Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv20779
Added Files:
PairsTradingLogItem.cs
Log Message:
Log item for the Pairs Trading strategy
--- NEW FILE: PairsTradingLogItem.cs ---
/*
QuantProject - Quantitative Finance Library
PairsTradingLogItem.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 QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Scripts.General.Reporting;
namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
/// <summary>
/// Log item for the Pairs Trading strategy
/// </summary>
[Serializable]
public class PairsTradingLogItem : LogItem
{
private TestingPositions[] bestTestingPositionsInSample;
private int numberOfEligibleTickers;
// public TestingPositions BestTestingPositionsInSample
// {
// set { this.bestTestingPositionsInSample = value; }
// }
// public WeightedPositions BestWeightedPositionsInSample
// {
// get
// {
// return this.bestTestingPositionsInSample.WeightedPositions;
// }
// }
public int NumberOfEligibleTickers
{
get
{
return this.numberOfEligibleTickers;
}
}
public PairsTradingLogItem(
EndOfDayDateTime endOfDayDateTime ,
TestingPositions[] bestTestingPositionsInSample ,
int numberOfEligibleTickers )
: base( endOfDayDateTime )
{
this.numberOfEligibleTickers = int.MinValue;
this.bestTestingPositionsInSample = bestTestingPositionsInSample;
this.numberOfEligibleTickers = numberOfEligibleTickers;
}
public override void Run()
{
// string backTestId = "SimpleFLTP";
// double cashToStart = 30000;
//
// Benchmark benchmark = new Benchmark( "MSFT" );
//
// IHistoricalQuoteProvider historicalQuoteProvider =
// new HistoricalAdjustedQuoteProvider();
//
// IInSampleChooser inSampleChooser =
// (IInSampleChooser)new ConstantWeightedPositionsChooser( this.BestWeightedPositionsInSample );
//
// IIntervalsSelector intervalsSelector =
// new FixedLengthTwoPhasesIntervalsSelector(
// 1 , 1 , benchmark );
// IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();
//
// FixedLengthTwoPhasesStrategy fixedLengthTwoPhasesStrategy =
// new FixedLengthTwoPhasesStrategy(
// this.BestWeightedPositionsInSample.Count ,
// 9999 , 9 , benchmark , intervalsSelector ,
// eligiblesSelector , inSampleChooser , historicalQuoteProvider );
//
// DateTime firstDateTime = this.simulatedCreationTime.DateTime.AddDays( -90 );
// DateTime lastDateTime = this.simulatedCreationTime.DateTime;
// double maxRunningHours = 0.3;
// EndOfDayStrategyBackTester endOfDayStrategyBackTester =
// new EndOfDayStrategyBackTester(
// backTestId , fixedLengthTwoPhasesStrategy ,
// historicalQuoteProvider , firstDateTime ,
// lastDateTime , benchmark , cashToStart , maxRunningHours );
//
// fixedLengthTwoPhasesStrategy.Account = endOfDayStrategyBackTester.Account;
//
// endOfDayStrategyBackTester.Run();
// BackTesterReportViewer.ShowReport( lastDateTime ,
// endOfDayStrategyBackTester );
}
}
}
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