quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.29, 1.30

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv24669/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
a variable name has been fixed

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.29
retrieving revision 1.30
diff -C2 -d -r1.29 -r1.30
*** PairsTradingMain.cs	28 Feb 2009 18:42:14 -0000	1.29
--- PairsTradingMain.cs	1 Mar 2009 21:05:43 -0000	1.30
***************
*** 242,246 ****
  			// uncomment the following line for a faster script
  //			inSampleDays = 5;
! 			inSampleDays = 60;
  			
  			IIntervalsSelector intervalsSelectorForOutOfSample =
--- 242,246 ----
  			// uncomment the following line for a faster script
  //			inSampleDays = 5;
! //			inSampleDays = 60;
  			
  			IIntervalsSelector intervalsSelectorForOutOfSample =

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooserForAlreadyClosing.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv24669/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooserForAlreadyClosing.cs 
Log Message:
a variable name has been fixed

Index: OutOfSampleChooserForAlreadyClosing.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooserForAlreadyClosing.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** OutOfSampleChooserForAlreadyClosing.cs	28 Feb 2009 18:38:05 -0000	1.2
--- OutOfSampleChooserForAlreadyClosing.cs	1 Mar 2009 21:05:43 -0000	1.3
***************
*** 71,77 ****
  			DateTime yesterdayAtClose = HistoricalEndOfDayTimer.GetMarketClose(
  				yesterdayAtCurrentTime ).AddMinutes( - 1 );  // I'm subtracting 1 minute
! 										// because the bar for 15.59 is there much more often
! 										// and I believe that bar open value to be really
! 										// next to the official close
  			return yesterdayAtClose;
  		}
--- 71,77 ----
  			DateTime yesterdayAtClose = HistoricalEndOfDayTimer.GetMarketClose(
  				yesterdayAtCurrentTime ).AddMinutes( - 1 );  // I'm subtracting 1 minute
! 			// because the bar for 15.59 is there much more often
! 			// and I believe that bar open value to be really
! 			// next to the official close
  			return yesterdayAtClose;
  		}
***************
*** 117,130 ****
  			WeightedPositions candidate )
  		{
! 			WeightedPositions weightedPositions = base.getWeightedPositionsIfThereIsInefficiency(
! 				currentDateTime , returnsManagerToTestInefficiency , candidate );
! 			if ( ( weightedPositions != null ) &&
  			    this.inefficiencyCorrectionDetector.IsInefficiencyCorrectionHappening(
  			    	currentDateTime ,
  			    	returnsManagerToTestInefficiency.ReturnIntervals[ 0 ] ,
! 			    	weightedPositions ) )
  				// the candidate is inefficient but the gap is closing
! 				weightedPositions = candidate;
! 			return weightedPositions;
  		}
  		#endregion getWeightedPositionsFromCandidateWithoutAdjustment
--- 117,132 ----
  			WeightedPositions candidate )
  		{
! 			WeightedPositions weightedPositionsToBeReturned = null;
! 			WeightedPositions inefficientWeightedPositions =
! 				base.getWeightedPositionsIfThereIsInefficiency(
! 					currentDateTime , returnsManagerToTestInefficiency , candidate );
! 			if ( ( inefficientWeightedPositions != null ) &&
  			    this.inefficiencyCorrectionDetector.IsInefficiencyCorrectionHappening(
  			    	currentDateTime ,
  			    	returnsManagerToTestInefficiency.ReturnIntervals[ 0 ] ,
! 			    	inefficientWeightedPositions ) )
  				// the candidate is inefficient but the gap is closing
! 				weightedPositionsToBeReturned = inefficientWeightedPositions;
! 			return weightedPositionsToBeReturned;
  		}
  		#endregion getWeightedPositionsFromCandidateWithoutAdjustment

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion ConsecutiveMinutesOfCorrectionDetector.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv24669/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion

Modified Files:
	ConsecutiveMinutesOfCorrectionDetector.cs 
Log Message:
a variable name has been fixed

Index: ConsecutiveMinutesOfCorrectionDetector.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion/ConsecutiveMinutesOfCorrectionDetector.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ConsecutiveMinutesOfCorrectionDetector.cs	28 Feb 2009 18:24:59 -0000	1.1
--- ConsecutiveMinutesOfCorrectionDetector.cs	1 Mar 2009 21:05:43 -0000	1.2
***************
*** 121,129 ****
  			ReturnsManager returnsManager , WeightedPositions weightedPositions )
  		{
! 			bool areAllNegative = false;
  			try
  			{
  				float[] returns = weightedPositions.GetReturns( returnsManager );
! 				areAllNegative = this.areAllPositiveReturns( returns );
  			}
  			catch( TickerNotExchangedException tickerNotExchangedException )
--- 121,129 ----
  			ReturnsManager returnsManager , WeightedPositions weightedPositions )
  		{
! 			bool areAllPositive = false;
  			try
  			{
  				float[] returns = weightedPositions.GetReturns( returnsManager );
! 				areAllPositive = this.areAllPositiveReturns( returns );
  			}
  			catch( TickerNotExchangedException tickerNotExchangedException )
***************
*** 131,135 ****
  				string toAvoidCompileWarning = tickerNotExchangedException.Message;
  			}
! 			return areAllNegative;
  		}
  		#endregion areAllPositiveReturns
--- 131,135 ----
  				string toAvoidCompileWarning = tickerNotExchangedException.Message;
  			}
! 			return areAllPositive;
  		}
  		#endregion areAllPositiveReturns

[Quantproject-developers] QuantProject/b91_QuantProject app.config, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv24669/b91_QuantProject

Modified Files:
	app.config 
Log Message:
a variable name has been fixed

Index: app.config
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/app.config,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** app.config	20 Jul 2008 20:39:26 -0000	1.6
--- app.config	1 Mar 2009 21:05:43 -0000	1.7
***************
*** 7,16 ****
  
  	<appSettings>
! 		<add key="AccountsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedAccounts\\" />
! 		<add key="ReportsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedReports\\" />
! 		<add key="TransactionsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedTransactions\\" />
! 		<add key="GenomesArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedGenomes\\" />
! 		<add key="GenericArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\GenericArchive\\" />
! 	</appSettings>
  
  </configuration>
--- 7,18 ----
  
  	<appSettings>
!   <add key="AccountsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedAccounts\\" />
!   <add key="ReportsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedReports\\" />
!   <add key="TransactionsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedTransactions\\" />
!   <add key="GenomesArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedGenomes\\" />
!   <add key="GenericArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\GenericArchive\\" />
!   <add key="dbType" value="MySQL" />
!   <add key="mySqlConnectionString" value="Database=quantproject;Data Source=localhost;User Id=root;Password=1111" />
!  </appSettings>
  
  </configuration>

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv31572/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio

Modified Files:
	WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs 
Log Message:
Commented code has been cleaned out

Index: WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	29 Sep 2008 21:21:41 -0000	1.7
--- WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	28 Feb 2009 18:46:38 -0000	1.8
***************
*** 515,528 ****
  			WeightedPositions weightedPositions = new WeightedPositions(
  				balancedWeightsForDrivingPositions , signedTickers.Tickers );
- //			string[] tickersForDrivingPositions =
- //				this.getTickersForDrivingPositions( genome );
- //			double[] weightsForDrivingPositions =
- //				this.getWeightsForDrivingPositions( genome );
- //			double[] balancedWeightsForDrivingPositions =
- //				WeightedPositions.GetBalancedWeights( qui!!!! , weightsForDrivingPositions );
- //			return this.decodeWeightedPositions(
- //				weightsForDrivingPositions ,
- //				tickersForDrivingPositions ,
- //				this.eligibleTickersForDrivingWeightedPositions );
  			return weightedPositions;
  		}
--- 515,518 ----

[Quantproject-developers] QuantProject/b1_ADT/Timing Time.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Timing
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv30877/b1_ADT/Timing

Modified Files:
	Time.cs 
Log Message:
The new public method
AddHours()
has been added

Index: Time.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Timing/Time.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** Time.cs	5 Feb 2009 22:18:15 -0000	1.9
--- Time.cs	28 Feb 2009 18:45:55 -0000	1.10
***************
*** 83,86 ****
--- 83,105 ----
  		}
  		
+ 		#region AddHours
+ 		/// <summary>
+ 		/// Adds the given hours to the current instance's value
+ 		/// </summary>
+ 		/// <param name="hoursToAdd">hours to add (if positive) or to
+ 		/// subtract (if negative) from the current instance</param>
+ 		/// <returns></returns>
+ 		public Time AddHours( double hoursToAdd )
+ 		{
+ 			DateTime standardDateTimeWithHoursAdded =
+ 				this.standardDateTime.AddHours( hoursToAdd );
+ 			if ( standardDateTimeWithHoursAdded.Day != this.standardDateTime.Day )
+ 				throw new Exception(
+ 					"hoursToAdd is too big, for the current time. " +
+ 					"The resulting Time would be the day after" );
+ 			return new Time( standardDateTimeWithHoursAdded );
+ 		}
+ 		#endregion AddHours
+ 		
  		/// <summary>
  		/// Returns a new DateTime, having the date as the given dateTime

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging TesterForPairsTradingTestingPositions.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv30075/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

Modified Files:
	TesterForPairsTradingTestingPositions.cs 
Log Message:
This class has been changed to test ticker couples intraday (to be further improved)

Index: TesterForPairsTradingTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/TesterForPairsTradingTestingPositions.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** TesterForPairsTradingTestingPositions.cs	12 Nov 2008 20:44:38 -0000	1.6
--- TesterForPairsTradingTestingPositions.cs	28 Feb 2009 18:45:06 -0000	1.7
***************
*** 3,7 ****
  
  TesterForPairsTradingTestingPositions.cs
! Copyright (C) 2008
  Glauco Siliprandi
  
--- 3,7 ----
  
  TesterForPairsTradingTestingPositions.cs
! Copyright (C) 2009
  Glauco Siliprandi
  
***************
*** 24,27 ****
--- 24,29 ----
  using System.Drawing;
  
+ using QuantProject.ADT.Histories;
+ using QuantProject.Data.DataProviders.Bars.Caching;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting.AccountProviding;
***************
*** 33,36 ****
--- 35,39 ----
  using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
  using QuantProject.Business.Timing;
+ using QuantProject.Presentation;
  using QuantProject.Presentation.Reporting.WindowsForm;
  using QuantProject.Scripts.General.Strategies;
***************
*** 48,51 ****
--- 51,56 ----
  		private DateTime dateTimeWhenThisObjectWasLogged;
  		
+ 		private HistoricalMarketValueProvider historicalMarketValueProvider;
+ 		
  		/// <summary>
  		/// Generation when the TestingPositions object has been created
***************
*** 79,84 ****
  			this.testingPositions = (PairsTradingTestingPositions)testingPositions;
  			this.numberOfInSampleDays = numberOfInSampleDays;
! 			this.dateTimeWhenThisObjectWasLogged =
! 				dateTimeWhenThisObjectWasLogged;
  		}
  		private void checkParameters( TestingPositions testingPositions )
--- 84,88 ----
  			this.testingPositions = (PairsTradingTestingPositions)testingPositions;
  			this.numberOfInSampleDays = numberOfInSampleDays;
! 			this.dateTimeWhenThisObjectWasLogged =	dateTimeWhenThisObjectWasLogged;
  		}
  		private void checkParameters( TestingPositions testingPositions )
***************
*** 89,202 ****
  					"PairsTradingTestingPositions!" );
  		}
! 		
  		#region Run
! 		private AccountReport getAccountReport(
! 			WeightedPositions weightedPositions ,
! 			IIntervalsSelector intervalsSelector ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
! 			Benchmark benchmark ,
! 			double cashToStart )
  		{
- 			SimpleStrategy simpleStrategy =
- 				new SimpleStrategy( weightedPositions ,
- 				                   intervalsSelector , historicalMarketValueProvider );
- 			IAccountProvider accountProvider =
- 				new SimpleAccountProvider();
- 
  			DateTime firstDateTime =
! 				this.dateTimeWhenThisObjectWasLogged.AddDays(
! 					- this.numberOfInSampleDays );
  			DateTime lastDateTime =
! 				this.dateTimeWhenThisObjectWasLogged;
! 			double maxRunningHours = 0.3;
! 			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
! 				new EndOfDayStrategyBackTester(
! 					"SinglePosition" ,
! 					new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
! 						HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
! 						benchmark.Ticker ) ,
! 					simpleStrategy ,
! 					historicalMarketValueProvider , accountProvider ,
! 					firstDateTime , lastDateTime ,
! 					benchmark , cashToStart , maxRunningHours );
! 
! //			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
! 
! 			endOfDayStrategyBackTester.Run();
! 			return endOfDayStrategyBackTester.AccountReport;
  		}
! 		private double getWeightedPositions_getWeight(
! 			WeightedPosition weightedPosition )
  		{
! 			double weight = 1;
! 			if ( weightedPosition.IsShort )
! 				// the current WeightedPosition is short in the couple correlation
! 				weight = -1;
! 			return weight;
  		}
! 		private WeightedPositions getWeightedPositions(
! 			WeightedPosition weightedPosition )
  		{
! //			double[] weights = { 1 };
! 			double[] weights = { this.getWeightedPositions_getWeight( weightedPosition ) };
! 			string[] tickers = { weightedPosition.Ticker };
! 			WeightedPositions weightedPositions =
! 				new WeightedPositions( weights , tickers );
! 			return weightedPositions;
  		}
  		public void Run()
  		{
! 			//			string backTestId = "SimplePairsTrading";
! 			//			double cashToStart = 30000;
! 
! 			Benchmark benchmark = new Benchmark( "MSFT" );
! 
! 			HistoricalMarketValueProvider historicalMarketValueProvider =
! 				new HistoricalAdjustedQuoteProvider();
! 
! 			//			IInSampleChooser inSampleChooser =
! 			//				(IInSampleChooser)new ConstantWeightedPositionsChooser(
! 			//				this.BestWeightedPositionsInSample );
! 
! 			IIntervalsSelector intervalsSelector =
! 				new OddIntervalsSelector(	1 , 1 , benchmark );
! 			IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();
! 
! 			WeightedPositions weightedPositions =
! 				this.testingPositions.WeightedPositions;
! 			
! 			WeightedPositions firstPosition =
! 				this.getWeightedPositions( weightedPositions[ 0 ] );
! 			WeightedPositions secondPosition =
! 				this.getWeightedPositions( weightedPositions[ 1 ] );
! 			AccountReport accountReportForFirstPosition =
! 				this.getAccountReport( firstPosition , intervalsSelector ,
! 				                      historicalMarketValueProvider ,
! 				                      benchmark , 30000 );
! 			AccountReport accountReportForSecondPosition =
! 				this.getAccountReport( secondPosition , intervalsSelector ,
! 				                      historicalMarketValueProvider ,
! 				                      benchmark ,
! 				                      Math.Abs(	30000 * weightedPositions[ 1 ].Weight /
! 				                               weightedPositions[ 0 ].Weight ) );
! 			
! 			Report report =
! 				new Report( accountReportForFirstPosition , false );
! 			DateTime lastDateTimeForReport =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
! 					accountReportForFirstPosition.EquityLine.LastDateTime );
! //				new EndOfDayDateTime(
! //				accountReportForFirstPosition.EquityLine.LastDateTime ,
! //				EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			
! 			//			report.Create( "PearsonDebug" , 1 ,
! 			//			              lastEndOfDayDateTimeForReport ,
! 			//			              benchmark.Ticker , false );
! 			report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
! 			                     Color.Brown );
! 			report.ShowDialog();
  		}
  		#endregion Run
  
