[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13043/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
The code has been changed to use a PairsTradingBruteForceChooser (a PairsTradingGeneticChooser was used in the previous revision)

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PairsTradingMain.cs	19 Mar 2008 23:24:02 -0000	1.4
--- PairsTradingMain.cs	26 Mar 2008 00:53:41 -0000	1.5
***************
*** 71,75 ****
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
  
  			this.eligiblesSelector =
--- 71,75 ----
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! //			tickersGroupId = "fastTest";
  
  			this.eligiblesSelector =
***************
*** 81,84 ****
--- 81,93 ----
  		protected override void setInSampleChooser()
  		{
+ 			int numberOfBestTestingPositionsToBeReturned = 10;
+ 			
+ 			IDecoderForTestingPositions decoderForWeightedPositions =
+ 				new DecoderForPairsTradingTestingPositionsWithBalancedWeights();
+ 
+ 			double maxCorrelationAllowed = 0.96;
+ 			IFitnessEvaluator fitnessEvaluator =
+ 				new PairsTradingFitnessEvaluator( maxCorrelationAllowed );
+ 
  			// parameters for the genetic optimizer
  			double crossoverRate = 0.85;
***************
*** 89,109 ****
  			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 ,
  				crossoverRate , mutationRate , elitismRate ,
! 				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
  				seedForRandomGenerator );
  		}
  
--- 98,118 ----
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
  			this.inSampleChooser =
  				new PairsTradingGeneticChooser(
! 				numberOfBestTestingPositionsToBeReturned ,
  				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
  				historicalQuoteProvider ,
  				crossoverRate , mutationRate , elitismRate ,
! 				populationSizeForGeneticOptimizer ,
! 				generationNumberForGeneticOptimizer ,
  				seedForRandomGenerator );
+ 			
+ 			this.inSampleChooser =
+ 				new PairsTradingBruteForceChooser(
+ 					numberOfBestTestingPositionsToBeReturned ,
+ 					decoderForWeightedPositions ,
+ 					fitnessEvaluator ,
+ 					historicalQuoteProvider );
  		}
  
***************
*** 112,116 ****
  			int inSampleDays = 180;
  			// uncomment the following line for a faster script
! 			inSampleDays = 5;
  			
  			IIntervalsSelector intervalsSelector =
--- 121,125 ----
  			int inSampleDays = 180;
  			// uncomment the following line for a faster script
! //			inSampleDays = 5;
  			
  			IIntervalsSelector intervalsSelector =
***************
*** 121,125 ****
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
! 				0.007 , 0.99 , 0.007 , 0.99 );
  		}
  		protected override void setEndOfDayStrategyBackTester()
--- 130,134 ----
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
! 				0.005 , 0.99 , 0.005 , 0.99 );
  		}
  		protected override void setEndOfDayStrategyBackTester()