[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies BasicEndOfDayS
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glauco_1
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From: Glauco S. <gla...@us...> - 2008-05-11 16:37:39
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17535/b4_Business/a2_Strategies/EndOfDayStrategies Modified Files: BasicEndOfDayStrategyForBacktester.cs Log Message: Now two IIntervalSelector(s) are used: one to create in sample intervals; one to be used by the strategy out of sample Index: BasicEndOfDayStrategyForBacktester.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies/BasicEndOfDayStrategyForBacktester.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** BasicEndOfDayStrategyForBacktester.cs 27 Apr 2008 17:49:01 -0000 1.5 --- BasicEndOfDayStrategyForBacktester.cs 11 May 2008 16:37:31 -0000 1.6 *************** *** 51,55 **** protected int numDaysBeetweenEachOtpimization; protected int numDaysForInSampleOptimization; ! protected IIntervalsSelector intervalsSelector; protected IEligiblesSelector eligiblesSelector; protected IInSampleChooser inSampleChooser; --- 51,56 ---- protected int numDaysBeetweenEachOtpimization; protected int numDaysForInSampleOptimization; ! protected IIntervalsSelector intervalsSelectorForInSample; ! protected IIntervalsSelector intervalsSelectorForOutOfSample; protected IEligiblesSelector eligiblesSelector; protected IInSampleChooser inSampleChooser; *************** *** 108,112 **** int numDaysBeetweenEachOtpimization , int numDaysForInSampleOptimization , ! IIntervalsSelector intervalsSelector , IEligiblesSelector eligiblesSelector , IInSampleChooser inSampleChooser , --- 109,114 ---- int numDaysBeetweenEachOtpimization , int numDaysForInSampleOptimization , ! IIntervalsSelector intervalsSelectorForInSample , ! IIntervalsSelector intervalsSelectorForOutOfSample , IEligiblesSelector eligiblesSelector , IInSampleChooser inSampleChooser , *************** *** 116,120 **** this.numDaysBeetweenEachOtpimization = numDaysBeetweenEachOtpimization; this.numDaysForInSampleOptimization = numDaysForInSampleOptimization; ! this.intervalsSelector = intervalsSelector; this.eligiblesSelector = eligiblesSelector; this.inSampleChooser = inSampleChooser; --- 118,123 ---- this.numDaysBeetweenEachOtpimization = numDaysBeetweenEachOtpimization; this.numDaysForInSampleOptimization = numDaysForInSampleOptimization; ! this.intervalsSelectorForInSample = intervalsSelectorForInSample; ! this.intervalsSelectorForOutOfSample = intervalsSelectorForOutOfSample; this.eligiblesSelector = eligiblesSelector; this.inSampleChooser = inSampleChooser; *************** *** 123,127 **** this.returnIntervals = ! new ReturnIntervals( this.intervalsSelector ); } --- 126,130 ---- this.returnIntervals = ! new ReturnIntervals( this.intervalsSelectorForOutOfSample ); } *************** *** 218,222 **** EndOfDaySpecificTime.MarketClose ); ReturnIntervals inSampleReturnIntervals = ! new ReturnIntervals( this.intervalsSelector ); inSampleReturnIntervals.AppendFirstInterval( firstDate ); if ( inSampleReturnIntervals.LastEndOfDayDateTime.IsLessThan( --- 221,225 ---- EndOfDaySpecificTime.MarketClose ); ReturnIntervals inSampleReturnIntervals = ! new ReturnIntervals( this.intervalsSelectorForInSample ); inSampleReturnIntervals.AppendFirstInterval( firstDate ); if ( inSampleReturnIntervals.LastEndOfDayDateTime.IsLessThan( |