[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.20, 1.21

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20768/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
Added code to use the new intraday strategy PairsTradingIntradayStrategy

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** PairsTradingMain.cs	12 Nov 2008 20:44:13 -0000	1.20
--- PairsTradingMain.cs	17 Nov 2008 19:49:02 -0000	1.21
***************
*** 153,157 ****
  			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 =
***************
*** 235,252 ****
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					outOfSampleChooser );
! //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
! //				new PairsTradingStrategy(
! //				7 , inSampleDays , intervalsSelector ,
! //				eligiblesSelector , inSampleChooser ,
! //				this.historicalQuoteProviderForInSample ,
! //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! //				0.006 , 0.99 , 0.006 , 0.99 );
! //			endOfDayStrategyForBacktester =
! //				new LongOnlyPairsTradingStrategy(
! //				7 , inSampleDays , intervalsSelector ,
! //				eligiblesSelector , inSampleChooser ,
! //				this.historicalQuoteProviderForInSample ,
! //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! //				0.006 , 0.02 , 0.006 , 0.02 );
  			return strategyForBacktester;
  		}
--- 235,250 ----
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					outOfSampleChooser );
! 			
! 			strategyForBacktester =
! 				new PairsTradingIntradayStrategy(
! 					7 , inSampleDays ,
! 					intervalsSelectorForInSample ,
! 					new Time( 13 , 0 , 0 ) ,
! 					new Time( 14 , 0 , 0 ) ,
! 					new Time( 15 , 0 , 0 ) ,
! 					eligiblesSelector , inSampleChooser ,
! 					this.historicalMarketValueProviderForInSample ,
! 					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 					outOfSampleChooser );
  			return strategyForBacktester;
  		}
***************
*** 260,264 ****
  				new IndexBasedHistoricalTimer(
  					this.benchmark.Ticker ,
! 					firstDateTime , lastDateTime , dailyTimes );
  			return indexBasedTimer;
  		}
--- 258,262 ----
  				new IndexBasedHistoricalTimer(
  					this.benchmark.Ticker ,
! 					firstDateTime , lastDateTime , dailyTimes , 60 );
  			return indexBasedTimer;
  		}
***************
*** 276,280 ****
  			// uncomment the following two lines for a faster script
  			firstDateTime = new DateTime( 2006 , 2 , 1 );
! 			lastDateTime = new DateTime( 2007 , 6 , 30 );
  
  			double maxRunningHours = 0.05;
--- 274,278 ----
  			// uncomment the following two lines for a faster script
  			firstDateTime = new DateTime( 2006 , 2 , 1 );
! 			lastDateTime = new DateTime( 2006 , 2 , 28 );
  
  			double maxRunningHours = 0.05;