[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-serv21462/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooser.cs 
Log Message:
The code has been changed so that the derived classes can change the strategy by overriding some key methods

Index: OutOfSampleChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooser.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** OutOfSampleChooser.cs	18 Feb 2009 20:05:32 -0000	1.6
--- OutOfSampleChooser.cs	28 Feb 2009 18:35:10 -0000	1.7
***************
*** 25,28 ****
--- 25,29 ----
  
  using QuantProject.ADT.Collections;
+ using QuantProject.ADT.Timing;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
***************
*** 41,44 ****
--- 42,46 ----
  	public abstract class OutOfSampleChooser
  	{
+ 		private Time firstTimeToTestInefficiency;
  		private double minThresholdForGoingLong;
  		private double maxThresholdForGoingLong;
***************
*** 46,51 ****
--- 48,57 ----
  		private double maxThresholdForGoingShort;
  
+ 		public double MinThresholdForGoingLong {
+ 			get { return this.minThresholdForGoingLong; }
+ 		}
  
  		public OutOfSampleChooser(
+ 			Time firstTimeToTestInefficiency ,
  			double minThresholdForGoingLong ,
  			double maxThresholdForGoingLong ,
***************
*** 53,56 ****
--- 59,63 ----
  			double maxThresholdForGoingShort )
  		{
+ 			this.firstTimeToTestInefficiency = firstTimeToTestInefficiency;
  			this.minThresholdForGoingLong = minThresholdForGoingLong;
  			this.maxThresholdForGoingLong = maxThresholdForGoingLong;
***************
*** 64,68 ****
  		/// <param name="inefficientCouples">a collection of couples that
  		/// are strongly correlated in sample, but were not so
! 		/// correlated in the latest second phase interval</param>
  		/// <param name="inSampleReturnsManager"></param>
  		/// <returns></returns>
--- 71,75 ----
  		/// <param name="inefficientCouples">a collection of couples that
  		/// are strongly correlated in sample, but were not so
! 		/// correlated in the interval to test for inefficiency</param>
  		/// <param name="inSampleReturnsManager"></param>
  		/// <returns></returns>
***************
*** 114,117 ****
--- 121,139 ----
  		
  		#region getReturnIntervalsForLastSecondPhaseInterval
+ 		
+ 		protected virtual DateTime getFirstDateTimeToTestInefficiency( DateTime currentDateTime )
+ 		{
+ //			DateTime now = this.now();
+ //			DateTime firstDateTimeToTestInefficiency = new DateTime(
+ //				now.Year , now.Month , now.Day ,
+ //				this.firstTimeToTestInefficiency.Hour ,
+ //				this.firstTimeToTestInefficiency.Minute ,
+ //				this.firstTimeToTestInefficiency.Second );
+ 			DateTime firstDateTimeToTestInefficiency =
+ 				Time.GetDateTimeFromMerge(
+ 					currentDateTime , this.firstTimeToTestInefficiency );
+ 			return firstDateTimeToTestInefficiency;
+ 		}
+ 		
  		private ReturnInterval
  			getReturnIntervalToTestInefficiency(
***************
*** 121,132 ****
  			)
  		{
- //			qui!!!
  			DateTime firstDateTimeToTestInefficiency =
! 				currentDateTime.AddMinutes( 30 );
  
! 			ReturnInterval returnIntervalForLastSecondPhaseInterval =
  				new ReturnInterval(
  					firstDateTimeToTestInefficiency , currentDateTime );
! 			return returnIntervalForLastSecondPhaseInterval;
  		}
  		private ReturnIntervals
--- 143,154 ----
  			)
  		{
  			DateTime firstDateTimeToTestInefficiency =
! 				this.getFirstDateTimeToTestInefficiency( currentDateTime );
! //				currentDateTime.AddMinutes( 30 );
  
