[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.15, 1.16

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22276/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
Some code has been added, to test the CTO strategy

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** PairsTradingMain.cs	11 May 2008 19:13:22 -0000	1.15
--- PairsTradingMain.cs	17 May 2008 18:10:41 -0000	1.16
***************
*** 66,73 ****
--- 66,79 ----
  			this.historicalQuoteProviderForInSample =
  				new HistoricalRawQuoteProvider();
+ 
  			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  				new HistoricalAdjustedQuoteProvider();
+ 			this.historicalQuoteProviderForChosingPositionsOutOfSample =
+ 				new HistoricalRawQuoteProvider();
+ 
  			this.historicalQuoteProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
+ 			this.historicalQuoteProviderForTheBacktesterAccount =
+ 				new HistoricalAdjustedQuoteProvider();
  
  			// definition for the Fitness Evaluator
***************
*** 150,154 ****
  //			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);
  
--- 156,160 ----
  //			inSampleChooser =
  //				new PairsTradingChooserFromSavedBackTestLog(
! //					@"C:\qpReports\pairsTrading\2008_05_08_23_49_18_pairsTrdng_from_2005_01_01_to_2008_04_30_annlRtrn_90.70_maxDD_5.43\2008_05_08_23_49_18_pairsTrdng_from_2005_01_01_to_2008_04_30_annlRtrn_90.70_maxDD_5.43.qpL",
  //				  numberOfBestTestingPositionsToBeReturned);
  
***************
*** 166,171 ****
  			IIntervalsSelector intervalsSelectorForOutOfSample =
  				new OddIntervalsSelector( 1 , 1 , this.benchmark );
  			IIntervalsSelector intervalsSelectorForInSample =
! 				intervalsSelectorForOutOfSample;
  
  			// uncomment the following two statements in order to use an
--- 172,180 ----
  			IIntervalsSelector intervalsSelectorForOutOfSample =
  				new OddIntervalsSelector( 1 , 1 , this.benchmark );
+ 			// uncomment the following statement in order to test a CTO strategy (out of sample)
+ 			intervalsSelectorForOutOfSample =
+ 				new EvenIntervalsSelector( 1 , 1 , this.benchmark );
  			IIntervalsSelector intervalsSelectorForInSample =
! 				new OddIntervalsSelector( 1 , 1 , this.benchmark );
  
  			// uncomment the following two statements in order to use an
***************
*** 215,220 ****
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
  			DateTime lastDateTime = new DateTime( 2008 , 4 , 30 );
! 			// uncomment the following line for a faster script
  //			lastDateTime = new DateTime( 2001 , 1 , 31 );
  
--- 224,232 ----
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
+ 						firstDateTime = new DateTime( 2005 , 1 , 1 );
  			DateTime lastDateTime = new DateTime( 2008 , 4 , 30 );
! 
! 			// uncomment the following two lines for a faster script
! //			firstDateTime = new DateTime( 2001 , 1 , 1 );
  //			lastDateTime = new DateTime( 2001 , 1 , 31 );