[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.13, 1.14

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv25113/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
Added code in order to:
- use two IIntervalsSelector(s): one to create intervals for in sample optimizations; one to create the intervals to be used by the strategy, out of sample
- use an OTC-CTO in sample optimization (markte close to market open correlation is considered also); the code now is commented out: uncomment it if you want CTO optimization also

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** PairsTradingMain.cs	3 May 2008 17:55:44 -0000	1.13
--- PairsTradingMain.cs	11 May 2008 16:54:33 -0000	1.14
***************
*** 69,73 ****
  				new HistoricalAdjustedQuoteProvider();
  			this.historicalQuoteProviderForTheBacktesterAccount =
! 				this.historicalQuoteProviderForInSample;
  
  			// definition for the Fitness Evaluator
--- 69,73 ----
  				new HistoricalAdjustedQuoteProvider();
  			this.historicalQuoteProviderForTheBacktesterAccount =
! 				new HistoricalRawQuoteProvider();
  
  			// definition for the Fitness Evaluator
***************
*** 93,100 ****
  					maxNumberOfEligiblesToBeChosen ,
  					10 , 20 , 75 );
  
  
  //			uncomment the following line for a (logbased) log based in sample chooser
! 			eligiblesSelector = new DummyEligibleSelector();
  
  			return eligiblesSelector;
--- 93,107 ----
  					maxNumberOfEligiblesToBeChosen ,
  					10 , 20 , 75 );
+ 			eligiblesSelector =
+ 				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
+ 				tickersGroupId ,
+ 				true ,
+ 				maxNumberOfEligiblesToBeChosen ,
+ 				maxNumberOfEligiblesToBeChosen + 50 ,
+ 				10 , 10 , 20 , 75 );
  
  
  //			uncomment the following line for a (logbased) log based in sample chooser
! //			eligiblesSelector = new DummyEligibleSelector();
  
  			return eligiblesSelector;
***************
*** 141,148 ****
  
  //			uncomment the following line for a (logbased) log based in sample chooser
! 			inSampleChooser =
! 				new PairsTradingChooserFromSavedBackTestLog(
! 					@"C:\qpReports\pairsTrading\longOnly\2008_04_27_4_41_53_pairsTrdng2Long_from_2001_01_01_to_2004_12_31_annlRtrn_128.52_maxDD_25.70\2008_04_27_4_41_53_pairsTrdng_from_2001_01_01_to_2004_12_31_annlRtrn_128.52_maxDD_25.70.qpL",
! 				  numberOfBestTestingPositionsToBeReturned);
  
  			
--- 148,155 ----
  
  //			uncomment the following line for a (logbased) log based in sample chooser
! //			inSampleChooser =
! //				new PairsTradingChooserFromSavedBackTestLog(
! //					@"C:\qpReports\pairsTrading\longOnly\2008_04_27_4_41_53_pairsTrdng2Long_from_2001_01_01_to_2004_12_31_annlRtrn_128.52_maxDD_25.70\2008_04_27_4_41_53_pairsTrdng_from_2001_01_01_to_2004_12_31_annlRtrn_128.52_maxDD_25.70.qpL",
! //				  numberOfBestTestingPositionsToBeReturned);
  
  			
***************
*** 157,173 ****
  //			 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(
! 				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser ,
  				this.historicalQuoteProviderForInSample ,
--- 164,190 ----
  //			 inSampleDays = 60;
  			
! 			IIntervalsSelector intervalsSelectorForOutOfSample =
  				new OddIntervalsSelector( 1 , 1 , this.benchmark );
+ 			IIntervalsSelector intervalsSelectorForInSample =
+ 				intervalsSelectorForOutOfSample;
+ 
+ 			// uncomment the following two statements in order to use an
+ 			// OTC-CTO in sample optimization (night is considered also)
+ //			intervalsSelectorForInSample =
+ //				new FixedLengthTwoPhasesIntervalsSelector( 1 , 1 , this.benchmark );
+ //			this.historicalQuoteProviderForInSample =
+ //				new HistoricalAdjustedQuoteProvider();
  
  			OutOfSampleChooser outOfSampleChooser =
  				new OutOfSampleChooserForSingleLongAndShort(
! 				0.006 , 0.02 , 0.006 , 0.02 );
! //			outOfSampleChooser =
! //				new OutOfSampleChooserForExactNumberOfBestLongPositions(
! //				2 ,	0.006 , 0.99 , 0.006 , 0.99 );
  
  			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
  				new PairsTradingStrategy(
! 				7 , inSampleDays ,
! 				intervalsSelectorForInSample , intervalsSelectorForOutOfSample ,
  				eligiblesSelector , inSampleChooser ,
  				this.historicalQuoteProviderForInSample ,
***************
*** 197,206 ****
  			double cashToStart = 30000;
  
! 			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 =
--- 214,223 ----
  			double cashToStart = 30000;
  
! 			DateTime firstDateTime = new DateTime( 2005 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2008 , 4 , 30 );
  			// uncomment the following line for a faster script
  //			lastDateTime = new DateTime( 2001 , 1 , 31 );
  
! 			double maxRunningHours = 8;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =