03:31 -0000	1.2
--- IGenomeManager.cs	8 Nov 2005 18:32:25 -0000	1.3
***************
*** 45,49 ****
      GeneticOptimizer CurrentGeneticOptimizer{get;set;}
      
!     int GetNewGeneValue(Genome genome); // Used in generation of genes
      																    //  by the Genome parameter
      double GetFitnessValue(Genome genome);
--- 45,49 ----
      GeneticOptimizer CurrentGeneticOptimizer{get;set;}
      
!     int GetNewGeneValue(Genome genome, int genePosition); // Used in generation of genes
      																    //  by the Genome parameter
      double GetFitnessValue(Genome genome);

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22120/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeMeaning.cs 
Log Message:
Added new property (of Array type) containing weights for Tickers (of Array type).
Added new constructors.

Index: GenomeMeaning.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeMeaning.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeMeaning.cs	23 Oct 2005 19:04:28 -0000	1.1
--- GenomeMeaning.cs	8 Nov 2005 18:28:30 -0000	1.2
***************
*** 22,32 ****
  
  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.TickerSelectionTesting.EfficientPortfolios
--- 22,25 ----
***************
*** 39,42 ****
--- 32,36 ----
    {
    	private string[] tickers;
+   	private double[] tickersPortfolioWeights;
    	private double returnAtLastDayInSample;
    	private double averageReturnInSample;
***************
*** 62,69 ****
        get{return this.varianceReturnInSample;}
      }
!    
      public GenomeMeaning(string[] tickers)
      {
   			this.tickers = tickers;
  		}
      
--- 56,82 ----
        get{return this.varianceReturnInSample;}
      }
!     
!     public double[] TickersPortfolioWeights
!     {
!       get{return this.tickersPortfolioWeights;}
!     }
!     
!     private void setDefaultTickersPortfolioWeights()
!     {
!     	this.tickersPortfolioWeights = new double[this.tickers.Length];
!     	for(int i = 0;i<this.tickers.Length;i++)
!     		this.tickersPortfolioWeights[i]=1.0/this.tickers.Length;
! 		}
!     
      public GenomeMeaning(string[] tickers)
      {
   			this.tickers = tickers;
+  			this.setDefaultTickersPortfolioWeights();
+ 		}
+     
+     public GenomeMeaning(string[] tickers, double[] tickersPortfolioWeights)
+     {
+  			this.tickers = tickers;
+  			this.tickersPortfolioWeights = tickersPortfolioWeights;
  		}
      
***************
*** 77,82 ****
--- 90,108 ----
   			this.averageReturnInSample = averageReturnInSample;
   			this.varianceReturnInSample = varianceReturnInSample;
+  			this.setDefaultTickersPortfolioWeights();
  		}
      
+     public GenomeMeaning(string[] tickers,
+                          double[] tickersPortfolioWeights,
+                             double returnAtLastDayInSample, 
+   													 double averageReturnInSample,
+   													 double varianceReturnInSample)
+     {
+  			this.tickers = tickers;
+  			this.tickersPortfolioWeights = tickersPortfolioWeights;
+  			this.returnAtLastDayInSample = returnAtLastDayInSample;
+  			this.averageReturnInSample = averageReturnInSample;
+  			this.varianceReturnInSample = varianceReturnInSample;
+ 		}
      
    }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting MeaningForGenome.cs,1.1,NONE

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27865

Removed Files:
	MeaningForGenome.cs 
Log Message:
MeaningForGenome changed to GenomeMeaning


--- MeaningForGenome.cs DELETED ---

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest WalkForwardOpenToCloseDailyStrategy.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26271/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest

Modified Files:
	WalkForwardOpenToCloseDailyStrategy.cs 
Log Message:
MeaningForGenome changed to GenomeMeaning

Index: WalkForwardOpenToCloseDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest/WalkForwardOpenToCloseDailyStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WalkForwardOpenToCloseDailyStrategy.cs	21 Oct 2005 18:39:01 -0000	1.3
--- WalkForwardOpenToCloseDailyStrategy.cs	23 Oct 2005 19:09:03 -0000	1.4
***************
*** 208,212 ****
  
  			this.signedTickersFromLastOptimization =
! 				((MeaningForGenome)this.geneticOptimizer.BestGenome.Meaning).Tickers;
  			this.addGenomeToBestGenomes( geneticOptimizer.BestGenome ,
  				optimizationFirstDate , optimizationLastDate );
--- 208,212 ----
  
  			this.signedTickersFromLastOptimization =
! 				((GenomeMeaning)this.geneticOptimizer.BestGenome.Meaning).Tickers;
  			this.addGenomeToBestGenomes( geneticOptimizer.BestGenome ,
  				optimizationFirstDate , optimizationLastDate );

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination GenomeRepresentation.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26271/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	GenomeRepresentation.cs 
Log Message:
MeaningForGenome changed to GenomeMeaning

Index: GenomeRepresentation.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/GenomeRepresentation.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** GenomeRepresentation.cs	21 Oct 2005 18:14:04 -0000	1.3
--- GenomeRepresentation.cs	23 Oct 2005 19:09:04 -0000	1.4
***************
*** 94,98 ****
  		{
  			string signedTickers = "";
! 			foreach ( string geneValue in ((MeaningForGenome)genome.Meaning).Tickers )
  				signedTickers += geneValue + ";";
  			signedTickers = signedTickers.Substring( 0 ,
--- 94,98 ----
  		{
  			string signedTickers = "";
! 			foreach ( string geneValue in ((GenomeMeaning)genome.Meaning).Tickers )
  				signedTickers += geneValue + ";";
  			signedTickers = signedTickers.Substring( 0 ,

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientPortfolio.cs,1.19,1.20 EndOfDayTimerHandlerOTCMultiday.cs,1.1,1.2 EndOfDayTimerHandlerCTO.cs,1.19,1.20 EndOfDayTimerHandlerCTCWeekly.cs,1.3,1.4 EndOfDayTimerHandlerCTC.cs,1.15,1.16

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26271/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
	EndOfDayTimerHandlerOTCMultiday.cs EndOfDayTimerHandlerCTO.cs 
	EndOfDayTimerHandlerCTCWeekly.cs EndOfDayTimerHandlerCTC.cs 
Log Message:
MeaningForGenome changed to GenomeMeaning

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** EndOfDayTimerHandlerCTO.cs	21 Oct 2005 18:18:08 -0000	1.19
--- EndOfDayTimerHandlerCTO.cs	23 Oct 2005 19:09:04 -0000	1.20
***************
*** 162,166 ****
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = ((MeaningForGenome)GO.BestGenome.Meaning).Tickers;
        }
        //else it will be buyed again the previous optimized portfolio
--- 162,166 ----
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
        }
        //else it will be buyed again the previous optimized portfolio

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** GenomeManagerForEfficientPortfolio.cs	21 Oct 2005 18:14:04 -0000	1.19
--- GenomeManagerForEfficientPortfolio.cs	23 Oct 2005 19:09:04 -0000	1.20
***************
*** 291,295 ****
          arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
        }
!       MeaningForGenome meaning = new MeaningForGenome(arrayOfTickers,
                                                        this.PortfolioRatesOfReturn[this.portfolioRatesOfReturn.Length - 1],
                                                        this.RateOfReturn,
--- 291,295 ----
          arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
        }
!       GenomeMeaning meaning = new GenomeMeaning(arrayOfTickers,
                                                        this.PortfolioRatesOfReturn[this.portfolioRatesOfReturn.Length - 1],
                                                        this.RateOfReturn,

Index: EndOfDayTimerHandlerCTCWeekly.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTCWeekly.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerCTCWeekly.cs	21 Oct 2005 18:18:08 -0000	1.3
--- EndOfDayTimerHandlerCTCWeekly.cs	23 Oct 2005 19:09:04 -0000	1.4
***************
*** 152,156 ****
          //GO.KeepOnRunningUntilConvergenceIsReached = true;
          GO.Run(false);
!         this.chosenTickers = ((MeaningForGenome)GO.BestGenome.Meaning).Tickers;
        }
        //else it will be buyed again the previous optimized portfolio
--- 152,156 ----
          //GO.KeepOnRunningUntilConvergenceIsReached = true;
          GO.Run(false);
!         this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
        }
        //else it will be buyed again the previous optimized portfolio

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** EndOfDayTimerHandlerCTC.cs	21 Oct 2005 18:18:08 -0000	1.15
--- EndOfDayTimerHandlerCTC.cs	23 Oct 2005 19:09:04 -0000	1.16
***************
*** 177,181 ****
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = ((MeaningForGenome)GO.BestGenome.Meaning).Tickers;
        }
        //else it will be buyed again the previous optimized portfolio
--- 177,181 ----
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
        }
        //else it will be buyed again the previous optimized portfolio

