tail-cvs

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

Update of /cvsroot/tail/Tail/src/test/net/sf/tail
In directory sc8-pr-cvs10.sourceforge.net:/tmp/cvs-serv21977/src/test/net/sf/tail

Modified Files:
	EMAWalkTest.java 
Added Files:
	EMACompleteTest.java 
Log Message:
gerando o memorizedSlicer através de enum

--- NEW FILE: EMACompleteTest.java ---
package net.sf.tail;

import java.io.FileInputStream;
import java.io.FileNotFoundException;
import java.io.IOException;
import java.util.HashSet;
import java.util.LinkedList;
import java.util.List;
import java.util.Set;

import net.sf.tail.TimeSeriesSlicer.SlicerType;
import net.sf.tail.analysis.SlicerByTimePeriod;
import net.sf.tail.analysis.criteria.AverageProfitCriterion;
import net.sf.tail.analysis.criteria.NumberOfTicksCriterion;
import net.sf.tail.analysis.criteria.NumberOfTradesCriterion;
import net.sf.tail.analysis.criteria.TotalProfitCriterion;
import net.sf.tail.analysis.evaluator.BestStrategyEvaluator;
import net.sf.tail.analysis.walk.WalkForward;
import net.sf.tail.indicator.simple.ClosePriceIndicator;
import net.sf.tail.indicator.tracker.EMAIndicator;
import net.sf.tail.reader.CedroTimeSeriesLoader;
import net.sf.tail.report.Report;
import net.sf.tail.report.ReportGenerator;
import net.sf.tail.runner.HistoryRunner;
import net.sf.tail.strategy.IndicatorCrossedIndicatorStrategy;

import org.joda.time.Period;

public class EMACompleteTest {

	
	public void testCompleteSMAGenerate() throws IOException {
		CedroTimeSeriesLoader ctsl = new CedroTimeSeriesLoader();
		TimeSeries timeSeries = null;
		
		try {
			timeSeries = ctsl.load(new FileInputStream("BaseBovespa/15min/ambv4.csv"), "AMBV4 IntraDAY");
		} catch (FileNotFoundException e) {
			e.printStackTrace();
		} catch (IOException e) {
			e.printStackTrace();
		}

		Walker w = new WalkForward(new BestStrategyEvaluator(new HistoryRunner(OperationType.BUY)));
				
		Set<Strategy> strategies = new HashSet<Strategy>();
		
		for (int i = 4; i < 20; i++) {
			Indicator<Double> close = new ClosePriceIndicator(timeSeries);
			Indicator<Double> tracker = new EMAIndicator(close, i);
			Strategy strategy = new IndicatorCrossedIndicatorStrategy(close, tracker);
			strategies.add(strategy);
		}

		Report r = w.walk(strategies,new SlicerByTimePeriod(timeSeries,new Period().withDays(1), SlicerType.MEMORIZED),new TotalProfitCriterion());

		List<AnalysisCriterion> criteria =  new LinkedList<AnalysisCriterion>();
		criteria.add(new NumberOfTradesCriterion());
		criteria.add(new NumberOfTicksCriterion());
		criteria.add(new AverageProfitCriterion());
		StringBuffer html = new ReportGenerator().generate(r,criteria);
		System.out.println(html);
		
	}
	
	public static void main(String[] args) {
		EMACompleteTest emaTest = new EMACompleteTest();
		try {
			emaTest.testCompleteSMAGenerate();
		} catch (IOException e) {
		}
	}

}

Index: EMAWalkTest.java
===================================================================
RCS file: /cvsroot/tail/Tail/src/test/net/sf/tail/EMAWalkTest.java,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** EMAWalkTest.java	13 Aug 2007 20:21:16 -0000	1.8
--- EMAWalkTest.java	15 Aug 2007 22:07:52 -0000	1.9
***************
*** 7,10 ****
--- 7,11 ----
  import java.util.Set;
  
+ import net.sf.tail.TimeSeriesSlicer.SlicerType;
  import net.sf.tail.analysis.SlicerByTimePeriod;
  import net.sf.tail.analysis.criteria.AverageProfitCriterion;
***************
*** 45,49 ****
  		// slice the series by each year, since 1999
  		TimeSeriesSlicer slicer = new SlicerByTimePeriod(series, new Period().withYears(1), new DateTime()
! 				.withYear(1999));
  
  		// walks year by year, forgetting the past and generates the report in
--- 46,50 ----
  		// slice the series by each year, since 1999
  		TimeSeriesSlicer slicer = new SlicerByTimePeriod(series, new Period().withYears(1), new DateTime()
! 				.withYear(1999), SlicerType.MEMORIZED);
  
  		// walks year by year, forgetting the past and generates the report in
***************
*** 56,62 ****
  		List<AnalysisCriterion> criterions = new ArrayList<AnalysisCriterion>();
  		
  		criterions.add(new AverageProfitCriterion());
  		criterions.add(new MaximumDrawDownCriterion());
! 		criterions.add(new RewardRiskRatioCriterion());		
  
  		StringBuffer buffer = generator.generate(report,criterions);
--- 57,65 ----
  		List<AnalysisCriterion> criterions = new ArrayList<AnalysisCriterion>();
  		
+ 		
  		criterions.add(new AverageProfitCriterion());
  		criterions.add(new MaximumDrawDownCriterion());
! 		criterions.add(new RewardRiskRatioCriterion());	
! 		
  
  		StringBuffer buffer = generator.generate(report,criterions);