[Tail-cvs] Tail/src/test/net/sf/tail/analysis/criteria BrazilianTotalProfitCriterionTest.java, 1.1 BrazilianTransactionCostsCriterionTest.java, 1.1

[Thies <tg...@us...>]

Update of /cvsroot/tail/Tail/src/test/net/sf/tail/analysis/criteria
In directory sc8-pr-cvs10.sourceforge.net:/tmp/cvs-serv4409/src/test/net/sf/tail/analysis/criteria

Added Files:
	BrazilianTotalProfitCriterionTest.java 
	BrazilianTransactionCostsCriterionTest.java 
Log Message:
Novos criterias e refatoracao no totalProfit

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

import static org.junit.Assert.assertEquals;

import java.util.ArrayList;
import java.util.List;

import net.sf.tail.AnalysisCriterion;
import net.sf.tail.Operation;
import net.sf.tail.OperationType;
import net.sf.tail.Trade;
import net.sf.tail.analysis.evaluator.Decision;
import net.sf.tail.sample.SampleTimeSeries;

import org.junit.Test;


public class BrazilianTransactionCostsCriterionTest {
	
	@Test
	public void testCalculate() {
		SampleTimeSeries series = new SampleTimeSeries(new double[] { 100, 105, 110, 100, 95, 105 });
		List<Trade> trades = new ArrayList<Trade>();
		AnalysisCriterion brazilianCost = new BrazilianTransactionCostsCriterion();
		
		trades.add(new Trade(new Operation(0, OperationType.BUY), new Operation(1, OperationType.SELL)));
		
		assertEquals(40d, brazilianCost.calculate(series, trades));
		
		trades.add(new Trade(new Operation(2, OperationType.BUY), new Operation(3, OperationType.SELL)));

		
		assertEquals(80d, brazilianCost.calculate(series, trades));
		trades.add(new Trade(new Operation(4, OperationType.BUY), new Operation(5, OperationType.SELL)));
		assertEquals(120d, brazilianCost.calculate(series, trades));
	}

	@Test
	public void testCalculateWithOneTrade() {
		SampleTimeSeries series = new SampleTimeSeries(new double[] { 100, 95, 100, 80, 85, 70 });
		Trade trade = new Trade(new Operation(0, OperationType.BUY), new Operation(1, OperationType.SELL));
		AnalysisCriterion brazilianCost = new BrazilianTransactionCostsCriterion();
		assertEquals(40d, brazilianCost.calculate(series, trade));
	}
	@Test
	public void testSummarize() {
		SampleTimeSeries series = new SampleTimeSeries(new double[] { 100, 95, 100, 80, 85, 70 });
		List<Trade> trades = new ArrayList<Trade>();
		List<Decision> decisions = new ArrayList<Decision>();
		trades.add(new Trade(new Operation(0, OperationType.BUY), new Operation(1, OperationType.SELL)));
		
		decisions.add(new Decision(null, null, null, trades, null));
		
		trades = new ArrayList<Trade>();
		trades.add(new Trade(new Operation(2, OperationType.BUY), new Operation(3, OperationType.SELL)));
		trades.add(new Trade(new Operation(4, OperationType.BUY), new Operation(5, OperationType.SELL)));
		
		decisions.add(new Decision(null, null, null, trades, null));
		decisions.add(new Decision(null, null, null, trades, null));
		
		AnalysisCriterion brazilianCosts = new BrazilianTransactionCostsCriterion();
		assertEquals(200d, brazilianCosts.summarize(series, decisions));
		
		
	}
	
}

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

import static org.junit.Assert.assertEquals;

import java.util.ArrayList;
import java.util.List;

import net.sf.tail.AnalysisCriterion;
import net.sf.tail.Operation;
import net.sf.tail.OperationType;
import net.sf.tail.Trade;
import net.sf.tail.analysis.evaluator.Decision;
import net.sf.tail.sample.SampleTimeSeries;

import org.junit.Test;


public class BrazilianTotalProfitCriterionTest {
	@Test
	public void testCalculateOnlyWithGainTrades() {
		SampleTimeSeries series = new SampleTimeSeries(new double[] { 100, 105, 110, 100, 95, 105 });
		List<Trade> trades = new ArrayList<Trade>();
		trades.add(new Trade(new Operation(0, OperationType.BUY), new Operation(2, OperationType.SELL)));
		trades.add(new Trade(new Operation(3, OperationType.BUY), new Operation(5, OperationType.SELL)));

