Re: [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

[Julian M. <jm...@fl...>]

Ois,
vi os comentario Danilo e acabei esbarrando nesse aqui sem querer.

O calculate do MaximumDrawnDown me soou estranho:
O drawnDown esta sendo calculado como sendo a diferenca: maxPeak - =20
value;
Isso quer dizer que qdo os valores absolutos do indicador sao altos=20
(400 - 100,etc..), entao o risco no
RewardRiskRatioCriterion ser=E1 baixo?
Mas, se outro indicador tem valores baixos (0,4 - 0,1), entao o MDD =20
sera 0,3 e o valor do RewardRiskRatio sera alto!

Sera que esse drawnDown nao tinha que ser a relacao value/maxPeak?
(p.s. nao li a respeito do assunto :-(..)

btw, e se o indicador soh tiver valores negativos.. o 'maxPeak' est=E1 =20=

sendo inicializado com zero n=E9? ... acho que n=E3o vai funcionar.

Abracos,
JM



On Jun 8, 2007, at 12:14 PM, M=E1rcio Vinicius dos Santos wrote:

> Update of /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/criteria
> In directory sc8-pr-cvs10.sourceforge.net:/tmp/cvs-serv9490/src/=20
> java/net/sf/tail/analysis/criteria
>
> Added Files:
> 	AnalysisCriterion.java TotalProfitCriterion.java
> 	MaximumDrawDownCriteria.java RewardRiskRatioCriterion.java
> Log Message:
> Cria=E7=E3o 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, =20
> List<Trade> trades) {
> 		this.indicator =3D indicator;
> 		this.trades =3D trades;
> 	}
>
> 	public TotalProfitCriterion(TimeSeries series, List<Trade> =
trades) {
> 		this(new ClosePriceIndicator(series),trades);
> 	}
>
> 	public double calculate() {
> 		double value =3D 1d;
> 		for (Trade trade : trades) {
> 			value =3D calculateProfit(trade, value);
> 		}
> 		return value;
> 	}
>
> 	private double calculateProfit(Trade trade, double value) {
>
> 		return =
(indicator.getValue(trade.getExit().getIndex()).doubleValue=20
> () / indicator.getValue(
> 				=
trade.getEntry().getIndex()).doubleValue())
> 				* value;
>
> 	}
>
> }
>
> --- NEW FILE: AnalysisCriterion.java ---
> package net.sf.tail.analysis.criteria;
>
>
> public interface AnalysisCriterion {
> =09
> 	double calculate();
> =09
> }
>
> --- 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> =20
> indicator, int seriesSize) {
> 		this.indicator =3D indicator;
> 		this.seriesSize =3D seriesSize;
> 	}
>
>
> 	public double calculate() {
> 		double max =3D 0;
> 		double maxPeak =3D 0;
> 		double drawDown =3D 0;
>
> 		for (int i =3D 0; i <	seriesSize; i++) {
> 			double value =3D  =
indicator.getValue(i).doubleValue();
> 			if (value > maxPeak) {
> 				maxPeak =3D value;
> 			}
> 		=09
> 			drawDown =3D maxPeak - value;
> 			if (drawDown > max) {
> 				max =3D 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;
>
> =09
> 	private MaximumDrawDownCriteria maxDrawnCriteria;
>
> 	public RewardRiskRatioCriterion(Indicator<? extends Number> =20
> indicator, List<Trade> trades, int seriesSize) {
> 		this.totalProfit =3D new =
TotalProfitCriterion(indicator,trades);
> 		maxDrawnCriteria =3D new MaximumDrawDownCriteria=20
> (indicator,seriesSize);
> 	}
>
> 	public RewardRiskRatioCriterion(TimeSeries series, List<Trade> =20=

> trades, int seriesSize) {
> 		this(new ClosePriceIndicator(series),trades, =
seriesSize);
> 	}
>
> 	public double calculate() {
> 	=09
> 		return =
totalProfit.calculate()/maxDrawnCriteria.calculate();
> 	}
>
> }
>
>
> ----------------------------------------------------------------------=20=

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--
Julian Monteiro