quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13715/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
BasicScriptForBacktesting is inherited (and all abstract methods are implemented)

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** PairsTradingMain.cs	13 Mar 2008 19:42:11 -0000	1.3
--- PairsTradingMain.cs	19 Mar 2008 23:24:02 -0000	1.4
***************
*** 37,40 ****
--- 37,41 ----
  using QuantProject.Business.Timing;
  using QuantProject.Presentation;
+ using QuantProject.Scripts.General;
  using QuantProject.Scripts.General.Logging;
  using QuantProject.Scripts.General.Reporting;
***************
*** 48,119 ****
  	/// be done
  	/// </summary>
! 	public class PairsTradingMain
  	{
  		public PairsTradingMain()
  		{
! 		}
! 		#region Run
! 		private MessageManager setMessageManager(
! 			IEligiblesSelector eligiblesSelector ,
! 			IInSampleChooser inSampleChooser ,
! 			IEndOfDayStrategyForBacktester endOfDayStrategy ,
! 			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
! 		{
! 			string dateStamp =
! 				ExtendedDateTime.GetCompleteShortDescriptionForFileName( DateTime.Now );
! 			MessageManager messageManager =
! 				new MessageManager( "NotificationMessagesForCurrentStrategy_" +
! 				dateStamp + ".Txt" );
! 			messageManager.Monitor( eligiblesSelector );
! 			messageManager.Monitor( inSampleChooser );
! 			messageManager.Monitor( endOfDayStrategy );
! 			messageManager.Monitor( endOfDayStrategyBackTester );
! 			return messageManager;
! 		}
! 
! 		private void saveLog( BackTestLog backTestLog ,
! 		                    string suggestedLogFileName )
! 		{
! 			string defaultFolderPath =
! 				"C:\\qpReports\\pairsTrading\\";
! //			this.wFLagLog.TransactionHistory = this.account.Transactions;
! 			LogArchiver.Save( backTestLog ,
! 			              suggestedLogFileName , defaultFolderPath );
! 		}
! 
  
  
! 		public void Run1()
! 		{
! 			BackTestLog backTestLog = LogArchiver.Load( "C:\\qpReports\\pairsTrading\\" );
! 			LogViewer logViewer =
! 				new LogViewer( backTestLog );
! 			logViewer.Show();
  		}
  
! 		public void Run()
  		{
- 			string backTestId = "PairsTrading";
- 			double cashToStart = 30000;
- 
- 			int inSampleDays = 180;
- 			string tickersGroupId = "SP500";
- 			
- 			// uncomment the following two lines for faster scripts
- //			int inSampleDays = 5;
- //			string tickersGroupId = "fastTest";
- 
-       Benchmark benchmark = new Benchmark( "BMC" );
  			int maxNumberOfEligiblesToBeChosen = 100;
! 			IDecoderForTestingPositions decoderForWeightedPositions
! 				= new DecoderForPairsTradingTestingPositionsWithBalancedWeights();
! 			IHistoricalQuoteProvider historicalQuoteProvider =
! 				new HistoricalAdjustedQuoteProvider();
  
! 			// definition for the Fitness Evaluator
! //      IEquityEvaluator equityEvaluator = new SharpeRatio();
! 			IFitnessEvaluator	fitnessEvaluator =
! 				new PairsTradingFitnessEvaluator( 0.96 );
  
  			// parameters for the genetic optimizer
  			double crossoverRate = 0.85;
--- 49,84 ----
  	/// be done
  	/// </summary>
! 	public class PairsTradingMain : BasicScriptForBacktesting
  	{
+ 		private Benchmark benchmark;
+ 		private IHistoricalQuoteProvider historicalQuoteProvider;
+ 		
  		public PairsTradingMain()
  		{
! 			this.benchmark = new Benchmark( "BMC" );
  
+ 			this.historicalQuoteProvider =
+ 				new HistoricalAdjustedQuoteProvider();
  
! 			// definition for the Fitness Evaluator
! 			//      IEquityEvaluator equityEvaluator = new SharpeRatio();
  		}
  
! 		protected override void setEligiblesSelector()
  		{
  			int maxNumberOfEligiblesToBeChosen = 100;
! 			
! 			string tickersGroupId = "SP500";
! 			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
  
! 			this.eligiblesSelector =
! 				new MostLiquidAndLessVolatile(
! 				tickersGroupId ,
! 				maxNumberOfEligiblesToBeChosen );
! 		}
  
+ 		protected override void setInSampleChooser()
+ 		{
  			// parameters for the genetic optimizer
  			double crossoverRate = 0.85;
***************
*** 124,131 ****
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
! 			IInSampleChooser inSampleChooser =
  				new PairsTradingGeneticChooser(
  				10 ,
! 				benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
  				historicalQuoteProvider ,
--- 89,104 ----
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
! 
! 			IDecoderForTestingPositions decoderForWeightedPositions =
! 				new DecoderForPairsTradingTestingPositionsWithBalancedWeights();
! 
! 			double maxCorrelationAllowed = 0.96;
! 			IFitnessEvaluator fitnessEvaluator =
! 				new PairsTradingFitnessEvaluator( maxCorrelationAllowed );
! 
! 			this.inSampleChooser =
  				new PairsTradingGeneticChooser(
  				10 ,
! 				this.benchmark ,
  				decoderForWeightedPositions , fitnessEvaluator ,
  				historicalQuoteProvider ,
***************
*** 133,179 ****
  				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
  				seedForRandomGenerator );
  
! //			IIntervalsSelector intervalsSelector =
! //				new FixedLengthTwoPhasesIntervalsSelector(
! //				1 , 1 , benchmark );
  			IIntervalsSelector intervalsSelector =
! 				new OddIntervalsSelector( 1 , 1 , benchmark );
! 			IEligiblesSelector eligiblesSelector =
! 				new MostLiquidAndLessVolatile(
! 				tickersGroupId , maxNumberOfEligiblesToBeChosen );
  
! 			PairsTradingStrategy pairsTradingStrategy =
  				new PairsTradingStrategy(
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
  				0.007 , 0.99 , 0.007 , 0.99 );
! 
  			IAccountProvider accountProvider = new SimpleAccountProvider();
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 12 );
  			double maxRunningHours = 6;
! 			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , pairsTradingStrategy ,
  				historicalQuoteProvider , accountProvider ,
! 				firstDateTime ,	lastDateTime , benchmark , cashToStart , maxRunningHours );
  
! 			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
! 			// constructor
! 			pairsTradingStrategy.Account = endOfDayStrategyBackTester.Account;
  
! 			MessageManager messageManager = this.setMessageManager(
! 				eligiblesSelector , inSampleChooser ,
! 				pairsTradingStrategy , endOfDayStrategyBackTester );
! 			endOfDayStrategyBackTester.Run();
! 			BackTesterReportViewer.ShowReport( lastDateTime ,
! 				endOfDayStrategyBackTester );
! 			this.saveLog(
! 				endOfDayStrategyBackTester.Log ,
! 				endOfDayStrategyBackTester.Description );
  		}
  
! 		#endregion Run
  	}
  }
--- 106,162 ----
  				populationSizeForGeneticOptimizer , generationNumberForGeneticOptimizer ,
  				seedForRandomGenerator );
+ 		}
  
! 		protected override void setEndOfDayStrategy()
! 		{
! 			int inSampleDays = 180;
! 			// uncomment the following line for a faster script
! 			inSampleDays = 5;
! 			
  			IIntervalsSelector intervalsSelector =
! 				new OddIntervalsSelector( 1 , 1 , this.benchmark );
  
! 			this.endOfDayStrategy =
  				new PairsTradingStrategy(
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
  				0.007 , 0.99 , 0.007 , 0.99 );
! 		}
! 		protected override void setEndOfDayStrategyBackTester()
! 		{
! 			string backTestId = "PairsTrading";
  			IAccountProvider accountProvider = new SimpleAccountProvider();
+ 			double cashToStart = 30000;
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 6 );
  			double maxRunningHours = 6;
! 			
! 			this.endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.endOfDayStrategy ,
  				historicalQuoteProvider , accountProvider ,
! 				firstDateTime ,	lastDateTime ,
! 				this.benchmark , cashToStart , maxRunningHours );
! 		}
  
! 		protected override string getPathForTheMainFolderWhereScriptsResultsAreToBeSaved()
! 		{
! 			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
! 				"C:\\qpReports\\pairsTrading\\";
! 			return pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
! 		}
  
! 		protected override string getCustomSmallTextForFolderName()
! 		{
! 			return "pairsTrdng";
  		}
  
! 		protected override string getFullPathFileNameForMain()
! 		{
! 			string fullPathFileNameForMain =
! 				@"C:\QuantProject\QuantProject\b7_Scripts\WalkForwardTesting\PairsTrading\PairsTradingMain.cs";
! 			return fullPathFileNameForMain;
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies EndOfDayStrategyBackTester.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12614/b4_Business/a2_Strategies

Modified Files:
	EndOfDayStrategyBackTester.cs 
Log Message:
- the property
public DateTime FirstDateTime
has been added

- constructor's parameters are checked now (proper exceptions are risen if parameters don't comply to some requirements)

Index: EndOfDayStrategyBackTester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategyBackTester.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** EndOfDayStrategyBackTester.cs	13 Mar 2008 19:36:26 -0000	1.8
--- EndOfDayStrategyBackTester.cs	19 Mar 2008 23:21:33 -0000	1.9
***************
*** 69,73 ****
  		}
  		/// <summary>
! 		/// Returns the dimulated DateTime when the backtest is stopped
  		/// (not the real time)
  		/// </summary>
--- 69,84 ----
  		}
  		/// <summary>
! 		/// Returns the simulated DateTime when the backtest is started
! 		/// (not the real time)
! 		/// </summary>
! 		public DateTime FirstDateTime
! 		{
! 			get
! 			{
! 				return this.firstDateTime;
! 			}
! 		}
! 		/// <summary>
! 		/// Returns the simulated DateTime when the backtest is stopped
  		/// (not the real time)
  		/// </summary>
***************
*** 149,152 ****
--- 160,171 ----
  			double maxRunningHours )
  		{
+ 			this.endOfDayStrategyBackTester_checkParameters( 
+ 				endOfDayStrategy ,
+ 				historicalQuoteProvider ,
+ 				accountProvider,
+ 				firstDateTime , lastDateTime ,
+ 				benchmark ,
+ 				cashToStart ,
+ 				maxRunningHours );
  			this.backTestID = backTestID;
  			this.endOfDayStrategy = endOfDayStrategy;
***************
*** 168,171 ****
--- 187,212 ----
  			this.realDateTimeWhenTheBackTestIsStopped = DateTime.MinValue;
  		}
+ 		private void endOfDayStrategyBackTester_checkParameters(
+ 			IEndOfDayStrategyForBacktester endOfDayStrategy ,
+ 			IHistoricalQuoteProvider historicalQuoteProvider ,
+ 			IAccountProvider accountProvider,
+ 			DateTime firstDateTime , DateTime lastDateTime ,
+ 			Benchmark benchmark ,
+ 			double cashToStart ,
+ 			double maxRunningHours )
+ 		{
+ 			if ( endOfDayStrategy == null )
+ 				throw new Exception( "endOfDayStrategy cannot be null!" );
+ 			if ( historicalQuoteProvider == null )
+ 				throw new Exception( "historicalQuoteProvider cannot be null!" );
+ 			if ( accountProvider == null )
+ 				throw new Exception( "accountProvider cannot be null!" );
+ 			if ( firstDateTime.CompareTo( lastDateTime ) > 0 )
+ 				throw new Exception( "firstDateTime is greater than lastDateTime!" );
+ 			if ( cashToStart <= 0 )
+ 				throw new Exception( "cashToStart must be greater than zero!" );
+ 			if ( maxRunningHours <= 0 )
+ 				throw new Exception( "maxRunningHours must be greater than zero!" );
+ 		}
  
  		private void initialize_endOfDayTimer()

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.89, 1.90

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5258/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
General\BasicScriptForBacktesting.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.89
retrieving revision 1.90
diff -C2 -d -r1.89 -r1.90
*** b7_Scripts.csproj	13 Mar 2008 19:29:20 -0000	1.89
--- b7_Scripts.csproj	19 Mar 2008 23:15:01 -0000	1.90
***************
*** 244,247 ****
--- 244,252 ----
                  />
                  <File
+                     RelPath = "General\BasicScriptForBacktesting.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "General\Logging\LogArchiver.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/General BasicScriptForBacktesting.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/General
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4658/b7_Scripts/General

Added Files:
	BasicScriptForBacktesting.cs 
Log Message:
provides methods to save scripts' results: to be inherited by all
those scripts that launch an EndOfDayBacktester and that want
their results to be permanently saved

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

BasicScript.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.IO;

using QuantProject.ADT;
using QuantProject.ADT.FileManaging;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Presentation;

namespace QuantProject.Scripts.General
{
	/// <summary>
	/// Provides methods to save script's results: to be inherited by all
	/// those scripts that want their results to be permanently saved
	/// </summary>
	public abstract class BasicScriptForBacktesting
	{
		private string pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
		private string customSmallTextForFolderName;
		private string fullPathFileNameForMain;

		private string nameForTheSubfolderForScriptResults;
		private MessageManager messageManager;

		protected IEligiblesSelector eligiblesSelector;
		protected IInSampleChooser inSampleChooser;
		protected IEndOfDayStrategyForBacktester endOfDayStrategy;
		protected EndOfDayStrategyBackTester endOfDayStrategyBackTester;

		/// <summary>
		/// provides methods to save scripts' results: to be inherited by all
		/// those scripts that launch an EndOfDayBacktester and that want
		/// their results to be permanently saved
		/// </summary>
		public BasicScriptForBacktesting()
		{
			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
				this.getPathForTheMainFolderWhereScriptsResultsAreToBeSaved();
			string customSmallTextForFolderName =
				this.getCustomSmallTextForFolderName();
			string fullPathFileNameForMain =
				this.getFullPathFileNameForMain();
			this.checkIfPathsAreFine(
				pathForTheMainFolderWhereScriptsResultsAreToBeSaved ,
				fullPathFileNameForMain );
			this.initializePrivateMembers(
				pathForTheMainFolderWhereScriptsResultsAreToBeSaved ,
				customSmallTextForFolderName ,
				fullPathFileNameForMain );
		}

		/// <summary>
		/// it has to return the path to the main folder within wich a new subfolder
		/// will be created: this subfolder will contain all the files with the script's results;
		/// the name for the subfolder will be automatically created by this basic class
		/// (some automatic information about the script will be included in the subfolder name)
		/// </summary>
		/// <returns></returns>
		protected abstract string getPathForTheMainFolderWhereScriptsResultsAreToBeSaved();

		/// <summary>
		/// it has to return a short string to be used to build the name for the subfolder
		/// that will will contain all the files with the script's results;
		/// this short string can be used to disambiguate among different
		/// scripts that might be run one next to each the other
		/// </summary>
		/// <returns></returns>
		protected abstract string getCustomSmallTextForFolderName();

		/// <summary>
		/// complete path for the file containing the entry point for the script: it should
		/// be the file that inherits this class
		/// </summary>
		/// <returns></returns>
		protected abstract string getFullPathFileNameForMain();

		protected abstract void setEligiblesSelector();

		protected abstract void setInSampleChooser();

		protected abstract void setEndOfDayStrategy();

		protected abstract void setEndOfDayStrategyBackTester();

		private void checkIfPathsAreFine(
			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved ,
			string fullPathFileNameForMain )
		{
			if ( !Directory.Exists( pathForTheMainFolderWhereScriptsResultsAreToBeSaved ) )
				throw new Exception(
					"The given path for the main folder where script results are " +
					"to be saved, does not exist!" );
			if ( !File.Exists( fullPathFileNameForMain ) )
				throw new Exception( "The main file does not exist at the given path!" );
		}

		#region initializePrivateMembers
		private void initializePrivateMember_addAFinalSlashIfNeeded()
		{
			string lastCharacter =
				this.pathForTheMainFolderWhereScriptsResultsAreToBeSaved.Substring(
				this.pathForTheMainFolderWhereScriptsResultsAreToBeSaved.Length - 1 );
			if ( lastCharacter != "\\" )
				// the given path does not end with a slash
				this.pathForTheMainFolderWhereScriptsResultsAreToBeSaved +=	"\\";
		}
		private void
			initializePrivateMember_pathForTheMainFolderWhereScriptsResultsAreToBeSaved(
			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved )
		{
			this.pathForTheMainFolderWhereScriptsResultsAreToBeSaved =
				pathForTheMainFolderWhereScriptsResultsAreToBeSaved;
			this.initializePrivateMember_addAFinalSlashIfNeeded();
		}

		private void initializePrivateMembers(
			string pathForTheMainFolderWhereScriptsResultsAreToBeSaved ,
			string customSmallTextForFolderName ,
			string fullPathFileNameForMain )
		{
			this.initializePrivateMember_pathForTheMainFolderWhereScriptsResultsAreToBeSaved(
				pathForTheMainFolderWhereScriptsResultsAreToBeSaved );

			this.customSmallTextForFolderName = customSmallTextForFolderName;
			this.fullPathFileNameForMain = fullPathFileNameForMain;
		}
		#endregion initializePrivateMembers
		
		private void setNameForTheSubfolderForScriptResults()
		{
			this.nameForTheSubfolderForScriptResults =
				ExtendedDateTime.GetCompleteShortDescriptionForFileName( DateTime.Now ) +
				"_" + this.customSmallTextForFolderName;
		}
		private string getInitialPathForTheSubfolderForScriptResults()
		{
			string pathForTheSubfolderForScriptResults =
				this.pathForTheMainFolderWhereScriptsResultsAreToBeSaved +
				this.nameForTheSubfolderForScriptResults + "\\";
			return pathForTheSubfolderForScriptResults;
		}
		
		private void createTheSubfolderForScriptResults()
		{
			string pathForTheFolderForScriptResults=
				this.getInitialPathForTheSubfolderForScriptResults();
      
			if( !Directory.Exists( pathForTheFolderForScriptResults ) )
				Directory.CreateDirectory( pathForTheFolderForScriptResults );
		}
		
		private void copyMainToTheSubfolderForScriptResults()
		{
			string initialPathForTheSubfolderForScriptResults =
				this.getInitialPathForTheSubfolderForScriptResults();
			string fileNameForMain =
				Path.GetFileName( this.fullPathFileNameForMain );
			string initialFullPathFileNameForMainCopy =
				initialPathForTheSubfolderForScriptResults + fileNameForMain;
			File.Copy( this.fullPathFileNameForMain ,
			          initialFullPathFileNameForMainCopy , false );
		}

		private void initializeObjectsForTheBacktest()
		{
			this.setEligiblesSelector();
			this.setInSampleChooser();
			this.setEndOfDayStrategy();
			this.setEndOfDayStrategyBackTester();
		}
		
		#region initializeMessageSendersManagement
		private string
			initializeMessageSendersManagement_getInitialNameForOutputFile()
		{
			string initialNameForOutputFile =
				this.nameForTheSubfolderForScriptResults + ".txt";
			return initialNameForOutputFile;
		}
		
		private string getInitialFullPathForOutputTxtFile()
		{
			string fullPathForTheOutputFile =
				this.getInitialPathForTheSubfolderForScriptResults() +
				this.initializeMessageSendersManagement_getInitialNameForOutputFile();
			return fullPathForTheOutputFile;
		}
			
		private void initializeMessageSendersManagement()
		{
			this.messageManager = new MessageManager(
				this.getInitialFullPathForOutputTxtFile() );
			this.messageManager.Monitor( this.eligiblesSelector );
			this.messageManager.Monitor( this.inSampleChooser );
			this.messageManager.Monitor( this.endOfDayStrategy );
			this.messageManager.Monitor( this.endOfDayStrategyBackTester );
		}
		#endregion initializeMessageSendersManagement

		private string getAdditionalInfoForFileName()
		{
			string additionalInfoForFileName =
				"from_" +
				ExtendedDateTime.GetShortDescriptionForFileName(
				this.endOfDayStrategyBackTester.FirstDateTime ) +
				"_to_" +
				ExtendedDateTime.GetShortDescriptionForFileName(
				this.endOfDayStrategyBackTester.ActualLastDateTime ) +
				"_annlRtrn_" +
				this.endOfDayStrategyBackTester.AccountReport.Summary.AnnualSystemPercentageReturn.FormattedValue +
				"_maxDD_" +
				this.endOfDayStrategyBackTester.AccountReport.Summary.MaxEquityDrawDown.FormattedValue;
			return additionalInfoForFileName;
		}

		//Saves (in silent mode):
		//- a log file where the In Sample Analysis are
		//  stored;
		//- a report;
		//- the main file for this script
		private void saveScriptResults()
		{
			string fullPathFileNameForLog =
				this.getInitialPathForTheSubfolderForScriptResults() +
				this.nameForTheSubfolderForScriptResults + "_" +
				this.getAdditionalInfoForFileName() + ".qpL";
			string fullPathFileNameForReport =
				this.getInitialPathForTheSubfolderForScriptResults() +
				this.nameForTheSubfolderForScriptResults + "_" +
				this.getAdditionalInfoForFileName() + ".qpR";
			ObjectArchiver.Archive( endOfDayStrategyBackTester.Log,
				fullPathFileNameForLog );
			ObjectArchiver.Archive( endOfDayStrategyBackTester.AccountReport,
				fullPathFileNameForReport );
		}


		#region renameOutputTxtFile_addingFurtherInformation
		private string getFinalFullPathForOutputTxtFile()
		{
			string initialFullPathForOutputTxtFile =
				this.getInitialFullPathForOutputTxtFile();
			string initialFullPathForOutputTxtFile_withoutSuffix =
				initialFullPathForOutputTxtFile.Substring(
					0 , initialFullPathForOutputTxtFile.Length - 4 );
			string finalFullPathForOutputTxtFile =
				initialFullPathForOutputTxtFile_withoutSuffix + "_" +
				this.getAdditionalInfoForFileName() + ".txt";
			return finalFullPathForOutputTxtFile;
		}
		private void renameOutputTxtFile_addingFurtherInformation()
		{
			string initialFullPathForOutputTxtFile =
				this.getInitialFullPathForOutputTxtFile();
			string finalFullPathForOutputTxtFile =
				this.getFinalFullPathForOutputTxtFile();
			File.Move( initialFullPathForOutputTxtFile ,
			          finalFullPathForOutputTxtFile );
		}
		#endregion renameOutputTxtFile_addingFurtherInformation
		
		#region renameSubfolderForScriptsResults_addingFurtherInformation
		private string getFinalPathForTheSubfolderForScriptResults()
		{
			string initialPathForTheSubfolderForScriptResults =
				this.getInitialPathForTheSubfolderForScriptResults();
			string initialPathForTheSubolderForScriptResults_withoutTheFinalSlash =
				initialPathForTheSubfolderForScriptResults.Substring(
					0 , initialPathForTheSubfolderForScriptResults.Length - 1 );
			string finalPathForTheFolderForScriptResults =
				initialPathForTheSubolderForScriptResults_withoutTheFinalSlash + "_" +
				this.getAdditionalInfoForFileName() + "\\";
			return finalPathForTheFolderForScriptResults;
		}
		private void renameSubfolderForScriptsResults_addingFurtherInformation()
		{
			string initialPathForTheFolderForScriptResults =
				this.getInitialPathForTheSubfolderForScriptResults();
			string finalPathForTheFolderForScriptResults =
				this.getFinalPathForTheSubfolderForScriptResults();
			Directory.Move( initialPathForTheFolderForScriptResults ,
				finalPathForTheFolderForScriptResults );
		}
		#endregion renameSubfolderForScriptsResults_addingFurtherInformation

		

		public void Run()
		{
			this.setNameForTheSubfolderForScriptResults();
			this.createTheSubfolderForScriptResults();
			this.copyMainToTheSubfolderForScriptResults();
			this.initializeObjectsForTheBacktest();
			this.initializeMessageSendersManagement();
			this.endOfDayStrategyBackTester.Run();
			this.saveScriptResults();
			this.renameOutputTxtFile_addingFurtherInformation();
			this.renameSubfolderForScriptsResults_addingFurtherInformation();
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.17, 1.18

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12608/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
WalkForwardTesting\PairsTrading\Logging\TesterForPairsTradingTestingPositions.cs has been added

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** Scripts_SD.csproj	12 Mar 2008 22:06:59 -0000	1.17
--- Scripts_SD.csproj	16 Mar 2008 20:15:00 -0000	1.18
***************
*** 107,110 ****
--- 107,111 ----
      <Compile Include="WalkForwardTesting\PairsTrading\Logging\PairsTradingLogItem.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\Logging\SimpleStrategy.cs" />
+     <Compile Include="WalkForwardTesting\PairsTrading\Logging\TesterForPairsTradingTestingPositions.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\PairsTradingMain.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\PairsTradingStrategy.cs" />

[Quantproject-developers] QuantProject/b5_Presentation Presentation_SD.csproj, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12574/b5_Presentation

Modified Files:
	Presentation_SD.csproj 
Log Message:
ExecutablesListViewer.cs has been added

Index: Presentation_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Presentation_SD.csproj,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** Presentation_SD.csproj	6 Feb 2008 23:23:00 -0000	1.4
--- Presentation_SD.csproj	16 Mar 2008 20:14:31 -0000	1.5
***************
*** 62,65 ****
--- 62,66 ----
    <ItemGroup>
      <Compile Include="AssemblyInfo.cs" />
+     <Compile Include="ExecutablesListViewer.cs" />
      <Compile Include="FormatProvider.cs" />
      <Compile Include="Charting\CharPlot.cs" />

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.17, 1.18

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12528/b4_Business

Modified Files:
	Business_SD.csproj 
Log Message:
a1_Financial\a2_Accounting\AccountProviding\InteractiveBrokerAccountProvider.cs has been added
a1_Financial\a2_Accounting\AccountProviding\SimpleAccountProvider.cs has been added
a4_Scripting\IExecutable.cs has been added


Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** Business_SD.csproj	12 Mar 2008 21:55:13 -0000	1.17
--- Business_SD.csproj	16 Mar 2008 20:14:10 -0000	1.18
***************
*** 62,65 ****
--- 62,67 ----
      <Compile Include="a07_DataProviders\TickerNotExchangedException.cs" />
      <Compile Include="a1_Financial\a2_Accounting\AccountProviding\IAccountProvider.cs" />
+     <Compile Include="a1_Financial\a2_Accounting\AccountProviding\InteractiveBrokerAccountProvider.cs" />
+     <Compile Include="a1_Financial\a2_Accounting\AccountProviding\SimpleAccountProvider.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\StatisticsSummaryRows\AverageReturnOnMonday.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\AverageNumberOfTransactionsPerDay.cs" />
***************
*** 107,110 ****
--- 109,113 ----
      <Compile Include="a2_Strategies\TickersRelationships\OpenToCloseCorrelationProvider.cs" />
      <Compile Include="a2_Strategies\TickersRelationships\TickersPearsonCorrelation.cs" />
+     <Compile Include="a4_Scripting\IExecutable.cs" />
      <Compile Include="AssemblyInfo.cs" />
      <Compile Include="a0_Validation\IValidator.cs" />

[Quantproject-developers] QuantProject/b91_QuantProject Main.cs, 1.18, 1.19

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21125/b91_QuantProject

Modified Files:
	Main.cs 
Log Message:
The "Data>test" menu item's click event handler has been changed: now it can be used to test a BackTestLog

Index: Main.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/Main.cs,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** Main.cs	19 Jan 2008 19:08:06 -0000	1.18
--- Main.cs	13 Mar 2008 19:45:54 -0000	1.19
***************
*** 31,37 ****
--- 31,40 ----
  using QuantProject.ADT.Optimizing.Genetic;
  
+ using QuantProject.Business.Strategies.Logging;
+ using QuantProject.Scripts.General.Logging;
  using QuantProject.Scripts.SimpleTesting;
  using QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases;
  using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
+ using QuantProject.Scripts.WalkForwardTesting.PairsTrading;
  using QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank;
  using QuantProject.Scripts.WalkForwardTesting.WalkForwardLag;
***************
*** 276,284 ****
  		#endregion
  
!     private void menuItem9_Click(object sender, System.EventArgs e)
!     {
!       TestDownloadedData testDownloadedData = new TestDownloadedData();
!       testDownloadedData.ShowDialog();
!     }
  
      private void menuItem10_Click(object sender, System.EventArgs e)
--- 279,292 ----
  		#endregion
  
! 		private void menuItem9_Click(object sender, System.EventArgs e)
! 		{
! //			TestDownloadedData testDownloadedData = new TestDownloadedData();
! //			testDownloadedData.ShowDialog();
! 			BackTestLog backTestLog = LogArchiver.Load( "C:\\qpReports\\pairsTrading\\" );
! 			LogViewer logViewer =
! 				new LogViewer( backTestLog );
! 			logViewer.Show();
! 			
! 		}
  
      private void menuItem10_Click(object sender, System.EventArgs e)
***************
*** 465,469 ****
  	//new RunWalkForwardOneRank().Run();
  //			new WFLagMain().ShowDialog();
! 			new FixedLengthTwoPhasesMain().Run();
          
  //			new RunOneRank().Run();
--- 473,479 ----
  	//new RunWalkForwardOneRank().Run();
  //			new WFLagMain().ShowDialog();
! 
! //			new FixedLengthTwoPhasesMain().Run();
! 			new PairsTradingMain().Run();
          
  //			new RunOneRank().Run();

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19892/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingStrategy.cs 
Log Message:
A bad bug has been fixed: a candidate position is reversed, now

Index: PairsTradingStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PairsTradingStrategy.cs	6 Mar 2008 20:20:50 -0000	1.2
--- PairsTradingStrategy.cs	13 Mar 2008 19:43:43 -0000	1.3
***************
*** 183,186 ****
--- 183,205 ----
  			return returnForTheLastSecondPhaseInterval;
  		}
+ 
+ 		/// <summary>
+ 		/// Inverts one of the two positions
+ 		/// </summary>
+ 		/// <param name="weightedPositions"></param>
+ 		/// <returns></returns>
+ 		private WeightedPositions getCandidateForPortfolio(
+ 			WeightedPositions weightedPositions )
+ 		{
+ 			double[] weights = new double[ 2 ];
+ 			weights[ 0 ] = ((WeightedPosition)weightedPositions[ 0 ]).Weight;
+ 			weights[ 1 ] = -((WeightedPosition)weightedPositions[ 1 ]).Weight;
+ 			string[] tickers = new String[ 2 ];
+ 			tickers[ 0 ] = ((WeightedPosition)weightedPositions[ 0 ]).Ticker;
+ 			tickers[ 1 ] = ((WeightedPosition)weightedPositions[ 1 ]).Ticker;
+ 			WeightedPositions candidateForPortfolio =
+ 				new WeightedPositions( weights , tickers );
+ 			return candidateForPortfolio;
+ 		}
  		// if the currentWeightedPositions' return satisfies the thresholds
  		// then this method returns the WeightedPositions to be opened.
***************
*** 227,233 ****
  			WeightedPositions currentWeightedPositions =
  				this.bestTestingPositionsInSample[ currentTestingPositionsIndex ].WeightedPositions;
  			WeightedPositions weightedPositionsToBeOpended =
  				this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions(
! 				returnsManager , currentWeightedPositions );
  			return weightedPositionsToBeOpended;
  		}
--- 246,254 ----
  			WeightedPositions currentWeightedPositions =
  				this.bestTestingPositionsInSample[ currentTestingPositionsIndex ].WeightedPositions;
+ 			WeightedPositions candidateForPortfolio =
+ 				this.getCandidateForPortfolio( currentWeightedPositions );
  			WeightedPositions weightedPositionsToBeOpended =
  				this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions(
! 				returnsManager , candidateForPortfolio );
  			return weightedPositionsToBeOpended;
  		}
***************
*** 290,293 ****
--- 311,315 ----
  				new PairsTradingLogItem( this.now() ,
  				                        this.bestTestingPositionsInSample ,
+ 				                        this.numDaysForInSampleOptimization ,
  				                        eligibleTickers.Count );
  //			logItem.BestWeightedPositionsInSample =

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging SimpleStrategy.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19223/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

Modified Files:
	SimpleStrategy.cs 
Log Message:
Minor formatting change

Index: SimpleStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/SimpleStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** SimpleStrategy.cs	6 Mar 2008 20:03:12 -0000	1.1
--- SimpleStrategy.cs	13 Mar 2008 19:42:41 -0000	1.2
***************
*** 98,103 ****
  			PairsTradingLogItem logItem =
  				new PairsTradingLogItem( this.now() ,
! 				new TestingPositions[ 1 ] ,
! 				1 );
  			//			logItem.BestWeightedPositionsInSample =
  			//				this.bestTestingPositionsInSample.WeightedPositions;
--- 98,104 ----
  			PairsTradingLogItem logItem =
  				new PairsTradingLogItem( this.now() ,
! 				                        new TestingPositions[ 1 ] ,
! 				                        0 ,
! 				                        1 );
  			//			logItem.BestWeightedPositionsInSample =
  			//				this.bestTestingPositionsInSample.WeightedPositions;

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18993/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
- the fitness evaluator now uses the maxCorrelationAllowed parameter
- an IAccountProvider is used, now

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PairsTradingMain.cs	6 Mar 2008 20:19:50 -0000	1.2
--- PairsTradingMain.cs	13 Mar 2008 19:42:11 -0000	1.3
***************
*** 25,28 ****
--- 25,29 ----
  using QuantProject.ADT;
  using QuantProject.Business.DataProviders;
+ using QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.Eligibles;
***************
*** 113,117 ****
  //      IEquityEvaluator equityEvaluator = new SharpeRatio();
  			IFitnessEvaluator	fitnessEvaluator =
! 				new PairsTradingFitnessEvaluator();
  
  			// parameters for the genetic optimizer
--- 114,118 ----
  //      IEquityEvaluator equityEvaluator = new SharpeRatio();
  			IFitnessEvaluator	fitnessEvaluator =
! 				new PairsTradingFitnessEvaluator( 0.96 );
  
  			// parameters for the genetic optimizer
***************
*** 119,124 ****
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 30000;
! 			int generationNumberForGeneticOptimizer = 12;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
--- 120,125 ----
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 3000;
! 			int generationNumberForGeneticOptimizer = 4;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
***************
*** 146,159 ****
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
! 				0.003 , 0.99 , 0.003 , 0.99 );
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 6 );
! 			double maxRunningHours = 0.9;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , pairsTradingStrategy ,
! 					historicalQuoteProvider , firstDateTime ,
! 					lastDateTime , benchmark , cashToStart , maxRunningHours );
  
  			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester
--- 147,162 ----
  				7 , inSampleDays , intervalsSelector ,
  				eligiblesSelector , inSampleChooser , historicalQuoteProvider ,
! 				0.007 , 0.99 , 0.007 , 0.99 );
! 
! 			IAccountProvider accountProvider = new SimpleAccountProvider();
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 12 );
! 			double maxRunningHours = 6;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , pairsTradingStrategy ,
! 				historicalQuoteProvider , accountProvider ,
! 				firstDateTime ,	lastDateTime , benchmark , cashToStart , maxRunningHours );
  
  			// TO DO check if you can do this assign in the EndOfDayStrategyBackTester

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging PairsTradingLogItem.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17881/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

Modified Files:
	PairsTradingLogItem.cs 
Log Message:
The Run() method has been changed, so that an ExecutablesListViewer is used, now

Index: PairsTradingLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/PairsTradingLogItem.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PairsTradingLogItem.cs	6 Mar 2008 20:18:40 -0000	1.2
--- PairsTradingLogItem.cs	13 Mar 2008 19:40:24 -0000	1.3
***************
*** 22,29 ****
  
  using System;
- using System.Drawing;
  
- using QuantProject.Business.DataProviders;
- using QuantProject.Business.Financial.Accounting.Reporting;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.Eligibles;
--- 22,26 ----
***************
*** 31,38 ****
  using QuantProject.Business.Strategies.Logging;
  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.Reporting;
  
  namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
--- 28,35 ----
  using QuantProject.Business.Strategies.Logging;
  using QuantProject.Business.Strategies.OutOfSample;
  using QuantProject.Business.Timing;
! using QuantProject.Presentation;
! //using QuantProject.Presentation.Reporting.WindowsForm;
! //using QuantProject.Scripts.General.Reporting;
  
  namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
***************
*** 44,48 ****
  	public class PairsTradingLogItem : LogItem
  	{
! 		private TestingPositions[] bestTestingPositionsInSample;
  		private int numberOfEligibleTickers;
  		
