List of usage examples for org.joda.time DateTime DateTime
public DateTime(int year, int monthOfYear, int dayOfMonth, int hourOfDay, int minuteOfHour)
ISOChronology in the default time zone. From source file:backend.util.FileGroup.java
public static void main(String[] args) throws IOException { boolean Done = false; do {/*from w w w . j a v a 2 s . c o m*/ DateTimeFormatter templFMT = DateTimeFormat.forPattern("yyyy-MM-dd"); DateTimeFormatter subDirFMT = DateTimeFormat.forPattern("yyMMdd"); JFileChooser fChooser = new JFileChooser("D:\\CGKStudio\\log"); fChooser.setFileSelectionMode(JFileChooser.DIRECTORIES_ONLY); // fChooser.setFileFilter(new FileNameExtensionFilter("LOG File","")); if (fChooser.showOpenDialog(null) != JFileChooser.APPROVE_OPTION) return; File dir = fChooser.getSelectedFile(); List<File> files = new LinkedList(Arrays.asList(dir.listFiles())); DateTime d = new DateTime(2014, 11, 20, 0, 0); DateTime now = DateTime.now(); while (d.compareTo(now) <= 0) { String templ = templFMT.print(d); List<File> moved = new LinkedList(); files.stream().filter((file) -> (file.getName().contains(templ))).forEach((file) -> { moved.add(file); }); files.removeAll(moved); if (moved.size() > 0) { String subDir = dir.getAbsolutePath() + "\\" + subDirFMT.print(d); File subDirFile = new File(subDir); if (!subDirFile.exists()) Files.createDirectory(subDirFile.toPath()); moved.stream().forEach((file) -> { try { File target = new File(subDir + "\\" + file.getName()); if (!target.exists()) { Files.copy(new File(dir.getAbsolutePath() + "\\" + file.getName()).toPath(), target.toPath()); } } catch (IOException ex) { Logger.getLogger(FileGroup.class.getName()).log(Level.SEVERE, null, ex); } }); } d = d.plusDays(1); } int sel; sel = JOptionPane.showConfirmDialog(fChooser, "Do it again?", "Again", JOptionPane.YES_NO_OPTION); if (sel != JOptionPane.YES_OPTION) Done = true; } while (!Done); }
From source file:ca.farrelltonsolar.classic.ModbusTask.java
License:Apache License
private void loadBoilerPlateInfo() { try {//from w ww . j a v a 2s . co m Register[] registers = modbusMaster.readMultipleRegisters(4100, 32); if (registers != null && registers.length == 32) { short reg1 = (short) registers[0].getValue(); String model = String.format("Classic %d (rev %d)", reg1 & 0x00ff, reg1 >> 8); chargeControllerInfo.setModel(model); int buildYear = registers[1].getValue(); int buildMonthDay = registers[2].getValue(); DateTime buildDate = new DateTime(buildYear, (buildMonthDay >> 8), (buildMonthDay & 0x00ff), 0, 0); chargeControllerInfo.setBuildDate(DateTimeFormat.fullDate().print(buildDate)); short reg6 = registers[5].toShort(); short reg7 = registers[6].toShort(); short reg8 = registers[7].toShort(); String macAddress = String.format("%02x:%02x:%02x:%02x:%02x:%02x", reg8 >> 8, reg8 & 0x00ff, reg7 >> 8, reg7 & 0x00ff, reg6 >> 8, reg6 & 0x00ff); chargeControllerInfo.setMacAddress(macAddress); float reg22 = (float) registers[21].getValue(); chargeControllerInfo.setLastVOC(reg22 / 10); } registers = modbusMaster.readMultipleRegisters(4244, 2); if (registers != null && registers.length == 2) { short reg4245 = (short) registers[0].getValue(); chargeControllerInfo.setNominalBatteryVoltage(reg4245); } registers = modbusMaster.readMultipleRegisters(16386, 4); if (registers != null && registers.length == 4) { short reg16387 = registers[0].toShort(); short reg16388 = registers[1].toShort(); short reg16389 = registers[2].toShort(); short reg16390 = registers[3].toShort(); chargeControllerInfo.setAppVersion(String.format("%d", (reg16388 << 16) + reg16387)); chargeControllerInfo.setNetVersion(String.format("%d", (reg16390 << 16) + reg16389)); } } catch (Exception e) { Log.w(getClass().getName(), "loadBoilerPlateInfo failed ex: %s", e); } }
From source file:ca.phon.session.io.xml.v12.XMLSessionReader_v12.java
License:Open Source License
/** * Read session in from given xml {@link SessionType} object. * /*from ww w .j a v a 2s . c om*/ * @param sessionType * * @return session */ private Session readSessionType(SessionType sessionType) { final SessionFactory factory = SessionFactory.newFactory(); final Session retVal = factory.createSession(); // copy header info retVal.setName(sessionType.getId()); retVal.setCorpus(sessionType.getCorpus()); final HeaderType headerData = sessionType.getHeader(); if (headerData != null) { if (headerData.getMedia() != null && headerData.getMedia().length() > 0) { retVal.setMediaLocation(headerData.getMedia()); } if (headerData.getDate() != null) { final XMLGregorianCalendar xmlDate = headerData.getDate(); final DateTime dateTime = new DateTime(xmlDate.getYear(), xmlDate.getMonth(), xmlDate.getDay(), 12, 0); retVal.setDate(dateTime); } if (headerData.getLanguage().size() > 0) { String langs = ""; for (String lang : headerData.getLanguage()) { langs += (langs.length() > 0 ? " " : "") + lang; } retVal.setLanguage(langs); } } // copy participant information final ParticipantsType participants = sessionType.getParticipants(); if (participants != null) { for (ParticipantType pt : participants.getParticipant()) { final Participant p = copyParticipant(factory, pt, retVal.getDate()); retVal.addParticipant(p); } } // copy transcriber information final TranscribersType transcribers = sessionType.getTranscribers(); if (transcribers != null) { for (TranscriberType tt : transcribers.getTranscriber()) { final Transcriber t = copyTranscriber(factory, tt); retVal.addTranscriber(t); } } // copy tier information final UserTiersType userTiers = sessionType.getUserTiers(); if (userTiers != null) { for (UserTierType utt : userTiers.getUserTier()) { final TierDescription td = copyTierDescription(factory, utt); retVal.addUserTier(td); } } final List<TierViewItem> tierOrder = new ArrayList<TierViewItem>(); for (TvType tot : sessionType.getTierOrder().getTier()) { final TierViewItem toi = copyTierViewItem(factory, tot); tierOrder.add(toi); } retVal.setTierView(tierOrder); // copy transcript data final List<Comment> recordComments = new ArrayList<Comment>(); boolean foundFirstRecord = false; if (sessionType.getTranscript() != null) { for (Object uOrComment : sessionType.getTranscript().getUOrComment()) { if (uOrComment instanceof CommentType) { final CommentType ct = (CommentType) uOrComment; final Comment comment = copyComment(factory, ct); recordComments.add(comment); } else { if (!foundFirstRecord && recordComments.size() > 0) { // add record comments to session metadata for (Comment c : recordComments) { retVal.getMetadata().addComment(c); } recordComments.clear(); } final RecordType rt = (RecordType) uOrComment; Record record = null; try { record = new LazyRecord(factory, retVal, rt); } catch (Exception e) { LOGGER.info(rt.getId()); LOGGER.log(Level.SEVERE, e.getLocalizedMessage(), e); } retVal.addRecord(record); for (Comment comment : recordComments) { record.addComment(comment); } recordComments.clear(); } } } return retVal; }
From source file:ca.phon.session.io.xml.v12.XMLSessionReader_v12.java
License:Open Source License
private Participant copyParticipant(SessionFactory factory, ParticipantType pt, DateTime sessionDate) { final Participant retVal = factory.createParticipant(); retVal.setId(pt.getId());/*from w w w . ja v a 2s. co m*/ retVal.setName(pt.getName()); final XMLGregorianCalendar bday = pt.getBirthday(); if (bday != null) { final DateTime bdt = new DateTime(bday.getYear(), bday.getMonth(), bday.getDay(), 12, 0); retVal.setBirthDate(bdt); // calculate age up to the session date final Period period = new Period(bdt, sessionDate); retVal.setAgeTo(period); } final Duration ageDuration = pt.getAge(); if (ageDuration != null) { // convert to period final Period age = Period.parse(ageDuration.toString()); retVal.setAge(age); } retVal.setEducation(pt.getEducation()); retVal.setGroup(pt.getGroup()); String langs = ""; for (String lang : pt.getLanguage()) langs += (langs.length() > 0 ? ", " : "") + lang; retVal.setLanguage(langs); if (pt.getSex() == SexType.MALE) retVal.setSex(Sex.MALE); else if (pt.getSex() == SexType.FEMALE) retVal.setSex(Sex.FEMALE); else retVal.setSex(Sex.UNSPECIFIED); ParticipantRole prole = ParticipantRole.fromString(pt.getRole()); if (prole == null) prole = ParticipantRole.TARGET_CHILD; retVal.setRole(prole); retVal.setSES(pt.getSES()); return retVal; }
From source file:cd.education.data.collector.android.widgets.DateWidget.java
License:Apache License
@Override public IAnswerData getAnswer() { if (showCalendar) { scrollView.clearChildFocus(mDatePicker); }//w w w . j a v a 2s . c o m clearFocus(); DateTime ldt = new DateTime(mDatePicker.getYear(), (!showCalendar && hideMonth) ? 1 : mDatePicker.getMonth() + 1, (!showCalendar && (hideMonth || hideDay)) ? 1 : mDatePicker.getDayOfMonth(), 0, 0); // DateTime utc = ldt.withZone(DateTimeZone.forID("UTC")); return new DateData(ldt.toDate()); }
From source file:ch.bfh.srs.gui.javafx.CalendarView.java
License:Open Source License
private DateTime getDateTime(LocalDate date, LocalTime time) { return new DateTime(date.getYear(), date.getMonthValue(), date.getDayOfMonth(), time.getHour(), time.getMinute());//from w ww .ja va 2s .co m }
From source file:ch.bfh.ti.soed.hs16.srs.yellow.controllers.JPARealDataAccessor.java
License:Open Source License
