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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16984/b7_Scripts/WalkForwardTesting/PairsTrading/InSample

Modified Files:
	PairsTradingFitnessEvaluator.cs 
Log Message:
The maxCorrelationAllowed parameter has been added

Index: PairsTradingFitnessEvaluator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/PairsTradingFitnessEvaluator.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PairsTradingFitnessEvaluator.cs	27 Feb 2008 21:15:05 -0000	1.1
--- PairsTradingFitnessEvaluator.cs	13 Mar 2008 19:38:42 -0000	1.2
***************
*** 38,41 ****
--- 38,42 ----
  	public class PairsTradingFitnessEvaluator : IFitnessEvaluator
  	{
+ 		private double maxCorrelationAllowed;
  
  		public string Description
***************
*** 47,52 ****
  		}
  
! 		public PairsTradingFitnessEvaluator()
  		{
  		}
  		#region GetFitnessValue
--- 48,55 ----
  		}
  
! 		public PairsTradingFitnessEvaluator(
! 			double maxCorrelationAllowed )
  		{
+ 			this.maxCorrelationAllowed = maxCorrelationAllowed;
  		}
  		#region GetFitnessValue
***************
*** 100,104 ****
--- 103,113 ----
  				// for the current optimization's candidate,
  				// all positions's tickers are distinct
+ 			{
  				fitnessValue = this.getFitnessValue( weightedPositions , returnsManager );
+ 				if ( fitnessValue > this.maxCorrelationAllowed )
+ 					// the two positions are too correlated. They may represent
+ 					// the same instrument
+ 					fitnessValue = -0.4;
+ 			}
  			return fitnessValue;
  		}