[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.19, 1.20

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv14049/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
A new parameter of type Timer has been added to the EndOfDayStrategyBackTester

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** PairsTradingMain.cs	8 Nov 2008 20:36:36 -0000	1.19
--- PairsTradingMain.cs	12 Nov 2008 20:44:13 -0000	1.20
***************
*** 22,27 ****
--- 22,29 ----
  
  using System;
+ using System.Collections.Generic;
  
  using QuantProject.ADT;
+ using QuantProject.ADT.Timing;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting.AccountProviding;
***************
*** 89,104 ****
  		
  		#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;
--- 91,105 ----
  		
  		#region getBarCache
! 		private List< Time > getDailyTimes()
  		{
! 			List< Time > dailyTimes = new List< Time >();
! 			dailyTimes.Add( new Time( 13 , 0 , 0 ) );
! 			dailyTimes.Add( new Time( 14 , 0 , 0 ) );
! 			dailyTimes.Add( new Time( 15 , 0 , 0 ) );
  			return dailyTimes;
  		}
  		private IBarCache getBarCache()
  		{
! 			List< Time > dailyTimes = this.getDailyTimes();
  			IBarCache barCache = new DailyBarCache( 60 , dailyTimes );
  			return barCache;
***************
*** 121,125 ****
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! //			tickersGroupId = "fastTest";
  
  //			IEligiblesSelector eligiblesSelector =
--- 122,126 ----
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
  
  //			IEligiblesSelector eligiblesSelector =
***************
*** 152,156 ****
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! //			 numberOfBestTestingPositionsToBeReturned = 5;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
--- 153,157 ----
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! 			numberOfBestTestingPositionsToBeReturned = 5;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
***************
*** 202,206 ****
  			// uncomment the following line for a faster script
  //			inSampleDays = 5;
! //			 inSampleDays = 60;
  			
  			IIntervalsSelector intervalsSelectorForOutOfSample =
--- 203,207 ----
  			// uncomment the following line for a faster script
  //			inSampleDays = 5;
! 			inSampleDays = 60;
  			
  			IIntervalsSelector intervalsSelectorForOutOfSample =
***************
*** 250,253 ****
--- 251,266 ----
  			return strategyForBacktester;
  		}
+ 		
+ 		#region getEndOfDayStrategyBackTester
+ 		private Timer getTimer(
+ 			DateTime firstDateTime , DateTime lastDateTime)
+ 		{
+ 			List< Time > dailyTimes = this.getDailyTimes();
+ 			IndexBasedHistoricalTimer indexBasedTimer =
+ 				new IndexBasedHistoricalTimer(
+ 					this.benchmark.Ticker ,
+ 					firstDateTime , lastDateTime , dailyTimes );
+ 			return indexBasedTimer;
+ 		}
  		protected override EndOfDayStrategyBackTester
  			getEndOfDayStrategyBackTester()
***************
*** 262,266 ****
  
  			// uncomment the following two lines for a faster script
! 			firstDateTime = new DateTime( 2002 , 1 , 1 );
  			lastDateTime = new DateTime( 2007 , 6 , 30 );
  
--- 275,279 ----
  
  			// uncomment the following two lines for a faster script
! 			firstDateTime = new DateTime( 2006 , 2 , 1 );
  			lastDateTime = new DateTime( 2007 , 6 , 30 );
  
***************
*** 269,273 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , this.strategyForBacktester ,
  					this.historicalMarketValueProviderForTheBacktesterAccount ,
  					accountProvider ,
--- 282,288 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId ,
! 					this.getTimer( firstDateTime , lastDateTime ) ,
! 					this.strategyForBacktester ,
  					this.historicalMarketValueProviderForTheBacktesterAccount ,
  					accountProvider ,
***************
*** 276,279 ****
--- 291,295 ----
  			return endOfDayStrategyBackTester;
  		}
+ 		#endregion getEndOfDayStrategyBackTester
  
  		protected override string getPathForTheMainFolderWhereScriptsResultsAreToBeSaved()