[Tail-cvs] Tail/src/java/net/sf/tail/analysis/criteria MaximumDrawDownCriterion.java, 1.1 AverageProfitCriterion.java, 1.1 RewardRiskRatioCriterion.java, 1.2 MaximumDrawDownCriteria.java, NONE

[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-serv20178/src/java/net/sf/tail/analysis/criteria

Modified Files:
	RewardRiskRatioCriterion.java 
Added Files:
	MaximumDrawDownCriterion.java AverageProfitCriterion.java 
Removed Files:
	MaximumDrawDownCriteria.java 
Log Message:
Refatoração

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

import net.sf.tail.Indicator;

public class MaximumDrawDownCriterion implements AnalysisCriterion {

	private Indicator<? extends Number> indicator;

	private int seriesSize;

	public MaximumDrawDownCriterion(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;
	}
}

--- MaximumDrawDownCriteria.java DELETED ---

Index: RewardRiskRatioCriterion.java
===================================================================
RCS file: /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/criteria/RewardRiskRatioCriterion.java,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RewardRiskRatioCriterion.java	8 Jun 2007 15:14:26 -0000	1.1
--- RewardRiskRatioCriterion.java	8 Jun 2007 18:24:36 -0000	1.2
***************
*** 13,21 ****
  
  	
! 	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);
  	}
  
--- 13,21 ----
  
  	
! 	private MaximumDrawDownCriterion maxDrawnCriterion;
  
  	public RewardRiskRatioCriterion(Indicator<? extends Number> indicator, List<Trade> trades, int seriesSize) {
  		this.totalProfit = new TotalProfitCriterion(indicator,trades);
! 		maxDrawnCriterion = new MaximumDrawDownCriterion(indicator,seriesSize);
  	}
  
***************
*** 26,30 ****
  	public double calculate() {
  		
! 		return totalProfit.calculate()/maxDrawnCriteria.calculate();
  	}
  
--- 26,30 ----
  	public double calculate() {
  		
! 		return totalProfit.calculate()/maxDrawnCriterion.calculate();
  	}
  

--- NEW FILE: AverageProfitCriterion.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 AverageProfitCriterion implements AnalysisCriterion {

	private final AnalysisCriterion totalProfit;
	int nTicks = 0;
	
	public AverageProfitCriterion(Indicator<? extends Number> indicator, List<Trade> trades) {
		totalProfit = new TotalProfitCriterion(indicator,trades);
		for (Trade trade : trades) {
			nTicks += trade.getExit().getIndex() - trade.getEntry().getIndex();
		}
	}

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

	public double calculate() {
		return Math.pow(totalProfit.calculate(), 1d/nTicks);
	}
}