Index: EndOfDayTimerHandlerOTCMultiday.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerOTCMultiday.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerOTCMultiday.cs	21 Oct 2005 18:07:45 -0000	1.1
--- EndOfDayTimerHandlerOTCMultiday.cs	23 Oct 2005 19:09:04 -0000	1.2
***************
*** 137,150 ****
      {
      	string[] returnValue =
!     		((MeaningForGenome)genomeManager.CurrentGeneticOptimizer.BestGenome.Meaning).Tickers;
      	int numOfGenomes = genomeManager.CurrentGeneticOptimizer.CurrentGeneration.Count;
      	int i;
      	for(i = 0;i<numOfGenomes; i++)
      	{
!     		if(((MeaningForGenome)((Genome)genomeManager.CurrentGeneticOptimizer.CurrentGeneration[numOfGenomes - i - 1]).Meaning).ReturnAtLastDayInSample < 0)
      		//the current portfolio has a negative return at the last day in sample
      		{
      			returnValue =
!     					((MeaningForGenome)((Genome)genomeManager.CurrentGeneticOptimizer.CurrentGeneration[numOfGenomes - i - 1]).Meaning).Tickers;
      			i = numOfGenomes;
      		}
--- 137,150 ----
      {
      	string[] returnValue =
!     		((GenomeMeaning)genomeManager.CurrentGeneticOptimizer.BestGenome.Meaning).Tickers;
      	int numOfGenomes = genomeManager.CurrentGeneticOptimizer.CurrentGeneration.Count;
      	int i;
      	for(i = 0;i<numOfGenomes; i++)
      	{
!     		if(((GenomeMeaning)((Genome)genomeManager.CurrentGeneticOptimizer.CurrentGeneration[numOfGenomes - i - 1]).Meaning).ReturnAtLastDayInSample < 0)
      		//the current portfolio has a negative return at the last day in sample
      		{
      			returnValue =
!     					((GenomeMeaning)((Genome)genomeManager.CurrentGeneticOptimizer.CurrentGeneration[numOfGenomes - i - 1]).Meaning).Tickers;
      			i = numOfGenomes;
      		}

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToClose.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25277/EvaluatingOptimizationTechnique/EfficientPortfolio

Modified Files:
	RunTestingOptimizationOpenToClose.cs 
Log Message:
Updated script file

Index: RunTestingOptimizationOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** RunTestingOptimizationOpenToClose.cs	21 Oct 2005 18:18:08 -0000	1.4
--- RunTestingOptimizationOpenToClose.cs	23 Oct 2005 19:05:37 -0000	1.5
***************
*** 126,130 ****
      {
        double returnValue = 0;
!       foreach(string tickerCode in ((MeaningForGenome)genome.Meaning).Tickers)
        {
          double coefficient = 1.0;
--- 126,130 ----
      {
        double returnValue = 0;
!       foreach(string tickerCode in ((GenomeMeaning)genome.Meaning).Tickers)
        {
          double coefficient = 1.0;

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeMeaning.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25073/TickerSelectionTesting

Added Files:
	GenomeMeaning.cs 
Log Message:
MeaningForGenome changed to GenomeMeaning

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

GenomeMeaning.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.TickerSelectionTesting.EfficientPortfolios
{
  /// <summary>
  /// This is the class representing the meaning for genome
  /// </summary>
  [Serializable]
  public class GenomeMeaning
  {
  	private string[] tickers;
  	private double returnAtLastDayInSample;
  	private double averageReturnInSample;
  	private double varianceReturnInSample;
    
  	public string[] Tickers
    {
      get{return this.tickers;}
    }
    
    public double ReturnAtLastDayInSample
    {
      get{return this.returnAtLastDayInSample;}
    }
    
    public double AverageReturnInSample
    {
      get{return this.averageReturnInSample;}
    }
    
    public double VarianceReturnInSample
    {
      get{return this.varianceReturnInSample;}
    }
   
    public GenomeMeaning(string[] tickers)
    {
 			this.tickers = tickers;
		}
    
    public GenomeMeaning(string[] tickers,
                            double returnAtLastDayInSample, 
  													 double averageReturnInSample,
  													 double varianceReturnInSample)
    {
 			this.tickers = tickers;
 			this.returnAtLastDayInSample = returnAtLastDayInSample;
 			this.averageReturnInSample = averageReturnInSample;
 			this.varianceReturnInSample = varianceReturnInSample;
		}
    
    
  }

}

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.40,1.41

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25073

Modified Files:
	b7_Scripts.csproj 
Log Message:
MeaningForGenome changed to GenomeMeaning

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.40
retrieving revision 1.41
diff -C2 -d -r1.40 -r1.41
*** b7_Scripts.csproj	21 Oct 2005 18:07:45 -0000	1.40
--- b7_Scripts.csproj	23 Oct 2005 19:04:29 -0000	1.41
***************
*** 249,253 ****
                  />
                  <File
!                     RelPath = "TickerSelectionTesting\MeaningForGenome.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
--- 249,253 ----
                  />
                  <File
!                     RelPath = "TickerSelectionTesting\GenomeMeaning.cs"
                      SubType = "Code"
                      BuildAction = "Compile"

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection BestTickersScreener.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv14144/b7_Scripts/TickerSelectionTesting/SimpleSelection

Modified Files:
	BestTickersScreener.cs 
Log Message:
Fixed bug

Index: BestTickersScreener.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/BestTickersScreener.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** BestTickersScreener.cs	21 Oct 2005 22:16:50 -0000	1.2
--- BestTickersScreener.cs	23 Oct 2005 18:11:28 -0000	1.3
***************
*** 151,155 ****
        Array.Sort(allTickersShortOrLong);
        for(int t = 0; t<returnValue.Length; t++)
!         returnValue[t] = allTickersShortOrLong[t].Ticker;
        
      }
--- 151,155 ----
        Array.Sort(allTickersShortOrLong);
        for(int t = 0; t<returnValue.Length; t++)
!         returnValue[t] = allTickersShortOrLong[allTickersShortOrLong.Length - t -1].Ticker;
        
      }

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv10523/b7_Scripts/TickerSelectionTesting/SimpleSelection

Modified Files:
	BestTickersScreener.cs 
Log Message:
Fixed bug.

Index: BestTickersScreener.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/BestTickersScreener.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** BestTickersScreener.cs	21 Oct 2005 17:54:11 -0000	1.1
--- BestTickersScreener.cs	21 Oct 2005 22:16:50 -0000	1.2
***************
*** 133,149 ****
        int numOfTickers = this.setOfCandidates.Length;
        this.setSetOfCandidates(true);
!       for(int i = 0; i<numOfTickers; i++)
         	allTickersShortOrLong[i] = 
        		new CandidateProperties(this.setOfCandidates[i].Ticker,
!       		                        this.setOfCandidates[i].ArrayOfRatesOfReturn);
        
   			this.setSetOfCandidates(false);
!       for(int i = numOfTickers; i<numOfTickers*2; i++)
!        	allTickersShortOrLong[i] = 
!       		new CandidateProperties("-" + this.setOfCandidates[i].Ticker,
!       		                        this.setOfCandidates[i].ArrayOfRatesOfReturn); 
        Array.Sort(allTickersShortOrLong);
!       for(int i = 0; i<returnValue.Length; i++)
!         returnValue[i] = allTickersShortOrLong[i].Ticker;
        
      }
--- 133,155 ----
        int numOfTickers = this.setOfCandidates.Length;
        this.setSetOfCandidates(true);
!       int i = 0;
!       for(; i<numOfTickers; i++)
         	allTickersShortOrLong[i] = 
        		new CandidateProperties(this.setOfCandidates[i].Ticker,
!       		                        this.setOfCandidates[i].ArrayOfRatesOfReturn,
!                                   this.setOfCandidates[i].Fitness);
        
   			this.setSetOfCandidates(false);
!       for(int j = 0; j<numOfTickers; j++)
!       {
!         allTickersShortOrLong[i] = 
!           new CandidateProperties("-" + this.setOfCandidates[j].Ticker,
!           this.setOfCandidates[j].ArrayOfRatesOfReturn,
!           this.setOfCandidates[j].Fitness);
!         i++;
!       }
        Array.Sort(allTickersShortOrLong);
!       for(int t = 0; t<returnValue.Length; t++)
!         returnValue[t] = allTickersShortOrLong[t].Ticker;
        
      }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting CandidateProperties.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv10066/b7_Scripts/TickerSelectionTesting

Modified Files:
	CandidateProperties.cs 
Log Message:
Added new constructor to CandidateProperties class.

