[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooser.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20901/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooser.cs 
Log Message:
- changed to handler intraday strategy
- outOfSampleReturnIntervals are not used anymore
- now, the inefficiency is tested between two intraday DateTime(s)

Index: OutOfSampleChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooser.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** OutOfSampleChooser.cs	29 Sep 2008 21:19:47 -0000	1.2
--- OutOfSampleChooser.cs	17 Nov 2008 19:51:04 -0000	1.3
***************
*** 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;
***************
*** 72,75 ****
--- 72,87 ----
  
  		#region GetPositionsToBeOpened
+ 		
+ 		private void checkParameters(
+ 			DateTime firstDateTimeToTestInefficiency ,
+ 			DateTime lastDateTimeToTestInefficiency )
+ 		{
+ 			if ( firstDateTimeToTestInefficiency >= lastDateTimeToTestInefficiency )
+ 				throw new Exception(
+ 					"The first date time to test inefficiency must be strictly before " +
+ 					"the last date time to test inefficiency." );
+ 		}
+ 		
+ 		#region getPositionsToBeOpened_actually
  
  		#region getInefficientCouples
***************
*** 78,82 ****
  		private DateTime
  			getIntervalBeginForLastSecondPhaseInterval(
! 			ReturnIntervals outOfSampleReturnIntervals )
  		{
  			// this method will be invoked only if (this.returnIntervals.Count >= 2)
--- 90,94 ----
  		private DateTime
  			getIntervalBeginForLastSecondPhaseInterval(
! 				ReturnIntervals outOfSampleReturnIntervals )
  		{
  			// this method will be invoked only if (this.returnIntervals.Count >= 2)
***************
*** 89,93 ****
  		private DateTime
  			getIntervalEndForLastSecondPhaseInterval(
! 			ReturnIntervals outOfSampleReturnIntervals )
  		{
  			return outOfSampleReturnIntervals.LastInterval.Begin;
--- 101,105 ----
  		private DateTime
  			getIntervalEndForLastSecondPhaseInterval(
! 				ReturnIntervals outOfSampleReturnIntervals )
  		{
  			return outOfSampleReturnIntervals.LastInterval.Begin;
***************
*** 95,117 ****
  		private ReturnInterval
  			getReturnIntervalForLastSecondPhaseInterval(
! 			ReturnIntervals outOfSampleReturnIntervals )
  		{
! 			DateTime intervalBegin =
! 				this.getIntervalBeginForLastSecondPhaseInterval(
! 				outOfSampleReturnIntervals );
! 			DateTime intervalEnd =
! 				this.getIntervalEndForLastSecondPhaseInterval(
! 				outOfSampleReturnIntervals );
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
! 				new ReturnInterval( intervalBegin , intervalEnd );
  			return returnIntervalForLastSecondPhaseInterval;
  		}
  		private ReturnIntervals
  			getReturnIntervalsForLastSecondPhaseInterval(
! 			ReturnIntervals outOfSampleReturnIntervals )
  		{
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
  				this.getReturnIntervalForLastSecondPhaseInterval(
! 				outOfSampleReturnIntervals );
  			ReturnIntervals returnIntervalsForLastSecondPhaseInterval =
  				new ReturnIntervals( returnIntervalForLastSecondPhaseInterval );
--- 107,139 ----
  		private ReturnInterval
  			getReturnIntervalForLastSecondPhaseInterval(
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency
! //				ReturnIntervals outOfSampleReturnIntervals
! 			)
  		{
! //			DateTime intervalBegin =
! //				this.getIntervalBeginForLastSecondPhaseInterval(
! //					outOfSampleReturnIntervals );
! //			DateTime intervalEnd =
! //				this.getIntervalEndForLastSecondPhaseInterval(
! //					outOfSampleReturnIntervals );
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
! 				new ReturnInterval(
! 					firstDateTimeToTestInefficiency , lastDateTimeToTestInefficiency );
  			return returnIntervalForLastSecondPhaseInterval;
  		}
  		private ReturnIntervals
  			getReturnIntervalsForLastSecondPhaseInterval(
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency
! //				ReturnIntervals outOfSampleReturnIntervals
! 			)
  		{
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
  				this.getReturnIntervalForLastSecondPhaseInterval(
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency
! //					outOfSampleReturnIntervals
! 				);
  			ReturnIntervals returnIntervalsForLastSecondPhaseInterval =
  				new ReturnIntervals( returnIntervalForLastSecondPhaseInterval );
***************
*** 119,123 ****
  		}
  		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
! 			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
--- 141,147 ----
  		}
  		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
! 			DateTime firstDateTimeToTestInefficiency ,
! 			DateTime lastDateTimeToTestInefficiency ,
! //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
***************
*** 125,138 ****
  			ReturnIntervals returnIntervals =
  				this.getReturnIntervalsForLastSecondPhaseInterval(
! 				outOfSampleReturnIntervals );
! 			//			ReturnsManager returnsManager =
! 			//				new ReturnsManager( returnIntervals ,
! 			//				this.historicalAdjustedQuoteProvider );
  			ReturnsManager returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return returnsManager;
  		}
  		#endregion getReturnsManagerForLastSecondPhaseInterval
  		private double getReturnForTheLastSecondPhaseInterval(
  			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
--- 149,163 ----
  			ReturnIntervals returnIntervals =
  				this.getReturnIntervalsForLastSecondPhaseInterval(
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency
! //					outOfSampleReturnIntervals
! 				);
  			ReturnsManager returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				                   historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return returnsManager;
  		}
  		#endregion getReturnsManagerForLastSecondPhaseInterval
+ 		
  		private double getReturnForTheLastSecondPhaseInterval(
  			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
***************
*** 143,147 ****
  			double returnForTheLastSecondPhaseInterval =
  				weightedPositions.GetReturn( 0 ,
! 				returnsManagerForLastSecondPhaseInterval );
  			return returnForTheLastSecondPhaseInterval;
  		}
--- 168,172 ----
  			double returnForTheLastSecondPhaseInterval =
  				weightedPositions.GetReturn( 0 ,
! 				                            returnsManagerForLastSecondPhaseInterval );
  			return returnForTheLastSecondPhaseInterval;
  		}
***************
*** 171,176 ****
  		private WeightedPositions
  			getPositionsIfInefficiencyIsInTheRange(
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 			WeightedPositions currentWeightedPositions )
  		{
  			WeightedPositions weightedPositionsToBeOpened = null;
--- 196,201 ----
  		private WeightedPositions
  			getPositionsIfInefficiencyIsInTheRange(
! 				ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 				WeightedPositions currentWeightedPositions )
  		{
  			WeightedPositions weightedPositionsToBeOpened = null;
***************
*** 179,195 ****
  				double returnForTheLastSecondPhaseInterval =
  					this.getReturnForTheLastSecondPhaseInterval(
! 					returnsManagerForLastSecondPhaseInterval ,
! 					currentWeightedPositions );
  				if ( ( returnForTheLastSecondPhaseInterval >=
! 					this.minThresholdForGoingLong ) &&
! 					( returnForTheLastSecondPhaseInterval <=
! 					this.maxThresholdForGoingLong ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going short
  					weightedPositionsToBeOpened = currentWeightedPositions.Opposite;
  				if ( ( -returnForTheLastSecondPhaseInterval >=
! 					this.minThresholdForGoingShort ) &&
! 					( -returnForTheLastSecondPhaseInterval <=
! 					this.maxThresholdForGoingShort ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going long
--- 204,220 ----
  				double returnForTheLastSecondPhaseInterval =
  					this.getReturnForTheLastSecondPhaseInterval(
! 						returnsManagerForLastSecondPhaseInterval ,
! 						currentWeightedPositions );
  				if ( ( returnForTheLastSecondPhaseInterval >=
! 				      this.minThresholdForGoingLong ) &&
! 				    ( returnForTheLastSecondPhaseInterval <=
! 				     this.maxThresholdForGoingLong ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going short
  					weightedPositionsToBeOpened = currentWeightedPositions.Opposite;
  				if ( ( -returnForTheLastSecondPhaseInterval >=
! 				      this.minThresholdForGoingShort ) &&
! 				    ( -returnForTheLastSecondPhaseInterval <=
! 				     this.maxThresholdForGoingShort ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going long
***************
*** 204,211 ****
  		private void
  			addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
! 			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 			int currentTestingPositionsIndex ,
! 			ArrayList inefficientCouples )
  		{
  			WeightedPositions currentWeightedPositions =
--- 229,236 ----
  		private void
  			addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
! 				TestingPositions[] bestTestingPositionsInSample ,
! 				ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 				int currentTestingPositionsIndex ,
! 				ArrayList inefficientCouples )
  		{
  			WeightedPositions currentWeightedPositions =
***************
*** 215,219 ****
  			WeightedPositions weightedPositionsThatMightBeOpended =
  				this.getPositionsIfInefficiencyIsInTheRange(
! 				returnsManagerForLastSecondPhaseInterval , candidateForPortfolio );
  			if ( weightedPositionsThatMightBeOpended != null )
  				// the current couple has not an inefficiency that's in the range
--- 240,244 ----
  			WeightedPositions weightedPositionsThatMightBeOpended =
  				this.getPositionsIfInefficiencyIsInTheRange(
! 					returnsManagerForLastSecondPhaseInterval , candidateForPortfolio );
  			if ( weightedPositionsThatMightBeOpended != null )
  				// the current couple has not an inefficiency that's in the range
***************
*** 226,231 ****
  			ArrayList inefficientCouples = new ArrayList();
  			for ( int currentTestingPositionsIndex = 0 ;
! 				currentTestingPositionsIndex < bestTestingPositionsInSample.Length ;
! 				currentTestingPositionsIndex++ )
  				this.addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
  					bestTestingPositionsInSample ,
--- 251,256 ----
  			ArrayList inefficientCouples = new ArrayList();
  			for ( int currentTestingPositionsIndex = 0 ;
! 			     currentTestingPositionsIndex < bestTestingPositionsInSample.Length ;
! 			     currentTestingPositionsIndex++ )
  				this.addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
  					bestTestingPositionsInSample ,
***************
*** 233,266 ****
  					currentTestingPositionsIndex ,
  					inefficientCouples );
- //			
- //			while ( ( weightedPositionsToBeOpended == null )
- //				&& ( currentTestingPositionsIndex < bestTestingPositionsInSample.Length ) )
- //			{
- //				weightedPositionsToBeOpended =
- //					this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions(
- //					bestTestingPositionsInSample ,
- //					returnsManagerForLastSecondPhaseInterval ,
- //					currentTestingPositionsIndex );
- //				currentTestingPositionsIndex++;
- //			}
- //			return weightedPositionsToBeOpended;
  			return inefficientCouples;
  		}
  		private ArrayList
  			getArrayListOfInefficientCouples(
! 			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ReturnsManager returnsManagerForLastSecondPhaseInterval =
  				this.getReturnsManagerForLastSecondPhaseInterval(
! 				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			ArrayList inefficientCouples =
  				this.getInefficientCouples( bestTestingPositionsInSample ,
! 				returnsManagerForLastSecondPhaseInterval );
  			return inefficientCouples;
  		}
  		#region getInefficientCouplesFromArrayList
  		private WeightedPositions[] getInefficientCouplesFromArrayList_actually(
--- 258,284 ----
  					currentTestingPositionsIndex ,
  					inefficientCouples );
  			return inefficientCouples;
  		}
  		private ArrayList
  			getArrayListOfInefficientCouples(
! 				TestingPositions[] bestTestingPositionsInSample ,
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency ,
! //				ReturnIntervals outOfSampleReturnIntervals ,
! 				HistoricalMarketValueProvider
! 				historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ReturnsManager returnsManagerForLastSecondPhaseInterval =
  				this.getReturnsManagerForLastSecondPhaseInterval(
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! //					outOfSampleReturnIntervals ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			ArrayList inefficientCouples =
  				this.getInefficientCouples( bestTestingPositionsInSample ,
! 				                           returnsManagerForLastSecondPhaseInterval );
  			return inefficientCouples;
  		}
+ 		
  		#region getInefficientCouplesFromArrayList
  		private WeightedPositions[] getInefficientCouplesFromArrayList_actually(
***************
*** 282,339 ****
  				inefficientCouples =
  					this.getInefficientCouplesFromArrayList_actually(
! 					arrayListOfInefficientCouples );
  			return inefficientCouples;
  		}
  		#endregion getInefficientCouplesFromArrayList
  		private WeightedPositions[]
  			getInefficientCouples_withAtLeastASecondPhaseInterval(
! 			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ArrayList arrayListOfInefficientCouples =
  				this.getArrayListOfInefficientCouples(
! 				bestTestingPositionsInSample ,
! 				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			WeightedPositions[] inefficientCouples =
  				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
  			return inefficientCouples;
  		}
- //		private WeightedPositions
- //			getInfefficientCouples_withAtLeastASecondPhaseInterval(
- //			TestingPositions[] bestTestingPositionsInSample ,
- //			ReturnIntervals outOfSampleReturnIntervals ,
- //			IHistoricalQuoteProvider
- //			historicalQuoteProviderForChosingPositionsOutOfSample )
- //		{
- //			WeightedPositions weightedPositions =
- //				this.getPositionsToBeOpened_withAtLeastASecondPhaseInterval_actually(
- //				bestTestingPositionsInSample ,
- //				outOfSampleReturnIntervals ,
- //				historicalQuoteProviderForChosingPositionsOutOfSample );
- ////			WeightedPositions weightedPositionsToBeReturned = null;
- ////			if ( weightedPositions != null )
- ////				// at least one of the BestTestingPositions shows an inefficiency
- ////				// above the threshold
- ////				weightedPositionsToBeReturned =
- ////					selectWeightedPositions( weightedPositions );
- ////			return weightedPositionsToBeReturned;
- //			return weightedPositions;
- //		}
  		private WeightedPositions[] getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			WeightedPositions[] inefficientCouples = null;
! 			if ( outOfSampleReturnIntervals.Count >= 2 )
! 				// at least a second phase interval exists
! 				inefficientCouples =
! 					this.getInefficientCouples_withAtLeastASecondPhaseInterval(
  					bestTestingPositionsInSample ,
! 					outOfSampleReturnIntervals ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;
--- 300,345 ----
  				inefficientCouples =
  					this.getInefficientCouplesFromArrayList_actually(
! 						arrayListOfInefficientCouples );
  			return inefficientCouples;
  		}
  		#endregion getInefficientCouplesFromArrayList
+ 		
  		private WeightedPositions[]
  			getInefficientCouples_withAtLeastASecondPhaseInterval(
! 				TestingPositions[] bestTestingPositionsInSample ,
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency ,
! //				ReturnIntervals outOfSampleReturnIntervals ,
! 				HistoricalMarketValueProvider
! 				historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ArrayList arrayListOfInefficientCouples =
  				this.getArrayListOfInefficientCouples(
! 					bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! //					outOfSampleReturnIntervals ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			WeightedPositions[] inefficientCouples =
  				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
  			return inefficientCouples;
  		}
  		private WeightedPositions[] getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime firstDateTimeToTestInefficiency ,
! 			DateTime lastDateTimeToTestInefficiency ,
! //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			WeightedPositions[] inefficientCouples = null;
! //			if ( outOfSampleReturnIntervals.Count >= 2 )
! //				// at least a second phase interval exists
! 			inefficientCouples =
! 				this.getInefficientCouples_withAtLeastASecondPhaseInterval(
  					bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! //						outOfSampleReturnIntervals ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;
***************
*** 341,344 ****
--- 347,377 ----
  		}
  		#endregion getInefficientCouples
+ 		
+ 		private WeightedPositions getPositionsToBeOpened_actually(
+ 			TestingPositions[] bestTestingPositionsInSample ,
+ 			DateTime firstDateTimeToTestInefficiency ,
+ 			DateTime lastDateTimeToTestInefficiency ,
+ //			ReturnIntervals outOfSampleReturnIntervals ,
+ 			HistoricalMarketValueProvider
+ 			historicalMarketValueProviderForChosingPositionsOutOfSample ,
+ 			ReturnsManager inSampleReturnsManager )
+ 		{
+ 			WeightedPositions positionsToBeOpened = null;
+ 			WeightedPositions[] inefficientCouples =
+ 				this.getInefficientCouples(
+ 					bestTestingPositionsInSample ,
+ 					firstDateTimeToTestInefficiency ,
+ 					lastDateTimeToTestInefficiency ,
+ //					outOfSampleReturnIntervals ,
+ 					historicalMarketValueProviderForChosingPositionsOutOfSample );
+ 			if ( inefficientCouples != null )
+ 				// at least an inefficient couple has been found
+ 				positionsToBeOpened =
+ 					this.getPositionsToBeOpened( inefficientCouples ,
+ 					                            inSampleReturnsManager );
+ 			return positionsToBeOpened;
+ 		}		
+ 		#endregion getPositionsToBeOpened_actually
+ 		
  		/// <summary>
  		/// Selects the WeghtedPositions to actually be opened
***************
*** 346,351 ****
  		/// <param name="bestTestingPositionsInSample">most correlated couples,
  		/// in sample</param>
- 		/// <param name="outOfSampleReturnIntervals">return intervals for
- 		/// the current backtest</param>
  		/// <param name="minThreshold">min requested inefficiency</param>
  		/// <param name="maxThreshold">max allowed inefficiency</param>
--- 379,382 ----
***************
*** 354,372 ****
  		public virtual WeightedPositions GetPositionsToBeOpened(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample ,
  			ReturnsManager inSampleReturnsManager )
  		{
! 			WeightedPositions positionsToBeOpened = null;
! 			WeightedPositions[] inefficientCouples =
! 				this.getInefficientCouples(
! 				bestTestingPositionsInSample ,
! 				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
! 			if ( inefficientCouples != null )
! 				// at least an inefficient couple has been found
! 				positionsToBeOpened =
! 					this.getPositionsToBeOpened( inefficientCouples ,
  					inSampleReturnsManager );
  			return positionsToBeOpened;
--- 385,403 ----
  		public virtual WeightedPositions GetPositionsToBeOpened(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime firstDateTimeToTestInefficiency ,
! 			DateTime lastDateTimeToTestInefficiency ,
! //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample ,
  			ReturnsManager inSampleReturnsManager )
  		{
! 			this.checkParameters(
! 				firstDateTimeToTestInefficiency , lastDateTimeToTestInefficiency );
! 			WeightedPositions positionsToBeOpened =
! 				this.getPositionsToBeOpened_actually(
! 					bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					inSampleReturnsManager );
  			return positionsToBeOpened;
***************
*** 382,387 ****
  			if ( inefficientCouple.Count != 2 )
  				throw new Exception( "The method getLongPositionTickers() expects " +
! 					"an array of WeightedPositions, each of wich contains exactly " +
! 					"two positions!" );
  		}
  		private void addPositionIfLong(
--- 413,418 ----
  			if ( inefficientCouple.Count != 2 )
  				throw new Exception( "The method getLongPositionTickers() expects " +
! 				                    "an array of WeightedPositions, each of wich contains exactly " +
! 				                    "two positions!" );
  		}
  		private void addPositionIfLong(
***************
*** 391,396 ****
  		{
  			if ( ( weightedPosition.IsLong ) &&
! 				( !alreadyAddedLongPositionTickers.Contains(
! 				weightedPosition.Ticker ) ) )
  				// the given weightedPosition is long and its ticker has not
  				// yet been added to the set of tickers for long positions
--- 422,427 ----
  		{
  			if ( ( weightedPosition.IsLong ) &&
! 			    ( !alreadyAddedLongPositionTickers.Contains(
! 			    	weightedPosition.Ticker ) ) )
  				// the given weightedPosition is long and its ticker has not
  				// yet been added to the set of tickers for long positions
***************
*** 407,415 ****
  			this.checkParameters_forCurrentCouple( inefficientCouple );
  			this.addPositionIfLong( inefficientCouple[ 0 ] ,
! 				alreadyAddedLongPositionTickers ,
! 				arrayListOfLongPositionTickers );
  			this.addPositionIfLong( inefficientCouple[ 1 ] ,
! 				alreadyAddedLongPositionTickers ,
! 				arrayListOfLongPositionTickers );
  		}
  		private ArrayList getArrayListOfLongPositionTickers(
--- 438,446 ----
  			this.checkParameters_forCurrentCouple( inefficientCouple );
  			this.addPositionIfLong( inefficientCouple[ 0 ] ,
! 			                       alreadyAddedLongPositionTickers ,
! 			                       arrayListOfLongPositionTickers );
  			this.addPositionIfLong( inefficientCouple[ 1 ] ,
! 			                       alreadyAddedLongPositionTickers ,
! 			                       arrayListOfLongPositionTickers );
  		}
  		private ArrayList getArrayListOfLongPositionTickers(
***************
*** 420,425 ****
  			foreach( WeightedPositions weightedPositions in inefficientCouples )
  				this.addLongPositions( weightedPositions ,
! 					alreadyAddedLongPositionTickers ,
! 					arrayListOfLongPositionTickers );
  			return arrayListOfLongPositionTickers;
  		}
--- 451,456 ----
  			foreach( WeightedPositions weightedPositions in inefficientCouples )
  				this.addLongPositions( weightedPositions ,
! 				                      alreadyAddedLongPositionTickers ,
! 				                      arrayListOfLongPositionTickers );
  			return arrayListOfLongPositionTickers;
  		}