[Tail-cvs] Tail/src/java/net/sf/tail/analysis/criteria MaximumDrawDown.java, 1.1 AverageProfitCriterion.java, 1.2 AnalysisCriterion.java, 1.2 RewardRiskRatioCriterion.java, 1.3 TotalProfitCriterion.java, 1.2 MaximumDrawDownCriterion.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-serv19247/src/java/net/sf/tail/analysis/criteria

Modified Files:
	AverageProfitCriterion.java AnalysisCriterion.java 
	RewardRiskRatioCriterion.java TotalProfitCriterion.java 
Added Files:
	MaximumDrawDown.java 
Removed Files:
	MaximumDrawDownCriterion.java 
Log Message:
Refatoração de pacotes e MaximumDrawnDown

Index: RewardRiskRatioCriterion.java
===================================================================
RCS file: /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/criteria/RewardRiskRatioCriterion.java,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RewardRiskRatioCriterion.java	8 Jun 2007 18:24:36 -0000	1.2
--- RewardRiskRatioCriterion.java	14 Jun 2007 20:07:21 -0000	1.3
***************
*** 3,30 ****
  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 MaximumDrawDownCriterion maxDrawnCriterion;
! 
! 	public RewardRiskRatioCriterion(Indicator<? extends Number> indicator, List<Trade> trades, int seriesSize) {
! 		this.totalProfit = new TotalProfitCriterion(indicator,trades);
! 		maxDrawnCriterion = new MaximumDrawDownCriterion(indicator,seriesSize);
! 	}
! 
! 	public RewardRiskRatioCriterion(TimeSeries series, List<Trade> trades, int seriesSize) {
! 		this(new ClosePriceIndicator(series),trades, seriesSize);
! 	}
! 
! 	public double calculate() {
! 		
! 		return totalProfit.calculate()/maxDrawnCriterion.calculate();
  	}
  
--- 3,15 ----
  import java.util.List;
  
  import net.sf.tail.TimeSeries;
  import net.sf.tail.Trade;
  
  public class RewardRiskRatioCriterion implements AnalysisCriterion {
  
! 	public double calculate(TimeSeries series, List<Trade> trades) {
! 		AnalysisCriterion totalProfit = new TotalProfitCriterion();
! 		MaximumDrawDown maxDrawnDown = new MaximumDrawDown();
! 		return totalProfit.calculate(series,trades)/maxDrawnDown.calculate(series);
  	}
  

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

import net.sf.tail.TimeSeries;

public class MaximumDrawDown{
	
	public double calculate(TimeSeries series) {
		double max = 0;
		double maxPeak = 0;
		double drawDown = 0;

		for (int i = 0; i <	series.getSize(); i++) {
			double value =  series.getTick(i).getClosePrice();
			if (value > maxPeak) {
				maxPeak = value;
			}
			
			drawDown = maxPeak / value;
			if (drawDown > max) {
				max = drawDown;
			}
		}
		return max;
	}
}

Index: TotalProfitCriterion.java
===================================================================
RCS file: /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/criteria/TotalProfitCriterion.java,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TotalProfitCriterion.java	8 Jun 2007 15:14:26 -0000	1.1
--- TotalProfitCriterion.java	14 Jun 2007 20:07:21 -0000	1.2
***************
*** 3,38 ****
  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;
  
--- 3,23 ----
  import java.util.List;
  
  import net.sf.tail.TimeSeries;
  import net.sf.tail.Trade;
  
  public class TotalProfitCriterion implements AnalysisCriterion {
  
! 	public double calculate(TimeSeries series, List<Trade> trades) {
  		double value = 1d;
  		for (Trade trade : trades) {
! 			value = calculateProfit(series, trade, value);
  		}
  		return value;
  	}
  
! 	private double calculateProfit(TimeSeries series, Trade trade, double value) {
  
! 		return (series.getTick(trade.getExit().getIndex()).getClosePrice() / 
! 				series.getTick(trade.getEntry().getIndex()).getClosePrice())
  				* value;
  

--- MaximumDrawDownCriterion.java DELETED ---

Index: AnalysisCriterion.java
===================================================================
RCS file: /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/criteria/AnalysisCriterion.java,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AnalysisCriterion.java	8 Jun 2007 15:14:26 -0000	1.1
--- AnalysisCriterion.java	14 Jun 2007 20:07:21 -0000	1.2
***************
*** 1,8 ****
  package net.sf.tail.analysis.criteria;
  
  
  public interface AnalysisCriterion {
  	
! 	double calculate();
  	
  }
--- 1,13 ----
  package net.sf.tail.analysis.criteria;
  
+ import java.util.List;
+ 
+ import net.sf.tail.TimeSeries;
+ import net.sf.tail.Trade;
+ 
  
  public interface AnalysisCriterion {
  	
! 	double calculate(TimeSeries series, List<Trade> trades);
  	
  }

Index: AverageProfitCriterion.java
===================================================================
RCS file: /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/criteria/AverageProfitCriterion.java,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AverageProfitCriterion.java	8 Jun 2007 18:24:36 -0000	1.1
--- AverageProfitCriterion.java	14 Jun 2007 20:07:21 -0000	1.2
***************
*** 3,29 ****
  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);
  	}
  }
--- 3,18 ----
  import java.util.List;
  
  import net.sf.tail.TimeSeries;
  import net.sf.tail.Trade;
  
  public class AverageProfitCriterion implements AnalysisCriterion {
  
! 	public double calculate(TimeSeries series, List<Trade> trades) {
! 		int nTicks = 0;
! 		AnalysisCriterion totalProfit = new TotalProfitCriterion();
  		for (Trade trade : trades) {
  			nTicks += trade.getExit().getIndex() - trade.getEntry().getIndex();
  		}
! 		return Math.pow(totalProfit.calculate(series,trades), 1d/nTicks);
  	}
  }