Thread: [Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTO.cs,

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23583/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerCTO.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	RunEfficientCTOPortfolio.cs 
Log Message:
Efficient Open to Close script has been modified (but not tested completely ...):
now selection takes place only for tickers with a given open price level 

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerCTO.cs	27 Feb 2005 19:56:08 -0000	1.4
--- EndOfDayTimerHandlerCTO.cs	23 Mar 2005 21:35:32 -0000	1.5
***************
*** 58,61 ****
--- 58,63 ----
      private ArrayList orders;
  
+     private string benchmark;
+ 
      public int NumberOfEligibleTickers
      {
***************
*** 71,75 ****
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity, Account account,
                                  int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer)
      {
        this.tickerGroupID = tickerGroupID;
--- 73,78 ----
                                  int numberOfTickersToBeChosen, int numDaysForLiquidity, Account account,
                                  int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark)
      {
        this.tickerGroupID = tickerGroupID;
***************
*** 80,83 ****
--- 83,87 ----
        this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
        this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
+       this.benchmark = benchmark;
        this.orders = new ArrayList();
        this.chosenTickers = new string[numberOfTickersToBeChosen];
***************
*** 94,98 ****
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = new Order( OrderType.MarketSellShort, new Instrument( ticker ) , quantity );
        this.orders.Add(order);
      }
--- 98,102 ----
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = new Order( OrderType.MarketBuy, new Instrument( ticker ) , quantity );
        this.orders.Add(order);
      }
***************
*** 126,130 ****
      {
        if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(30000);     
        
        this.marketOpenEventHandler_orderChosenTickers();
--- 130,134 ----
      {
        if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(15000);     
        
        this.marketOpenEventHandler_orderChosenTickers();
***************
*** 172,176 ****
      private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID, false,
                                        currentDate.AddDays(-this.numDaysForLiquidity), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
--- 176,185 ----
      private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       SelectorByAverageRawOpenPrice selectorByOpenPrice = 
!                   new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
!                           currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
!                           this.numberOfEligibleTickers, 25, 35, 0, 0.5);
!       DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
!       SelectorByLiquidity mostLiquid = new SelectorByLiquidity(tickersByPrice, false,
                                        currentDate.AddDays(-this.numDaysForLiquidity), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
***************
*** 178,182 ****
          new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
                                     false, currentDate.AddDays(-this.numDaysForLiquidity),
!                                     currentDate, this.numberOfEligibleTickers, "^MIBTEL");
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
--- 187,191 ----
          new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
                                     false, currentDate.AddDays(-this.numDaysForLiquidity),
!                                     currentDate, this.numberOfEligibleTickers, this.benchmark);
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** GenomeManagerForEfficientCTOPortfolio.cs	27 Feb 2005 19:56:08 -0000	1.5
--- GenomeManagerForEfficientCTOPortfolio.cs	23 Mar 2005 21:35:36 -0000	1.6
***************
*** 106,113 ****
        NormalDistribution normal = new NormalDistribution(portfolioRateOfReturn, Math.Sqrt(portfolioVariance));
        //for long portfolio
!       //returnValue = normal.GetProbability(this.targetPerformance*0.75,this.targetPerformance*1.25);
        //for short portfolio
!       returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
!       //returnValue = 1 - normal.GetProbability(this.targetPerformance);
        return returnValue;
      }
--- 106,112 ----
        NormalDistribution normal = new NormalDistribution(portfolioRateOfReturn, Math.Sqrt(portfolioVariance));
        //for long portfolio
!       returnValue = normal.GetProbability(this.targetPerformance*0.75,this.targetPerformance*1.25);
        //for short portfolio
!       //returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
        return returnValue;
      }