  	}
  }
--- 93,172 ----
  					"PairsTradingTestingPositions!" );
  		}
! 
  		#region Run
! 		
! 		#region getHistory
! 		
! 		#region addItemsToHistory
! 		private DateTime getFirstDateTime()
  		{
  			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen(
! 					this.dateTimeWhenThisObjectWasLogged.AddDays( 1 ) );
! 			return firstDateTime;
! 		}
! 		private DateTime getLastDateTime()
! 		{
! 			DateTime firstDateTime = this.getFirstDateTime();
  			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( firstDateTime );
! 			return lastDateTime;
  		}
! 		private void addItemToHistory(
! 			WeightedPosition weightedPosition , DateTime dateTime , History history )
  		{
! 			try
! 			{
! 			double marketValue = this.historicalMarketValueProvider.GetMarketValue(
! 				weightedPosition.Ticker , dateTime );
! 			history.Add( dateTime , marketValue );
! 			}
! 			catch( TickerNotExchangedException tickerNotExchangedException )
! 			{
! 				string toAvoidWarning = tickerNotExchangedException.Message;
! 			}
  		}
! 		private void addItemsToHistory( WeightedPosition weightedPosition , History history )
  		{
! 			DateTime currentDateTime = this.getFirstDateTime();
! 			DateTime lastDateTime = this.getLastDateTime();
! 			while ( currentDateTime <= lastDateTime )
! 			{
! 				this.addItemToHistory( weightedPosition , currentDateTime , history );
! 				currentDateTime = currentDateTime.AddMinutes( 1 );
! 			}
! 		}
! 		#endregion addItemsToHistory
! 		
! 		private History getHistory( WeightedPosition weightedPosition )
! 		{
! 			History history = new History();
! 			this.addItemsToHistory( weightedPosition , history );
! 			return history;
! 		}
! 		#endregion getHistory
! 		
! 		private void showHistoriesPlots(
! 			History historyForFirstPosition , History historyForSecondPosition )
! 		{
! 			HistoriesViewer historiesViewer = new HistoriesViewer();
! 			historiesViewer.Add( historyForFirstPosition , Color.Green );
! 			historiesViewer.Add( historyForSecondPosition , Color.Red );
! 			historiesViewer.ShowDialog();
  		}
+ 		
  		public void Run()
  		{
! 			this.historicalMarketValueProvider = new HistoricalBarProvider(
! 				new SimpleBarCache( 60 ) );
! 			History historyForFirstPosition = this.getHistory(
! 				this.testingPositions.WeightedPositions[ 0 ] );
! 			History historyForSecondPosition = this.getHistory(
! 				this.testingPositions.WeightedPositions[ 1 ] );
! 			this.showHistoriesPlots( historyForFirstPosition , historyForSecondPosition );
  		}
  		#endregion Run
  
+ 
  	}
  }

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Bars/Caching SimpleBarCache.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars/Caching
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv27993/b3_Data/DataProviders/Bars/Caching

Modified Files:
	SimpleBarCache.cs 
Log Message:
The WasExchanged() method has been fixed

Index: SimpleBarCache.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars/Caching/SimpleBarCache.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** SimpleBarCache.cs	8 Feb 2009 19:12:17 -0000	1.3
--- SimpleBarCache.cs	28 Feb 2009 18:44:02 -0000	1.4
***************
*** 48,52 ****
  		public double GetMarketValue( string ticker, DateTime dateTime )
  		{
! 			double returnValue = double.MinValue;
  			try
  			{
--- 48,52 ----
  		public double GetMarketValue( string ticker, DateTime dateTime )
  		{
! 			double returnValue = double.NaN;
  			try
  			{
***************
*** 64,77 ****
  		public bool WasExchanged( string ticker , DateTime dateTime )
  		{
! 			double marketValue = double.NaN;
  			try
  			{
! 				marketValue = this.GetMarketValue( ticker , dateTime );
  			}
  			catch ( MissingBarException missingBarException )
  			{
! 				string doNothing = missingBarException.Message; doNothing += "";
  			}
! 			return (marketValue != Double.NaN);
  		}
  	}
--- 64,80 ----
  		public bool WasExchanged( string ticker , DateTime dateTime )
  		{
! 			bool wasExchanged = true;
! //			double marketValue = double.NaN;
  			try
  			{
! 				this.GetMarketValue( ticker , dateTime );
  			}
  			catch ( MissingBarException missingBarException )
  			{
! 				// the bar is not in the database
! 				wasExchanged = false;
! 				string toAvoidCompileWarning = missingBarException.Message;
  			}
! 			return wasExchanged;
  		}
  	}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time ReturnIntervals.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv25809/b4_Business/a2_Strategies/returnsManagement/time

Modified Files:
	ReturnIntervals.cs 
Log Message:
A new constuctor without parameters is now available

Index: ReturnIntervals.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/ReturnIntervals.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** ReturnIntervals.cs	29 Sep 2008 21:17:14 -0000	1.9
--- ReturnIntervals.cs	28 Feb 2009 18:43:16 -0000	1.10
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
***************
*** 46,56 ****
  		private IIntervalsSelector intervalsSelector;
  
! 		public ReturnInterval this[ int index ] 
  		{
! 			get  
  			{
  				return( (ReturnInterval) this.List[ index ] );
  			}
! 			set  
  			{
  				this.List[ index ] = value;
--- 46,56 ----
  		private IIntervalsSelector intervalsSelector;
  
! 		public ReturnInterval this[ int index ]
  		{
! 			get
  			{
  				return( (ReturnInterval) this.List[ index ] );
  			}
! 			set
  			{
  				this.List[ index ] = value;
***************
*** 67,72 ****
  				if ( this.Count == 0 )
  					throw new Exception( "LastEndOfDayDateTime " +
! 						"cannot be used when ReturnIntervals has " +
! 						"no ReturnInterval added yet!" );
  				return this[ this.Count - 1 ].End;
  			}
--- 67,72 ----
  				if ( this.Count == 0 )
  					throw new Exception( "LastEndOfDayDateTime " +
! 					                    "cannot be used when ReturnIntervals has " +
! 					                    "no ReturnInterval added yet!" );
  				return this[ this.Count - 1 ].End;
  			}
***************
*** 78,83 ****
  				if ( this.Count == 0 )
  					throw new Exception( "LastInterval " +
! 						"cannot be used when ReturnIntervals has " +
! 						"no ReturnInterval added yet!" );
  				ReturnInterval lastInterval = this[ this.Count - 1 ];
  				return lastInterval;
--- 78,83 ----
  				if ( this.Count == 0 )
  					throw new Exception( "LastInterval " +
! 					                    "cannot be used when ReturnIntervals has " +
! 					                    "no ReturnInterval added yet!" );
  				ReturnInterval lastInterval = this[ this.Count - 1 ];
  				return lastInterval;
***************
*** 135,139 ****
  		{
  			this.returnIntervals_initialize( firstDateTime,
! 				lastDateTime , benchmark , 1 );//default intervals are daily
  		}
  		
--- 135,139 ----
  		{
  			this.returnIntervals_initialize( firstDateTime,
! 			                                lastDateTime , benchmark , 1 );//default intervals are daily
  		}
  		
***************
*** 145,149 ****
  		/// <param name="lastDateTime"></param>
  		/// <param name="benchmark"></param>
! 		/// <param name="intervalLength"></param> 
  		public ReturnIntervals(
  			DateTime firstDateTime , DateTime lastDateTime ,
--- 145,149 ----
  		/// <param name="lastDateTime"></param>
  		/// <param name="benchmark"></param>
! 		/// <param name="intervalLength"></param>
  		public ReturnIntervals(
  			DateTime firstDateTime , DateTime lastDateTime ,
***************
*** 167,170 ****
--- 167,178 ----
  		
  		/// <summary>
+ 		/// creates a ReturnIntervals with no ReturnInterval
+ 		/// </summary>
+ 		public ReturnIntervals()
+ 		{
+ 		}
+ 
+ 		
+ 		/// <summary>
  		/// It creates a ReturnIntervals with just a ReturnInterval
  		/// </summary>
***************
*** 178,182 ****
  			this.marketDaysForBenchmark =
  				QuantProject.Data.DataTables.Quotes.GetMarketDays( this.benchmark ,
! 				this.firstDateTime , this.lastDateTime );
  		}
  		
--- 186,190 ----
  			this.marketDaysForBenchmark =
  				QuantProject.Data.DataTables.Quotes.GetMarketDays( this.benchmark ,
! 				                                                  this.firstDateTime , this.lastDateTime );
  		}
  		
***************
*** 200,215 ****
  			foreach ( ReturnInterval returnInterval in this  )
  				if ( !returnInterval.AreBordersCoveredBy( history ) )
! 					areAllCovered = false;
  			return areAllCovered;
  		}
  		#region setBordersHistory
  		private bool beginsBeforeTheLastAdded( ReturnInterval
! 			returnInterval )
  		{
  			bool beginsBefore =
  				( ( this.bordersHistory != null ) &&
! 				( this.bordersHistory.Count > 0 ) &&
! 				( returnInterval.BeginsBefore(
! 				this.bordersHistory.LastDateTime ) ) );
  			return beginsBefore;
  		}
--- 208,223 ----
  			foreach ( ReturnInterval returnInterval in this  )
  				if ( !returnInterval.AreBordersCoveredBy( history ) )
! 				areAllCovered = false;
  			return areAllCovered;
  		}
  		#region setBordersHistory
  		private bool beginsBeforeTheLastAdded( ReturnInterval
! 		                                      returnInterval )
  		{
  			bool beginsBefore =
  				( ( this.bordersHistory != null ) &&
! 				 ( this.bordersHistory.Count > 0 ) &&
! 				 ( returnInterval.BeginsBefore(
! 				 	this.bordersHistory.LastDateTime ) ) );
  			return beginsBefore;
  		}
***************
*** 219,230 ****
  			if ( this.beginsBeforeTheLastAdded( returnInterval ) )
  				throw new Exception( "The first border of the given interval " +
! 					"begins before the last EndOfDayDateTime added to the history" );
  		}
  		private bool beginsOnTheLastAddedTime( ReturnInterval returnInterval )
  		{
  			bool returnValue =
!         ( ( this.bordersHistory != null ) &&
! 				( this.bordersHistory.Count > 0 ) &&
! 				( this.bordersHistory.LastDateTime == returnInterval.Begin ) );
  			return returnValue;
  		}
--- 227,238 ----
  			if ( this.beginsBeforeTheLastAdded( returnInterval ) )
  				throw new Exception( "The first border of the given interval " +
! 				                    "begins before the last EndOfDayDateTime added to the history" );
  		}
  		private bool beginsOnTheLastAddedTime( ReturnInterval returnInterval )
  		{
  			bool returnValue =
! 				( ( this.bordersHistory != null ) &&
! 				 ( this.bordersHistory.Count > 0 ) &&
! 				 ( this.bordersHistory.LastDateTime == returnInterval.Begin ) );
  			return returnValue;
  		}
***************
*** 254,261 ****
--- 262,278 ----
  		}
  		#endregion setBordersHistory
+ 
+ 		#region Add
+ 		private void checkParameter( ReturnInterval returnInterval )
+ 		{
+ 			if ( ( this.Count > 0 ) && ( returnInterval.Begin < this.LastDateTime ) )
+ 				throw new Exception( "returnInterval must be later" );
+ 		}
  		public void Add( ReturnInterval returnInterval )
  		{
+ 			this.checkParameter( returnInterval );
  			this.List.Add( returnInterval );
  		}
+ 		#endregion Add
  		
