tail-cvs

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

Update of /cvsroot/tail/Tail/src/java/net/sf/tail/analysis/walk
In directory sc8-pr-cvs10.sourceforge.net:/tmp/cvs-serv10579/src/java/net/sf/tail/analysis/walk

Modified Files:
	Walker.java 
Added Files:
	WalkForward.java 
Log Message:
Feita classe WalkForward e alterações feitas em outras classes para que o cálculo fosse possível. Como dito no e-mail.

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

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

import net.sf.tail.AnalysisCriterion;
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.TimeSeries;
import net.sf.tail.TimeSeriesSplitter;
import net.sf.tail.Trade;
import net.sf.tail.runner.HistoryRunner;

import org.apache.log4j.Logger;

public class WalkForward {

	private static final Logger LOG = Logger.getLogger(WalkForward.class);

	private Evaluator evaluator;

	public WalkForward(Evaluator evaluator) {
		this.evaluator = evaluator;
	}

	public double walkForward(Set<Set<Strategy>> strategiesSet, TimeSeries series, int interval, AnalysisCriterion criterion) {
		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;
		
		TimeSeriesSplitter splitter = new TimeSeriesSplitter();
		List<ConstrainedTimeSeries> constrainedSeries = splitter.split(series, interval);
		
		for (int i = 0; i < strategiesSet.size(); i++) {
			Set<Strategy> strategies = strategiesSet.iterator().next();
			values = walker.walk(strategies, constrainedSeries, interval, criterion);
			
			if (bestStrategySet == null || criterion.isBetter(values, bestValues))
			{
				bestValues = values;
				bestStrategySet = strategies;
			}
		}
		
		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());
		
		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 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** Walker.java	5 Jul 2007 21:53:17 -0000	1.1
--- Walker.java	12 Jul 2007 17:59:23 -0000	1.2
***************
*** 11,16 ****
  import net.sf.tail.Runner;
  import net.sf.tail.Strategy;
- import net.sf.tail.TimeSeries;
- import net.sf.tail.TimeSeriesSplitter;
  import net.sf.tail.Trade;
  import net.sf.tail.runner.HistoryRunner;
--- 11,14 ----
***************
*** 28,32 ****
  	}
  
! 	public List<Double> walk(Set<Strategy> strategies, TimeSeries series, int interval, AnalysisCriterion criterion) {
  
  		// tem de picotar o timeseries e ir chamando o walker pra cada
--- 26,30 ----
  	}
  
! 	public List<Double> walk(Set<Strategy> strategies, List<ConstrainedTimeSeries> constrainedSeries, int interval, AnalysisCriterion criterion) {
  
  		// tem de picotar o timeseries e ir chamando o walker pra cada
***************
*** 34,39 ****
  		// do "periodo" passado no proximo periodo
  		// e recalculando a melhor estatratgia
- 		TimeSeriesSplitter splitter = new TimeSeriesSplitter();
- 		List<ConstrainedTimeSeries> constrainedSeries = splitter.split(series, interval);
  		List<Double> values = new ArrayList<Double>();
  		Strategy bestStrategy = evaluator.evaluate(strategies, constrainedSeries.get(0), criterion);
--- 32,35 ----