[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoose

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

Modified Files:
	OutOfSampleChooser.cs 
Added Files:
	OutOfSampleChooserForAlreadyClosing.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: OutOfSampleChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooser.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** OutOfSampleChooser.cs	10 Dec 2008 19:38:43 -0000	1.5
--- OutOfSampleChooser.cs	18 Feb 2009 20:05:32 -0000	1.6
***************
*** 115,147 ****
  		#region getReturnIntervalsForLastSecondPhaseInterval
  		private ReturnInterval
! 			getReturnIntervalForLastSecondPhaseInterval(
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency
! //				ReturnIntervals outOfSampleReturnIntervals
  			)
  		{
! //			DateTime intervalBegin =
! //				this.getIntervalBeginForLastSecondPhaseInterval(
! //					outOfSampleReturnIntervals );
! //			DateTime intervalEnd =
! //				this.getIntervalEndForLastSecondPhaseInterval(
! //					outOfSampleReturnIntervals );
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
  				new ReturnInterval(
! 					firstDateTimeToTestInefficiency , lastDateTimeToTestInefficiency );
  			return returnIntervalForLastSecondPhaseInterval;
  		}
  		private ReturnIntervals
! 			getReturnIntervalsForLastSecondPhaseInterval(
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency
! //				ReturnIntervals outOfSampleReturnIntervals
  			)
  		{
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
! 				this.getReturnIntervalForLastSecondPhaseInterval(
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency
! //					outOfSampleReturnIntervals
  				);
  			ReturnIntervals returnIntervalsForLastSecondPhaseInterval =
--- 115,145 ----
  		#region getReturnIntervalsForLastSecondPhaseInterval
  		private ReturnInterval
! 			getReturnIntervalToTestInefficiency(
! 				DateTime currentDateTime
! //				DateTime firstDateTimeToTestInefficiency ,
! //				DateTime lastDateTimeToTestInefficiency
  			)
  		{
! //			qui!!!
! 			DateTime firstDateTimeToTestInefficiency =
! 				currentDateTime.AddMinutes( 30 );
! 
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
  				new ReturnInterval(
! 					firstDateTimeToTestInefficiency , currentDateTime );
  			return returnIntervalForLastSecondPhaseInterval;
  		}
  		private ReturnIntervals
! 			getReturnIntervalsToTestInefficiency(
! 				DateTime currentDateTime
! //				DateTime firstDateTimeToTestInefficiency ,
! //				DateTime lastDateTimeToTestInefficiency
  			)
  		{
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
! 				this.getReturnIntervalToTestInefficiency(
! 					currentDateTime
! //					firstDateTimeToTestInefficiency ,
! //					lastDateTimeToTestInefficiency
  				);
  			ReturnIntervals returnIntervalsForLastSecondPhaseInterval =
***************
*** 151,166 ****
  		#endregion getReturnIntervalsForLastSecondPhaseInterval

! 		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
! 			DateTime firstDateTimeToTestInefficiency ,
! 			DateTime lastDateTimeToTestInefficiency ,
! //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ReturnIntervals returnIntervals =
! 				this.getReturnIntervalsForLastSecondPhaseInterval(
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency
! //					outOfSampleReturnIntervals
  				);
  			ReturnsManager returnsManager =
--- 149,164 ----
  		#endregion getReturnIntervalsForLastSecondPhaseInterval

