[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression LinearRegressionMain.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression
In directory vz-cvs-3.sog:/tmp/cvs-serv20460/WalkForwardTesting/LinearRegression

Modified Files:
	LinearRegressionMain.cs 
Log Message:
The script has been change to use EntryStrategyBasedOnForecastedReturnInBothDirections

Index: LinearRegressionMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/LinearRegressionMain.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** LinearRegressionMain.cs	3 Aug 2011 22:29:23 -0000	1.5
--- LinearRegressionMain.cs	22 Sep 2011 19:43:55 -0000	1.6
***************
*** 112,116 ****
  			groupIdForTradingTickers = "fastTest";
  			groupIdForAdditionalSignalingTickers = "fastTest";
! 			maxNumberOfEligiblesForTrading = 13;
  //			groupIdForTradingTickers = "win_leg";
  //			groupIdForAdditionalSignalingTickers = "win_leg";
--- 112,116 ----
  			groupIdForTradingTickers = "fastTest";
  			groupIdForAdditionalSignalingTickers = "fastTest";
! 			maxNumberOfEligiblesForTrading = 14;
  //			groupIdForTradingTickers = "win_leg";
  //			groupIdForAdditionalSignalingTickers = "win_leg";
***************
*** 272,276 ****
  					maxTimeSpanToLookAhead );
  
! 			double minForecastedReturn = 0.002F;
  			IEntryStrategy longAndShortBasedOnAverageExpectedReturn =
  				new EntryStrategyBasedOnForecastedReturn(
--- 272,276 ----
  					maxTimeSpanToLookAhead );
  
! 			double minForecastedReturn = 0.00002F;			
  			IEntryStrategy longAndShortBasedOnAverageExpectedReturn =
  				new EntryStrategyBasedOnForecastedReturn(
***************
*** 278,281 ****
--- 278,286 ----
  					this.returnIntervalSelectorForSignaling ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample );
+ 			longAndShortBasedOnAverageExpectedReturn =
+ 				new EntryStrategyBasedOnForecastedReturnInBothDirections(
+ 					minForecastedReturn , this.fitnessEvaluator ,
+ 					this.returnIntervalSelectorForSignaling ,
+ 					this.historicalMarketValueProviderForChosingPositionsOutOfSample );
  			
  			IExitStrategy exitStrategy = new ExitOnIntervalEnd();