  		#region appendIntervalsButDontGoBeyondLastDate
***************
*** 272,276 ****
  				if ( firstDate < currentLastDateTime )
  					throw new Exception( "firstDate cannot be smaller than " +
! 						"the end of the last interval already in this collection!" );
  			}
  		}
--- 289,293 ----
  				if ( firstDate < currentLastDateTime )
  					throw new Exception( "firstDate cannot be smaller than " +
! 					                    "the end of the last interval already in this collection!" );
  			}
  		}
***************
*** 379,383 ****
  				lastDate );
  			if ( this.LastDateTime < lastDate )
! 				// lastDate comes after the last interval already added				
  				this.AppendIntervalsButDontGoBeyondLastDate( lastDate );
  			ReturnInterval lastInterval =
--- 396,400 ----
  				lastDate );
  			if ( this.LastDateTime < lastDate )
! 				// lastDate comes after the last interval already added
  				this.AppendIntervalsButDontGoBeyondLastDate( lastDate );
  			ReturnInterval lastInterval =

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.28, 1.29

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv24351/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
The new PairsTradingIntradayStrategy is called

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.28
retrieving revision 1.29
diff -C2 -d -r1.28 -r1.29
*** PairsTradingMain.cs	18 Feb 2009 20:05:34 -0000	1.28
--- PairsTradingMain.cs	28 Feb 2009 18:42:14 -0000	1.29
***************
*** 71,78 ****
  
  			this.historicalMarketValueProviderForInSample =
! 				new HistoricalRawQuoteProvider();
  
  			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! 				this.getHistoricalBarProvider();
  //			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
  //				new HistoricalAdjustedQuoteProvider();
--- 71,78 ----
  
  			this.historicalMarketValueProviderForInSample =
! 				new HistoricalAdjustedQuoteProvider();
  
  			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! 				this.getHistoricalMarketValueProviderForChosingPositionsOutOfSample();
  //			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
  //				new HistoricalAdjustedQuoteProvider();
***************
*** 81,85 ****
  
  			this.historicalMarketValueProviderForTheBacktesterAccount =
! 				this.historicalMarketValueProviderForChosingPositionsOutOfSample;
  //			this.historicalMarketValueProviderForTheBacktesterAccount =
  //				new HistoricalRawQuoteProvider();
--- 81,85 ----
  
  			this.historicalMarketValueProviderForTheBacktesterAccount =
! 				this.getHistoricalMarketValueProviderForTheBacktesterAccount();
  //			this.historicalMarketValueProviderForTheBacktesterAccount =
  //				new HistoricalRawQuoteProvider();
***************
*** 98,101 ****
--- 98,103 ----
  		}
  		
+ 		#region getHistoricalMarketValueProviderForChosingPositionsOutOfSample
+ 		
  		#region getHistoricalBarProvider
  		
***************
*** 117,122 ****
  		private IBarCache getBarCache()
  		{
! 			List< Time > dailyTimes = this.getDailyTimes();
! 			IBarCache barCache = new DailyBarCache( 60 , dailyTimes );
  			return barCache;
  		}
--- 119,125 ----
  		private IBarCache getBarCache()
  		{
! //			List< Time > dailyTimes = this.getDailyTimes();
! //			IBarCache barCache = new DailyBarCache( 60 , dailyTimes );
! 			IBarCache barCache = new SimpleBarCache( 60 );
  			return barCache;
  		}
***************
*** 126,134 ****
  		{
  			IBarCache barCache = getBarCache();
! 			HistoricalBarProvider historicalBarProvider =
! 				new HistoricalBarProvider( barCache );
  			return historicalBarProvider;
  		}
  		#endregion getHistoricalBarProvider
  
  		protected override IEligiblesSelector getEligiblesSelector()
--- 129,158 ----
  		{
  			IBarCache barCache = getBarCache();
! 			HistoricalBarProvider historicalBarProvider = new HistoricalBarProvider( barCache );
  			return historicalBarProvider;
  		}
  		#endregion getHistoricalBarProvider
+ 		
+ 		private HistoricalMarketValueProvider
+ 			getHistoricalMarketValueProviderForChosingPositionsOutOfSample()
+ 		{
+ 			HistoricalBarProvider historicalBarProvider =
+ 				this.getHistoricalBarProvider();
+ //			HistoricalMarketValueProviderWithQuoteBackupOnClose
+ //				historicalMarketValueProviderForChosingPositionsOutOfSample =
+ //				new HistoricalMarketValueProviderWithQuoteBackupOnClose( historicalBarProvider );
+ 			return historicalBarProvider;
+ 		}
+ 		#endregion getHistoricalMarketValueProviderForChosingPositionsOutOfSample
+ 		
+ 		private HistoricalMarketValueProvider
+ 			getHistoricalMarketValueProviderForTheBacktesterAccount()
+ 		{
+ 			HistoricalMarketValueProviderWithQuoteBackupOnClose
+ 				historicalMarketValueProviderForTheBacktesterAccount =
+ 				new HistoricalMarketValueProviderWithQuoteBackupOnClose(
+ 					this.historicalMarketValueProviderForChosingPositionsOutOfSample );
+ 			return historicalMarketValueProviderForTheBacktesterAccount;
+ 		}
  
  		protected override IEligiblesSelector getEligiblesSelector()
***************
*** 138,142 ****
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
  
  //			IEligiblesSelector eligiblesSelector =
--- 162,166 ----
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! //			tickersGroupId = "fastTest";
  
  //			IEligiblesSelector eligiblesSelector =
***************
*** 168,172 ****
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! 			numberOfBestTestingPositionsToBeReturned = 10;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
--- 192,196 ----
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! //			numberOfBestTestingPositionsToBeReturned = 10;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
***************
*** 237,247 ****
  			OutOfSampleChooser outOfSampleChooser =
  				new OutOfSampleChooserForSingleLongAndShort(
! 					0.01 , 0.03 , 0.01 , 0.03 );
  //			outOfSampleChooser =
  //				new OutOfSampleChooserForExactNumberOfBestLongPositions(
  //				2 ,	0.006 , 0.99 , 0.006 , 0.99 );
  			outOfSampleChooser =
  				new OutOfSampleChooserForAlreadyClosing(
! 					0.01 , 0.03 , 0.01 , 0.03 , 4 );
  
  			IStrategyForBacktester strategyForBacktester =
--- 261,274 ----
  			OutOfSampleChooser outOfSampleChooser =
  				new OutOfSampleChooserForSingleLongAndShort(
! 					this.firstTimeToTestInefficiency , 0.01 , 0.03 , 0.01 , 0.03 );
  //			outOfSampleChooser =
  //				new OutOfSampleChooserForExactNumberOfBestLongPositions(
  //				2 ,	0.006 , 0.99 , 0.006 , 0.99 );
+ 			IInefficiencyCorrectionDetector inefficiencyCorrectionDetector =
+ 				new ConsecutiveMinutesOfCorrectionDetector(
+ 					this.historicalMarketValueProviderForChosingPositionsOutOfSample , 4 );
  			outOfSampleChooser =
  				new OutOfSampleChooserForAlreadyClosing(
! 					0.006 , 0.03 , 0.006 , 0.03 , inefficiencyCorrectionDetector );
  
  			IStrategyForBacktester strategyForBacktester =
***************
*** 254,257 ****
--- 281,288 ----
  					outOfSampleChooser );
  			
+ 			IExitStrategy exitStrategy = new TakeProfitStrategyOrOnMarketClose(
+ 				outOfSampleChooser.MinThresholdForGoingLong / 2 ,
+ 				this.historicalMarketValueProviderForChosingPositionsOutOfSample );
+ 			
  			strategyForBacktester =
  				new PairsTradingIntradayStrategy(
***************
*** 264,277 ****
  					this.historicalMarketValueProviderForInSample ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 					outOfSampleChooser );
! //			qui!!!
! //			strategyForBacktester =
! //				new PairsTradingAfterClosingStrategy(
! //					7 , inSampleDays ,
! //					intervalsSelectorForInSample ,
! //					eligiblesSelector , inSampleChooser ,
! //					this.historicalMarketValueProviderForInSample ,
! //					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! //					outOfSampleChooser );
  			return strategyForBacktester;
  		}
--- 295,302 ----
  					this.historicalMarketValueProviderForInSample ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 					outOfSampleChooser , exitStrategy ,
! 					new Time(  10 , 0 , 0 ) ,
! 					new Time(  15 , 30 , 0 )
! 				);
  			return strategyForBacktester;
  		}
***************
*** 302,308 ****
  			firstDateTime = new DateTime( 2006 , 1 , 2 );
  //			lastDateTime = new DateTime( 2007 , 12 , 31 );
! 			lastDateTime = new DateTime( 2006 , 1 , 31 );
  
! 			double maxRunningHours = 2.5;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
--- 327,333 ----
  			firstDateTime = new DateTime( 2006 , 1 , 2 );
  //			lastDateTime = new DateTime( 2007 , 12 , 31 );
! 			lastDateTime = new DateTime( 2006 , 12 , 31 );
  
! 			double maxRunningHours = 11;
  			
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
***************
*** 322,326 ****
  		{
  			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				"C:\\qpReports\\pairsTrading\\";
  			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
  		}
--- 347,351 ----
  		{
  			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				@"T:\senzaBackup\qpReports\pairsTrading\";
  			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
  		}
***************
*** 349,353 ****
  		{
  			string fullPathFileNameForMain =
! 				@"C:\QuantProject\QuantProject\b7_Scripts\WalkForwardTesting\PairsTrading\PairsTradingMain.cs";
  			return fullPathFileNameForMain;
  		}
--- 374,378 ----
  		{
  			string fullPathFileNameForMain =
! 				@"T:\QuantProject\QuantProject\b7_Scripts\WalkForwardTesting\PairsTrading\PairsTradingMain.cs";
  			return fullPathFileNameForMain;
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies PairsTradingIntradayStrategy.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv24044/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies

Modified Files:
	PairsTradingIntradayStrategy.cs 
Log Message:
The signature for the OutOfSampleChooser has been changed to
this.outOfSampleChooser.GetPositionsToBeOpened( this.bestTestingPositionsInSample ,  currentDateTime )
and the code has been changed accordingly

Index: PairsTradingIntradayStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingIntradayStrategy.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PairsTradingIntradayStrategy.cs	18 Feb 2009 20:05:34 -0000	1.4
--- PairsTradingIntradayStrategy.cs	28 Feb 2009 18:41:30 -0000	1.5
***************
*** 30,33 ****
--- 30,34 ----
  using QuantProject.Business.Strategies.Logging;
  using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
+ using QuantProject.Business.Timing;
  
  namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
***************
*** 45,48 ****
--- 46,52 ----
  			historicalMarketValueProviderForChosingPositionsOutOfSample;
  		private OutOfSampleChooser outOfSampleChooser;
+ 		private IExitStrategy exitStrategy;
+ 		private Time timeToBeginToTryToOpenPositions;
+ 		private Time timeToStopToTryToOpenPositions;
  		
  		public PairsTradingIntradayStrategy(
***************
*** 50,54 ****
  			int numDaysForInSampleOptimization ,
  			IIntervalsSelector intervalsSelectorForInSample ,
- //			IIntervalsSelector intervalsSelectorForOutOfSample ,
  			Time firstTimeToTestInefficiency ,
  			Time lastTimeToTestInefficiency ,
--- 54,57 ----
***************
*** 59,63 ****
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 			OutOfSampleChooser outOfSampleChooser ) :
  			base(
  				numDaysBeetweenEachOtpimization ,
--- 62,70 ----
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 			OutOfSampleChooser outOfSampleChooser ,
! 			IExitStrategy exitStrategy ,
! 			Time timeToBeginToTryToOpenPositions ,
! 			Time timeToStopToTryToOpenPositions
! 		) :
  			base(
  				numDaysBeetweenEachOtpimization ,
***************
*** 70,76 ****
  		{
  			this.checkParameters(
! 				firstTimeToTestInefficiency ,
! 				lastTimeToTestInefficiency ,
! 				timeToClosePositions );
  			this.firstTimeToTestInefficiency = firstTimeToTestInefficiency;
  			this.lastTimeToTestInefficiency = lastTimeToTestInefficiency;
--- 77,82 ----
  		{
  			this.checkParameters(
! 				timeToBeginToTryToOpenPositions ,
! 				timeToStopToTryToOpenPositions );
  			this.firstTimeToTestInefficiency = firstTimeToTestInefficiency;
  			this.lastTimeToTestInefficiency = lastTimeToTestInefficiency;
***************
*** 79,95 ****
  				historicalMarketValueProviderForChosingPositionsOutOfSample;
  			this.outOfSampleChooser = outOfSampleChooser;
  		}
  		
  		private void checkParameters(
! 			Time firstTimeToTestInefficiency ,
! 			Time lastTimeToTestInefficiency ,
! 			Time timeToClosePositions )
  		{
! 			if ( firstTimeToTestInefficiency >= lastTimeToTestInefficiency )
! 				throw new Exception(
! 					"firstTimeToTestInefficiency must come before lastTimeToTestInefficiency" );
! 			if ( lastTimeToTestInefficiency >= timeToClosePositions )
  				throw new Exception(
! 					"lastTimeToTestInefficiency must come before timeToClosePositions" );
  		}
  		