! 		private ReturnsManager getReturnsManagerToTestInefficiency(
! 			DateTime currentDateTime ,
! //			DateTime firstDateTimeToTestInefficiency ,
! //			DateTime lastDateTimeToTestInefficiency ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ReturnIntervals returnIntervals =
! 				this.getReturnIntervalsToTestInefficiency(
! 					currentDateTime
! //					firstDateTimeToTestInefficiency ,
! //					lastDateTimeToTestInefficiency
  				);
  			ReturnsManager returnsManager =
***************
*** 197,201 ****
  			TestingPositions[] bestTestingPositionsInSample ,
  			int currentTestingPositionsIndex ,
! 			DateTime dateTimeToClosePositions ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
--- 195,199 ----
  			TestingPositions[] bestTestingPositionsInSample ,
  			int currentTestingPositionsIndex ,
! //			DateTime dateTimeToClosePositions ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
***************
*** 203,210 ****
  			TestingPositions currentCouple =
  				bestTestingPositionsInSample[ currentTestingPositionsIndex ];
! 			bool areAllAvailable =
! 				this.areAllNeededMarketValuesAvailableForTheCurrentCouple(
! 					currentCouple , dateTimeToClosePositions ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return areAllAvailable;
  		}
--- 201,209 ----
  			TestingPositions currentCouple =
  				bestTestingPositionsInSample[ currentTestingPositionsIndex ];
! 			bool areAllAvailable = true;
! 			//  qui!!!
! //				this.areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //					currentCouple , dateTimeToClosePositions ,
! //					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return areAllAvailable;
  		}
***************
*** 243,252 ****
  			return returnForTheLastSecondPhaseInterval;
  		}
  		// if the currentWeightedPositions' return satisfies the thresholds
  		// then this method returns the WeightedPositions that might be opened.
  		// Otherwise (currentWeightedPositions' return does NOT
  		// satisfy the thresholds) this method returns null
! 		private WeightedPositions
! 			getPositionsIfInefficiencyIsInTheRange(
  				ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  				WeightedPositions currentWeightedPositions )
--- 242,252 ----
  			return returnForTheLastSecondPhaseInterval;
  		}
+ 
  		// if the currentWeightedPositions' return satisfies the thresholds
  		// then this method returns the WeightedPositions that might be opened.
  		// Otherwise (currentWeightedPositions' return does NOT
  		// satisfy the thresholds) this method returns null
! 		protected virtual WeightedPositions
! 			getWeightedPositionsFromCandidate(
  				ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  				WeightedPositions currentWeightedPositions )
***************
*** 294,298 ****
  				this.getCandidateForPortfolio( currentWeightedPositions );
  			WeightedPositions weightedPositionsThatMightBeOpended =
! 				this.getPositionsIfInefficiencyIsInTheRange(
  					returnsManagerForLastSecondPhaseInterval , candidateForPortfolio );
  			if ( weightedPositionsThatMightBeOpended != null )
--- 294,298 ----
  				this.getCandidateForPortfolio( currentWeightedPositions );
  			WeightedPositions weightedPositionsThatMightBeOpended =
! 				this.getWeightedPositionsFromCandidate(
  					returnsManagerForLastSecondPhaseInterval , candidateForPortfolio );
  			if ( weightedPositionsThatMightBeOpended != null )
***************
*** 305,309 ****
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 			DateTime dateTimeToClosePositions ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
--- 305,309 ----
  			TestingPositions[] bestTestingPositionsInSample ,
  			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! //			DateTime dateTimeToClosePositions ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
***************
*** 317,321 ****
  					bestTestingPositionsInSample ,
  					currentTestingPositionsIndex ,
! 					dateTimeToClosePositions ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample ) )
  					this.addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
--- 317,321 ----
  					bestTestingPositionsInSample ,
  					currentTestingPositionsIndex ,
! //					dateTimeToClosePositions ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample ) )
  					this.addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
***************
*** 332,338 ****
  			getArrayListOfInefficientCouples(
  				TestingPositions[] bestTestingPositionsInSample ,
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency ,
! 				DateTime dateTimeToClosePositions ,
  //				ReturnIntervals outOfSampleReturnIntervals ,
  				HistoricalMarketValueProvider
--- 332,339 ----
  			getArrayListOfInefficientCouples(
  				TestingPositions[] bestTestingPositionsInSample ,
! 				DateTime currentDateTime ,
! //				DateTime firstDateTimeToTestInefficiency ,
! //				DateTime lastDateTimeToTestInefficiency ,
! //				DateTime dateTimeToClosePositions ,
  //				ReturnIntervals outOfSampleReturnIntervals ,
  				HistoricalMarketValueProvider
***************
*** 340,347 ****
  		{
  			ReturnsManager returnsManagerForLastSecondPhaseInterval =
! 				this.getReturnsManagerForLastSecondPhaseInterval(
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! //					outOfSampleReturnIntervals ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			ArrayList inefficientCouples =
--- 341,348 ----
  		{
  			ReturnsManager returnsManagerForLastSecondPhaseInterval =
! 				this.getReturnsManagerToTestInefficiency(
! 					currentDateTime ,
! //					firstDateTimeToTestInefficiency ,
! //					lastDateTimeToTestInefficiency ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			ArrayList inefficientCouples =
***************
*** 349,353 ****
  					bestTestingPositionsInSample ,
  					returnsManagerForLastSecondPhaseInterval ,
! 					dateTimeToClosePositions ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;
--- 350,354 ----
  					bestTestingPositionsInSample ,
  					returnsManagerForLastSecondPhaseInterval ,
! //					dateTimeToClosePositions ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;
***************
*** 379,424 ****
  		#endregion getInefficientCouplesFromArrayList

