[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/EntryStrategies EntryStrategyBasedOnForecastedReturn.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/EntryStrategies
In directory vz-cvs-3.sog:/tmp/cvs-serv21574/WalkForwardTesting/LinearRegression/EntryStrategies

Modified Files:
	EntryStrategyBasedOnForecastedReturn.cs 
Log Message:
code has been refactored and a new virtual method tryThisCandidate() has been defined, such that it can be overridden by derived entry strategies

Index: EntryStrategyBasedOnForecastedReturn.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearRegression/EntryStrategies/EntryStrategyBasedOnForecastedReturn.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EntryStrategyBasedOnForecastedReturn.cs	3 Aug 2011 22:30:32 -0000	1.2
--- EntryStrategyBasedOnForecastedReturn.cs	22 Sep 2011 19:45:44 -0000	1.3
***************
*** 37,41 ****
  	public class EntryStrategyBasedOnForecastedReturn : IEntryStrategy
  	{
! 		private double minAverageExpectedReturn;
  		private ILinearRegressionFitnessEvaluator fitnessEvaluator;
  		private IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling;
--- 37,41 ----
  	public class EntryStrategyBasedOnForecastedReturn : IEntryStrategy
  	{
! 		protected double minAverageExpectedReturn;
  		private ILinearRegressionFitnessEvaluator fitnessEvaluator;
  		private IReturnIntervalSelectorForSignaling returnIntervalSelectorForSignaling;
***************
*** 85,90 ****
  				( this.historicalMarketValueProvider.WereAllExchanged(
  					candidate.SignalingTickers , outOfSampleReturnIntervalForSignaling.Begin )
! 				&& this.historicalMarketValueProvider.WereAllExchanged(
! 						candidate.SignalingTickers , outOfSampleReturnIntervalForSignaling.End ) );
  			return wereExchanged;
  		}
--- 85,90 ----
  				( this.historicalMarketValueProvider.WereAllExchanged(
  					candidate.SignalingTickers , outOfSampleReturnIntervalForSignaling.Begin )
! 				 && this.historicalMarketValueProvider.WereAllExchanged(
! 				 	candidate.SignalingTickers , outOfSampleReturnIntervalForSignaling.End ) );
  			return wereExchanged;
  		}
***************
*** 137,140 ****
--- 137,149 ----
  		#endregion computeForecastedReturn
  		
+ 		protected virtual WeightedPositions tryThisCandidate(
+ 			LinearRegressionTestingPositions candidate , double expectedReturn )
+ 		{
+ 			WeightedPositions weightedPositionsToBeOpened = null;
+ 			if ( expectedReturn >= this.minAverageExpectedReturn )
+ 				weightedPositionsToBeOpened = candidate.WeightedPositions;
+ 			return weightedPositionsToBeOpened;
+ 		}
+ 		
  		private WeightedPositions tryThisCandidate(
  			LinearRegressionTestingPositions candidate ,
***************
*** 147,152 ****
  				double expectedReturn = this.computeForecastedReturn(
  					candidate , outOfSampleReturnIntervalForSignaling );
! 				if ( expectedReturn >= this.minAverageExpectedReturn )
! 					weightedPositionsToBeOpened = candidate.WeightedPositions;
  			}
  			return weightedPositionsToBeOpened;
--- 156,162 ----
  				double expectedReturn = this.computeForecastedReturn(
  					candidate , outOfSampleReturnIntervalForSignaling );
! 				weightedPositionsToBeOpened = this.tryThisCandidate( candidate , expectedReturn );
! //				if ( expectedReturn >= this.minAverageExpectedReturn )
! //					weightedPositionsToBeOpened = candidate.WeightedPositions;
  			}
  			return weightedPositionsToBeOpened;