[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooser.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17626/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooser.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: OutOfSampleChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OutOfSampleChooser.cs	27 Apr 2008 17:42:52 -0000	1.1
--- OutOfSampleChooser.cs	29 Sep 2008 21:19:47 -0000	1.2
***************
*** 38,41 ****
--- 38,42 ----
  	/// this class selects the positions to be opened
  	/// </summary>
+ 	[Serializable]
  	public abstract class OutOfSampleChooser
  	{
***************
*** 75,79 ****
  
  		#region getReturnsManagerForLastSecondPhaseInterval
! 		private EndOfDayDateTime
  			getIntervalBeginForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals )
--- 76,80 ----
  
  		#region getReturnsManagerForLastSecondPhaseInterval
! 		private DateTime
  			getIntervalBeginForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals )
***************
*** 86,90 ****
  			return secondLastInterval.End;
  		}
! 		private EndOfDayDateTime
  			getIntervalEndForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals )
--- 87,91 ----
  			return secondLastInterval.End;
  		}
! 		private DateTime
  			getIntervalEndForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals )
***************
*** 96,103 ****
  			ReturnIntervals outOfSampleReturnIntervals )
  		{
! 			EndOfDayDateTime intervalBegin =
  				this.getIntervalBeginForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals );
! 			EndOfDayDateTime intervalEnd =
  				this.getIntervalEndForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals );
--- 97,104 ----
  			ReturnIntervals outOfSampleReturnIntervals )
  		{
! 			DateTime intervalBegin =
  				this.getIntervalBeginForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals );
! 			DateTime intervalEnd =
  				this.getIntervalEndForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals );
***************
*** 119,123 ****
  		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			IHistoricalQuoteProvider historicalQuoteProviderForChosingPositionsOutOfSample )
  		{
  			ReturnIntervals returnIntervals =
--- 120,125 ----
  		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ReturnIntervals returnIntervals =
***************
*** 129,133 ****
  			ReturnsManager returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				historicalQuoteProviderForChosingPositionsOutOfSample );
  			return returnsManager;
  		}
--- 131,135 ----
  			ReturnsManager returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return returnsManager;
  		}
***************
*** 249,259 ****
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample )
  		{
  			ReturnsManager returnsManagerForLastSecondPhaseInterval =
  				this.getReturnsManagerForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals ,
! 				historicalQuoteProviderForChosingPositionsOutOfSample );
  			ArrayList inefficientCouples =
  				this.getInefficientCouples( bestTestingPositionsInSample ,
--- 251,261 ----
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ReturnsManager returnsManagerForLastSecondPhaseInterval =
  				this.getReturnsManagerForLastSecondPhaseInterval(
  				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			ArrayList inefficientCouples =
  				this.getInefficientCouples( bestTestingPositionsInSample ,
***************
*** 288,293 ****
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample )
  		{
  			ArrayList arrayListOfInefficientCouples =
--- 290,295 ----
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ArrayList arrayListOfInefficientCouples =
***************
*** 295,299 ****
  				bestTestingPositionsInSample ,
  				outOfSampleReturnIntervals ,
! 				historicalQuoteProviderForChosingPositionsOutOfSample );
  			WeightedPositions[] inefficientCouples =
  				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
--- 297,301 ----
  				bestTestingPositionsInSample ,
  				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			WeightedPositions[] inefficientCouples =
  				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
***************
*** 324,329 ****
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample )
  		{
  			WeightedPositions[] inefficientCouples = null;
--- 326,331 ----
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			WeightedPositions[] inefficientCouples = null;
***************
*** 334,338 ****
  					bestTestingPositionsInSample ,
  					outOfSampleReturnIntervals ,
! 					historicalQuoteProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;
  
--- 336,340 ----
  					bestTestingPositionsInSample ,
  					outOfSampleReturnIntervals ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;
  
***************
*** 353,358 ****
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample ,
  			ReturnsManager inSampleReturnsManager )
  		{
--- 355,360 ----
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample ,
  			ReturnsManager inSampleReturnsManager )
  		{
***************
*** 362,366 ****
  				bestTestingPositionsInSample ,
  				outOfSampleReturnIntervals ,
! 				historicalQuoteProviderForChosingPositionsOutOfSample );
  			if ( inefficientCouples != null )
  				// at least an inefficient couple has been found
--- 364,368 ----
  				bestTestingPositionsInSample ,
  				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			if ( inefficientCouples != null )
  				// at least an inefficient couple has been found