[Quantproject-developers] QuantProject/t5_Testing/b7_scripts/linearRegression TestEntryStrategyBasedOnForecastedReturn.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression
In directory vz-cvs-3.sog:/tmp/cvs-serv9868/t5_Testing/b7_scripts/linearRegression

Modified Files:
	TestEntryStrategyBasedOnForecastedReturn.cs 
Log Message:
the test has been changed to thest the new GetIndependentVariablesValues() implementation

Index: TestEntryStrategyBasedOnForecastedReturn.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/t5_Testing/b7_scripts/linearRegression/TestEntryStrategyBasedOnForecastedReturn.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TestEntryStrategyBasedOnForecastedReturn.cs	28 Mar 2010 17:05:24 -0000	1.1
--- TestEntryStrategyBasedOnForecastedReturn.cs	3 Aug 2011 22:37:46 -0000	1.2
***************
*** 100,104 ****
  			LinearRegressionTestingPositions mockLinearRegressionTestingPositions2 =
  				this.getMockLinearRegressionTestingPositions(
! 					new double[] { 1 , 0 , 2 } ,
  					new WeightedPositions(
  						new double[] { 0.4 , -0.6 } , new string[] { "TA2" , "TB2" } ) );
--- 100,104 ----
  			LinearRegressionTestingPositions mockLinearRegressionTestingPositions2 =
  				this.getMockLinearRegressionTestingPositions(
! 					new double[] { 0.3 , 0 , -2 } ,
  					new WeightedPositions(
  						new double[] { 0.4 , -0.6 } , new string[] { "TA2" , "TB2" } ) );
***************
*** 120,125 ****
  			
  			dynamicMockLinearRegressionFitnessEvaluator.ExpectAndReturn(
! 				"GetIndependentVariablesValues" , new double[] { 2 , 1 , 2 } , // forecasted
! 				// return should be 1*2+2*1-3*2=-2 (not selected)
  				new object[] {
  					mockLinearRegressionTestingPositions1 ,
--- 120,125 ----
  			
  			dynamicMockLinearRegressionFitnessEvaluator.ExpectAndReturn(
! 				"GetIndependentVariablesValues" , new double[] { 1 , 2 } , // forecasted
! 				// return should be 1+2*1-3*2=-3 (not selected)
  				new object[] {
  					mockLinearRegressionTestingPositions1 ,
***************
*** 127,132 ****
  					historicalMarketValueProvider } );
  			dynamicMockLinearRegressionFitnessEvaluator.ExpectAndReturn(
! 				"GetIndependentVariablesValues" , new double[] { 0.1 , 3 , 0.2 } , // forecasted
! 				// return should be 1*0.1+0*3+2*0.2=0.5 (selected!!)
  				new object[] {
  					mockLinearRegressionTestingPositions2 ,
--- 127,132 ----
  					historicalMarketValueProvider } );
  			dynamicMockLinearRegressionFitnessEvaluator.ExpectAndReturn(
! 				"GetIndependentVariablesValues" , new double[] { 3 , -0.1 } , // forecasted
! 				// return should be 0.3+0*3-2*(-0.1)=0.5 (selected!!)
  				new object[] {
  					mockLinearRegressionTestingPositions2 ,
***************
*** 134,139 ****
  					historicalMarketValueProvider } );
  			dynamicMockLinearRegressionFitnessEvaluator.ExpectAndReturn(
! 				"GetIndependentVariablesValues" , new double[] { 2 , 1 , 2 } ,	// forecasted
! 				// return should be 0.5*2-1*2+3*2=5 (not selected, because the previous one is selected)
  				new object[] {
  					mockLinearRegressionTestingPositions3 ,
--- 134,139 ----
  					historicalMarketValueProvider } );
  			dynamicMockLinearRegressionFitnessEvaluator.ExpectAndReturn(
! 				"GetIndependentVariablesValues" , new double[] { 2 , 1 } ,	// forecasted
! 				// return should be 0.5-1*2+3*1=1.5 (not selected, because the previous one is selected)
  				new object[] {
  					mockLinearRegressionTestingPositions3 ,
***************
*** 158,162 ****
--- 158,164 ----
  			
  			Assert.AreEqual( "TA2" , positionsToBeOpened[ 0 ].Ticker );
+ 			Assert.AreEqual( 0.4 , positionsToBeOpened[ 0 ].Weight );
  			Assert.AreEqual( "TB2" , positionsToBeOpened[ 1 ].Ticker );
+ 			Assert.AreEqual( -0.6 , positionsToBeOpened[ 1 ].Weight );
  		}
  		#endregion Test_GetPositionsToBeOpened