Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9978/Logging
Added Files:
TesterForFLTPTestingPositions.cs
Log Message:
Tests a FLTPTestingPositions object
--- NEW FILE: TesterForFLTPTestingPositions.cs ---
/*
QuantProject - Quantitative Finance Library
TesterForFLTPTestingPositions.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 System.Drawing;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting.AccountProviding;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;
using QuantProject.Presentation.Reporting.WindowsForm;
using QuantProject.Scripts.General.Reporting;
namespace QuantProject.Scripts.WalkForwardTesting.FixedLengthTwoPhases
{
[Serializable]
/// <summary>
/// Tests a FLTPTestingPositions object
/// </summary>
public class TesterForFLTPTestingPositions : IExecutable
{
private FLTPTestingPositions testingPositions;
private int numberOfInSampleDays;
private EndOfDayDateTime endOfDayDateTimeWhenThisObjectWasLogged;
/// <summary>
/// Generation when the TestingPositions object has been created
/// (if genetically optimized)
/// </summary>
public int Generation
{
get
{
return this.testingPositions.Generation;
}
}
public double FitnessInSample
{
get { return this.testingPositions.FitnessInSample; }
}
public string ShortDescription
{
get { return this.testingPositions.WeightedPositions.Description; }
}
// public PairsTradingTestingPositions TestingPositions
// {
// get { return this.testingPositions; }
// }
public TesterForFLTPTestingPositions(
TestingPositions testingPositions ,
int numberOfInSampleDays ,
EndOfDayDateTime endOfDayDateTimeWhenThisObjectWasLogged )
{
this.checkParameters( testingPositions );
this.testingPositions =
(FLTPTestingPositions)testingPositions;
this.numberOfInSampleDays = numberOfInSampleDays;
this.endOfDayDateTimeWhenThisObjectWasLogged =
endOfDayDateTimeWhenThisObjectWasLogged;
}
private void checkParameters( TestingPositions testingPositions )
{
if ( ! ( testingPositions is FLTPTestingPositions ) )
throw new Exception(
"The given testingPositions is NOT a " +
"FLTPTestingPositions!" );
}
#region Run
private AccountReport getAccountReport(
WeightedPositions weightedPositions ,
IIntervalsSelector intervalsSelector ,
IHistoricalQuoteProvider historicalQuoteProvider ,
Benchmark benchmark ,
double cashToStart )
{
FLTPSimpleStrategy fLTPSimpleStrategy =
new FLTPSimpleStrategy( weightedPositions ,
intervalsSelector , historicalQuoteProvider );
IAccountProvider accountProvider =
new SimpleAccountProvider();
DateTime firstDateTime =
this.endOfDayDateTimeWhenThisObjectWasLogged.DateTime.AddDays(
- this.numberOfInSampleDays );
DateTime lastDateTime =
this.endOfDayDateTimeWhenThisObjectWasLogged.DateTime;
double maxRunningHours = 0.3;
EndOfDayStrategyBackTester endOfDayStrategyBackTester =
new EndOfDayStrategyBackTester(
"SimpleFLTP" , fLTPSimpleStrategy ,
historicalQuoteProvider , accountProvider ,
firstDateTime , lastDateTime ,
benchmark , cashToStart , maxRunningHours );
// simpleStrategy.Account = endOfDayStrategyBackTester.Account;
endOfDayStrategyBackTester.Run();
return endOfDayStrategyBackTester.AccountReport;
}
// private double getWeightedPositions_getWeight(
// WeightedPosition weightedPosition )
// {
// double weight = 1;
// if ( weightedPosition.IsShort )
// // the current WeightedPosition is short in the couple correlation
// weight = -1;
// return weight;
// }
// private WeightedPositions getWeightedPositions(
// WeightedPosition weightedPosition )
// {
//// double[] weights = { 1 };
// double[] weights = { this.getWeightedPositions_getWeight( weightedPosition ) };
// string[] tickers = { weightedPosition.Ticker };
// WeightedPositions weightedPositions =
// new WeightedPositions( weights , tickers );
// return weightedPositions;
// }
public void Run()
{
// 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 );
// uncomment the following line if the optimization
// was made on both phases
intervalsSelector =
new FixedLengthTwoPhasesIntervalsSelector( 1 , 1 , benchmark );
IEligiblesSelector eligiblesSelector = new DummyEligibleSelector();
WeightedPositions weightedPositions =
this.testingPositions.WeightedPositions;
AccountReport accountReport =
this.getAccountReport( weightedPositions , intervalsSelector ,
historicalQuoteProvider ,
benchmark , 30000 );
Report report =
new Report( accountReport , 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();
}
#endregion Run
}
}
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