[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18993/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
- the fitness evaluator now uses the maxCorrelationAllowed parameter
- an IAccountProvider is used, now

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PairsTradingMain.cs	6 Mar 2008 20:19:50 -0000	1.2
--- PairsTradingMain.cs	13 Mar 2008 19:42:11 -0000	1.3
***************
*** 25,28 ****
--- 25,29 ----
  using QuantProject.ADT;
  using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.Eligibles;
***************
*** 113,117 ****
  //      IEquityEvaluator equityEvaluator = new SharpeRatio();
  			IFitnessEvaluator	fitnessEvaluator =
! 				new PairsTradingFitnessEvaluator();
  
  			// parameters for the genetic optimizer
--- 114,118 ----
  //      IEquityEvaluator equityEvaluator = new SharpeRatio();
  			IFitnessEvaluator	fitnessEvaluator =
! 				new PairsTradingFitnessEvaluator( 0.96 );
  
  			// parameters for the genetic optimizer
***************
*** 119,124 ****
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 30000;
! 			int generationNumberForGeneticOptimizer = 12;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
--- 120,125 ----
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 3000;
! 			int generationNumberForGeneticOptimizer = 4;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
***************
*** 146,159 ****
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
! 				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(
! 					backTestId , pairsTradingStrategy ,
! 					historicalQuoteProvider , firstDateTime ,
! 					lastDateTime , benchmark , cashToStart , maxRunningHours );
  
  			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
--- 147,162 ----
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
! 				0.007 , 0.99 , 0.007 , 0.99 );
! 
! 			IAccountProvider accountProvider = new SimpleAccountProvider();
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 12 );
! 			double maxRunningHours = 6;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , pairsTradingStrategy ,
! 				historicalQuoteProvider , accountProvider ,
! 				firstDateTime ,	lastDateTime , benchmark , cashToStart , maxRunningHours );
  
  			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester