Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2944/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers
Added Files:
PairsTradingChooserFromSavedBackTestLog.cs
Log Message:
IInSampleChooser for returning PairsTradingPositions
already saved in a BackTestLog saved to disk
--- NEW FILE: PairsTradingChooserFromSavedBackTestLog.cs ---
/*
QuantProject - Quantitative Finance Library
PairsTradingChooserFromSavedBackTestLog.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.Timing;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.OutOfSample;
namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
/// <summary>
/// IInSampleChooser for returning PairsTradingPositions
/// already saved in a BackTestLog saved to disk
/// </summary>
public class PairsTradingChooserFromSavedBackTestLog :
BasicChooserFromSavedBackTestLog
{
public PairsTradingChooserFromSavedBackTestLog(
string backTestLogFullPath ,
int numberOfBestTestingPositionsToBeReturned )
: base( backTestLogFullPath ,
numberOfBestTestingPositionsToBeReturned )
{
int maxNumberOfTestingPositionsFromBackTestLogItems =
((PairsTradingLogItem)this.backTestLog[0]).GetTestingPositions().Length;
if(numberOfBestTestingPositionsToBeReturned > maxNumberOfTestingPositionsFromBackTestLogItems)
throw new Exception("Number of TestingPositions to be returned " +
"is too high for the given BackTestLog");
}
#region getTestingPositionsFromBackTestLog
private void getTestingPositionsFromBackTestLog_checkParameters(
EndOfDayDateTime currentOutOfSampleEndOfDayDateTime )
{
if ( currentOutOfSampleEndOfDayDateTime.IsLessThan(
this.backTestLog[ 0 ].SimulatedCreationTime ) )
throw new Exception(
"The backTestLog doesn't contain any log item produced before the " +
"requested DateTime!" );
}
private int getIndexForLastLogItemProducedBeforeCurrentOutOfSampleEndOfDayDateTime(
EndOfDayDateTime lastReturnsManagerDate )
{
int currentIndexForLogItem = 1;
while ( ( currentIndexForLogItem < this.backTestLog.Count ) &&
( this.backTestLog[ currentIndexForLogItem ].SimulatedCreationTime.IsLessThanOrEqualTo(
lastReturnsManagerDate ) ) )
currentIndexForLogItem++;
int indexForLastLogItemProducedBeforeLastReturnsManagerDate;
if ( currentIndexForLogItem >= this.backTestLog.Count )
// all the items in the log have a SimulatedCreationTime that's
// less than or equal to lastReturnsManagerDate, thus the last
// log item produced before lastReturnsManagerDate is the last in the log
indexForLastLogItemProducedBeforeLastReturnsManagerDate =
this.backTestLog.Count - 1;
else
// currentIndexForLogItem points to the first log item with a
// SimulatedCreationTime that's greater than lastReturnsManagerDate
// thus the last log item produced before lastReturnsManagerDate is
// the previous one
indexForLastLogItemProducedBeforeLastReturnsManagerDate =
currentIndexForLogItem - 1;
return indexForLastLogItemProducedBeforeLastReturnsManagerDate;
}
private TestingPositions[] getTestingPositions(
int indexForLastLogItemProducedBeforeCurrentOutOfSampleEndOfDayDateTime )
{
TestingPositions[] testingPositionsToBeReturned =
new TestingPositions[ this.numberOfBestTestingPositionsToBeReturned ];
PairsTradingTestingPositions[] bestTestingPositionsInSample =
((PairsTradingLogItem)this.backTestLog[
indexForLastLogItemProducedBeforeCurrentOutOfSampleEndOfDayDateTime ]
).GetTestingPositions();
Array.Copy( bestTestingPositionsInSample , 0 ,
testingPositionsToBeReturned , 0 ,
testingPositionsToBeReturned.Length );
return testingPositionsToBeReturned;
}
private TestingPositions[]
getTestingPositionsFromBackTestLog_withCurrentOutOfSampleEODDateTime(
EndOfDayDateTime currentOutOfSampleEndOfDayDateTime )
{
this.getTestingPositionsFromBackTestLog_checkParameters(
currentOutOfSampleEndOfDayDateTime );
int indexForLastLogItemProducedBeforeCurrentOutOfSampleEndOfDayDateTime =
this.getIndexForLastLogItemProducedBeforeCurrentOutOfSampleEndOfDayDateTime(
currentOutOfSampleEndOfDayDateTime );
TestingPositions[] testingPositions =
this.getTestingPositions(
indexForLastLogItemProducedBeforeCurrentOutOfSampleEndOfDayDateTime );
return testingPositions;
}
protected override TestingPositions[]
getTestingPositionsFromBackTestLog(
EndOfDayDateTime lastReturnsManagerDate )
{
EndOfDayDateTime currentOutOfSampleEndOfDayDateTime =
new EndOfDayDateTime( lastReturnsManagerDate.DateTime ,
EndOfDaySpecificTime.OneHourAfterMarketClose );
TestingPositions[] testingPositions =
this.getTestingPositionsFromBackTestLog_withCurrentOutOfSampleEODDateTime(
currentOutOfSampleEndOfDayDateTime );
// TestingPositions[] testingPositions =
// new TestingPositions[ this.numberOfBestTestingPositionsToBeReturned ];
// for( int i = 0;
// i < this.backTestLog.Count;
// i++ )
// {
// if( this.backTestLog[i].SimulatedCreationTime.DateTime ==
// lastInSampleDateOfOptimizedTestingPositions.DateTime )
// {
// Array.Copy( ((PVOLogItem)this.backTestLog[i]).BestPVOPositionsInSample ,
// 0, testingPositions, 0, numberOfBestTestingPositionsToBeReturned );
// i = this.backTestLog.Count;
// }
// }
return testingPositions;
}
#endregion getTestingPositionsFromBackTestLog
}
}
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