[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingStrategy.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-serv19892/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingStrategy.cs 
Log Message:
A bad bug has been fixed: a candidate position is reversed, now

Index: PairsTradingStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PairsTradingStrategy.cs	6 Mar 2008 20:20:50 -0000	1.2
--- PairsTradingStrategy.cs	13 Mar 2008 19:43:43 -0000	1.3
***************
*** 183,186 ****
--- 183,205 ----
  			return returnForTheLastSecondPhaseInterval;
  		}
+ 
+ 		/// <summary>
+ 		/// Inverts one of the two positions
+ 		/// </summary>
+ 		/// <param name="weightedPositions"></param>
+ 		/// <returns></returns>
+ 		private WeightedPositions getCandidateForPortfolio(
+ 			WeightedPositions weightedPositions )
+ 		{
+ 			double[] weights = new double[ 2 ];
+ 			weights[ 0 ] = ((WeightedPosition)weightedPositions[ 0 ]).Weight;
+ 			weights[ 1 ] = -((WeightedPosition)weightedPositions[ 1 ]).Weight;
+ 			string[] tickers = new String[ 2 ];
+ 			tickers[ 0 ] = ((WeightedPosition)weightedPositions[ 0 ]).Ticker;
+ 			tickers[ 1 ] = ((WeightedPosition)weightedPositions[ 1 ]).Ticker;
+ 			WeightedPositions candidateForPortfolio =
+ 				new WeightedPositions( weights , tickers );
+ 			return candidateForPortfolio;
+ 		}
  		// if the currentWeightedPositions' return satisfies the thresholds
  		// then this method returns the WeightedPositions to be opened.
***************
*** 227,233 ****
  			WeightedPositions currentWeightedPositions =
  				this.bestTestingPositionsInSample[ currentTestingPositionsIndex ].WeightedPositions;
  			WeightedPositions weightedPositionsToBeOpended =
  				this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions(
! 				returnsManager , currentWeightedPositions );
  			return weightedPositionsToBeOpended;
  		}
--- 246,254 ----
  			WeightedPositions currentWeightedPositions =
  				this.bestTestingPositionsInSample[ currentTestingPositionsIndex ].WeightedPositions;
+ 			WeightedPositions candidateForPortfolio =
+ 				this.getCandidateForPortfolio( currentWeightedPositions );
  			WeightedPositions weightedPositionsToBeOpended =
  				this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions(
! 				returnsManager , candidateForPortfolio );
  			return weightedPositionsToBeOpended;
  		}
***************
*** 290,293 ****
--- 311,315 ----
  				new PairsTradingLogItem( this.now() ,
  				                        this.bestTestingPositionsInSample ,
+ 				                        this.numDaysForInSampleOptimization ,
  				                        eligibleTickers.Count );
  //			logItem.BestWeightedPositionsInSample =