[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.27, 1.28

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv8272/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
This revision adds a new pairs trading approach, but it's not complete yet.
We commit it anyway in order to allow a fresh checkout on a new computer.

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.27
retrieving revision 1.28
diff -C2 -d -r1.27 -r1.28
*** PairsTradingMain.cs	31 Dec 2008 02:35:16 -0000	1.27
--- PairsTradingMain.cs	18 Feb 2009 20:05:34 -0000	1.28
***************
*** 88,92 ****
  
  			// definition for the Fitness Evaluator
! 			//      IEquityEvaluator equityEvaluator = new SharpeRatio();	
  		}
  		
--- 88,92 ----
  
  			// definition for the Fitness Evaluator
! 			//      IEquityEvaluator equityEvaluator = new SharpeRatio();
  		}
  		
***************
*** 104,112 ****
  		{
  			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 ) ) );
  			return dailyTimes;
  		}
--- 104,116 ----
  		{
  			List< Time > dailyTimes = new List< Time >();
! 			Time time = new Time( 9 , 30 , 0 );
! 			while ( time <= new Time( 16 , 0 , 0 ) )
! 			{
! 				dailyTimes.Add( time );
! 				time = time.AddMinutes( 1 );
! 			}
! //			dailyTimes.Add( this.firstTimeToTestInefficiency );
! //			dailyTimes.Add( this.lastTimeToTestInefficiency );
! //			dailyTimes.Add( this.timeToClosePositions );
  			return dailyTimes;
  		}
***************
*** 134,138 ****
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! //			tickersGroupId = "fastTest";
  
  //			IEligiblesSelector eligiblesSelector =
--- 138,142 ----
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
  
  //			IEligiblesSelector eligiblesSelector =
***************
*** 140,149 ****
  //				tickersGroupId ,
  //				maxNumberOfEligiblesToBeChosen );
! 			IEligiblesSelector eligiblesSelector =
! 				new ByPriceMostLiquidAlwaysQuoted(
! 					tickersGroupId ,
! 					true ,
! 					maxNumberOfEligiblesToBeChosen ,
! 					10 , 20 , 75 );
  			eligiblesSelector =
  				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
--- 144,153 ----
  //				tickersGroupId ,
  //				maxNumberOfEligiblesToBeChosen );
! //			IEligiblesSelector eligiblesSelector =
! //				new ByPriceMostLiquidAlwaysQuoted(
! //					tickersGroupId ,
! //					true ,
! //					maxNumberOfEligiblesToBeChosen ,
! //					10 , 20 , 75 );
  			eligiblesSelector =
  				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
***************
*** 154,158 ****
  					10 , 10 , 20 , 75 );
  
- 
  //			uncomment the following line for a (logbased) log based in sample chooser
  //			eligiblesSelector = new DummyEligibleSelector();
--- 158,161 ----
***************
*** 165,169 ****
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! //			numberOfBestTestingPositionsToBeReturned = 10;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
--- 168,172 ----
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! 			numberOfBestTestingPositionsToBeReturned = 10;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
***************
*** 238,241 ****
--- 241,247 ----
  //				new OutOfSampleChooserForExactNumberOfBestLongPositions(
  //				2 ,	0.006 , 0.99 , 0.006 , 0.99 );
+ 			outOfSampleChooser =
+ 				new OutOfSampleChooserForAlreadyClosing(
+ 					0.01 , 0.03 , 0.01 , 0.03 , 4 );
  
  			IStrategyForBacktester strategyForBacktester =
***************
*** 259,262 ****
--- 265,277 ----
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					outOfSampleChooser );
+ //			qui!!!
+ //			strategyForBacktester =
+ //				new PairsTradingAfterClosingStrategy(
+ //					7 , inSampleDays ,
+ //					intervalsSelectorForInSample ,
+ //					eligiblesSelector , inSampleChooser ,
+ //					this.historicalMarketValueProviderForInSample ,
+ //					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
+ //					outOfSampleChooser );
  			return strategyForBacktester;
  		}
***************
*** 286,291 ****
  			// uncomment the following two lines for a faster script
  			firstDateTime = new DateTime( 2006 , 1 , 2 );
! 			lastDateTime = new DateTime( 2007 , 12 , 31 );
! //			lastDateTime = new DateTime( 2006 , 1 , 31 );
  
  			double maxRunningHours = 2.5;
--- 301,306 ----
  			// uncomment the following two lines for a faster script
  			firstDateTime = new DateTime( 2006 , 1 , 2 );
! //			lastDateTime = new DateTime( 2007 , 12 , 31 );
! 			lastDateTime = new DateTime( 2006 , 1 , 31 );
  
  			double maxRunningHours = 2.5;