org.mov.analyser
Class PaperTrade

java.lang.Object
  org.mov.analyser.PaperTrade

Direct Known Subclasses:

ANNPaperTrade

public class PaperTrade
extends java.lang.Object

Paper trades stocks using historical quote data and buy and sell indicators. Paper or back trading is a good way of testing the effectiveness of indicators without risking money. This class allows the user to supply historical quote data and buy and sell indicators. The class will then trade using the given indicators and return the final portfolio.

The final portfolio will contain a single cash and a single share account.

Author:

Andrew Leppard

Nested Class Summary

protected class

PaperTrade.Environment

Field Summary

protected static boolean[]	buyRule
protected static double[]	buyValue
protected static java.lang.String	CASH_ACCOUNT_NAME
protected static boolean[]	sellRule
protected static double[]	sellValue
protected static java.lang.String	SHARE_ACCOUNT_NAME
static int	STOCKS_PER_LINES
protected static java.lang.String[]	symbolStock

Constructor Summary

protected

PaperTrade()

Method Summary

protected static boolean	buy(PaperTrade.Environment environment, Variables variables, Symbol symbol, Money amount, Money tradeCost, double buyPrice, int day) Attempt to buy the given symbol.
protected static double	getCapital(Portfolio portfolio, EODQuoteBundle quoteBundle, int dateOffset) Return the actual capital of the portfolio.
protected static int	getHoldingTime(PaperTrade.Environment environment, StockHolding stockHolding, int dateOffset) Return the number of days we have held the given stock.
protected static double	getStockCapital(PaperTrade.Environment environment, StockHolding stockHolding, Symbol symbol, int dateOffset) Return the actual capital of the given stock.
static java.lang.String	getTip() Return a string representing the tip for next day trading.
static Portfolio	paperTrade(java.lang.String portfolioName, EODQuoteBundle quoteBundle, Variables variables, OrderCache orderCache, TradingDate startDate, TradingDate endDate, Expression buy, Expression sell, Money capital, int numberStocks, Money tradeCost, java.lang.String tradeValueBuy, java.lang.String tradeValueSell) Perform paper trading keeping the number of stocks in the portfolio roughly constant.
static Portfolio	paperTrade(java.lang.String portfolioName, EODQuoteBundle quoteBundle, Variables variables, OrderCache orderCache, TradingDate startDate, TradingDate endDate, Expression buy, Expression sell, Money capital, Money stockValue, Money tradeCost, java.lang.String tradeValueBuy, java.lang.String tradeValueSell) Perform paper trading using a fixed stock value.
protected static void	sell(PaperTrade.Environment environment, Variables variables, StockHolding stockHolding, Money tradeCost, double sellPrice, int day) Attempt to sell the given stock holding.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

CASH_ACCOUNT_NAME

protected static final java.lang.String CASH_ACCOUNT_NAME

SHARE_ACCOUNT_NAME

protected static final java.lang.String SHARE_ACCOUNT_NAME

STOCKS_PER_LINES

public static final int STOCKS_PER_LINES

See Also:

Constant Field Values

symbolStock

protected static java.lang.String[] symbolStock

buyRule

protected static boolean[] buyRule

sellRule

protected static boolean[] sellRule

buyValue

protected static double[] buyValue

sellValue

protected static double[] sellValue

Constructor Detail

PaperTrade

protected PaperTrade()

Method Detail

sell

protected static void sell(PaperTrade.Environment environment,
                           Variables variables,
                           StockHolding stockHolding,
                           Money tradeCost,
                           double sellPrice,
                           int day)
                    throws EvaluationException,
                           MissingQuoteException

Attempt to sell the given stock holding. If we could not meet the trade cost, the stock will not be sold.

Parameters:

environment - the paper trade environment

stockHolding - the stock holding to sell

tradeCost - the cost of a trade

day - date of trade

Throws:

EvaluationException

MissingQuoteException

buy

protected static boolean buy(PaperTrade.Environment environment,
                             Variables variables,
                             Symbol symbol,
                             Money amount,
                             Money tradeCost,
                             double buyPrice,
                             int day)
                      throws EvaluationException,
                             MissingQuoteException

Attempt to buy the given symbol.