! 		private WeightedPositions[]
! 			getInefficientCouples_withAtLeastASecondPhaseInterval(
! 				TestingPositions[] bestTestingPositionsInSample ,
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency ,
! 				DateTime dateTimeToClosePositions ,
! //				ReturnIntervals outOfSampleReturnIntervals ,
! 				HistoricalMarketValueProvider
! 				historicalMarketValueProviderForChosingPositionsOutOfSample )
! 		{
! 			ArrayList arrayListOfInefficientCouples =
! 				this.getArrayListOfInefficientCouples(
! 					bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! 					dateTimeToClosePositions ,
! //					outOfSampleReturnIntervals ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample );
! 			WeightedPositions[] inefficientCouples =
! 				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
! 			return inefficientCouples;
! 		}
  		private WeightedPositions[] getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime firstDateTimeToTestInefficiency ,
! 			DateTime lastDateTimeToTestInefficiency ,
! 			DateTime dateTimeToClosePositions ,
  //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
! 			WeightedPositions[] inefficientCouples = null;
! //			if ( outOfSampleReturnIntervals.Count >= 2 )
! //				// at least a second phase interval exists
! 			inefficientCouples =
! 				this.getInefficientCouples_withAtLeastASecondPhaseInterval(
  					bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! 					dateTimeToClosePositions ,
! //						outOfSampleReturnIntervals ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;

--- 380,434 ----
  		#endregion getInefficientCouplesFromArrayList

! //		private WeightedPositions[]
! //			getInefficientCouples_withAtLeastASecondPhaseInterval(
! //				TestingPositions[] bestTestingPositionsInSample ,
! //				DateTime firstDateTimeToTestInefficiency ,
! //				DateTime lastDateTimeToTestInefficiency ,
! //				DateTime dateTimeToClosePositions ,
! 		////				ReturnIntervals outOfSampleReturnIntervals ,
! //				HistoricalMarketValueProvider
! //				historicalMarketValueProviderForChosingPositionsOutOfSample )
! //		{
! //			ArrayList arrayListOfInefficientCouples =
! //				this.getArrayListOfInefficientCouples(
! //					bestTestingPositionsInSample ,
! //					firstDateTimeToTestInefficiency ,
! //					lastDateTimeToTestInefficiency ,
! //					dateTimeToClosePositions ,
! 		////					outOfSampleReturnIntervals ,
! //					historicalMarketValueProviderForChosingPositionsOutOfSample );
! //			WeightedPositions[] inefficientCouples =
! //				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
! //			return inefficientCouples;
! //		}
  		private WeightedPositions[] getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime currentDateTime ,
! //			DateTime firstDateTimeToTestInefficiency ,
! //			DateTime lastDateTimeToTestInefficiency ,
! //			DateTime dateTimeToClosePositions ,
  //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
! //			WeightedPositions[] inefficientCouples = null;
! //			inefficientCouples =
! //				this.getInefficientCouples_withAtLeastASecondPhaseInterval(
! //					bestTestingPositionsInSample ,
! //					firstDateTimeToTestInefficiency ,
! //					lastDateTimeToTestInefficiency ,
! //					dateTimeToClosePositions ,
! //					historicalMarketValueProviderForChosingPositionsOutOfSample );
! 			ArrayList arrayListOfInefficientCouples =
! 				this.getArrayListOfInefficientCouples(
  					bestTestingPositionsInSample ,
! 					currentDateTime ,
! //					firstDateTimeToTestInefficiency ,
! //					lastDateTimeToTestInefficiency ,
! //					dateTimeToClosePositions ,
! //					outOfSampleReturnIntervals ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
+ 			WeightedPositions[] inefficientCouples =
+ 				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
  			return inefficientCouples;

