[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/EntryStrategies EntryStrategyBasedOnForecastedReturn.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/EntryStrategies
In directory vz-cvs-3.sog:/tmp/cvs-serv6100/b7_Scripts/WalkForwardTesting/LinearRegression/EntryStrategies

Modified Files:
	EntryStrategyBasedOnForecastedReturn.cs 
Log Message:
bug fixed: now the forecasted return is computed properly

Index: EntryStrategyBasedOnForecastedReturn.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/EntryStrategies/EntryStrategyBasedOnForecastedReturn.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EntryStrategyBasedOnForecastedReturn.cs	28 Mar 2010 15:51:40 -0000	1.1
--- EntryStrategyBasedOnForecastedReturn.cs	3 Aug 2011 22:30:32 -0000	1.2
***************
*** 109,114 ****
  			double[] outOfSampleValuesForSignalingPortfolios )
  		{
! 			double forecastedReturn = 0;		// the first coefficient is for the constant regressor
! 												// and it has no return
  			for ( int i = 1;
  			     i < candidate.LinearRegression.EstimatedCoefficients.Length ;
--- 109,115 ----
  			double[] outOfSampleValuesForSignalingPortfolios )
  		{
! 			// the first coefficient is for the constant regressor
! 			double forecastedReturn = candidate.LinearRegression.EstimatedCoefficients[ 0 ];
! 			
  			for ( int i = 1;
  			     i < candidate.LinearRegression.EstimatedCoefficients.Length ;
***************
*** 116,120 ****
  				forecastedReturn +=
  					candidate.LinearRegression.EstimatedCoefficients[ i ] *
! 					outOfSampleValuesForSignalingPortfolios[ i ];
  			return forecastedReturn;
  		}
--- 117,121 ----
  				forecastedReturn +=
  					candidate.LinearRegression.EstimatedCoefficients[ i ] *
! 					outOfSampleValuesForSignalingPortfolios[ i - 1 ];
  			return forecastedReturn;
  		}
***************
*** 123,127 ****
  			ReturnInterval outOfSampleReturnIntervalForSignaling )
  		{
! 			double forecastedReturn = double.MinValue;;
  			double[] outOfSampleValuesForSignalingPortfolios =
  				this.getOutOfSampleValuesForSignalingPortfolios(
--- 124,128 ----
  			ReturnInterval outOfSampleReturnIntervalForSignaling )
  		{
! 			double forecastedReturn = double.MinValue;
  			double[] outOfSampleValuesForSignalingPortfolios =
  				this.getOutOfSampleValuesForSignalingPortfolios(