[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16225/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
Three different IHistoricalQuoteProvider are now used (the previous version used just a single IHistoricalQuoteProvider):
this.historicalQuoteProviderForInSample
this.historicalQuoteProviderForChosingPositionsOutOfSample
this.historicalQuoteProviderForTheBacktesterAccount

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** PairsTradingMain.cs	30 Mar 2008 15:49:07 -0000	1.6
--- PairsTradingMain.cs	1 Apr 2008 21:33:07 -0000	1.7
***************
*** 52,56 ****
  	{
  		private Benchmark benchmark;
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		
  		public PairsTradingMain()
--- 52,61 ----
  	{
  		private Benchmark benchmark;
! 		private IHistoricalQuoteProvider historicalQuoteProviderForInSample;
! 		private IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample;
! 		private IHistoricalQuoteProvider
! 			historicalQuoteProviderForTheBacktesterAccount;
! 
  		
  		public PairsTradingMain()
***************
*** 58,63 ****
  			this.benchmark = new Benchmark( "BMC" );
  
! 			this.historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
  
  			// definition for the Fitness Evaluator
--- 63,72 ----
  			this.benchmark = new Benchmark( "BMC" );
  
! 			this.historicalQuoteProviderForInSample =
! 				new HistoricalRawQuoteProvider();
! 			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  				new HistoricalAdjustedQuoteProvider();
+ 			this.historicalQuoteProviderForTheBacktesterAccount =
+ 				this.historicalQuoteProviderForInSample;
  
  			// definition for the Fitness Evaluator
***************
*** 103,107 ****
  				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
! 				historicalQuoteProvider ,
  				crossoverRate , mutationRate , elitismRate ,
  				populationSizeForGeneticOptimizer ,
--- 112,116 ----
  				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
! 				this.historicalQuoteProviderForInSample ,
  				crossoverRate , mutationRate , elitismRate ,
  				populationSizeForGeneticOptimizer ,
***************
*** 113,118 ****
  					numberOfBestTestingPositionsToBeReturned ,
  					decoderForWeightedPositions ,
! 					fitnessEvaluator ,
! 					historicalQuoteProvider );
  		}
  
--- 122,126 ----
  					numberOfBestTestingPositionsToBeReturned ,
  					decoderForWeightedPositions ,
! 					fitnessEvaluator );
  		}
  
***************
*** 129,133 ****
  				new PairsTradingStrategy(
  				7 , inSampleDays , intervalsSelector ,
! 				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
  				0.005 , 0.99 , 0.005 , 0.99 );
  		}
--- 137,143 ----
  				new PairsTradingStrategy(
  				7 , inSampleDays , intervalsSelector ,
! 				eligiblesSelector , inSampleChooser ,
! 				this.historicalQuoteProviderForInSample ,
! 				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
  				0.005 , 0.99 , 0.005 , 0.99 );
  		}
***************
*** 138,149 ****
  			double cashToStart = 30000;
  
! 			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
  			DateTime lastDateTime = new DateTime( 2004 , 12 , 31 );
! 			double maxRunningHours = 7;
  			
  			this.endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
  				backTestId , this.endOfDayStrategy ,
! 				historicalQuoteProvider , accountProvider ,
  				firstDateTime ,	lastDateTime ,
  				this.benchmark , cashToStart , maxRunningHours );
--- 148,160 ----
  			double cashToStart = 30000;
  
! 			DateTime firstDateTime = new DateTime( 2001 , 1 , 4 );
  			DateTime lastDateTime = new DateTime( 2004 , 12 , 31 );
! 			double maxRunningHours = 9;
  			
  			this.endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
  				backTestId , this.endOfDayStrategy ,
! 				this.historicalQuoteProviderForTheBacktesterAccount ,
! 				accountProvider ,
  				firstDateTime ,	lastDateTime ,
  				this.benchmark , cashToStart , maxRunningHours );