[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.18, 1.19

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv19578/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
The test has been changed to use intraday data, out of sample

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** PairsTradingMain.cs	29 Sep 2008 21:21:34 -0000	1.18
--- PairsTradingMain.cs	8 Nov 2008 20:36:36 -0000	1.19
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
***************
*** 37,40 ****
--- 37,41 ----
  using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
  using QuantProject.Business.Timing;
+ using QuantProject.Data.DataProviders.Bars.Caching;
  using QuantProject.Presentation;
  using QuantProject.Scripts.General;
***************
*** 68,77 ****
  
  			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! 				new HistoricalAdjustedQuoteProvider();
  //			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  //				new HistoricalRawQuoteProvider();
  
  			this.historicalMarketValueProviderForTheBacktesterAccount =
! 				new HistoricalRawQuoteProvider();
  //			this.historicalQuoteProviderForTheBacktesterAccount =
  //				new HistoricalAdjustedQuoteProvider();
--- 69,82 ----
  
  			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! 				this.getHistoricalBarProvider();
! //			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! //				new HistoricalAdjustedQuoteProvider();
  //			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  //				new HistoricalRawQuoteProvider();
  
  			this.historicalMarketValueProviderForTheBacktesterAccount =
! 				this.historicalMarketValueProviderForChosingPositionsOutOfSample;
! //			this.historicalMarketValueProviderForTheBacktesterAccount =
! //				new HistoricalRawQuoteProvider();
  //			this.historicalQuoteProviderForTheBacktesterAccount =
  //				new HistoricalAdjustedQuoteProvider();
***************
*** 80,83 ****
--- 85,117 ----
  			//      IEquityEvaluator equityEvaluator = new SharpeRatio();
  		}
+ 		
+ 		#region getHistoricalBarProvider
+ 		
+ 		#region getBarCache
+ 		private DateTime[] getDailyTimes()
+ 		{
+ 			DateTime[] dailyTimes = {
+ 				new DateTime( 1900 , 1 , 1 , 10 , 0 , 0 ) ,
+ 				new DateTime( 1900 , 1 , 1 , 10 , 30 , 0 ) ,
+ 				new DateTime( 1900 , 1 , 1 , 11 , 0 , 0 )			
+ 			};
+ 			return dailyTimes;
+ 		}
+ 		private IBarCache getBarCache()
+ 		{
+ 			DateTime[] dailyTimes = this.getDailyTimes();
+ 			IBarCache barCache = new DailyBarCache( 60 , dailyTimes );
+ 			return barCache;
+ 		}
+ 		#endregion getBarCache
+ 		
+ 		private HistoricalBarProvider getHistoricalBarProvider()
+ 		{
+ 			IBarCache barCache = getBarCache();
+ 			HistoricalBarProvider historicalBarProvider =
+ 				new HistoricalBarProvider( barCache );
+ 			return historicalBarProvider;
+ 		}
+ 		#endregion getHistoricalBarProvider
  
  		protected override IEligiblesSelector getEligiblesSelector()
***************
*** 101,109 ****
  			eligiblesSelector =
  				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 				tickersGroupId ,
! 				true ,
! 				maxNumberOfEligiblesToBeChosen ,
! 				maxNumberOfEligiblesToBeChosen + 50 ,
! 				10 , 10 , 20 , 75 );
  
  
--- 135,143 ----
  			eligiblesSelector =
  				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 					tickersGroupId ,
! 					true ,
! 					maxNumberOfEligiblesToBeChosen ,
! 					maxNumberOfEligiblesToBeChosen + 50 ,
! 					10 , 10 , 20 , 75 );
  
  
***************
*** 137,148 ****
  			IInSampleChooser inSampleChooser =
  				new PairsTradingGeneticChooser(
! 				numberOfBestTestingPositionsToBeReturned ,
! 				this.benchmark ,
! 				decoderForWeightedPositions , fitnessEvaluator ,
! 				this.historicalMarketValueProviderForInSample ,
! 				crossoverRate , mutationRate , elitismRate ,
! 				populationSizeForGeneticOptimizer ,
! 				generationNumberForGeneticOptimizer ,
! 				seedForRandomGenerator );
  			
  			inSampleChooser =
--- 171,182 ----
  			IInSampleChooser inSampleChooser =
  				new PairsTradingGeneticChooser(
! 					numberOfBestTestingPositionsToBeReturned ,
! 					this.benchmark ,
! 					decoderForWeightedPositions , fitnessEvaluator ,
! 					this.historicalMarketValueProviderForInSample ,
! 					crossoverRate , mutationRate , elitismRate ,
! 					populationSizeForGeneticOptimizer ,
! 					generationNumberForGeneticOptimizer ,
! 					seedForRandomGenerator );
  			
  			inSampleChooser =
***************
*** 187,191 ****
  			OutOfSampleChooser outOfSampleChooser =
  				new OutOfSampleChooserForSingleLongAndShort(
! 				0.006 , 0.02 , 0.006 , 0.02 );
  //			outOfSampleChooser =
  //				new OutOfSampleChooserForExactNumberOfBestLongPositions(
--- 221,225 ----
  			OutOfSampleChooser outOfSampleChooser =
  				new OutOfSampleChooserForSingleLongAndShort(
! 					0.006 , 0.02 , 0.006 , 0.02 );
  //			outOfSampleChooser =
  //				new OutOfSampleChooserForExactNumberOfBestLongPositions(
***************
*** 194,203 ****
  			IStrategyForBacktester strategyForBacktester =
  				new PairsTradingStrategy(
! 				7 , inSampleDays ,
! 				intervalsSelectorForInSample , intervalsSelectorForOutOfSample ,
! 				eligiblesSelector , inSampleChooser ,
! 				this.historicalMarketValueProviderForInSample ,
! 				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 				outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
  //				new PairsTradingStrategy(
--- 228,237 ----
  			IStrategyForBacktester strategyForBacktester =
  				new PairsTradingStrategy(
! 					7 , inSampleDays ,
! 					intervalsSelectorForInSample , intervalsSelectorForOutOfSample ,
! 					eligiblesSelector , inSampleChooser ,
! 					this.historicalMarketValueProviderForInSample ,
! 					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 					outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
  //				new PairsTradingStrategy(
***************
*** 224,228 ****
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 						firstDateTime = new DateTime( 2006 , 8 , 1 );
  			DateTime lastDateTime = new DateTime( 2008 , 4 , 30 );
  
--- 258,262 ----
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			firstDateTime = new DateTime( 2006 , 8 , 1 );
  			DateTime lastDateTime = new DateTime( 2008 , 4 , 30 );
  
***************
*** 235,243 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.strategyForBacktester ,
! 				this.historicalMarketValueProviderForTheBacktesterAccount ,
! 				accountProvider ,
! 				firstDateTime ,	lastDateTime ,
! 				this.benchmark , cashToStart , maxRunningHours );
  			return endOfDayStrategyBackTester;
  		}
--- 269,277 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , this.strategyForBacktester ,
! 					this.historicalMarketValueProviderForTheBacktesterAccount ,
! 					accountProvider ,
! 					firstDateTime ,	lastDateTime ,
! 					this.benchmark , cashToStart , maxRunningHours );
  			return endOfDayStrategyBackTester;
  		}