Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5868/b7_Scripts/WalkForwardTesting/PairsTrading
Modified Files:
PairsTradingStrategy.cs
Log Message:
Now this class derives from SymmetricEndOfDayStrategyForBacktester (it derived from BasicEndOfDayStrategyForBacktester in the previous revision).
The code has been arranged accordingly (small changes were needed)
Index: PairsTradingStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingStrategy.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PairsTradingStrategy.cs 1 Apr 2008 21:34:08 -0000 1.4
--- PairsTradingStrategy.cs 13 Apr 2008 17:02:43 -0000 1.5
***************
*** 40,44 ****
/// Pairs Trading strategy with in sample optimizations
/// </summary>
! public class PairsTradingStrategy : BasicEndOfDayStrategyForBacktester
{
// private WeightedPositions positionsToBeOpened;
--- 40,44 ----
/// Pairs Trading strategy with in sample optimizations
/// </summary>
! public class PairsTradingStrategy : SymmetricEndOfDayStrategyForBacktester
{
// private WeightedPositions positionsToBeOpened;
***************
*** 97,101 ****
return secondLastReturnInterval;
}
! private bool arePositionsToBeClosed()
{
bool areToBeClosed = false;
--- 97,101 ----
return secondLastReturnInterval;
}
! protected override bool arePositionsToBeClosed()
{
bool areToBeClosed = false;
***************
*** 112,125 ****
#endregion arePositionsToBeClosed
! protected override bool marketOpenEventHandler_arePositionsToBeOpened()
! {
! return this.arePositionsToBeOpened();
! }
! protected override bool marketCloseEventHandler_arePositionsToBeOpened()
! {
! return this.arePositionsToBeOpened();
! }
! private bool arePositionsToBeOpened()
{
bool beginsTheLastInterval =
--- 112,125 ----
#endregion arePositionsToBeClosed
! // protected override bool marketOpenEventHandler_arePositionsToBeOpened()
! // {
! // return this.arePositionsToBeOpened();
! // }
! // protected override bool marketCloseEventHandler_arePositionsToBeOpened()
! // {
! // return this.arePositionsToBeOpened();
! // }
! protected override bool arePositionsToBeOpened()
{
bool beginsTheLastInterval =
***************
*** 281,285 ****
return this.getPositionsToBeOpened( returnsManager );
}
! protected WeightedPositions getPositionsToBeOpened()
{
WeightedPositions weightedPositions = null;
--- 281,285 ----
return this.getPositionsToBeOpened( returnsManager );
}
! protected override WeightedPositions getPositionsToBeOpened()
{
WeightedPositions weightedPositions = null;
***************
*** 292,314 ****
#endregion
! protected override WeightedPositions marketOpenEventHandler_getPositionsToBeOpened()
! {
! return this.getPositionsToBeOpened();
! }
!
! protected override WeightedPositions marketCloseEventHandler_getPositionsToBeOpened()
! {
! return this.getPositionsToBeOpened();
! }
!
! protected override bool marketOpenEventHandler_arePositionsToBeClosed()
! {
! return this.arePositionsToBeClosed();
! }
!
! protected override bool marketCloseEventHandler_arePositionsToBeClosed()
! {
! return this.arePositionsToBeClosed();
! }
protected override LogItem getLogItem( EligibleTickers eligibleTickers )
--- 292,314 ----
#endregion
! // protected override WeightedPositions marketOpenEventHandler_getPositionsToBeOpened()
! // {
! // return this.getPositionsToBeOpened();
! // }
! //
! // protected override WeightedPositions marketCloseEventHandler_getPositionsToBeOpened()
! // {
! // return this.getPositionsToBeOpened();
! // }
! //
! // protected override bool marketOpenEventHandler_arePositionsToBeClosed()
! // {
! // return this.arePositionsToBeClosed();
! // }
! //
! // protected override bool marketCloseEventHandler_arePositionsToBeClosed()
! // {
! // return this.arePositionsToBeClosed();
! // }
protected override LogItem getLogItem( EligibleTickers eligibleTickers )
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