private void generateFakeData() { Building building = this.makeBuilding("GEO1"); Building building1 = this.makeBuilding("NAT2"); Building building2 = this.makeBuilding("ROLEX3"); Building building3 = this.makeBuilding("ID4"); Building building4 = this.makeBuilding("TRN5"); Equipment equipment = this.makeEquipment("TV"); Equipment equipment1 = this.makeEquipment("Panoramic view"); Equipment equipment2 = this.makeEquipment("Douche"); Equipment equipment3 = this.makeEquipment("Projector"); Equipment equipment4 = this.makeEquipment("Embedded PC"); Customer customer = this.makeCustomer("nt4245", "rwutth9428*/&"); Customer customer1 = this.makeCustomer("test", "twztuzrw85478&/("); Customer customer2 = this.makeCustomer("test1", "rwut428*/&"); Customer customer3 = this.makeCustomer("test2", "fkdsnmfks428*/&"); Customer customer4 = this.makeCustomer("test3", "rwutt(()7778*/&"); Room room = this.makeRoom("N1", 15); Room room1 = this.makeRoom("N2", 10); Room room2 = this.makeRoom("N3", 12); Room room3 = this.makeRoom("N4", 13); Room room4 = this.makeRoom("N5", 16); Booking booking = this.makeBooking(customer, room, DateTime.now(), new DateTime(2017, 6, 2, 5, 17)); Booking booking1 = this.makeBooking(customer1, room1, DateTime.now(), new DateTime(2017, 6, 2, 5, 13)); Booking booking2 = this.makeBooking(customer, room, DateTime.now(), new DateTime(2017, 6, 2, 4, 17)); }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public boolean startStrategyDaily() { int j, i, l, N, file_count, k; double sum = 0; Double D;/*from w w w . j a va2 s . c om*/ String ddelims = "[-]"; boolean computed = false; int nobs_count = 0; String date_stamp, strline; date_returns = new ArrayList<String>(); double mean = 0; int dtotal_trades = 0; trade_obs = 100; signal = new double[trade_obs]; xt = new double[trade_obs]; lag_signals = new double[trade_obs]; prix = new double[trade_obs]; lo_prix = new double[trade_obs]; hi_prix = new double[trade_obs]; total_succ = 0; total = 0; log_price = 0; N = n_obs; avg_vol = 0.0; b_avg = new double[L * n_rep]; count = 0; trade_succ_ratio = 0; dailyoutret = new ArrayList<Double>(); mdfaTrades = new ArrayList<MDFATrade>(); ArrayList<String> datesAll = new ArrayList<String>(); last_trades = new ArrayList<Integer>(); final_trades = new ArrayList<Double>(); dailyoutret = new ArrayList<Double>(); maxIntValue = new ArrayList<Double>(); avg_volatility = new ArrayList<Double>(); close_series = new ArrayList<Double>(); highlow_series = new ArrayList<Double>(); exp_series_1 = new ArrayList<Double>(); exp_series_2 = new ArrayList<Double>(); price = new ArrayList<Double>(); lo_price = new ArrayList<Double>(); hi_price = new ArrayList<Double>(); mid = new ArrayList<Double>(); bid = new ArrayList<Double>(); ask = new ArrayList<Double>(); dates_series = new ArrayList<String>(); dailyReport = new ArrayList<String>(); b0_trend = new ArrayList<Double>(); vol_0 = new ArrayList<Double>(); vol_1 = new ArrayList<Double>(); sub_returns = new ArrayList<Double>(); trade_days = new ArrayList<String>(); returns = new ArrayList<Double>(); longreturns = new ArrayList<Double>(); shortreturns = new ArrayList<Double>(); dropdowns = new ArrayList<Double>(); success = new ArrayList<Double>(); dates_low_high = new ArrayList<String>(); crits = new ArrayList<String>(); svm = new ArrayList<String>(); filters = new ArrayList<Filter>(); date_returns = new ArrayList<String>(); live_series = new ArrayList<Double>(); //the data to be applied out of sample ib_data_hash = new ibHash(); fridayROI = 0; fridayROI_pos = 0; fridays = 0; lookback_returns = new ArrayList<Double>(); num_pos_returns = 0; deg_0 = new ArrayList<Double>(); deg_1 = new ArrayList<Double>(); crit_0 = new ArrayList<Double>(); crit_1 = new ArrayList<Double>(); full_returns_array = new ArrayList<double[]>(); morning_returns = new ArrayList<double[]>(); morning_buy = true; //enter transaction at morning open morning_optimize = false; //optimize in the morning trading hours num_full_positive_returns = 0; //--- Now get historical interp values ------ //uploadInterpParams("max_int.dat"); //------------------------------------------- forex24 = true; formatter = new DecimalFormat("#0.000000"); formatter3 = new DecimalFormat("#0.00000"); formatter2 = new DecimalFormat("#0.00"); date_stamp = ""; ndays = 30; stop_loss = true; stop_loss_thresh = 50; ArrayList<String> dailyData = new ArrayList<String>(); start_seq = 0; for (file_count = 0; file_count < 1; file_count++) { dailyData = new ArrayList<String>(); if (dataFiles[file_count].indexOf("JPY") != -1 && dataFiles[file_count].indexOf("SEKJPY") == -1) { //change_time_zone = true; System.out.println("Changed time zone to Tokyo"); jpy = true; stop_loss_thresh = stop_loss_thresh * 100; take_profit_thresh = take_profit_thresh * 100; } //setTimeStandards(new File(dataFiles[file_count])); System.out.println("opening " + dataFiles[file_count]); try { fin = new FileInputStream(dataFiles[file_count]); din = new DataInputStream(fin); br = new BufferedReader(new InputStreamReader(din)); lookback_ready = false; //spread = new PrintWriter(new FileWriter("spread_" + dataFiles[file_count] + ".dat")); //if(print_debug)System.out.println("Entering loop..."); trading_hours = false; nobs_count = 0; computed = false; trade_count = 0; recompute_filter = true; while ((strline = br.readLine()) != null) { dailyData.add(strline); } trade_obs = dailyData.size(); signal = new double[trade_obs]; xt = new double[trade_obs]; lag_signals = new double[trade_obs]; prix = new double[trade_obs]; lo_prix = new double[trade_obs]; hi_prix = new double[trade_obs]; ret_dist = new double[trade_obs]; pos_ret_dist = new int[trade_obs]; neg_ret_dist = new int[trade_obs]; neg_trades_started = new int[trade_obs]; pos_trades_started = new int[trade_obs]; neg_trades_started_mean = new double[trade_obs]; pos_trades_started_mean = new double[trade_obs]; diff_account = new double[trade_obs]; pos_ret_mean_time = new double[trade_obs]; neg_ret_mean_time = new double[trade_obs]; for (int day = 0; day < dailyData.size(); day++) { strline = dailyData.get(day); //System.out.println(strline); tokens = strline.split(delims); n_toks = tokens.length; //System.out.println("Number of toks = "+n_toks); if (n_toks == 0) { System.out.println("End of file"); break; } if (n_toks >= 6) { bid_ask_data = true; } else { bid_ask_data = false; } date_stamp = tokens[0]; String[] intdates = date_stamp.split(ddelims); new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), 14, 0); if (bid_ask_data) { D = new Double(tokens[4]); close_series.add(D); if (ib_data && ib_data_hash.containsKey(tokens[0])) { String[] hashed = ib_data_hash.get(tokens[0]).split("[ ]+"); //System.out.println("Contains " + tokens[0] + ", lengths = " + hashed.length + ", " + tokens.length); for (i = 1; i < hashed.length; i++) { tokens[i] = hashed[i]; } // System.out.print(tokens[i] + " ");} bid.add(new Double(tokens[2])); ask.add(new Double(tokens[3])); mid.add(new Double(tokens[1])); } else { bid.add(new Double(tokens[2])); ask.add(new Double(tokens[3])); mid.add(new Double(tokens[1])); } if (current_signal > 0) { D = new Double(tokens[2]); price.add(D); if (spread_method == 0) { live_series.add(log(bid.get(bid.size() - 1)) - log(bid.get(bid.size() - 2))); } //low urgency else if (spread_method == 1) { live_series.add(log(bid.get(bid.size() - 1)) - log(mid.get(mid.size() - 2))); } //med urgency else { live_series.add(log(bid.get(bid.size() - 1)) - log(ask.get(ask.size() - 2))); } //high urgency } else if (current_signal < 0) { D = new Double(tokens[3]); price.add(D); if (spread_method == 0) { live_series.add(log(bid.get(bid.size() - 1)) - log(bid.get(bid.size() - 2))); } //low urgency else if (spread_method == 1) { live_series.add(log(ask.get(ask.size() - 1)) - log(mid.get(mid.size() - 2))); } //med urgency else { live_series.add(log(ask.get(ask.size() - 1)) - log(bid.get(bid.size() - 2))); } //high urgency } else { D = new Double(tokens[1]); price.add(D); D = new Double(tokens[4]); if (ib_data && ib_data_hash.containsKey(tokens[0])) { live_series.add(log(mid.get(mid.size() - 1)) - log(mid.get(mid.size() - 2))); } else { live_series.add(new Double(tokens[4])); } } lo_price.add(new Double(tokens[7])); hi_price.add(new Double(tokens[8])); //System.out.println(date_stamp + " " + live_series.get(live_series.size() - 1)); // if(live_series.size() > 2) // { // System.out.println("\n" + date_stamp + " " + live_series.get(live_series.size() - 1) + ", ask = " + ask.get(ask.size()-1) + ", bid = " + bid.get(bid.size()-1) + // ", ask_t-1 " + ask.get(ask.size()-2) + ", bid_t-1 " + bid.get(bid.size()-2)); // } //spread.println(date_stamp + " " + (new Double(tokens[3]) - new Double(tokens[2]))); } else { D = new Double(tokens[1]); price.add(D); D = new Double(tokens[2]); close_series.add(D); //if(print_debug)System.out.println(date_stamp + " " + price.get(price.size()-1) + " " + close_series.get(close_series.size()-1)); //System.out.println(date_stamp + " " + price.get(price.size()-1) + " " + close_series.get(close_series.size()-1)); if (n_rep > 2 && tokens.length > 3) { D = new Double(tokens[3]); exp_series_1.add(D); } if (n_rep > 3 && tokens.length > 4) { D = new Double(tokens[4]); exp_series_2.add(D); } } nobs_count++; //System.out.println(nobs_count + " " + n_obs); if (nobs_count >= n_obs) { datesAll.add(date_stamp); tseries = new double[n_rep * n_obs]; out_series = new double[n_obs]; if (classical_data) { for (i = 0; i < n_obs; i++) { tseries[n_obs - 1 - i] = live_series.get(live_series.size() - 1 - i); tseries[n_obs + n_obs - 1 - i] = live_series.get(live_series.size() - 1 - i); if (n_rep > 2 && exp_series_1.size() > 0) { tseries[n_obs * 2 + n_obs - 1 - i] = exp_series_1 .get(exp_series_1.size() - 1 - i); } if (n_rep > 3 && exp_series_2.size() > 0) { tseries[n_obs * 3 + n_obs - 1 - i] = exp_series_2 .get(exp_series_2.size() - 1 - i); } } for (i = 0; i < n_obs; i++) { out_series[n_obs - 1 - i] = tseries[n_obs - 1 - i]; } } else { for (i = 0; i < n_obs; i++) { tseries[n_obs - 1 - i] = close_series.get(close_series.size() - 1 - i); tseries[n_obs + n_obs - 1 - i] = close_series.get(close_series.size() - 1 - i); if (n_rep > 2 && exp_series_1.size() > 0) { tseries[n_obs * 2 + n_obs - 1 - i] = exp_series_1 .get(exp_series_1.size() - 1 - i); } if (n_rep > 3 && exp_series_2.size() > 0) { tseries[n_obs * 3 + n_obs - 1 - i] = exp_series_2 .get(exp_series_2.size() - 1 - i); } } for (i = 0; i < n_out_samp; i++) { out_series[n_obs - 1 - i] = live_series.get(live_series.size() - 1 - i); } for (i = n_out_samp; i < n_obs; i++) { out_series[n_obs - 1 - i] = tseries[n_obs - 1 - i]; } } mdfa.set_tseries(tseries, n_obs, n_rep); if (recompute_filter) { // System.out.println(date_stamp + " " + tseries[n_obs-1] + " " + tseries[n_obs - 2] + " " + tseries[n_obs-3] + " " + tseries[n_obs-4] + " " // + price.get(price.size()-1)); mdfa.computeFilterGeneral(true, false); b_coeffs = new double[(n_rep - 1) * L]; //System.out.println(b_coeffs.length + " " + L + n_rep); for (l = 0; l < L; l++) { for (i = 0; i < n_rep - 1; i++) { b_coeffs[L * i + l] = mdfa.b[L * (i + 1) + l]; } // System.out.println(b_coeffs[l]);} //if(date_stamp.indexOf("2013-12-17") != -1) {System.out.println(b_coeffs[l]);} } //if(print_debug) System.out.println(date_stamp + " b_coeffs = " + b_coeffs[0] + " " + b_coeffs[1] + " " + b_coeffs[2]); pulse_count = 0; b_copy = new double[mdfa.b.length]; System.arraycopy(mdfa.b, 0, b_copy, 0, b_copy.length); //b0_coeff.println(b_coeffs[0]); // + ", " + b_coeffs[L] + ", " + b_coeffs[2*L]); } //---- apply the mother filter------------ sum = 0.0; if (!bid_ask_data) { for (j = 1; j < n_rep; j++) { for (l = 0; l < L; l++) { sum = sum + b_coeffs[L * (j - 1) + l] * tseries[N * j + n_obs - 1 - l]; } } } else { for (l = 0; l < L; l++) { sum = sum + b_coeffs[l] * out_series[n_obs - 1 - l]; } // System.out.println(out_series[n_obs-1-l]);} } //System.out.println(""); current_signal = sum; if (sig_inverse) { current_signal = -current_signal; } dailyReport.add("" + date_stamp + ", " + formatter3.format(price.get(price.size() - 1)) + ", " + formatter3.format(lo_price.get(lo_price.size() - 1)) + ", " + formatter3.format(hi_price.get(hi_price.size() - 1)) + ", " + formatter.format(out_series[n_obs - 1]) + ", " + formatter.format(current_signal)); xt[trade_count] = close_series.get(close_series.size() - 1).doubleValue(); signal[trade_count] = current_signal; if (diff_sig_trading && trade_count > 0) { signal[trade_count] = signal[trade_count] - signal[trade_count - 1]; } prix[trade_count] = price.get(price.size() - 1).doubleValue(); lo_prix[trade_count] = lo_price.get(lo_price.size() - 1).doubleValue(); hi_prix[trade_count] = hi_price.get(hi_price.size() - 1).doubleValue(); trade_count++; if (trade_count % ndays == 0) { recompute_filter = true; } else { recompute_filter = false; } } } //finish with running the data //---- now run through trading rules and compute stats------ last_trade_index = prix.length; insampleTradingDiff_Cust_SL(prix, lo_prix, hi_prix, signal, prix.length); ROI = account[end_time_index]; if (jpy) { ROI = .01 * ROI; } mean = 0; dtotal_trades = 0; diff_account = new double[account.length]; diff_account[0] = 0; //System.out.println(date_tokens[0]); for (k = 1; k < account.length; k++) { diff_account[k] = account[k] - account[k - 1]; ret_dist[k] = ret_dist[k] + diff_account[k]; if (diff_account[k] > 0) { pos_ret_dist[k] = pos_ret_dist[k] + 1; pos_ret_mean_time[k] = pos_ret_mean_time[k] + diff_account[k]; pos_ret_mean = pos_ret_mean + diff_account[k]; n_pos_ret++; } else if (diff_account[k] < 0) { neg_ret_dist[k] = neg_ret_dist[k] + 1; neg_ret_mean_time[k] = neg_ret_mean_time[k] + diff_account[k]; neg_ret_mean = neg_ret_mean + diff_account[k]; n_neg_ret++; } } //----- now do the trade analysis --------- trade_started = 0; for (k = 1; k < account.length; k++) { if (k > end_time_index) { break; } if (diff_account[k] != 0) { } if (diff_account[k] > 0) { mean = mean + diff_account[k]; dtotal_trades = dtotal_trades + 1; min_pnl_dd = 0; max_pnl_uu = 0; l = k; while (l > 0) { if (pnl[l] < min_pnl_dd) { min_pnl_dd = pnl[l]; } if (png[l] > max_pnl_uu) { max_pnl_uu = png[l]; } l--; if (diff_account[l] != 0) { break; } } //System.out.println("trade, " + k + " " + trade_started + " " + end_time_index); if (trade_started != end_time_index) { pos_trades_started[trade_started] = pos_trades_started[trade_started] + 1; pos_trades_started_mean[trade_started] = pos_trades_started_mean[trade_started] + diff_account[k]; if (jpy) { mdfaTrades.add(new MDFATrade(date_stamp, trade_started, k, .01 * min_pnl_dd, .01 * max_pnl_uu, .01 * diff_account[k])); } else { mdfaTrades.add(new MDFATrade(date_stamp, trade_started, k, min_pnl_dd, max_pnl_uu, diff_account[k])); } //System.out.println("trade, " + trade_started + " " + k + " " + min_pnl_dd + " " + diff_account[k]); } trade_started = k; } if (diff_account[k] < 0) { mean = mean + diff_account[k]; dtotal_trades = dtotal_trades + 1; min_pnl_dd = 0; max_pnl_uu = 0; l = k; while (l > 0) { if (pnl[l] < min_pnl_dd) { min_pnl_dd = pnl[l]; } if (png[l] > max_pnl_uu) { max_pnl_uu = png[l]; } l--; if (diff_account[l] != 0) { break; } } //System.out.println("trade, " + k + " " + trade_started + " " + end_time_index); if (trade_started != end_time_index) { neg_trades_started[trade_started] = neg_trades_started[trade_started] + 1; neg_trades_started_mean[trade_started] = neg_trades_started_mean[trade_started] - diff_account[k]; if (jpy) { mdfaTrades.add(new MDFATrade(date_stamp, trade_started, k, .01 * min_pnl_dd, .01 * max_pnl_uu, .01 * diff_account[k])); } else { mdfaTrades.add(new MDFATrade(date_stamp, trade_started, k, min_pnl_dd, max_pnl_uu, diff_account[k])); } //System.out.println("trade, " + trade_started + " " + k + " " + min_pnl_dd + " " + diff_account[k]); } trade_started = k; } } mean = mean / (double) dtotal_trades; standard_deviation = 0; for (k = 0; k < account.length; k++) { if (diff_account[k] != 0) { standard_deviation = standard_deviation + (diff_account[k] - mean) * (diff_account[k] - mean); } } standard_deviation = Math.sqrt(standard_deviation) / (double) dtotal_trades; System.out.println("size = " + dailyReport.size()); for (k = 0; k < dailyReport.size(); k++) { System.out.println(dailyReport.get(k + start_seq) + ", " + formatter.format(account[k]) + ", " + formatter.format(pnl[k]) + ", " + formatter.format(png[k])); } longROI = account[end_time_index]; shortROI = account[end_time_index]; for (i = 0; i < datesAll.size(); i++) { returns.add(diff_account[i]); dailyoutret.add(prix[i]); date_returns.add(datesAll.get(i) + ", " + diff_account[i]); System.out.println(datesAll.get(i) + ", " + diff_account[i]); } total_ROI = account[account.length - 1]; mean_perf = mean; double risk = -neg_ret_mean / (double) n_neg_ret; System.out.println("neg_ret_mean = " + (-neg_ret_mean) + ", " + n_neg_ret); double reward = pos_ret_mean / (double) n_pos_ret; System.out.println("pos_ret_mean = " + pos_ret_mean + ", " + n_pos_ret); double win_ratio = (double) (n_pos_ret) / (n_pos_ret + n_neg_ret); kellyPerc = win_ratio - (1.0 - win_ratio) * (risk / reward); ulcer_index = ulcerIndex(returns.toArray(new Double[0])); System.out.println("win ratio = " + win_ratio + ", risk = " + risk + ", reward = " + reward); System.out.println("kelly and ulcer = " + kellyPerc + " " + ulcer_index); } catch (FileNotFoundException fe) { System.out.println("File not found..." + fe); } catch (IOException ioe) { System.out.println("IO procedure faulty..." + ioe); } } return computed; }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public boolean startStrategyDailyIntraday() { int j, i, l, N, file_count; double sum = 0; Double D;/*from w ww.j a v a2s . com*/ String ddelims = "[-]"; boolean computed = false; boolean made_trade = true; String date_stamp, strline; int daily_size; double profit, price_borrowed, price_sold, price_bought; double current_price, prev_price; double last_price, cur_pnl, stop_loss, lo_pnl, hi_pnl; double log_ret = 0; signal = new double[trade_obs]; xt = new double[trade_obs]; lag_signals = new double[trade_obs]; prix = new double[trade_obs]; lo_prix = new double[trade_obs]; hi_prix = new double[trade_obs]; total_succ = 0; total = 0; log_price = 0; N = n_obs; avg_vol = 0.0; b_avg = new double[L * n_rep]; count = 0; trade_succ_ratio = 0; double amount = 0; double prev_signal; reg_trading_hours = false; String[] intdates; //make sure arraylists empty ArrayList<String> perf_dates = new ArrayList<String>(); double pnl; String[] dates; int cur_month = 0; double convers = 1.0; ArrayList<String> allsignal = new ArrayList<String>(); ArrayList<String> account = new ArrayList<String>(); ArrayList<String> latestDates = new ArrayList<String>(); perf_returns = new ArrayList<Double>(); last_trades = new ArrayList<Integer>(); final_trades = new ArrayList<Double>(); dailyoutret = new ArrayList<Double>(); maxIntValue = new ArrayList<Double>(); avg_volatility = new ArrayList<Double>(); close_series = new ArrayList<Double>(); highlow_series = new ArrayList<Double>(); exp_series_1 = new ArrayList<Double>(); exp_series_2 = new ArrayList<Double>(); price = new ArrayList<Double>(); lo_price = new ArrayList<Double>(); hi_price = new ArrayList<Double>(); mid = new ArrayList<Double>(); bid = new ArrayList<Double>(); ask = new ArrayList<Double>(); dates_series = new ArrayList<String>(); dailyReport = new ArrayList<String>(); b0_trend = new ArrayList<Double>(); vol_0 = new ArrayList<Double>(); vol_1 = new ArrayList<Double>(); sub_returns = new ArrayList<Double>(); trade_days = new ArrayList<String>(); returns = new ArrayList<Double>(); longreturns = new ArrayList<Double>(); shortreturns = new ArrayList<Double>(); dropdowns = new ArrayList<Double>(); success = new ArrayList<Double>(); dates_low_high = new ArrayList<String>(); crits = new ArrayList<String>(); svm = new ArrayList<String>(); filters = new ArrayList<Filter>(); date_returns = new ArrayList<String>(); daily_returns = new ArrayList<Double>(); live_series = new ArrayList<Double>(); //the data to be applied out of sample ib_data_hash = new ibHash(); fridayROI = 0; fridayROI_pos = 0; fridays = 0; lookback_returns = new ArrayList<Double>(); num_pos_returns = 0; deg_0 = new ArrayList<Double>(); deg_1 = new ArrayList<Double>(); crit_0 = new ArrayList<Double>(); crit_1 = new ArrayList<Double>(); full_returns_array = new ArrayList<double[]>(); morning_returns = new ArrayList<double[]>(); morning_buy = true; //enter transaction at morning open morning_optimize = false; //optimize in the morning trading hours num_full_positive_returns = 0; //--- Now get historical interp values ------ //uploadInterpParams("max_int.dat"); //------------------------------------------- forex24 = true; ret_dist = new double[trade_obs]; pos_ret_dist = new int[trade_obs]; neg_ret_dist = new int[trade_obs]; neg_trades_started = new int[trade_obs]; pos_trades_started = new int[trade_obs]; neg_trades_started_mean = new double[trade_obs]; pos_trades_started_mean = new double[trade_obs]; diff_account = new double[trade_obs]; pos_ret_mean_time = new double[trade_obs]; neg_ret_mean_time = new double[trade_obs]; daily_price = new ArrayList<Double>(); daily_dates = new ArrayList<String>(); ArrayList<String> daily_data = new ArrayList<String>(); mdfaTrades = new ArrayList<MDFATrade>(); fmt = DateTimeFormat.forPattern("y-MM-dd HH:mm:ss"); formatter = new DecimalFormat("#0.000000"); formatter3 = new DecimalFormat("#0.00000"); formatter2 = new DecimalFormat("#0.00"); histo_stat = new int[100]; interp_vals = new ArrayList<Double>(); max_ranks = new ArrayList<Double>(); profit_baby = 0; //setForecastDFAParameters(); bad_starts = 0; n_out_samp = 0; int line; //take_profit = true; //take_profit_thresh = .0020; current_signal = 0; prev_price = 0; cur_pnl = 0; stop_loss = stop_loss_thresh; out_transaction = 0; in_transaction = 0; red_zone = false; global_stop_loss = stop_loss_thresh; profitable_stop = .0005; count = 0; short_sell = true; long_buy = true; day_count = 0; lo_pnl = 0; hi_pnl = 0; price_borrowed = 0; price_sold = 0; price_bought = 0; last_price = 0; binary_rule = true; signal_strength_rule = true; downtick_strategy = false; signal_profit = false; if (ib_data && ib_data_file != null) { try { fin = new FileInputStream(ib_data_file); din = new DataInputStream(fin); br = new BufferedReader(new InputStreamReader(din)); while ((strline = br.readLine()) != null) { String[] sp = strline.split("[,]+"); ib_data_hash.put(sp[0], new String( sp[1] + " " + sp[2] + " " + sp[3] + " " + sp[4] + " " + sp[5] + " " + sp[6])); //System.out.println(sp[1] + " " + sp[2] + " " + sp[3] + " " + sp[4] + " " + sp[5] + " " + sp[6]); } } catch (FileNotFoundException fe) { System.out.println("File not found..." + fe); } catch (IOException ioe) { System.out.println("IO procedure faulty..." + ioe); } } try { PrintWriter b0_coeff = new PrintWriter(new FileWriter("b0_coeff.dat")); PrintWriter perform = new PrintWriter(new FileWriter("intraday_performance_" + n_files + ".dat")); PrintWriter dailyout = new PrintWriter(new FileWriter("daily_nasdaq.dat")); PrintWriter out = new PrintWriter(new FileWriter("strategy_results.dat")); PrintWriter svmout = new PrintWriter(new FileWriter("neural_" + n_files + ".dat")); for (file_count = 0; file_count < 1; file_count++) { convers = 1; if (dataFiles[file_count].indexOf("JPY") != -1) { jpy = true; stop_loss_thresh = stop_loss_thresh * 100; take_profit_thresh = take_profit_thresh * 100; global_stop_loss = global_stop_loss * 100; stop_loss = stop_loss_thresh; } else if (dataFiles[file_count].indexOf("NOK") != -1) { jpy = true; stop_loss_thresh = stop_loss_thresh * 8; take_profit_thresh = take_profit_thresh * 8; global_stop_loss = global_stop_loss * 8; stop_loss = stop_loss_thresh; } else if (dataFiles[file_count].indexOf("XAU") != -1) { jpy = true; stop_loss_thresh = stop_loss_thresh * 1000; take_profit_thresh = take_profit_thresh * 1000; global_stop_loss = global_stop_loss * 1000; stop_loss = stop_loss_thresh; } // if(dataFiles[file_count].indexOf("JPY") != -1 && (dataFiles[file_count].indexOf("SEKJPY") == -1 && dataFiles[file_count].indexOf("NOKJPY") == -1)) // { // System.out.println("Changed time zone to Tokyo"); // jpy = true; // //stop_loss_thresh = stop_loss_thresh*100; // take_profit_thresh = take_profit_thresh*100; // //global_stop_loss = global_stop_loss*100; // stop_loss = stop_loss_thresh; // convers = .01; // } // else if(dataFiles[file_count].indexOf("SEKJPY") != -1 || dataFiles[file_count].indexOf("NOKJPY") != -1) // { // scandi_jpy = true; // convers = .01; // } // else if(dataFiles[file_count].indexOf("NOK") != -1 || dataFiles[file_count].indexOf("SEK") != -1) // { // scandi = true; // convers = 1/6.0; // } setTimeStandards(new File(dataFiles[file_count])); System.out.println("opening " + dataFiles[file_count]); fin = new FileInputStream(dataFiles[file_count]); din = new DataInputStream(fin); br = new BufferedReader(new InputStreamReader(din)); lookback_ready = false; spread = new PrintWriter(new FileWriter("spread_" + dataFiles[file_count] + ".dat")); //if(print_debug)System.out.println("Entering loop..."); trading_hours = false; computed = false; while ((strline = br.readLine()) != null) { daily_data.add(strline); } for (line = 0; line < daily_data.size() - 1; line++) { strline = daily_data.get(line); //System.out.println(strline); tokens = strline.split(delims); n_toks = tokens.length; //System.out.println("Number of toks = "+n_toks); if (n_toks == 0) { System.out.println("End of file"); break; } if (n_toks >= 6) { bid_ask_data = true; } else { bid_ask_data = false; } date_stamp = tokens[0]; date_tokens = date_stamp.split(date_delims); intdates = date_tokens[0].split(ddelims); DateTime weekend = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), 14, 0); String[] hours = date_tokens[1].split("[:]+"); //--- TIME FILTER---------------------- if ((!time_filter && !hours[0].equals("17")) || ((date_tokens[1].indexOf(":00:00") != -1 || date_tokens[1].indexOf(":30:00") != -1) && !hours[0].equals("17"))) //if(!time_filter || ((date_tokens[1].indexOf(":00:00") != -1 || date_tokens[1].indexOf(":30:00") != -1) && !hours[0].equals("17"))) { //insampStart is the time we collect daily data //if(date_stamp.indexOf(insampStart) != -1) if (date_stamp.indexOf(insampStart) != -1)// && weekend.dayOfWeek().getAsText().equals("Wednesday")) { //get bid/mid/ask data if (ib_data && ib_data_hash.containsKey(tokens[0])) { String[] hashed = ib_data_hash.get(tokens[0]).split("[ ]+"); for (i = 1; i < hashed.length; i++) { tokens[i] = hashed[i]; } // System.out.print(tokens[i] + " ");} } daily_price.add(new Double(tokens[1])); current_price = (new Double(tokens[1])).doubleValue(); if (daily_price.size() == 1) { daily_returns.add(new Double(0.0)); prev_price = current_price; } else { daily_returns.add(log(current_price) - log(prev_price)); prev_price = current_price; } daily_dates.add(date_stamp); } latestDates.add(date_stamp); D = new Double(tokens[4]); close_series.add(D); if (ib_data && ib_data_hash.containsKey(tokens[0])) { String[] hashed = ib_data_hash.get(tokens[0]).split("[ ]+"); //System.out.println("Contains " + tokens[0] + ", lengths = " + hashed.length + ", " + tokens.length); for (i = 1; i < hashed.length; i++) { tokens[i] = hashed[i]; } // System.out.print(tokens[i] + " ");} bid.add(new Double(tokens[2])); ask.add(new Double(tokens[3])); mid.add(new Double(tokens[1])); } else { bid.add(new Double(tokens[2])); ask.add(new Double(tokens[3])); mid.add(new Double(tokens[1])); } D = new Double(tokens[1]); price.add(D); D = new Double(tokens[4]); if (ib_data && ib_data_hash.containsKey(tokens[0])) { live_series.add(log(mid.get(mid.size() - 1)) - log(mid.get(mid.size() - 2))); } else { live_series.add(D); } if (ib_data && ib_data_hash.containsKey(tokens[0])) //use as is { lo_price.add(new Double(tokens[2])); hi_price.add(new Double(tokens[2])); } else { lo_price.add((new Double(tokens[2]))); hi_price.add((new Double(tokens[2]))); } //---- start the account ------ if (account.size() == 0) { account.add(date_stamp + " " + 0); dailyoutret.add(0.0); } made_trade = false; if (daily_returns.size() >= n_obs && (date_stamp.indexOf(insampStart) != -1))// && weekend.dayOfWeek().getAsText().equals("Tuesday"))) //a new day begineth { computed = true; trading_hours = true; tseries = new double[n_rep * n_obs]; for (i = 0; i < n_obs; i++) { tseries[n_obs - 1 - i] = daily_returns.get(daily_returns.size() - 1 - i); tseries[n_obs + n_obs - 1 - i] = daily_returns.get(daily_returns.size() - 1 - i); if (n_rep > 2 && exp_series_1.size() > 0) { tseries[n_obs * 2 + n_obs - 1 - i] = exp_series_1 .get(exp_series_1.size() - 1 - i); } if (n_rep > 3 && exp_series_2.size() > 0) { tseries[n_obs * 3 + n_obs - 1 - i] = exp_series_2 .get(exp_series_2.size() - 1 - i); } } mdfa.set_tseries(tseries, n_obs, n_rep); //if(day_count == 0) //recompute filter coefficients if ((new Integer(intdates[1])).intValue() != cur_month || day_count == 0) { cur_month = (new Integer(intdates[1])).intValue(); //System.out.println("Recomputing filter..." + intdates[0] + "-" + intdates[1] + "-" + intdates[2]); if (printall) System.out.println("Recomputing filter..."); mdfa.computeFilterGeneral(true, false); b_coeffs = new double[(n_rep - 1) * L]; //System.out.println(b_coeffs.length + " " + L + n_rep); for (l = 0; l < L; l++) { for (i = 0; i < n_rep - 1; i++) { b_coeffs[L * i + l] = mdfa.b[L * (i + 1) + l]; } // System.out.println(b_coeffs[l]);} //if(date_stamp.indexOf("2013-12-17") != -1) {System.out.println(b_coeffs[l]);} } if (printall) System.out.println(date_stamp + " b_coeffs = " + b_coeffs[0] + " " + b_coeffs[1] + " " + b_coeffs[2]); b_copy = new double[mdfa.b.length]; System.arraycopy(mdfa.b, 0, b_copy, 0, b_copy.length); b0_coeff.println(b_coeffs[0]); // + ", " + b_coeffs[L] + ", " + b_coeffs[2*L]); //System.out.println("\n"); //for(l=0;l<L;l++) {System.out.println(b_coeffs[l]);} } sum = 0.0; for (j = 1; j < n_rep; j++) { for (l = 0; l < L; l++) { sum = sum + b_coeffs[L * (j - 1) + l] * tseries[N * j + n_obs - 1 - l]; } } prev_signal = current_signal; current_signal = sum; if (sig_inverse) { current_signal = -current_signal; } svmout.println(date_stamp + ", " + current_signal); //----final signal --- daily_signal.add(current_signal); daily_size = daily_price.size(); dailyReport.add("New day " + date_stamp + ", " + formatter3.format(daily_price.get(daily_size - 1)) + ", " + formatter.format(tseries[n_obs - 1]) + ", " + current_signal); if (printall) System.out.println("New day " + date_stamp + ", " + formatter3.format(daily_price.get(daily_size - 1)) + ", " + formatter.format(tseries[n_obs - 1]) + ", " + current_signal); //--compute binary trading rule --- if (printall) System.out.println( "Current signal = " + current_signal + " Prev signal = " + prev_signal); if (binary_rule) { if (signal_profit) { if ((current_signal > 0 && in_transaction == 1) && (daily_price.get(daily_size - 1) > last_price)) { price_sold = daily_price.get(daily_size - 1); profit = price_sold - price_bought; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; amount = getAmount(account.get(account.size() - 1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); in_transaction = 0; if (printall) { if (profit > 0) System.out.println("Sold for a profit of " + profit); else if (profit < 0) System.out.println("Sold for a loss of " + profit); System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold); } price_bought = daily_price.get(daily_size - 1); in_transaction = 1; last_price = daily_price.get(daily_size - 1); if (printall) { System.out.println("Entered long transaction at " + price_bought); } } else if ((current_signal < 0 && out_transaction == 1) && (daily_price.get(daily_size - 1) < last_price)) { price_sold = daily_price.get(daily_size - 1); profit = price_borrowed - price_sold; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; amount = getAmount(account.get(account.size() - 1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); out_transaction = 0; if (printall) { if (profit > 0) System.out.println("Sold for a profit of " + profit); else if (profit < 0) System.out.println("Sold for a loss of " + profit); System.out.println("profit, price_borrowed, price_sold = " + profit + ", " + price_borrowed + ", " + price_sold); } price_borrowed = daily_price.get(daily_size - 1); out_transaction = 1; if (printall) { System.out.println("Entered short transaction at " + price_borrowed); } } } if (current_signal > 0 && prev_signal <= 0) //new point positive, we see momentum, buy { last_price = daily_price.get(daily_size - 1); if (short_sell && out_transaction == 1) //in a short-sell transaction, sell { price_sold = daily_price.get(daily_size - 1); profit = price_borrowed - price_sold; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; amount = getAmount(account.get(account.size() - 1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); out_transaction = 0; if (printall) { if (profit > 0) System.out.println("Sold for a profit of " + profit); else if (profit < 0) System.out.println("Sold for a loss of " + profit); System.out.println("profit, price_borrowed, price_sold = " + profit + ", " + price_borrowed + ", " + price_sold); } } if (long_buy && in_transaction == 0) { price_bought = daily_price.get(daily_size - 1); in_transaction = 1; if (printall) { System.out.println("Entered long transaction at " + price_bought); } } } else if (current_signal < 0 && prev_signal >= 0) //if in transaction and signal goes below, sell { last_price = daily_price.get(daily_size - 1); if (long_buy && in_transaction == 1) { price_sold = daily_price.get(daily_size - 1); profit = price_sold - price_bought; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; amount = getAmount(account.get(account.size() - 1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); in_transaction = 0; if (printall) { if (profit > 0) System.out.println("Sold for a profit of " + profit); else if (profit < 0) System.out.println("Sold for a loss of " + profit); System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold); } } if (short_sell && out_transaction == 0) { price_borrowed = daily_price.get(daily_size - 1); out_transaction = 1; if (printall) { System.out.println("Entered short transaction at " + price_borrowed); } } } } if (signal_strength_rule && (in_transaction == 0 && out_transaction == 0)) { if (current_signal > 0) //new point positive, we see momentum, buy { last_price = daily_price.get(daily_size - 1); if (short_sell && out_transaction == 1) //in a short-sell transaction, sell { price_sold = daily_price.get(daily_size - 1); profit = price_borrowed - price_sold; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; amount = getAmount(account.get(account.size() - 1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); out_transaction = 0; if (printall) { System.out.println("profit, price_borrowed, price_sold = " + profit + ", " + price_borrowed + ", " + price_sold); } } if (long_buy && in_transaction == 0) { price_bought = daily_price.get(daily_size - 1); in_transaction = 1; if (printall) { System.out.println("Entered long transaction at " + price_bought); } } } else if (current_signal < 0) //if in transaction and signal goes below, sell { last_price = daily_price.get(daily_size - 1); if (long_buy && in_transaction == 1) { price_sold = daily_price.get(daily_size - 1); profit = price_sold - price_bought; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; amount = getAmount(account.get(account.size() - 1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); in_transaction = 0; if (printall) { System.out.println("Bought for a profit of " + profit); System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold); } } if (short_sell && out_transaction == 0) { price_borrowed = daily_price.get(daily_size - 1); out_transaction = 1; if (printall) { System.out.println("Entered short transaction at " + price_borrowed); } } } } if (!made_trade) { account.add(date_stamp + " " + amount); dailyoutret.add(price.get(price.size() - 1) - log_ret); log_ret = price.get(price.size() - 1); } day_count++; //if(recompute_day == day_count) {day_count=0;} allsignal.add(date_stamp + " " + current_signal); } else if (trading_hours) { if (in_transaction == 1) //in a long transaction { if (red_zone && price.get(price.size() - 1) > last_price) //check if new high price { last_price = price.get(price.size() - 1); } cur_pnl = price.get(price.size() - 1) - last_price; lo_pnl = lo_price.get(lo_price.size() - 1) - last_price; hi_pnl = hi_price.get(hi_price.size() - 1) - last_price; if (cur_pnl < -stop_loss) { if (printall) { System.out.println("Stop-loss Activated since lo_pnl = " + cur_pnl + " < -" + stop_loss); } //System.out.println("Closing price at bar was " + price.get(price.size()-1) + " but lowest price in bar was " + lo_price.get(lo_price.size()-1)); //--------------sell---------- //price_sold = price.get(price.size()-1); price_sold = price.get(price.size() - 1); profit = price_sold - price_bought; // price_sold = price_bought - stop_loss; // profit = -stop_loss; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; count = account.size() - 1; amount = getAmount(account.get(count)); //account.add(date_stamp + " " + (amount - stop_loss)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); dailyoutret.add(price.get(price.size() - 1) - log_ret); log_ret = price.get(price.size() - 1); in_transaction = 0; //-- return stop loss to original setting -------- if (printall) { System.out.println( "Sold at " + date_stamp + " for a profit/loss of " + profit); } stop_loss = global_stop_loss; red_zone = false; } else if (cur_pnl >= take_profit_thresh) { if (printall) { System.out.println("Profit zone activated since cur_pnl = " + cur_pnl + " > " + take_profit_thresh); } price_sold = price.get(price.size() - 1); profit = price_sold - price_bought; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; count = account.size() - 1; amount = getAmount(account.get(count)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); dailyoutret.add(price.get(price.size() - 1) - log_ret); log_ret = price.get(price.size() - 1); in_transaction = 0; //-- return stop loss to original setting -------- if (printall) { System.out.println( "Sold at " + date_stamp + " for a profit/loss of " + profit); } stop_loss = global_stop_loss; // stop_loss = profitable_stop; // last_price = price.get(price.size()-1); // red_zone = true; } } else if (out_transaction == 1) { if (red_zone && price.get(price.size() - 1) < last_price) //check if new high price { last_price = price.get(price.size() - 1); } cur_pnl = last_price - price.get(price.size() - 1); lo_pnl = last_price - hi_price.get(hi_price.size() - 1); hi_pnl = last_price - lo_price.get(lo_price.size() - 1); if (cur_pnl < -stop_loss) { if (printall) { System.out.println("Stop-loss Activated since lo_pnl = " + cur_pnl + " < -" + stop_loss); } //System.out.println("Closing price at bar was " + price.get(price.size()-1) + " but highest price in bar was " + hi_price.get(hi_price.size()-1)); //--------------sell---------- price_sold = price.get(price.size() - 1); profit = price_borrowed - price_sold; // price_sold = price_borrowed + stop_loss; // profit = -stop_loss; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; count = account.size() - 1; amount = getAmount(account.get(count)); //account.add(date_stamp + " " + (amount - stop_loss)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); dailyoutret.add(price.get(price.size() - 1) - log_ret); log_ret = price.get(price.size() - 1); out_transaction = 0; //-- return stop loss to original setting -------- stop_loss = global_stop_loss; red_zone = false; if (printall) { System.out.println( "Bought at " + date_stamp + " for a profit/loss of " + profit); } } else if (cur_pnl >= take_profit_thresh) { if (printall) { System.out.println("Profit zone activated since cur_pnl = " + cur_pnl + " > " + take_profit_thresh); } // stop_loss = profitable_stop; // last_price = price.get(price.size()-1); // red_zone = true; price_sold = price.get(price.size() - 1); profit = price_borrowed - price_sold; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; count = account.size() - 1; amount = getAmount(account.get(count)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); dailyoutret.add(price.get(price.size() - 1) - log_ret); log_ret = price.get(price.size() - 1); out_transaction = 0; //-- return stop loss to original setting -------- stop_loss = global_stop_loss; red_zone = false; if (printall) { System.out.println( "Bought at " + date_stamp + " for a profit/loss of " + profit); } } } else if (downtick_strategy) { //strategy here is to buy/sell according to signal iff downtick has occurred if (current_signal > 0 && (price_sold > price.get(price.size() - 1))) { //let's buy some more System.out.println("Buying at " + date_stamp + " since last price sold = " + price_sold + " > " + price.get(price.size() - 1)); price_bought = price.get(price.size() - 1); last_price = price.get(price.size() - 1); in_transaction = 1; } else if (current_signal < 0 && (price_sold < price.get(price.size() - 1))) { //let's short some more System.out.println( "Shorting at " + date_stamp + " since last price bought back at = " + price_sold + " < " + price.get(price.size() - 1)); price_borrowed = price.get(price.size() - 1); last_price = price.get(price.size() - 1); out_transaction = 1; System.out.println("Entered short transaction at " + price_borrowed); } cur_pnl = 0; lo_pnl = 0; hi_pnl = 0; } else { cur_pnl = 0; lo_pnl = 0; hi_pnl = 0; } if (weekend.dayOfWeek().getAsText().equals("Friday") && date_stamp.indexOf("17:00:00") != -1) { //System.out.println("End of week"); } dailyReport.add("" + date_stamp + ", " + formatter3.format(price.get(price.size() - 1)) + ", " + current_signal + ", " + formatter3.format(cur_pnl) + ", " + formatter3.format(lo_pnl) + ", " + formatter3.format(hi_pnl)); if (printall) { System.out.println( "" + date_stamp + ", " + formatter3.format(price.get(price.size() - 1)) + ", " + current_signal + ", " + formatter3.format(cur_pnl) + ", " + formatter3.format(lo_pnl) + ", " + formatter3.format(hi_pnl)); } allsignal.add(date_stamp + " " + current_signal); } } } } computed = true; dailyoutret.set(1, 0.0); double[] dreturns = new double[account.size()]; dreturns[0] = 0; double mean = 0; double sd = 0; n_neg_ret = 0; n_pos_ret = 0; neg_ret_mean = 0; pos_ret_mean = 0; pnl = 0; for (i = 1; i < account.size(); i++) { out.println(account.get(i)); dailyout.println(account.get(i) + " " + dailyoutret.get(i)); //System.out.println(account.get(i)); dreturns[i] = getAmount(account.get(i)) - getAmount(account.get(i - 1)); dreturns[i] = convers * dreturns[i]; //approximate pips in dollars dates = account.get(i).split("[ ]+"); if (!perf_dates.contains(dates[0]) && !isSunday(dates[0])) //first date entry { if (perf_dates.size() != 0) { perf_returns.add(pnl); } pnl = dreturns[i]; perf_dates.add(dates[0]); } else //already contains the date, so add on pnl { pnl = pnl + dreturns[i]; } if (dreturns[i] > 0) { n_pos_ret++; pos_ret_mean = pos_ret_mean + dreturns[i]; mean = mean + dreturns[i]; } else if (dreturns[i] < 0) { n_neg_ret++; neg_ret_mean = neg_ret_mean - dreturns[i]; mean = mean + dreturns[i]; } } perf_returns.add(pnl); for (i = 0; i < perf_dates.size(); i++) { //System.out.println(perf_dates.get(i) + " " + perf_returns.get(i)); date_returns.add(perf_dates.get(i) + " " + perf_returns.get(i)); perform.println(perf_dates.get(i) + " " + perf_returns.get(i)); } perform.close(); // load