[Tail-cvs] Tail/src/java/net/sf/tail/analysis/walk WalkForward.java, 1.7 Walker.java, 1.4

[Márcio V. d. S. <mv...@us...>]

Update of /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/walk
In directory sc8-pr-cvs10.sourceforge.net:/tmp/cvs-serv29411/src/java/net/sf/tail/analysis/walk

Modified Files:
	WalkForward.java Walker.java 
Log Message:
Refatoração do Walker e Evaluator para usar novo objeto: Decision.

Index: WalkForward.java
===================================================================
RCS file: /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/walk/WalkForward.java,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WalkForward.java	19 Jul 2007 21:51:53 -0000	1.6
--- WalkForward.java	26 Jul 2007 19:33:29 -0000	1.7
***************
*** 14,17 ****
--- 14,18 ----
  import net.sf.tail.TimeSeriesSplitter;
  import net.sf.tail.Trade;
+ import net.sf.tail.analysis.evaluator.Decision;
  import net.sf.tail.runner.HistoryRunner;
  
***************
*** 32,37 ****
  		Walker walker = new Walker(evaluator);
  		Runner runner = new HistoryRunner(OperationType.BUY);
! 		List<Double> values = new ArrayList<Double>();
! 		List<Double> bestValues = null;
  		Set<Strategy> bestStrategySet = null;
  		
--- 33,38 ----
  		Walker walker = new Walker(evaluator);
  		Runner runner = new HistoryRunner(OperationType.BUY);
! 		List<Decision> decisions = new ArrayList<Decision>();
! 		List<Decision> bestDecisions = null;
  		Set<Strategy> bestStrategySet = null;
  		
***************
*** 40,49 ****
  		
  		for (Set<Strategy> strategies : strategiesSet) {
! 			values = walker.walk(strategies, constrainedSeries, interval, criterion);
  			
! 			if (bestStrategySet == null || criterion.isBetter(values, bestValues))
  			{
  				LOG.debug("Changing better set of strategy to " + strategies);
! 				bestValues = values;
  				bestStrategySet = strategies;
  			}
--- 41,50 ----
  		
  		for (Set<Strategy> strategies : strategiesSet) {
! 			decisions = walker.walk(strategies, constrainedSeries, criterion);
  			
! 			if (bestStrategySet == null || criterion.isBetter(decisions, bestDecisions))
  			{
  				LOG.debug("Changing better set of strategy to " + strategies);
! 				bestDecisions = decisions;
  				bestStrategySet = strategies;
  			}
***************
*** 51,58 ****
  		
  		
! 		Strategy bestStrategy = evaluator.evaluate(bestStrategySet, constrainedSeries.get(constrainedSeries.size() - 2), criterion);
  		ConstrainedTimeSeries lastInterval = constrainedSeries.get(constrainedSeries.size() - 1);
! 		List<Trade> trades = runner.run(bestStrategy, lastInterval.getBegin(), lastInterval.getBegin() + lastInterval.getSize());
! 		LOG.info("Elected best strategy: " + bestStrategy);
  		return criterion.calculate(lastInterval, trades);
  	}
--- 52,59 ----
  		
  		
! 		Decision bestDecision = evaluator.evaluate(bestStrategySet, constrainedSeries.get(constrainedSeries.size() - 2), criterion);
  		ConstrainedTimeSeries lastInterval = constrainedSeries.get(constrainedSeries.size() - 1);
! 		List<Trade> trades = runner.run(bestDecision.getStrategy(), lastInterval.getBegin(), lastInterval.getBegin() + lastInterval.getSize());
! 		LOG.info("Elected best strategy: " + bestDecision);
  		return criterion.calculate(lastInterval, trades);
  	}

Index: Walker.java
===================================================================
RCS file: /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/walk/Walker.java,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** Walker.java	19 Jul 2007 21:51:53 -0000	1.3
--- Walker.java	26 Jul 2007 19:33:29 -0000	1.4
***************
*** 1,5 ****
  package net.sf.tail.analysis.walk;
  
! import java.util.ArrayList;
  import java.util.List;
  import java.util.Set;
--- 1,5 ----
  package net.sf.tail.analysis.walk;
  
! import java.util.LinkedList;
  import java.util.List;
  import java.util.Set;
***************
*** 8,16 ****
  import net.sf.tail.ConstrainedTimeSeries;
  import net.sf.tail.Evaluator;
- import net.sf.tail.OperationType;
- import net.sf.tail.Runner;
  import net.sf.tail.Strategy;
! import net.sf.tail.Trade;
! import net.sf.tail.runner.HistoryRunner;
  
  import org.apache.log4j.Logger;
--- 8,13 ----
  import net.sf.tail.ConstrainedTimeSeries;
  import net.sf.tail.Evaluator;
  import net.sf.tail.Strategy;
! import net.sf.tail.analysis.evaluator.Decision;
  
  import org.apache.log4j.Logger;
***************
*** 26,49 ****
  	}
  
! 	public List<Double> walk(Set<Strategy> strategies, List<ConstrainedTimeSeries> constrainedSeries, int interval, AnalysisCriterion criterion) {
  		
  		LOG.info("Running strategies " + strategies);
! 		List<Double> values = new ArrayList<Double>();
  		
- 		Strategy bestStrategy = evaluator.evaluate(strategies, constrainedSeries.get(0), criterion);
- 		LOG.info("First best strategy calculated: " + bestStrategy);
- 		Runner runner = new HistoryRunner(OperationType.BUY);
  		
  		for(int i = 1; i < constrainedSeries.size(); i++)
  		{
! 			ConstrainedTimeSeries constrainedSerie = constrainedSeries.get(i);
! 			List<Trade> trades = runner.run(bestStrategy, constrainedSerie.getBegin(), constrainedSerie.getBegin() + constrainedSerie.getSize());
! 			double value = criterion.calculate(constrainedSerie, trades);
! 			values.add(value);
! 			bestStrategy = evaluator.evaluate(strategies, constrainedSerie, criterion);
! 			LOG.debug("Best strategy at period " + i + ": " + bestStrategy);
  			
  		}
! 		return values;
  		
  	}
--- 23,44 ----
  	}
  
! 	public List<Decision> walk(Set<Strategy> strategies, List<ConstrainedTimeSeries> constrainedSeries, AnalysisCriterion criterion) {
  		
  		LOG.info("Running strategies " + strategies);
! 		List<Decision> decisions = new LinkedList<Decision>();
! 		
! 		Decision lastDecision = evaluator.evaluate(strategies, constrainedSeries.get(0), criterion);
! 		LOG.info("First best decision calculated: " + lastDecision);
  		
  		
  		for(int i = 1; i < constrainedSeries.size(); i++)
  		{
! 			ConstrainedTimeSeries currentSeries = constrainedSeries.get(i);
! 			decisions.add(lastDecision.applyFor(currentSeries));
! 			lastDecision = evaluator.evaluate(strategies, currentSeries, criterion);
! 			LOG.debug("Best strategy at period " + i + ": " + lastDecision);
  			
  		}
! 		return decisions;
  		
  	}