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:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public boolean startStrategyDailyIntradayOneHour() { int j, i, l, N, file_count; double sum = 0; Double D;//from w ww . ja v a2 s . co m String ddelims = "[-]"; boolean computed = false; boolean print_filter = 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>(); ArrayList<Double> perf_returns = new ArrayList<Double>(); double pnl; String[] dates; boolean inverse_hours = false; String time; ArrayList<String> account = new ArrayList<String>(); ArrayList<String> sunday = new ArrayList<String>(); ArrayList<String> latestDates = 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; int end_hour; 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]; 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; //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; ArrayList<String> trade_times = new ArrayList<String>(); 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; friday_closing = false; //asian_close = true; //----- Fill up with times here ------------------------- for (i = 0; i < 10; i++) { trade_times.add("0" + i + ":00:00"); } for (i = 10; i < 24; i++) { trade_times.add(i + ":00:00"); } // trade_times.add("00:00:00"); // trade_times.add("06:00:00"); // trade_times.add("12:00:00"); // trade_times.add("18:00:00"); String[] hourToks = startingTime.split("[:]+"); start_hour = (new Integer(hourToks[0])).intValue(); hourToks = endingTime.split("[:]+"); end_hour = (new Integer(hourToks[0])).intValue(); inverse_hours = false; if (start_hour > end_hour) //must switch hours here { int temphour = end_hour; inverse_hours = true; end_hour = start_hour; start_hour = temphour; } 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); } } String[] myname = dataFiles[0].split("[.]+"); 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_" + myname[0] + ".dat")); PrintWriter svmout = new PrintWriter(new FileWriter("neural.dat")); for (file_count = 0; file_count < 1; file_count++) { if (dataFiles[file_count].indexOf("JPY") != -1 || dataFiles[file_count].indexOf("Y") != -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; global_stop_loss = global_stop_loss * 100; stop_loss = stop_loss_thresh; } else if (futures_data) { //change_time_zone = true; System.out.println("Changed time zone to Tokyo"); stop_loss_thresh = stop_loss_thresh * 10000; stop_loss = stop_loss_thresh; take_profit_thresh = take_profit_thresh * 10000; global_stop_loss = global_stop_loss * 10000; } else if (dataFiles[file_count].indexOf("MXN") != -1) { stop_loss_thresh = stop_loss_thresh * 10; take_profit_thresh = take_profit_thresh * 10; global_stop_loss = global_stop_loss * 10; stop_loss = stop_loss_thresh; } else if (dataFiles[file_count].indexOf("HKD") != -1) { stop_loss_thresh = stop_loss_thresh * 10; take_profit_thresh = take_profit_thresh * 10; global_stop_loss = global_stop_loss * 10; stop_loss = stop_loss_thresh; } else if (dataFiles[file_count].indexOf("XAU") != -1) { 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; } else if (dataFiles[file_count].indexOf("GC") != -1) { 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; } else if (dataFiles[file_count].indexOf("JNJ") != -1) { 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; } 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) { //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); time = date_tokens[1]; //insampStart is the time we collect daily data //if(date_stamp.indexOf(insampStart) != -1) if (trade_times.contains(time)) { //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); } print_filter = false; 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[7])); hi_price.add(new Double(tokens[8])); } else { lo_price.add((new Double(tokens[7]))); hi_price.add((new Double(tokens[8]))); } //---- start the account ------ if (account.size() == 0) { account.add(date_stamp + " " + 0); dailyoutret.add(0.0); } String[] hours = time.split("[:]+"); cur_hour = (new Integer(hours[0])).intValue(); (new Integer(hours[1])).intValue(); trading_closed = false; //if currently not in a transaction and between the hours of midnight and start-hour, then no new //positions will be opened if (asian_close) //only closed if most recent transaction was closed artificially through SL or TP after end hours { if ((in_transaction == 0 && out_transaction == 0) && cur_hour >= start_hour && cur_hour <= end_hour) { trading_closed = true; if (printall) System.out.println(cur_hour + " " + start_hour); } } else { if (cur_hour >= start_hour && cur_hour <= end_hour) { trading_closed = true; if (printall) { System.out.println(cur_hour + " " + start_hour); } } } // if(cur_hour == 14) {release_first = true;} // else {elease_first = false;} if (inverse_hours) { trading_closed = !trading_closed; } its_closing_time = (weekend.dayOfWeek().getAsText().equals("Friday") && date_stamp.indexOf("17:00:00") != -1); made_trade = false; if (daily_returns.size() >= n_obs && trade_times.contains(time)) //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 (day_count == 0 || weekend.dayOfWeek().getAsText().equals("Sunday") && date_stamp.indexOf("18:00:00") != -1) { if (printall) System.out.println("Recomputing filter..."); mdfa.computeFilterGeneral(true, print_filter); 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]); } 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; } if (date_stamp.indexOf("16:00:00") != -1) { svmout.println( date_stamp + " " + formatter3.format(daily_price.get(daily_price.size() - 1))); } //----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 + ", trading_closed = " + trading_closed); if (friday_closing && its_closing_time) { if (printall) System.out.println("\nIt's Friday at 5pm, time to close shop for week"); if (current_signal > 0 && in_transaction == 1) //in a long transaction { 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " " + daily_price.get(daily_price.size() - 1) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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); } } else if (current_signal < 0 && out_transaction == 1) //in a short transaction { 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " " + daily_price.get(daily_price.size() - 1) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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); } } else { //if(binary_rule && !trading_closed) if (binary_rule) { made_trade = false; 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " " + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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) && !trading_closed) { profit = 0; price_bought = daily_price.get(daily_size - 1); in_transaction = 1; account.add(date_stamp + " " + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " -" + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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) && !trading_closed) { profit = 0; price_borrowed = daily_price.get(daily_size - 1); out_transaction = 1; account.add(date_stamp + " -" + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); if (printall) System.out.println("Entered short transaction at " + price_borrowed); } } } if (signal_strength_rule && ((in_transaction == 0 && out_transaction == 0) && !trading_closed)) { 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " " + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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) { profit = 0; price_bought = daily_price.get(daily_size - 1); in_transaction = 1; account.add(date_stamp + " " + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " -" + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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); if (printall) System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold); } if (short_sell && out_transaction == 0) { profit = 0; price_borrowed = daily_price.get(daily_size - 1); out_transaction = 1; account.add(date_stamp + " -" + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); if (printall) System.out.println("Entered short transaction at " + price_borrowed); } } } if (!made_trade) { profit = 0; //account.add(date_stamp + " " + formatter3.format(daily_price.get(daily_price.size()-1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); //dailyoutret.add(price.get(price.size()-1) - log_ret); //log_ret = price.get(price.size()-1); } day_count++; //if(recompute_day == day_count) {y_count=0;} 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); } } else if (trading_hours)// && !trading_closed)// && cur_min != 30) { 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; cur_pnl = bid.get(bid.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); price_sold = bid.get(bid.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), 4); //account.add(date_stamp + " " + (amount - stop_loss)); //account.add(date_stamp + " " + (amount + profit)); //account.add(date_stamp + " " + price.get(price.size()-1) + " " + profit + " " + (amount + profit)); account.add(date_stamp + " -" + formatter3.format(bid.get(bid.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } dailyoutret.add(bid.get(bid.size() - 1) - log_ret); log_ret = bid.get(bid.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); price_sold = bid.get(bid.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), 4); //account.add(date_stamp + " " + (amount + profit)); //account.add(date_stamp + " " + price.get(price.size()-1) + " " + profit + " " + (amount + profit)); account.add(date_stamp + " -" + formatter3.format(price_sold) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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); cur_pnl = last_price - ask.get(ask.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); price_sold = ask.get(ask.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), 4); //account.add(date_stamp + " " + (amount - stop_loss)); //account.add(date_stamp + " " + (amount + profit)); //account.add(date_stamp + " " + price.get(price.size()-1) + " " + profit + " " + (amount + profit)); account.add(date_stamp + " " + formatter3.format(price_sold) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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); price_sold = ask.get(ask.