Parameters:

environment - the paper trade environment

symbol - the stock to buy

amount - the amount to spend on the stock

tradeCost - the cost of a trade (not including the stock price)

day - date of trade

Returns:

true if we had enough money to acquire the stock.

Throws:

EvaluationException

MissingQuoteException

getHoldingTime

protected static int getHoldingTime(PaperTrade.Environment environment,
                                    StockHolding stockHolding,
                                    int dateOffset)

Return the number of days we have held the given stock.

Parameters:

environment - the paper trade environment

stockHolding - to query

dateOffset - current date

Returns:

the holding time

getStockCapital

protected static double getStockCapital(PaperTrade.Environment environment,
                                        StockHolding stockHolding,
                                        Symbol symbol,
                                        int dateOffset)

Return the actual capital of the given stock.

Parameters:

environment - the paper trade environment

stockHolding - to query

dateOffset - current date

symbol - the stock of whom you want to know the capital owned

Returns:

the actual capital of the given stock

getCapital

protected static double getCapital(Portfolio portfolio,
                                   EODQuoteBundle quoteBundle,
                                   int dateOffset)

Return the actual capital of the portfolio.

Parameters:

portfolio - the paper trade portfolio

quoteBundle - historical quote data

dateOffset - current date

Returns:

the actual capital of the portfolio

paperTrade

public static Portfolio paperTrade(java.lang.String portfolioName,
                                   EODQuoteBundle quoteBundle,
                                   Variables variables,
                                   OrderCache orderCache,
                                   TradingDate startDate,
                                   TradingDate endDate,
                                   Expression buy,
                                   Expression sell,
                                   Money capital,
                                   Money stockValue,
                                   Money tradeCost,
                                   java.lang.String tradeValueBuy,
                                   java.lang.String tradeValueSell)
                            throws EvaluationException

Perform paper trading using a fixed stock value. This method will try to keep the value of each stock holding equal to stockValue.

Parameters:

portfolioName - name to call portfolio

quoteBundle - historical quote data

variables - any Gondola variables set

orderCache - cache of ordered symbols

startDate - start date of trading

endDate - last date of trading

buy - the buy indicator

sell - the sell indicator

capital - initial capital in the portfolio

stockValue - the rough value of each stock holding

tradeCost - the cost of a trade

Returns:

the portfolio at the close of the last day's trade

Throws:

EvaluationException

paperTrade

public static Portfolio paperTrade(java.lang.String portfolioName,
                                   EODQuoteBundle quoteBundle,
                                   Variables variables,
                                   OrderCache orderCache,
                                   TradingDate startDate,
                                   TradingDate endDate,
                                   Expression buy,
                                   Expression sell,
                                   Money capital,
                                   int numberStocks,
                                   Money tradeCost,
                                   java.lang.String tradeValueBuy,
                                   java.lang.String tradeValueSell)
                            throws EvaluationException

Perform paper trading keeping the number of stocks in the portfolio roughly constant. This method will try to keep the number of stocks in the portfolio roughly equal to numberStocks, and will try to have all of them at roughly the same value.

Parameters:

portfolioName - name to call portfolio

quoteBundle - historical quote data

variables - any Gondola variables set

orderCache - cache of ordered symbols

startDate - start date of trading

endDate - last date of trading

buy - the buy indicator

sell - the sell indicator

capital - initial capital in the portfolio

numberStocks - try to keep this number of stocks in the portfolio

tradeCost - the cost of a trade

Returns:

the portfolio at the close of the last day's trade

Throws:

EvaluationException

getTip

public static java.lang.String getTip()

Return a string representing the tip for next day trading. The method can be called after a paperTrade one, so doing it obtains a tip for next day trading, where next is the date folowing the end date of the trading period of paperTrade.

Returns:

the string representing the tip.