quantproject-developers

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator

Modified Files:
	EndOfDayTimerHandlerPVO.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: EndOfDayTimerHandlerPVO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/EndOfDayTimerHandlerPVO.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayTimerHandlerPVO.cs	12 Mar 2008 22:06:05 -0000	1.9
--- EndOfDayTimerHandlerPVO.cs	19 Aug 2008 17:11:28 -0000	1.10
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerPVO.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerPVO.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 46,320 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for the Portfolio Value
!   /// Oscillator
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerPVO : EndOfDayTimerHandler
!   {
!     protected int minLevelForOversoldThreshold;
!     protected int maxLevelForOversoldThreshold;
!     protected int minLevelForOverboughtThreshold;
!     protected int maxLevelForOverboughtThreshold;
!     protected int divisorForThresholdComputation;
!     protected int numDaysForOscillatingPeriod;
!     protected double currentOversoldThreshold;
!     protected double currentOverboughtThreshold;
!     protected double maxAcceptableCloseToCloseDrawdown;
!     protected double minimumAcceptableGain;
!     protected DateTime lastCloseDate;
!     protected IGenomeManager iGenomeManager;
!     protected int seedForRandomGenerator;
!     protected bool portfolioHasBeenOverbought;
!     protected bool portfolioHasBeenOversold;
!     protected bool symmetricalThresholds;
!     protected bool overboughtMoreThanOversoldForFixedPortfolio;
!     protected HistoricalAdjustedQuoteProvider historicalQuoteProvider;
!     
!     public EndOfDayTimerHandlerPVO(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
!                                 Account account,                                
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 int numDaysForOscillatingPeriod,
!                                 int minLevelForOversoldThreshold,
!                                 int maxLevelForOversoldThreshold,
!                                 int minLevelForOverboughtThreshold,
!                                 int maxLevelForOverboughtThreshold,
!                                 int divisorForThresholdComputation,
!                                 bool symmetricalThresholds,
!                                 bool overboughtMoreThanOversoldForFixedPortfolio,
!                                 int numDaysBetweenEachOptimization,
!                                 PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
!                                 double minimumAcceptableGain):
!     														base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer,
!                                 benchmark, 0.0,
!                                 portfolioType)
!     {
!       this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
!     	this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
!       this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
!       this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
!       this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
!       this.divisorForThresholdComputation = divisorForThresholdComputation;
!       this.symmetricalThresholds = symmetricalThresholds;
!       this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
!       this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
!       this.minimumAcceptableGain = minimumAcceptableGain;
!       this.stopLossConditionReached = false;
!       this.currentAccountValue = 0.0;
!       this.previousAccountValue = 0.0;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
!       this.portfolioHasBeenOverbought = false;
!       this.portfolioHasBeenOversold = false;
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
! 	
!     public override void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	;
!     }
  
!     #region MarketCloseEventHandler
!     
!     protected virtual double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
!     {
!       double returnValue = 999.0;
!       try
!       {
! 				DateTime firstDayOfOscillatingPeriod = 
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod]["quDate"];
! 				DateTime today = 
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
  				ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
  					new EndOfDayDateTime(firstDayOfOscillatingPeriod,
! 					EndOfDaySpecificTime.MarketClose) , 
  					new EndOfDayDateTime(today,
! 					EndOfDaySpecificTime.MarketClose) ,
  					this.benchmark , this.numDaysForOscillatingPeriod ) ,
! 					this.historicalQuoteProvider );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
!       }
!     	catch(MissingQuotesException ex)
!     	{
!     		ex = ex;
!     	}
!     	return returnValue;
!     }   
  
!     private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
!     {
!       double currentChosenWeightedPositionsReturn = 
!         this.getCurrentChosenWeightedPositionsReturn(timer);
!       if(currentChosenWeightedPositionsReturn != 999.0 &&
!          this.portfolioType == PortfolioType.ShortAndLong)
!         //currentChosenWeightedPositionsReturn has been
!       	//properly computedand it is possible to reverse positions
!       {
!     		if(currentChosenWeightedPositionsReturn >= currentOverboughtThreshold &&
!       	   this.portfolioHasBeenOversold)
!     		//open positions derive from an overSold period but now
!     		//the overbought threshold has been reached
!     		{
!     			this.reversePositions();
!     			this.portfolioHasBeenOversold = false;
!     			this.portfolioHasBeenOverbought = true;
!     			this.previousAccountValue = this.account.GetMarketValue();
!     		}
!     		if(currentChosenWeightedPositionsReturn <= - currentOversoldThreshold &&
!       	   this.portfolioHasBeenOverbought)
!     		//open positions derive from an overBought period but now
!     		//the overSold threshold has been reached
!     		{
!     			this.reversePositions();
!     			this.portfolioHasBeenOversold = true;
!     			this.portfolioHasBeenOverbought = false;
!     			this.previousAccountValue = this.account.GetMarketValue();
!     		}	
!       }
!     }
  
