[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain
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From: Glauco S. <gla...@us...> - 2008-12-18 20:08:27
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv21977/b7_Scripts/WalkForwardTesting/PairsTrading Modified Files: PairsTradingMain.cs Log Message: the names for report and log objects have been improved: now minutes can be used Index: PairsTradingMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v retrieving revision 1.24 retrieving revision 1.25 diff -C2 -d -r1.24 -r1.25 *** PairsTradingMain.cs 10 Dec 2008 19:40:56 -0000 1.24 --- PairsTradingMain.cs 18 Dec 2008 20:08:16 -0000 1.25 *************** *** 94,98 **** { this.firstTimeToTestInefficiency = new Time( 10 , 0 , 0 ); ! this.lastTimeToTestInefficiency = new Time( 14 , 0 , 0 ); this.timeToClosePositions = new Time( 15 , 50 , 0 ); } --- 94,98 ---- { this.firstTimeToTestInefficiency = new Time( 10 , 0 , 0 ); ! this.lastTimeToTestInefficiency = new Time( 11 , 0 , 0 ); this.timeToClosePositions = new Time( 15 , 50 , 0 ); } *************** *** 234,238 **** OutOfSampleChooser outOfSampleChooser = new OutOfSampleChooserForSingleLongAndShort( ! 0.006 , 0.02 , 0.006 , 0.02 ); // outOfSampleChooser = // new OutOfSampleChooserForExactNumberOfBestLongPositions( --- 234,238 ---- OutOfSampleChooser outOfSampleChooser = new OutOfSampleChooserForSingleLongAndShort( ! 0.01 , 0.03 , 0.01 , 0.03 ); // outOfSampleChooser = // new OutOfSampleChooserForExactNumberOfBestLongPositions( *************** *** 285,289 **** // uncomment the following two lines for a faster script ! firstDateTime = new DateTime( 2006 , 2 , 1 ); lastDateTime = new DateTime( 2007 , 12 , 31 ); --- 285,289 ---- // uncomment the following two lines for a faster script ! firstDateTime = new DateTime( 2006 , 1 , 2 ); lastDateTime = new DateTime( 2007 , 12 , 31 ); *************** *** 310,320 **** } protected override string getCustomSmallTextForFolderName() { return "pairsTrdngIntrdy_" + ! this.firstTimeToTestInefficiency.Hour + "_" + ! this.lastTimeToTestInefficiency.Hour + "_" + ! this.timeToClosePositions.Hour; } protected override string getFullPathFileNameForMain() --- 310,332 ---- } + #region getCustomSmallTextForFolderName + private string getSmallText( Time time ) + { + string smallText = time.Hour.ToString(); + if ( time.Minute != 0 ) + smallText += "." + time.Minute.ToString(); + return smallText; + } protected override string getCustomSmallTextForFolderName() { return "pairsTrdngIntrdy_" + ! this.getSmallText( this.firstTimeToTestInefficiency ) + "_" + ! this.getSmallText( this.lastTimeToTestInefficiency ) + "_" + ! this.getSmallText( this.timeToClosePositions ); ! // this.firstTimeToTestInefficiency.Hour + "_" + ! // this.lastTimeToTestInefficiency.Hour + "_" + ! // this.timeToClosePositions.Hour; } + #endregion getCustomSmallTextForFolderName protected override string getFullPathFileNameForMain() |