Index: CandidateProperties.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/CandidateProperties.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** CandidateProperties.cs	21 Oct 2005 18:25:01 -0000	1.2
--- CandidateProperties.cs	21 Oct 2005 22:15:53 -0000	1.3
***************
*** 40,51 ****
      protected double fitness;
  
!     public CandidateProperties(string ticker, float[] arrayOfRatesOfReturn)
      {
        this.ticker = ticker;
        this.longRatesOfReturn = true;
        this.arrayOfRatesOfReturn = arrayOfRatesOfReturn;
!       this.fitness = 0.0;
      }
! 
      private float[] arrayOfRatesOfReturn_getOppositeArrayOfRatesOfReturn()
      {
--- 40,58 ----
      protected double fitness;
  
!     public CandidateProperties(string ticker, float[] arrayOfRatesOfReturn):
!                     this(ticker,arrayOfRatesOfReturn,0.0)
!     {
!       
!     }
!     
!     public CandidateProperties(string ticker, float[] arrayOfRatesOfReturn,
!                                double fitness)
      {
        this.ticker = ticker;
        this.longRatesOfReturn = true;
        this.arrayOfRatesOfReturn = arrayOfRatesOfReturn;
!       this.fitness = fitness;
      }
!     
      private float[] arrayOfRatesOfReturn_getOppositeArrayOfRatesOfReturn()
      {

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26486/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest

Modified Files:
	WalkForwardOpenToCloseDailyStrategy.cs 
Log Message:
Changed Decode implementation for GenomeManagerForEfficientPortfolio. Now Decode, used to assign Meaning to the Genome, return a MeaningForGenome

Index: WalkForwardOpenToCloseDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest/WalkForwardOpenToCloseDailyStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WalkForwardOpenToCloseDailyStrategy.cs	22 Aug 2005 22:27:07 -0000	1.2
--- WalkForwardOpenToCloseDailyStrategy.cs	21 Oct 2005 18:39:01 -0000	1.3
***************
*** 208,212 ****
  
  			this.signedTickersFromLastOptimization =
! 				(string[])this.geneticOptimizer.BestGenome.Meaning;
  			this.addGenomeToBestGenomes( geneticOptimizer.BestGenome ,
  				optimizationFirstDate , optimizationLastDate );
--- 208,212 ----
  
  			this.signedTickersFromLastOptimization =
! 				((MeaningForGenome)this.geneticOptimizer.BestGenome.Meaning).Tickers;
  			this.addGenomeToBestGenomes( geneticOptimizer.BestGenome ,
  				optimizationFirstDate , optimizationLastDate );

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj,1.31,1.32

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24577/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
Modifications by VS .NET environment

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** b3_Data.csproj	18 Sep 2005 21:05:30 -0000	1.31
--- b3_Data.csproj	21 Oct 2005 18:26:43 -0000	1.32
***************
*** 144,148 ****
                  <File
                      RelPath = "ExtendedDataTable.cs"
!                     SubType = "Component"
                      BuildAction = "Compile"
                  />
--- 144,148 ----
                  <File
                      RelPath = "ExtendedDataTable.cs"
!                     SubType = "Code"
                      BuildAction = "Compile"
                  />

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24066/b7_Scripts/TickerSelectionTesting

Modified Files:
	CandidateProperties.cs 
Log Message:
Implemented IComparable interface through the new Fitness property.
Members are now protected (and not private anymore), in order to be visible by inherited classes.

Index: CandidateProperties.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/CandidateProperties.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** CandidateProperties.cs	25 Jul 2005 22:24:09 -0000	1.1
--- CandidateProperties.cs	21 Oct 2005 18:25:01 -0000	1.2
***************
*** 29,42 ****
    /// <summary>
    /// This is the class containing basic information
!   /// for each candidate to be evaluated in order
!   /// to discover the efficient frontier
    /// </summary>
    [Serializable]
!   public class CandidateProperties
    {
!     private string ticker;
!     private float[] arrayOfRatesOfReturn;
!     private float[] oppositeArrayOfRatesOfReturn;
!     private bool longRatesOfReturn;
  
      public CandidateProperties(string ticker, float[] arrayOfRatesOfReturn)
--- 29,42 ----
    /// <summary>
    /// This is the class containing basic information
!   /// for each candidate to be evaluated 
    /// </summary>
    [Serializable]
!   public class CandidateProperties : IComparable
    {
!     protected string ticker;
!     protected float[] arrayOfRatesOfReturn;
!     protected float[] oppositeArrayOfRatesOfReturn;
!     protected bool longRatesOfReturn;
!     protected double fitness;
  
      public CandidateProperties(string ticker, float[] arrayOfRatesOfReturn)
***************
*** 45,48 ****
--- 45,49 ----
        this.longRatesOfReturn = true;
        this.arrayOfRatesOfReturn = arrayOfRatesOfReturn;
+       this.fitness = 0.0;
      }
  
***************
*** 58,62 ****
--- 59,76 ----
        return this.oppositeArrayOfRatesOfReturn;
      }
+     //implementation of IComparable interface
+     public int CompareTo(object obj) 
+     {
+       if(obj is CandidateProperties) 
+       {
+         CandidateProperties candidate = (CandidateProperties)obj;
  
+         return this.Fitness.CompareTo(candidate.Fitness);
+       }
+         
+       throw new ArgumentException("Object is not of CandidateProperties type!");    
+     }
+     //end of implementation of IComparable interface
+     
      public float[] ArrayOfRatesOfReturn
      {
***************
*** 80,84 ****
        get{return this.ticker;}
      }
! 
    }
  
--- 94,107 ----
        get{return this.ticker;}
      }
!     
!     public virtual double Fitness
!     {
!       get{return this.fitness;}
!     }
!     
!     public virtual void setFitness()
!     {
!       this.fitness = 0.0;
!     }
    }
  

[Quantproject-developers] QuantProject/b4_Business Business.prjx,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22322/b4_Business

Modified Files:
	Business.prjx 
Log Message:
Updated #develop projects files.

Index: Business.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business.prjx,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** Business.prjx	18 Sep 2005 21:05:30 -0000	1.6
--- Business.prjx	21 Oct 2005 18:18:58 -0000	1.7
***************
*** 93,96 ****
--- 93,98 ----
      <File name=".\a2_Strategies\IEndOfDayStrategy.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\SharpeRatio.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\a1_Financial\a2_Accounting\EquityLine.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\a1_Financial\a2_Accounting\PositionType.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTC.cs,1.14,1.15 EndOfDayTimerHandlerCTCWeekly.cs,1.2,1.3 EndOfDayTimerHandlerCTO.cs,1.18,1.19

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22049/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerCTC.cs EndOfDayTimerHandlerCTCWeekly.cs 
	EndOfDayTimerHandlerCTO.cs 
Log Message:
Updated some script files inside the TickerSelectionTesting namespace

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** EndOfDayTimerHandlerCTO.cs	18 Sep 2005 21:13:36 -0000	1.18
--- EndOfDayTimerHandlerCTO.cs	21 Oct 2005 18:18:08 -0000	1.19
***************
*** 162,166 ****
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = (string[])GO.BestGenome.Meaning;
        }
        //else it will be buyed again the previous optimized portfolio
--- 162,166 ----
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = ((MeaningForGenome)GO.BestGenome.Meaning).Tickers;
        }
        //else it will be buyed again the previous optimized portfolio

Index: EndOfDayTimerHandlerCTCWeekly.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTCWeekly.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerCTCWeekly.cs	18 Sep 2005 21:13:36 -0000	1.2
--- EndOfDayTimerHandlerCTCWeekly.cs	21 Oct 2005 18:18:08 -0000	1.3
***************
*** 152,156 ****
          //GO.KeepOnRunningUntilConvergenceIsReached = true;
          GO.Run(false);
!         this.chosenTickers = (string[])GO.BestGenome.Meaning;
        }
        //else it will be buyed again the previous optimized portfolio
--- 152,156 ----
          //GO.KeepOnRunningUntilConvergenceIsReached = true;
          GO.Run(false);
!         this.chosenTickers = ((MeaningForGenome)GO.BestGenome.Meaning).Tickers;
        }
        //else it will be buyed again the previous optimized portfolio

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** EndOfDayTimerHandlerCTC.cs	18 Sep 2005 21:13:36 -0000	1.14
--- EndOfDayTimerHandlerCTC.cs	21 Oct 2005 18:18:08 -0000	1.15
***************
*** 177,181 ****
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = (string[])GO.BestGenome.Meaning;
        }
        //else it will be buyed again the previous optimized portfolio
--- 177,181 ----
          this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                      currentDate);
!         this.chosenTickers = ((MeaningForGenome)GO.BestGenome.Meaning).Tickers;
        }
        //else it will be buyed again the previous optimized portfolio

[Quantproject-developers] QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio RunTestingOptimizationOpenToClose.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22049/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio

Modified Files:
	RunTestingOptimizationOpenToClose.cs 
Log Message:
Updated some script files inside the TickerSelectionTesting namespace

Index: RunTestingOptimizationOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/EvaluatingOptimizationTechnique/EfficientPortfolio/RunTestingOptimizationOpenToClose.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunTestingOptimizationOpenToClose.cs	27 Sep 2005 22:26:02 -0000	1.3
--- RunTestingOptimizationOpenToClose.cs	21 Oct 2005 18:18:08 -0000	1.4
***************
*** 126,130 ****
      {
        double returnValue = 0;
!       foreach(string tickerCode in (string[])genome.Meaning)
        {
          double coefficient = 1.0;
--- 126,130 ----
      {
        double returnValue = 0;
!       foreach(string tickerCode in ((MeaningForGenome)genome.Meaning).Tickers)
        {
          double coefficient = 1.0;

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

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv21410/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
Fixed minor bug in GeneticOptimizer 

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** GeneticOptimizer.cs	21 Aug 2005 10:07:36 -0000	1.11
--- GeneticOptimizer.cs	21 Oct 2005 18:15:47 -0000	1.12
***************
*** 401,406 ****
          Genome g = new Genome(this.genomeManager);
          g.CreateGenes();
-         g.AssignMeaning();
          g.CalculateFitness();
          this.currentGeneration.Add(g);
        }
--- 401,406 ----
          Genome g = new Genome(this.genomeManager);
          g.CreateGenes();
          g.CalculateFitness();
+         g.AssignMeaning();
          this.currentGeneration.Add(g);
        }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting MeaningForGenome.cs,NONE,1.1 GenomeManagerForEfficientPortfolio.cs,1.18,1.19

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20797/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientPortfolio.cs 
Added Files:
	MeaningForGenome.cs 
Log Message:
Added MeaningForGenome class, to be used inside the TickerSelectionTesting namespace.
Decode implementation in GenomeManagerForEfficientPortfolio (and so the Meaning property for the correlated Genome) has been changed. 

