[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.16, 1.17

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3654/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
Minor changes have been applied, in order to test the strategy with different parameters

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** PairsTradingMain.cs	17 May 2008 18:10:41 -0000	1.16
--- PairsTradingMain.cs	16 Aug 2008 19:38:41 -0000	1.17
***************
*** 62,66 ****
  		public PairsTradingMain()
  		{
! 			this.benchmark = new Benchmark( "BMC" );
  
  			this.historicalQuoteProviderForInSample =
--- 62,66 ----
  		public PairsTradingMain()
  		{
! 			this.benchmark = new Benchmark( "CCE" );
  
  			this.historicalQuoteProviderForInSample =
***************
*** 69,79 ****
  			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  				new HistoricalAdjustedQuoteProvider();
! 			this.historicalQuoteProviderForChosingPositionsOutOfSample =
! 				new HistoricalRawQuoteProvider();
  
  			this.historicalQuoteProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
! 			this.historicalQuoteProviderForTheBacktesterAccount =
! 				new HistoricalAdjustedQuoteProvider();
  
  			// definition for the Fitness Evaluator
--- 69,79 ----
  			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  				new HistoricalAdjustedQuoteProvider();
! //			this.historicalQuoteProviderForChosingPositionsOutOfSample =
! //				new HistoricalRawQuoteProvider();
  
  			this.historicalQuoteProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
! //			this.historicalQuoteProviderForTheBacktesterAccount =
! //				new HistoricalAdjustedQuoteProvider();
  
  			// definition for the Fitness Evaluator
***************
*** 173,178 ****
  				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 );
--- 173,178 ----
  				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 );
***************
*** 224,235 ****
  
  			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 );
  
! 			double maxRunningHours = 8;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
--- 224,235 ----
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 						firstDateTime = new DateTime( 2006 , 8 , 1 );
  			DateTime lastDateTime = new DateTime( 2008 , 4 , 30 );
  
  			// uncomment the following two lines for a faster script
! //			firstDateTime = new DateTime( 2007 , 1 , 1 );
! //			lastDateTime = new DateTime( 2007 , 1 , 31 );
  
! 			double maxRunningHours = 1;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =