quantproject-developers

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16154/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers

Added Files:
	PVO_OTCCTOCorrelationChooser.cs 
Log Message:
Added PVO_OTCCTOCorrelationChooser: this chooser selects tickers with the highest correlation of open to close - close to open returns

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

PVO_OTCCTOCorrelationChooser.cs
Copyright (C) 2008
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.ADT;
using QuantProject.ADT.Messaging;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.TickersRelationships; 
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers;

namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers
{
	/// <summary>
	/// PVO_OTCCTOCorrelationChooser to be used for
	/// in sample optimization
	/// By means of correlation, the AnalyzeInSample method returns the 
	/// requested number of PVOPositions (positions for the PVO strategy)
	/// </summary>
	public class PVO_OTCCTOCorrelationChooser : PVOCorrelationChooser
	{
		private float minimumAbsoluteReturnValue;
		private float maximumAbsoluteReturnValue;
		//correlation is computed only for returns
		//between minimum and maximum
		
		/// <summary>
		/// PVO_OTCCorrelationChooser to be used for
		/// in sample optimization
		/// </summary>
		/// <param name="numberOfBestTestingPositionsToBeReturned">
		/// The number of PVOPositions that the
		/// AnalyzeInSample method will return
		/// </param>
		public PVO_OTCCTOCorrelationChooser(int numberOfBestTestingPositionsToBeReturned,
																		 double maxCorrelationValue,
																		 bool balancedWeightsOnVolatilityBase,
																		 float minimumAbsoluteReturnValue,
																		 float maximumAbsoluteReturnValue) :
																		base(numberOfBestTestingPositionsToBeReturned,
																		1,
																		maxCorrelationValue,
																		balancedWeightsOnVolatilityBase,
																		IntervalsType.OpenToCloseCloseToOpenIntervals)
		{
			this.minimumAbsoluteReturnValue = minimumAbsoluteReturnValue;
			this.maximumAbsoluteReturnValue = maximumAbsoluteReturnValue;
		}

		protected override void setCorrelationProvider(EligibleTickers eligibleTickers ,
			ReturnsManager returnsManager)
		{
			this.correlationProvider = 
				new OpenToCloseCloseToOpenCorrelationProvider(eligibleTickers.Tickers, returnsManager,
																					 this.minimumAbsoluteReturnValue ,
																					 this.maximumAbsoluteReturnValue);
		}
	}
}