[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies PairsTradingIntradayStrategy.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv24044/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies

Modified Files:
	PairsTradingIntradayStrategy.cs 
Log Message:
The signature for the OutOfSampleChooser has been changed to
this.outOfSampleChooser.GetPositionsToBeOpened( this.bestTestingPositionsInSample ,  currentDateTime )
and the code has been changed accordingly

Index: PairsTradingIntradayStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingIntradayStrategy.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PairsTradingIntradayStrategy.cs	18 Feb 2009 20:05:34 -0000	1.4
--- PairsTradingIntradayStrategy.cs	28 Feb 2009 18:41:30 -0000	1.5
***************
*** 30,33 ****
--- 30,34 ----
  using QuantProject.Business.Strategies.Logging;
  using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
+ using QuantProject.Business.Timing;
  
  namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
***************
*** 45,48 ****
--- 46,52 ----
  			historicalMarketValueProviderForChosingPositionsOutOfSample;
  		private OutOfSampleChooser outOfSampleChooser;
+ 		private IExitStrategy exitStrategy;
+ 		private Time timeToBeginToTryToOpenPositions;
+ 		private Time timeToStopToTryToOpenPositions;
  		
  		public PairsTradingIntradayStrategy(
***************
*** 50,54 ****
  			int numDaysForInSampleOptimization ,
  			IIntervalsSelector intervalsSelectorForInSample ,
- //			IIntervalsSelector intervalsSelectorForOutOfSample ,
  			Time firstTimeToTestInefficiency ,
  			Time lastTimeToTestInefficiency ,
--- 54,57 ----
***************
*** 59,63 ****
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 			OutOfSampleChooser outOfSampleChooser ) :
  			base(
  				numDaysBeetweenEachOtpimization ,
--- 62,70 ----
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 			OutOfSampleChooser outOfSampleChooser ,
! 			IExitStrategy exitStrategy ,
! 			Time timeToBeginToTryToOpenPositions ,
! 			Time timeToStopToTryToOpenPositions
! 		) :
  			base(
  				numDaysBeetweenEachOtpimization ,
***************
*** 70,76 ****
  		{
  			this.checkParameters(
! 				firstTimeToTestInefficiency ,
! 				lastTimeToTestInefficiency ,
! 				timeToClosePositions );
  			this.firstTimeToTestInefficiency = firstTimeToTestInefficiency;
  			this.lastTimeToTestInefficiency = lastTimeToTestInefficiency;
--- 77,82 ----
  		{
  			this.checkParameters(
! 				timeToBeginToTryToOpenPositions ,
! 				timeToStopToTryToOpenPositions );
  			this.firstTimeToTestInefficiency = firstTimeToTestInefficiency;
  			this.lastTimeToTestInefficiency = lastTimeToTestInefficiency;
***************
*** 79,95 ****
  				historicalMarketValueProviderForChosingPositionsOutOfSample;
  			this.outOfSampleChooser = outOfSampleChooser;
  		}
  		
  		private void checkParameters(
! 			Time firstTimeToTestInefficiency ,
! 			Time lastTimeToTestInefficiency ,
! 			Time timeToClosePositions )
  		{
! 			if ( firstTimeToTestInefficiency >= lastTimeToTestInefficiency )
! 				throw new Exception(
! 					"firstTimeToTestInefficiency must come before lastTimeToTestInefficiency" );
! 			if ( lastTimeToTestInefficiency >= timeToClosePositions )
  				throw new Exception(
! 					"lastTimeToTestInefficiency must come before timeToClosePositions" );
  		}
  		
--- 85,100 ----
  				historicalMarketValueProviderForChosingPositionsOutOfSample;
  			this.outOfSampleChooser = outOfSampleChooser;
+ 			this.exitStrategy = exitStrategy;
+ 			this.timeToBeginToTryToOpenPositions = timeToBeginToTryToOpenPositions;
+ 			this.timeToStopToTryToOpenPositions = timeToStopToTryToOpenPositions;
  		}
  		
  		private void checkParameters(
! 			Time timeToBeginToTryToOpenPositions ,
! 			Time timeToStopToTryToOpenPositions )
  		{
! 			if ( timeToBeginToTryToOpenPositions >= timeToStopToTryToOpenPositions )
  				throw new Exception(
! 					"timeToBeginToTryToOpenPositions come before timeToStopToTryToOpenPositions" );
  		}
  		
***************
*** 109,130 ****
  		}
  		
  		protected override bool arePositionsToBeClosed()
  		{
  			bool areToBeClosed =
! 				( this.Account.Portfolio.Count > 1 );
  			areToBeClosed = (
  				areToBeClosed &&
! 				( this.time() == this.timeToClosePositions ) );
  			return ( areToBeClosed );
  		}
- 		
- 		protected override bool arePositionsToBeOpened()
- 		{
- 			bool areToBeOpened = ( this.time() == this.lastTimeToTestInefficiency );
- 			areToBeOpened =
- 				( areToBeOpened &&
- 				 ( this.bestTestingPositionsInSample != null ) );
- 			return ( areToBeOpened );
- 		}
  
