[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies Pairs
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[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies PairsTradingStrategy.cs, 1.1, 1.2
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From: Glauco S. <gla...@us...> - 2008-04-27 17:53:58
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22769/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies Modified Files: PairsTradingStrategy.cs Log Message: A new parameter of type OutOfSampleChooser has been added, so that now, the same strategy, can take different decision based upon differen OutOfSampleChooser(s) Index: PairsTradingStrategy.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingStrategy.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** PairsTradingStrategy.cs 20 Apr 2008 16:31:13 -0000 1.1 --- PairsTradingStrategy.cs 27 Apr 2008 17:53:49 -0000 1.2 *************** *** 44,55 **** // private WeightedPositions positionsToBeOpened; ! private double ! minThresholdForGoingLong, ! maxThresholdForGoingLong, ! minThresholdForGoingShort, ! maxThresholdForGoingShort; private IHistoricalQuoteProvider historicalQuoteProviderForChosingPositionsOutOfSample; public PairsTradingStrategy( --- 44,56 ---- // private WeightedPositions positionsToBeOpened; ! // private double ! // minThresholdForGoingLong, ! // maxThresholdForGoingLong, ! // minThresholdForGoingShort, ! // maxThresholdForGoingShort; private IHistoricalQuoteProvider historicalQuoteProviderForChosingPositionsOutOfSample; + private OutOfSampleChooser outOfSampleChooser; public PairsTradingStrategy( *************** *** 62,69 **** IHistoricalQuoteProvider historicalQuoteProviderForChosingPositionsOutOfSample , ! double minThresholdForGoingLong , ! double maxThresholdForGoingLong , ! double minThresholdForGoingShort , ! double maxThresholdForGoingShort ) : base( numDaysBeetweenEachOtpimization , --- 63,67 ---- IHistoricalQuoteProvider historicalQuoteProviderForChosingPositionsOutOfSample , ! OutOfSampleChooser outOfSampleChooser ) : base( numDaysBeetweenEachOtpimization , *************** *** 74,84 **** historicalQuoteProviderForInSample ) { ! this.minThresholdForGoingLong = minThresholdForGoingLong; ! this.maxThresholdForGoingLong = maxThresholdForGoingLong; ! this.minThresholdForGoingShort = minThresholdForGoingShort; ! this.maxThresholdForGoingShort = maxThresholdForGoingShort; this.historicalQuoteProviderForChosingPositionsOutOfSample = ! historicalQuoteProviderForChosingPositionsOutOfSample; } --- 72,83 ---- historicalQuoteProviderForInSample ) { ! // this.minThresholdForGoingLong = minThresholdForGoingLong; ! // this.maxThresholdForGoingLong = maxThresholdForGoingLong; ! // this.minThresholdForGoingShort = minThresholdForGoingShort; ! // this.maxThresholdForGoingShort = maxThresholdForGoingShort; this.historicalQuoteProviderForChosingPositionsOutOfSample = ! historicalQuoteProviderForChosingPositionsOutOfSample; ! this.outOfSampleChooser = outOfSampleChooser; } *************** *** 129,340 **** } ! #region getPositionsToBeOpened ! #region getReturnsManagerForLastSecondPhaseInterval ! private EndOfDayDateTime ! getIntervalBeginForLastSecondPhaseInterval() ! { ! // this method will be invoked only if (this.returnIntervals.Count >= 2) ! int secondLastIntervalIndex = ! this.returnIntervals.Count - 2; ! ReturnInterval secondLastInterval = ! this.returnIntervals[ secondLastIntervalIndex ]; ! return secondLastInterval.End; ! } ! private EndOfDayDateTime ! getIntervalEndForLastSecondPhaseInterval() ! { ! return this.lastIntervalAppended().Begin; ! } ! private ReturnInterval ! getReturnIntervalForLastSecondPhaseInterval() ! { ! EndOfDayDateTime intervalBegin = ! this.getIntervalBeginForLastSecondPhaseInterval(); ! EndOfDayDateTime intervalEnd = ! this.getIntervalEndForLastSecondPhaseInterval(); ! ReturnInterval returnIntervalForLastSecondPhaseInterval = ! new ReturnInterval( intervalBegin , intervalEnd ); ! return returnIntervalForLastSecondPhaseInterval; ! } ! private ReturnIntervals ! getReturnIntervalsForLastSecondPhaseInterval() ! { ! ReturnInterval returnIntervalForLastSecondPhaseInterval = ! this.getReturnIntervalForLastSecondPhaseInterval(); ! ReturnIntervals returnIntervalsForLastSecondPhaseInterval = ! new ReturnIntervals( returnIntervalForLastSecondPhaseInterval ); ! return returnIntervalsForLastSecondPhaseInterval; ! } ! private ReturnsManager getReturnsManagerForLastSecondPhaseInterval() ! { ! ReturnIntervals returnIntervals = ! this.getReturnIntervalsForLastSecondPhaseInterval(); // ReturnsManager returnsManager = // new ReturnsManager( returnIntervals , ! // this.historicalAdjustedQuoteProvider ); ! ReturnsManager returnsManager = ! new ReturnsManager( returnIntervals , ! this.historicalQuoteProviderForChosingPositionsOutOfSample ); ! return returnsManager; ! } ! #endregion getReturnsManagerForLastSecondPhaseInterval ! private double getReturnForTheLastSecondPhaseInterval( ! ReturnsManager returnsManager , ! WeightedPositions weightedPositions ) ! { ! // returnsManager should contain a single ReturnInterval, and ! // this ReturnInterval should be the last second phase interval ! double returnForTheLastSecondPhaseInterval = ! weightedPositions.GetReturn( 0 , returnsManager ); ! return returnForTheLastSecondPhaseInterval; ! } ! ! /// <summary> ! /// Inverts one of the two positions ! /// </summary> ! /// <param name="weightedPositions"></param> ! /// <returns></returns> ! private WeightedPositions getCandidateForPortfolio( ! WeightedPositions weightedPositions ) ! { ! double[] weights = new double[ 2 ]; ! weights[ 0 ] = ((WeightedPosition)weightedPositions[ 0 ]).Weight; ! weights[ 1 ] = -((WeightedPosition)weightedPositions[ 1 ]).Weight; ! string[] tickers = new String[ 2 ]; ! tickers[ 0 ] = ((WeightedPosition)weightedPositions[ 0 ]).Ticker; ! tickers[ 1 ] = ((WeightedPosition)weightedPositions[ 1 ]).Ticker; ! WeightedPositions candidateForPortfolio = ! new WeightedPositions( weights , tickers ); ! return candidateForPortfolio; ! } ! // if the currentWeightedPositions' return satisfies the thresholds ! // then this method returns the WeightedPositions to be opened. ! // Otherwise (currentWeightedPositions' return does NOT ! // satisfy the thresholds) this method returns null ! private WeightedPositions ! getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( ! ReturnsManager returnsManager , ! WeightedPositions currentWeightedPositions ) ! { ! WeightedPositions weightedPositionsToBeOpened = null; ! try ! { ! double returnForTheLastSecondPhaseInterval = ! this.getReturnForTheLastSecondPhaseInterval( ! returnsManager , ! currentWeightedPositions ); ! if ( ( returnForTheLastSecondPhaseInterval >= ! this.minThresholdForGoingLong ) && ! ( returnForTheLastSecondPhaseInterval <= ! this.maxThresholdForGoingLong ) ) ! // it looks like there has been an inefficiency that ! // might be recovered, by going short ! weightedPositionsToBeOpened = currentWeightedPositions.Opposite; ! if ( ( -returnForTheLastSecondPhaseInterval >= ! this.minThresholdForGoingShort ) && ! ( -returnForTheLastSecondPhaseInterval <= ! this.maxThresholdForGoingShort ) ) ! // it looks like there has been an inefficiency that ! // might be recovered, by going long ! weightedPositionsToBeOpened = currentWeightedPositions; ! } ! catch( TickerNotExchangedException ex ) ! { ! string dummy = ex.Message; ! } ! return weightedPositionsToBeOpened; ! } ! private WeightedPositions ! getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( ! ReturnsManager returnsManager , ! int currentTestingPositionsIndex ) ! { ! WeightedPositions currentWeightedPositions = ! this.bestTestingPositionsInSample[ currentTestingPositionsIndex ].WeightedPositions; ! WeightedPositions candidateForPortfolio = ! this.getCandidateForPortfolio( currentWeightedPositions ); ! WeightedPositions weightedPositionsToBeOpended = ! this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( ! returnsManager , candidateForPortfolio ); ! return weightedPositionsToBeOpended; ! } ! protected WeightedPositions getPositionsToBeOpened( ! ReturnsManager returnsManager ) ! { ! WeightedPositions weightedPositionsToBeOpended = null; ! int currentTestingPositionsIndex = 0; ! while ( ( weightedPositionsToBeOpended == null ) ! && ( currentTestingPositionsIndex < this.bestTestingPositionsInSample.Length ) ) ! { ! weightedPositionsToBeOpended = ! this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( ! returnsManager , currentTestingPositionsIndex ); ! currentTestingPositionsIndex++; ! } ! return weightedPositionsToBeOpended; ! } ! private WeightedPositions ! getPositionsToBeOpened_withAtLeastASecondPhaseInterval_actually() ! { ! ReturnsManager returnsManager = ! this.getReturnsManagerForLastSecondPhaseInterval(); ! WeightedPositions weightedPositions = ! this.getPositionsToBeOpened( returnsManager ); ! return weightedPositions; ! } ! /// <summary> ! /// To be overriden if a subset of the positions has to be returned ! /// </summary> ! /// <param name="weightedPositions"></param> ! /// <returns></returns> ! protected virtual WeightedPositions selectWeightedPositions( ! WeightedPositions weightedPositions ) ! { ! return weightedPositions; ! } ! private WeightedPositions ! getPositionsToBeOpened_withAtLeastASecondPhaseInterval() ! { ! WeightedPositions weightedPositions = ! this.getPositionsToBeOpened_withAtLeastASecondPhaseInterval_actually(); ! WeightedPositions weightedPositionsToBeReturned = null; ! if ( weightedPositions != null ) ! // at least one of the BestTestingPositions shows an inefficiency ! // above the threshold ! weightedPositionsToBeReturned = ! selectWeightedPositions( weightedPositions ); ! return weightedPositionsToBeReturned; ! } ! protected override WeightedPositions getPositionsToBeOpened() ! { ! WeightedPositions weightedPositions = null; ! if ( this.returnIntervals.Count >= 2 ) ! // at least a second phase interval exists ! weightedPositions = ! this.getPositionsToBeOpened_withAtLeastASecondPhaseInterval(); ! return weightedPositions; ! } ! #endregion ! ! // protected override WeightedPositions marketOpenEventHandler_getPositionsToBeOpened() // { ! // return this.getPositionsToBeOpened(); // } // ! // protected override WeightedPositions marketCloseEventHandler_getPositionsToBeOpened() // { ! // return this.getPositionsToBeOpened(); // } ! // ! // protected override bool marketOpenEventHandler_arePositionsToBeClosed() // { ! // return this.arePositionsToBeClosed(); // } ! // ! // protected override bool marketCloseEventHandler_arePositionsToBeClosed() // { ! // return this.arePositionsToBeClosed(); // } protected override LogItem getLogItem( EligibleTickers eligibleTickers ) { --- 128,330 ---- } ! // #region getPositionsToBeOpened ! // #region getReturnsManagerForLastSecondPhaseInterval ! // private EndOfDayDateTime ! // getIntervalBeginForLastSecondPhaseInterval() ! // { ! // // this method will be invoked only if (this.returnIntervals.Count >= 2) ! // int secondLastIntervalIndex = ! // this.returnIntervals.Count - 2; ! // ReturnInterval secondLastInterval = ! // this.returnIntervals[ secondLastIntervalIndex ]; ! // return secondLastInterval.End; ! // } ! // private EndOfDayDateTime ! // getIntervalEndForLastSecondPhaseInterval() ! // { ! // return this.lastIntervalAppended().Begin; ! // } ! // private ReturnInterval ! // getReturnIntervalForLastSecondPhaseInterval() ! // { ! // EndOfDayDateTime intervalBegin = ! // this.getIntervalBeginForLastSecondPhaseInterval(); ! // EndOfDayDateTime intervalEnd = ! // this.getIntervalEndForLastSecondPhaseInterval(); ! // ReturnInterval returnIntervalForLastSecondPhaseInterval = ! // new ReturnInterval( intervalBegin , intervalEnd ); ! // return returnIntervalForLastSecondPhaseInterval; ! // } ! // private ReturnIntervals ! // getReturnIntervalsForLastSecondPhaseInterval() ! // { ! // ReturnInterval returnIntervalForLastSecondPhaseInterval = ! // this.getReturnIntervalForLastSecondPhaseInterval(); ! // ReturnIntervals returnIntervalsForLastSecondPhaseInterval = ! // new ReturnIntervals( returnIntervalForLastSecondPhaseInterval ); ! // return returnIntervalsForLastSecondPhaseInterval; ! // } ! // private ReturnsManager getReturnsManagerForLastSecondPhaseInterval() ! // { ! // ReturnIntervals returnIntervals = ! // this.getReturnIntervalsForLastSecondPhaseInterval(); ! //// ReturnsManager returnsManager = ! //// new ReturnsManager( returnIntervals , ! //// this.historicalAdjustedQuoteProvider ); // ReturnsManager returnsManager = // new ReturnsManager( returnIntervals , ! // this.historicalQuoteProviderForChosingPositionsOutOfSample ); ! // return returnsManager; ! // } ! // #endregion getReturnsManagerForLastSecondPhaseInterval ! // private double getReturnForTheLastSecondPhaseInterval( ! // ReturnsManager returnsManager , ! // WeightedPositions weightedPositions ) // { ! // // returnsManager should contain a single ReturnInterval, and ! // // this ReturnInterval should be the last second phase interval ! // double returnForTheLastSecondPhaseInterval = ! // weightedPositions.GetReturn( 0 , returnsManager ); ! // return returnForTheLastSecondPhaseInterval; // } // ! // /// <summary> ! // /// Inverts one of the two positions ! // /// </summary> ! // /// <param name="weightedPositions"></param> ! // /// <returns></returns> ! // private WeightedPositions getCandidateForPortfolio( ! // WeightedPositions weightedPositions ) // { ! // double[] weights = new double[ 2 ]; ! // weights[ 0 ] = ((WeightedPosition)weightedPositions[ 0 ]).Weight; ! // weights[ 1 ] = -((WeightedPosition)weightedPositions[ 1 ]).Weight; ! // string[] tickers = new String[ 2 ]; ! // tickers[ 0 ] = ((WeightedPosition)weightedPositions[ 0 ]).Ticker; ! // tickers[ 1 ] = ((WeightedPosition)weightedPositions[ 1 ]).Ticker; ! // WeightedPositions candidateForPortfolio = ! // new WeightedPositions( weights , tickers ); ! // return candidateForPortfolio; // } ! // // if the currentWeightedPositions' return satisfies the thresholds ! // // then this method returns the WeightedPositions to be opened. ! // // Otherwise (currentWeightedPositions' return does NOT ! // // satisfy the thresholds) this method returns null ! // private WeightedPositions ! // getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( ! // ReturnsManager returnsManager , ! // WeightedPositions currentWeightedPositions ) // { ! // WeightedPositions weightedPositionsToBeOpened = null; ! // try ! // { ! // double returnForTheLastSecondPhaseInterval = ! // this.getReturnForTheLastSecondPhaseInterval( ! // returnsManager , ! // currentWeightedPositions ); ! // if ( ( returnForTheLastSecondPhaseInterval >= ! // this.minThresholdForGoingLong ) && ! // ( returnForTheLastSecondPhaseInterval <= ! // this.maxThresholdForGoingLong ) ) ! // // it looks like there has been an inefficiency that ! // // might be recovered, by going short ! // weightedPositionsToBeOpened = currentWeightedPositions.Opposite; ! // if ( ( -returnForTheLastSecondPhaseInterval >= ! // this.minThresholdForGoingShort ) && ! // ( -returnForTheLastSecondPhaseInterval <= ! // this.maxThresholdForGoingShort ) ) ! // // it looks like there has been an inefficiency that ! // // might be recovered, by going long ! // weightedPositionsToBeOpened = currentWeightedPositions; ! // } ! // catch( TickerNotExchangedException ex ) ! // { ! // string dummy = ex.Message; ! // } ! // return weightedPositionsToBeOpened; // } ! // private WeightedPositions ! // getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( ! // ReturnsManager returnsManager , ! // int currentTestingPositionsIndex ) // { ! // WeightedPositions currentWeightedPositions = ! // this.bestTestingPositionsInSample[ currentTestingPositionsIndex ].WeightedPositions; ! // WeightedPositions candidateForPortfolio = ! // this.getCandidateForPortfolio( currentWeightedPositions ); ! // WeightedPositions weightedPositionsToBeOpended = ! // this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( ! // returnsManager , candidateForPortfolio ); ! // return weightedPositionsToBeOpended; ! // } ! // protected WeightedPositions getPositionsToBeOpened( ! // ReturnsManager returnsManager ) ! // { ! // WeightedPositions weightedPositionsToBeOpended = null; ! // int currentTestingPositionsIndex = 0; ! // while ( ( weightedPositionsToBeOpended == null ) ! // && ( currentTestingPositionsIndex < this.bestTestingPositionsInSample.Length ) ) ! // { ! // weightedPositionsToBeOpended = ! // this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions( ! // returnsManager , currentTestingPositionsIndex ); ! // currentTestingPositionsIndex++; ! // } ! // return weightedPositionsToBeOpended; ! // } ! // private WeightedPositions ! // getPositionsToBeOpened_withAtLeastASecondPhaseInterval_actually() ! // { ! // ReturnsManager returnsManager = ! // this.getReturnsManagerForLastSecondPhaseInterval(); ! // WeightedPositions weightedPositions = ! // this.getPositionsToBeOpened( returnsManager ); ! // return weightedPositions; ! // } ! // /// <summary> ! // /// To be overriden if a subset of the positions has to be returned ! // /// </summary> ! // /// <param name="weightedPositions"></param> ! // /// <returns></returns> ! // protected virtual WeightedPositions selectWeightedPositions( ! // WeightedPositions weightedPositions ) ! // { ! // return weightedPositions; // } + // private WeightedPositions + // getPositionsToBeOpened_withAtLeastASecondPhaseInterval() + // { + // WeightedPositions weightedPositions = + // this.getPositionsToBeOpened_withAtLeastASecondPhaseInterval_actually(); + // WeightedPositions weightedPositionsToBeReturned = null; + // if ( weightedPositions != null ) + // // at least one of the BestTestingPositions shows an inefficiency + // // above the threshold + // weightedPositionsToBeReturned = + // selectWeightedPositions( weightedPositions ); + // return weightedPositionsToBeReturned; + // } + // protected override WeightedPositions getPositionsToBeOpened() + // { + // WeightedPositions weightedPositions = null; + // if ( this.returnIntervals.Count >= 2 ) + // // at least a second phase interval exists + // weightedPositions = + // this.getPositionsToBeOpened_withAtLeastASecondPhaseInterval(); + // return weightedPositions; + // } + // #endregion + protected override WeightedPositions getPositionsToBeOpened() + { + WeightedPositions weightedPositions = + this.outOfSampleChooser.GetPositionsToBeOpened( + this.bestTestingPositionsInSample , + this.returnIntervals , + this.historicalQuoteProviderForChosingPositionsOutOfSample , + this.inSampleReturnsManager ); + return weightedPositions; + } + protected override LogItem getLogItem( EligibleTickers eligibleTickers ) { |