!     protected void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
!     {
!       if(this.account.CashAmount == 0.0 && this.account.Transactions.Count == 0)
  				this.account.AddCash(15000);
! 			double currentChosenWeightedPositionsReturn = 
!       		this.getCurrentChosenWeightedPositionsReturn(timer);
!     	if(currentChosenWeightedPositionsReturn != 999.0)
!     	//currentChosenTickersValue has been properly computed
!     	{
!     		if(currentChosenWeightedPositionsReturn >= currentOverboughtThreshold &&
!            this.portfolioType == PortfolioType.ShortAndLong)
!     		{
!     			this.chosenWeightedPositions.Reverse();
!           try
!           {
!             AccountManager.OpenPositions( this.chosenWeightedPositions,
!           	                            	this.account );
!             this.portfolioHasBeenOverbought = true;
!           	this.portfolioHasBeenOversold = false;
!           	this.previousAccountValue = this.account.GetMarketValue();
!           }
!           catch(Exception ex)
!           {
!             ex = ex;
!           }
!           finally
!           {
!             this.chosenWeightedPositions.Reverse();
!           }
!     		}
!         else if (currentChosenWeightedPositionsReturn <= - currentOversoldThreshold)
!     		{
!           AccountManager.OpenPositions( this.chosenWeightedPositions,
!           	                            this.account );
!           this.portfolioHasBeenOverbought = false;
!           this.portfolioHasBeenOversold = true;
!           this.previousAccountValue = this.account.GetMarketValue();
!         }
!      	}
!     }
!     
!     protected virtual void marketCloseEventHandler_closePositionsIfNeeded()
!     {
!       if(this.stopLossConditionReached ||
!     	   this.takeProfitConditionReached ||
!          this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
!       {    
!     		AccountManager.ClosePositions(this.account);
!         this.portfolioHasBeenOverbought = false;
!         this.portfolioHasBeenOversold = false;
!       }
!     }    
!     
!     protected virtual void marketCloseEventHandler_updateStopLossAndTakeProfitConditions()
!     {
!       //this.previousAccountValue has been set at opening positions
!       this.currentAccountValue = this.account.GetMarketValue();
!       double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
!            													/this.previousAccountValue;
!       
!       if( portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
!       {
!         this.stopLossConditionReached = true;
!         this.takeProfitConditionReached = false;
!       }
!       else if (portfolioGainOrLoss >= this.minimumAcceptableGain)
!                
!       {
!         this.stopLossConditionReached = false;
!         this.takeProfitConditionReached = true;
!       }
!     }
!     
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();  
!       this.marketCloseEventHandler_closePositionsIfNeeded();
!       if(this.chosenWeightedPositions != null)
!       //tickers to buy have been chosen by the optimizer
!       {
!       	if(this.account.Portfolio.Count == 0)
!       			this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
!         		//positions are opened only if thresholds are reached
!         else//there are some opened positions
!             this.marketCloseEventHandler_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
!       }
!     }
  
!     #endregion
!     
!     #region OneHourAfterMarketCloseEventHandler
!   
!     protected virtual DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
!       
!       SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate.AddDays(-15),
!       	                                  currentDate,
!       	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  30,3000, 0.0001,100);
!  
!       SelectorByLiquidity mostLiquidSelector =
!       	new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
!         false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers);
!       
! //      SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
! //      	new SelectorByCloseToCloseCorrelationToBenchmark(mostLiquidSelector.GetTableOfSelectedTickers(),
! //      	                                                 "^GSPC",false,
! //      	                                                 currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //      	                                                 this.numberOfEligibleTickers/2,false);
! //      
!       
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
!         new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
!         false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
!         this.numberOfEligibleTickers, this.benchmark);
! //      SelectorByMaxLinearDipendence dipendentTickers = 
  //				new SelectorByMaxLinearDipendence(quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(),
  //						currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
  //						this.numberOfEligibleTickers/2,2,1000, this.benchmark);
  //			return dipendentTickers.GetTableOfSelectedTickers();
! 				
! //				DataTable quotedAtEachMarketDay = 
  //					quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
! //				
! //				CloseToCloseCorrelationProvider correlationProvider = 
  //					new CloseToCloseCorrelationProvider(
  //							QuantProject.ADT.ExtendedDataTable.GetArrayOfStringFromColumn(
  //							quotedAtEachMarketDay, 0 ),
! //              currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! //              currentDate,1,0.005,this.benchmark);
  
