[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging TesterForPairsTradingTestingPositions.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv30075/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

Modified Files:
	TesterForPairsTradingTestingPositions.cs 
Log Message:
This class has been changed to test ticker couples intraday (to be further improved)

Index: TesterForPairsTradingTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/TesterForPairsTradingTestingPositions.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** TesterForPairsTradingTestingPositions.cs	12 Nov 2008 20:44:38 -0000	1.6
--- TesterForPairsTradingTestingPositions.cs	28 Feb 2009 18:45:06 -0000	1.7
***************
*** 3,7 ****
  
  TesterForPairsTradingTestingPositions.cs
! Copyright (C) 2008
  Glauco Siliprandi
  
--- 3,7 ----
  
  TesterForPairsTradingTestingPositions.cs
! Copyright (C) 2009
  Glauco Siliprandi
  
***************
*** 24,27 ****
--- 24,29 ----
  using System.Drawing;
  
+ using QuantProject.ADT.Histories;
+ using QuantProject.Data.DataProviders.Bars.Caching;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting.AccountProviding;
***************
*** 33,36 ****
--- 35,39 ----
  using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
  using QuantProject.Business.Timing;
+ using QuantProject.Presentation;
  using QuantProject.Presentation.Reporting.WindowsForm;
  using QuantProject.Scripts.General.Strategies;
***************
*** 48,51 ****
--- 51,56 ----
  		private DateTime dateTimeWhenThisObjectWasLogged;
  		
+ 		private HistoricalMarketValueProvider historicalMarketValueProvider;
+ 		
  		/// <summary>
  		/// Generation when the TestingPositions object has been created
***************
*** 79,84 ****
  			this.testingPositions = (PairsTradingTestingPositions)testingPositions;
  			this.numberOfInSampleDays = numberOfInSampleDays;
! 			this.dateTimeWhenThisObjectWasLogged =
! 				dateTimeWhenThisObjectWasLogged;
  		}
  		private void checkParameters( TestingPositions testingPositions )
--- 84,88 ----
  			this.testingPositions = (PairsTradingTestingPositions)testingPositions;
  			this.numberOfInSampleDays = numberOfInSampleDays;
! 			this.dateTimeWhenThisObjectWasLogged =	dateTimeWhenThisObjectWasLogged;
  		}
  		private void checkParameters( TestingPositions testingPositions )
***************
*** 89,202 ****
  					"PairsTradingTestingPositions!" );
  		}
! 		
  		#region Run
! 		private AccountReport getAccountReport(
! 			WeightedPositions weightedPositions ,
! 			IIntervalsSelector intervalsSelector ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
! 			Benchmark benchmark ,
! 			double cashToStart )
  		{
- 			SimpleStrategy simpleStrategy =
- 				new SimpleStrategy( weightedPositions ,
- 				                   intervalsSelector , historicalMarketValueProvider );
- 			IAccountProvider accountProvider =
- 				new SimpleAccountProvider();
- 
  			DateTime firstDateTime =
! 				this.dateTimeWhenThisObjectWasLogged.AddDays(
! 					- this.numberOfInSampleDays );
  			DateTime lastDateTime =
! 				this.dateTimeWhenThisObjectWasLogged;
! 			double maxRunningHours = 0.3;
! 			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
! 				new EndOfDayStrategyBackTester(
! 					"SinglePosition" ,
! 					new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
! 						HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
! 						benchmark.Ticker ) ,
! 					simpleStrategy ,
! 					historicalMarketValueProvider , accountProvider ,
! 					firstDateTime , lastDateTime ,
! 					benchmark , cashToStart , maxRunningHours );
! 
! //			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
! 
! 			endOfDayStrategyBackTester.Run();
! 			return endOfDayStrategyBackTester.AccountReport;
  		}
! 		private double getWeightedPositions_getWeight(
! 			WeightedPosition weightedPosition )
  		{
! 			double weight = 1;
! 			if ( weightedPosition.IsShort )
! 				// the current WeightedPosition is short in the couple correlation
! 				weight = -1;
! 			return weight;
  		}
! 		private WeightedPositions getWeightedPositions(
! 			WeightedPosition weightedPosition )
  		{
! //			double[] weights = { 1 };
! 			double[] weights = { this.getWeightedPositions_getWeight( weightedPosition ) };
! 			string[] tickers = { weightedPosition.Ticker };
! 			WeightedPositions weightedPositions =
! 				new WeightedPositions( weights , tickers );
! 			return weightedPositions;
  		}
  		public void Run()
  		{
! 			//			string backTestId = "SimplePairsTrading";
! 			//			double cashToStart = 30000;
! 
! 			Benchmark benchmark = new Benchmark( "MSFT" );
! 
! 			HistoricalMarketValueProvider historicalMarketValueProvider =
! 				new HistoricalAdjustedQuoteProvider();
! 
! 			//			IInSampleChooser inSampleChooser =
! 			//				(IInSampleChooser)new ConstantWeightedPositionsChooser(
! 			//				this.BestWeightedPositionsInSample );
! 
! 			IIntervalsSelector intervalsSelector =
! 				new OddIntervalsSelector(	1 , 1 , benchmark );
! 			IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();
! 
! 			WeightedPositions weightedPositions =
! 				this.testingPositions.WeightedPositions;
! 			
! 			WeightedPositions firstPosition =
! 				this.getWeightedPositions( weightedPositions[ 0 ] );
! 			WeightedPositions secondPosition =
! 				this.getWeightedPositions( weightedPositions[ 1 ] );
! 			AccountReport accountReportForFirstPosition =
! 				this.getAccountReport( firstPosition , intervalsSelector ,
! 				                      historicalMarketValueProvider ,
! 				                      benchmark , 30000 );
! 			AccountReport accountReportForSecondPosition =
! 				this.getAccountReport( secondPosition , intervalsSelector ,
! 				                      historicalMarketValueProvider ,
! 				                      benchmark ,
! 				                      Math.Abs(	30000 * weightedPositions[ 1 ].Weight /
! 				                               weightedPositions[ 0 ].Weight ) );
! 			
! 			Report report =
! 				new Report( accountReportForFirstPosition , false );
! 			DateTime lastDateTimeForReport =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
! 					accountReportForFirstPosition.EquityLine.LastDateTime );
! //				new EndOfDayDateTime(
! //				accountReportForFirstPosition.EquityLine.LastDateTime ,
! //				EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			
! 			//			report.Create( "PearsonDebug" , 1 ,
! 			//			              lastEndOfDayDateTimeForReport ,
! 			//			              benchmark.Ticker , false );
! 			report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
! 			                     Color.Brown );
! 			report.ShowDialog();
  		}
  		#endregion Run
  