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

MeaningForGenome.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.TickerSelectionTesting.EfficientPortfolios
{
  /// <summary>
  /// This is the class representing the meaning for genome
  /// </summary>
  [Serializable]
  public class MeaningForGenome
  {
  	private string[] tickers;
  	private double returnAtLastDayInSample;
  	private double averageReturnInSample;
  	private double varianceReturnInSample;
    
  	public string[] Tickers
    {
      get{return this.tickers;}
    }
    
    public double ReturnAtLastDayInSample
    {
      get{return this.returnAtLastDayInSample;}
    }
    
    public double AverageReturnInSample
    {
      get{return this.averageReturnInSample;}
    }
    
    public double VarianceReturnInSample
    {
      get{return this.varianceReturnInSample;}
    }
   
    public MeaningForGenome(string[] tickers)
    {
 			this.tickers = tickers;
		}
    
    public MeaningForGenome(string[] tickers,
                            double returnAtLastDayInSample, 
  													 double averageReturnInSample,
  													 double varianceReturnInSample)
    {
 			this.tickers = tickers;
 			this.returnAtLastDayInSample = returnAtLastDayInSample;
 			this.averageReturnInSample = averageReturnInSample;
 			this.varianceReturnInSample = varianceReturnInSample;
		}
    
    
  }

}

Index: GenomeManagerForEfficientPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientPortfolio.cs,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** GenomeManagerForEfficientPortfolio.cs	10 Aug 2005 16:47:59 -0000	1.18
--- GenomeManagerForEfficientPortfolio.cs	21 Oct 2005 18:14:04 -0000	1.19
***************
*** 105,108 ****
--- 105,112 ----
        set{this.currentGeneticOptimizer = value;}
      }
+     public double[] PortfolioRatesOfReturn
+     {
+       get{return this.portfolioRatesOfReturn;}
+     }
      
      //setOfInitialTickers has to contain the
***************
*** 279,283 ****
      public virtual object Decode(Genome genome)
      {
!       string[] arrayOfTickers = new string[genome.Genes().Length];
        int indexOfTicker;
        for(int index = 0; index < genome.Genes().Length; index++)
--- 283,288 ----
      public virtual object Decode(Genome genome)
      {
!     	
!     	string[] arrayOfTickers = new string[genome.Genes().Length];
        int indexOfTicker;
        for(int index = 0; index < genome.Genes().Length; index++)
***************
*** 286,290 ****
          arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
        }
!       return arrayOfTickers;
        
      }
--- 291,299 ----
          arrayOfTickers[index] = this.decode_getTickerCodeForLongOrShortTrade(indexOfTicker);
        }
!       MeaningForGenome meaning = new MeaningForGenome(arrayOfTickers,
!                                                       this.PortfolioRatesOfReturn[this.portfolioRatesOfReturn.Length - 1],
!                                                       this.RateOfReturn,
!                                                       this.Variance);
!       return meaning;
        
      }

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20797/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	GenomeRepresentation.cs 
Log Message:
Added MeaningForGenome class, to be used inside the TickerSelectionTesting namespace.
Decode implementation in GenomeManagerForEfficientPortfolio (and so the Meaning property for the correlated Genome) has been changed. 

Index: GenomeRepresentation.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/GenomeRepresentation.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** GenomeRepresentation.cs	29 Jul 2005 13:36:28 -0000	1.2
--- GenomeRepresentation.cs	21 Oct 2005 18:14:04 -0000	1.3
***************
*** 25,28 ****
--- 25,29 ----
  using QuantProject.ADT.Optimizing.Genetic;
  using QuantProject.Business.Financial.Ordering;
+ using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
  namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
***************
*** 93,97 ****
  		{
  			string signedTickers = "";
! 			foreach ( string geneValue in (string[])genome.Meaning )
  				signedTickers += geneValue + ";";
  			signedTickers = signedTickers.Substring( 0 ,
--- 94,98 ----
  		{
  			string signedTickers = "";
! 			foreach ( string geneValue in ((MeaningForGenome)genome.Meaning).Tickers )
  				signedTickers += geneValue + ";";
  			signedTickers = signedTickers.Substring( 0 ,

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerOTCCTO.cs,NONE,1.1 EndOfDayTimerHandlerOTCMultiday.cs,NONE,1.1 RunEfficientOTCCTOPortfolio.cs,NONE,1.1 RunEfficientOTCPortfolioMultiday.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18615/b7_Scripts/TickerSelectionTesting

Added Files:
	EndOfDayTimerHandlerOTCCTO.cs 
	EndOfDayTimerHandlerOTCMultiday.cs 
	RunEfficientOTCCTOPortfolio.cs 
	RunEfficientOTCPortfolioMultiday.cs 
Log Message:
Added:
- SimpleSelection script;
- Open To Close combined with Close to Open;
- Open To Close multiday

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

EndOfDayTimerHandlerOTCCTO.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.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.ADT.Optimizing.Genetic;

namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	
  /// <summary>
  /// Implements MarketOpenEventHandler,
  /// TwoMinutesBeforeMarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
  /// These handlers contain the core strategy for the efficient close to open portfolio!
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerOTCCTO : EndOfDayTimerHandler
  {
    protected int numDaysBetweenEachOptimization;
    private int numDaysElapsedSinceLastOptimization;
    protected int seedForRandomGenerator;
    
    public EndOfDayTimerHandlerOTCCTO(string tickerGroupID, int numberOfEligibleTickers, 
                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer,
                                string benchmark, double targetReturn,
                                PortfolioType portfolioType, int numDaysBetweenEachOptimization):
  															base(tickerGroupID, numberOfEligibleTickers, 
                                numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
                                generationNumberForGeneticOptimizer,
                                populationSizeForGeneticOptimizer,
                                benchmark, targetReturn,
                                portfolioType)
    {
    	this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;  
    	this.numDaysElapsedSinceLastOptimization = 0;
    	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
    }
		    
       
    /// <summary>
    /// Handles a "Market Open" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	//temporarily the if condition
    	//if(this.numDaysElapsedSinceLastOptimization == 0)
    	this.closePositions();	
      this.openPositions();
    }
    private void reverseSignOfChosenTickers()
    {
      for(int i = 0; i<this.chosenTickers.Length; i++)
      {
        if(this.chosenTickers[i] != null)
        {
          if(this.chosenTickers[i].StartsWith("-"))
            this.chosenTickers[i] =
              GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.chosenTickers[i]);
          else
            this.chosenTickers[i] = "-" + this.chosenTickers[i];
        }
      }
    }
                
    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	
    	//temporarily
    	//if(this.numDaysElapsedSinceLastOptimization ==
    	//   this.numDaysBetweenEachOptimization)
    	this.closePositions();
      this.orders.Clear();
      this.reverseSignOfChosenTickers();
      this.openPositions();

    }
    
    

		#region OneHourAfterMarketCloseEventHandler
      
    protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
    {
      /*
      SelectorByAverageRawOpenPrice selectorByOpenPrice = 
                  new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                          currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
                          this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
                          this.maxPriceForMinimumCommission, 0, 2);
      DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
      */
     	
     	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
      SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
      	new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
      	                                              this.benchmark,true,
      	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
      	                                    					currentDate,
      	                                    					this.numberOfEligibleTickers);
      
      this.eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
        new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
                                   false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                    currentDate, this.numberOfEligibleTickers, this.benchmark);
      //SelectorByWinningOpenToClose winners =
      //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
      //	                                 false, currentDate.AddDays(-2),
      //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
      //return winners.GetTableOfSelectedTickers();
      //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
      //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
      //                                                this.benchmark, true,
      //                                                currentDate.AddDays(-this.numDaysForLiquidity),
      //                                                currentDate, this.numberOfEligibleTickers/2);
      return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
      //return lessCorrelated.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 possible only if the initial set of tickers is 
        //as large as the number of tickers to be chosen                     
      
      {
        IGenomeManager genManEfficientCTOPortfolio = 
          new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
        	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
        	                                          currentDate,
        	                                          this.numberOfTickersToBeChosen,
        	                                          this.targetReturn,
        	                                         	this.portfolioType);
        
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
                                                    this.populationSizeForGeneticOptimizer,
                                                    this.generationNumberForGeneticOptimizer,
                                                   this.seedForRandomGenerator);
        if(setGenomeCounter)
        	this.genomeCounter = new GenomeCounter(GO);
        
        GO.Run(false);
        this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                    currentDate);
        this.chosenTickers = (string[])GO.BestGenome.Meaning;
      }
      //else it will be buyed again the previous optimized portfolio
      //that's it the actual chosenTickers member
    }

    protected void oneHourAfterMarketCloseEventHandler_updatePrices()
    {
    	//min price for minimizing commission amount
    	//according to IB Broker's commission scheme
    	this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
      this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
      //just to avoid warning message
    }
    
