[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13715/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
BasicScriptForBacktesting is inherited (and all abstract methods are implemented)

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PairsTradingMain.cs	13 Mar 2008 19:42:11 -0000	1.3
--- PairsTradingMain.cs	19 Mar 2008 23:24:02 -0000	1.4
***************
*** 37,40 ****
--- 37,41 ----
  using QuantProject.Business.Timing;
  using QuantProject.Presentation;
+ using QuantProject.Scripts.General;
  using QuantProject.Scripts.General.Logging;
  using QuantProject.Scripts.General.Reporting;
***************
*** 48,119 ****
  	/// be done
  	/// </summary>
! 	public class PairsTradingMain
  	{
  		public PairsTradingMain()
  		{
! 		}
! 		#region Run
! 		private MessageManager setMessageManager(
! 			IEligiblesSelector eligiblesSelector ,
! 			IInSampleChooser inSampleChooser ,
! 			IEndOfDayStrategyForBacktester endOfDayStrategy ,
! 			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
! 		{
! 			string dateStamp =
! 				ExtendedDateTime.GetCompleteShortDescriptionForFileName( DateTime.Now );
! 			MessageManager messageManager =
! 				new MessageManager( "NotificationMessagesForCurrentStrategy_" +
! 				dateStamp + ".Txt" );
! 			messageManager.Monitor( eligiblesSelector );
! 			messageManager.Monitor( inSampleChooser );
! 			messageManager.Monitor( endOfDayStrategy );
! 			messageManager.Monitor( endOfDayStrategyBackTester );
! 			return messageManager;
! 		}
! 
! 		private void saveLog( BackTestLog backTestLog ,
! 		                    string suggestedLogFileName )
! 		{
! 			string defaultFolderPath =
! 				"C:\\qpReports\\pairsTrading\\";
! //			this.wFLagLog.TransactionHistory = this.account.Transactions;
! 			LogArchiver.Save( backTestLog ,
! 			              suggestedLogFileName , defaultFolderPath );
! 		}
! 
  
  
! 		public void Run1()
! 		{
! 			BackTestLog backTestLog = LogArchiver.Load( "C:\\qpReports\\pairsTrading\\" );
! 			LogViewer logViewer =
! 				new LogViewer( backTestLog );
! 			logViewer.Show();
  		}
  
! 		public void Run()
  		{
- 			string backTestId = "PairsTrading";
- 			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();
  
! 			// definition for the Fitness Evaluator
! //      IEquityEvaluator equityEvaluator = new SharpeRatio();
! 			IFitnessEvaluator	fitnessEvaluator =
! 				new PairsTradingFitnessEvaluator( 0.96 );
  
  			// parameters for the genetic optimizer
  			double crossoverRate = 0.85;
--- 49,84 ----
  	/// be done
  	/// </summary>
! 	public class PairsTradingMain : BasicScriptForBacktesting
  	{
+ 		private Benchmark benchmark;
+ 		private IHistoricalQuoteProvider historicalQuoteProvider;
+ 		
  		public PairsTradingMain()
  		{
! 			this.benchmark = new Benchmark( "BMC" );
  
+ 			this.historicalQuoteProvider =
+ 				new HistoricalAdjustedQuoteProvider();
  
! 			// definition for the Fitness Evaluator
! 			//      IEquityEvaluator equityEvaluator = new SharpeRatio();
  		}
  
! 		protected override void setEligiblesSelector()
  		{
  			int maxNumberOfEligiblesToBeChosen = 100;
! 			
! 			string tickersGroupId = "SP500";
! 			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
  
! 			this.eligiblesSelector =
! 				new MostLiquidAndLessVolatile(
! 				tickersGroupId ,
! 				maxNumberOfEligiblesToBeChosen );
! 		}
  