in intraday information Date log-diff price signal - EXCLUDES LATEST OBSERVATION!!! dates_price = new String[n_obs]; for (i = 0; i < n_obs; i++) { tokens = allsignal.get(allsignal.size() - n_obs + i).split("[ ]+"); //System.out.println(tokens[0] + " " + latestDates.get(latestDates.size() - n_obs + i - 1)); // if(tokens[0].equals(latestDates.get(latestDates.size() - n_obs + i - 1))) // { dates_price[i] = new String(latestDates.get(latestDates.size() - n_obs + i) + " " + (mid.get(mid.size() - n_obs + i) - mid.get(mid.size() - n_obs + i - 1)) + " " + mid.get(mid.size() - n_obs + i) + " " + tokens[2]); // } } n_files++; mean = mean / (n_pos_ret + n_neg_ret); System.out.println("ROI = " + account.get(account.size() - 1)); //--- compute stats--------------- risk = neg_ret_mean / (double) n_neg_ret; System.out.println("neg_ret_mean = " + (-neg_ret_mean) + ", " + n_neg_ret); reward = pos_ret_mean / (double) n_pos_ret; System.out.println("pos_ret_mean = " + pos_ret_mean + ", " + n_pos_ret); win_ratio = (double) (n_pos_ret) / (n_pos_ret + n_neg_ret); kellyPerc = win_ratio - (1.0 - win_ratio) * (risk / reward); ulcer_index = ulcerIndex(dreturns); System.out.println("win ratio = " + win_ratio + ", risk = " + risk + ", reward = " + reward); System.out.println("kelly and ulcer = " + kellyPerc + " " + ulcer_index); for (i = 0; i < dreturns.length; i++) { sd = sd + (dreturns[i] - mean) * (dreturns[i] - mean) / ((double) dreturns.length); } standard_deviation = Math.sqrt(sd); sharpeRatio = Math.sqrt(250) * mean / standard_deviation; maxdraw = computeDrawdown(dreturns); rank_coeff = segmentRankCorrelation(30, dreturns); System.out.println("MeanRet = " + mean + ", Sharpe = " + sharpeRatio + ", MaxDD = " + maxdraw + ", Rank = " + rank_coeff); out.close(); dailyout.close(); svmout.close(); b0_coeff.close(); } catch (FileNotFoundException fe) { System.out.println("File not found..." + fe); } catch (IOException ioe) { System.out.println("IO procedure faulty..." + ioe); } return computed; }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public boolean startStrategyDailyIntraday_MR() { int j, i, l, N, file_count; double sum = 0; Double D;//w ww .j a v a 2 s .c o m String ddelims = "[-]"; boolean computed = false; boolean made_trade = true; String date_stamp, strline; int daily_size; double profit, price_borrowed, price_sold, price_bought; double current_price, prev_price; double last_price, cur_pnl, stop_loss, lo_pnl, hi_pnl; double log_ret = 0; signal = new double[trade_obs]; xt = new double[trade_obs]; lag_signals = new double[trade_obs]; prix = new double[trade_obs]; lo_prix = new double[trade_obs]; hi_prix = new double[trade_obs]; total_succ = 0; total = 0; log_price = 0; N = n_obs; avg_vol = 0.0; b_avg = new double[L * n_rep]; count = 0; trade_succ_ratio = 0; double amount = 0; double prev_signal; reg_trading_hours = false; String[] intdates; //make sure arraylists empty ArrayList<String> perf_dates = new ArrayList<String>(); boolean waiting_meanrev_down = false; boolean waiting_meanrev_up = false; double mean_rev_amnt = 0; double pnl; String[] dates; int cur_month = 0; double convers = 1.0; ArrayList<String> allsignal = new ArrayList<String>(); ArrayList<String> account = new ArrayList<String>(); ArrayList<String> latestDates = new ArrayList<String>(); perf_returns = new ArrayList<Double>(); last_trades = new ArrayList<Integer>(); final_trades = new ArrayList<Double>(); dailyoutret = new ArrayList<Double>(); maxIntValue = new ArrayList<Double>(); avg_volatility = new ArrayList<Double>(); close_series = new ArrayList<Double>(); highlow_series = new ArrayList<Double>(); exp_series_1 = new ArrayList<Double>(); exp_series_2 = new ArrayList<Double>(); price = new ArrayList<Double>(); lo_price = new ArrayList<Double>(); hi_price = new ArrayList<Double>(); mid = new ArrayList<Double>(); bid = new ArrayList<Double>(); ask = new ArrayList<Double>(); dates_series = new ArrayList<String>(); dailyReport = new ArrayList<String>(); b0_trend = new ArrayList<Double>(); vol_0 = new ArrayList<Double>(); vol_1 = new ArrayList<Double>(); sub_returns = new ArrayList<Double>(); trade_days = new ArrayList<String>(); returns = new ArrayList<Double>(); longreturns = new ArrayList<Double>(); shortreturns = new ArrayList<Double>(); dropdowns = new ArrayList<Double>(); success = new ArrayList<Double>(); dates_low_high = new ArrayList<String>(); crits = new ArrayList<String>(); svm = new ArrayList<String>(); filters = new ArrayList<Filter>(); date_returns = new ArrayList<String>(); daily_returns = new ArrayList<Double>(); live_series = new ArrayList<Double>(); //the data to be applied out of sample ib_data_hash = new ibHash(); fridayROI = 0; fridayROI_pos = 0; fridays = 0; lookback_returns = new ArrayList<Double>(); num_pos_returns = 0; deg_0 = new ArrayList<Double>(); deg_1 = new ArrayList<Double>(); crit_0 = new ArrayList<Double>(); crit_1 = new ArrayList<Double>(); full_returns_array = new ArrayList<double[]>(); morning_returns = new ArrayList<double[]>(); morning_buy = true; //enter transaction at morning open morning_optimize = false; //optimize in the morning trading hours num_full_positive_returns = 0; //--- Now get historical interp values ------ //uploadInterpParams("max_int.dat"); //------------------------------------------- forex24 = false; ret_dist = new double[trade_obs]; pos_ret_dist = new int[trade_obs]; neg_ret_dist = new int[trade_obs]; neg_trades_started = new int[trade_obs]; pos_trades_started = new int[trade_obs]; neg_trades_started_mean = new double[trade_obs]; pos_trades_started_mean = new double[trade_obs]; diff_account = new double[trade_obs]; pos_ret_mean_time = new double[trade_obs]; neg_ret_mean_time = new double[trade_obs]; daily_price = new ArrayList<Double>(); daily_dates = new ArrayList<String>(); ArrayList<String> daily_data = new ArrayList<String>(); mdfaTrades = new ArrayList<MDFATrade>(); fmt = DateTimeFormat.forPattern("y-MM-dd HH:mm:ss"); formatter = new DecimalFormat("#0.000000"); formatter3 = new DecimalFormat("#0.00000"); formatter2 = new DecimalFormat("#0.00"); histo_stat = new int[100]; interp_vals = new ArrayList<Double>(); max_ranks = new ArrayList<Double>(); profit_baby = 0; //setForecastDFAParameters(); bad_starts = 0; n_out_samp = 0; int line; //take_profit = true; //take_profit_thresh = .0020; current_signal = 0; prev_price = 0; cur_pnl = 0; stop_loss = stop_loss_thresh; out_transaction = 0; in_transaction = 0; red_zone = false; global_stop_loss = stop_loss_thresh; profitable_stop = .0005; count = 0; short_sell = true; long_buy = true; day_count = 0; lo_pnl = 0; hi_pnl = 0; price_borrowed = 0; price_sold = 0; price_bought = 0; last_price = 0; binary_rule = true; signal_strength_rule = true; downtick_strategy = false; signal_profit = false; if (ib_data && ib_data_file != null) { try { fin = new FileInputStream(ib_data_file); din = new DataInputStream(fin); br = new BufferedReader(new InputStreamReader(din)); while ((strline = br.readLine()) != null) { String[] sp = strline.split("[,]+"); ib_data_hash.put(sp[0], new String( sp[1] + " " + sp[2] + " " + sp[3] + " " + sp[4] + " " + sp[5] + " " + sp[6])); //System.out.println(sp[1] + " " + sp[2] + " " + sp[3] + " " + sp[4] + " " + sp[5] + " " + sp[6]); } } catch (FileNotFoundException fe) { System.out.println("File not found..." + fe); } catch (IOException ioe) { System.out.println("IO procedure faulty..." + ioe); } } try { PrintWriter b0_coeff = new PrintWriter(new FileWriter("b0_coeff.dat")); PrintWriter perform = new PrintWriter(new FileWriter("intraday_performance_" + n_files + ".dat")); PrintWriter dailyout = new PrintWriter(new FileWriter("daily_nasdaq.dat")); PrintWriter out = new PrintWriter(new FileWriter("strategy_results.dat")); PrintWriter svmout = new PrintWriter(new FileWriter("neural_" + n_files + ".dat")); for (file_count = 0; file_count < 1; file_count++) { convers = 1; if (dataFiles[file_count].indexOf("JPY") != -1) { jpy = true; stop_loss_thresh = stop_loss_thresh * 100; take_profit_thresh = take_profit_thresh * 100; global_stop_loss = global_stop_loss * 100; stop_loss = stop_loss_thresh; } else if (dataFiles[file_count].indexOf("NOK") != -1) { jpy = true; stop_loss_thresh = stop_loss_thresh * 8; take_profit_thresh = take_profit_thresh * 8; global_stop_loss = global_stop_loss * 8; stop_loss = stop_loss_thresh; } else if (dataFiles[file_count].indexOf("XAU") != -1) { jpy = true; stop_loss_thresh = stop_loss_thresh * 1000; take_profit_thresh = take_profit_thresh * 1000; global_stop_loss = global_stop_loss * 1000; stop_loss = stop_loss_thresh; } // if(dataFiles[file_count].indexOf("JPY") != -1 && (dataFiles[file_count].indexOf("SEKJPY") == -1 && dataFiles[file_count].indexOf("NOKJPY") == -1)) // { // System.out.println("Changed time zone to Tokyo"); // jpy = true; // //stop_loss_thresh = stop_loss_thresh*100; // take_profit_thresh = take_profit_thresh*100; // //global_stop_loss = global_stop_loss*100; // stop_loss = stop_loss_thresh; // convers = .01; // } // else if(dataFiles[file_count].indexOf("SEKJPY") != -1 || dataFiles[file_count].indexOf("NOKJPY") != -1) // { // scandi_jpy = true; // convers = .01; // } // else if(dataFiles[file_count].indexOf("NOK") != -1 || dataFiles[file_count].indexOf("SEK") != -1) // { // scandi = true; // convers = 1/6.0; // } setTimeStandards(new File(dataFiles[file_count])); System.out.println("opening " + dataFiles[file_count]); fin = new FileInputStream(dataFiles[file_count]); din = new DataInputStream(fin); br = new BufferedReader(new InputStreamReader(din)); lookback_ready = false; spread = new PrintWriter(new FileWriter("spread_" + dataFiles[file_count] + ".dat")); //if(print_debug)System.out.println("Entering loop..."); trading_hours = false; computed = false; while ((strline = br.readLine()) != null) { daily_data.add(strline); } for (line = 0; line < daily_data.size() - 1; line++) { strline = daily_data.get(line); //System.out.println(strline); tokens = strline.split(delims); n_toks = tokens.length; //System.out.println("Number of toks = "+n_toks); if (n_toks == 0) { System.out.println("End of file"); break; } if (n_toks >= 6) { bid_ask_data = true; } else { bid_ask_data = false; } date_stamp = tokens[0]; date_tokens = date_stamp.split(date_delims); intdates = date_tokens[0].split(ddelims); DateTime weekend = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), 14, 0); //insampStart is the time we collect daily data //if(date_stamp.indexOf(insampStart) != -1) if (date_stamp.indexOf(insampStart) != -1)// && weekend.dayOfWeek().getAsText().equals("Wednesday")) { //get bid/mid/ask data if (ib_data && ib_data_hash.containsKey(tokens[0])) { String[] hashed = ib_data_hash.get(tokens[0]).split("[ ]+"); for (i = 1; i < hashed.length; i++) { tokens[i] = hashed[i]; } // System.out.print(tokens[i] + " ");} } daily_price.add(log(new Double(tokens[1]))); current_price = (new Double(tokens[1])).doubleValue(); if (daily_price.size() == 1) { daily_returns.add(new Double(0.0)); prev_price = current_price; } else { daily_returns.add(log(current_price) - log(prev_price)); prev_price = current_price; } daily_dates.add(date_stamp); } latestDates.add(date_stamp); D = new Double(tokens[4]); close_series.add(D); if (ib_data && ib_data_hash.containsKey(tokens[0])) { String[] hashed = ib_data_hash.get(tokens[0]).split("[ ]+"); //System.out.println("Contains " + tokens[0] + ", lengths = " + hashed.length + ", " + tokens.length); for (i = 1; i < hashed.length; i++) { tokens[i] = hashed[i]; } // System.out.print(tokens[i] + " ");} bid.add(log(new Double(tokens[2]))); ask.add(log(new Double(tokens[3]))); mid.add(log(new Double(tokens[1]))); } else { bid.add(log(new Double(tokens[2]))); ask.add(log(new Double(tokens[3]))); mid.add(log(new Double(tokens[1]))); } D = new Double(tokens[1]); price.add(log(D)); D = new Double(tokens[4]); if (ib_data && ib_data_hash.containsKey(tokens[0])) { live_series.add(log(mid.get(mid.size() - 1)) - log(mid.get(mid.size() - 2))); } else { live_series.add(D); } if (ib_data && ib_data_hash.containsKey(tokens[0])) //use as is { lo_price.add(new Double(tokens[2])); hi_price.add(new Double(tokens[2])); } else { lo_price.add((new Double(tokens[2]))); hi_price.add((new Double(tokens[2]))); } //---- start the account ------ if (account.size() == 0) { account.add(date_stamp + " " + 0); dailyoutret.add(0.0); } made_trade = false; if (daily_returns.size() >= n_obs && (date_stamp.indexOf(insampStart) != -1))// && weekend.dayOfWeek().getAsText().equals("Tuesday"))) //a new day begineth { computed = true; trading_hours = true; tseries = new double[n_rep * n_obs]; for (i = 0; i < n_obs; i++) { tseries[n_obs - 1 - i] = daily_returns.get(daily_returns.size() - 1 - i); tseries[n_obs + n_obs - 1 - i] = daily_returns.get(daily_returns.size() - 1 - i); if (n_rep > 2 && exp_series_1.size() > 0) { tseries[n_obs * 2 + n_obs - 1 - i] = exp_series_1.get(exp_series_1.size() - 1 - i); } if (n_rep > 3 && exp_series_2.size() > 0) { tseries[n_obs * 3 + n_obs - 1 - i] = exp_series_2.get(exp_series_2.size() - 1 - i); } } mdfa.set_tseries(tseries, n_obs, n_rep); //if(day_count == 0) //recompute filter coefficients if ((new Integer(intdates[1])).intValue() != cur_month || day_count == 0) { cur_month = (new Integer(intdates[1])).intValue(); //System.out.println("Recomputing filter..." + intdates[0] + "-" + intdates[1] + "-" + intdates[2]); if (printall) System.out.println("Recomputing filter..."); mdfa.computeFilterGeneral(true, false); b_coeffs = new double[(n_rep - 1) * L]; //System.out.println(b_coeffs.length + " " + L + n_rep); for (l = 0; l < L; l++) { for (i = 0; i < n_rep - 1; i++) { b_coeffs[L * i + l] = mdfa.b[L * (i + 1) + l]; } // System.out.println(b_coeffs[l]);} //if(date_stamp.indexOf("2013-12-17") != -1) {System.out.println(b_coeffs[l]);} } if (printall) System.out.println(date_stamp + " b_coeffs = " + b_coeffs[0] + " " + b_coeffs[1] + " " + b_coeffs[2]); b_copy = new double[mdfa.b.length]; System.arraycopy(mdfa.b, 0, b_copy, 0, b_copy.length); b0_coeff.println(b_coeffs[0]); // + ", " + b_coeffs[L] + ", " + b_coeffs[2*L]); //System.out.println("\n"); //for(l=0;l<L;l++) {System.out.println(b_coeffs[l]);} } sum = 0.0; for (j = 1; j < n_rep; j++) { for (l = 0; l < L; l++) { sum = sum + b_coeffs[L * (j - 1) + l] * tseries[N * j + n_obs - 1 - l]; } } prev_signal = current_signal; current_signal = sum; if (sig_inverse) { current_signal = -current_signal; } svmout.println(date_stamp + ", " + current_signal); //----final signal --- daily_signal.add(current_signal); daily_size = daily_price.size(); dailyReport.add( "New day " + date_stamp + ", " + formatter3.format(daily_price.get(daily_size - 1)) + ", " + formatter.format(tseries[n_obs - 1]) + ", " + current_signal); if (printall) System.out.println("New day " + date_stamp + ", " + formatter3.format(daily_price.get(daily_size - 1)) + ", " + formatter.format(tseries[n_obs - 1]) + ", " + current_signal); //--compute binary trading rule --- if (printall) System.out.println( "Current signal = " + current_signal + " Prev signal = " + prev_signal); if (binary_rule) { if (signal_profit) { if ((current_signal > 0 && in_transaction == 1) && (daily_price.get(daily_size - 1) > last_price)) { price_sold = daily_price.get(daily_size - 1); profit = price_sold - price_bought; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; amount = getAmount(account.get(account.size() - 1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); in_transaction = 0; if (printall) { if (profit > 0) System.out.println("Sold for a profit of " + profit); else if (profit < 0) System.out.println("Sold for a loss of " + profit); System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold); } price_bought = daily_price.get(daily_size - 1); in_transaction = 1; last_price = daily_price.get(daily_size - 1); if (printall) { System.out.println("Entered long transaction at " + price_bought); } } else if ((current_signal < 0 && out_transaction == 1) && (daily_price.get(daily_size - 1) < last_price)) { price_sold = daily_price.get(daily_size - 1); profit = price_borrowed - price_sold; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; amount = getAmount(account.get(account.size() - 1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); out_transaction = 0; if (printall) { if (profit > 0) System.out.println("Sold for a profit of " + profit); else if (profit < 0) System.out.println("Sold for a loss of " + profit); System.out.println("profit, price_borrowed, price_sold = " + profit + ", " + price_borrowed + ", " + price_sold); } price_borrowed = daily_price.get(daily_size - 1); out_transaction = 1; if (printall) { System.out.println("Entered short transaction at " + price_borrowed); } } } if (current_signal > 0 && prev_signal <= 0) //new point positive, we see momentum, buy { last_price = daily_price.get(daily_size - 1); waiting_meanrev_down = false; waiting_meanrev_up = false; if (short_sell && out_transaction == 1) //in a short-sell transaction, sell { price_sold = daily_price.get(daily_size - 1); profit = price_borrowed - price_sold; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; amount = getAmount(account.get(account.size() - 1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); out_transaction = 0; if (printall) { if (profit > 0) System.out.println("Sold for a profit of " + profit); else if (profit < 0) System.out.println("Sold for a loss of " + profit); System.out.println("profit, price_borrowed, price_sold = " + profit + ", " + price_borrowed + ", " + price_sold); } } waiting_meanrev_down = true; if (printall) { System.out.println( "Waiting for better price to buy to enter long at " + last_price); } /* if(long_buy && in_transaction == 0) { price_bought = daily_price.get(daily_size-1); in_transaction = 1; if(printall) {System.out.println("Entered long transaction at " + price_bought);} }*/ } else if (current_signal < 0 && prev_signal >= 0) //if in transaction and signal goes below, sell { last_price = daily_price.get(daily_size - 1); waiting_meanrev_down = false; waiting_meanrev_up = false; if (long_buy && in_transaction == 1) { price_sold = daily_price.get(daily_size - 1); profit = price_sold - price_bought; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; amount = getAmount(account.get(account.size() - 1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); in_transaction = 0; if (printall) { if (profit > 0) System.out.println("Sold for a profit of " + profit); else if (profit < 0) System.out.println("Sold for a loss of " + profit); System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold); } } waiting_meanrev_up = true; if (printall) { System.out.println( "Waiting for better price to buy to enter long at " + last_price); } // if(short_sell && out_transaction == 0) // { // price_borrowed = daily_price.get(daily_size-1); // out_transaction = 1; // // if(printall) // { // System.out.println("Entered short transaction at " + price_borrowed); // } // } } } if (signal_strength_rule && (in_transaction == 0 && out_transaction == 0)) { if (current_signal > 0) //new point positive, we see momentum, buy { last_price = daily_price.get(daily_size - 1); waiting_meanrev_down = true; /* if(short_sell && out_transaction == 1) //in a short-sell transaction, sell { price_sold = daily_price.get(daily_size-1); profit = price_borrowed - price_sold; if(profit > 0) {succ_trades=succ_trades+1;} total_trades=total_trades+1; amount = getAmount(account.get(account.size()-1)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size()-1)); made_trade = true; dailyoutret.add(daily_price.get(daily_size-1) - log_ret); log_ret = daily_price.get(daily_size-1).doubleValue(); out_transaction = 0; if(printall) { System.out.println("profit, price_borrowed, price_sold = " + profit + ", " + price_borrowed + ", " + price_sold); } } if(long_buy && in_transaction == 0) { price_bought = daily_price.get(daily_size-1); in_transaction = 1; if(printall) {System.out.println("Entered long transaction at " + price_bought);} }*/ } else if (current_signal < 0) //if in transaction and signal goes below, sell { last_price = daily_price.get(daily_size - 1); waiting_meanrev_up = true; // if(long_buy && in_transaction == 1) // { // price_sold = daily_price.get(daily_size-1); // profit = price_sold - price_bought; // if(profit > 0) {succ_trades=succ_trades+1;} // total_trades=total_trades+1; // // amount = getAmount(account.get(account.size()-1)); // account.add(date_stamp + " " + (amount + profit)); // amount = getAmount(account.get(account.size()-1)); // // made_trade = true; // dailyoutret.add(daily_price.get(daily_size-1) - log_ret); // log_ret = daily_price.get(daily_size-1).doubleValue(); // // in_transaction = 0; // // if(printall){ // System.out.println("Bought for a profit of " + profit); // System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold);} // // // } // // if(short_sell && out_transaction == 0) // { // price_borrowed = daily_price.get(daily_size-1); // out_transaction = 1; // // if(printall){System.out.println("Entered short transaction at " + price_borrowed);} // } } } if (!made_trade) { account.add(date_stamp + " " + amount); dailyoutret.add(price.get(price.size() - 1) - log_ret); log_ret = price.get(price.size() - 1); } day_count++; //if(recompute_day == day_count) {day_count=0;} allsignal.add(date_stamp + " " + current_signal); } else if (trading_hours) { if (waiting_meanrev_up) //waiting for tick price to go up in order to sell the bid { if ((bid.get(bid.size() - 1) - last_price) > mean_rev_amnt) { if (short_sell && out_transaction == 0) { price_borrowed = bid.get(bid.size() - 1); out_transaction = 1; last_price = price_borrowed; if (printall) System.out.println( "Entered short transaction at " + price_borrowed + " after " + (bid.get(bid.size() - 1) - last_price) + " reversion"); } waiting_meanrev_up = false; waiting_meanrev_down = false; } } else if (waiting_meanrev_down) { if ((last_price - ask.get(ask.size() - 1)) > mean_rev_amnt) { if (long_buy && in_transaction == 0) { price_bought = ask.get(ask.size() - 1); in_transaction = 1; last_price = price_bought; if (printall) System.out.println("Entered long transaction at " + price_bought); } waiting_meanrev_down = false; waiting_meanrev_up = false; } } if (in_transaction == 1) //in a long transaction { if (red_zone && price.get(price.size() - 1) > last_price) //check if new high price { last_price = price.get(price.size() - 1); } cur_pnl = price.get(price.size() - 1) - last_price; lo_pnl = lo_price.get(lo_price.size() - 1) - last_price; hi_pnl = hi_price.get(hi_price.size() - 1) - last_price; if (cur_pnl < -stop_loss) { if (printall) { System.out.println( "Stop-loss Activated since lo_pnl = " + cur_pnl + " < -" + stop_loss); } //System.out.println("Closing price at bar was " + price.get(price.size()-1) + " but lowest price in bar was " + lo_price.get(lo_price.size()-1)); //--------------sell---------- //price_sold = price.get(price.size()-1); price_sold = price.get(price.size() - 1); profit = price_sold - price_bought; // price_sold = price_bought - stop_loss; // profit = -stop_loss; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; count = account.size() - 1; amount = getAmount(account.get(count)); //account.add(date_stamp + " " + (amount - stop_loss)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); dailyoutret.add(price.get(price.size() - 1) - log_ret); log_ret = price.get(price.size() - 1); in_transaction = 0; //-- return stop loss to original setting -------- if (printall) { System.out.println("Sold at " + date_stamp + " for a profit/loss of " + profit); } stop_loss = global_stop_loss; red_zone = false; } else if (cur_pnl >= take_profit_thresh) { if (printall) { System.out.println("Profit zone activated since cur_pnl = " + cur_pnl + " > " + take_profit_thresh); } price_sold = price.get(price.size() - 1); profit = price_sold - price_bought; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; count = account.size() - 1; amount = getAmount(account.get(count)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); dailyoutret.add(price.get(price.size() - 1) - log_ret); log_ret = price.get(price.size() - 1); in_transaction = 0; //-- return stop loss to original setting -------- if (printall) { System.out.println("Sold at " + date_stamp + " for a profit/loss of " + profit); } stop_loss = global_stop_loss; // stop_loss = profitable_stop; // last_price = price.get(price.size()-1); // red_zone = true; } } else if (out_transaction == 1) { if (red_zone && price.get(price.size() - 1) < last_price) //check if new high price { last_price = price.get(price.size() - 1); } cur_pnl = last_price - price.get(price.size() - 1); lo_pnl = last_price - hi_price.get(hi_price.size() - 1); hi_pnl = last_price - lo_price.get(lo_price.size() - 1); if (cur_pnl < -stop_loss) { if (printall) { System.out.println( "Stop-loss Activated since lo_pnl = " + cur_pnl + " < -" + stop_loss); } //System.out.println("Closing price at bar was " + price.get(price.size()-1) + " but highest price in bar was " + hi_price.get(hi_price.size()-1)); //--------------sell---------- price_sold = price.get(price.size() - 1); profit = price_borrowed - price_sold; // price_sold = price_borrowed + stop_loss; // profit = -stop_loss; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; count = account.size() - 1; amount = getAmount(account.get(count)); //account.add(date_stamp + " " + (amount - stop_loss)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); dailyoutret.add(price.get(price.size() - 1) - log_ret); log_ret = price.get(price.size() - 1); out_transaction = 0; //-- return stop loss to original setting -------- stop_loss = global_stop_loss; red_zone = false; if (printall) { System.out .println("Bought at " + date_stamp + " for a profit/loss of " + profit); } } else if (cur_pnl >= take_profit_thresh) { if (printall) { System.out.println("Profit zone activated since cur_pnl = " + cur_pnl + " > " + take_profit_thresh); } // stop_loss = profitable_stop; // last_price = price.get(price.size()-1); // red_zone = true; price_sold = price.get(price.size() - 1); profit = price_borrowed - price_sold; if (profit > 0) { succ_trades = succ_trades + 1; } total_trades = total_trades + 1; count = account.size() - 1; amount = getAmount(account.get(count)); account.add(date_stamp + " " + (amount + profit)); amount = getAmount(account.get(account.size() - 1)); dailyoutret.add(price.get(price.size() - 1) - log_ret); log_ret = price.get(price.size() - 1); out_transaction = 0; //-- return stop loss to original setting -------- stop_loss = global_stop_loss; red_zone = false; if (printall) { System.out .println("Bought at " + date_stamp + " for a profit/loss of " + profit); } } } else if (downtick_strategy) { //strategy here is to buy/sell according to signal iff downtick has occurred if (current_signal > 0 && (price_sold > price.get(price.size() - 1))) { //let's buy some more System.out.println("Buying at " + date_stamp + " since last price sold = " + price_sold + " > " + price.get(price.size() - 1)); price_bought = price.get(price.size() - 1); last_price = price.get(price.size() - 1); in_transaction = 1; } else if (current_signal < 0 && (price_sold < price.get(price.size() - 1))) { //let's short some more System.out .println("Shorting at " + date_stamp + " since last price bought back at = " + price_sold + " < " + price.get(price.size() - 1)); price_borrowed = price.get(price.size() - 1); last_price = price.get(price.size() - 1); out_transaction = 1; System.out.println("Entered short transaction at " + price_borrowed); } cur_pnl = 0; lo_pnl = 0; hi_pnl = 0; } else { cur_pnl = 0; lo_pnl = 0; hi_pnl = 0; } if (weekend.dayOfWeek().getAsText().equals("Friday") && date_stamp.indexOf("17:00:00") != -1) { //System.out.println("End of week"); } dailyReport.add("" + date_stamp + ", " + formatter3.format(price.get(price.size() - 1)) + ", " + current_signal + ", " + formatter3.format(cur_pnl) + ", " + formatter3.format(lo_pnl) + ", " + formatter3.format(hi_pnl)); if (printall) { System.out .println("" + date_stamp + ", " + formatter3.format(price.get(price.size() - 1)) + ", " + current_signal + ", " + formatter3.format(cur_pnl) + ", " + formatter3.format(lo_pnl) + ", " + formatter3.format(hi_pnl)); } allsignal.add(date_stamp + " " + current_signal); } } } computed = true; dailyoutret.set(1, 0.0); double[] dreturns = new double[account.size()]; dreturns[0] = 0; double mean = 0; double sd = 0; n_neg_ret = 0; n_pos_ret = 0; neg_ret_mean = 0; pos_ret_mean = 0; pnl = 0; for (i = 1; i < account.size(); i++) { out.println(account.get(i)); dailyout.println(account.get(i) + " " + dailyoutret.get(i)); //System.out.println(account.get(i)); dreturns[i] = getAmount(account.get(i)) - getAmount(account.get(i - 1)); dreturns[i] = convers * dreturns[i]; //approximate pips in dollars dates = account.get(i).split("[ ]+"); if (!perf_dates.contains(dates[0]) && !isSunday(dates[0])) //first date entry { if (perf_dates.size() != 0) { perf_returns.add(pnl); } pnl = dreturns[i]; perf_dates.add(dates[0]); } else //already contains the date, so add on pnl { pnl = pnl + dreturns[i]; } if (dreturns[i] > 0) { n_pos_ret++; pos_ret_mean = pos_ret_mean + dreturns[i]; mean = mean + dreturns[i]; } else if (dreturns[i] < 0) { n_neg_ret++; neg_ret_mean = neg_ret_mean - dreturns[i]; mean = mean + dreturns[i]; } } perf_returns.add(pnl); for (i = 0; i < perf_dates.size(); i++) { //System.out.println(perf_dates.get(i) + " " + perf_returns.get(i)); date_returns.add(perf_dates.get(i) + " " + perf_returns.get(i)); perform.println(perf_dates.get(i) + " " + perf_returns.get(i)); } perform.close(); // load in intraday information Date log-diff price signal - EXCLUDES LATEST OBSERVATION!!! dates_price = new String[n_obs]; for (i = 0; i < n_obs; i++) { tokens = allsignal.get(allsignal.size() - n_obs + i).split("[ ]+"); //System.out.println(tokens[0] + " " + latestDates.get(latestDates.size() - n_obs + i - 1)); // if(tokens[0].equals(latestDates.get(latestDates.size() - n_obs + i - 1))) // { dates_price[i] = new String(latestDates.get(latestDates.size() - n_obs + i) + " " + (mid.get(mid.size() - n_obs + i) - mid.get(mid.size() - n_obs + i - 1)) + " " + mid.get(mid.size() - n_obs + i) + " " + tokens[2]); // } } n_files++; mean = mean / (n_pos_ret + n_neg_ret); System.out.println("ROI = " + account.get(account.size() - 1)); //--- compute stats--------------- risk = neg_ret_mean / (double) n_neg_ret; System.out.println("neg_ret_mean = " + (-neg_ret_mean) + ", " + n_neg_ret); reward = pos_ret_mean / (double) n_pos_ret; System.out.println("pos_ret_mean = " + pos_ret_mean + ", " + n_pos_ret); win_ratio = (double) (n_pos_ret) / (n_pos_ret + n_neg_ret); kellyPerc = win_ratio - (1.0 - win_ratio) * (risk / reward); ulcer_index = ulcerIndex(dreturns); System.out.println("win ratio = " + win_ratio + ", risk = " + risk + ", reward = " + reward); System.out.println("kelly and ulcer = " + kellyPerc + " " + ulcer_index); for (i = 0; i < dreturns.length; i++) { sd = sd + (dreturns[i] - mean) * (dreturns[i] - mean) / ((double) dreturns.length); } standard_deviation = Math.sqrt(sd); sharpeRatio = Math.sqrt(250) * mean / standard_deviation; maxdraw = computeDrawdown(dreturns); rank_coeff = segmentRankCorrelation(30, dreturns); System.out.println("MeanRet = " + mean + ", Sharpe = " + sharpeRatio + ", MaxDD = " + maxdraw + ", Rank = " + rank_coeff); out.close(); dailyout.close(); svmout.close(); b0_coeff.close(); } catch (FileNotFoundException fe) { System.out.println("File not found..." + fe); } catch (IOException ioe) { System.out.println("IO procedure faulty..." + ioe); } return computed; }