    /// <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.seedForRandomGenerator++;
    	this.orders.Clear();
    	//this.oneHourAfterMarketCloseEventHandler_updatePrices();
      if(this.numDaysElapsedSinceLastOptimization == 
    	   this.numDaysBetweenEachOptimization - 1)
    	{
    		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
      	//sets tickers to be chosen next Market Open event
      	this.numDaysElapsedSinceLastOptimization = 0;
    	}
      else
      {
        this.numDaysElapsedSinceLastOptimization++;
      }
    	
    }
		   
    #endregion
		
  }
}

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

RunEfficientOTCPorfolioMultiday.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.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.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Presentation.Reporting.WindowsForm;


namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	/// <summary>
	/// Script to buy at open and sell at close 
	/// the efficient close to open daily portfolio
	/// The efficient portfolio's generation rules
	/// (contained in the EndOfDayTimerHandler) are:
	/// - choose the most liquid tickers;
	/// - choose the most efficient portfolio among these tickers
	/// </summary>
  [Serializable]
  public class RunEfficientOTCPortfolioMultiday : RunEfficientPortfolio
  {
    protected int numDaysBetweenEachOptimization;	
    public RunEfficientOTCPortfolioMultiday(string tickerGroupID, int numberOfEligibleTickers, 
      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
      int generationNumberForGeneticOptimizer,
      int populationSizeForGeneticOptimizer, string benchmark,
      DateTime startDate, DateTime endDate, double targetReturn,
      PortfolioType portfolioType, double maxRunningHours,
     	int numDaysPortfolioLife):
      base(tickerGroupID, numberOfEligibleTickers, 
      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
      generationNumberForGeneticOptimizer,
      populationSizeForGeneticOptimizer, benchmark,
      startDate, endDate, targetReturn,
      portfolioType, maxRunningHours)
    {
      this.ScriptName = "MultidayOpenCloseScripts";
      this.numDaysBetweenEachOptimization = numDaysPortfolioLife;
    }
    
    #region auxiliary overriden methods for Run
        
    /* delete remark delimitations for having ib commission
    protected override void run_initializeAccount()
    {
      this.account = new Account( this.ScriptName , this.endOfDayTimer ,
        new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
          this.historicalQuoteProvider ) ,
        new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
          this.historicalQuoteProvider ), new IBCommissionManager());
     
    }
    */
    
    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCMultiday(this.tickerGroupID,
        this.numberOfEligibleTickers,
        this.numberOfTickersToBeChosen,
        this.numDaysForOptimizationPeriod,
        this.account,
        this.generationNumberForGeneticOptimizer, 
        this.populationSizeForGeneticOptimizer,
        this.benchmark,
        this.targetReturn,
        this.portfolioType, this.numDaysBetweenEachOptimization);
    }
    
    protected override void run_initializeHistoricalQuoteProvider()
    {
      //this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
      this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
    }
    
    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 RunEfficientPortfolio.Run()
    //in classes that inherit from this class
    public override void Run()
    {
      base.Run();
    }
	}
}

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

EndOfDayTimerHandlerOTCMultiday.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.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.ADT.Optimizing.Genetic;

namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	
  /// <summary>
  /// Implements MarketOpenEventHandler,
  /// TwoMinutesBeforeMarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
  /// These handlers contain the core strategy for the efficient close to open portfolio!
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerOTCMultiday : EndOfDayTimerHandler
  {
    protected int numDaysBetweenEachOptimization;
    private int numDaysElapsedSinceLastOptimization;
    protected int seedForRandomGenerator;
    
    public EndOfDayTimerHandlerOTCMultiday(string tickerGroupID, int numberOfEligibleTickers, 
                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer,
                                string benchmark, double targetReturn,
                                PortfolioType portfolioType, int numDaysBetweenEachOptimization):
  															base(tickerGroupID, numberOfEligibleTickers, 
                                numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
                                generationNumberForGeneticOptimizer,
                                populationSizeForGeneticOptimizer,
                                benchmark, targetReturn,
                                portfolioType)
    {
    	this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;  
    	this.numDaysElapsedSinceLastOptimization = 0;
    	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
    }
		    
       
    /// <summary>
    /// Handles a "Market Open" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	
    	if(this.numDaysElapsedSinceLastOptimization == 0)
    			this.openPositions();
    }
		
                
    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	
    	
    	if(this.numDaysElapsedSinceLastOptimization ==
    	   this.numDaysBetweenEachOptimization - 1)
    	 			this.closePositions();
    	  	
    }
    
    

		#region OneHourAfterMarketCloseEventHandler
      
    protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
    {
      /*
      SelectorByAverageRawOpenPrice selectorByOpenPrice = 
                  new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                          currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
                          this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
                          this.maxPriceForMinimumCommission, 0, 2);
      DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
      */
     	
     	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
      SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
      	new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
      	                                              this.benchmark,true,
      	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
      	                                    					currentDate,
      	                                    					this.numberOfEligibleTickers);
      
      this.eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
        new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
                                   false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                    currentDate, this.numberOfEligibleTickers, this.benchmark);
      //SelectorByWinningOpenToClose winners =
      //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
      //	                                 false, currentDate.AddDays(-2),
      //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
      //return winners.GetTableOfSelectedTickers();
      //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
      //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
      //                                                this.benchmark, true,
      //                                                currentDate.AddDays(-this.numDaysForLiquidity),
      //                                                currentDate, this.numberOfEligibleTickers/2);
      return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
      //return lessCorrelated.GetTableOfSelectedTickers();
    }
    
    private string[] setTickers_getBestTickersLosingAtLastDay(IGenomeManager genomeManager)
    {
    	string[] returnValue =
    		((MeaningForGenome)genomeManager.CurrentGeneticOptimizer.BestGenome.Meaning).Tickers;
    	int numOfGenomes = genomeManager.CurrentGeneticOptimizer.CurrentGeneration.Count;
    	int i;
    	for(i = 0;i<numOfGenomes; i++)
    	{
    		if(((MeaningForGenome)((Genome)genomeManager.CurrentGeneticOptimizer.CurrentGeneration[numOfGenomes - i - 1]).Meaning).ReturnAtLastDayInSample < 0)
    		//the current portfolio has a negative return at the last day in sample
    		{
    			returnValue =
    					((MeaningForGenome)((Genome)genomeManager.CurrentGeneticOptimizer.CurrentGeneration[numOfGenomes - i - 1]).Meaning).Tickers;
    			i = numOfGenomes;
    		}
    	}
    
    	return returnValue;
    }
    
    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 possible only if the initial set of tickers is 
        //as large as the number of tickers to be chosen                     
      
      {
        IGenomeManager genManEfficientCTOPortfolio = 
          new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
        	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
        	                                          currentDate,
        	                                          this.numberOfTickersToBeChosen,
        	                                          this.targetReturn,
        	                                         	this.portfolioType);
        
        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
                                                    this.populationSizeForGeneticOptimizer,
                                                    this.generationNumberForGeneticOptimizer,
                                                   this.seedForRandomGenerator);
        if(setGenomeCounter)
        	this.genomeCounter = new GenomeCounter(GO);
        
        GO.Run(false);
        this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                    currentDate);
        //this.chosenTickers = ((MeaningForGenome)GO.BestGenome.Meaning).Tickers;
        this.chosenTickers =
        	this.setTickers_getBestTickersLosingAtLastDay(genManEfficientCTOPortfolio);
      }
      //else it will be buyed again the previous optimized portfolio
      //that's it the actual chosenTickers member
    }

    protected void oneHourAfterMarketCloseEventHandler_updatePrices()
    {
    	//min price for minimizing commission amount
    	//according to IB Broker's commission scheme
    	this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
      this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
      //just to avoid warning message
    }
    
    /// <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.seedForRandomGenerator++;
    	this.orders.Clear();
    	//this.oneHourAfterMarketCloseEventHandler_updatePrices();
      if(this.numDaysElapsedSinceLastOptimization == 
    	   this.numDaysBetweenEachOptimization - 1)
    	{
    		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
      	//sets tickers to be chosen next Market Open event
      	this.numDaysElapsedSinceLastOptimization = 0;
    	}
      else
      {
        this.numDaysElapsedSinceLastOptimization++;
      }
    	
    }
		   
    #endregion
		
  }
}

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

RunEfficientOTCCTOPorfolio.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.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.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Presentation.Reporting.WindowsForm;


namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	/// <summary>
	/// Script to buy at open and sell at close 
	/// the efficient close to open daily portfolio
	/// The efficient portfolio's generation rules
	/// (contained in the EndOfDayTimerHandler) are:
	/// - choose the most liquid tickers;
	/// - choose the most efficient portfolio among these tickers
	/// </summary>
  [Serializable]
  public class RunEfficientOTCCTOPortfolio : RunEfficientPortfolio
  {
    protected int numDaysBetweenEachOptimization;	
    public RunEfficientOTCCTOPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
      int generationNumberForGeneticOptimizer,
      int populationSizeForGeneticOptimizer, string benchmark,
      DateTime startDate, DateTime endDate, double targetReturn,
      PortfolioType portfolioType, double maxRunningHours,
     	int numDaysBetweenEachOptimization):
      base(tickerGroupID, numberOfEligibleTickers, 
      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
      generationNumberForGeneticOptimizer,
      populationSizeForGeneticOptimizer, benchmark,
      startDate, endDate, targetReturn,
      portfolioType, maxRunningHours)
    {
      this.ScriptName = "OpenToClose_CloseToOpenScripts";
      this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
    }
    