  //			SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
--- 46,320 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for the Portfolio Value
! 	/// Oscillator
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerPVO : EndOfDayTimerHandler
! 	{
! 		protected int minLevelForOversoldThreshold;
! 		protected int maxLevelForOversoldThreshold;
! 		protected int minLevelForOverboughtThreshold;
! 		protected int maxLevelForOverboughtThreshold;
! 		protected int divisorForThresholdComputation;
! 		protected int numDaysForOscillatingPeriod;
! 		protected double currentOversoldThreshold;
! 		protected double currentOverboughtThreshold;
! 		protected double maxAcceptableCloseToCloseDrawdown;
! 		protected double minimumAcceptableGain;
! 		protected DateTime lastCloseDate;
! 		protected IGenomeManager iGenomeManager;
! 		protected int seedForRandomGenerator;
! 		protected bool portfolioHasBeenOverbought;
! 		protected bool portfolioHasBeenOversold;
! 		protected bool symmetricalThresholds;
! 		protected bool overboughtMoreThanOversoldForFixedPortfolio;
! 		protected HistoricalAdjustedQuoteProvider historicalQuoteProvider;
! 		
! 		public EndOfDayTimerHandlerPVO(string tickerGroupID, int numberOfEligibleTickers,
! 		                               int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                               Account account,
! 		                               int generationNumberForGeneticOptimizer,
! 		                               int populationSizeForGeneticOptimizer,
! 		                               string benchmark,
! 		                               int numDaysForOscillatingPeriod,
! 		                               int minLevelForOversoldThreshold,
! 		                               int maxLevelForOversoldThreshold,
! 		                               int minLevelForOverboughtThreshold,
! 		                               int maxLevelForOverboughtThreshold,
! 		                               int divisorForThresholdComputation,
! 		                               bool symmetricalThresholds,
! 		                               bool overboughtMoreThanOversoldForFixedPortfolio,
! 		                               int numDaysBetweenEachOptimization,
! 		                               PortfolioType portfolioType, double maxAcceptableCloseToCloseDrawdown,
! 		                               double minimumAcceptableGain):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer,
! 			     benchmark, 0.0,
! 			     portfolioType)
! 		{
! 			this.numDaysForOscillatingPeriod = numDaysForOscillatingPeriod;
! 			this.minLevelForOversoldThreshold  = minLevelForOversoldThreshold;
! 			this.maxLevelForOversoldThreshold = maxLevelForOversoldThreshold;
! 			this.minLevelForOverboughtThreshold = minLevelForOverboughtThreshold;
! 			this.maxLevelForOverboughtThreshold = maxLevelForOverboughtThreshold;
! 			this.divisorForThresholdComputation = divisorForThresholdComputation;
! 			this.symmetricalThresholds = symmetricalThresholds;
! 			this.overboughtMoreThanOversoldForFixedPortfolio = overboughtMoreThanOversoldForFixedPortfolio;
! 			this.maxAcceptableCloseToCloseDrawdown = maxAcceptableCloseToCloseDrawdown;
! 			this.minimumAcceptableGain = minimumAcceptableGain;
! 			this.stopLossConditionReached = false;
! 			this.currentAccountValue = 0.0;
! 			this.previousAccountValue = 0.0;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
! 			this.portfolioHasBeenOverbought = false;
! 			this.portfolioHasBeenOversold = false;
! 			this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			;
! 		}
  
! 		#region MarketCloseEventHandler
! 		
! 		protected virtual double getCurrentChosenWeightedPositionsReturn(IndexBasedEndOfDayTimer timer)
! 		{
! 			double returnValue = 999.0;
! 			try
! 			{
! 				DateTime firstDayOfOscillatingPeriod =
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition - this.numDaysForOscillatingPeriod]["quDate"];
! 				DateTime today =
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
  				ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
  					new EndOfDayDateTime(firstDayOfOscillatingPeriod,
! 					                     EndOfDaySpecificTime.MarketClose) ,
  					new EndOfDayDateTime(today,
! 					                     EndOfDaySpecificTime.MarketClose) ,
  					this.benchmark , this.numDaysForOscillatingPeriod ) ,
! 				                                                   this.historicalQuoteProvider );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
! 			}
! 			catch(MissingQuotesException ex)
! 			{
! 				string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 			}
! 			return returnValue;
! 		}
  
