[Quantproject-developers] QuantProject/b4_Business/a2_Strategies BasicStrategyForBacktester.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv17549/a2_Strategies

Modified Files:
	BasicStrategyForBacktester.cs 
Log Message:
A new protected member outOfSampleReturnIntervals has been added.
Out of sample return intervals are updated whenever NewDateTimeEventHandler starts executing.
An virtual implementation of arePositionsToBeOpened() is now given.

Index: BasicStrategyForBacktester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/BasicStrategyForBacktester.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** BasicStrategyForBacktester.cs	10 Dec 2008 19:29:27 -0000	1.4
--- BasicStrategyForBacktester.cs	28 Mar 2010 14:07:24 -0000	1.5
***************
*** 51,55 ****
  		protected int numDaysForInSampleOptimization;
  		protected IIntervalsSelector intervalsSelectorForInSample;
! //		protected IIntervalsSelector intervalsSelectorForOutOfSample;
  		protected IEligiblesSelector eligiblesSelector;
  		protected IInSampleChooser inSampleChooser;
--- 51,55 ----
  		protected int numDaysForInSampleOptimization;
  		protected IIntervalsSelector intervalsSelectorForInSample;
! 		protected IIntervalsSelector intervalsSelectorForOutOfSample;
  		protected IEligiblesSelector eligiblesSelector;
  		protected IInSampleChooser inSampleChooser;
***************
*** 57,60 ****
--- 57,61 ----
  		
  		protected DateTime lastOptimizationDateTime;
+ 		protected ReturnIntervals outOfSampleReturnIntervals;
  		private Account account;
  		
***************
*** 124,128 ****
  			int numDaysForInSampleOptimization ,
  			IIntervalsSelector intervalsSelectorForInSample ,
! //			IIntervalsSelector intervalsSelectorForOutOfSample ,
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
--- 125,129 ----
  			int numDaysForInSampleOptimization ,
  			IIntervalsSelector intervalsSelectorForInSample ,
! 			IIntervalsSelector intervalsSelectorForOutOfSample ,
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
***************
*** 133,137 ****
  			this.numDaysForInSampleOptimization = numDaysForInSampleOptimization;
  			this.intervalsSelectorForInSample = intervalsSelectorForInSample;
! //			this.intervalsSelectorForOutOfSample = intervalsSelectorForOutOfSample;
  			this.eligiblesSelector = eligiblesSelector;
  			this.inSampleChooser = inSampleChooser;
--- 134,138 ----
  			this.numDaysForInSampleOptimization = numDaysForInSampleOptimization;
  			this.intervalsSelectorForInSample = intervalsSelectorForInSample;
! 			this.intervalsSelectorForOutOfSample = intervalsSelectorForOutOfSample;
  			this.eligiblesSelector = eligiblesSelector;
  			this.inSampleChooser = inSampleChooser;
***************
*** 139,148 ****
  				historicalMarketValueProviderForInSample;
  			
! //			this.returnIntervals =
! //				new ReturnIntervals( this.intervalsSelectorForOutOfSample );
  		}
  		
  		#region NewDateTimeEventHandler
  		
  		#region updateOptimalTestingPositions
  		
--- 140,163 ----
  				historicalMarketValueProviderForInSample;
  			
! 			this.outOfSampleReturnIntervals =
! 				new ReturnIntervals( this.intervalsSelectorForOutOfSample );
  		}
  		
  		#region NewDateTimeEventHandler
  		
+ 		private void updateReturnIntervals()
+ 		{
+ 			DateTime currentDateTime = this.now();
+ 			if ( this.outOfSampleReturnIntervals.Count == 0 )
+ 				// no interval has been added yet
+ 				this.outOfSampleReturnIntervals.AppendFirstInterval(
+ 					currentDateTime );
+ 			else
+ 				// at least one interval has already been added
+ 				if ( this.outOfSampleReturnIntervals.LastDateTime <= currentDateTime )
+ 				this.outOfSampleReturnIntervals.AppendIntervalsToGoJustBeyond(
+ 					currentDateTime );
+ 		}
+ 
  		#region updateOptimalTestingPositions
  		
***************
*** 241,255 ****
  		
  		protected abstract bool arePositionsToBeClosed();
! 		protected abstract bool arePositionsToBeOpened();
  		protected abstract WeightedPositions getPositionsToBeOpened();
  		
  		public void NewDateTimeEventHandler( Object sender , DateTime dateTime )
  		{
  			if ( this.areOptimalWeightedPositionsToBeUpdated() )
  				this.updateOptimalTestingPositions();
- 			if ( ( dateTime.Month == 3 ) && ( dateTime.Day == 15 ) )
- 			{
- 				;
- 			}
  			if ( this.arePositionsToBeClosed() )
  				AccountManager.ClosePositions( this.account );
--- 256,285 ----
  		
  		protected abstract bool arePositionsToBeClosed();
! 		
! 		#region arePositionsToBeOpened
! 		protected ReturnInterval lastIntervalAppended()
! 		{
! 			ReturnInterval lastInterval =
! 				this.outOfSampleReturnIntervals[ this.outOfSampleReturnIntervals.Count - 1 ];
! 			return lastInterval;
! 		}
! 		protected virtual bool arePositionsToBeOpened()
! 		{
! 			bool beginsTheLastInterval =
! 				( this.now() ==
! 				 this.lastIntervalAppended().Begin );
! 			bool areToBeOpened =
! 				( beginsTheLastInterval && this.bestTestingPositionsInSample != null );
! 			return ( beginsTheLastInterval );
! 		}
! 		#endregion arePositionsToBeOpened
! 		
  		protected abstract WeightedPositions getPositionsToBeOpened();
  		
  		public void NewDateTimeEventHandler( Object sender , DateTime dateTime )
  		{
+ 			this.updateReturnIntervals();
  			if ( this.areOptimalWeightedPositionsToBeUpdated() )
  				this.updateOptimalTestingPositions();
  			if ( this.arePositionsToBeClosed() )
  				AccountManager.ClosePositions( this.account );