    #region auxiliary overriden methods for Run
        
    /* delete remark delimitations for having ib commission
    protected override void run_initializeAccount()
    {
      this.account = new Account( this.ScriptName , this.endOfDayTimer ,
        new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
          this.historicalQuoteProvider ) ,
        new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
          this.historicalQuoteProvider ), new IBCommissionManager());
     
    }
    */
    
    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCCTO(this.tickerGroupID,
        this.numberOfEligibleTickers,
        this.numberOfTickersToBeChosen,
        this.numDaysForOptimizationPeriod,
        this.account,
        this.generationNumberForGeneticOptimizer, 
        this.populationSizeForGeneticOptimizer,
        this.benchmark,
        this.targetReturn,
        this.portfolioType, this.numDaysBetweenEachOptimization);
    }
    
    protected override void run_initializeHistoricalQuoteProvider()
    {
      //this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
      this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
    }
    
    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 RunEfficientPortfolio.Run()
    //in classes that inherit from this class
    public override void Run()
    {
      base.Run();
    }
	}
}

[Quantproject-developers] QuantProject/b7_Scripts Scripts.prjx,1.13,1.14 b7_Scripts.csproj,1.39,1.40

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18615/b7_Scripts

Modified Files:
	Scripts.prjx b7_Scripts.csproj 
Log Message:
Added:
- SimpleSelection script;
- Open To Close combined with Close to Open;
- Open To Close multiday

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.39
retrieving revision 1.40
diff -C2 -d -r1.39 -r1.40
*** b7_Scripts.csproj	15 Oct 2005 18:02:27 -0000	1.39
--- b7_Scripts.csproj	21 Oct 2005 18:07:45 -0000	1.40
***************
*** 219,222 ****
--- 219,232 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\EndOfDayTimerHandlerOTCCTO.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TickerSelectionTesting\EndOfDayTimerHandlerOTCMultiday.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TickerSelectionTesting\GenomeManagerForEfficientCTCPortfolio.cs"
                      SubType = "Code"
***************
*** 239,242 ****
--- 249,257 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\MeaningForGenome.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TickerSelectionTesting\PortfolioType.cs"
                      SubType = "Code"
***************
*** 264,267 ****
--- 279,292 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\RunEfficientOTCCTOPortfolio.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TickerSelectionTesting\RunEfficientOTCPortfolioMultiday.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TickerSelectionTesting\RunEfficientPortfolio.cs"
                      SubType = "Code"
***************
*** 284,287 ****
--- 309,347 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\SimpleSelection\BestTickersScreener.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TickerSelectionTesting\SimpleSelection\BestTickersScreenerOpenToClose.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TickerSelectionTesting\SimpleSelection\CandidatePropertiesForSimpleSelection.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TickerSelectionTesting\SimpleSelection\EndOfDayTimerHandlerSimpleSelection.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TickerSelectionTesting\SimpleSelection\EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TickerSelectionTesting\SimpleSelection\RunSimpleSelection.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TickerSelectionTesting\SimpleSelection\RunSimpleSelectionOpenToClose.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\LinearCombination\GenomeRepresentation.cs"
                      SubType = "Code"

Index: Scripts.prjx
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts.prjx,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** Scripts.prjx	27 Sep 2005 22:32:40 -0000	1.13
--- Scripts.prjx	21 Oct 2005 18:07:45 -0000	1.14
***************
*** 23,27 ****
      <File name=".\WalkForwardTesting\WalkForwardOneRank\ComparableAccount.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\WalkForwardTesting\WalkForwardOneRank\EligibleTickers.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
-     <File name=".\WalkForwardTesting\WalkForwardOneRank\EndOfDayTimerHandler.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\WalkForwardTesting\WalkForwardOneRank\ProgressBarForm.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\WalkForwardTesting\WalkForwardOneRank\RunWalkForwardOneRank.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
--- 23,26 ----
***************
*** 58,61 ****
--- 57,74 ----
      <File name=".\TickerSelectionTesting\EndOfDayTimerHandlerCTOMultiAccount.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
      <File name=".\TickerSelectionTesting\RunEfficientCTOPortfolioMultiAccount.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\EndOfDayTimerHandlerOTCCTO.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\RunEfficientOTCCTOPortfolio.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\RunEfficientOTCPortfolioMultiday.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\EndOfDayTimerHandlerOTCMultiday.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\SimpleSelection" subtype="Directory" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\SimpleSelection\RunSimpleSelectionOpenToClose.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\SimpleSelection\BestTickersScreener.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\SimpleSelection\BestTickersScreenerOpenToClose.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\SimpleSelection\CandidatePropertiesForSimpleSelection.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\SimpleSelection\EndOfDayTimerHandlerSimpleSelection.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\SimpleSelection\EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\SimpleSelection\RunSimpleSelection.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\WalkForwardTesting\WalkForwardOneRank\MyEndOfDayTimerHandler.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
+     <File name=".\TickerSelectionTesting\MeaningForGenome.cs" subtype="Code" buildaction="Compile" dependson="" data="" />
    </Contents>
    <References>

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection RunSimpleSelectionOpenToClose.cs,NONE,1.1 RunSimpleSelection.cs,NONE,1.1 EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs,NONE,1.1 EndOfDayTimerHandlerSimpleSelection.cs,NONE,1.1 CandidatePropertiesForSimpleSelection.cs,NONE,1.1 BestTickersScreenerOpenToClose.cs,NONE,1.1 BestTickersScreener.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15209

Added Files:
	RunSimpleSelectionOpenToClose.cs RunSimpleSelection.cs 
	EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs 
	EndOfDayTimerHandlerSimpleSelection.cs 
	CandidatePropertiesForSimpleSelection.cs 
	BestTickersScreenerOpenToClose.cs BestTickersScreener.cs 
Log Message:
Added files for SimpleSelection script

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

EndOfDayTimerHandlerSimpleSelection.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.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.TickerSelectionTesting.SimpleSelection
{
	
  /// <summary>
  /// Base class for EndOfDayTimerHandlers for simple selection
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerSimpleSelection
  {
    protected DataTable eligibleTickers;
    protected string[] chosenTickers;
    protected string[] lastOrderedTickers;
    
    protected string tickerGroupID;
    protected int numberOfEligibleTickers;
    protected int numberOfTickersToBeChosen;
    protected int numDaysForOptimizationPeriod;
    		
    protected Account account;
    protected ArrayList orders;

    protected string benchmark;
    //these two values have to be updated during
    //backtest, for minimizing commission amount,
    //according to broker's commission scheme 
    protected double minPriceForMinimumCommission = 0;
    protected double maxPriceForMinimumCommission = 500;
    
    protected double targetReturn;
    
    protected PortfolioType portfolioType;
    
    public string[] LastOrderedTickers
    {
      get { return this.lastOrderedTickers; }
    }
    public int NumberOfEligibleTickers
    {
      get { return this.numberOfEligibleTickers; }
    }
		
    public Account Account
    {
      get { return this.account; }
    }
		
   
    public EndOfDayTimerHandlerSimpleSelection(string tickerGroupID, int numberOfEligibleTickers, 
                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
                                string benchmark, double targetReturn,
                                PortfolioType portfolioType)
    {
      this.tickerGroupID = tickerGroupID;
      this.numberOfEligibleTickers = numberOfEligibleTickers;
      this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
      this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
      this.account = account;
      this.benchmark = benchmark;
      this.orders = new ArrayList();
      this.chosenTickers = new string[numberOfTickersToBeChosen];
      this.lastOrderedTickers = new string[numberOfTickersToBeChosen];
      this.targetReturn = targetReturn;
      this.portfolioType = portfolioType;
      
    }
		
    
    protected virtual void addOrderForTicker(string ticker )
    {
    	string tickerCode = 
    			GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
      double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
      long quantity =
        Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( tickerCode ) ) );
      Order order;
      if(this.portfolioType == PortfolioType.OnlyShort ||
         		(this.portfolioType == PortfolioType.ShortAndLong &&
              ticker != tickerCode))
        order = new Order( OrderType.MarketSellShort, new Instrument( tickerCode ) , quantity );  
      else      		
      	order = new Order( OrderType.MarketBuy, new Instrument( tickerCode ) , quantity );
      
      this.orders.Add(order);
    }
    
    protected virtual void closePosition(
      string ticker )
    {
      this.account.ClosePosition( ticker );
    }
    
    protected virtual void closePositions()
    {
      
      if(this.lastOrderedTickers != null)
      {
        foreach( string ticker in this.lastOrderedTickers)
        {
          for(int i = 0; i<this.account.Portfolio.Keys.Count; i++)
          {
            if(this.account.Portfolio[ticker]!=null)
              closePosition( ticker );
          }
        }
      }
      
