[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingStrategy.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-serv16641/b7_Scripts/WalkForwardTesting/PairsTrading

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

Index: PairsTradingStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PairsTradingStrategy.cs	13 Mar 2008 19:43:43 -0000	1.3
--- PairsTradingStrategy.cs	1 Apr 2008 21:34:08 -0000	1.4
***************
*** 26,29 ****
--- 26,30 ----
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.Eligibles;
+ using QuantProject.Business.Strategies.InSample;
  using QuantProject.Business.Strategies.Logging;
  using QuantProject.Business.Strategies.OutOfSample;
***************
*** 48,55 ****
  			minThresholdForGoingShort,
  			maxThresholdForGoingShort;
  
- 		private HistoricalAdjustedQuoteProvider
- 			historicalAdjustedQuoteProvider;
- 		
  		public PairsTradingStrategy(
  			int numDaysBeetweenEachOtpimization ,
--- 49,56 ----
  			minThresholdForGoingShort,
  			maxThresholdForGoingShort;
+ 			
+ 		private IHistoricalQuoteProvider
+ 			historicalQuoteProviderForChosingPositionsOutOfSample;
  
  		public PairsTradingStrategy(
  			int numDaysBeetweenEachOtpimization ,
***************
*** 58,62 ****
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ,
  			double minThresholdForGoingLong ,
  			double maxThresholdForGoingLong ,
--- 59,65 ----
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			IHistoricalQuoteProvider historicalQuoteProviderForInSample ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample ,
  			double minThresholdForGoingLong ,
  			double maxThresholdForGoingLong ,
***************
*** 69,73 ****
  			eligiblesSelector ,
  			inSampleChooser ,
! 			historicalQuoteProvider )
  		{
  			this.minThresholdForGoingLong = minThresholdForGoingLong;
--- 72,76 ----
  			eligiblesSelector ,
  			inSampleChooser ,
! 			historicalQuoteProviderForInSample )
  		{
  			this.minThresholdForGoingLong = minThresholdForGoingLong;
***************
*** 76,81 ****
  			this.maxThresholdForGoingShort = maxThresholdForGoingShort;
  
! 			this.historicalAdjustedQuoteProvider =
! 				new HistoricalAdjustedQuoteProvider();
  		}
  		
--- 79,84 ----
  			this.maxThresholdForGoingShort = maxThresholdForGoingShort;
  
! 			this.historicalQuoteProviderForChosingPositionsOutOfSample =
! 				historicalQuoteProviderForChosingPositionsOutOfSample;				
  		}
  		
***************
*** 167,173 ****
  			ReturnIntervals returnIntervals =
  				this.getReturnIntervalsForLastSecondPhaseInterval();
  			ReturnsManager returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				this.historicalAdjustedQuoteProvider );
  			return returnsManager;
  		}
--- 170,179 ----
  			ReturnIntervals returnIntervals =
  				this.getReturnIntervalsForLastSecondPhaseInterval();
+ //			ReturnsManager returnsManager =
+ //				new ReturnsManager( returnIntervals ,
+ //				this.historicalAdjustedQuoteProvider );
  			ReturnsManager returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				this.historicalQuoteProviderForChosingPositionsOutOfSample );
  			return returnsManager;
  		}