[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging PairsTradingLogItem.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20779

Added Files:
	PairsTradingLogItem.cs 
Log Message:
Log item for the Pairs Trading strategy

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

PairsTradingLogItem.cs
Copyright (C) 2008
Glauco Siliprandi

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 QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Scripts.General.Reporting;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// Log item for the Pairs Trading strategy
	/// </summary>
	[Serializable]
	public class PairsTradingLogItem : LogItem
	{
		private TestingPositions[] bestTestingPositionsInSample;
		private int numberOfEligibleTickers;
		
//		public TestingPositions BestTestingPositionsInSample
//		{
//			set { this.bestTestingPositionsInSample = value; }
//		}

//		public WeightedPositions BestWeightedPositionsInSample
//		{
//			get
//			{
//				return this.bestTestingPositionsInSample.WeightedPositions;
//			}
//		}

		public int NumberOfEligibleTickers
		{
			get
			{
				return this.numberOfEligibleTickers;
			}
		}

		public PairsTradingLogItem(
			EndOfDayDateTime endOfDayDateTime ,
			TestingPositions[] bestTestingPositionsInSample ,
			int numberOfEligibleTickers )
			: base( endOfDayDateTime )
		{
			this.numberOfEligibleTickers = int.MinValue;
			this.bestTestingPositionsInSample = bestTestingPositionsInSample;
			this.numberOfEligibleTickers = numberOfEligibleTickers;
		}
		public override void Run()
		{
//			string backTestId = "SimpleFLTP";
//			double cashToStart = 30000;
//
//			Benchmark benchmark = new Benchmark( "MSFT" );
//
//			IHistoricalQuoteProvider historicalQuoteProvider =
//				new HistoricalAdjustedQuoteProvider();
//
//			IInSampleChooser inSampleChooser =
//				(IInSampleChooser)new ConstantWeightedPositionsChooser( this.BestWeightedPositionsInSample );
//
//			IIntervalsSelector intervalsSelector =
//				new FixedLengthTwoPhasesIntervalsSelector(
//				1 , 1 , benchmark );
//			IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();
//
//			FixedLengthTwoPhasesStrategy fixedLengthTwoPhasesStrategy =
//				new FixedLengthTwoPhasesStrategy(
//				this.BestWeightedPositionsInSample.Count ,
//				9999 , 9 , benchmark , intervalsSelector ,
//				eligiblesSelector , inSampleChooser , historicalQuoteProvider );
//
//			DateTime firstDateTime = this.simulatedCreationTime.DateTime.AddDays( -90 );
//			DateTime lastDateTime = this.simulatedCreationTime.DateTime;
//			double maxRunningHours = 0.3;
//			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
//				new EndOfDayStrategyBackTester(
//				backTestId , fixedLengthTwoPhasesStrategy ,
//				historicalQuoteProvider , firstDateTime ,
//				lastDateTime , benchmark , cashToStart , maxRunningHours );
//
//			fixedLengthTwoPhasesStrategy.Account = endOfDayStrategyBackTester.Account;
//
//			endOfDayStrategyBackTester.Run();
//			BackTesterReportViewer.ShowReport( lastDateTime ,
//				endOfDayStrategyBackTester );
		}
	}
}