[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies PairsTradingStrategy.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv21278/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies

Modified Files:
	PairsTradingStrategy.cs 
Log Message:
- changed to work with the new OutOfSampleChooser
- this.returnIntervals is not used anymore
- now, the inefficiency is tested between two DateTime(s)

Index: PairsTradingStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingStrategy.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PairsTradingStrategy.cs	29 Sep 2008 21:21:35 -0000	1.5
--- PairsTradingStrategy.cs	17 Nov 2008 19:53:58 -0000	1.6
***************
*** 109,122 ****
  		}
  
! 		protected override WeightedPositions getPositionsToBeOpened()
  		{
! 			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  				this.bestTestingPositionsInSample ,
! 				this.returnIntervals ,
  				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  				this.inSampleReturnsManager );
! 			return weightedPositions;
  		}
  		
  		protected override LogItem getLogItem( EligibleTickers eligibleTickers )
--- 109,177 ----
  		}
  
! 		#region getPositionsToBeOpened
! 		
! 		#region getPositionsToBeOpened_withAtLeastASecondPhaseInterval
! 		
! 		#region getFirstDateTimeToTestInefficiency
! 		private DateTime
! 			getIntervalBeginForLastSecondPhaseInterval()
  		{
! 			// this method will be invoked only if (this.returnIntervals.Count >= 2)
! 			int secondLastIntervalIndex =
! 				this.returnIntervals.Count - 2;
! 			ReturnInterval secondLastInterval =
! 				this.returnIntervals[ secondLastIntervalIndex ];
! 			return secondLastInterval.End;
! 		}
! 		private DateTime getFirstDateTimeToTestInefficiency()
! 		{
! 			DateTime firstDateTimeToTestInefficiency =
! 				this.getIntervalBeginForLastSecondPhaseInterval();
! 			return firstDateTimeToTestInefficiency;
! 		}
! 		#endregion getFirstDateTimeToTestInefficiency
! 		
! 		#region getLastDateTimeToTestInefficiency
! 		private DateTime
! 			getIntervalEndForLastSecondPhaseInterval()
! 		{
! 			return this.returnIntervals.LastInterval.Begin;
! 		}
! 		private DateTime getLastDateTimeToTestInefficiency()
! 		{
! 			DateTime lastDateTimeToTestInefficiency =
! 				this.getIntervalEndForLastSecondPhaseInterval();
! 			return lastDateTimeToTestInefficiency;
! 		}
! 		#endregion getLastDateTimeToTestInefficiency
! 		
! 		private WeightedPositions getPositionsToBeOpened_withAtLeastASecondPhaseInterval()
! 		{
! 			DateTime firstDateTimeToTestInefficiency =
! 				this.getFirstDateTimeToTestInefficiency();
! 			DateTime lastDateTimeToTestInefficiency =
! 				this.getLastDateTimeToTestInefficiency();
! 			WeightedPositions positionsToBeOpened =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  				this.bestTestingPositionsInSample ,
! 				firstDateTimeToTestInefficiency ,
! 				lastDateTimeToTestInefficiency ,
! //				this.returnIntervals ,
  				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  				this.inSampleReturnsManager );
! 			return positionsToBeOpened;
  		}
+ 		#endregion getPositionsToBeOpened_withAtLeastASecondPhaseInterval
+ 		
+ 		protected override WeightedPositions getPositionsToBeOpened()
+ 		{
+ 			WeightedPositions positionsToBeOpened = null;
+ 			if ( this.returnIntervals.Count >= 2 )
+ //				// at least a second phase interval exists
+ 				positionsToBeOpened =
+ 					this.getPositionsToBeOpened_withAtLeastASecondPhaseInterval();
+ 			return positionsToBeOpened;
+ 		}
+ 		#endregion getPositionsToBeOpened
  		
  		protected override LogItem getLogItem( EligibleTickers eligibleTickers )