--- 85,100 ----
  				historicalMarketValueProviderForChosingPositionsOutOfSample;
  			this.outOfSampleChooser = outOfSampleChooser;
+ 			this.exitStrategy = exitStrategy;
+ 			this.timeToBeginToTryToOpenPositions = timeToBeginToTryToOpenPositions;
+ 			this.timeToStopToTryToOpenPositions = timeToStopToTryToOpenPositions;
  		}
  		
  		private void checkParameters(
! 			Time timeToBeginToTryToOpenPositions ,
! 			Time timeToStopToTryToOpenPositions )
  		{
! 			if ( timeToBeginToTryToOpenPositions >= timeToStopToTryToOpenPositions )
  				throw new Exception(
! 					"timeToBeginToTryToOpenPositions come before timeToStopToTryToOpenPositions" );
  		}
  		
***************
*** 109,130 ****
  		}
  		
  		protected override bool arePositionsToBeClosed()
  		{
  			bool areToBeClosed =
! 				( this.Account.Portfolio.Count > 1 );
  			areToBeClosed = (
  				areToBeClosed &&
! 				( this.time() == this.timeToClosePositions ) );
  			return ( areToBeClosed );
  		}
- 		
- 		protected override bool arePositionsToBeOpened()
- 		{
- 			bool areToBeOpened = ( this.time() == this.lastTimeToTestInefficiency );
- 			areToBeOpened =
- 				( areToBeOpened &&
- 				 ( this.bestTestingPositionsInSample != null ) );
- 			return ( areToBeOpened );
- 		}
  
  		#region getPositionsToBeOpened
--- 114,149 ----
  		}
  		
+ 		
+ 		#region arePositionsToBeOpened
+ 		private bool isAValidTimeToTryToOpenPositins()
+ 		{
+ 			Time currentTime = this.time();
+ 			bool isAValidTimeToTryToOpen =
+ 				(
+ 					( currentTime >= this.timeToBeginToTryToOpenPositions ) &&
+ 					( currentTime <= this.timeToStopToTryToOpenPositions )
+ 				);
+ 			return isAValidTimeToTryToOpen;
+ 		}
+ 		protected override bool arePositionsToBeOpened()
+ 		{
+ 			bool areToBeOpened = ( this.Account.Portfolio.Count == 0 );
+ 			areToBeOpened = ( areToBeOpened && ( this.bestTestingPositionsInSample != null ) );
+ 			areToBeOpened = ( areToBeOpened && this.isAValidTimeToTryToOpenPositins() );
+ 			return areToBeOpened;
+ 		}
+ 		#endregion arePositionsToBeOpened
+ 
  		protected override bool arePositionsToBeClosed()
  		{
  			bool areToBeClosed =
! 				( this.Account.Portfolio.Count > 0 );
  			areToBeClosed = (
  				areToBeClosed &&
! 				this.exitStrategy.ArePositionsToBeClosed(
! 					this.now() , this.Account ) );
! //				( this.time() == this.timeToClosePositions ) );
  			return ( areToBeClosed );
  		}
  
  		#region getPositionsToBeOpened
***************
*** 137,186 ****
  			return dateTimeForCurrentDate;
  		}
! 		private DateTime getFirstDateTimeToTestInefficiency()
! 		{
! //			DateTime now = this.now();
! //			DateTime firstDateTimeToTestInefficiency = new DateTime(
! //				now.Year , now.Month , now.Day ,
! //				this.firstTimeToTestInefficiency.Hour ,
! //				this.firstTimeToTestInefficiency.Minute ,
! //				this.firstTimeToTestInefficiency.Second );
! 			DateTime firstDateTimeToTestInefficiency =
! 				this.getDateTimeForCurrentDate( this.firstTimeToTestInefficiency );
! 			return firstDateTimeToTestInefficiency;
! 		}
! 		private DateTime getLastDateTimeToTestInefficiency()
! 		{
! //			DateTime now = this.now();
! //			DateTime lastDateTimeToTestInefficiency = new DateTime(
! //				now.Year , now.Month , now.Day ,
! //				this.lastTimeToTestInefficiency.Hour ,
! //				this.lastTimeToTestInefficiency.Minute ,
! //				this.lastTimeToTestInefficiency.Second );
! 			DateTime lastDateTimeToTestInefficiency =
! 				this.getDateTimeForCurrentDate( this.lastTimeToTestInefficiency );
! 			return lastDateTimeToTestInefficiency;
! 		}
! 		private DateTime getDateTimeToClosePositions()
! 		{
! 			DateTime dateTimeToClosePositions =
! 				this.getDateTimeForCurrentDate( this.timeToClosePositions );
! 			return dateTimeToClosePositions;
! 		}
  		protected override WeightedPositions getPositionsToBeOpened()
  		{
  //			DateTime firstDateTimeToTestInefficiency =
  //				this.getFirstDateTimeToTestInefficiency();
! 			DateTime lastDateTimeToTestInefficiency =
! 				this.getLastDateTimeToTestInefficiency();
  			// attention! we are looking in the future here, but we do it
  			// just to avoid picking a ticker for which we don't have
  			// the market value when we will close the positions
! 			DateTime dateTimeToClosePositions =
! 				this.getDateTimeToClosePositions();
  			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  					this.bestTestingPositionsInSample ,
  //					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
  //					dateTimeToClosePositions ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
--- 156,206 ----
  			return dateTimeForCurrentDate;
  		}
! //		private DateTime getFirstDateTimeToTestInefficiency()
! //		{
! 		////			DateTime now = this.now();
! 		////			DateTime firstDateTimeToTestInefficiency = new DateTime(
! 		////				now.Year , now.Month , now.Day ,
! 		////				this.firstTimeToTestInefficiency.Hour ,
! 		////				this.firstTimeToTestInefficiency.Minute ,
! 		////				this.firstTimeToTestInefficiency.Second );
! //			DateTime firstDateTimeToTestInefficiency =
! //				this.getDateTimeForCurrentDate( this.firstTimeToTestInefficiency );
! //			return firstDateTimeToTestInefficiency;
! //		}
! //		private DateTime getLastDateTimeToTestInefficiency()
! //		{
! 		////			DateTime now = this.now();
! 		////			DateTime lastDateTimeToTestInefficiency = new DateTime(
! 		////				now.Year , now.Month , now.Day ,
! 		////				this.lastTimeToTestInefficiency.Hour ,
! 		////				this.lastTimeToTestInefficiency.Minute ,
! 		////				this.lastTimeToTestInefficiency.Second );
! //			DateTime lastDateTimeToTestInefficiency =
! //				this.getDateTimeForCurrentDate( this.lastTimeToTestInefficiency );
! //			return lastDateTimeToTestInefficiency;
! //		}
! //		private DateTime getDateTimeToClosePositions()
! //		{
! //			DateTime dateTimeToClosePositions =
! //				this.getDateTimeForCurrentDate( this.timeToClosePositions );
! //			return dateTimeToClosePositions;
! //		}
  		protected override WeightedPositions getPositionsToBeOpened()
  		{
  //			DateTime firstDateTimeToTestInefficiency =
  //				this.getFirstDateTimeToTestInefficiency();
! //			DateTime lastDateTimeToTestInefficiency =
! //				this.getLastDateTimeToTestInefficiency();
  			// attention! we are looking in the future here, but we do it
  			// just to avoid picking a ticker for which we don't have
  			// the market value when we will close the positions
! //			DateTime dateTimeToClosePositions =
! //				this.getDateTimeToClosePositions();
! 			DateTime currentDateTime = this.now();
  			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  					this.bestTestingPositionsInSample ,
  //					firstDateTimeToTestInefficiency ,
! 					currentDateTime ,
  //					dateTimeToClosePositions ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooserForSingleLongAndShort.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv23097/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooserForSingleLongAndShort.cs 
Log Message:
An additional firstTimeToTestInefficiency  parameter is givent to the constructor

Index: OutOfSampleChooserForSingleLongAndShort.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooserForSingleLongAndShort.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** OutOfSampleChooserForSingleLongAndShort.cs	29 Sep 2008 21:20:44 -0000	1.2
--- OutOfSampleChooserForSingleLongAndShort.cs	28 Feb 2009 18:39:15 -0000	1.3
***************
*** 19,26 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
  
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.OutOfSample;
--- 19,27 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
  
+ using QuantProject.ADT.Timing;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.OutOfSample;
***************
*** 40,43 ****
--- 41,45 ----
  		/// </summary>
  		public OutOfSampleChooserForSingleLongAndShort(
+ 			Time firstTimeToTestInefficiency ,
  			double minThresholdForGoingLong ,
  			double maxThresholdForGoingLong ,
***************
*** 45,52 ****
  			double maxThresholdForGoingShort ) :
  			base(
! 			minThresholdForGoingLong ,
! 			maxThresholdForGoingLong ,
! 			minThresholdForGoingShort ,
! 			maxThresholdForGoingShort )
  		{
  		}
--- 47,55 ----
  			double maxThresholdForGoingShort ) :
  			base(
! 				firstTimeToTestInefficiency ,
! 				minThresholdForGoingLong ,
! 				maxThresholdForGoingLong ,
! 				minThresholdForGoingShort ,
! 				maxThresholdForGoingShort )
  		{
  		}
***************
*** 57,61 ****
  			WeightedPositions positionsToBeOpened = null;
  			if ( ( inefficientCouples != null ) &&
! 				( inefficientCouples.Length > 0 ) )
  				// at least an inefficient couple has been found
  				positionsToBeOpened = inefficientCouples[ 0 ];
--- 60,64 ----
  			WeightedPositions positionsToBeOpened = null;
  			if ( ( inefficientCouples != null ) &&
! 			    ( inefficientCouples.Length > 0 ) )
  				// at least an inefficient couple has been found
  				positionsToBeOpened = inefficientCouples[ 0 ];

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooserForExactNumberOfBestLongPositions.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv22925/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooserForExactNumberOfBestLongPositions.cs 
Log Message:
An additional firstTimeToTestInefficiency  parameter is givent to the constructor

Index: OutOfSampleChooserForExactNumberOfBestLongPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooserForExactNumberOfBestLongPositions.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** OutOfSampleChooserForExactNumberOfBestLongPositions.cs	29 Sep 2008 21:20:43 -0000	1.4
--- OutOfSampleChooserForExactNumberOfBestLongPositions.cs	28 Feb 2009 18:38:51 -0000	1.5
***************
*** 19,27 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
  
  using QuantProject.ADT.Collections;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.OutOfSample;
--- 19,28 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
  
  using QuantProject.ADT.Collections;
+ using QuantProject.ADT.Timing;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.OutOfSample;
***************
*** 54,57 ****
--- 55,59 ----
  		public OutOfSampleChooserForExactNumberOfBestLongPositions(
  			int exactNumberOfBestLongPositionsToBeReturned ,
+ 			Time firstTimeToTestInefficiency ,
  			double minThresholdForGoingLong ,
  			double maxThresholdForGoingLong ,
***************
*** 59,66 ****
  			double maxThresholdForGoingShort ) :
  			base(
! 			minThresholdForGoingLong ,
! 			maxThresholdForGoingLong ,
! 			minThresholdForGoingShort ,
! 			maxThresholdForGoingShort )
  		{
  			this.exactNumberOfBestLongPositionsToBeReturned =
--- 61,69 ----
  			double maxThresholdForGoingShort ) :
  			base(
! 				firstTimeToTestInefficiency ,
! 				minThresholdForGoingLong ,
! 				maxThresholdForGoingLong ,
! 				minThresholdForGoingShort ,
! 				maxThresholdForGoingShort )
  		{
  			this.exactNumberOfBestLongPositionsToBeReturned =
***************
*** 102,106 ****
  				new String[ this.exactNumberOfBestLongPositionsToBeReturned ];
  			Array.Copy(	longPositionTickers , tickers ,
! 				this.exactNumberOfBestLongPositionsToBeReturned );
  
  			// comment out the following three lines to select only the second best long ticker
--- 105,109 ----
  				new String[ this.exactNumberOfBestLongPositionsToBeReturned ];
  			Array.Copy(	longPositionTickers , tickers ,
! 			           this.exactNumberOfBestLongPositionsToBeReturned );
  
  			// comment out the following three lines to select only the second best long ticker
***************
*** 121,125 ****
  				this.getLongPositionTickers( inefficientCouples );
  			if ( longPositionTickers.Length >=
! 				this.exactNumberOfBestLongPositionsToBeReturned )
  				// at least a long position has been found in the inefficient couples
  				weightedPositionsToBeOpened =
--- 124,128 ----
  				this.getLongPositionTickers( inefficientCouples );
  			if ( longPositionTickers.Length >=
! 			    this.exactNumberOfBestLongPositionsToBeReturned )
  				// at least a long position has been found in the inefficient couples
  				weightedPositionsToBeOpened =

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooserForAlreadyClosing.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv22608/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooserForAlreadyClosing.cs 
Log Message:
Chooses two positions that seem to be an arbitrage opportunity.
The measured inefficiency must be seen to have narrowed now, before giving the entry signal.
Among the eligible couples, a couple is discarded if any of the two tickers have had a either split, or dividend, or any other event that may have caused an overnight price adjustment

Index: OutOfSampleChooserForAlreadyClosing.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooserForAlreadyClosing.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OutOfSampleChooserForAlreadyClosing.cs	18 Feb 2009 20:05:33 -0000	1.1
--- OutOfSampleChooserForAlreadyClosing.cs	28 Feb 2009 18:38:05 -0000	1.2
***************
*** 3,7 ****
  