		AnalysisCriterion profit = new BrazilianTotalProfitCriterion();
		assertEquals(((110 * 0.99965d) / (100 * 1.00035d)) * ((105 * 0.99965d) / (100 * 1.00035d)), profit.calculate(series, trades));
	}

	@Test
	public void testCalculateOnlyWithLossTrades() {
		SampleTimeSeries series = new SampleTimeSeries(new double[] { 100, 95, 100, 80, 85, 70 });
		List<Trade> trades = new ArrayList<Trade>();
		trades.add(new Trade(new Operation(0, OperationType.BUY), new Operation(1, OperationType.SELL)));
		trades.add(new Trade(new Operation(2, OperationType.BUY), new Operation(5, OperationType.SELL)));

		AnalysisCriterion profit = new BrazilianTotalProfitCriterion();
		assertEquals(((95 * 0.99965d) / (100 * 1.00035d)) * ((70 * 0.99965d) / (100 * 1.00035d)), profit.calculate(series, trades));
	}

	@Test
	public void testCalculateProfitWithTradesThatStartSelling() {
		SampleTimeSeries series = new SampleTimeSeries(new double[] { 100, 95, 100, 80, 85, 70 });
		List<Trade> trades = new ArrayList<Trade>();
		trades.add(new Trade(new Operation(0, OperationType.SELL), new Operation(1, OperationType.BUY)));
		trades.add(new Trade(new Operation(2, OperationType.SELL), new Operation(5, OperationType.BUY)));

		AnalysisCriterion profit = new BrazilianTotalProfitCriterion();
		assertEquals(((100 * 0.99965d) / (95d * 1.00035d)) * ((100 * 0.99965d) / (70 * 1.00035d)), profit.calculate(series, trades));
	}

	@Test
	public void testCalculateWithNoTradesShouldReturn1() {
		SampleTimeSeries series = new SampleTimeSeries(new double[] { 100, 95, 100, 80, 85, 70 });
		List<Trade> trades = new ArrayList<Trade>();

		AnalysisCriterion profit = new BrazilianTotalProfitCriterion();
		assertEquals(1d, profit.calculate(series, trades));
	}
	
	@Test
	public void testSummarize()
	{
		SampleTimeSeries series = new SampleTimeSeries(new double[] { 100, 95, 100, 80, 85, 70 });
		List<Trade> trades = new ArrayList<Trade>();
		List<Decision> decisions = new ArrayList<Decision>();
		AnalysisCriterion profit = new BrazilianTotalProfitCriterion();
		trades.add(new Trade(new Operation(0, OperationType.BUY), new Operation(1, OperationType.SELL)));
		trades.add(new Trade(new Operation(2, OperationType.BUY), new Operation(5, OperationType.SELL)));
		decisions.add(new Decision(null, null, null, trades, null));
		
		
		
		trades = new ArrayList<Trade>();
		trades.add(new Trade(new Operation(0, OperationType.SELL), new Operation(1, OperationType.BUY)));
		trades.add(new Trade(new Operation(2, OperationType.SELL), new Operation(5, OperationType.BUY)));

		double value1 = ((100 * 0.99965d) / (95d * 1.00035d)) * ((100 * 0.99965d) / (70 * 1.00035d));
		double value2 = ((95 * 0.99965d) / (100 * 1.00035d)) * ((70 * 0.99965d) / (100 * 1.00035d));
		decisions.add(new Decision(null, null, null, trades, null));
		assertEquals(value1 * value2, profit.summarize(series, decisions));
						
	}
	
	@Test
	public void testWithOneTrade()
	{
		SampleTimeSeries series = new SampleTimeSeries(new double[] { 100, 95, 100, 80, 85, 70 });
		
		Trade trade = new Trade(new Operation(0, OperationType.BUY), new Operation(1, OperationType.SELL));
		
		AnalysisCriterion profit = new BrazilianTotalProfitCriterion();
		assertEquals(((95 * 0.99965d) / (100 * 1.00035d)), profit.calculate(series, trade));
	}
	
}