[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5363/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
Changed to reflect the new abstract methods arranged in BasicScriptForBacktesting

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** PairsTradingMain.cs	10 Apr 2008 23:18:23 -0000	1.9
--- PairsTradingMain.cs	13 Apr 2008 17:01:28 -0000	1.10
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Business.Strategies.Eligibles;
  using QuantProject.Business.Strategies.EquityEvaluation;
+ using QuantProject.Business.Strategies.InSample;
  using QuantProject.Business.Strategies.Logging;
  using QuantProject.Business.Strategies.Optimizing.Decoding;
***************
*** 74,78 ****
  		}
  
! 		protected override void setEligiblesSelector()
  		{
  			int maxNumberOfEligiblesToBeChosen = 100;
--- 75,79 ----
  		}
  
! 		protected override IEligiblesSelector getEligiblesSelector()
  		{
  			int maxNumberOfEligiblesToBeChosen = 100;
***************
*** 82,100 ****
  //			tickersGroupId = "fastTest";
  
! 			this.eligiblesSelector =
  				new MostLiquidAndLessVolatile(
  				tickersGroupId ,
  				maxNumberOfEligiblesToBeChosen );
! 			this.eligiblesSelector =
  				new ByPriceMostLiquidAlwaysQuoted(
  					tickersGroupId ,
  					true ,
  					maxNumberOfEligiblesToBeChosen ,
! 					10 , 30 , 99999 );					
  		}
  
! 		protected override void setInSampleChooser()
  		{
! 			int numberOfBestTestingPositionsToBeReturned = 10;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
--- 83,102 ----
  //			tickersGroupId = "fastTest";
  
! 			IEligiblesSelector eligiblesSelector =
  				new MostLiquidAndLessVolatile(
  				tickersGroupId ,
  				maxNumberOfEligiblesToBeChosen );
! 			eligiblesSelector =
  				new ByPriceMostLiquidAlwaysQuoted(
  					tickersGroupId ,
  					true ,
  					maxNumberOfEligiblesToBeChosen ,
! 					10 , 20 , 75 );
! 			return eligiblesSelector;
  		}
  
! 		protected override IInSampleChooser getInSampleChooser()
  		{
! 			int numberOfBestTestingPositionsToBeReturned = 50;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
***************
*** 113,117 ****
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
! 			this.inSampleChooser =
  				new PairsTradingGeneticChooser(
  				numberOfBestTestingPositionsToBeReturned ,
--- 115,119 ----
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
! 			IInSampleChooser inSampleChooser =
  				new PairsTradingGeneticChooser(
  				numberOfBestTestingPositionsToBeReturned ,
***************
*** 124,135 ****
  				seedForRandomGenerator );
  			
! 			this.inSampleChooser =
  				new PairsTradingBruteForceChooser(
  					numberOfBestTestingPositionsToBeReturned ,
  					decoderForWeightedPositions ,
  					fitnessEvaluator );
  		}
  
! 		protected override void setEndOfDayStrategy()
  		{
  			int inSampleDays = 180;
--- 126,138 ----
  				seedForRandomGenerator );
  			
! 			inSampleChooser =
  				new PairsTradingBruteForceChooser(
  					numberOfBestTestingPositionsToBeReturned ,
  					decoderForWeightedPositions ,
  					fitnessEvaluator );
+ 			return inSampleChooser;
  		}
  
! 		protected override IEndOfDayStrategyForBacktester getEndOfDayStrategy()
  		{
  			int inSampleDays = 180;
***************
*** 140,144 ****
  				new OddIntervalsSelector( 1 , 1 , this.benchmark );
  
! 			this.endOfDayStrategy =
  				new PairsTradingStrategy(
  				7 , inSampleDays , intervalsSelector ,
--- 143,147 ----
  				new OddIntervalsSelector( 1 , 1 , this.benchmark );
  
! 			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
  				new PairsTradingStrategy(
  				7 , inSampleDays , intervalsSelector ,
***************
*** 146,152 ****
  				this.historicalQuoteProviderForInSample ,
  				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! 				0.005 , 0.99 , 0.005 , 0.99 );
  		}
! 		protected override void setEndOfDayStrategyBackTester()
  		{
  			string backTestId = "PairsTrading";
--- 149,157 ----
  				this.historicalQuoteProviderForInSample ,
  				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! 				0.006 , 0.99 , 0.006 , 0.99 );
! 			return endOfDayStrategyForBacktester;
  		}
! 		protected override EndOfDayStrategyBackTester
! 			getEndOfDayStrategyBackTester()
  		{
  			string backTestId = "PairsTrading";
***************
*** 156,162 ****
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
  			DateTime lastDateTime = new DateTime( 2004 , 12 , 31 );
! 			double maxRunningHours = 8;
  			
! 			this.endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
  				backTestId , this.endOfDayStrategy ,
--- 161,167 ----
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
  			DateTime lastDateTime = new DateTime( 2004 , 12 , 31 );
! 			double maxRunningHours = 0.7;
  			
! 			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
  				backTestId , this.endOfDayStrategy ,
***************
*** 165,168 ****
--- 170,174 ----
  				firstDateTime ,	lastDateTime ,
  				this.benchmark , cashToStart , maxRunningHours );
+ 			return endOfDayStrategyBackTester;
  		}