[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging PairsTradingLogItem.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3774/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

Modified Files:
	PairsTradingLogItem.cs 
Log Message:
The Run method has been completely implemented, now

Index: PairsTradingLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/PairsTradingLogItem.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PairsTradingLogItem.cs	27 Feb 2008 21:16:53 -0000	1.1
--- PairsTradingLogItem.cs	6 Mar 2008 20:18:40 -0000	1.2
***************
*** 22,27 ****
--- 22,29 ----
  
  using System;
+ using System.Drawing;
  
  using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Financial.Accounting.Reporting;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.Eligibles;
***************
*** 31,34 ****
--- 33,37 ----
  using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
  using QuantProject.Business.Timing;
+ using QuantProject.Presentation.Reporting.WindowsForm;
  using QuantProject.Scripts.General.Reporting;
  
***************
*** 75,116 ****
  			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 );
  		}
  	}
--- 78,164 ----
  			this.numberOfEligibleTickers = numberOfEligibleTickers;
  		}
+ 		private AccountReport getAccountReport(
+ 			WeightedPositions weightedPositions ,
+ 			IIntervalsSelector intervalsSelector ,
+ 			IHistoricalQuoteProvider historicalQuoteProvider ,
+ 			Benchmark benchmark ,
+ 			double cashToStart )
+ 		{
+ 			SimpleStrategy simpleStrategy =
+ 				new SimpleStrategy( weightedPositions ,
+ 				intervalsSelector , historicalQuoteProvider );
+ 
+ 			DateTime firstDateTime = this.simulatedCreationTime.DateTime.AddDays( -90 );
+ 			DateTime lastDateTime = this.simulatedCreationTime.DateTime;
+ 			double maxRunningHours = 0.3;
+ 			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
+ 				new EndOfDayStrategyBackTester(
+ 				"SinglePosition" , simpleStrategy ,
+ 				historicalQuoteProvider , firstDateTime ,
+ 				lastDateTime , benchmark , cashToStart , maxRunningHours );
+ 
+ 			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
+ 
+ 			endOfDayStrategyBackTester.Run();
+ 			return endOfDayStrategyBackTester.AccountReport;
+ 		}
+ 		private WeightedPositions getWeightedPositions(
+ 			WeightedPosition weightedPosition )
+ 		{
+ 			double[] weights = { 1 };
+ 			string[] tickers = { weightedPosition.Ticker };
+ 			WeightedPositions weightedPositions =
+ 				new WeightedPositions( weights , tickers );
+ 			return weightedPositions;
+ 		}
  		public override void Run()
  		{
! //			string backTestId = "SimplePairsTrading";
  //			double cashToStart = 30000;
! 
! 			Benchmark benchmark = new Benchmark( "MSFT" );
! 
! 			IHistoricalQuoteProvider historicalQuoteProvider =
! 				new HistoricalAdjustedQuoteProvider();
! 
  //			IInSampleChooser inSampleChooser =
! //				(IInSampleChooser)new ConstantWeightedPositionsChooser(
! //				this.BestWeightedPositionsInSample );
! 
! 			IIntervalsSelector intervalsSelector =
! 				new OddIntervalsSelector(	1 , 1 , benchmark );
! 			IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();
! 
! 			WeightedPositions weightedPositions =
! 				this.bestTestingPositionsInSample[ 0 ].WeightedPositions;
! 				
! 			WeightedPositions firstPosition =
! 				this.getWeightedPositions( weightedPositions[ 0 ] );
! 			WeightedPositions secondPosition =
! 				this.getWeightedPositions( weightedPositions[ 1 ] );
! 			AccountReport accountReportForFirstPosition =
! 				this.getAccountReport( firstPosition , intervalsSelector ,
! 				                     historicalQuoteProvider ,
! 				                     benchmark , 30000 );
! 			AccountReport accountReportForSecondPosition =
! 				this.getAccountReport( secondPosition , intervalsSelector ,
! 				                      historicalQuoteProvider ,
! 				                      benchmark ,
! 				                      30000 * weightedPositions[ 1 ].Weight /
! 				                      weightedPositions[ 0 ].Weight );
! 			
! 			Report report =
! 				new Report( accountReportForFirstPosition , false );
! 			EndOfDayDateTime lastEndOfDayDateTimeForReport =
! 				new EndOfDayDateTime(
! 					accountReportForFirstPosition.EquityLine.LastDateTime ,
! 					EndOfDaySpecificTime.OneHourAfterMarketClose );
! 				
! //			report.Create( "PearsonDebug" , 1 ,
! //			              lastEndOfDayDateTimeForReport ,
! //			              benchmark.Ticker , false );
! 			report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
! 			                     Color.Brown );
! 			report.ShowDialog();
  		}
  	}