[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging TesterForPairsTradingTestingPositions.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv14085/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

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

Index: TesterForPairsTradingTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/TesterForPairsTradingTestingPositions.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** TesterForPairsTradingTestingPositions.cs	29 Sep 2008 21:21:34 -0000	1.5
--- TesterForPairsTradingTestingPositions.cs	12 Nov 2008 20:44:38 -0000	1.6
***************
*** 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;
***************
*** 100,104 ****
  			SimpleStrategy simpleStrategy =
  				new SimpleStrategy( weightedPositions ,
! 				intervalsSelector , historicalMarketValueProvider );
  			IAccountProvider accountProvider =
  				new SimpleAccountProvider();
--- 100,104 ----
  			SimpleStrategy simpleStrategy =
  				new SimpleStrategy( weightedPositions ,
! 				                   intervalsSelector , historicalMarketValueProvider );
  			IAccountProvider accountProvider =
  				new SimpleAccountProvider();
***************
*** 106,110 ****
  			DateTime firstDateTime =
  				this.dateTimeWhenThisObjectWasLogged.AddDays(
! 				- this.numberOfInSampleDays );
  			DateTime lastDateTime =
  				this.dateTimeWhenThisObjectWasLogged;
--- 106,110 ----
  			DateTime firstDateTime =
  				this.dateTimeWhenThisObjectWasLogged.AddDays(
! 					- this.numberOfInSampleDays );
  			DateTime lastDateTime =
  				this.dateTimeWhenThisObjectWasLogged;
***************
*** 112,119 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				"SinglePosition" , simpleStrategy ,
! 				historicalMarketValueProvider , accountProvider ,
! 				firstDateTime , lastDateTime ,
! 				benchmark , cashToStart , maxRunningHours );
  
  //			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
--- 112,123 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					"SinglePosition" ,
! 					new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
! 						HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
! 						benchmark.Ticker ) ,
! 					simpleStrategy ,
! 					historicalMarketValueProvider , accountProvider ,
! 					firstDateTime , lastDateTime ,
! 					benchmark , cashToStart , maxRunningHours );
  
  //			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
***************
*** 161,165 ****
  			WeightedPositions weightedPositions =
  				this.testingPositions.WeightedPositions;
! 				
  			WeightedPositions firstPosition =
  				this.getWeightedPositions( weightedPositions[ 0 ] );
--- 165,169 ----
  			WeightedPositions weightedPositions =
  				this.testingPositions.WeightedPositions;
! 			
  			WeightedPositions firstPosition =
  				this.getWeightedPositions( weightedPositions[ 0 ] );
***************
*** 168,179 ****
  			AccountReport accountReportForFirstPosition =
  				this.getAccountReport( firstPosition , intervalsSelector ,
! 				historicalMarketValueProvider ,
! 				benchmark , 30000 );
  			AccountReport accountReportForSecondPosition =
  				this.getAccountReport( secondPosition , intervalsSelector ,
! 				historicalMarketValueProvider ,
! 				benchmark ,
! 				Math.Abs(	30000 * weightedPositions[ 1 ].Weight /
! 				weightedPositions[ 0 ].Weight ) );
  			
  			Report report =
--- 172,183 ----
  			AccountReport accountReportForFirstPosition =
  				this.getAccountReport( firstPosition , intervalsSelector ,
! 				                      historicalMarketValueProvider ,
! 				                      benchmark , 30000 );
  			AccountReport accountReportForSecondPosition =
  				this.getAccountReport( secondPosition , intervalsSelector ,
! 				                      historicalMarketValueProvider ,
! 				                      benchmark ,
! 				                      Math.Abs(	30000 * weightedPositions[ 1 ].Weight /
! 				                               weightedPositions[ 0 ].Weight ) );
  			
  			Report report =
***************
*** 185,194 ****
  //				accountReportForFirstPosition.EquityLine.LastDateTime ,
  //				EndOfDaySpecificTime.OneHourAfterMarketClose );
! 				
  			//			report.Create( "PearsonDebug" , 1 ,
  			//			              lastEndOfDayDateTimeForReport ,
  			//			              benchmark.Ticker , false );
  			report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
! 				Color.Brown );
  			report.ShowDialog();
  		}
--- 189,198 ----
  //				accountReportForFirstPosition.EquityLine.LastDateTime ,
  //				EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			
  			//			report.Create( "PearsonDebug" , 1 ,
  			//			              lastEndOfDayDateTimeForReport ,
  			//			              benchmark.Ticker , false );
  			report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
! 			                     Color.Brown );
  			report.ShowDialog();
  		}