  OutOfSampleChooserForAlreadyClosing.cs
! Copyright (C) 2008
  Glauco Siliprandi
  
--- 3,7 ----
  
  OutOfSampleChooserForAlreadyClosing.cs
! Copyright (C) 2009
  Glauco Siliprandi
  
***************
*** 23,28 ****
--- 23,32 ----
  using System;
  
+ using QuantProject.ADT.Timing;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ using QuantProject.Business.Timing;
  
  namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
***************
*** 30,34 ****
  	/// <summary>
  	/// Chooses two positions that seem to be an arbitrage opportunity.
! 	/// Among the eligible couples, a couple is discard if any of the two tickers
  	/// have had a either split, or dividend, or any other event that may
  	/// have caused an overnight price adjustment
--- 34,40 ----
  	/// <summary>
  	/// Chooses two positions that seem to be an arbitrage opportunity.
! 	/// The measured inefficiency must be seen to have narrowed now, before
! 	/// giving the entry signal.
! 	/// Among the eligible couples, a couple is discarded if any of the two tickers
  	/// have had a either split, or dividend, or any other event that may
  	/// have caused an overnight price adjustment
***************
*** 38,42 ****
  		OutOfSampleChooserForSingleLongAndShort
  	{
! 		private int numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing;
  		
  		public OutOfSampleChooserForAlreadyClosing(
--- 44,50 ----
  		OutOfSampleChooserForSingleLongAndShort
  	{
! 		private IInefficiencyCorrectionDetector inefficiencyCorrectionDetector;
! 		
! 		private PriceAdjustmentDetector adjustmentDetector;
  		
  		public OutOfSampleChooserForAlreadyClosing(
***************
*** 45,50 ****
  			double minThresholdForGoingShort ,
  			double maxThresholdForGoingShort ,
! 			int numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing ) :
  			base(
  				minThresholdForGoingLong ,
  				maxThresholdForGoingLong ,
--- 53,59 ----
  			double minThresholdForGoingShort ,
  			double maxThresholdForGoingShort ,
! 			IInefficiencyCorrectionDetector inefficiencyCorrectionDetector ) :
  			base(
+ 				new Time( 1 , 0 , 0 ) ,  // dummy parameter, not used by this derived class
  				minThresholdForGoingLong ,
  				maxThresholdForGoingLong ,
***************
*** 52,97 ****
  				maxThresholdForGoingShort )
  		{
! 			this.numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing =
! 				numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing;
  		}
  		
  		#region getPositionsFromCandidate
  		
! 		#region hasThePriceBeenAdjustedLastNight
! 		private bool hasThePriceBeenAdjustedLastNight( WeightedPositions candidate )
  		{
! 			// qui!!!
! 			return false;
  		}
! 		#endregion hasThePriceBeenAdjustedLastNight
  		
  		#region getWeightedPositionsFromCandidateWithoutAdjustment
  		private WeightedPositions getWeightedPositionsFromCandidateWithoutAdjustment(
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  			WeightedPositions candidate )
  		{
! //			qui!!!!
! //			vedi OutOfSampleChooser.getWeightedPositionsFromCandidate(),
! //			testa l'inefficienza allo stesso modo, ma poi aggiungi il test
! //				per vedere se c'e' l'inizio di chiusura; devi considerare
! //				il passaggio dei tempi: probabilmente ti converra' modificare
! //				OutOfSampleChooserForSingleLongAndShort e passargli
! //				firstTimeToTestInefficiency nel costruttore per poi modificare
! //				OutOfSampleChooser.GetPositionsToBeOpened() togliendo i
! //				parametri firstDateTimeToTestInefficiency e dateTimeToClosePositions
! 			// qui!!!
! 			return candidate;
  		}
  		#endregion getWeightedPositionsFromCandidateWithoutAdjustment
  		
! 		protected override WeightedPositions getWeightedPositionsFromCandidate(
  			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  			WeightedPositions candidate )
  		{
  			WeightedPositions weightedPositionsFromCandidate = null;
! 			if ( !this.hasThePriceBeenAdjustedLastNight( candidate ) )
  				weightedPositionsFromCandidate =
  					this.getWeightedPositionsFromCandidateWithoutAdjustment(
! 						returnsManagerForLastSecondPhaseInterval , candidate );
  			return weightedPositionsFromCandidate;
  		}
--- 61,145 ----
  				maxThresholdForGoingShort )
  		{
! 			this.inefficiencyCorrectionDetector = inefficiencyCorrectionDetector;
! 			
! 			this.adjustmentDetector = new PriceAdjustmentDetector();
! 		}
! 		
! 		protected override DateTime getFirstDateTimeToTestInefficiency(DateTime currentDateTime)
! 		{
! 			DateTime yesterdayAtCurrentTime = currentDateTime.AddDays( -1 );
! 			DateTime yesterdayAtClose = HistoricalEndOfDayTimer.GetMarketClose(
! 				yesterdayAtCurrentTime ).AddMinutes( - 1 );  // I'm subtracting 1 minute
! 										// because the bar for 15.59 is there much more often
! 										// and I believe that bar open value to be really
! 										// next to the official close
! 			return yesterdayAtClose;
  		}
  		
  		#region getPositionsFromCandidate
  		
! 		#region hasThePriceBeenAdjustedWithinTheInterval
! 		
! //		private double getAdjustedCloseToCloseReturn( string ticker , ReturnInterval returnInterval )
! //		{
! //			ReturnsManager returnManager = new ReturnsManager(
! //				returnIntervals , this.historicalAdjustedQuoteProvider
! //
! //			}
! 
! 		private bool doWeKnowThePriceHasNotBeenAdjustedWithinTheInterval(
! 			WeightedPositions candidate , ReturnInterval returnInterval	)
  		{
! 			bool doWeKnowNotAdjusted = false;
! 			try
! 			{
! 				doWeKnowNotAdjusted =
! 					(
! 						( !this.adjustmentDetector.HasThePriceBeenAdjusted(
! 							candidate[ 0 ].Ticker , returnInterval.Begin , returnInterval.End ) )
! 						&&
! 						( !this.adjustmentDetector.HasThePriceBeenAdjusted(
! 							candidate[ 1 ].Ticker , returnInterval.Begin , returnInterval.End ) )
! 					);
! 			}
! 			catch( TickerNotExchangedException tickerNotExchangedException )
! 			{
! 				string toAvoidCompileWarning = tickerNotExchangedException.Message;
! 			}
! 			return doWeKnowNotAdjusted;
  		}
! 		#endregion hasThePriceBeenAdjustedWithinTheInterval
  		
  		#region getWeightedPositionsFromCandidateWithoutAdjustment
  		private WeightedPositions getWeightedPositionsFromCandidateWithoutAdjustment(
! 			DateTime currentDateTime ,
! 			ReturnsManager returnsManagerToTestInefficiency ,
  			WeightedPositions candidate )
  		{
! 			WeightedPositions weightedPositions = base.getWeightedPositionsIfThereIsInefficiency(
! 				currentDateTime , returnsManagerToTestInefficiency , candidate );
! 			if ( ( weightedPositions != null ) &&
! 			    this.inefficiencyCorrectionDetector.IsInefficiencyCorrectionHappening(
! 			    	currentDateTime ,
! 			    	returnsManagerToTestInefficiency.ReturnIntervals[ 0 ] ,
! 			    	weightedPositions ) )
! 				// the candidate is inefficient but the gap is closing
! 				weightedPositions = candidate;
! 			return weightedPositions;
  		}
  		#endregion getWeightedPositionsFromCandidateWithoutAdjustment
  		
! 		protected override WeightedPositions getWeightedPositionsIfThereIsInefficiency(
! 			DateTime currentDateTime ,
  			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  			WeightedPositions candidate )
  		{
  			WeightedPositions weightedPositionsFromCandidate = null;
! 			if ( this.doWeKnowThePriceHasNotBeenAdjustedWithinTheInterval(
! 				candidate ,
! 				returnsManagerForLastSecondPhaseInterval.ReturnIntervals[ 0 ] ) )
  				weightedPositionsFromCandidate =
  					this.getWeightedPositionsFromCandidateWithoutAdjustment(
! 						currentDateTime , returnsManagerForLastSecondPhaseInterval , candidate );
  			return weightedPositionsFromCandidate;
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooser.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv21462/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooser.cs 
Log Message:
The code has been changed so that the derived classes can change the strategy by overriding some key methods

Index: OutOfSampleChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooser.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** OutOfSampleChooser.cs	18 Feb 2009 20:05:32 -0000	1.6
--- OutOfSampleChooser.cs	28 Feb 2009 18:35:10 -0000	1.7
***************
*** 25,28 ****
--- 25,29 ----
  
  using QuantProject.ADT.Collections;
+ using QuantProject.ADT.Timing;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
***************
*** 41,44 ****
--- 42,46 ----
  	public abstract class OutOfSampleChooser
  	{
+ 		private Time firstTimeToTestInefficiency;
  		private double minThresholdForGoingLong;
  		private double maxThresholdForGoingLong;
***************
*** 46,51 ****
--- 48,57 ----
  		private double maxThresholdForGoingShort;
  
+ 		public double MinThresholdForGoingLong {
+ 			get { return this.minThresholdForGoingLong; }
+ 		}
  
  		public OutOfSampleChooser(
+ 			Time firstTimeToTestInefficiency ,
  			double minThresholdForGoingLong ,
  			double maxThresholdForGoingLong ,
***************
*** 53,56 ****
--- 59,63 ----
  			double maxThresholdForGoingShort )
  		{
+ 			this.firstTimeToTestInefficiency = firstTimeToTestInefficiency;
  			this.minThresholdForGoingLong = minThresholdForGoingLong;
  			this.maxThresholdForGoingLong = maxThresholdForGoingLong;
***************
*** 64,68 ****
  		/// <param name="inefficientCouples">a collection of couples that
  		/// are strongly correlated in sample, but were not so
! 		/// correlated in the latest second phase interval</param>
  		/// <param name="inSampleReturnsManager"></param>
  		/// <returns></returns>
--- 71,75 ----
  		/// <param name="inefficientCouples">a collection of couples that
  		/// are strongly correlated in sample, but were not so
! 		/// correlated in the interval to test for inefficiency</param>
  		/// <param name="inSampleReturnsManager"></param>
  		/// <returns></returns>
***************
*** 114,117 ****
--- 121,139 ----
  		
  		#region getReturnIntervalsForLastSecondPhaseInterval
+ 		
+ 		protected virtual DateTime getFirstDateTimeToTestInefficiency( DateTime currentDateTime )
+ 		{
+ //			DateTime now = this.now();
+ //			DateTime firstDateTimeToTestInefficiency = new DateTime(
+ //				now.Year , now.Month , now.Day ,
+ //				this.firstTimeToTestInefficiency.Hour ,
+ //				this.firstTimeToTestInefficiency.Minute ,
+ //				this.firstTimeToTestInefficiency.Second );
+ 			DateTime firstDateTimeToTestInefficiency =
+ 				Time.GetDateTimeFromMerge(
+ 					currentDateTime , this.firstTimeToTestInefficiency );
+ 			return firstDateTimeToTestInefficiency;
+ 		}
+ 		
  		private ReturnInterval
  			getReturnIntervalToTestInefficiency(
***************
*** 121,132 ****
  			)
  		{
- //			qui!!!
  			DateTime firstDateTimeToTestInefficiency =
! 				currentDateTime.AddMinutes( 30 );
  
! 			ReturnInterval returnIntervalForLastSecondPhaseInterval =
  				new ReturnInterval(
  					firstDateTimeToTestInefficiency , currentDateTime );
! 			return returnIntervalForLastSecondPhaseInterval;
  		}
  		private ReturnIntervals
--- 143,154 ----
  			)
  		{
  			DateTime firstDateTimeToTestInefficiency =
! 				this.getFirstDateTimeToTestInefficiency( currentDateTime );
! //				currentDateTime.AddMinutes( 30 );
  
! 			ReturnInterval returnIntervalToTestInefficiency =
  				new ReturnInterval(
  					firstDateTimeToTestInefficiency , currentDateTime );
! 			return returnIntervalToTestInefficiency;
  		}
  		private ReturnIntervals
***************
*** 137,141 ****
  			)
  		{
! 			ReturnInterval returnIntervalForLastSecondPhaseInterval =
  				this.getReturnIntervalToTestInefficiency(
  					currentDateTime
--- 159,163 ----
  			)
  		{
! 			ReturnInterval returnIntervalToTestInefficiency =
  				this.getReturnIntervalToTestInefficiency(
  					currentDateTime
***************
*** 143,149 ****
  //					lastDateTimeToTestInefficiency
  				);
! 			ReturnIntervals returnIntervalsForLastSecondPhaseInterval =
! 				new ReturnIntervals( returnIntervalForLastSecondPhaseInterval );
! 			return returnIntervalsForLastSecondPhaseInterval;
  		}
  		#endregion getReturnIntervalsForLastSecondPhaseInterval
--- 165,171 ----
  //					lastDateTimeToTestInefficiency
  				);
! 			ReturnIntervals returnIntervalsToTestInefficiency =
! 				new ReturnIntervals( returnIntervalToTestInefficiency );
! 			return returnIntervalsToTestInefficiency;
  		}
  		#endregion getReturnIntervalsForLastSecondPhaseInterval
***************
*** 171,212 ****
  		#region getInefficientCouples
  		
! 		#region areAllNeededMarketValuesAvailableForTheCurrentCouple
! 		private bool areAllNeededMarketValuesAvailableForTheCurrentCouple(
! 			TestingPositions currentCouple ,
! 			DateTime dateTimeToClosePositions ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
! 		{
! 			bool areAllAvailable = true;
! 			foreach ( WeightedPosition weightedPosition in
! 			         currentCouple.WeightedPositions.Values )
! 				areAllAvailable =
! 					(
! 						areAllAvailable &&
! 						// attention! we are looking in the future here, but we do it
! 						// just to avoid picking a ticker for which we don't have
! 						// the market value when we will close the positions
! 						historicalMarketValueProviderForChosingPositionsOutOfSample.WasExchanged(
! 							weightedPosition.Ticker , dateTimeToClosePositions )
! 					);
! 			return areAllAvailable;
! 		}
! 		private bool areAllNeededMarketValuesAvailableForTheCurrentCouple(
! 			TestingPositions[] bestTestingPositionsInSample ,
! 			int currentTestingPositionsIndex ,
  //			DateTime dateTimeToClosePositions ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
! 		{
! 			TestingPositions currentCouple =
! 				bestTestingPositionsInSample[ currentTestingPositionsIndex ];
! 			bool areAllAvailable = true;
! 			//  qui!!!
! //				this.areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //					currentCouple , dateTimeToClosePositions ,
! //					historicalMarketValueProviderForChosingPositionsOutOfSample );
! 			return areAllAvailable;
! 		}
! 		#endregion areAllNeededMarketValuesAvailableForTheCurrentCouple
  
  		#region addPositionsIfInefficiencyForCurrentCoupleIsInTheRange
--- 193,232 ----
  		#region getInefficientCouples
  		
! //		#region areAllNeededMarketValuesAvailableForTheCurrentCouple
! //		private bool areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //			TestingPositions currentCouple ,
  //			DateTime dateTimeToClosePositions ,
! //			HistoricalMarketValueProvider
! //			historicalMarketValueProviderForChosingPositionsOutOfSample )
! //		{
! //			bool areAllAvailable = true;
! //			foreach ( WeightedPosition weightedPosition in
! //			         currentCouple.WeightedPositions.Values )
! //				areAllAvailable =
! //					(
! //						areAllAvailable &&
! //						// attention! we are looking in the future here, but we do it
! //						// just to avoid picking a ticker for which we don't have
! //						// the market value when we will close the positions
! //						historicalMarketValueProviderForChosingPositionsOutOfSample.WasExchanged(
! //							weightedPosition.Ticker , dateTimeToClosePositions )
! //					);
! //			return areAllAvailable;
! //		}
! //		private bool areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //			TestingPositions[] bestTestingPositionsInSample ,
! //			int currentTestingPositionsIndex ,
! 		////			DateTime dateTimeToClosePositions ,
! //			HistoricalMarketValueProvider
! //			historicalMarketValueProviderForChosingPositionsOutOfSample )
! //		{
! //			TestingPositions currentCouple =
! //				bestTestingPositionsInSample[ currentTestingPositionsIndex ];
! //			this.areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //				currentCouple , dateTimeToClosePositions ,
! //				historicalMarketValueProviderForChosingPositionsOutOfSample );
! //			return areAllAvailable;
! //		}
! //		#endregion areAllNeededMarketValuesAvailableForTheCurrentCouple
  
  		#region addPositionsIfInefficiencyForCurrentCoupleIsInTheRange
***************
*** 231,244 ****
  		
  		#region getPositionsIfInefficiencyIsInTheRange
! 		private double getReturnForTheLastSecondPhaseInterval(
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  			WeightedPositions weightedPositions )
  		{
  			// returnsManager should contain a single ReturnInterval, and
  			// this ReturnInterval should be the last second phase interval
! 			double returnForTheLastSecondPhaseInterval =
  				weightedPositions.GetReturn( 0 ,
! 				                            returnsManagerForLastSecondPhaseInterval );
! 			return returnForTheLastSecondPhaseInterval;
  		}
  
--- 251,264 ----
  		
  		#region getPositionsIfInefficiencyIsInTheRange
! 		private double getReturnToTestInefficiency(
! 			ReturnsManager returnsManagerToTestInefficiency ,
  			WeightedPositions weightedPositions )
  		{
  			// returnsManager should contain a single ReturnInterval, and
  			// this ReturnInterval should be the last second phase interval
! 			double returnToTestInefficiency =
  				weightedPositions.GetReturn( 0 ,
! 				                            returnsManagerToTestInefficiency );
! 			return returnToTestInefficiency;
  		}
  
***************
*** 248,253 ****
  		// satisfy the thresholds) this method returns null
  		protected virtual WeightedPositions
! 			getWeightedPositionsFromCandidate(
! 				ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  				WeightedPositions currentWeightedPositions )
  		{
--- 268,274 ----
  		// satisfy the thresholds) this method returns null
  		protected virtual WeightedPositions
! 			getWeightedPositionsIfThereIsInefficiency(
! 				DateTime currentDateTime ,
! 				ReturnsManager returnsManagerToTestInefficiency ,
  				WeightedPositions currentWeightedPositions )
  		{
***************
*** 255,272 ****
  			try
  			{
! 				double returnForTheLastSecondPhaseInterval =
! 					this.getReturnForTheLastSecondPhaseInterval(
! 						returnsManagerForLastSecondPhaseInterval ,
  						currentWeightedPositions );
! 				if ( ( returnForTheLastSecondPhaseInterval >=
  				      this.minThresholdForGoingShort ) &&
! 				    ( returnForTheLastSecondPhaseInterval <=
  				     this.maxThresholdForGoingShort ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going short
  					weightedPositionsToBeOpened = currentWeightedPositions.Opposite;
! 				if ( ( -returnForTheLastSecondPhaseInterval >=
  				      this.minThresholdForGoingLong ) &&
! 				    ( -returnForTheLastSecondPhaseInterval <=
  				     this.maxThresholdForGoingLong ) )
  					// it looks like there has been an inefficiency that
--- 276,293 ----
  			try
  			{
! 				double returnForTheIntervalToTestInefficiency =
! 					this.getReturnToTestInefficiency(
! 						returnsManagerToTestInefficiency ,
  						currentWeightedPositions );
! 				if ( ( returnForTheIntervalToTestInefficiency >=
  				      this.minThresholdForGoingShort ) &&
! 				    ( returnForTheIntervalToTestInefficiency <=
  				     this.maxThresholdForGoingShort ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going short
  					weightedPositionsToBeOpened = currentWeightedPositions.Opposite;
! 				if ( ( -returnForTheIntervalToTestInefficiency >=
  				      this.minThresholdForGoingLong ) &&
! 				    ( -returnForTheIntervalToTestInefficiency <=
  				     this.maxThresholdForGoingLong ) )
  					// it looks like there has been an inefficiency that
***************
*** 285,289 ****
  			addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
  				TestingPositions[] bestTestingPositionsInSample ,
! 				ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  				int currentTestingPositionsIndex ,
  				ArrayList inefficientCouples )
--- 306,311 ----
  			addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
  				TestingPositions[] bestTestingPositionsInSample ,
! 				DateTime currentDateTime ,
! 				ReturnsManager returnsManagerToTestInefficiency ,
  				int currentTestingPositionsIndex ,
  				ArrayList inefficientCouples )
***************
*** 294,299 ****
  				this.getCandidateForPortfolio( currentWeightedPositions );
  			WeightedPositions weightedPositionsThatMightBeOpended =
! 				this.getWeightedPositionsFromCandidate(
! 					returnsManagerForLastSecondPhaseInterval , candidateForPortfolio );
  			if ( weightedPositionsThatMightBeOpended != null )
  				// the current couple has not an inefficiency that's in the range
--- 316,321 ----
  				this.getCandidateForPortfolio( currentWeightedPositions );
  			WeightedPositions weightedPositionsThatMightBeOpended =
! 				this.getWeightedPositionsIfThereIsInefficiency(
! 					currentDateTime , returnsManagerToTestInefficiency , candidateForPortfolio );
  			if ( weightedPositionsThatMightBeOpended != null )
  				// the current couple has not an inefficiency that's in the range
***************
*** 304,308 ****
  		protected ArrayList getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  //			DateTime dateTimeToClosePositions ,
  			HistoricalMarketValueProvider
--- 326,331 ----
  		protected ArrayList getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime currentDateTime ,
! 			ReturnsManager returnsManagerToTestInefficiency ,
  //			DateTime dateTimeToClosePositions ,
  			HistoricalMarketValueProvider
***************
*** 314,327 ****
  			     currentTestingPositionsIndex++ )
  			{
! 				if ( this.areAllNeededMarketValuesAvailableForTheCurrentCouple(
  					bestTestingPositionsInSample ,
  					currentTestingPositionsIndex ,
! //					dateTimeToClosePositions ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample ) )
! 					this.addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
! 						bestTestingPositionsInSample ,
! 						returnsManagerForLastSecondPhaseInterval ,
! 						currentTestingPositionsIndex ,
! 						inefficientCouples );
  			}
  			return inefficientCouples;
--- 337,351 ----
  			     currentTestingPositionsIndex++ )
  			{
! //				if ( this.areAllNeededMarketValuesAvailableForTheCurrentCouple(
! //					bestTestingPositionsInSample ,
! //					currentTestingPositionsIndex ,
! 				////					dateTimeToClosePositions ,
! //					historicalMarketValueProviderForChosingPositionsOutOfSample ) )
! 				this.addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
  					bestTestingPositionsInSample ,
+ 					currentDateTime ,
+ 					returnsManagerToTestInefficiency ,
  					currentTestingPositionsIndex ,
! 					inefficientCouples );
  			}
  			return inefficientCouples;
***************
*** 340,344 ****
  				historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval =
  				this.getReturnsManagerToTestInefficiency(
  					currentDateTime ,
--- 364,368 ----
  				historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
! 			ReturnsManager returnsManagerToTestInefficiency =
  				this.getReturnsManagerToTestInefficiency(
  					currentDateTime ,
***************
*** 349,353 ****
  				this.getInefficientCouples(
  					bestTestingPositionsInSample ,
! 					returnsManagerForLastSecondPhaseInterval ,
  //					dateTimeToClosePositions ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
--- 373,378 ----
  				this.getInefficientCouples(
  					bestTestingPositionsInSample ,
! 					currentDateTime ,
! 					returnsManagerToTestInefficiency ,
  //					dateTimeToClosePositions ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );

[Quantproject-developers] QuantProject/b4_Business/a05_Timing HistoricalEndOfDayTimer.cs, 1.12, 1.13

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20860/b4_Business/a05_Timing

Modified Files:
	HistoricalEndOfDayTimer.cs 
Log Message:
- some important properties and method's return value have been changed from DateTime to Time

Index: HistoricalEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/HistoricalEndOfDayTimer.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** HistoricalEndOfDayTimer.cs	10 Dec 2008 19:31:16 -0000	1.12
--- HistoricalEndOfDayTimer.cs	28 Feb 2009 18:33:41 -0000	1.13
***************
*** 24,27 ****
--- 24,28 ----
  
  using QuantProject.ADT;
+ using QuantProject.ADT.Timing;
  
  namespace QuantProject.Business.Timing
***************
*** 38,50 ****
  //		private EndOfDayDateTime endDateTime;
  		
! 		private static DateTime timeForMarketOpen =
! 			new DateTime( 1900 , 1 , 1 , 9 , 30 , 00 );
! 		private static DateTime timeForMarketClose =
! 			new DateTime( 1900 , 1 , 1 , 16 , 00 , 00 );
  		
  		/// <summary>
  		/// time when the market opens
  		/// </summary>
! 		public static DateTime TimeForMarketOpen {
  			get { return HistoricalEndOfDayTimer.timeForMarketOpen; }
  		}
--- 39,51 ----
  //		private EndOfDayDateTime endDateTime;
  		
! 		private static Time timeForMarketOpen =
! 			new Time( 9 , 30 , 00 );
! 		private static Time timeForMarketClose =
! 			new Time( 16 , 00 , 00 );
  		
  		/// <summary>
  		/// time when the market opens
  		/// </summary>
! 		public static Time TimeForMarketOpen {
  			get { return HistoricalEndOfDayTimer.timeForMarketOpen; }
  		}
***************
*** 53,57 ****
  		/// time when the market closes
  		/// </summary>
! 		public static DateTime TimeForMarketClose {
  			get { return HistoricalEndOfDayTimer.timeForMarketClose; }
  		}
--- 54,58 ----
  		/// time when the market closes
  		/// </summary>
! 		public static Time TimeForMarketClose {
  			get { return HistoricalEndOfDayTimer.timeForMarketClose; }
  		}
***************
*** 60,64 ****
  		/// time for one hour after market closes
  		/// </summary>
! 		public static DateTime TimeForOneHourAfterMarketClose {
  			get { return HistoricalEndOfDayTimer.TimeForMarketClose.AddHours( 1 ); }
  		}
--- 61,65 ----
  		/// time for one hour after market closes
  		/// </summary>
! 		public static Time TimeForOneHourAfterMarketClose {
  			get { return HistoricalEndOfDayTimer.TimeForMarketClose.AddHours( 1 ); }
  		}
***************
*** 133,140 ****
  		public static bool IsMarketOpen( DateTime dateTime )
  		{
! 			bool returnValue =
! 				ExtendedDateTime.HaveTheSameTime(
! 					dateTime , HistoricalEndOfDayTimer.TimeForMarketOpen );
! 			return returnValue;
  		}
  		
--- 134,140 ----
  		public static bool IsMarketOpen( DateTime dateTime )
  		{
! 			Time time = new Time( dateTime );
! 			bool isMarketOpen = ( time == HistoricalEndOfDayTimer.TimeForMarketOpen );
! 			return isMarketOpen;
  		}
  		
***************
*** 146,153 ****
  		public static bool IsMarketClose( DateTime dateTime )
  		{
! 			bool returnValue =
! 				ExtendedDateTime.HaveTheSameTime(
! 					dateTime , HistoricalEndOfDayTimer.TimeForMarketClose );
! 			return returnValue;
  		}
  
