Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25183/b7_Scripts/WalkForwardTesting/LinearCombination
Modified Files:
ExtremeCounterTrendStrategy.cs
Log Message:
Minor changes for ECT strategy.
Index: ExtremeCounterTrendStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/ExtremeCounterTrendStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ExtremeCounterTrendStrategy.cs 2 Jul 2006 19:22:12 -0000 1.2
--- ExtremeCounterTrendStrategy.cs 7 Aug 2006 21:10:36 -0000 1.3
***************
*** 47,55 ****
private int numOfClosesElapsed = 0;
private int numOfDaysWithOpenPosition = 0;
public ExtremeCounterTrendStrategy( Account account ,
string[] signedTickers,
double[] weightsForSignedTickers,
! int numDaysForReturnCalculation)
{
this.account = account;
--- 47,57 ----
private int numOfClosesElapsed = 0;
private int numOfDaysWithOpenPosition = 0;
+ private PortfolioType portfolioType;
public ExtremeCounterTrendStrategy( Account account ,
string[] signedTickers,
double[] weightsForSignedTickers,
! int numDaysForReturnCalculation,
! PortfolioType portfolioType)
{
this.account = account;
***************
*** 57,60 ****
--- 59,63 ----
this.weightsForSignedTickers = weightsForSignedTickers;
this.numDaysForReturnCalculation = numDaysForReturnCalculation;
+ this.portfolioType = portfolioType;
}
***************
*** 125,135 ****
if(lastHalfPeriodGain < 0.0)
this.marketCloseEventHandler_addOrders();
! else
{
SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
! //short the portfolio
! try{this.marketCloseEventHandler_addOrders();}
! catch(Exception ex){ex = ex;}
! finally{SignedTicker.ChangeSignOfEachTicker(this.signedTickers);}
}
}
--- 128,148 ----
if(lastHalfPeriodGain < 0.0)
this.marketCloseEventHandler_addOrders();
! else if (lastHalfPeriodGain > 0.0 &&
! this.portfolioType == PortfolioType.ShortAndLong )
! //if gain of the last half period is positive and
! //original positions can be reversed
{
SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
! //short the portfolio (short --> long; long --> short)
! try{
! this.marketCloseEventHandler_addOrders();
! }
! catch(Exception ex)
! {
! ex = ex;
! }
! finally{
! SignedTicker.ChangeSignOfEachTicker(this.signedTickers);
! }
}
}
***************
*** 149,152 ****
--- 162,167 ----
Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
{
+ this.numOfClosesElapsed++;
+
if(this.account.Transactions.Count == 0)
this.account.AddCash(30000);
***************
*** 157,168 ****
if(this.numOfDaysWithOpenPosition == this.numDaysForReturnCalculation)
this.marketCloseEventHandler_closePositions();
!
if(this.account.Portfolio.Count == 0 &&
! (this.numOfClosesElapsed + 1) >= this.numDaysForReturnCalculation)
! //portfolio is empty and previous closes can be now checked
! if(this.account.Portfolio.Count == 0)
this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
-
- this.numOfClosesElapsed++;
}
--- 172,180 ----
if(this.numOfDaysWithOpenPosition == this.numDaysForReturnCalculation)
this.marketCloseEventHandler_closePositions();
!
if(this.account.Portfolio.Count == 0 &&
! this.numOfClosesElapsed >= this.numDaysForReturnCalculation)
! //portfolio is empty and previous closes can be now checked
this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
}
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