      
    }
    
    protected virtual void addChosenTickersToOrderList()
    {
      int idx = 0;
      foreach ( string ticker in this.chosenTickers )
      {
        if(ticker != null)
        {  
          this.addOrderForTicker( ticker );
          this.lastOrderedTickers[idx] = 
          		GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
        }
        idx++;
      }
    }
    
    protected bool openPositions_allChosenTickersQuotedAtCurrentDate()
    {
      bool returnValue = true;
      DateTime currentDate = this.Account.EndOfDayTimer.GetCurrentTime().DateTime;
      foreach(string ticker in this.chosenTickers)
      {
        if(ticker != null)
        {
          Quotes tickerQuotes = new Quotes(GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker),
                                          currentDate, currentDate);
          if(tickerQuotes.Rows.Count == 0)
          //no quote available for the current ticker
            returnValue = false;
        }                       
      }
      return returnValue;
    }
    
    protected virtual void openPositions()
    {
      //add cash first
    	if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
        this.account.AddCash(17000);     
      if(this.openPositions_allChosenTickersQuotedAtCurrentDate())
        //all tickers have quotes at the current date, so orders can be filled
      {
        this.addChosenTickersToOrderList();
        //execute orders actually
        foreach(object item in this.orders)
          this.account.AddOrder((Order)item);
      }
    }
    
    public virtual void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      ;
    }
    public virtual void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      ;
    }
    public virtual void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      ;
    }
  } // end of class
}

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

BestTickersScreenerOpenToClose.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.Data;
using QuantProject.Data.DataTables;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.TickerSelectionTesting.SimpleSelection
{
  /// <summary>
  /// Class for tickers' selection without combination
  /// Open to close
  /// </summary>
  [Serializable]
  public class BestTickersScreenerOpenToClose : BestTickersScreener
  {
    
    public BestTickersScreenerOpenToClose(DataTable setOfInitialTickers,
																DateTime firstQuoteDate,
																DateTime lastQuoteDate,
																double targetPerformance,
                                PortfolioType portfolioType):
                                base(setOfInitialTickers,
                                    firstQuoteDate, lastQuoteDate,
                                    targetPerformance,
                                    portfolioType)
                          
    {
 			this.retrieveData();
    }
    
    protected override float[] getArrayOfRatesOfReturn(string ticker)
    {
      Quotes tickerQuotes = new Quotes(ticker, this.firstQuoteDate, this.lastQuoteDate);
      return ExtendedDataTable.GetRatesOfReturnsFromColumns(tickerQuotes, "quClose", "quOpen");
    }

  }

}

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

CandidatePropertiesForSimpleSelection.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.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.ADT.Statistics;


namespace QuantProject.Scripts.TickerSelectionTesting.SimpleSelection
{
  /// <summary>
  /// This is the class containing basic information
  /// for each candidate to be evaluated for the simple selection script
  /// </summary>
  [Serializable]
  public class CandidatePropertiesForSimpleSelection : CandidateProperties
  {
    private double targetPerformance;
    public CandidatePropertiesForSimpleSelection(string ticker, float[] arrayOfRatesOfReturn,
                                                 double targetPerformance):
                                          base(ticker, arrayOfRatesOfReturn)
    {
      this.targetPerformance = targetPerformance;
    }
  
    public override void setFitness()
    {
      NormalDistribution normal = 
         new NormalDistribution(BasicFunctions.SimpleAverage(this.ArrayOfRatesOfReturn),
                                BasicFunctions.StdDev(this.ArrayOfRatesOfReturn));
      this.fitness = 1-normal.GetProbability(this.targetPerformance);
    }
  }

}

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

RunSimpleSelection.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.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.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Presentation.Reporting.WindowsForm;


namespace QuantProject.Scripts.TickerSelectionTesting.SimpleSelection
{
	/// <summary>
	/// Base class for simple selection test 
	/// The strategy simply chooses the tickers with the highest fitness,
	/// for short or long trading
	/// </summary>
	[Serializable]
  public class RunSimpleSelection
	{
    protected string tickerGroupID;
    protected int numberOfEligibleTickers;
    protected int numberOfTickersToBeChosen;
    protected int numDaysForOptimizationPeriod;

    protected ReportTable reportTable;
    protected EndOfDayDateTime startDateTime;
    protected EndOfDayDateTime endDateTime;
		protected IHistoricalQuoteProvider historicalQuoteProvider;

    protected EndOfDayTimerHandlerSimpleSelection endOfDayTimerHandler;

    protected Account account;
		
    protected IEndOfDayTimer endOfDayTimer;

    protected string benchmark;
    
    protected string scriptName;
    
    protected double targetReturn;
    
    protected PortfolioType portfolioType;
    
    protected DateTime startingTimeForScript;
    protected double maxRunningHours;
    //if MaxNumberOfHoursForScript has elapsed and the script
    //is still running, it will be stopped.
    
    public string[] LastOrderedTickers
    {
      get { return this.endOfDayTimerHandler.LastOrderedTickers; }
    }
    public PortfolioType TypeOfPortfolio
    {
      get { return this.portfolioType; }
    }
       
    public virtual string ScriptName
    {
    	get{return this.scriptName;}
    	set{this.scriptName = value;}
    }
    
    public DateTime TimerLastDate
    {
    	get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
    }	
	
		public RunSimpleSelection(string benchmark,
                                DateTime startDate, DateTime endDate, 
                                PortfolioType portfolioType, 
                                double maxRunningHours)
		{
     
      this.startDateTime = new EndOfDayDateTime(
        startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
      this.endDateTime = new EndOfDayDateTime(
        endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
      this.benchmark = benchmark;
     	this.ScriptName = "SimpleTestGeneric";
     	this.portfolioType = portfolioType;
     	this.startingTimeForScript = DateTime.Now;
      this.maxRunningHours = maxRunningHours;
      //this.numIntervalDays = 3;
		}
    
    public RunSimpleSelection(string tickerGroupID, int numberOfEligibleTickers,
                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
                                string benchmark,
                                DateTime startDate, DateTime endDate, 
                                double targetReturn,
                                PortfolioType portfolioType, 
                                double maxRunningHours)
		{
      //this.progressBarForm = new ProgressBarForm();
      this.tickerGroupID = tickerGroupID;
      this.numberOfEligibleTickers = numberOfEligibleTickers;
      this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
      this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
      this.reportTable = new ReportTable( "Summary_Reports" );
      this.startDateTime = new EndOfDayDateTime(
        startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
      this.endDateTime = new EndOfDayDateTime(
        endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
      this.benchmark = benchmark;
     	this.ScriptName = "SimpleTestGeneric";
     	this.targetReturn = targetReturn;
     	this.portfolioType = portfolioType;
     	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
    	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()
    {
     	//always needs specific implementation in inherited classes; 
    }
    
    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 = "SimpleSelectionFrom"+this.numberOfEligibleTickers +
                      "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
                      this.numberOfTickersToBeChosen + 
        							"Target" + Convert.ToString(this.targetReturn) + 
        							Convert.ToString(this.portfolioType);
      string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
                         								"\\" + this.ScriptName + "\\";
      string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
                       									"\\" + 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.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 
    
	}
}

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

BestTickersScreener.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.Data;
using QuantProject.Data.DataTables;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.TickerSelectionTesting.SimpleSelection
{
  /// <summary>
  /// Base class for tickers' selection without combination 
  /// </summary>
  [Serializable]
  public class BestTickersScreener
  {
    protected DataTable setOfTickers;//used only for keeping
                                     //the same signature for 
                                     //protected retrieveData() method
    protected CandidatePropertiesForSimpleSelection[] setOfCandidates;
    protected DateTime firstQuoteDate;
    protected DateTime lastQuoteDate;
    protected double targetPerformance;
    protected PortfolioType portfolioType;

    //setOfInitialTickers has to contain the
    //ticker's symbol in the first column !

    public BestTickersScreener(DataTable setOfInitialTickers,
																DateTime firstQuoteDate,
																DateTime lastQuoteDate,
																double targetPerformance,
                                PortfolioType portfolioType)
                          
    {
 			this.setOfTickers = setOfInitialTickers;
			if ( setOfInitialTickers.Rows.Count == 0 )
				throw new Exception( "setOfInitialTickers cannot be empty!" );
      this.firstQuoteDate = firstQuoteDate;
      this.lastQuoteDate = lastQuoteDate;
      this.targetPerformance = targetPerformance;
      this.portfolioType = portfolioType;
    }
        
    //this protected method has to be called by inherited classes
    //(open to close or close to close) 
    //only after all initializations provided
    //by their respective constructors
    protected void retrieveData()
    {
      this.setOfCandidates = new CandidatePropertiesForSimpleSelection[setOfTickers.Rows.Count];
      for(int i = 0; i<setOfTickers.Rows.Count; i++)
      {
        string ticker = (string)setOfTickers.Rows[i][0];
        this.setOfCandidates[i] = new CandidatePropertiesForSimpleSelection(ticker,
                                      this.getArrayOfRatesOfReturn(ticker), this.targetPerformance);
      }
    }