! 			ReturnInterval returnIntervalToTestInefficiency =
  				new ReturnInterval(
  					firstDateTimeToTestInefficiency , currentDateTime );
! 			return returnIntervalToTestInefficiency;
  		}
  		private ReturnIntervals
***************
*** 137,141 ****
  			)
  		{
! 			ReturnInterval returnIntervalForLastSecondPhaseInterval =
  				this.getReturnIntervalToTestInefficiency(
  					currentDateTime
--- 159,163 ----
  			)
  		{
! 			ReturnInterval returnIntervalToTestInefficiency =
  				this.getReturnIntervalToTestInefficiency(
  					currentDateTime
***************
*** 143,149 ****
  //					lastDateTimeToTestInefficiency
  				);
! 			ReturnIntervals returnIntervalsForLastSecondPhaseInterval =
! 				new ReturnIntervals( returnIntervalForLastSecondPhaseInterval );
! 			return returnIntervalsForLastSecondPhaseInterval;
  		}
  		#endregion getReturnIntervalsForLastSecondPhaseInterval
--- 165,171 ----
  //					lastDateTimeToTestInefficiency
  				);
! 			ReturnIntervals returnIntervalsToTestInefficiency =
! 				new ReturnIntervals( returnIntervalToTestInefficiency );
! 			return returnIntervalsToTestInefficiency;
  		}
  		#endregion getReturnIntervalsForLastSecondPhaseInterval
***************
*** 171,212 ****
  		#region getInefficientCouples
  		
! 		#region areAllNeededMarketValuesAvailableForTheCurrentCouple
! 		private bool areAllNeededMarketValuesAvailableForTheCurrentCouple(
! 			TestingPositions currentCouple ,
! 			DateTime dateTimeToClosePositions ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
! 		{
! 			bool areAllAvailable = true;
! 			foreach ( WeightedPosition weightedPosition in
! 			         currentCouple.WeightedPositions.Values )
! 				areAllAvailable =
! 					(
! 						areAllAvailable &&
! 						// attention! we are looking in the future here, but we do it
! 						// just to avoid picking a ticker for which we don't have
! 						// the market value when we will close the positions
! 						historicalMarketValueProviderForChosingPositionsOutOfSample.WasExchanged(
! 							weightedPosition.Ticker , dateTimeToClosePositions )
! 					);
! 			return areAllAvailable;
! 		}
! 		private bool areAllNeededMarketValuesAvailableForTheCurrentCouple(
! 			TestingPositions[] bestTestingPositionsInSample ,
! 			int currentTestingPositionsIndex ,
  //			DateTime dateTimeToClosePositions ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
! 		{
! 			TestingPositions currentCouple =
! 				bestTestingPositionsInSample[ currentTestingPositionsIndex ];
! 			bool areAllAvailable = true;
! 			//  qui!!!
! //				this.areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //					currentCouple , dateTimeToClosePositions ,
! //					historicalMarketValueProviderForChosingPositionsOutOfSample );
! 			return areAllAvailable;
! 		}
! 		#endregion areAllNeededMarketValuesAvailableForTheCurrentCouple
  
  		#region addPositionsIfInefficiencyForCurrentCoupleIsInTheRange
--- 193,232 ----
  		#region getInefficientCouples
  		
! //		#region areAllNeededMarketValuesAvailableForTheCurrentCouple
! //		private bool areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //			TestingPositions currentCouple ,
  //			DateTime dateTimeToClosePositions ,
! //			HistoricalMarketValueProvider
! //			historicalMarketValueProviderForChosingPositionsOutOfSample )
! //		{
! //			bool areAllAvailable = true;
! //			foreach ( WeightedPosition weightedPosition in
! //			         currentCouple.WeightedPositions.Values )
! //				areAllAvailable =
! //					(
! //						areAllAvailable &&
! //						// attention! we are looking in the future here, but we do it
! //						// just to avoid picking a ticker for which we don't have
! //						// the market value when we will close the positions
! //						historicalMarketValueProviderForChosingPositionsOutOfSample.WasExchanged(
! //							weightedPosition.Ticker , dateTimeToClosePositions )
! //					);
! //			return areAllAvailable;
! //		}
! //		private bool areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //			TestingPositions[] bestTestingPositionsInSample ,
! //			int currentTestingPositionsIndex ,
! 		////			DateTime dateTimeToClosePositions ,
! //			HistoricalMarketValueProvider
! //			historicalMarketValueProviderForChosingPositionsOutOfSample )
! //		{
! //			TestingPositions currentCouple =
! //				bestTestingPositionsInSample[ currentTestingPositionsIndex ];
! //			this.areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //				currentCouple , dateTimeToClosePositions ,
! //				historicalMarketValueProviderForChosingPositionsOutOfSample );
! //			return areAllAvailable;
! //		}
! //		#endregion areAllNeededMarketValuesAvailableForTheCurrentCouple
  