  		#region getPositionsToBeOpened
--- 114,149 ----
  		}
  		
+ 		
+ 		#region arePositionsToBeOpened
+ 		private bool isAValidTimeToTryToOpenPositins()
+ 		{
+ 			Time currentTime = this.time();
+ 			bool isAValidTimeToTryToOpen =
+ 				(
+ 					( currentTime >= this.timeToBeginToTryToOpenPositions ) &&
+ 					( currentTime <= this.timeToStopToTryToOpenPositions )
+ 				);
+ 			return isAValidTimeToTryToOpen;
+ 		}
+ 		protected override bool arePositionsToBeOpened()
+ 		{
+ 			bool areToBeOpened = ( this.Account.Portfolio.Count == 0 );
+ 			areToBeOpened = ( areToBeOpened && ( this.bestTestingPositionsInSample != null ) );
+ 			areToBeOpened = ( areToBeOpened && this.isAValidTimeToTryToOpenPositins() );
+ 			return areToBeOpened;
+ 		}
+ 		#endregion arePositionsToBeOpened
+ 
  		protected override bool arePositionsToBeClosed()
  		{
  			bool areToBeClosed =
! 				( this.Account.Portfolio.Count > 0 );
  			areToBeClosed = (
  				areToBeClosed &&
! 				this.exitStrategy.ArePositionsToBeClosed(
! 					this.now() , this.Account ) );
! //				( this.time() == this.timeToClosePositions ) );
  			return ( areToBeClosed );
  		}
  
  		#region getPositionsToBeOpened
***************
*** 137,186 ****
  			return dateTimeForCurrentDate;
  		}
! 		private DateTime getFirstDateTimeToTestInefficiency()
! 		{
! //			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 =
! 				this.getDateTimeForCurrentDate( this.firstTimeToTestInefficiency );
! 			return firstDateTimeToTestInefficiency;
! 		}
! 		private DateTime getLastDateTimeToTestInefficiency()
! 		{
! //			DateTime now = this.now();
! //			DateTime lastDateTimeToTestInefficiency = new DateTime(
! //				now.Year , now.Month , now.Day ,
! //				this.lastTimeToTestInefficiency.Hour ,
! //				this.lastTimeToTestInefficiency.Minute ,
! //				this.lastTimeToTestInefficiency.Second );
! 			DateTime lastDateTimeToTestInefficiency =
! 				this.getDateTimeForCurrentDate( this.lastTimeToTestInefficiency );
! 			return lastDateTimeToTestInefficiency;
! 		}
! 		private DateTime getDateTimeToClosePositions()
! 		{
! 			DateTime dateTimeToClosePositions =
! 				this.getDateTimeForCurrentDate( this.timeToClosePositions );
! 			return dateTimeToClosePositions;
! 		}
  		protected override WeightedPositions getPositionsToBeOpened()
  		{
  //			DateTime firstDateTimeToTestInefficiency =
  //				this.getFirstDateTimeToTestInefficiency();
! 			DateTime lastDateTimeToTestInefficiency =
! 				this.getLastDateTimeToTestInefficiency();
  			// 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
! 			DateTime dateTimeToClosePositions =
! 				this.getDateTimeToClosePositions();
  			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  					this.bestTestingPositionsInSample ,
  //					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
  //					dateTimeToClosePositions ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
--- 156,206 ----
  			return dateTimeForCurrentDate;
  		}
! //		private DateTime getFirstDateTimeToTestInefficiency()
! //		{
! 		////			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 =
! //				this.getDateTimeForCurrentDate( this.firstTimeToTestInefficiency );
! //			return firstDateTimeToTestInefficiency;
! //		}
! //		private DateTime getLastDateTimeToTestInefficiency()
! //		{
! 		////			DateTime now = this.now();
! 		////			DateTime lastDateTimeToTestInefficiency = new DateTime(
! 		////				now.Year , now.Month , now.Day ,
! 		////				this.lastTimeToTestInefficiency.Hour ,
! 		////				this.lastTimeToTestInefficiency.Minute ,
! 		////				this.lastTimeToTestInefficiency.Second );
! //			DateTime lastDateTimeToTestInefficiency =
! //				this.getDateTimeForCurrentDate( this.lastTimeToTestInefficiency );
! //			return lastDateTimeToTestInefficiency;
! //		}
! //		private DateTime getDateTimeToClosePositions()
! //		{
! //			DateTime dateTimeToClosePositions =
! //				this.getDateTimeForCurrentDate( this.timeToClosePositions );
! //			return dateTimeToClosePositions;
! //		}
  		protected override WeightedPositions getPositionsToBeOpened()
  		{
  //			DateTime firstDateTimeToTestInefficiency =
  //				this.getFirstDateTimeToTestInefficiency();
! //			DateTime lastDateTimeToTestInefficiency =
! //				this.getLastDateTimeToTestInefficiency();
  			// 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
! //			DateTime dateTimeToClosePositions =
! //				this.getDateTimeToClosePositions();
! 			DateTime currentDateTime = this.now();
  			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  					this.bestTestingPositionsInSample ,
  //					firstDateTimeToTestInefficiency ,
! 					currentDateTime ,
  //					dateTimeToClosePositions ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,