[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.28, 1.29

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv24351/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
The new PairsTradingIntradayStrategy is called

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.28
retrieving revision 1.29
diff -C2 -d -r1.28 -r1.29
*** PairsTradingMain.cs	18 Feb 2009 20:05:34 -0000	1.28
--- PairsTradingMain.cs	28 Feb 2009 18:42:14 -0000	1.29
***************
*** 71,78 ****
  
  			this.historicalMarketValueProviderForInSample =
! 				new HistoricalRawQuoteProvider();
  
  			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! 				this.getHistoricalBarProvider();
  //			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
  //				new HistoricalAdjustedQuoteProvider();
--- 71,78 ----
  
  			this.historicalMarketValueProviderForInSample =
! 				new HistoricalAdjustedQuoteProvider();
  
  			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! 				this.getHistoricalMarketValueProviderForChosingPositionsOutOfSample();
  //			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
  //				new HistoricalAdjustedQuoteProvider();
***************
*** 81,85 ****
  
  			this.historicalMarketValueProviderForTheBacktesterAccount =
! 				this.historicalMarketValueProviderForChosingPositionsOutOfSample;
  //			this.historicalMarketValueProviderForTheBacktesterAccount =
  //				new HistoricalRawQuoteProvider();
--- 81,85 ----
  
  			this.historicalMarketValueProviderForTheBacktesterAccount =
! 				this.getHistoricalMarketValueProviderForTheBacktesterAccount();
  //			this.historicalMarketValueProviderForTheBacktesterAccount =
  //				new HistoricalRawQuoteProvider();
***************
*** 98,101 ****
--- 98,103 ----
  		}
  		
+ 		#region getHistoricalMarketValueProviderForChosingPositionsOutOfSample
+ 		
  		#region getHistoricalBarProvider
  		
***************
*** 117,122 ****
  		private IBarCache getBarCache()
  		{
! 			List< Time > dailyTimes = this.getDailyTimes();
! 			IBarCache barCache = new DailyBarCache( 60 , dailyTimes );
  			return barCache;
  		}
--- 119,125 ----
  		private IBarCache getBarCache()
  		{
! //			List< Time > dailyTimes = this.getDailyTimes();
! //			IBarCache barCache = new DailyBarCache( 60 , dailyTimes );
! 			IBarCache barCache = new SimpleBarCache( 60 );
  			return barCache;
  		}
***************
*** 126,134 ****
  		{
  			IBarCache barCache = getBarCache();
! 			HistoricalBarProvider historicalBarProvider =
! 				new HistoricalBarProvider( barCache );
  			return historicalBarProvider;
  		}
  		#endregion getHistoricalBarProvider
  
  		protected override IEligiblesSelector getEligiblesSelector()
--- 129,158 ----
  		{
  			IBarCache barCache = getBarCache();
! 			HistoricalBarProvider historicalBarProvider = new HistoricalBarProvider( barCache );
  			return historicalBarProvider;
  		}
  		#endregion getHistoricalBarProvider
+ 		
+ 		private HistoricalMarketValueProvider
+ 			getHistoricalMarketValueProviderForChosingPositionsOutOfSample()
+ 		{
+ 			HistoricalBarProvider historicalBarProvider =
+ 				this.getHistoricalBarProvider();
+ //			HistoricalMarketValueProviderWithQuoteBackupOnClose
+ //				historicalMarketValueProviderForChosingPositionsOutOfSample =
+ //				new HistoricalMarketValueProviderWithQuoteBackupOnClose( historicalBarProvider );
+ 			return historicalBarProvider;
+ 		}
+ 		#endregion getHistoricalMarketValueProviderForChosingPositionsOutOfSample
+ 		
+ 		private HistoricalMarketValueProvider
+ 			getHistoricalMarketValueProviderForTheBacktesterAccount()
+ 		{
+ 			HistoricalMarketValueProviderWithQuoteBackupOnClose
+ 				historicalMarketValueProviderForTheBacktesterAccount =
+ 				new HistoricalMarketValueProviderWithQuoteBackupOnClose(
+ 					this.historicalMarketValueProviderForChosingPositionsOutOfSample );
+ 			return historicalMarketValueProviderForTheBacktesterAccount;
+ 		}
  
  		protected override IEligiblesSelector getEligiblesSelector()
***************
*** 138,142 ****
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
  
