[Tail-cvs] Tail/src/java/net/sf/tail/analysis/criteria AnalysisCriterion.java, 1.1 TotalProfitCriterion.java, 1.1 MaximumDrawDownCriteria.java, 1.1 RewardRiskRatioCriterion.java, 1.1

[Márcio V. d. S. <mv...@us...>]

Update of /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/criteria
In directory sc8-pr-cvs10.sourceforge.net:/tmp/cvs-serv9490/src/java/net/sf/tail/analysis/criteria

Added Files:
	AnalysisCriterion.java TotalProfitCriterion.java 
	MaximumDrawDownCriteria.java RewardRiskRatioCriterion.java 
Log Message:
Criação da classes TotalProfitCriterion e RewardRiskRadioCriterion

--- NEW FILE: TotalProfitCriterion.java ---
package net.sf.tail.analysis.criteria;

import java.util.List;

import net.sf.tail.Indicator;
import net.sf.tail.TimeSeries;
import net.sf.tail.Trade;
import net.sf.tail.indicator.simple.ClosePriceIndicator;

public class TotalProfitCriterion implements AnalysisCriterion {

	private final Indicator<? extends Number> indicator;

	private List<Trade> trades;

	public TotalProfitCriterion(Indicator<? extends Number> indicator, List<Trade> trades) {
		this.indicator = indicator;
		this.trades = trades;
	}

	public TotalProfitCriterion(TimeSeries series, List<Trade> trades) {
		this(new ClosePriceIndicator(series),trades);
	}

	public double calculate() {
		double value = 1d;
		for (Trade trade : trades) {
			value = calculateProfit(trade, value);
		}
		return value;
	}

	private double calculateProfit(Trade trade, double value) {

		return (indicator.getValue(trade.getExit().getIndex()).doubleValue() / indicator.getValue(
				trade.getEntry().getIndex()).doubleValue())
				* value;

	}

}

--- NEW FILE: AnalysisCriterion.java ---
package net.sf.tail.analysis.criteria;


public interface AnalysisCriterion {
	
	double calculate();
	
}

--- NEW FILE: MaximumDrawDownCriteria.java ---
package net.sf.tail.analysis.criteria;

import net.sf.tail.Indicator;

public class MaximumDrawDownCriteria implements AnalysisCriterion {

	private Indicator<? extends Number> indicator;

	private int seriesSize;

	public MaximumDrawDownCriteria(Indicator<? extends Number> indicator, int seriesSize) {
		this.indicator = indicator;
		this.seriesSize = seriesSize;
	}


	public double calculate() {
		double max = 0;
		double maxPeak = 0;
		double drawDown = 0;

		for (int i = 0; i <	seriesSize; i++) {
			double value =  indicator.getValue(i).doubleValue();
			if (value > maxPeak) {
				maxPeak = value;
			}
			
			drawDown = maxPeak - value;
			if (drawDown > max) {
				max = drawDown;
			}
		}
		return max;
	}
}

--- NEW FILE: RewardRiskRatioCriterion.java ---
package net.sf.tail.analysis.criteria;

import java.util.List;

import net.sf.tail.Indicator;
import net.sf.tail.TimeSeries;
import net.sf.tail.Trade;
import net.sf.tail.indicator.simple.ClosePriceIndicator;

public class RewardRiskRatioCriterion implements AnalysisCriterion {

	private final AnalysisCriterion totalProfit;

	
	private MaximumDrawDownCriteria maxDrawnCriteria;

	public RewardRiskRatioCriterion(Indicator<? extends Number> indicator, List<Trade> trades, int seriesSize) {
		this.totalProfit = new TotalProfitCriterion(indicator,trades);
		maxDrawnCriteria = new MaximumDrawDownCriteria(indicator,seriesSize);
	}

	public RewardRiskRatioCriterion(TimeSeries series, List<Trade> trades, int seriesSize) {
		this(new ClosePriceIndicator(series),trades, seriesSize);
	}

	public double calculate() {
		
		return totalProfit.calculate()/maxDrawnCriteria.calculate();
	}

}