tail-cvs

[Carlos <ma...@us...>]

Update of /cvsroot/tail/Tail/src/java/net/sf/tail/strategy
In directory sc8-pr-cvs10.sourceforge.net:/tmp/cvs-serv11076/src/java/net/sf/tail/strategy

Added Files:
	DistanceBetweenIndicatorsStrategy.java 
Log Message:
Estratégia de diferença entre indicadores e seu teste.

--- NEW FILE: DistanceBetweenIndicatorsStrategy.java ---
package net.sf.tail.strategy;

import net.sf.tail.Indicator;
import net.sf.tail.Operation;
import net.sf.tail.OperationType;
import net.sf.tail.Strategy;

/**
 * 
 * Estratégia que recebe dois indicadores com uma diferença comum entre eles
 * e toma a decisão de compra do indicador que está representando a ação superior
 * caso a distance entre elas esteja abaixo de difference, e a decisão de venda 
 * caso a distance entre elas esteja acima de difference.
 * 
 * @author marcio
 *
 */
public class DistanceBetweenIndicatorsStrategy implements Strategy {

	private Indicator<? extends Number> upper;

	private Indicator<? extends Number> lower;
	
	private double distance;

	private double difference;
	
	public DistanceBetweenIndicatorsStrategy(Indicator<? extends Number> upper, Indicator<? extends Number> lower, double distance, double difference) {
		this.upper = upper;
		this.lower = lower;
		this.distance = distance;
		this.difference = difference;
	}
	
	public Operation shouldEnter(int index) {
		if((upper.getValue(index).doubleValue() - lower.getValue(index).doubleValue()) >= (difference + 1.0) * distance)
		{
			return new Operation(index, OperationType.BUY);
		}
		return null;
	}

	public Operation shouldExit(Operation entry, int index) {
		if((upper.getValue(index).doubleValue() - lower.getValue(index).doubleValue()) <= (1.0 - difference) * distance)
		{
			return new Operation(index, OperationType.SELL);
		}
		return null;
	}

}