Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27034/b7_Scripts/WalkForwardTesting/PairsTrading
Modified Files:
PairsTradingMain.cs
Log Message:
Changed to use a ByPriceMostLiquidAlwaysQuoted object as IEligiblesSelector
Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** PairsTradingMain.cs 1 Apr 2008 21:33:07 -0000 1.7
--- PairsTradingMain.cs 7 Apr 2008 21:01:43 -0000 1.8
***************
*** 86,89 ****
--- 86,95 ----
tickersGroupId ,
maxNumberOfEligiblesToBeChosen );
+ this.eligiblesSelector =
+ new ByPriceMostLiquidAlwaysQuoted(
+ tickersGroupId ,
+ true ,
+ maxNumberOfEligiblesToBeChosen ,
+ 10 , 0 , 99999 );
}
***************
*** 129,133 ****
int inSampleDays = 180;
// uncomment the following line for a faster script
! // inSampleDays = 5; inSampleDays = 60;
IIntervalsSelector intervalsSelector =
--- 135,139 ----
int inSampleDays = 180;
// uncomment the following line for a faster script
! // inSampleDays = 5; // inSampleDays = 60;
IIntervalsSelector intervalsSelector =
***************
*** 150,154 ****
DateTime firstDateTime = new DateTime( 2001 , 1 , 4 );
DateTime lastDateTime = new DateTime( 2004 , 12 , 31 );
! double maxRunningHours = 9;
this.endOfDayStrategyBackTester =
--- 156,160 ----
DateTime firstDateTime = new DateTime( 2001 , 1 , 4 );
DateTime lastDateTime = new DateTime( 2004 , 12 , 31 );
! double maxRunningHours = 7.5;
this.endOfDayStrategyBackTester =
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