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** RunEfficientCTOPortfolio.cs	13 Mar 2005 20:28:54 -0000	1.15
--- RunEfficientCTOPortfolio.cs	23 Mar 2005 21:35:37 -0000	1.16
***************
*** 84,92 ****
  		
      private IEndOfDayTimer endOfDayTimer;
! 		
      public RunEfficientCTOPorfolio(string tickerGroupID, int numberOfEligibleTickers, 
                                      int numberOfTickersToBeChosen, int numDaysForLiquidity, 
                                      int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer)
  		{
        //this.progressBarForm = new ProgressBarForm();
--- 84,96 ----
  		
      private IEndOfDayTimer endOfDayTimer;
! 
!     private string benchmark;
!    	
! 	
      public RunEfficientCTOPorfolio(string tickerGroupID, int numberOfEligibleTickers, 
                                      int numberOfTickersToBeChosen, int numDaysForLiquidity, 
                                      int generationNumberForGeneticOptimizer,
!                                     int populationSizeForGeneticOptimizer, string benchmark,
!                                     DateTime startDate, DateTime endDate)
  		{
        //this.progressBarForm = new ProgressBarForm();
***************
*** 99,105 ****
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 11 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
        //this.numIntervalDays = 3;
  		}
--- 103,110 ----
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.benchmark = benchmark;
        //this.numIntervalDays = 3;
  		}
***************
*** 132,136 ****
      {
        this.endOfDayTimer =
!         new IndexBasedEndOfDayTimer( this.startDateTime, "^MIBTEL" );
      }
      private void run_initializeAccount()
--- 137,141 ----
      {
        this.endOfDayTimer =
!         new IndexBasedEndOfDayTimer( this.startDateTime, this.benchmark );
      }
      private void run_initializeAccount()
***************
*** 140,144 ****
  					this.historicalQuoteProvider ) ,
          new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ));
       
      }
--- 145,149 ----
  					this.historicalQuoteProvider ) ,
          new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ), new IBCommissionManager());
       
      }
***************
*** 151,155 ****
                                                                this.account,
                                                                this.generationNumberForGeneticOptimizer, 
!                                                               this.populationSizeForGeneticOptimizer);
          
          
--- 156,161 ----
                                                                this.account,
                                                                this.generationNumberForGeneticOptimizer, 
!                                                               this.populationSizeForGeneticOptimizer,
!                                                               this.benchmark);
          
          
***************
*** 207,211 ****
          this.endOfDayTimer.Stop();
          //report = new Report( this.account , this.historicalQuoteProvider );
!         //report.Show("CTO_Portfolio" , this.numIntervalDays , this.endDateTime , "^MIBTEL" );
          string name = "From"+this.numberOfEligibleTickers +
                        "LiqDays" + this.numDaysForLiquidity + "Portfolio" +
--- 213,217 ----
          this.endOfDayTimer.Stop();
          //report = new Report( this.account , this.historicalQuoteProvider );
!         //report.Show("CTO_Portfolio" , this.numIntervalDays , this.endDateTime , this.benchmark );
          string name = "From"+this.numberOfEligibleTickers +
                        "LiqDays" + this.numDaysForLiquidity + "Portfolio" +
***************
*** 213,222 ****
                        this.generationNumberForGeneticOptimizer +
                        "PopSize" + this.populationSizeForGeneticOptimizer;
!         //AccountReport accountReport = this.account.CreateReport(name,1,this.endDateTime,"^MIBTEL",
!         //                                                      new HistoricalAdjustedQuoteProvider());
!         //ObjectArchiver.Archive(accountReport,
!         //                        System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!         //                        "\\OpenCloseScripts\\" + 
!         //                       name + ".rep");
          
          ObjectArchiver.Archive(this.account,
--- 219,228 ----
                        this.generationNumberForGeneticOptimizer +
                        "PopSize" + this.populationSizeForGeneticOptimizer;
!         AccountReport accountReport = this.account.CreateReport(name,1,this.endDateTime,this.benchmark,
!                                                               new HistoricalAdjustedQuoteProvider());
!         ObjectArchiver.Archive(accountReport,
!                                 System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!                                 "\\OpenCloseScripts\\" + 
!                                name + ".rep");
          
          ObjectArchiver.Archive(this.account,

Thread: [Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTO.cs,

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