Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3654/b7_Scripts/WalkForwardTesting/PairsTrading
Modified Files:
PairsTradingMain.cs
Log Message:
Minor changes have been applied, in order to test the strategy with different parameters
Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** PairsTradingMain.cs 17 May 2008 18:10:41 -0000 1.16
--- PairsTradingMain.cs 16 Aug 2008 19:38:41 -0000 1.17
***************
*** 62,66 ****
public PairsTradingMain()
{
! this.benchmark = new Benchmark( "BMC" );
this.historicalQuoteProviderForInSample =
--- 62,66 ----
public PairsTradingMain()
{
! this.benchmark = new Benchmark( "CCE" );
this.historicalQuoteProviderForInSample =
***************
*** 69,79 ****
this.historicalQuoteProviderForChosingPositionsOutOfSample =
new HistoricalAdjustedQuoteProvider();
! this.historicalQuoteProviderForChosingPositionsOutOfSample =
! new HistoricalRawQuoteProvider();
this.historicalQuoteProviderForTheBacktesterAccount =
new HistoricalRawQuoteProvider();
! this.historicalQuoteProviderForTheBacktesterAccount =
! new HistoricalAdjustedQuoteProvider();
// definition for the Fitness Evaluator
--- 69,79 ----
this.historicalQuoteProviderForChosingPositionsOutOfSample =
new HistoricalAdjustedQuoteProvider();
! // this.historicalQuoteProviderForChosingPositionsOutOfSample =
! // new HistoricalRawQuoteProvider();
this.historicalQuoteProviderForTheBacktesterAccount =
new HistoricalRawQuoteProvider();
! // this.historicalQuoteProviderForTheBacktesterAccount =
! // new HistoricalAdjustedQuoteProvider();
// definition for the Fitness Evaluator
***************
*** 173,178 ****
new OddIntervalsSelector( 1 , 1 , this.benchmark );
// uncomment the following statement in order to test a CTO strategy (out of sample)
! intervalsSelectorForOutOfSample =
! new EvenIntervalsSelector( 1 , 1 , this.benchmark );
IIntervalsSelector intervalsSelectorForInSample =
new OddIntervalsSelector( 1 , 1 , this.benchmark );
--- 173,178 ----
new OddIntervalsSelector( 1 , 1 , this.benchmark );
// uncomment the following statement in order to test a CTO strategy (out of sample)
! // intervalsSelectorForOutOfSample =
! // new EvenIntervalsSelector( 1 , 1 , this.benchmark );
IIntervalsSelector intervalsSelectorForInSample =
new OddIntervalsSelector( 1 , 1 , this.benchmark );
***************
*** 224,235 ****
DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! firstDateTime = new DateTime( 2005 , 1 , 1 );
DateTime lastDateTime = new DateTime( 2008 , 4 , 30 );
// uncomment the following two lines for a faster script
! // firstDateTime = new DateTime( 2001 , 1 , 1 );
! // lastDateTime = new DateTime( 2001 , 1 , 31 );
! double maxRunningHours = 8;
EndOfDayStrategyBackTester endOfDayStrategyBackTester =
--- 224,235 ----
DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! firstDateTime = new DateTime( 2006 , 8 , 1 );
DateTime lastDateTime = new DateTime( 2008 , 4 , 30 );
// uncomment the following two lines for a faster script
! // firstDateTime = new DateTime( 2007 , 1 , 1 );
! // lastDateTime = new DateTime( 2007 , 1 , 31 );
! double maxRunningHours = 1;
EndOfDayStrategyBackTester endOfDayStrategyBackTester =
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