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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5144/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
- a DecoderForPairsTradingTestingPositionsWithBalancedWeights object is now used instead of a DecoderForTestingPositionsWithBalancedWeights object
- other minor changes

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PairsTradingMain.cs	27 Feb 2008 21:12:00 -0000	1.1
--- PairsTradingMain.cs	6 Mar 2008 20:19:50 -0000	1.2
***************
*** 75,79 ****
  		{
  			string defaultFolderPath =
! 				"C:\\qpReports\\";
  //			this.wFLagLog.TransactionHistory = this.account.Transactions;
  			LogArchiver.Save( backTestLog ,
--- 75,79 ----
  		{
  			string defaultFolderPath =
! 				"C:\\qpReports\\pairsTrading\\";
  //			this.wFLagLog.TransactionHistory = this.account.Transactions;
  			LogArchiver.Save( backTestLog ,
***************
*** 85,89 ****
  		public void Run1()
  		{
! 			BackTestLog backTestLog = LogArchiver.Load( "C:\\qpReports\\" );
  			LogViewer logViewer =
  				new LogViewer( backTestLog );
--- 85,89 ----
  		public void Run1()
  		{
! 			BackTestLog backTestLog = LogArchiver.Load( "C:\\qpReports\\pairsTrading\\" );
  			LogViewer logViewer =
  				new LogViewer( backTestLog );
***************
*** 96,110 ****
  			double cashToStart = 30000;
  
! 			int inSampleDays = 90;
  			string tickersGroupId = "SP500";
  			
  			// uncomment the following two lines for faster scripts
! //			int inSampleDays = 30;
  //			string tickersGroupId = "fastTest";
  
!       Benchmark benchmark = new Benchmark( "MSFT" );
  			int maxNumberOfEligiblesToBeChosen = 100;
  			IDecoderForTestingPositions decoderForWeightedPositions
! 				= new DecoderForTestingPositionsWithBalancedWeights();
  			IHistoricalQuoteProvider historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
--- 96,110 ----
  			double cashToStart = 30000;
  
! 			int inSampleDays = 180;
  			string tickersGroupId = "SP500";
  			
  			// uncomment the following two lines for faster scripts
! //			int inSampleDays = 5;
  //			string tickersGroupId = "fastTest";
  
!       Benchmark benchmark = new Benchmark( "BMC" );
  			int maxNumberOfEligiblesToBeChosen = 100;
  			IDecoderForTestingPositions decoderForWeightedPositions
! 				= new DecoderForPairsTradingTestingPositionsWithBalancedWeights();
  			IHistoricalQuoteProvider historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
***************
*** 119,124 ****
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 20000;
! 			int generationNumberForGeneticOptimizer = 8;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
--- 119,124 ----
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 30000;
! 			int generationNumberForGeneticOptimizer = 12;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
***************
*** 148,154 ****
  				0.003 , 0.99 , 0.003 , 0.99 );
  
! 			DateTime firstDateTime = new DateTime( 2002 , 1 , 29 );
! 			DateTime lastDateTime = new DateTime( 2002 , 2 , 28 );
! 			double maxRunningHours = 8;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
--- 148,154 ----
  				0.003 , 0.99 , 0.003 , 0.99 );
  
! 			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 6 );
! 			double maxRunningHours = 0.9;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(