--- 146,152 ----
  		public static bool IsMarketClose( DateTime dateTime )
  		{
! 			Time time = new Time( dateTime );
! 			bool isMarketClose = ( time == HistoricalEndOfDayTimer.TimeForMarketClose );
! 			return isMarketClose;
  		}
  
***************
*** 159,167 ****
  		public static bool IsOneHourAfterMarketClose( DateTime dateTime )
  		{
! 			bool returnValue =
! 				ExtendedDateTime.HaveTheSameTime(
! 					dateTime ,
! 					HistoricalEndOfDayTimer.TimeForOneHourAfterMarketClose );
! 			return returnValue;
  		}
  		
--- 158,165 ----
  		public static bool IsOneHourAfterMarketClose( DateTime dateTime )
  		{
! 			Time time = new Time( dateTime );
! 			bool isOneHourAfterMarketClose =
! 				( time == HistoricalEndOfDayTimer.TimeForOneHourAfterMarketClose );
! 			return isOneHourAfterMarketClose;
  		}
  		
***************
*** 210,220 ****
  		
  		#region GetNextMarketStatusSwitch
- //		private void getNextMarketStatusSwitch_checkParameters(
- //			DateTime dateTime)
- //		{
- //			if ( !HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) &&
- //			    !HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
- //				throw new Exception( "dateTime must be a
- //		}
  		/// <summary>
  		/// Returns either the next market close or the next market open,
--- 208,211 ----
***************
*** 228,236 ****
  			DateTime dateTime)
  		{
! //			this.getNextMarketStatusSwitch_checkParameters(
! //				dateTime );
  			DateTime nextMarketStatusSwitch;
! 			if ( ExtendedDateTime.IsFirstTimeLessThenSecondTime(
! 				dateTime , HistoricalEndOfDayTimer.TimeForMarketOpen ) )
  				// dateTime's time is before market open
  				nextMarketStatusSwitch = new DateTime(
--- 219,225 ----
  			DateTime dateTime)
  		{
! 			Time time = new Time( dateTime );
  			DateTime nextMarketStatusSwitch;
! 			if ( time < HistoricalEndOfDayTimer.TimeForMarketOpen )
  				// dateTime's time is before market open
  				nextMarketStatusSwitch = new DateTime(
***************
*** 242,247 ****
  			{
  				// dateTime's time is equal or after the market open
! 				if ( ExtendedDateTime.IsFirstTimeLessThenSecondTime(
! 					dateTime , HistoricalEndOfDayTimer.TimeForMarketClose ) )
  					// dateTime's time is equal or after the market open
  					// AND dateTime's time is before market close
--- 231,235 ----
  			{
  				// dateTime's time is equal or after the market open
! 				if ( time < HistoricalEndOfDayTimer.TimeForMarketClose )
  					// dateTime's time is equal or after the market open
  					// AND dateTime's time is before market close
***************
*** 262,284 ****
  						HistoricalEndOfDayTimer.TimeForMarketOpen.Second );
  				}
! 			}
! 			
! //
! //				    if ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketOpen )
! //				    	nextMarketStatusSwitch = new EndOfDayDateTime(
! //				    		this.DateTime , EndOfDaySpecificTime.MarketOpen );
! //				    else
! //				    {
! //				    	// this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketOpen
! //				    	if ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketClose )
! //				    		// ( this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketOpen )
! //				    		// AND ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketClose )
! //				    		nextMarketStatusSwitch = new EndOfDayDateTime(
! //				    			this.DateTime , EndOfDaySpecificTime.MarketClose );
! //				    	else
! //				    		// ( this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketClose )
! //				    		nextMarketStatusSwitch = new EndOfDayDateTime(
! //				    			this.DateTime.AddDays( 1 ) , EndOfDaySpecificTime.MarketOpen );
! //				    }
  			return nextMarketStatusSwitch;
  		}
--- 250,254 ----
  						HistoricalEndOfDayTimer.TimeForMarketOpen.Second );
  				}
! 			}		
  			return nextMarketStatusSwitch;
  		}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors FixedLengthTwoPhasesIntervalsSelector.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20107/b4_Business/a2_Strategies/returnsManagement/time/selectors

Modified Files:
	FixedLengthTwoPhasesIntervalsSelector.cs 
Log Message:
a To Do comment has been cleaned out

Index: FixedLengthTwoPhasesIntervalsSelector.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors/FixedLengthTwoPhasesIntervalsSelector.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** FixedLengthTwoPhasesIntervalsSelector.cs	29 Sep 2008 21:16:19 -0000	1.3
--- FixedLengthTwoPhasesIntervalsSelector.cs	28 Feb 2009 18:31:46 -0000	1.4
***************
*** 120,129 ****
  			DateTime startingDateTime )
  		{
- //			qui!!!! fai un ciclo while non exchanged (trova
- //			                                          il primo
- //			                                          successivo
- //			                                          in cui il
- //			                                          benchmark e'
- //			                                          scambiato)
  			DateTime firstIntervalBegin =
  				this.benchmark.GetThisOrNextMarketStatusSwitch(
--- 120,123 ----

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.35, 1.36

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv19480/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
- WalkForwardTesting\PairsTrading\ExitStrategies\TakeProfitStrategyOrOnMarketClose.cs has been added
- WalkForwardTesting\PairsTrading\Logging\TesterForPairsTradingTestingPositionsEndOfDayInSample.cs has been added
- WalkForwardTesting\PairsTrading\OutOfSampleChoosers\InefficiencyCorrectionDetecion\ConsecutiveMinutesOfCorrectionDetector.cs has been added
- WalkForwardTesting\PairsTrading\OutOfSampleChoosers\InefficiencyCorrectionDetecion\IInefficiencyCorrectionDetector.cs has been added
- WalkForwardTesting\PairsTrading\ExitStrategies\IExitStrategy.cs has been added

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.35
retrieving revision 1.36
diff -C2 -d -r1.35 -r1.36
*** Scripts_SD.csproj	18 Feb 2009 20:05:34 -0000	1.35
--- Scripts_SD.csproj	28 Feb 2009 18:30:11 -0000	1.36
***************
*** 118,121 ****
--- 118,122 ----
      <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\OutOfSampleChoosers\RankBasedOutOfSampleChooser.cs" />
      <Compile Include="WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs" />
+     <Compile Include="WalkForwardTesting\PairsTrading\ExitStrategies\TakeProfitStrategyOrOnMarketClose.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce\PairsTradingBruteForceChooser.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce\PairsTradingBruteForceOptimizableParametersManager.cs" />
***************
*** 125,129 ****
--- 126,133 ----
      <Compile Include="WalkForwardTesting\PairsTrading\InSample\PairsTradingFitnessEvaluator.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\Logging\PairsTradingLogItem.cs" />
+     <Compile Include="WalkForwardTesting\PairsTrading\Logging\TesterForPairsTradingTestingPositionsEndOfDayInSample.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\Logging\TesterForPairsTradingTestingPositions.cs" />
+     <Compile Include="WalkForwardTesting\PairsTrading\OutOfSampleChoosers\InefficiencyCorrectionDetecion\ConsecutiveMinutesOfCorrectionDetector.cs" />
+     <Compile Include="WalkForwardTesting\PairsTrading\OutOfSampleChoosers\InefficiencyCorrectionDetecion\IInefficiencyCorrectionDetector.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\OutOfSampleChoosers\OutOfSampleChooser.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\OutOfSampleChoosers\OutOfSampleChooserForAlreadyClosing.cs" />
***************
*** 132,135 ****
--- 136,140 ----
      <Compile Include="WalkForwardTesting\PairsTrading\PairsTradingMain.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\PairsTradingTestingPositions.cs" />
+     <Compile Include="WalkForwardTesting\PairsTrading\ExitStrategies\IExitStrategy.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\Strategies\PairsTradingIntradayStrategy.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\Strategies\PairsTradingStrategy.cs" />
***************
*** 302,306 ****
--- 307,313 ----
      <Folder Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic" />
      <Folder Include="WalkForwardTesting\PairsTrading\Logging" />
+     <Folder Include="WalkForwardTesting\PairsTrading\ExitStrategies" />
      <Folder Include="WalkForwardTesting\PairsTrading\OutOfSampleChoosers" />
+     <Folder Include="WalkForwardTesting\PairsTrading\OutOfSampleChoosers\InefficiencyCorrectionDetecion" />
      <Folder Include="WalkForwardTesting\PairsTrading\Strategies" />
      <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\BruteForce" />

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/ExitStrategies TakeProfitStrategyOrOnMarketClose.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/ExitStrategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18366/WalkForwardTesting/PairsTrading/ExitStrategies

Added Files:
	TakeProfitStrategyOrOnMarketClose.cs 
Log Message:
This exit strategy closes positions if the gain is above the given threshold; in any case, positions are closed at the end of the market day

--- NEW FILE: TakeProfitStrategyOrOnMarketClose.cs ---
/*
QuantProject - Quantitative Finance Library

TakeProfitStrategyOrOnMarketClose.cs
Copyright (C) 2009
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
 */

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// This exit strategy closes positions if the gain is above the given
	/// threshold; in any case, positions are closed at the end of the market day
	/// </summary>
	[Serializable]
	public class TakeProfitStrategyOrOnMarketClose : IExitStrategy
	{
		private double minGainToTakeProfitOn;
		private HistoricalMarketValueProvider historicalMarketValueProvider;
		
		/// <summary>
		/// This exit strategy closes positions if the gain is above the given
		/// threshold; in any case, positions are closed at the end of the market day
		/// </summary>
		/// <param name="minGainToTakeProfitOn">percentage gain above wich
		/// positions are closed</param>
		/// <param name="historicalBarProvider"></param>
		public TakeProfitStrategyOrOnMarketClose(
			double minGainToTakeProfitOn ,
			HistoricalMarketValueProvider historicalMarketValueProvider )
		{
			this.minGainToTakeProfitOn = minGainToTakeProfitOn;
			this.historicalMarketValueProvider = historicalMarketValueProvider;
		}
		
		#region DoWeClosePositions
		
		private void arePositionsToBeClosed_checkParameters(
			DateTime currentDateTime, Account account )
		{
			if ( account.Portfolio.Count == 0 )
				throw new Exception(
					"the method DoWeClosePositions() cannot be invoked if the " +
					"account has no open positions" );
		}
		
		#region arePositionsToBeClosed_actually
		
		#region arePositionsToBeClosed_evenThoughItsNotMarketClose
		
		#region getCurrentGain
		
		#region getReturnsManagerForCurrentGain
		
		#region getReturnIntervalsForCurrentGain
		private ReturnInterval getReturnIntervalForCurrentGain(
			DateTime currentDateTime , Account account )
		{
			DateTime intervalBegin = account.Transactions.LastDateTime;
			DateTime intervalEnd = currentDateTime;
			ReturnInterval returnIntervalForCurrentGain =
				new ReturnInterval( intervalBegin , intervalEnd );
			return returnIntervalForCurrentGain;
		}
		private ReturnIntervals getReturnIntervalsForCurrentGain(
			DateTime currentDateTime , Account account )
		{
			ReturnInterval returnIntervalForCurrentGain =
				this.getReturnIntervalForCurrentGain(
					currentDateTime , account );
			ReturnIntervals returnIntervalsForCurrentGain =
				new ReturnIntervals( returnIntervalForCurrentGain );
			return returnIntervalsForCurrentGain;
		}
		#endregion getReturnIntervalsForCurrentGain
		
		private ReturnsManager getReturnsManagerForCurrentGain(
			DateTime currentDateTime , Account account )
		{
			ReturnIntervals returnIntervalsForCurrentGain =
				this.getReturnIntervalsForCurrentGain( currentDateTime , account );
			ReturnsManager returnsManagerForCurrentGain = new ReturnsManager(
				returnIntervalsForCurrentGain , this.historicalMarketValueProvider );
			return returnsManagerForCurrentGain;
		}
		#endregion getReturnsManagerForCurrentGain
		
		private float getCurrentGain(
			ReturnsManager returnsManagerForCurrentGain , Account account )
		{
			WeightedPositions weightedPositions =
				AccountManager.GetWeightedPositions( account );
			float currentGain = weightedPositions.GetReturn(
				0 , returnsManagerForCurrentGain ) ;
			return currentGain;
		}
		private float getCurrentGain( DateTime currentDateTime , Account account )
		{
			ReturnsManager returnsManagerForCurrentGain = this.getReturnsManagerForCurrentGain(
				currentDateTime, account );
			float currentGain = this.getCurrentGain( returnsManagerForCurrentGain , account );
			return currentGain;
		}
		#endregion getCurrentGain
		
		private bool arePositionsToBeClosed_evenThoughItsNotMarketClose(
			DateTime currentDateTime, Account account )
		{
			bool arePositionsToBeClosed = false;
			try
			{
				float currentGain = this.getCurrentGain( currentDateTime , account );
				arePositionsToBeClosed =
					arePositionsToBeClosed || ( currentGain >= this.minGainToTakeProfitOn );
			}
			catch( TickerNotExchangedException tickerNotExchangedException )
			{
				string toAvoidCompileWarning = tickerNotExchangedException.Message;
			}
			return arePositionsToBeClosed;
		}
		
