[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.11, 1.12

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21167/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
OutOfSampleChooser(s) have been introduced for a more sophisticated out of sample choice, among the most correlated couples

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** PairsTradingMain.cs	20 Apr 2008 17:08:05 -0000	1.11
--- PairsTradingMain.cs	27 Apr 2008 17:50:53 -0000	1.12
***************
*** 99,102 ****
--- 99,104 ----
  		{
  			int numberOfBestTestingPositionsToBeReturned = 50;
+ 			// uncomment the following line for a faster script
+ //			 numberOfBestTestingPositionsToBeReturned = 5;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
***************
*** 138,146 ****
  			int inSampleDays = 180;
  			// uncomment the following line for a faster script
! //			inSampleDays = 5; // inSampleDays = 60;
  			
  			IIntervalsSelector intervalsSelector =
  				new OddIntervalsSelector( 1 , 1 , this.benchmark );
  
  			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
  				new PairsTradingStrategy(
--- 140,156 ----
  			int inSampleDays = 180;
  			// uncomment the following line for a faster script
! //			inSampleDays = 5;
! //			 inSampleDays = 60;
  			
  			IIntervalsSelector intervalsSelector =
  				new OddIntervalsSelector( 1 , 1 , this.benchmark );
  
+ 			OutOfSampleChooser outOfSampleChooser =
+ 				new OutOfSampleChooserForSingleLongAndShort(
+ 				0.006 , 0.99 , 0.006 , 0.99 );
+ 			outOfSampleChooser =
+ 				new OutOfSampleChooserForExactNumberOfBestLongPositions(
+ 				2 ,	0.006 , 0.99 , 0.006 , 0.99 );
+ 
  			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
  				new PairsTradingStrategy(
***************
*** 149,160 ****
  				this.historicalQuoteProviderForInSample ,
  				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! 				0.006 , 0.99 , 0.006 , 0.99 );
! 			endOfDayStrategyForBacktester =
! 				new LongOnlyPairsTradingStrategy(
! 				7 , inSampleDays , intervalsSelector ,
! 				eligiblesSelector , inSampleChooser ,
! 				this.historicalQuoteProviderForInSample ,
! 				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! 				0.006 , 0.99 , 0.006 , 0.99 );
  			return endOfDayStrategyForBacktester;
  		}
--- 159,177 ----
  				this.historicalQuoteProviderForInSample ,
  				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! 				outOfSampleChooser );
! //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
! //				new PairsTradingStrategy(
! //				7 , inSampleDays , intervalsSelector ,
! //				eligiblesSelector , inSampleChooser ,
! //				this.historicalQuoteProviderForInSample ,
! //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! //				0.006 , 0.99 , 0.006 , 0.99 );
! //			endOfDayStrategyForBacktester =
! //				new LongOnlyPairsTradingStrategy(
! //				7 , inSampleDays , intervalsSelector ,
! //				eligiblesSelector , inSampleChooser ,
! //				this.historicalQuoteProviderForInSample ,
! //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! //				0.006 , 0.02 , 0.006 , 0.02 );
  			return endOfDayStrategyForBacktester;
  		}
***************
*** 168,172 ****
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
  			DateTime lastDateTime = new DateTime( 2004 , 12 , 31 );
! 			double maxRunningHours = 5;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
--- 185,192 ----
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
  			DateTime lastDateTime = new DateTime( 2004 , 12 , 31 );
! 			// uncomment the following line for a faster script
! //			lastDateTime = new DateTime( 2001 , 1 , 31 );
! 
! 			double maxRunningHours = 7;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =