Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16824/b7_Scripts/WalkForwardTesting/WalkForwardLag
Modified Files:
WFLagEligibleTickers.cs
Log Message:
The eligible tickers are chosen among the most liquid ones now.
Index: WFLagEligibleTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagEligibleTickers.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagEligibleTickers.cs 14 Mar 2006 15:02:30 -0000 1.1
--- WFLagEligibleTickers.cs 18 Jun 2006 14:14:27 -0000 1.2
***************
*** 69,76 ****
{
DateTime dateTime = this.endOfDayTimer.GetCurrentTime().DateTime;
! SelectorByGroup selectorByGroup =
! new SelectorByGroup( this.tickerGroupID , dateTime );
! DataTable groupTickers = selectorByGroup.GetTableOfSelectedTickers();
!
// SelectorByLiquidity mostLiquid =
// new SelectorByLiquidity("Test", false , dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime ,
--- 69,82 ----
{
DateTime dateTime = this.endOfDayTimer.GetCurrentTime().DateTime;
! // SelectorByGroup selectorByGroup =
! // new SelectorByGroup( this.tickerGroupID , dateTime );
! // DataTable groupTickers = selectorByGroup.GetTableOfSelectedTickers();
! SelectorByLiquidity mostLiquid =
! new SelectorByLiquidity( this.tickerGroupID , true ,
! dateTime.AddDays( - this.numberDaysForPerformanceCalculation ) ,
! dateTime , 200000 , 99999 );
! DataTable groupTickers = mostLiquid.GetTableOfSelectedTickers();
!
!
// SelectorByLiquidity mostLiquid =
// new SelectorByLiquidity("Test", false , dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime ,
|