--- 41,47 ----
  	public class PairsTradingLogItem : LogItem
  	{
! 		private TesterForPairsTradingTestingPositions[]
! 			testersForBestTestingPositionsInSample;
! 		private int numberOfInSampleDays;
  		private int numberOfEligibleTickers;
  		
***************
*** 68,164 ****
  		}
  
  		public PairsTradingLogItem(
! 			EndOfDayDateTime endOfDayDateTime ,
  			TestingPositions[] bestTestingPositionsInSample ,
  			int numberOfEligibleTickers )
! 			: base( endOfDayDateTime )
  		{
  			this.numberOfEligibleTickers = int.MinValue;
! 			this.bestTestingPositionsInSample = bestTestingPositionsInSample;
  			this.numberOfEligibleTickers = numberOfEligibleTickers;
  		}
! 		private AccountReport getAccountReport(
! 			WeightedPositions weightedPositions ,
! 			IIntervalsSelector intervalsSelector ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ,
! 			Benchmark benchmark ,
! 			double cashToStart )
  		{
! 			SimpleStrategy simpleStrategy =
! 				new SimpleStrategy( weightedPositions ,
! 				intervalsSelector , historicalQuoteProvider );
! 
! 			DateTime firstDateTime = this.simulatedCreationTime.DateTime.AddDays( -90 );
! 			DateTime lastDateTime = this.simulatedCreationTime.DateTime;
! 			double maxRunningHours = 0.3;
! 			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
! 				new EndOfDayStrategyBackTester(
! 				"SinglePosition" , simpleStrategy ,
! 				historicalQuoteProvider , firstDateTime ,
! 				lastDateTime , benchmark , cashToStart , maxRunningHours );
! 
! 			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
! 
! 			endOfDayStrategyBackTester.Run();
! 			return endOfDayStrategyBackTester.AccountReport;
  		}
! 		private WeightedPositions getWeightedPositions(
! 			WeightedPosition weightedPosition )
  		{
! 			double[] weights = { 1 };
! 			string[] tickers = { weightedPosition.Ticker };
! 			WeightedPositions weightedPositions =
! 				new WeightedPositions( weights , tickers );
! 			return weightedPositions;
  		}
  		public override void Run()
  		{
! //			string backTestId = "SimplePairsTrading";
! //			double cashToStart = 30000;
! 
! 			Benchmark benchmark = new Benchmark( "MSFT" );
! 
! 			IHistoricalQuoteProvider historicalQuoteProvider =
! 				new HistoricalAdjustedQuoteProvider();
! 
! //			IInSampleChooser inSampleChooser =
! //				(IInSampleChooser)new ConstantWeightedPositionsChooser(
! //				this.BestWeightedPositionsInSample );
! 
! 			IIntervalsSelector intervalsSelector =
! 				new OddIntervalsSelector(	1 , 1 , benchmark );
! 			IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();
! 
! 			WeightedPositions weightedPositions =
! 				this.bestTestingPositionsInSample[ 0 ].WeightedPositions;
! 				
! 			WeightedPositions firstPosition =
! 				this.getWeightedPositions( weightedPositions[ 0 ] );
! 			WeightedPositions secondPosition =
! 				this.getWeightedPositions( weightedPositions[ 1 ] );
! 			AccountReport accountReportForFirstPosition =
! 				this.getAccountReport( firstPosition , intervalsSelector ,
! 				                     historicalQuoteProvider ,
! 				                     benchmark , 30000 );
! 			AccountReport accountReportForSecondPosition =
! 				this.getAccountReport( secondPosition , intervalsSelector ,
! 				                      historicalQuoteProvider ,
! 				                      benchmark ,
! 				                      30000 * weightedPositions[ 1 ].Weight /
! 				                      weightedPositions[ 0 ].Weight );
! 			
! 			Report report =
! 				new Report( accountReportForFirstPosition , false );
! 			EndOfDayDateTime lastEndOfDayDateTimeForReport =
! 				new EndOfDayDateTime(
! 					accountReportForFirstPosition.EquityLine.LastDateTime ,
! 					EndOfDaySpecificTime.OneHourAfterMarketClose );
! 				
! //			report.Create( "PearsonDebug" , 1 ,
! //			              lastEndOfDayDateTimeForReport ,
! //			              benchmark.Ticker , false );
! 			report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
! 			                     Color.Brown );
! 			report.ShowDialog();
  		}
  	}
--- 67,221 ----
  		}
  
+ 		/// <summary>
+ 		/// Log item for the Pairs Trading strategy
+ 		/// </summary>
+ 		/// <param name="endOfDayDateTime"></param>
+ 		/// <param name="bestTestingPositionsInSample"></param>
+ 		/// <param name="numInSampleDays">number of days used for
+ 		/// in sample optimization</param>
+ 		/// <param name="numberOfEligibleTickers"></param>
  		public PairsTradingLogItem(
! 			EndOfDayDateTime now ,
  			TestingPositions[] bestTestingPositionsInSample ,
+ 			int numberOfInSampleDays ,
  			int numberOfEligibleTickers )
! 			: base( now )
  		{
  			this.numberOfEligibleTickers = int.MinValue;
! //			this.bestTestingPositionsInSample = bestTestingPositionsInSample;
! 			this.numberOfInSampleDays = numberOfInSampleDays;
  			this.numberOfEligibleTickers = numberOfEligibleTickers;
+ 			this.setTestersForPairstTradingTestingPositions(
+ 				bestTestingPositionsInSample ,
+ 				now );
  		}
! 		
! 		#region setTestersForPairstTradingTestingPositions
! 		private void setTestersForPairstTradingTestingPositions_checkParameters(
! 			TestingPositions testingPositions )
  		{
! 			if ( ! ( testingPositions is PairsTradingTestingPositions ) )
! 				throw new Exception(
! 					"TestingPositions are all expected to be " +
! 					"PairsTradingTestingPositions. The current TestingPositions " +
! 					"is not a PairsTradingTestingPositions instead!" );
  		}
! 		private void setTesterForPairstTradingTestingPositions(
! 			int currentIndex ,
! 			TestingPositions testingPositions ,
! 			EndOfDayDateTime now )
  		{
! 			this.setTestersForPairstTradingTestingPositions_checkParameters(
! 				testingPositions );
! 			this.testersForBestTestingPositionsInSample[ currentIndex ] =
! 				new TesterForPairsTradingTestingPositions(
! 					testingPositions ,
! 					this.numberOfInSampleDays ,
! 					now );
! 		}
! 		private void setTestersForPairstTradingTestingPositions(
! 			TestingPositions[] bestTestingPositionsInSample ,
! 			EndOfDayDateTime now )
! 		{
! 			this.testersForBestTestingPositionsInSample =
! 				new TesterForPairsTradingTestingPositions[
! 					bestTestingPositionsInSample.Length ];
! 			for ( int i = 0 ; i < bestTestingPositionsInSample.Length - 1 ; i++ )
! 				this.setTesterForPairstTradingTestingPositions(
! 					i ,
! 					bestTestingPositionsInSample[ i ] ,
! 					now );
  		}
+ 		#endregion setTestersForPairstTradingTestingPositions
+ //		private AccountReport getAccountReport(
+ //			WeightedPositions weightedPositions ,
+ //			IIntervalsSelector intervalsSelector ,
+ //			IHistoricalQuoteProvider historicalQuoteProvider ,
+ //			Benchmark benchmark ,
+ //			double cashToStart )
+ //		{
+ //			SimpleStrategy simpleStrategy =
+ //				new SimpleStrategy( weightedPositions ,
+ //				intervalsSelector , historicalQuoteProvider );
+ //
+ //			DateTime firstDateTime = this.simulatedCreationTime.DateTime.AddDays( -90 );
+ //			DateTime lastDateTime = this.simulatedCreationTime.DateTime;
+ //			double maxRunningHours = 0.3;
+ //			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
+ //				new EndOfDayStrategyBackTester(
+ //				"SinglePosition" , simpleStrategy ,
+ //				historicalQuoteProvider , firstDateTime ,
+ //				lastDateTime , benchmark , cashToStart , maxRunningHours );
+ //
+ //			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
+ //
+ //			endOfDayStrategyBackTester.Run();
+ //			return endOfDayStrategyBackTester.AccountReport;
+ //		}
+ //		private WeightedPositions getWeightedPositions(
+ //			WeightedPosition weightedPosition )
+ //		{
+ //			double[] weights = { 1 };
+ //			string[] tickers = { weightedPosition.Ticker };
+ //			WeightedPositions weightedPositions =
+ //				new WeightedPositions( weights , tickers );
+ //			return weightedPositions;
+ //		}
+ //		public void Run3()
+ //		{
+ ////			string backTestId = "SimplePairsTrading";
+ ////			double cashToStart = 30000;
+ //
+ //			Benchmark benchmark = new Benchmark( "MSFT" );
+ //
+ //			IHistoricalQuoteProvider historicalQuoteProvider =
+ //				new HistoricalAdjustedQuoteProvider();
+ //
+ ////			IInSampleChooser inSampleChooser =
+ ////				(IInSampleChooser)new ConstantWeightedPositionsChooser(
+ ////				this.BestWeightedPositionsInSample );
+ //
+ //			IIntervalsSelector intervalsSelector =
+ //				new OddIntervalsSelector(	1 , 1 , benchmark );
+ //			IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();
+ //
+ //			WeightedPositions weightedPositions =
+ //				this.bestTestingPositionsInSample[ 0 ].WeightedPositions;
+ //				
+ //			WeightedPositions firstPosition =
+ //				this.getWeightedPositions( weightedPositions[ 0 ] );
+ //			WeightedPositions secondPosition =
+ //				this.getWeightedPositions( weightedPositions[ 1 ] );
+ //			AccountReport accountReportForFirstPosition =
+ //				this.getAccountReport( firstPosition , intervalsSelector ,
+ //				                     historicalQuoteProvider ,
+ //				                     benchmark , 30000 );
+ //			AccountReport accountReportForSecondPosition =
+ //				this.getAccountReport( secondPosition , intervalsSelector ,
+ //				                      historicalQuoteProvider ,
+ //				                      benchmark ,
+ //				                      30000 * weightedPositions[ 1 ].Weight /
+ //				                      weightedPositions[ 0 ].Weight );
+ //			
+ //			Report report =
+ //				new Report( accountReportForFirstPosition , false );
+ //			EndOfDayDateTime lastEndOfDayDateTimeForReport =
+ //				new EndOfDayDateTime(
+ //					accountReportForFirstPosition.EquityLine.LastDateTime ,
+ //					EndOfDaySpecificTime.OneHourAfterMarketClose );
+ //				
+ ////			report.Create( "PearsonDebug" , 1 ,
+ ////			              lastEndOfDayDateTimeForReport ,
+ ////			              benchmark.Ticker , false );
+ //			report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
+ //			                     Color.Brown );
+ //			report.ShowDialog();
+ //		}
  		public override void Run()
  		{
! 			QuantProject.Presentation.ExecutablesListViewer executablesListViewer =
! 				new ExecutablesListViewer(
! 					this.testersForBestTestingPositionsInSample );
! 			executablesListViewer.Show();
  		}
  	}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample PairsTradingFitnessEvaluator.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16984/b7_Scripts/WalkForwardTesting/PairsTrading/InSample

Modified Files:
	PairsTradingFitnessEvaluator.cs 
Log Message:
The maxCorrelationAllowed parameter has been added

Index: PairsTradingFitnessEvaluator.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/PairsTradingFitnessEvaluator.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** PairsTradingFitnessEvaluator.cs	27 Feb 2008 21:15:05 -0000	1.1
--- PairsTradingFitnessEvaluator.cs	13 Mar 2008 19:38:42 -0000	1.2
***************
*** 38,41 ****
--- 38,42 ----
  	public class PairsTradingFitnessEvaluator : IFitnessEvaluator
  	{
+ 		private double maxCorrelationAllowed;
  
  		public string Description
***************
*** 47,52 ****
  		}
  
! 		public PairsTradingFitnessEvaluator()
  		{
  		}
  		#region GetFitnessValue
--- 48,55 ----
  		}
  
! 		public PairsTradingFitnessEvaluator(
! 			double maxCorrelationAllowed )
  		{
+ 			this.maxCorrelationAllowed = maxCorrelationAllowed;
  		}
  		#region GetFitnessValue
***************
*** 100,104 ****
--- 103,113 ----
  				// for the current optimization's candidate,
  				// all positions's tickers are distinct
+ 			{
  				fitnessValue = this.getFitnessValue( weightedPositions , returnsManager );
+ 				if ( fitnessValue > this.maxCorrelationAllowed )
+ 					// the two positions are too correlated. They may represent
+ 					// the same instrument
+ 					fitnessValue = -0.4;
+ 			}
  			return fitnessValue;
  		}

[Quantproject-developers] QuantProject/b5_Presentation ExecutablesListViewer.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16496/b5_Presentation

Added Files:
	ExecutablesListViewer.cs 
Log Message:
Shows a list of Executable: right clicking an item fires
the Run() of that executable

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

ExecutablesListViewer.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 System.Collections;
using System.ComponentModel;
using System.Windows.Forms;

using QuantProject.Business.Scripting;

namespace QuantProject.Presentation
{
	/// <summary>
	/// Shows a list of Executable: right clicking an item fires
	/// the Run() of that executable
	/// </summary>
	public class ExecutablesListViewer : System.Windows.Forms.Form
	{
		private IList executables;
		private System.Windows.Forms.DataGrid executablesDataGrid;
		/// <summary>
		/// Required designer variable.
		/// </summary>
		private System.ComponentModel.Container components = null;

		/// <summary>
		/// hows a list of Executable: right clicking an item fires
		/// the Run() of that executable
		/// </summary>
		/// <param name="executables">each element has to be an
		/// IExecutable</param>
		public ExecutablesListViewer( IList executables )
		{
			//
			// Required for Windows Form Designer support
			//
			InitializeComponent();

			//
			// TODO: Add any constructor code after InitializeComponent call
			//
			this.executables = executables;
			this.setDataGridTableStyle();
			this.updateGrid();
		}

		private void setDataGridTableStyle()
		{
			DataGridTableStyle dataGridTableStyle = new DataGridTableStyle( true );
			//			DataGridColumnStyle dataGridColumnStyle = new DataGridColumnStyle();
		}
		private void updateGrid()
		{
			ArrayList dataGridItems =
				new ArrayList( this.executables );
			this.executablesDataGrid.DataSource =
				dataGridItems;
			this.executablesDataGrid.Refresh();
		}

		/// <summary>
		/// Clean up any resources being used.
		/// </summary>
		protected override void Dispose( bool disposing )
		{
			if( disposing )
			{
				if(components != null)
				{
					components.Dispose();
				}
			}
			base.Dispose( disposing );
		}

		#region Windows Form Designer generated code
		/// <summary>
		/// Required method for Designer support - do not modify
		/// the contents of this method with the code editor.
		/// </summary>
		private void InitializeComponent()
		{
			this.executablesDataGrid = new System.Windows.Forms.DataGrid();
			((System.ComponentModel.ISupportInitialize)(this.executablesDataGrid)).BeginInit();
			this.SuspendLayout();
			// 
			// executablesDataGrid
			// 
			this.executablesDataGrid.DataMember = "";
			this.executablesDataGrid.HeaderForeColor = System.Drawing.SystemColors.ControlText;
			this.executablesDataGrid.Location = new System.Drawing.Point(8, 8);
			this.executablesDataGrid.Name = "executablesDataGrid";
			this.executablesDataGrid.Size = new System.Drawing.Size(808, 464);
			this.executablesDataGrid.TabIndex = 0;
			this.executablesDataGrid.MouseUp += new System.Windows.Forms.MouseEventHandler(this.executablesDataGrid_MouseUp);
			// 
			// ExecutablesListViewer
			// 
			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
			this.ClientSize = new System.Drawing.Size(824, 478);
			this.Controls.AddRange(new System.Windows.Forms.Control[] {
																																	this.executablesDataGrid});
			this.Name = "ExecutablesListViewer";
			this.Text = "ExecutablesListViewer";
			((System.ComponentModel.ISupportInitialize)(this.executablesDataGrid)).EndInit();
			this.ResumeLayout(false);

		}
		#endregion

		#region executablesDataGrid_MouseUp
		private int getRowNumber(  object sender , MouseEventArgs eventArgs )
		{
			DataGrid dataGrid = (DataGrid)sender;
			Point point = new Point( eventArgs.X , eventArgs.Y );
			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
			//			DataTable dataTable = (DataTable)dataGrid.DataSource;
			return hitTestInfo.Row;
		}
		private void getDataGridItem_checkParameters( int rowNumber )
		{
			if ( !(this.executables[ rowNumber ] is QuantProject.Business.Scripting.IExecutable) )
				throw new Exception( "The ICollection given to the constructor " +
					"contains a non IExecutable item (rowNumber=" + rowNumber +
					"). This class requires an ICollection of IExecutable(s)!" );
		}
		private IExecutable	getDataGridItem(	DataGrid dataGrid , int rowNumber )
		{
			this.getDataGridItem_checkParameters( rowNumber );
			//			DataTable dataTable = (DataTable)dataGrid.DataSource;
			IExecutable executable = (IExecutable)this.executables[ rowNumber ];
			return executable;
		}
		private IExecutable	getDataGridItem(
			object sender, System.Windows.Forms.MouseEventArgs e )
		{
			int rowNumber = this.getRowNumber( sender , e );
			IExecutable executable = this.getDataGridItem( (DataGrid)sender , rowNumber );
			return executable;
		}
		private void rightClickEventHandler(object sender, System.Windows.Forms.MouseEventArgs e)
		{
			//			wFLagWeightedPositions wFLagChosenPositions =
			//				this.rightClickEventHandler_getWFLagChosenPositions( sender , e );
			IExecutable executable = this.getDataGridItem( sender , e );
			executable.Run();
		}
		private void executablesDataGrid_MouseUp(object sender, System.Windows.Forms.MouseEventArgs e)
		{
			if ( e.Button == MouseButtons.Right )
				this.rightClickEventHandler( sender , e );
		}
		#endregion executablesDataGrid_MouseUp

	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies EndOfDayStrategyBackTester.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15914/b4_Business/a2_Strategies

Modified Files:
	EndOfDayStrategyBackTester.cs 
Log Message:
Description is now limited to a given max length

Index: EndOfDayStrategyBackTester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategyBackTester.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** EndOfDayStrategyBackTester.cs	12 Mar 2008 22:02:06 -0000	1.7
--- EndOfDayStrategyBackTester.cs	13 Mar 2008 19:36:26 -0000	1.8
***************
*** 124,132 ****
  					"_to_" +
  					ExtendedDateTime.GetShortDescriptionForFileName( this.actualLastDateTime ) +
! 					"\n_annlRtrn_" + this.AccountReport.Summary.AnnualSystemPercentageReturn.FormattedValue +
! 					"\n_maxDD_" + this.AccountReport.Summary.MaxEquityDrawDown.FormattedValue +
! 					"\nHistoricalQuoteProviderForBackTester_" + this.historicalQuoteProvider.Description +
! 					"\n_" + this.endOfDayStrategy.Description;
! 				return description;
  			}
  		}
--- 124,132 ----
  					"_to_" +
  					ExtendedDateTime.GetShortDescriptionForFileName( this.actualLastDateTime ) +
! 					"_annlRtrn_" + this.AccountReport.Summary.AnnualSystemPercentageReturn.FormattedValue +
! 					"_maxDD_" + this.AccountReport.Summary.MaxEquityDrawDown.FormattedValue +
! 					"_" + this.historicalQuoteProvider.Description +
! 					"_" + this.endOfDayStrategy.Description;
! 				return description.Substring( 0 , Math.Min( description.Length , 200 ) );
  			}
  		}

[Quantproject-developers] QuantProject/b5_Presentation b5_Presentation.csproj, 1.43, 1.44

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15326/b5_Presentation

Modified Files:
	b5_Presentation.csproj 
Log Message:
ExecutablesListViewer.cs has been added

Index: b5_Presentation.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v
retrieving revision 1.43
retrieving revision 1.44
diff -C2 -d -r1.43 -r1.44
*** b5_Presentation.csproj	10 Feb 2008 14:15:18 -0000	1.43
--- b5_Presentation.csproj	13 Mar 2008 19:35:08 -0000	1.44
***************
*** 145,148 ****
--- 145,153 ----
                  />
                  <File
+                     RelPath = "ExecutablesListViewer.cs"
+                     SubType = "Form"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "FormatProvider.cs"
                      SubType = "Code"

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14462/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

Added Files:
	TesterForPairsTradingTestingPositions.cs 
Log Message:
Tests a PairsTradingTestingPositions object

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

TesterForPairsTradingTestingPositions.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;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	[Serializable]
	/// <summary>
	/// Tests a PairsTradingTestingPositions object
	/// </summary>
	public class TesterForPairsTradingTestingPositions : IExecutable
	{
		private PairsTradingTestingPositions testingPositions;
		private int numberOfInSampleDays;
		private EndOfDayDateTime endOfDayDateTimeWhenThisObjectWasLogged;
		
		/// <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 TesterForPairsTradingTestingPositions(
			TestingPositions testingPositions ,
			int numberOfInSampleDays ,
			EndOfDayDateTime endOfDayDateTimeWhenThisObjectWasLogged )
		{
			this.checkParameters( testingPositions );
			this.testingPositions = (PairsTradingTestingPositions)testingPositions;
			this.numberOfInSampleDays = numberOfInSampleDays;
			this.endOfDayDateTimeWhenThisObjectWasLogged =
				endOfDayDateTimeWhenThisObjectWasLogged;
		}
		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 ,
			IHistoricalQuoteProvider historicalQuoteProvider ,
			Benchmark benchmark ,
			double cashToStart )
		{
			SimpleStrategy simpleStrategy =
				new SimpleStrategy( weightedPositions ,
				intervalsSelector , historicalQuoteProvider );
			IAccountProvider accountProvider =
				new SimpleAccountProvider();

			DateTime firstDateTime =
				this.endOfDayDateTimeWhenThisObjectWasLogged.DateTime.AddDays(
				- this.numberOfInSampleDays );
			DateTime lastDateTime =
				this.endOfDayDateTimeWhenThisObjectWasLogged.DateTime;
			double maxRunningHours = 0.3;
			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
				new EndOfDayStrategyBackTester(
				"SinglePosition" , simpleStrategy ,
				historicalQuoteProvider , accountProvider ,
				firstDateTime , lastDateTime ,
				benchmark , cashToStart , maxRunningHours );

			simpleStrategy.Account = endOfDayStrategyBackTester.Account;

			endOfDayStrategyBackTester.Run();
			return endOfDayStrategyBackTester.AccountReport;
		}
		private WeightedPositions getWeightedPositions(
			WeightedPosition weightedPosition )
		{
			double[] weights = { 1 };
			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" );

			IHistoricalQuoteProvider historicalQuoteProvider =
				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 ,
				historicalQuoteProvider ,
				benchmark , 30000 );
			AccountReport accountReportForSecondPosition =
				this.getAccountReport( secondPosition , intervalsSelector ,
				historicalQuoteProvider ,
				benchmark ,
				30000 * weightedPositions[ 1 ].Weight /
				weightedPositions[ 0 ].Weight );
			
			Report report =
				new Report( accountReportForFirstPosition , false );
			EndOfDayDateTime lastEndOfDayDateTimeForReport =
				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/b4_Business b4_Business.csproj, 1.59, 1.60

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13744/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
a4_Scripting\IExecutable.cs has been added

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.59
retrieving revision 1.60
diff -C2 -d -r1.59 -r1.60
*** b4_Business.csproj	12 Mar 2008 21:55:13 -0000	1.59
--- b4_Business.csproj	13 Mar 2008 19:32:04 -0000	1.60
***************
*** 953,956 ****
--- 953,961 ----
                  />
                  <File
+                     RelPath = "a4_Scripting\IExecutable.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a4_Scripting\Script.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.88, 1.89

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11979/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
a4_Scripting\IExecutable.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.88
retrieving revision 1.89
diff -C2 -d -r1.88 -r1.89
*** b7_Scripts.csproj	12 Mar 2008 22:06:59 -0000	1.88
--- b7_Scripts.csproj	13 Mar 2008 19:29:20 -0000	1.89
***************
*** 330,348 ****
                  />
                  <File
-                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCLogItem.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
-                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCMain.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
-                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVO_OTCStrategy.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
                      RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\PVOGenomeManager.cs"
                      SubType = "Code"
--- 330,333 ----
***************
*** 415,423 ****
                  />
                  <File
-                     RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVO_OTCCorrelationChooser.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
                      RelPath = "TechnicalAnalysisTesting\Oscillators\FixedLevelOscillators\PortfolioValueOscillator\InSampleChoosers\PVOCorrelationChooser.cs"
                      SubType = "Code"
--- 400,403 ----
***************
*** 930,933 ****
--- 910,918 ----
                  />
                  <File
+                     RelPath = "WalkForwardTesting\PairsTrading\Logging\TesterForPairsTradingTestingPositions.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\WalkForwardLag\RunSimpleLag.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b4_Business/a4_Scripting IExecutable.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a4_Scripting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11347/b4_Business/a4_Scripting

Added Files:
	IExecutable.cs 
Log Message:
no message

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

IExecutable.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;

namespace QuantProject.Business.Scripting
{
	/// <summary>
	/// Interface to be implemented by classes that are executable
	/// </summary>
	public interface IExecutable
	{
		void Run();
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest WalkForwardOpenToCloseDailyStrategy.cs, 1.7, 1.8

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10177/WalkForwardTesting/LinearCombination/WalkForwardTest

Modified Files:
	WalkForwardOpenToCloseDailyStrategy.cs 
Log Message:
Changed IEndOfDayStrategy interface

Index: WalkForwardOpenToCloseDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest/WalkForwardOpenToCloseDailyStrategy.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** WalkForwardOpenToCloseDailyStrategy.cs	14 Jan 2008 23:42:36 -0000	1.7
--- WalkForwardOpenToCloseDailyStrategy.cs	12 Mar 2008 22:09:59 -0000	1.8
***************
*** 57,61 ****
  
  		private OptimizationOutput optimizationOutput;
! 
  		/// best genomes, one for each optimization process
  		public OptimizationOutput OptimizationOutput
--- 57,67 ----
  
  		private OptimizationOutput optimizationOutput;
! 		
! 		public Account Account
! 		{
! 			get { return this.account; }
! 			set { this.account = value; }
! 		}
! 		
  		/// best genomes, one for each optimization process
  		public OptimizationOutput OptimizationOutput

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination OpenToCloseDailyStrategy.cs, 1.3, 1.4 OpenToCloseWeeklyStrategy.cs, 1.2, 1.3 OTC_CTODailyStrategy.cs, 1.2, 1.3

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10150/WalkForwardTesting/LinearCombination

Modified Files:
	OpenToCloseDailyStrategy.cs OpenToCloseWeeklyStrategy.cs 
	OTC_CTODailyStrategy.cs 
Log Message:
Changed IEndOfDayStrategy interface

