[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooser.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv9714/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooser.cs 
Log Message:
regions have been added to make the code more readable

Index: OutOfSampleChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooser.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** OutOfSampleChooser.cs	17 Nov 2008 19:51:04 -0000	1.3
--- OutOfSampleChooser.cs	18 Nov 2008 23:03:15 -0000	1.4
***************
*** 86,108 ****
  
  		#region getInefficientCouples
  
  		#region getReturnsManagerForLastSecondPhaseInterval
! 		private DateTime
! 			getIntervalBeginForLastSecondPhaseInterval(
! 				ReturnIntervals outOfSampleReturnIntervals )
! 		{
! 			// this method will be invoked only if (this.returnIntervals.Count >= 2)
! 			int secondLastIntervalIndex =
! 				outOfSampleReturnIntervals.Count - 2;
! 			ReturnInterval secondLastInterval =
! 				outOfSampleReturnIntervals[ secondLastIntervalIndex ];
! 			return secondLastInterval.End;
! 		}
! 		private DateTime
! 			getIntervalEndForLastSecondPhaseInterval(
! 				ReturnIntervals outOfSampleReturnIntervals )
! 		{
! 			return outOfSampleReturnIntervals.LastInterval.Begin;
! 		}
  		private ReturnInterval
  			getReturnIntervalForLastSecondPhaseInterval(
--- 86,112 ----
  
  		#region getInefficientCouples
+ 		
+ 		#region getArrayListOfInefficientCouples
  
  		#region getReturnsManagerForLastSecondPhaseInterval
! //		private DateTime
! //			getIntervalBeginForLastSecondPhaseInterval(
! //				ReturnIntervals outOfSampleReturnIntervals )
! //		{
! //			// this method will be invoked only if (this.returnIntervals.Count >= 2)
! //			int secondLastIntervalIndex =
! //				outOfSampleReturnIntervals.Count - 2;
! //			ReturnInterval secondLastInterval =
! //				outOfSampleReturnIntervals[ secondLastIntervalIndex ];
! //			return secondLastInterval.End;
! //		}
! //		private DateTime
! //			getIntervalEndForLastSecondPhaseInterval(
! //				ReturnIntervals outOfSampleReturnIntervals )
! //		{
! //			return outOfSampleReturnIntervals.LastInterval.Begin;
! //		}
! 		
! 		#region getReturnIntervalsForLastSecondPhaseInterval
  		private ReturnInterval
  			getReturnIntervalForLastSecondPhaseInterval(
***************
*** 140,143 ****
--- 144,149 ----
  			return returnIntervalsForLastSecondPhaseInterval;
  		}
+ 		#endregion getReturnIntervalsForLastSecondPhaseInterval
+ 		
  		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
  			DateTime firstDateTimeToTestInefficiency ,
***************
*** 159,175 ****
  		}
  		#endregion getReturnsManagerForLastSecondPhaseInterval
! 		
! 		private double getReturnForTheLastSecondPhaseInterval(
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 			WeightedPositions weightedPositions )
! 		{
! 			// returnsManager should contain a single ReturnInterval, and
! 			// this ReturnInterval should be the last second phase interval
! 			double returnForTheLastSecondPhaseInterval =
! 				weightedPositions.GetReturn( 0 ,
! 				                            returnsManagerForLastSecondPhaseInterval );
! 			return returnForTheLastSecondPhaseInterval;
! 		}
  
  		/// <summary>
  		/// Inverts one of the two positions
--- 165,172 ----
  		}
  		#endregion getReturnsManagerForLastSecondPhaseInterval
! 				
! 		#region getInefficientCouples
  
+ 		#region addPositionsIfInefficiencyForCurrentCoupleIsInTheRange
  		/// <summary>
  		/// Inverts one of the two positions
***************
*** 190,193 ****
--- 187,203 ----
  			return candidateForPortfolio;
  		}
+ 		
+ 		#region getPositionsIfInefficiencyIsInTheRange
+ 		private double getReturnForTheLastSecondPhaseInterval(
+ 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
+ 			WeightedPositions weightedPositions )
+ 		{
+ 			// returnsManager should contain a single ReturnInterval, and
+ 			// this ReturnInterval should be the last second phase interval
+ 			double returnForTheLastSecondPhaseInterval =
+ 				weightedPositions.GetReturn( 0 ,
+ 				                            returnsManagerForLastSecondPhaseInterval );
+ 			return returnForTheLastSecondPhaseInterval;
+ 		}
  		// if the currentWeightedPositions' return satisfies the thresholds
  		// then this method returns the WeightedPositions that might be opened.
***************
*** 227,230 ****
--- 237,242 ----
  			return weightedPositionsToBeOpened;
  		}
+ 		#endregion getPositionsIfInefficiencyIsInTheRange
+ 		
  		private void
  			addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
***************
*** 245,248 ****
--- 257,262 ----
  				inefficientCouples.Add( weightedPositionsThatMightBeOpended );
  		}
+ 		#endregion addPositionsIfInefficiencyForCurrentCoupleIsInTheRange
+ 		
  		protected ArrayList getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
***************
*** 260,263 ****
--- 274,279 ----
  			return inefficientCouples;
  		}
+ 		#endregion getInefficientCouples
+ 		
  		private ArrayList
  			getArrayListOfInefficientCouples(
***************
*** 280,283 ****
--- 296,300 ----
  			return inefficientCouples;
  		}
+ 		#endregion getArrayListOfInefficientCouples
  		
  		#region getInefficientCouplesFromArrayList
***************
*** 371,375 ****
  					                            inSampleReturnsManager );
  			return positionsToBeOpened;
! 		}		
  		#endregion getPositionsToBeOpened_actually
  		
--- 388,392 ----
  					                            inSampleReturnsManager );
  			return positionsToBeOpened;
! 		}
  		#endregion getPositionsToBeOpened_actually