! 		private void marketCloseEventHandler_reverseIfNeeded(IndexBasedEndOfDayTimer timer)
! 		{
! 			double currentChosenWeightedPositionsReturn =
! 				this.getCurrentChosenWeightedPositionsReturn(timer);
! 			if(currentChosenWeightedPositionsReturn != 999.0 &&
! 			   this.portfolioType == PortfolioType.ShortAndLong)
! 				//currentChosenWeightedPositionsReturn has been
! 				//properly computedand it is possible to reverse positions
! 			{
! 				if(currentChosenWeightedPositionsReturn >= currentOverboughtThreshold &&
! 				   this.portfolioHasBeenOversold)
! 					//open positions derive from an overSold period but now
! 					//the overbought threshold has been reached
! 				{
! 					this.reversePositions();
! 					this.portfolioHasBeenOversold = false;
! 					this.portfolioHasBeenOverbought = true;
! 					this.previousAccountValue = this.account.GetMarketValue();
! 				}
! 				if(currentChosenWeightedPositionsReturn <= - currentOversoldThreshold &&
! 				   this.portfolioHasBeenOverbought)
! 					//open positions derive from an overBought period but now
! 					//the overSold threshold has been reached
! 				{
! 					this.reversePositions();
! 					this.portfolioHasBeenOversold = true;
! 					this.portfolioHasBeenOverbought = false;
! 					this.previousAccountValue = this.account.GetMarketValue();
! 				}
! 			}
! 		}
  
! 		protected void marketCloseEventHandler_openPositions(IndexBasedEndOfDayTimer timer)
! 		{
! 			if(this.account.CashAmount == 0.0 && this.account.Transactions.Count == 0)
  				this.account.AddCash(15000);
! 			double currentChosenWeightedPositionsReturn =
! 				this.getCurrentChosenWeightedPositionsReturn(timer);
! 			if(currentChosenWeightedPositionsReturn != 999.0)
! 				//currentChosenTickersValue has been properly computed
! 			{
! 				if(currentChosenWeightedPositionsReturn >= currentOverboughtThreshold &&
! 				   this.portfolioType == PortfolioType.ShortAndLong)
! 				{
! 					this.chosenWeightedPositions.Reverse();
! 					try
! 					{
! 						AccountManager.OpenPositions( this.chosenWeightedPositions,
! 						                             this.account );
! 						this.portfolioHasBeenOverbought = true;
! 						this.portfolioHasBeenOversold = false;
! 						this.previousAccountValue = this.account.GetMarketValue();
! 					}
! 					catch(Exception ex)
! 					{
! 						string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 					}
! 					finally
! 					{
! 						this.chosenWeightedPositions.Reverse();
! 					}
! 				}
! 				else if (currentChosenWeightedPositionsReturn <= - currentOversoldThreshold)
! 				{
! 					AccountManager.OpenPositions( this.chosenWeightedPositions,
! 					                             this.account );
! 					this.portfolioHasBeenOverbought = false;
! 					this.portfolioHasBeenOversold = true;
! 					this.previousAccountValue = this.account.GetMarketValue();
! 				}
! 			}
! 		}
! 		
! 		protected virtual void marketCloseEventHandler_closePositionsIfNeeded()
! 		{
! 			if(this.stopLossConditionReached ||
! 			   this.takeProfitConditionReached ||
! 			   this.numDaysElapsedSinceLastOptimization + 1 == this.numDaysBetweenEachOptimization )
! 			{
! 				AccountManager.ClosePositions(this.account);
! 				this.portfolioHasBeenOverbought = false;
! 				this.portfolioHasBeenOversold = false;
! 			}
! 		}
! 		
! 		protected virtual void marketCloseEventHandler_updateStopLossAndTakeProfitConditions()
! 		{
! 			//this.previousAccountValue has been set at opening positions
! 			this.currentAccountValue = this.account.GetMarketValue();
! 			double portfolioGainOrLoss = (this.currentAccountValue - this.previousAccountValue)
! 				/this.previousAccountValue;
! 			
! 			if( portfolioGainOrLoss <= -this.maxAcceptableCloseToCloseDrawdown )
! 			{
! 				this.stopLossConditionReached = true;
! 				this.takeProfitConditionReached = false;
! 			}
! 			else if (portfolioGainOrLoss >= this.minimumAcceptableGain)
! 				
! 			{
! 				this.stopLossConditionReached = false;
! 				this.takeProfitConditionReached = true;
! 			}
! 		}
! 		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.marketCloseEventHandler_updateStopLossAndTakeProfitConditions();
! 			this.marketCloseEventHandler_closePositionsIfNeeded();
! 			if(this.chosenWeightedPositions != null)
! 				//tickers to buy have been chosen by the optimizer
! 			{
! 				if(this.account.Portfolio.Count == 0)
! 					this.marketCloseEventHandler_openPositions((IndexBasedEndOfDayTimer)sender);
! 				//positions are opened only if thresholds are reached
! 				else//there are some opened positions
! 					this.marketCloseEventHandler_reverseIfNeeded((IndexBasedEndOfDayTimer)sender);
! 			}
! 		}
  
