[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample PairsTradingFitnessEvaluator.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17291/b7_Scripts/WalkForwardTesting/PairsTrading/InSample

Modified Files:
	PairsTradingFitnessEvaluator.cs 
Log Message:
The method PearsonCorrelationCoefficient with multipliers is not used anymore. Now the PearsonCorrelationCoefficient without wheigts is used: the result is then multiplied by the signs of the weights of the positions.

Index: PairsTradingFitnessEvaluator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/PairsTradingFitnessEvaluator.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PairsTradingFitnessEvaluator.cs	20 Apr 2008 17:12:35 -0000	1.3
--- PairsTradingFitnessEvaluator.cs	11 May 2008 17:52:09 -0000	1.4
***************
*** 90,98 ****
  			float[] secondPositionReturns =
  				returnsManager.GetReturns( secondPosition.Ticker );
  			double fitnessValue =	BasicFunctions.PearsonCorrelationCoefficient(
! 				this.getMultiplierForReturns( firstPosition ) , firstPositionReturns ,
! 				this.getMultiplierForReturns( secondPosition ) , secondPositionReturns );
! //			double fitnessValue =	BasicFunctions.PearsonCorrelationCoefficient(
! //				firstPositionReturns , secondPositionReturns );
  			return fitnessValue;
  		}
--- 90,103 ----
  			float[] secondPositionReturns =
  				returnsManager.GetReturns( secondPosition.Ticker );
+ //			double fitnessValueOld =	BasicFunctions.PearsonCorrelationCoefficient(
+ //				this.getMultiplierForReturns( firstPosition ) , firstPositionReturns ,
+ //				this.getMultiplierForReturns( secondPosition ) , secondPositionReturns );
  			double fitnessValue =	BasicFunctions.PearsonCorrelationCoefficient(
! 				firstPositionReturns , secondPositionReturns );
! 			fitnessValue = fitnessValue *
! 				this.getMultiplierForReturns( firstPosition ) *
! 				this.getMultiplierForReturns( secondPosition );
! //			if ( fitnessValue != fitnessValueOld )
! //				fitnessValueNew +=0;
  			return fitnessValue;
  		}