Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6086/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
Modified Files:
PairsTradingLogItem.cs
Log Message:
The public method GetTestingPositions() has been added
Index: PairsTradingLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/PairsTradingLogItem.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PairsTradingLogItem.cs 30 Mar 2008 15:47:50 -0000 1.4
--- PairsTradingLogItem.cs 3 May 2008 17:54:28 -0000 1.5
***************
*** 128,215 ****
}
#endregion setTestersForPairstTradingTestingPositions
! // private AccountReport getAccountReport(
! // WeightedPositions weightedPositions ,
! // IIntervalsSelector intervalsSelector ,
! // IHistoricalQuoteProvider historicalQuoteProvider ,
! // Benchmark benchmark ,
! // double cashToStart )
! // {
! // SimpleStrategy simpleStrategy =
! // new SimpleStrategy( weightedPositions ,
! // intervalsSelector , historicalQuoteProvider );
! //
! // DateTime firstDateTime = this.simulatedCreationTime.DateTime.AddDays( -90 );
! // DateTime lastDateTime = this.simulatedCreationTime.DateTime;
! // double maxRunningHours = 0.3;
! // EndOfDayStrategyBackTester endOfDayStrategyBackTester =
! // new EndOfDayStrategyBackTester(
! // "SinglePosition" , simpleStrategy ,
! // historicalQuoteProvider , firstDateTime ,
! // lastDateTime , benchmark , cashToStart , maxRunningHours );
! //
! // simpleStrategy.Account = endOfDayStrategyBackTester.Account;
! //
! // endOfDayStrategyBackTester.Run();
! // return endOfDayStrategyBackTester.AccountReport;
! // }
! // private WeightedPositions getWeightedPositions(
! // WeightedPosition weightedPosition )
! // {
! // double[] weights = { 1 };
! // string[] tickers = { weightedPosition.Ticker };
! // WeightedPositions weightedPositions =
! // new WeightedPositions( weights , tickers );
! // return weightedPositions;
! // }
! // public void Run3()
! // {
! //// string backTestId = "SimplePairsTrading";
! //// double cashToStart = 30000;
! //
! // Benchmark benchmark = new Benchmark( "MSFT" );
! //
! // IHistoricalQuoteProvider historicalQuoteProvider =
! // new HistoricalAdjustedQuoteProvider();
! //
! //// IInSampleChooser inSampleChooser =
! //// (IInSampleChooser)new ConstantWeightedPositionsChooser(
! //// this.BestWeightedPositionsInSample );
! //
! // IIntervalsSelector intervalsSelector =
! // new OddIntervalsSelector( 1 , 1 , benchmark );
! // IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();
! //
! // WeightedPositions weightedPositions =
! // this.bestTestingPositionsInSample[ 0 ].WeightedPositions;
! //
! // WeightedPositions firstPosition =
! // this.getWeightedPositions( weightedPositions[ 0 ] );
! // WeightedPositions secondPosition =
! // this.getWeightedPositions( weightedPositions[ 1 ] );
! // AccountReport accountReportForFirstPosition =
! // this.getAccountReport( firstPosition , intervalsSelector ,
! // historicalQuoteProvider ,
! // benchmark , 30000 );
! // AccountReport accountReportForSecondPosition =
! // this.getAccountReport( secondPosition , intervalsSelector ,
! // historicalQuoteProvider ,
! // benchmark ,
! // 30000 * weightedPositions[ 1 ].Weight /
! // weightedPositions[ 0 ].Weight );
! //
! // Report report =
! // new Report( accountReportForFirstPosition , false );
! // EndOfDayDateTime lastEndOfDayDateTimeForReport =
! // new EndOfDayDateTime(
! // accountReportForFirstPosition.EquityLine.LastDateTime ,
! // EndOfDaySpecificTime.OneHourAfterMarketClose );
! //
! //// report.Create( "PearsonDebug" , 1 ,
! //// lastEndOfDayDateTimeForReport ,
! //// benchmark.Ticker , false );
! // report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
! // Color.Brown );
! // report.ShowDialog();
! // }
public override void Run()
{
--- 128,150 ----
}
#endregion setTestersForPairstTradingTestingPositions
!
! /// <summary>
! /// We don't use a property instead of this method,
! /// to avoid it being shown in the log viewer list
! /// (it would be meaningless in the grid)
! /// </summary>
! public PairsTradingTestingPositions[]
! GetTestingPositions()
! {
! PairsTradingTestingPositions[] testingPositions =
! new PairsTradingTestingPositions[
! this.testersForBestTestingPositionsInSample.Length ];
! for ( int i = 0 ;
! i < this.testersForBestTestingPositionsInSample.Length ; i++ )
! testingPositions[ i ] =
! this.testersForBestTestingPositionsInSample[ i ].TestingPositions;
! return testingPositions;
! }
!
public override void Run()
{
|
