quantproject-developers

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10276/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators

Modified Files:
	EndOfDayTimerHandlerFPOscillatorCTC.cs 
Log Message:
Code has been re-organized in a more logical and Object Oriented way:
- WeightedPositions class has been used.
- Some static methods have been deleted from SignedTicker class. They have been moved
to WeightedPositions.
- Basic orders'management has been moved to the primitive base class EndOfDayTimerHandler
and to AccountManager class

Index: EndOfDayTimerHandlerFPOscillatorCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedPeriodOscillators/EndOfDayTimerHandlerFPOscillatorCTC.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerFPOscillatorCTC.cs	17 Sep 2006 21:48:39 -0000	1.4
--- EndOfDayTimerHandlerFPOscillatorCTC.cs	29 Aug 2007 09:43:30 -0000	1.5
***************
*** 49,57 ****
      private int numDaysForReturnCalculation;
      private double maxAcceptableCloseToCloseDrawdown;
-     private bool stopLossConditionReached;
-     private double currentAccountValue;
-     private double previousAccountValue;
-     private int numDaysBetweenEachOptimization;
-     private int numDaysElapsedSinceLastOptimization;
      private int daysCounterWithPositions;
      private int daysCounterWithRightPositions;
--- 49,52 ----
***************
*** 109,119 ****
      }    
      
-     private void marketCloseEventHandler_reverseSignOfTickers(string[] signedTickers)
-     {
-       for(int i = 0; i<signedTickers.Length; i++)
-        if(signedTickers[i] != null)
-         	signedTickers[i] = SignedTicker.GetOppositeSignedTicker(signedTickers[i]);
-     }
- 
      private void marketCloseEventHandler_updateCounters(bool isTheFirstClose)
      {
--- 104,107 ----
***************
*** 138,144 ****
  	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
        	gainForTheLastHalfPeriod =
! 	      	 SignedTicker.GetCloseToClosePortfolioReturn(
! 	      	     this.chosenTickers, this.chosenTickersPortfolioWeights,
! 	      	     initialDateForHalfPeriod,finalDateForHalfPeriod);
  	      if(gainForTheLastHalfPeriod < 0.0)
  	      //in the last periods the combination has lost, so 
--- 126,130 ----
  	        (DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
        	gainForTheLastHalfPeriod =
! 	      	 chosenWeightedPositions.GetCloseToCloseReturn(initialDateForHalfPeriod,finalDateForHalfPeriod);
  	      if(gainForTheLastHalfPeriod < 0.0)
  	      //in the last periods the combination has lost, so 
***************
*** 158,162 ****
      {
      	if(this.marketCloseEventHandler_openPositionsIfTuned_isTuned(timer))
!         base.openPositions(this.chosenTickers);
      }
      
--- 144,148 ----
      {
      	if(this.marketCloseEventHandler_openPositionsIfTuned_isTuned(timer))
!         AccountManager.OpenPositions(this.chosenWeightedPositions, this.account);
      }
      
***************
*** 168,173 ****
        {
        //Close if halfPeriod has elapsed or stop loss condition reached
!           base.closePositions();
!           this.daysCounterWithPositions = 0;
        }
      }    
--- 154,159 ----
        {
        //Close if halfPeriod has elapsed or stop loss condition reached
!         AccountManager.ClosePositions(this.account);
!         this.daysCounterWithPositions = 0;
        }
      }    
***************
*** 179,183 ****
        
        if(this.account.Portfolio.Count == 0 &&
!          this.chosenTickers[0] != null)
        //portfolio is empty and tickers to buy have been chosen
          this.marketCloseEventHandler_openPositionsIfTuned((IndexBasedEndOfDayTimer)sender);
--- 165,169 ----
        
        if(this.account.Portfolio.Count == 0 &&
!          this.chosenWeightedPositions != null)
        //portfolio is empty and tickers to buy have been chosen
          this.marketCloseEventHandler_openPositionsIfTuned((IndexBasedEndOfDayTimer)sender);
***************
*** 277,281 ****
      {
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.chosenTickers.Length*2)
          //the optimization process is meaningful only if the initial set of tickers is 
          //larger than the number of tickers to be chosen                     
--- 263,267 ----
      {
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
          //the optimization process is meaningful only if the initial set of tickers is 
          //larger than the number of tickers to be chosen                     
***************
*** 311,316 ****
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
            this.numDaysForReturnCalculation);
!         this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
!         this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
        }
        //else it will be buyed again the previous optimized portfolio
--- 297,302 ----
            ((GenomeManagerForEfficientPortfolio)this.iGenomeManager).LastQuoteDate, setOfTickersToBeOptimized.Rows.Count,
            this.numDaysForReturnCalculation);
! 				this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
        }
        //else it will be buyed again the previous optimized portfolio
***************
*** 329,333 ****
        this.seedForRandomGenerator++;
        this.numDaysElapsedSinceLastOptimization++;
-       this.orders.Clear();
        if((this.numDaysElapsedSinceLastOptimization - 1 == 
              this.numDaysBetweenEachOptimization)) //|| this.isTheFirstClose )
--- 315,318 ----