  //			IEligiblesSelector eligiblesSelector =
--- 162,166 ----
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! //			tickersGroupId = "fastTest";
  
  //			IEligiblesSelector eligiblesSelector =
***************
*** 168,172 ****
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! 			numberOfBestTestingPositionsToBeReturned = 10;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
--- 192,196 ----
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! //			numberOfBestTestingPositionsToBeReturned = 10;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
***************
*** 237,247 ****
  			OutOfSampleChooser outOfSampleChooser =
  				new OutOfSampleChooserForSingleLongAndShort(
! 					0.01 , 0.03 , 0.01 , 0.03 );
  //			outOfSampleChooser =
  //				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 =
--- 261,274 ----
  			OutOfSampleChooser outOfSampleChooser =
  				new OutOfSampleChooserForSingleLongAndShort(
! 					this.firstTimeToTestInefficiency , 0.01 , 0.03 , 0.01 , 0.03 );
  //			outOfSampleChooser =
  //				new OutOfSampleChooserForExactNumberOfBestLongPositions(
  //				2 ,	0.006 , 0.99 , 0.006 , 0.99 );
+ 			IInefficiencyCorrectionDetector inefficiencyCorrectionDetector =
+ 				new ConsecutiveMinutesOfCorrectionDetector(
+ 					this.historicalMarketValueProviderForChosingPositionsOutOfSample , 4 );
  			outOfSampleChooser =
  				new OutOfSampleChooserForAlreadyClosing(
! 					0.006 , 0.03 , 0.006 , 0.03 , inefficiencyCorrectionDetector );
  
  			IStrategyForBacktester strategyForBacktester =
***************
*** 254,257 ****
--- 281,288 ----
  					outOfSampleChooser );
  			
+ 			IExitStrategy exitStrategy = new TakeProfitStrategyOrOnMarketClose(
+ 				outOfSampleChooser.MinThresholdForGoingLong / 2 ,
+ 				this.historicalMarketValueProviderForChosingPositionsOutOfSample );
+ 			
  			strategyForBacktester =
  				new PairsTradingIntradayStrategy(
***************
*** 264,277 ****
  					this.historicalMarketValueProviderForInSample ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 					outOfSampleChooser );
! //			qui!!!
! //			strategyForBacktester =
! //				new PairsTradingAfterClosingStrategy(
! //					7 , inSampleDays ,
! //					intervalsSelectorForInSample ,
! //					eligiblesSelector , inSampleChooser ,
! //					this.historicalMarketValueProviderForInSample ,
! //					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! //					outOfSampleChooser );
  			return strategyForBacktester;
  		}
--- 295,302 ----
  					this.historicalMarketValueProviderForInSample ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 					outOfSampleChooser , exitStrategy ,
! 					new Time(  10 , 0 , 0 ) ,
! 					new Time(  15 , 30 , 0 )
! 				);
  			return strategyForBacktester;
  		}
***************
*** 302,308 ****
  			firstDateTime = new DateTime( 2006 , 1 , 2 );
  //			lastDateTime = new DateTime( 2007 , 12 , 31 );
! 			lastDateTime = new DateTime( 2006 , 1 , 31 );
  
! 			double maxRunningHours = 2.5;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
--- 327,333 ----
  			firstDateTime = new DateTime( 2006 , 1 , 2 );
  //			lastDateTime = new DateTime( 2007 , 12 , 31 );
! 			lastDateTime = new DateTime( 2006 , 12 , 31 );
  
! 			double maxRunningHours = 11;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
***************
*** 322,326 ****
  		{
  			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				"C:\\qpReports\\pairsTrading\\";
  			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
  		}
--- 347,351 ----
  		{
  			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				@"T:\senzaBackup\qpReports\pairsTrading\";
  			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
  		}
***************
*** 349,353 ****
  		{
  			string fullPathFileNameForMain =
! 				@"C:\QuantProject\QuantProject\b7_Scripts\WalkForwardTesting\PairsTrading\PairsTradingMain.cs";
  			return fullPathFileNameForMain;
  		}
--- 374,378 ----
  		{
  			string fullPathFileNameForMain =
! 				@"T:\QuantProject\QuantProject\b7_Scripts\WalkForwardTesting\PairsTrading\PairsTradingMain.cs";
  			return fullPathFileNameForMain;
  		}