tail-cvs

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

Update of /cvsroot/tail/Tail/src/test/net/sf/tail/analysis/walk
In directory sc8-pr-cvs10.sourceforge.net:/tmp/cvs-serv3848/src/test/net/sf/tail/analysis/walk

Added Files:
	WalkForwardTest.java 
Log Message:
Primeiro passo para a implementação do WalkForward

--- NEW FILE: WalkForwardTest.java ---
package net.sf.tail.analysis.walk;

import static org.junit.Assert.assertEquals;

import java.util.HashSet;
import java.util.List;
import java.util.Set;

import net.sf.tail.AnalysisCriterion;
import net.sf.tail.Evaluator;
import net.sf.tail.Operation;
import net.sf.tail.OperationType;
import net.sf.tail.Strategy;
import net.sf.tail.TimeSeries;
import net.sf.tail.analysis.criteria.TotalProfitCriterion;
import net.sf.tail.analysis.evaluator.BestStrategyEvaluator;
import net.sf.tail.sample.SampleTimeSeries;
import net.sf.tail.strategy.FakeStrategy;

import org.junit.Before;
import org.junit.Test;

public class WalkForwardTest {


	
	private Set<Strategy> strategies;
	private AnalysisCriterion criteria;
	private TimeSeries series;
	private Evaluator evaluator;
	private Operation[] enter;
	private Operation[] exit;

	@Before
	public void setUp()
	{
		double[] data = new double[] {5d, 1d, 8d, 3d, 12d, 20d, 4d, 3d, 30d, 20d, 15d, 32d, 18d, 15d };
		this.strategies = new HashSet<Strategy>();
		this.criteria = new TotalProfitCriterion();
		this.series = new SampleTimeSeries(data);
		this.evaluator = new BestStrategyEvaluator();
		enter = new Operation[] { new Operation(0, OperationType.BUY),
				null,
				null,
				null,
				null,
				null,
				new Operation(6, OperationType.BUY),
				null,
				null,
				null,
				null,
				new Operation(11, OperationType.BUY),
				null,
				null
		};	
		exit = new Operation[] {  null,
				null,
				null,
				new Operation(3, OperationType.SELL),
				null,
				null,
				null,
				null,
				new Operation(8, OperationType.SELL),
				null,
				null,
				null,
				null,
				null
		};
		strategies.add(new FakeStrategy(enter, exit));
		
		enter = new Operation[] { new Operation(0, OperationType.BUY),
				null,
				null,
				null,
				null,
				null,
				null,
				null,
				new Operation(8, OperationType.BUY),
				null,
				new Operation(10, OperationType.BUY),
				null,
				null,
				null
		};	
		exit = new Operation[] {  null,
				null,
				new Operation(2, OperationType.SELL),
				null,
				null,
				null,
				null,
				null,
				null,
				null,
				null,
				null,
				null,
				null
		};
		strategies.add(new FakeStrategy(enter, exit));
		
		

	}

	@Test
	public void test1()
	{
		Walker walk = new Walker(evaluator);
		List<Double> values = walk.walk(strategies, series, 5, criteria);
		assertEquals(20d/30, values.get(0));
		assertEquals(15d/32, values.get(1));
	}
	


}