Index: OpenToCloseWeeklyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/OpenToCloseWeeklyStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** OpenToCloseWeeklyStrategy.cs	29 Aug 2007 09:43:37 -0000	1.2
--- OpenToCloseWeeklyStrategy.cs	12 Mar 2008 22:09:25 -0000	1.3
***************
*** 40,44 ****
  		private Account account;
  		private WeightedPositions weightedPositions;
! 
  		public OpenToCloseWeeklyStrategy( Account account ,
  			WeightedPositions weightedPositions)
--- 40,50 ----
  		private Account account;
  		private WeightedPositions weightedPositions;
! 		
! 		public Account Account
! 		{
! 			get { return this.account; }
! 			set { this.account = value; }
! 		}
! 		
  		public OpenToCloseWeeklyStrategy( Account account ,
  			WeightedPositions weightedPositions)

Index: OpenToCloseDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/OpenToCloseDailyStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** OpenToCloseDailyStrategy.cs	29 Aug 2007 09:43:37 -0000	1.3
--- OpenToCloseDailyStrategy.cs	12 Mar 2008 22:09:25 -0000	1.4
***************
*** 40,44 ****
  		private Account account;
  		private WeightedPositions chosenWeightedPositions;
! 
  		public OpenToCloseDailyStrategy( Account account ,
  			WeightedPositions chosenWeightedPositions)
--- 40,50 ----
  		private Account account;
  		private WeightedPositions chosenWeightedPositions;
! 		
! 		public Account Account
! 		{
! 			get { return this.account; }
! 			set { this.account = value; }
! 		}
! 		
  		public OpenToCloseDailyStrategy( Account account ,
  			WeightedPositions chosenWeightedPositions)

Index: OTC_CTODailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/OTC_CTODailyStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** OTC_CTODailyStrategy.cs	29 Aug 2007 09:43:37 -0000	1.2
--- OTC_CTODailyStrategy.cs	12 Mar 2008 22:09:25 -0000	1.3
***************
*** 40,44 ****
  		private Account account;
  		WeightedPositions weightedPositions;
! 
  		public OTC_CTODailyStrategy( Account account ,
  			WeightedPositions weightedPositions)
--- 40,50 ----
  		private Account account;
  		WeightedPositions weightedPositions;
! 		
! 		public Account Account
! 		{
! 			get { return this.account; }
! 			set { this.account = value; }
! 		}
! 		
  		public OTC_CTODailyStrategy( Account account ,
  			WeightedPositions weightedPositions)

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination CloseToOpenDailyStrategy.cs, 1.2, 1.3 ExtremeCounterTrendStrategy.cs, 1.4, 1.5 FixedLevelOscillatorBiasedPVOStrategy.cs, 1.4, 1.5 FixedLevelOscillatorPVOStrategy.cs, 1.7, 1.8

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9863/WalkForwardTesting/LinearCombination

Modified Files:
	CloseToOpenDailyStrategy.cs ExtremeCounterTrendStrategy.cs 
	FixedLevelOscillatorBiasedPVOStrategy.cs 
	FixedLevelOscillatorPVOStrategy.cs 
Log Message:
Changed IEndOfDayStrategy interface

Index: FixedLevelOscillatorBiasedPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorBiasedPVOStrategy.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** FixedLevelOscillatorBiasedPVOStrategy.cs	14 Jan 2008 23:07:06 -0000	1.4
--- FixedLevelOscillatorBiasedPVOStrategy.cs	12 Mar 2008 22:09:04 -0000	1.5
***************
*** 73,77 ****
        this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
  		}
! 		
      public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
        EndOfDayTimingEventArgs endOfDayTimingEventArgs)
--- 73,77 ----
        this.numOfDifferentGenomesToEvaluateOutOfSample = numOfDifferentGenomesToEvaluateOutOfSample;
  		}
! 						
      public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
        EndOfDayTimingEventArgs endOfDayTimingEventArgs)

Index: CloseToOpenDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/CloseToOpenDailyStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** CloseToOpenDailyStrategy.cs	29 Aug 2007 09:43:35 -0000	1.2
--- CloseToOpenDailyStrategy.cs	12 Mar 2008 22:09:04 -0000	1.3
***************
*** 40,44 ****
  		private Account account;
  		private WeightedPositions weightedPositions;
! 
  		public CloseToOpenDailyStrategy( Account account ,
  			WeightedPositions weightedPositions)
--- 40,50 ----
  		private Account account;
  		private WeightedPositions weightedPositions;
! 		
! 		public Account Account
! 		{
! 			get { return this.account; }
! 			set { this.account = value; }
! 		}
! 		
  		public CloseToOpenDailyStrategy( Account account ,
  			WeightedPositions weightedPositions)

Index: ExtremeCounterTrendStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/ExtremeCounterTrendStrategy.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** ExtremeCounterTrendStrategy.cs	29 Aug 2007 09:43:35 -0000	1.4
--- ExtremeCounterTrendStrategy.cs	12 Mar 2008 22:09:04 -0000	1.5
***************
*** 48,51 ****
--- 48,57 ----
      private PortfolioType portfolioType;
  
+     public Account Account
+ 		{
+ 			get { return this.account; }
+ 			set { this.account = value; }
+ 		}
+     
  		public ExtremeCounterTrendStrategy( Account account ,
  			                              WeightedPositions weightedPositions,

Index: FixedLevelOscillatorPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorPVOStrategy.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** FixedLevelOscillatorPVOStrategy.cs	14 Jan 2008 23:07:06 -0000	1.7
--- FixedLevelOscillatorPVOStrategy.cs	12 Mar 2008 22:09:04 -0000	1.8
***************
*** 41,45 ****
  	public class FixedLevelOscillatorPVOStrategy : EndOfDayTimerHandlerPVO, IEndOfDayStrategy
  	{
! 		   
  		public FixedLevelOscillatorPVOStrategy( Account accountPVO ,
  			                                     WeightedPositions chosenWeightedPositions,
--- 41,45 ----
  	public class FixedLevelOscillatorPVOStrategy : EndOfDayTimerHandlerPVO, IEndOfDayStrategy
  	{
! 				
  		public FixedLevelOscillatorPVOStrategy( Account accountPVO ,
  			                                     WeightedPositions chosenWeightedPositions,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging FixedLengthTwoPhasesLogItem.cs, 1.2, 1.3

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9863/WalkForwardTesting/FixedLengthTwoPhases/Logging

Modified Files:
	FixedLengthTwoPhasesLogItem.cs 
Log Message:
Changed IEndOfDayStrategy interface

Index: FixedLengthTwoPhasesLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging/FixedLengthTwoPhasesLogItem.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** FixedLengthTwoPhasesLogItem.cs	10 Feb 2008 15:24:52 -0000	1.2
--- FixedLengthTwoPhasesLogItem.cs	12 Mar 2008 22:09:05 -0000	1.3
***************
*** 25,28 ****
--- 25,29 ----
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Strategies.Eligibles;
  using QuantProject.Business.Strategies.InSample;
***************
*** 129,133 ****
  				new EndOfDayStrategyBackTester(
  				backTestId , fixedLengthTwoPhasesStrategy ,
! 				historicalQuoteProvider , firstDateTime ,
  				lastDateTime , benchmark , cashToStart , maxRunningHours );
  
--- 130,135 ----
  				new EndOfDayStrategyBackTester(
  				backTestId , fixedLengthTwoPhasesStrategy ,
! 				historicalQuoteProvider , 
! 				new SimpleAccountProvider() , firstDateTime ,
  				lastDateTime , benchmark , cashToStart , maxRunningHours );
  

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLengthTwoPhasesMain.cs, 1.5, 1.6 FixedLengthTwoPhasesStrategy.cs, 1.4, 1.5

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9863/WalkForwardTesting/FixedLengthTwoPhases

Modified Files:
	FixedLengthTwoPhasesMain.cs FixedLengthTwoPhasesStrategy.cs 
Log Message:
Changed IEndOfDayStrategy interface

Index: FixedLengthTwoPhasesStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesStrategy.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** FixedLengthTwoPhasesStrategy.cs	10 Feb 2008 14:21:57 -0000	1.4
--- FixedLengthTwoPhasesStrategy.cs	12 Mar 2008 22:09:05 -0000	1.5
***************
*** 65,68 ****
--- 65,69 ----
  		public Account Account
  		{
+ 			get { return this.account; }
  			set { this.account = value; }
  		}

Index: FixedLengthTwoPhasesMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** FixedLengthTwoPhasesMain.cs	10 Feb 2008 14:20:32 -0000	1.5
--- FixedLengthTwoPhasesMain.cs	12 Mar 2008 22:09:05 -0000	1.6
***************
*** 26,29 ****
--- 26,30 ----
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
+ using QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Strategies.Eligibles;
  using QuantProject.Business.Strategies.EquityEvaluation;
***************
*** 170,174 ****
  				new EndOfDayStrategyBackTester(
  					backTestId , fixedLengthTwoPhasesStrategy ,
! 					historicalQuoteProvider , firstDateTime ,
  					lastDateTime , benchmark , cashToStart , maxRunningHours );
  
--- 171,176 ----
  				new EndOfDayStrategyBackTester(
  					backTestId , fixedLengthTwoPhasesStrategy ,
! 					historicalQuoteProvider , 
! 				new SimpleAccountProvider(), firstDateTime ,
  					lastDateTime , benchmark , cashToStart , maxRunningHours );