! 		#endregion
! 		
! 		#region OneHourAfterMarketCloseEventHandler
! 		
! 		protected virtual DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
! 			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
! 			int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
! 			
! 			SelectorByAverageRawOpenPrice byPrice =
! 				new SelectorByAverageRawOpenPrice(tickersFromGroup,false,currentDate.AddDays(-15),
! 				                                  currentDate,
! 				                                  numOfTickersInGroupAtCurrentDate,
! 				                                  30,3000, 0.0001,100);
! 			
! 			SelectorByLiquidity mostLiquidSelector =
! 				new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 				                        false,currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			//      SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
! 			//      	new SelectorByCloseToCloseCorrelationToBenchmark(mostLiquidSelector.GetTableOfSelectedTickers(),
! 			//      	                                                 "^GSPC",false,
! 			//      	                                                 currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 			//      	                                                 this.numberOfEligibleTickers/2,false);
! //
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection =
! 				new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! 				                                       this.numberOfEligibleTickers, this.benchmark);
! 			//      SelectorByMaxLinearDipendence dipendentTickers =
  //				new SelectorByMaxLinearDipendence(quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(),
  //						currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
  //						this.numberOfEligibleTickers/2,2,1000, this.benchmark);
  //			return dipendentTickers.GetTableOfSelectedTickers();
! 			
! //				DataTable quotedAtEachMarketDay =
  //					quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
! //
! //				CloseToCloseCorrelationProvider correlationProvider =
  //					new CloseToCloseCorrelationProvider(
  //							QuantProject.ADT.ExtendedDataTable.GetArrayOfStringFromColumn(
  //							quotedAtEachMarketDay, 0 ),
! 			//              currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 			//              currentDate,1,0.005,this.benchmark);
  
  //			SelectorByCloseToCloseCorrelationToBenchmark byCorrelationToBenchmark =
***************
*** 325,424 ****
  //					this.numberOfEligibleTickers / 2, false);
  //			return byCorrelationToBenchmark.GetTableOfSelectedTickers();
!       
  			return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
!     	//for debug
! //      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
! //        new SelectorByQuotationAtEachMarketDay(temporizedGroup.GetTableOfSelectedTickers(),
! //        false, currentDate.AddDays(-this.numDaysForOptimizationPeriod), currentDate,
! //        this.numberOfEligibleTickers, this.benchmark);
! //      return quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
!     }
!     protected void addPVOGenomeToBestGenomes(Genome genome,
!                                               DateTime firstOptimizationDate,
!                                               DateTime secondOptimizationDate,
!                                               int eligibleTickers, int daysForOscillatingPeriod,
!                                               PortfolioType portfolioType,
!                                               int createdGenerations,
!                                               double oversoldThreshold,
!                                               double overboughtThreshold)
!     {
!       if(this.bestGenomes == null)
!         this.bestGenomes = new ArrayList();
!       
!       this.bestGenomes.Add(new GenomeRepresentation(genome,
!                               firstOptimizationDate,
!                               secondOptimizationDate,
!                               genome.Generation,
!                               eligibleTickers,
!                               daysForOscillatingPeriod, portfolioType, createdGenerations,
!                               oversoldThreshold, overboughtThreshold));
!     }
!     
!     protected virtual void setTickers(DateTime currentDate,
!       bool setGenomeCounter)
!     {
!       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                     
!       
!       {
!         this.iGenomeManager =
!           new GenomeManagerPVO(setOfTickersToBeOptimized,
!           currentDate.AddDays(-this.numDaysForOptimizationPeriod), 
!           currentDate, this.numberOfTickersToBeChosen,
!           this.numDaysForOscillatingPeriod,
!           this.minLevelForOversoldThreshold,
!           this.maxLevelForOversoldThreshold,
!           this.minLevelForOverbou...
 
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