+ 		protected override void setInSampleChooser()
+ 		{
  			// parameters for the genetic optimizer
  			double crossoverRate = 0.85;
***************
*** 124,131 ****
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
! 			IInSampleChooser inSampleChooser =
  				new PairsTradingGeneticChooser(
  				10 ,
! 				benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
  				historicalQuoteProvider ,
--- 89,104 ----
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
! 
! 			IDecoderForTestingPositions decoderForWeightedPositions =
! 				new DecoderForPairsTradingTestingPositionsWithBalancedWeights();
! 
! 			double maxCorrelationAllowed = 0.96;
! 			IFitnessEvaluator fitnessEvaluator =
! 				new PairsTradingFitnessEvaluator( maxCorrelationAllowed );
! 
! 			this.inSampleChooser =
  				new PairsTradingGeneticChooser(
  				10 ,
! 				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
  				historicalQuoteProvider ,
***************
*** 133,179 ****
  				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
  				seedForRandomGenerator );
  
! //			IIntervalsSelector intervalsSelector =
! //				new FixedLengthTwoPhasesIntervalsSelector(
! //				1 , 1 , benchmark );
  			IIntervalsSelector intervalsSelector =
! 				new OddIntervalsSelector( 1 , 1 , benchmark );
! 			IEligiblesSelector eligiblesSelector =
! 				new MostLiquidAndLessVolatile(
! 				tickersGroupId , maxNumberOfEligiblesToBeChosen );
  
! 			PairsTradingStrategy pairsTradingStrategy =
  				new PairsTradingStrategy(
  				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
! 			// constructor
! 			pairsTradingStrategy.Account = endOfDayStrategyBackTester.Account;
  
! 			MessageManager messageManager = this.setMessageManager(
! 				eligiblesSelector , inSampleChooser ,
! 				pairsTradingStrategy , endOfDayStrategyBackTester );
! 			endOfDayStrategyBackTester.Run();
! 			BackTesterReportViewer.ShowReport( lastDateTime ,
! 				endOfDayStrategyBackTester );
! 			this.saveLog(
! 				endOfDayStrategyBackTester.Log ,
! 				endOfDayStrategyBackTester.Description );
  		}
  
! 		#endregion Run
  	}
  }
--- 106,162 ----
  				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
  				seedForRandomGenerator );
+ 		}
  
! 		protected override void setEndOfDayStrategy()
! 		{
! 			int inSampleDays = 180;
! 			// uncomment the following line for a faster script
! 			inSampleDays = 5;
! 			
  			IIntervalsSelector intervalsSelector =
! 				new OddIntervalsSelector( 1 , 1 , this.benchmark );
  
! 			this.endOfDayStrategy =
  				new PairsTradingStrategy(
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
  				0.007 , 0.99 , 0.007 , 0.99 );
! 		}
! 		protected override void setEndOfDayStrategyBackTester()
! 		{
! 			string backTestId = "PairsTrading";
  			IAccountProvider accountProvider = new SimpleAccountProvider();
+ 			double cashToStart = 30000;
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 6 );
  			double maxRunningHours = 6;
! 			
! 			this.endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.endOfDayStrategy ,
  				historicalQuoteProvider , accountProvider ,
! 				firstDateTime ,	lastDateTime ,
! 				this.benchmark , cashToStart , maxRunningHours );
! 		}
  
! 		protected override string getPathForTheMainFolderWhereScriptsResultsAreToBeSaved()
! 		{
! 			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				"C:\\qpReports\\pairsTrading\\";
! 			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
! 		}
  
! 		protected override string getCustomSmallTextForFolderName()
! 		{
! 			return "pairsTrdng";
  		}
  
! 		protected override string getFullPathFileNameForMain()
! 		{
! 			string fullPathFileNameForMain =
! 				@"C:\QuantProject\QuantProject\b7_Scripts\WalkForwardTesting\PairsTrading\PairsTradingMain.cs";
! 			return fullPathFileNameForMain;
! 		}
  	}
  }