  		#region addPositionsIfInefficiencyForCurrentCoupleIsInTheRange
***************
*** 231,244 ****
  		
  		#region getPositionsIfInefficiencyIsInTheRange
! 		private double getReturnForTheLastSecondPhaseInterval(
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  			WeightedPositions weightedPositions )
  		{
  			// returnsManager should contain a single ReturnInterval, and
  			// this ReturnInterval should be the last second phase interval
! 			double returnForTheLastSecondPhaseInterval =
  				weightedPositions.GetReturn( 0 ,
! 				                            returnsManagerForLastSecondPhaseInterval );
! 			return returnForTheLastSecondPhaseInterval;
  		}
  
--- 251,264 ----
  		
  		#region getPositionsIfInefficiencyIsInTheRange
! 		private double getReturnToTestInefficiency(
! 			ReturnsManager returnsManagerToTestInefficiency ,
  			WeightedPositions weightedPositions )
  		{
  			// returnsManager should contain a single ReturnInterval, and
  			// this ReturnInterval should be the last second phase interval
! 			double returnToTestInefficiency =
  				weightedPositions.GetReturn( 0 ,
! 				                            returnsManagerToTestInefficiency );
! 			return returnToTestInefficiency;
  		}
  
***************
*** 248,253 ****
  		// satisfy the thresholds) this method returns null
  		protected virtual WeightedPositions
! 			getWeightedPositionsFromCandidate(
! 				ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  				WeightedPositions currentWeightedPositions )
  		{
--- 268,274 ----
  		// satisfy the thresholds) this method returns null
  		protected virtual WeightedPositions
! 			getWeightedPositionsIfThereIsInefficiency(
! 				DateTime currentDateTime ,
! 				ReturnsManager returnsManagerToTestInefficiency ,
  				WeightedPositions currentWeightedPositions )
  		{
***************
*** 255,272 ****
  			try
  			{
! 				double returnForTheLastSecondPhaseInterval =
! 					this.getReturnForTheLastSecondPhaseInterval(
! 						returnsManagerForLastSecondPhaseInterval ,
  						currentWeightedPositions );
! 				if ( ( returnForTheLastSecondPhaseInterval >=
  				      this.minThresholdForGoingShort ) &&
! 				    ( returnForTheLastSecondPhaseInterval <=
  				     this.maxThresholdForGoingShort ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going short
  					weightedPositionsToBeOpened = currentWeightedPositions.Opposite;
! 				if ( ( -returnForTheLastSecondPhaseInterval >=
  				      this.minThresholdForGoingLong ) &&
! 				    ( -returnForTheLastSecondPhaseInterval <=
  				     this.maxThresholdForGoingLong ) )
  					// it looks like there has been an inefficiency that
--- 276,293 ----
  			try
  			{
! 				double returnForTheIntervalToTestInefficiency =
! 					this.getReturnToTestInefficiency(
! 						returnsManagerToTestInefficiency ,
  						currentWeightedPositions );
! 				if ( ( returnForTheIntervalToTestInefficiency >=
  				      this.minThresholdForGoingShort ) &&
! 				    ( returnForTheIntervalToTestInefficiency <=
  				     this.maxThresholdForGoingShort ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going short
  					weightedPositionsToBeOpened = currentWeightedPositions.Opposite;
! 				if ( ( -returnForTheIntervalToTestInefficiency >=
  				      this.minThresholdForGoingLong ) &&
! 				    ( -returnForTheIntervalToTestInefficiency <=
  				     this.maxThresholdForGoingLong ) )
  					// it looks like there has been an inefficiency that
***************
*** 285,289 ****
  			addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
  				TestingPositions[] bestTestingPositionsInSample ,
! 				ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  				int currentTestingPositionsIndex ,
  				ArrayList inefficientCouples )
--- 306,311 ----
