[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingStrategy.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-serv6251/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingStrategy.cs 
Log Message:
the arePositionsToBeClosed() method has been fixed (it was completely buggy)

Index: PairsTradingStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PairsTradingStrategy.cs	27 Feb 2008 21:12:36 -0000	1.1
--- PairsTradingStrategy.cs	6 Mar 2008 20:20:50 -0000	1.2
***************
*** 85,95 ****
  		}
  		
  		private bool arePositionsToBeClosed()
  		{
! 			bool endsTheLastInterval =
! 				( this.now().IsEqualTo(
! 				this.lastIntervalAppended().End ) );
! 			return ( endsTheLastInterval );
  		}
  
  		protected override bool marketOpenEventHandler_arePositionsToBeOpened()
--- 85,111 ----
  		}
  		
+ 		#region arePositionsToBeClosed
+ 		private ReturnInterval getSecondLastReturnInterval()
+ 		{
+ 			int indexForTheSecondLastReturnInterval =
+ 				this.returnIntervals.Count - 2;
+ 			ReturnInterval secondLastReturnInterval =
+ 				this.returnIntervals[ indexForTheSecondLastReturnInterval ];
+ 			return secondLastReturnInterval;
+ 		}
  		private bool arePositionsToBeClosed()
  		{
! 			bool areToBeClosed = false;
! 			if ( this.returnIntervals.Count > 1 )
! 				// at least two intervals have already been
! 				// added, out of sample
! 			{
! 				ReturnInterval secondLastReturnInterval =
! 					this.getSecondLastReturnInterval();
! 				areToBeClosed = this.now().IsEqualTo( secondLastReturnInterval.End );				
! 			}
! 			return ( areToBeClosed );
  		}
+ 		#endregion arePositionsToBeClosed
  
  		protected override bool marketOpenEventHandler_arePositionsToBeOpened()