		#endregion arePositionsToBeClosed_evenThoughItsNotMarketClose
		
		private bool arePositionsToBeClosed_actually( DateTime currentDateTime, Account account )
		{
			bool arePositionsToBeClosed =
				HistoricalEndOfDayTimer.IsMarketClose( currentDateTime );
			arePositionsToBeClosed =
				arePositionsToBeClosed ||
				this.arePositionsToBeClosed_evenThoughItsNotMarketClose(
					currentDateTime, account );
			return arePositionsToBeClosed;
		}
		#endregion arePositionsToBeClosed_actually
		
		public bool ArePositionsToBeClosed( DateTime currentDateTime, Account account )
		{
			this.arePositionsToBeClosed_checkParameters( currentDateTime , account );
			bool arePositionsToBeClosed = this.arePositionsToBeClosed_actually(
				currentDateTime , account );
			return arePositionsToBeClosed;
		}
		#endregion DoWeClosePositions
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion IInefficiencyCorrectionDetector.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18114/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion

Added Files:
	IInefficiencyCorrectionDetector.cs 
Log Message:
detects if a pairs trading inefficiency is getting back

--- NEW FILE: IInefficiencyCorrectionDetector.cs ---
/*
QuantProject - Quantitative Finance Library

IInefficiencyCorrectionDetector.cs
Copyright (C) 2009
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement.Time;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// detects if a pairs trading inefficiency is getting back
	/// </summary>
	public interface IInefficiencyCorrectionDetector
	{
		bool IsInefficiencyCorrectionHappening(
			DateTime currentDateTime ,
			ReturnInterval returnInterval ,
			WeightedPositions weightedPositions );
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging TesterForPairsTradingTestingPositionsEndOfDayInSample.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv17866/WalkForwardTesting/PairsTrading/Logging

Added Files:
	TesterForPairsTradingTestingPositionsEndOfDayInSample.cs 
Log Message:
Tests a PairsTradingTestingPositions object looking in sample and using end of day quotes

--- NEW FILE: TesterForPairsTradingTestingPositionsEndOfDayInSample.cs ---
/*
QuantProject - Quantitative Finance Library

TesterForPairsTradingTestingPositions_old.cs
Copyright (C) 2008
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
 */

using System;
using System.Drawing;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting.AccountProviding;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Presentation.Reporting.WindowsForm;
using QuantProject.Scripts.General.Strategies;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	[Serializable]
	/// <summary>
	/// Tests a PairsTradingTestingPositions object looking in sample and using end of day quotes
	/// </summary>
	public class TesterForPairsTradingTestingPositionsEndOfDayInSample : IExecutable
	{
		private PairsTradingTestingPositions testingPositions;
		private int numberOfInSampleDays;
		private DateTime dateTimeWhenThisObjectWasLogged;
		
		/// <summary>
		/// Generation when the TestingPositions object has been created
		/// (if genetically optimized)
		/// </summary>
		public int Generation
		{
			get
			{
				return this.testingPositions.Generation;
			}
		}
		public double FitnessInSample
		{
			get { return this.testingPositions.FitnessInSample; }
		}
		public string ShortDescription
		{
			get { return this.testingPositions.WeightedPositions.Description; }
		}
		public PairsTradingTestingPositions TestingPositions
		{
			get { return this.testingPositions; }
		}
		public TesterForPairsTradingTestingPositionsEndOfDayInSample(
			TestingPositions testingPositions ,
			int numberOfInSampleDays ,
			DateTime dateTimeWhenThisObjectWasLogged )
		{
			this.checkParameters( testingPositions );
			this.testingPositions = (PairsTradingTestingPositions)testingPositions;
			this.numberOfInSampleDays = numberOfInSampleDays;
			this.dateTimeWhenThisObjectWasLogged =
				dateTimeWhenThisObjectWasLogged;
		}
		private void checkParameters( TestingPositions testingPositions )
		{
			if ( ! ( testingPositions is PairsTradingTestingPositions ) )
				throw new Exception(
					"The given testingPositions is NOT a " +
					"PairsTradingTestingPositions!" );
		}
		
		#region Run
		private AccountReport getAccountReport(
			WeightedPositions weightedPositions ,
			IIntervalsSelector intervalsSelector ,
			HistoricalMarketValueProvider historicalMarketValueProvider ,
			Benchmark benchmark ,
			double cashToStart )
		{
			SimpleStrategy simpleStrategy =
				new SimpleStrategy( weightedPositions ,
				                   intervalsSelector , historicalMarketValueProvider );
			IAccountProvider accountProvider =
				new SimpleAccountProvider();

			DateTime firstDateTime =
				this.dateTimeWhenThisObjectWasLogged.AddDays(
					- this.numberOfInSampleDays );
			DateTime lastDateTime =
				this.dateTimeWhenThisObjectWasLogged;
			double maxRunningHours = 0.3;
			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
					"SinglePosition" ,
					new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
						HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
						benchmark.Ticker ) ,
					simpleStrategy ,
					historicalMarketValueProvider , accountProvider ,
					firstDateTime , lastDateTime ,
					benchmark , cashToStart , maxRunningHours );

//			simpleStrategy.Account = endOfDayStrategyBackTester.Account;

			endOfDayStrategyBackTester.Run();
			return endOfDayStrategyBackTester.AccountReport;
		}
		private double getWeightedPositions_getWeight(
			WeightedPosition weightedPosition )
		{
			double weight = 1;
			if ( weightedPosition.IsShort )
				// the current WeightedPosition is short in the couple correlation
				weight = -1;
			return weight;
		}
		private WeightedPositions getWeightedPositions(
			WeightedPosition weightedPosition )
		{
//			double[] weights = { 1 };
			double[] weights = { this.getWeightedPositions_getWeight( weightedPosition ) };
			string[] tickers = { weightedPosition.Ticker };
			WeightedPositions weightedPositions =
				new WeightedPositions( weights , tickers );
			return weightedPositions;
		}
		public void Run()
		{
			//			string backTestId = "SimplePairsTrading";
			//			double cashToStart = 30000;

			Benchmark benchmark = new Benchmark( "MSFT" );

			HistoricalMarketValueProvider historicalMarketValueProvider =
				new HistoricalAdjustedQuoteProvider();

			//			IInSampleChooser inSampleChooser =
			//				(IInSampleChooser)new ConstantWeightedPositionsChooser(
			//				this.BestWeightedPositionsInSample );

			IIntervalsSelector intervalsSelector =
				new OddIntervalsSelector(	1 , 1 , benchmark );
			IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();

			WeightedPositions weightedPositions =
				this.testingPositions.WeightedPositions;
			
			WeightedPositions firstPosition =
				this.getWeightedPositions( weightedPositions[ 0 ] );
			WeightedPositions secondPosition =
				this.getWeightedPositions( weightedPositions[ 1 ] );
			AccountReport accountReportForFirstPosition =
				this.getAccountReport( firstPosition , intervalsSelector ,
				                      historicalMarketValueProvider ,
				                      benchmark , 30000 );
			AccountReport accountReportForSecondPosition =
				this.getAccountReport( secondPosition , intervalsSelector ,
				                      historicalMarketValueProvider ,
				                      benchmark ,
				                      Math.Abs(	30000 * weightedPositions[ 1 ].Weight /
				                               weightedPositions[ 0 ].Weight ) );
			
			Report report =
				new Report( accountReportForFirstPosition , false );
			DateTime lastDateTimeForReport =
				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
					accountReportForFirstPosition.EquityLine.LastDateTime );
//				new EndOfDayDateTime(
//				accountReportForFirstPosition.EquityLine.LastDateTime ,
//				EndOfDaySpecificTime.OneHourAfterMarketClose );
			
			//			report.Create( "PearsonDebug" , 1 ,
			//			              lastEndOfDayDateTimeForReport ,
			//			              benchmark.Ticker , false );
			report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
			                     Color.Brown );
			report.ShowDialog();
		}
		#endregion Run

	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/ExitStrategies IExitStrategy.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/ExitStrategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv17413/WalkForwardTesting/PairsTrading/ExitStrategies

Added Files:
	IExitStrategy.cs 
Log Message:
decides if current positions have to be closed

--- NEW FILE: IExitStrategy.cs ---
/*
QuantProject - Quantitative Finance Library

IExitStrategy.cs
Copyright (C) 2009
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.Financial.Accounting;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// decides if current positions have to be closed
	/// </summary>
	public interface IExitStrategy
	{
		bool ArePositionsToBeClosed(
			DateTime currentDateTime ,
			Account account );
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion ConsecutiveMinutesOfCorrectionDetector.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv17168/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion

Added Files:
	ConsecutiveMinutesOfCorrectionDetector.cs 
Log Message:
Detects if a the inefficiency gap has been closing for n times in the last n minutes

--- NEW FILE: ConsecutiveMinutesOfCorrectionDetector.cs ---
/*
QuantProject - Quantitative Finance Library

ConsecutiveMinutesOfCorrectionDetector.cs
Copyright (C) 2009
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
 */

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// Detects if a the inefficiency gap has been closing for
	/// n times in the last n minutes
	/// </summary>
	[Serializable]
	public class ConsecutiveMinutesOfCorrectionDetector : IInefficiencyCorrectionDetector
	{
		private HistoricalMarketValueProvider historicalMarketValueProvider;
		private int numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing;
		
		public ConsecutiveMinutesOfCorrectionDetector(
			HistoricalMarketValueProvider historicalMarketValueProvider ,
			int numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing )
		{
			this.historicalMarketValueProvider = historicalMarketValueProvider;
			this.numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing =
				numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing;
		}
		
		#region IsInefficiencyCorrectionHappening
		
		#region getReturnsManagerToCheckForConsecutiveInefficiencyClosing
		
		#region getReturnIntervalsToCheckForConsecutiveInefficiencyClosing
		
		#region addReturnIntervalForMinute
		private ReturnInterval getReturnIntervalForCurrentMinute(
			int minuteIndex , DateTime currentDateTime )
		{
			DateTime returnIntervalBegin = currentDateTime.AddMinutes(
				minuteIndex - this.numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing );
			DateTime returnIntervalEnd = returnIntervalBegin.AddMinutes( 1 );
			ReturnInterval returnIntervalForCurrentMinute =
				new ReturnInterval( returnIntervalBegin , returnIntervalEnd );
			return returnIntervalForCurrentMinute;
		}
		private void addReturnIntervalForMinute(
			int minuteIndex , DateTime currentDateTime ,
			ReturnIntervals returnIntervalsToCheckForConsecutiveInefficiencyClosing )
		{
			ReturnInterval returnInterval = this.getReturnIntervalForCurrentMinute(
				minuteIndex , currentDateTime );
			returnIntervalsToCheckForConsecutiveInefficiencyClosing.Add( returnInterval );
		}
		#endregion addReturnIntervalForMinute
		
		private ReturnIntervals getReturnIntervalsToCheckForConsecutiveInefficiencyClosing(
			DateTime currentDateTime )
		{
			ReturnIntervals returnIntervalsToCheckForConsecutiveInefficiencyClosing =
				new ReturnIntervals();
			for ( int minuteIndex = 0 ;
			     minuteIndex <
			     this.numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing ;
			     minuteIndex++ )
				this.addReturnIntervalForMinute(
					minuteIndex , currentDateTime ,
					returnIntervalsToCheckForConsecutiveInefficiencyClosing );
			return returnIntervalsToCheckForConsecutiveInefficiencyClosing;
		}
		#endregion getReturnIntervalsToCheckForConsecutiveInefficiencyClosing
		
		private ReturnsManager getReturnsManagerToCheckForConsecutiveInefficiencyClosing(
			DateTime currentDateTime )
		{
			ReturnIntervals returnIntervalsToCheckForConsecutiveInefficiencyClosing
				= this.getReturnIntervalsToCheckForConsecutiveInefficiencyClosing(
					currentDateTime );
			ReturnsManager returnsManager = new ReturnsManager(
				returnIntervalsToCheckForConsecutiveInefficiencyClosing ,
				this.historicalMarketValueProvider );
			return returnsManager;
		}
		#endregion getReturnsManagerToCheckForConsecutiveInefficiencyClosing
		
		#region areAllPositiveReturns
		private bool areAllPositiveReturns( float[] returns )
		{
			bool areAllPositive = true;
			int currentReturnIndex = 0;
			while ( areAllPositive && ( currentReturnIndex < returns.Length ) )
			{
				float currentReturn = returns[ currentReturnIndex ];
				areAllPositive = ( currentReturn > 0 );
				currentReturnIndex++;
			}
			return areAllPositive;
		}
		private bool areAllPositiveReturns(
			ReturnsManager returnsManager , WeightedPositions weightedPositions )
		{
			bool areAllNegative = false;
			try
			{
				float[] returns = weightedPositions.GetReturns( returnsManager );
				areAllNegative = this.areAllPositiveReturns( returns );
			}
			catch( TickerNotExchangedException tickerNotExchangedException )
			{
				string toAvoidCompileWarning = tickerNotExchangedException.Message;
			}
			return areAllNegative;
		}
		#endregion areAllPositiveReturns
		
		public bool IsInefficiencyCorrectionHappening(
			DateTime currentDateTime ,
			ReturnInterval returnIntervalWhereInefficiencyWasFound ,
			WeightedPositions weightedPositions )
		{
			ReturnsManager returnManagerToCheckForConsecutiveInefficiencyClosing =
				this.getReturnsManagerToCheckForConsecutiveInefficiencyClosing(
					currentDateTime );
			bool isInefficiencyCorrectionHappening =
				this.areAllPositiveReturns(
					returnManagerToCheckForConsecutiveInefficiencyClosing ,
					weightedPositions );
			return isInefficiencyCorrectionHappening;
		}
		#endregion IsInefficiencyCorrectionHappening
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/ExitStrategies - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/ExitStrategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv15851/ExitStrategies

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/ExitStrategies added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv15375/InefficiencyCorrectionDetecion

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/InefficiencyCorrectionDetecion added to the repository