eu.verdelhan.ta4j.analysis.criteria.AverageProfitCriterion Maven / Gradle / Ivy
/**
* The MIT License (MIT)
*
* Copyright (c) 2014 Marc de Verdelhan
*
* Permission is hereby granted, free of charge, to any person obtaining a copy of
* this software and associated documentation files (the "Software"), to deal in
* the Software without restriction, including without limitation the rights to
* use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
* the Software, and to permit persons to whom the Software is furnished to do so,
* subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in all
* copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
* COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
* IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
* CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
package eu.verdelhan.ta4j.analysis.criteria;
import eu.verdelhan.ta4j.AnalysisCriterion;
import eu.verdelhan.ta4j.TimeSeries;
import eu.verdelhan.ta4j.Trade;
import java.util.ArrayList;
import java.util.List;
/**
* Average profit criterion.
*
* The {@link TotalProfitCriterion total profit} over the {@link NumberOfTicksCriterion number of ticks}.
*/
public class AverageProfitCriterion extends AbstractAnalysisCriterion {
private AnalysisCriterion totalProfit = new TotalProfitCriterion();
private AnalysisCriterion numberOfTicks = new NumberOfTicksCriterion();
@Override
public double calculate(TimeSeries series, List trades) {
double ticks = numberOfTicks.calculate(series, trades);
if (ticks == 0) {
return 1;
}
return Math.pow(totalProfit.calculate(series, trades), 1d / ticks);
}
@Override
public double calculate(TimeSeries series, Trade trade) {
List trades = new ArrayList();
trades.add(trade);
return calculate(series, trades);
}
}