[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.17, 1.18

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18913

Modified Files:
	PairsTradingMain.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: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** PairsTradingMain.cs	16 Aug 2008 19:38:41 -0000	1.17
--- PairsTradingMain.cs	29 Sep 2008 21:21:34 -0000	1.18
***************
*** 53,61 ****
  	{
  		private Benchmark benchmark;
! 		private IHistoricalQuoteProvider historicalQuoteProviderForInSample;
! 		private IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample;
! 		private IHistoricalQuoteProvider
! 			historicalQuoteProviderForTheBacktesterAccount;
  
  		
--- 53,61 ----
  	{
  		private Benchmark benchmark;
! 		private HistoricalMarketValueProvider historicalMarketValueProviderForInSample;
! 		private HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample;
! 		private HistoricalMarketValueProvider
! 			historicalMarketValueProviderForTheBacktesterAccount;
  
  		
***************
*** 64,76 ****
  			this.benchmark = new Benchmark( "CCE" );
  
! 			this.historicalQuoteProviderForInSample =
  				new HistoricalRawQuoteProvider();
  
! 			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  				new HistoricalAdjustedQuoteProvider();
  //			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  //				new HistoricalRawQuoteProvider();
  
! 			this.historicalQuoteProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
  //			this.historicalQuoteProviderForTheBacktesterAccount =
--- 64,76 ----
  			this.benchmark = new Benchmark( "CCE" );
  
! 			this.historicalMarketValueProviderForInSample =
  				new HistoricalRawQuoteProvider();
  
! 			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
  				new HistoricalAdjustedQuoteProvider();
  //			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  //				new HistoricalRawQuoteProvider();
  
! 			this.historicalMarketValueProviderForTheBacktesterAccount =
  				new HistoricalRawQuoteProvider();
  //			this.historicalQuoteProviderForTheBacktesterAccount =
***************
*** 140,144 ****
  				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
! 				this.historicalQuoteProviderForInSample ,
  				crossoverRate , mutationRate , elitismRate ,
  				populationSizeForGeneticOptimizer ,
--- 140,144 ----
  				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
! 				this.historicalMarketValueProviderForInSample ,
  				crossoverRate , mutationRate , elitismRate ,
  				populationSizeForGeneticOptimizer ,
***************
*** 163,167 ****
  		}
  
! 		protected override IEndOfDayStrategyForBacktester getEndOfDayStrategy()
  		{
  			int inSampleDays = 180;
--- 163,167 ----
  		}
  
! 		protected override IStrategyForBacktester getStrategyForBacktester()
  		{
  			int inSampleDays = 180;
***************
*** 192,202 ****
  //				2 ,	0.006 , 0.99 , 0.006 , 0.99 );
  
! 			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
  				new PairsTradingStrategy(
  				7 , inSampleDays ,
  				intervalsSelectorForInSample , intervalsSelectorForOutOfSample ,
  				eligiblesSelector , inSampleChooser ,
! 				this.historicalQuoteProviderForInSample ,
! 				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
  				outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
--- 192,202 ----
  //				2 ,	0.006 , 0.99 , 0.006 , 0.99 );
  
! 			IStrategyForBacktester strategyForBacktester =
  				new PairsTradingStrategy(
  				7 , inSampleDays ,
  				intervalsSelectorForInSample , intervalsSelectorForOutOfSample ,
  				eligiblesSelector , inSampleChooser ,
! 				this.historicalMarketValueProviderForInSample ,
! 				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  				outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
***************
*** 214,218 ****
  //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
  //				0.006 , 0.02 , 0.006 , 0.02 );
! 			return endOfDayStrategyForBacktester;
  		}
  		protected override EndOfDayStrategyBackTester
--- 214,218 ----
  //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
  //				0.006 , 0.02 , 0.006 , 0.02 );
! 			return strategyForBacktester;
  		}
  		protected override EndOfDayStrategyBackTester
***************
*** 228,240 ****
  
  			// 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 =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.endOfDayStrategy ,
! 				this.historicalQuoteProviderForTheBacktesterAccount ,
  				accountProvider ,
  				firstDateTime ,	lastDateTime ,
--- 228,240 ----
  
  			// uncomment the following two lines for a faster script
! 			firstDateTime = new DateTime( 2002 , 1 , 1 );
! 			lastDateTime = new DateTime( 2007 , 6 , 30 );
  
! 			double maxRunningHours = 0.05;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.strategyForBacktester ,
! 				this.historicalMarketValueProviderForTheBacktesterAccount ,
  				accountProvider ,
  				firstDateTime ,	lastDateTime ,