[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies PairsTradingIntradayStrategy.cs, 1.3, 1.4 PairsTradingStrategy.cs, 1.8, 1.9

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

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

Modified Files:
	PairsTradingIntradayStrategy.cs PairsTradingStrategy.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: PairsTradingStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingStrategy.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** PairsTradingStrategy.cs	10 Dec 2008 19:41:36 -0000	1.8
--- PairsTradingStrategy.cs	18 Feb 2009 20:05:34 -0000	1.9
***************
*** 157,173 ****
  		private WeightedPositions getPositionsToBeOpened_withAtLeastASecondPhaseInterval()
  		{
! 			DateTime firstDateTimeToTestInefficiency =
! 				this.getFirstDateTimeToTestInefficiency();
  			DateTime lastDateTimeToTestInefficiency =
  				this.getLastDateTimeToTestInefficiency();
! 			DateTime dateTimeToClosePositions =
! 				this.getDateTimeToClosePositions();
  			WeightedPositions positionsToBeOpened =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  				this.bestTestingPositionsInSample ,
! 				firstDateTimeToTestInefficiency ,
  				lastDateTimeToTestInefficiency ,
! 				dateTimeToClosePositions ,
! //				this.returnIntervals ,
  				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  				this.inSampleReturnsManager );
--- 157,172 ----
  		private WeightedPositions getPositionsToBeOpened_withAtLeastASecondPhaseInterval()
  		{
! //			DateTime firstDateTimeToTestInefficiency =
! //				this.getFirstDateTimeToTestInefficiency();
  			DateTime lastDateTimeToTestInefficiency =
  				this.getLastDateTimeToTestInefficiency();
! //			DateTime dateTimeToClosePositions =
! //				this.getDateTimeToClosePositions();
  			WeightedPositions positionsToBeOpened =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  				this.bestTestingPositionsInSample ,
! //				firstDateTimeToTestInefficiency ,
  				lastDateTimeToTestInefficiency ,
! //				dateTimeToClosePositions ,
  				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  				this.inSampleReturnsManager );

Index: PairsTradingIntradayStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingIntradayStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PairsTradingIntradayStrategy.cs	10 Dec 2008 19:39:53 -0000	1.3
--- PairsTradingIntradayStrategy.cs	18 Feb 2009 20:05:34 -0000	1.4
***************
*** 169,174 ****
  		protected override WeightedPositions getPositionsToBeOpened()
  		{
! 			DateTime firstDateTimeToTestInefficiency =
! 				this.getFirstDateTimeToTestInefficiency();
  			DateTime lastDateTimeToTestInefficiency =
  				this.getLastDateTimeToTestInefficiency();
--- 169,174 ----
  		protected override WeightedPositions getPositionsToBeOpened()
  		{
! //			DateTime firstDateTimeToTestInefficiency =
! //				this.getFirstDateTimeToTestInefficiency();
  			DateTime lastDateTimeToTestInefficiency =
  				this.getLastDateTimeToTestInefficiency();
***************
*** 181,187 ****
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  					this.bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
  					lastDateTimeToTestInefficiency ,
! 					dateTimeToClosePositions ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					this.inSampleReturnsManager );
--- 181,187 ----
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  					this.bestTestingPositionsInSample ,
! //					firstDateTimeToTestInefficiency ,
  					lastDateTimeToTestInefficiency ,
! //					dateTimeToClosePositions ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					this.inSampleReturnsManager );