***************
*** 428,434 ****
  		private WeightedPositions getPositionsToBeOpened_actually(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime firstDateTimeToTestInefficiency ,
! 			DateTime lastDateTimeToTestInefficiency ,
! 			DateTime dateTimeToClosePositions ,
  //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
--- 438,445 ----
  		private WeightedPositions getPositionsToBeOpened_actually(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime currentDateTime ,
! //			DateTime firstDateTimeToTestInefficiency ,
! //			DateTime lastDateTimeToTestInefficiency ,
! //			DateTime dateTimeToClosePositions ,
  //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
***************
*** 440,446 ****
  				this.getInefficientCouples(
  					bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! 					dateTimeToClosePositions ,
  //					outOfSampleReturnIntervals ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
--- 451,458 ----
  				this.getInefficientCouples(
  					bestTestingPositionsInSample ,
! 					currentDateTime ,
! //					firstDateTimeToTestInefficiency ,
! //					lastDateTimeToTestInefficiency ,
! //					dateTimeToClosePositions ,
  //					outOfSampleReturnIntervals ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
***************
*** 466,472 ****
  		public virtual WeightedPositions GetPositionsToBeOpened(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime firstDateTimeToTestInefficiency ,
! 			DateTime lastDateTimeToTestInefficiency ,
! 			DateTime dateTimeToClosePositions ,
  //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
--- 478,482 ----
  		public virtual WeightedPositions GetPositionsToBeOpened(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime currentDateTime ,
  //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
***************
*** 474,487 ****
  			ReturnsManager inSampleReturnsManager )
  		{
! 			this.checkParameters(
! 				firstDateTimeToTestInefficiency ,
! 				lastDateTimeToTestInefficiency ,
! 				dateTimeToClosePositions );
  			WeightedPositions positionsToBeOpened =
  				this.getPositionsToBeOpened_actually(
  					bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! 					dateTimeToClosePositions ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					inSampleReturnsManager );
--- 484,498 ----
  			ReturnsManager inSampleReturnsManager )
  		{
! //			this.checkParameters(
! //				firstDateTimeToTestInefficiency ,
! //				lastDateTimeToTestInefficiency ,
! //				dateTimeToClosePositions );
  			WeightedPositions positionsToBeOpened =
  				this.getPositionsToBeOpened_actually(
  					bestTestingPositionsInSample ,
! 					currentDateTime ,
! //					firstDateTimeToTestInefficiency ,
! //					lastDateTimeToTestInefficiency ,
! //					dateTimeToClosePositions ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					inSampleReturnsManager );

--- NEW FILE: OutOfSampleChooserForAlreadyClosing.cs ---
/*
QuantProject - Quantitative Finance Library

OutOfSampleChooserForAlreadyClosing.cs
Copyright (C) 2008
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
 */

using System;

using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// Chooses two positions that seem to be an arbitrage opportunity.
	/// Among the eligible couples, a couple is discard if any of the two tickers
	/// have had a either split, or dividend, or any other event that may
	/// have caused an overnight price adjustment
	/// </summary>
	[Serializable]
	public class OutOfSampleChooserForAlreadyClosing :
		OutOfSampleChooserForSingleLongAndShort
	{
		private int numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing;

		public OutOfSampleChooserForAlreadyClosing(
			double minThresholdForGoingLong ,
			double maxThresholdForGoingLong ,
			double minThresholdForGoingShort ,
			double maxThresholdForGoingShort ,
			int numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing ) :
			base(
				minThresholdForGoingLong ,
				maxThresholdForGoingLong ,
				minThresholdForGoingShort ,
				maxThresholdForGoingShort )
		{
			this.numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing =
				numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing;
		}

		#region getPositionsFromCandidate

		#region hasThePriceBeenAdjustedLastNight
		private bool hasThePriceBeenAdjustedLastNight( WeightedPositions candidate )
		{
			// qui!!!
			return false;
		}
		#endregion hasThePriceBeenAdjustedLastNight

		#region getWeightedPositionsFromCandidateWithoutAdjustment
		private WeightedPositions getWeightedPositionsFromCandidateWithoutAdjustment(
			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
			WeightedPositions candidate )
		{
//			qui!!!!
//			vedi OutOfSampleChooser.getWeightedPositionsFromCandidate(),
//			testa l'inefficienza allo stesso modo, ma poi aggiungi il test
//				per vedere se c'e' l'inizio di chiusura; devi considerare
//				il passaggio dei tempi: probabilmente ti converra' modificare
//				OutOfSampleChooserForSingleLongAndShort e passargli
//				firstTimeToTestInefficiency nel costruttore per poi modificare
//				OutOfSampleChooser.GetPositionsToBeOpened() togliendo i
//				parametri firstDateTimeToTestInefficiency e dateTimeToClosePositions
			// qui!!!
			return candidate;
		}
		#endregion getWeightedPositionsFromCandidateWithoutAdjustment

		protected override WeightedPositions getWeightedPositionsFromCandidate(
			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
			WeightedPositions candidate )
		{
			WeightedPositions weightedPositionsFromCandidate = null;
			if ( !this.hasThePriceBeenAdjustedLastNight( candidate ) )
				weightedPositionsFromCandidate =
					this.getWeightedPositionsFromCandidateWithoutAdjustment(
						returnsManagerForLastSecondPhaseInterval , candidate );
			return weightedPositionsFromCandidate;
		}
		#endregion getPositionsFromCandidate
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoose

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooserForAlreadyClosing.cs, NONE, 1.1 OutOfSampleChooser.cs, 1.5, 1.6