[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.23, 1.24

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv14483/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
code duplication is now avoided, by using three private members:
private Time firstTimeToTestInefficiency;
private Time lastTimeToTestInefficiency;
private Time timeToClosePositions;

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.23
retrieving revision 1.24
diff -C2 -d -r1.23 -r1.24
*** PairsTradingMain.cs	24 Nov 2008 21:04:33 -0000	1.23
--- PairsTradingMain.cs	10 Dec 2008 19:40:56 -0000	1.24
***************
*** 57,60 ****
--- 57,63 ----
  		private Benchmark benchmark;
  		private HistoricalMarketValueProvider historicalMarketValueProviderForInSample;
+ 		private Time firstTimeToTestInefficiency;
+ 		private Time lastTimeToTestInefficiency;
+ 		private Time timeToClosePositions;
  		private HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample;
***************
*** 85,89 ****
  
  			// definition for the Fitness Evaluator
! 			//      IEquityEvaluator equityEvaluator = new SharpeRatio();
  		}
  		
--- 88,99 ----
  
  			// definition for the Fitness Evaluator
! 			//      IEquityEvaluator equityEvaluator = new SharpeRatio();	
! 		}
! 		
! 		protected override void doThisBeforeAnythingElse()
! 		{
! 			this.firstTimeToTestInefficiency = new Time( 10 , 0 , 0 );
! 			this.lastTimeToTestInefficiency = new Time( 14 , 0 , 0 );
! 			this.timeToClosePositions = new Time( 15 , 50 , 0 );
  		}
  		
***************
*** 94,100 ****
  		{
  			List< Time > dailyTimes = new List< Time >();
! 			dailyTimes.Add( new Time( 13 , 0 , 0 ) );
! 			dailyTimes.Add( new Time( 14 , 0 , 0 ) );
! 			dailyTimes.Add( new Time( 15 , 0 , 0 ) );
  //			dailyTimes.Add( new Time(
  //				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( DateTime.Now ) ) );
--- 104,110 ----
  		{
  			List< Time > dailyTimes = new List< Time >();
! 			dailyTimes.Add( this.firstTimeToTestInefficiency );
! 			dailyTimes.Add( this.lastTimeToTestInefficiency );
! 			dailyTimes.Add( this.timeToClosePositions );
  //			dailyTimes.Add( new Time(
  //				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( DateTime.Now ) ) );
***************
*** 155,159 ****
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! //			numberOfBestTestingPositionsToBeReturned = 5;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
--- 165,169 ----
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! 			numberOfBestTestingPositionsToBeReturned = 10;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
***************
*** 205,209 ****
  			// uncomment the following line for a faster script
  //			inSampleDays = 5;
! 			inSampleDays = 60;
  			
  			IIntervalsSelector intervalsSelectorForOutOfSample =
--- 215,219 ----
  			// uncomment the following line for a faster script
  //			inSampleDays = 5;
! //			inSampleDays = 60;
  			
  			IIntervalsSelector intervalsSelectorForOutOfSample =
***************
*** 242,248 ****
  					7 , inSampleDays ,
  					intervalsSelectorForInSample ,
! 					new Time( 13 , 0 , 0 ) ,
! 					new Time( 14 , 0 , 0 ) ,
! 					new Time( 15 , 0 , 0 ) ,
  					eligiblesSelector , inSampleChooser ,
  					this.historicalMarketValueProviderForInSample ,
--- 252,258 ----
  					7 , inSampleDays ,
  					intervalsSelectorForInSample ,
! 					this.firstTimeToTestInefficiency ,
! 					this.lastTimeToTestInefficiency ,
! 					this.timeToClosePositions ,
  					eligiblesSelector , inSampleChooser ,
  					this.historicalMarketValueProviderForInSample ,
***************
*** 276,282 ****
  			// uncomment the following two lines for a faster script
  			firstDateTime = new DateTime( 2006 , 2 , 1 );
! 			lastDateTime = new DateTime( 2006 , 2 , 12 );
  
! 			double maxRunningHours = 1;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
--- 286,292 ----
  			// uncomment the following two lines for a faster script
  			firstDateTime = new DateTime( 2006 , 2 , 1 );
! 			lastDateTime = new DateTime( 2007 , 12 , 31 );
  
! 			double maxRunningHours = 5;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
***************
*** 302,306 ****
  		protected override string getCustomSmallTextForFolderName()
  		{
! 			return "pairsTrdngIntrdy_13_14_15";
  		}
  
--- 312,319 ----
  		protected override string getCustomSmallTextForFolderName()
  		{
! 			return "pairsTrdngIntrdy_" +
! 				this.firstTimeToTestInefficiency.Hour + "_" +
! 				this.lastTimeToTestInefficiency.Hour + "_" +
! 				this.timeToClosePositions.Hour;
  		}