    //this protected method must be overriden by inherited classes
    //specifing the type of rates of return that have to 
    //be analyzed
    protected virtual float[] getArrayOfRatesOfReturn(string ticker)
    {
    	float[] returnValue = null;
    	return returnValue;
    }
    
    private void setSetOfCandidates(bool longRatesOfReturn)
    {
      for(int i = 0; i<this.setOfCandidates.Length;i++)
      {
      	this.setOfCandidates[i].LongRatesOfReturn = longRatesOfReturn;
      	this.setOfCandidates[i].setFitness();
      }
      Array.Sort(this.setOfCandidates);
    }

    private void getBestTickers_setReturnValueForOnlyLong(string[] returnValue)
    {
      this.setSetOfCandidates(true);
      for(int i = 0; i<returnValue.Length;i++)
      	//the last items of the array are the best tickers for long trades
         returnValue[i] = this.setOfCandidates[this.setOfCandidates.Length - i - 1].Ticker;
    }
    private void getBestTickers_setReturnValueForOnlyShort(string[] returnValue)
    {
      this.setSetOfCandidates(true);
      for(int i = 0; i<returnValue.Length;i++)
      	//the first items of the array are surely the best tickers for short trades
        returnValue[i] = "-" + this.setOfCandidates[i].Ticker;
    }
    /*OLD IMPLEMENTATION: HALF SHORT HALF LONG
    private void getBestTickers_setReturnValueForShortAndLong(string[] returnValue)
    {
      this.getBestTickers_setReturnValueForOnlyLong(returnValue);
      //the first half is for long tickers
      int numberOfTickersForShort = returnValue.Length / 2;
     	for(int i = 0; i<numberOfTickersForShort;i++)
        returnValue[i] = "-" + this.setOfCandidates[i].Ticker;
      //the second half is for short tickers (if returnValue.Length is 
      //odd, n° of short tickers = n° of long tickers - 1
    }
    */
    //new implementation tickers with highest fitness,
    //short or long
    private void getBestTickers_setReturnValueForShortAndLong(string[] returnValue)
    {
      CandidateProperties[] allTickersShortOrLong = 
      		new CandidateProperties[this.setOfCandidates.Length * 2];
      int numOfTickers = this.setOfCandidates.Length;
      this.setSetOfCandidates(true);
      for(int i = 0; i<numOfTickers; i++)
       	allTickersShortOrLong[i] = 
      		new CandidateProperties(this.setOfCandidates[i].Ticker,
      		                        this.setOfCandidates[i].ArrayOfRatesOfReturn);
      
 			this.setSetOfCandidates(false);
      for(int i = numOfTickers; i<numOfTickers*2; i++)
       	allTickersShortOrLong[i] = 
      		new CandidateProperties("-" + this.setOfCandidates[i].Ticker,
      		                        this.setOfCandidates[i].ArrayOfRatesOfReturn); 
      Array.Sort(allTickersShortOrLong);
      for(int i = 0; i<returnValue.Length; i++)
        returnValue[i] = allTickersShortOrLong[i].Ticker;
      
    }
    /// <summary>
    /// It gets best tickers for trading
    /// If PortfolioType is ShortAndLong, half of numberOfTickers is for short and
    /// the remaining half for long. Tickers for short trading are signed!
    /// </summary>
    public string[] GetBestTickers(int numberOfTickers)
    {
      string[] returnValue = new string[numberOfTickers];
      if(this.portfolioType == PortfolioType.OnlyLong)
        this.getBestTickers_setReturnValueForOnlyLong(returnValue);  
      else if(this.portfolioType == PortfolioType.OnlyShort)
        this.getBestTickers_setReturnValueForOnlyShort(returnValue);
      else if(this.portfolioType == PortfolioType.ShortAndLong)
        this.getBestTickers_setReturnValueForShortAndLong(returnValue);
      
      return returnValue;
    }
    
    
    
  }

}

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

RunSimpleSelectionOpenToClose.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.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.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Presentation.Reporting.WindowsForm;


namespace QuantProject.Scripts.TickerSelectionTesting.SimpleSelection
{
	/// <summary>
	/// Script to buy at open and sell at close (within the same day)
	/// the tickers with the highest fitness, for short or long trade
	/// </summary>
  [Serializable]
  public class RunSimpleSelectionOpenToClose : RunSimpleSelection
  {
    protected int numDaysBetweenEachOptimization;	
    public RunSimpleSelectionOpenToClose(string tickerGroupID, int numberOfEligibleTickers, 
      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
      string benchmark,
      DateTime startDate, DateTime endDate, double targetReturn,
      PortfolioType portfolioType, double maxRunningHours,
     	int numDaysBetweenEachOptimization):
      base(tickerGroupID, numberOfEligibleTickers, 
      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
      benchmark,
      startDate, endDate, targetReturn,
      portfolioType, maxRunningHours)
    {
      this.ScriptName = "SimpleSelectionOpenToClose";
      this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
    }
    
    #region auxiliary overriden methods for Run
        
    /* delete remark delimitations for having ib commission
    protected override void run_initializeAccount()
    {
      this.account = new Account( this.ScriptName , this.endOfDayTimer ,
        new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
          this.historicalQuoteProvider ) ,
        new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
          this.historicalQuoteProvider ), new IBCommissionManager());
     
    }
    */
    
    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = 
        new EndOfDayTimerHandlerSimpleSelectionOpenToClose(this.tickerGroupID,
                                  this.numberOfEligibleTickers,
                                  this.numberOfTickersToBeChosen,
                                  this.numDaysForOptimizationPeriod,
                                  this.account,
                                  this.benchmark,
                                  this.targetReturn,
                                  this.portfolioType, this.numDaysBetweenEachOptimization);
    }
    
    protected override void run_initializeHistoricalQuoteProvider()
    {
      this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
      //this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
    }
    
    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 
    
    public override void SaveScriptResults()
    {
      string fileName = "SimpleOTCDailySelectionFrom"+this.numberOfEligibleTickers +
                      "OptDays" + this.numDaysForOptimizationPeriod + "Portfolio" +
                      this.numberOfTickersToBeChosen + 
        							"Target" + Convert.ToString(this.targetReturn) + 
        							Convert.ToString(this.portfolioType);
      string dirNameWhereToSaveReports = System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
                         								"\\" + this.ScriptName + "\\";
      string dirNameWhereToSaveTransactions = System.Configuration.ConfigurationSettings.AppSettings["TransactionsArchive"] +
                       									"\\" + 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.endOfDayTimer.Stop();
    }
    
    
    //necessary far calling RunEfficientPortfolio.Run()
    //in classes that inherit from this class
    public override void Run()
    {
      base.Run();
    }
	}
}

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

EndOfDayTimerHandlerSimpleSelectionOpenToClose.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.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.TickerSelectionTesting.SimpleSelection
{
	
  /// <summary>
  /// Base class for EndOfDayTimerHandlers for simple selection
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerSimpleSelectionOpenToClose : EndOfDayTimerHandlerSimpleSelection
  {
    protected int numDaysBetweenEachOptimization;
    private int numDaysElapsedSinceLastOptimization;
   
    public EndOfDayTimerHandlerSimpleSelectionOpenToClose(string tickerGroupID, int numberOfEligibleTickers, 
                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
                                string benchmark, double targetReturn,
                                PortfolioType portfolioType, int numDaysBetweenEachOptimization):
                              base(tickerGroupID, numberOfEligibleTickers, 
                              numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
                              benchmark, targetReturn,
                              portfolioType)
    {
      this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
      this.numDaysElapsedSinceLastOptimization = 0;
    }
		
    
    public override void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      this.openPositions();
    }
    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      this.closePositions();
    }

    #region OneHourAfterMarketCloseEventHandler
      
    protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
    {
      /*
      SelectorByAverageRawOpenPrice selectorByOpenPrice = 
                  new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                          currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
                          this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
                          this.maxPriceForMinimumCommission, 0, 2);
      DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
      */
     	
      SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
      SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
        new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
        this.benchmark,true,
        currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
        currentDate,
        this.numberOfEligibleTickers);
      
      this.eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
        new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
        false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
        currentDate, this.numberOfEligibleTickers, this.benchmark);
      //SelectorByWinningOpenToClose winners =
      //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
      //	                                 false, currentDate.AddDays(-2),
      //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
      //return winners.GetTableOfSelectedTickers();
      //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
      //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
      //                                                this.benchmark, true,
      //                                                currentDate.AddDays(-this.numDaysForLiquidity),
      //                                                currentDate, this.numberOfEligibleTickers/2);
      return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
      //return lessCorrelated.GetTableOfSelectedTickers();
    }
    
    protected virtual void setTickers(DateTime currentDate)
    {
      
      DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
      if(setOfTickersToBeOptimized.Rows.Count >= this.chosenTickers.Length)
        //the optimization process is possible only if the initial set of tickers is 
        //as large as the number of tickers to be chosen                     
      
      {
        BestTickersScreenerOpenToClose OTCScreener = 
          new BestTickersScreenerOpenToClose(setOfTickersToBeOptimized,
                                             currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                             currentDate, this.targetReturn, 
                                             this.portfolioType);
        this.chosenTickers = OTCScreener.GetBestTickers(this.numberOfTickersToBeChosen);
      }
      //else it will be buyed again the previous optimized portfolio
      //that's it the actual chosenTickers member
    }

    protected void oneHourAfterMarketCloseEventHandler_updatePrices()
    {
      //min price for minimizing commission amount
      //according to IB Broker's commission scheme
      this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
      this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
      //just to avoid warning message
    }
    
    /// <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.orders.Clear();
      //this.oneHourAfterMarketCloseEventHandler_updatePrices();
      if(this.numDaysElapsedSinceLastOptimization == 
        this.numDaysBetweenEachOptimization - 1)
      {
        this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
        //sets tickers to be chosen next Market Open event
        this.numDaysElapsedSinceLastOptimization = 0;
      }
      else
      {
        this.numDaysElapsedSinceLastOptimization++;
      }
    	
    }
		   
    #endregion

  } // end of class
}