  	}
  }
--- 93,172 ----
  					"PairsTradingTestingPositions!" );
  		}
! 
  		#region Run
! 		
! 		#region getHistory
! 		
! 		#region addItemsToHistory
! 		private DateTime getFirstDateTime()
  		{
  			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen(
! 					this.dateTimeWhenThisObjectWasLogged.AddDays( 1 ) );
! 			return firstDateTime;
! 		}
! 		private DateTime getLastDateTime()
! 		{
! 			DateTime firstDateTime = this.getFirstDateTime();
  			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( firstDateTime );
! 			return lastDateTime;
  		}
! 		private void addItemToHistory(
! 			WeightedPosition weightedPosition , DateTime dateTime , History history )
  		{
! 			try
! 			{
! 			double marketValue = this.historicalMarketValueProvider.GetMarketValue(
! 				weightedPosition.Ticker , dateTime );
! 			history.Add( dateTime , marketValue );
! 			}
! 			catch( TickerNotExchangedException tickerNotExchangedException )
! 			{
! 				string toAvoidWarning = tickerNotExchangedException.Message;
! 			}
  		}
! 		private void addItemsToHistory( WeightedPosition weightedPosition , History history )
  		{
! 			DateTime currentDateTime = this.getFirstDateTime();
! 			DateTime lastDateTime = this.getLastDateTime();
! 			while ( currentDateTime <= lastDateTime )
! 			{
! 				this.addItemToHistory( weightedPosition , currentDateTime , history );
! 				currentDateTime = currentDateTime.AddMinutes( 1 );
! 			}
! 		}
! 		#endregion addItemsToHistory
! 		
! 		private History getHistory( WeightedPosition weightedPosition )
! 		{
! 			History history = new History();
! 			this.addItemsToHistory( weightedPosition , history );
! 			return history;
! 		}
! 		#endregion getHistory
! 		
! 		private void showHistoriesPlots(
! 			History historyForFirstPosition , History historyForSecondPosition )
! 		{
! 			HistoriesViewer historiesViewer = new HistoriesViewer();
! 			historiesViewer.Add( historyForFirstPosition , Color.Green );
! 			historiesViewer.Add( historyForSecondPosition , Color.Red );
! 			historiesViewer.ShowDialog();
  		}
+ 		
  		public void Run()
  		{
! 			this.historicalMarketValueProvider = new HistoricalBarProvider(
! 				new SimpleBarCache( 60 ) );
! 			History historyForFirstPosition = this.getHistory(
! 				this.testingPositions.WeightedPositions[ 0 ] );
! 			History historyForSecondPosition = this.getHistory(
! 				this.testingPositions.WeightedPositions[ 1 ] );
! 			this.showHistoriesPlots( historyForFirstPosition , historyForSecondPosition );
  		}
  		#endregion Run
  
+ 
  	}
  }