  			addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
  				TestingPositions[] bestTestingPositionsInSample ,
! 				DateTime currentDateTime ,
! 				ReturnsManager returnsManagerToTestInefficiency ,
  				int currentTestingPositionsIndex ,
  				ArrayList inefficientCouples )
***************
*** 294,299 ****
  				this.getCandidateForPortfolio( currentWeightedPositions );
  			WeightedPositions weightedPositionsThatMightBeOpended =
! 				this.getWeightedPositionsFromCandidate(
! 					returnsManagerForLastSecondPhaseInterval , candidateForPortfolio );
  			if ( weightedPositionsThatMightBeOpended != null )
  				// the current couple has not an inefficiency that's in the range
--- 316,321 ----
  				this.getCandidateForPortfolio( currentWeightedPositions );
  			WeightedPositions weightedPositionsThatMightBeOpended =
! 				this.getWeightedPositionsIfThereIsInefficiency(
! 					currentDateTime , returnsManagerToTestInefficiency , candidateForPortfolio );
  			if ( weightedPositionsThatMightBeOpended != null )
  				// the current couple has not an inefficiency that's in the range
***************
*** 304,308 ****
  		protected ArrayList getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  //			DateTime dateTimeToClosePositions ,
  			HistoricalMarketValueProvider
--- 326,331 ----
  		protected ArrayList getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime currentDateTime ,
! 			ReturnsManager returnsManagerToTestInefficiency ,
  //			DateTime dateTimeToClosePositions ,
  			HistoricalMarketValueProvider
***************
*** 314,327 ****
  			     currentTestingPositionsIndex++ )
  			{
! 				if ( this.areAllNeededMarketValuesAvailableForTheCurrentCouple(
  					bestTestingPositionsInSample ,
  					currentTestingPositionsIndex ,
! //					dateTimeToClosePositions ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample ) )
! 					this.addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
! 						bestTestingPositionsInSample ,
! 						returnsManagerForLastSecondPhaseInterval ,
! 						currentTestingPositionsIndex ,
! 						inefficientCouples );
  			}
  			return inefficientCouples;
--- 337,351 ----
  			     currentTestingPositionsIndex++ )
  			{
! //				if ( this.areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //					bestTestingPositionsInSample ,
! //					currentTestingPositionsIndex ,
! 				////					dateTimeToClosePositions ,
! //					historicalMarketValueProviderForChosingPositionsOutOfSample ) )
! 				this.addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
  					bestTestingPositionsInSample ,
+ 					currentDateTime ,
+ 					returnsManagerToTestInefficiency ,
  					currentTestingPositionsIndex ,
! 					inefficientCouples );
  			}
  			return inefficientCouples;
***************
*** 340,344 ****
  				historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval =
  				this.getReturnsManagerToTestInefficiency(
  					currentDateTime ,
--- 364,368 ----
  				historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
! 			ReturnsManager returnsManagerToTestInefficiency =
  				this.getReturnsManagerToTestInefficiency(
  					currentDateTime ,
***************
*** 349,353 ****
  				this.getInefficientCouples(
  					bestTestingPositionsInSample ,
! 					returnsManagerForLastSecondPhaseInterval ,
  //					dateTimeToClosePositions ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
--- 373,378 ----
  				this.getInefficientCouples(
  					bestTestingPositionsInSample ,
! 					currentDateTime ,
! 					returnsManagerToTestInefficiency ,
  //					dateTimeToClosePositions ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );

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

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooser.cs, 1.6, 1.7