[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger WFLagChosenPositionsDebugInfo.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2760/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger

Modified Files:
	WFLagChosenPositionsDebugInfo.cs 
Log Message:
Bug fixed: a new statement is used for the rare case when the firstCommonDateForTickers comes after this.getInSampleFirstDate() 
It may happen when this.getInSampleFirstDate() falls in a non market day and one of the involved tickers begins being quoted from the following market day

Index: WFLagChosenPositionsDebugInfo.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagGenomesDebugger/WFLagChosenPositionsDebugInfo.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** WFLagChosenPositionsDebugInfo.cs	8 Aug 2006 09:44:12 -0000	1.5
--- WFLagChosenPositionsDebugInfo.cs	8 Oct 2006 16:10:16 -0000	1.6
***************
*** 122,127 ****
  			this.preSampleSharpeRatio30 = this.getPreSampleSharpeRatio( 30 );
  			this.preSampleSharpeRatio150 = this.getPreSampleSharpeRatio( 150 );
! 			this.preSampleMaxSharpeRatio = this.getPreSampleSharpeRatio(
! 				this.MaxPreSampleDays );
  			this.postSampleSharpeRatio30 = this.getPostSampleSharpeRatio( 30 );
  			this.postSampleSharpeRatio150 = this.getPostSampleSharpeRatio( 150 );
--- 122,128 ----
  			this.preSampleSharpeRatio30 = this.getPreSampleSharpeRatio( 30 );
  			this.preSampleSharpeRatio150 = this.getPreSampleSharpeRatio( 150 );
! 			if ( this.MaxPreSampleDays > 1 )
! 				this.preSampleMaxSharpeRatio = this.getPreSampleSharpeRatio(
! 					this.MaxPreSampleDays - 1 );
  			this.postSampleSharpeRatio30 = this.getPostSampleSharpeRatio( 30 );
  			this.postSampleSharpeRatio150 = this.getPostSampleSharpeRatio( 150 );
***************
*** 178,182 ****
  			TimeSpan timeSpan = this.getInSampleFirstDate() -
  				firstCommonDateForTickers;
! 			this.maxPreSampleDays = timeSpan.Days - 1; // I subtract one, so I have the number of daily returns
  		}
  		private DateTime getInSampleFirstDate()
--- 179,189 ----
  			TimeSpan timeSpan = this.getInSampleFirstDate() -
  				firstCommonDateForTickers;
! 			this.maxPreSampleDays = timeSpan.Days;
! 			// the following statement is used for the rare case when the
! 			// firstCommonDateForTickers comes after this.getInSampleFirstDate() 
! 			// It may happen when this.getInSampleFirstDate()
! 			// falls in a non market day and one of the involved tickers begins being
! 			// quoted from the following market day
! 			this.maxPreSampleDays = Math.Max( this.maxPreSampleDays , 0 );
  		}
  		private DateTime getInSampleFirstDate()
***************
*** 203,207 ****
  		{
  			double preSampleSharpeRatio = this.dummyValue;
! 			if ( this.MaxPreSampleDays >= days )
  			{
  				DateTime lastDateTime = this.getInSampleFirstDate();
--- 210,214 ----
  		{
  			double preSampleSharpeRatio = this.dummyValue;
! 			if ( this.MaxPreSampleDays > days )
  			{
  				DateTime lastDateTime = this.getInSampleFirstDate();