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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " " + formatter3.format(price_sold) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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 if (printall) 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 if (printall) 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; if (printall) 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) { if (printall) 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); } } } double mean_ntrades = 0; 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; int n_trades = 0; ArrayList<Integer> n_trades_day = new ArrayList<Integer>(); 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), 4) - getAmount(account.get(i - 1), 4); dates = account.get(i).split("[ ]+"); if (!perf_dates.contains(dates[0])) //first date entry { if (perf_dates.size() != 0) { perf_returns.add(pnl); n_trades_day.add(n_trades); } perf_dates.add(dates[0]); pnl = dreturns[i]; if (dreturns[i] != 0) { n_trades = 1; } else { n_trades = 0; } } else //already contains the date, so add on pnl { pnl = pnl + dreturns[i]; //System.out.println(dreturns[i]); if (dreturns[i] != 0) { n_trades++; } // System.out.println(n_trades);} } 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); n_trades_day.add(n_trades); for (i = 0; i < perf_dates.size(); i++) { if (printall) System.out.println(perf_dates.get(i) + " " + perf_returns.get(i) + " " + n_trades_day.get(i)); perform.println(perf_dates.get(i) + " " + perf_returns.get(i)); mean_ntrades = mean_ntrades + n_trades_day.get(i); } mean_ntrades = mean_ntrades / n_trades_day.size(); 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]); // } } double sunday_roi = 0; double sunday_trade = 0; double sunday_pos_mean = 0; double sunday_neg_mean = 0; int nsunday_pos_mean = 0; int nsunday_neg_mean = 0; System.out.println("\nSunday Performance"); for (i = 0; i < sunday.size(); i++) { //System.out.println(sunday.get(i)); sunday_trade = getAmount(sunday.get(i), 4); sunday_roi = sunday_roi + sunday_trade; if (sunday_trade > 0) { sunday_pos_mean += sunday_trade; nsunday_pos_mean++; } if (sunday_trade < 0) { sunday_neg_mean += sunday_trade; nsunday_neg_mean++; } } System.out.println("\nSunday Stats"); System.out.println("Sunday ROI = " + sunday_roi); sunday_roi = sunday_roi / (nsunday_pos_mean + nsunday_neg_mean); System.out.println("Sunday meantrade = " + sunday_roi); System.out.println("Sunday pos mean = " + (sunday_pos_mean / nsunday_pos_mean) + ", npos_trades = " + nsunday_pos_mean); System.out.println("Sunday neg mean = " + (sunday_neg_mean / nsunday_neg_mean) + ", nneg_trades = " + nsunday_neg_mean); mean = mean / (n_pos_ret + n_neg_ret); System.out.println("ROI = " + account.get(account.size() - 1)); //--- compute stats--------------- 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(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 + ", avg_n_trades = " + mean_ntrades); out.close(); dailyout.close(); perform.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); } n_files++; return computed; }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public boolean startStrategyDailyIntradayStocks() { int j, i, l, N, file_count; double sum = 0; Double D;/*from www .j a v a 2s. c o m*/ String ddelims = "[-]"; boolean computed = false; boolean print_filter = 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>(); ArrayList<Double> perf_returns = new ArrayList<Double>(); double pnl; String[] dates; boolean inverse_hours = false; String time; ArrayList<String> account = new ArrayList<String>(); ArrayList<String> sunday = new ArrayList<String>(); ArrayList<String> latestDates = 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; int end_hour; 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]; 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; //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; ArrayList<String> trade_times = new ArrayList<String>(); 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; friday_closing = true; //asian_close = true; //----- Fill up with times here ------------------------- // for(i=0;i<10;i++) // { // if(i%4 == 0) {trade_times.add("0"+i+":00:00");} // } // for(i=10;i<24;i++) // { // trade_times.add(i+":00:00");} // for(i=0;i<10;i++) {trade_times.add("0"+i+":00:00");} // for(i=10;i<24;i++) {trade_times.add(i+":00:00");} trade_times.add("10:00:00"); trade_times.add("11:00:00"); trade_times.add("12:00:00"); trade_times.add("13:00:00"); trade_times.add("14:00:00"); trade_times.add("15:00:00"); String[] hourToks = startingTime.split("[:]+"); start_hour = (new Integer(hourToks[0])).intValue(); hourToks = endingTime.split("[:]+"); end_hour = (new Integer(hourToks[0])).intValue(); inverse_hours = false; if (start_hour > end_hour) //must switch hours here { int temphour = end_hour; inverse_hours = true; end_hour = start_hour; start_hour = temphour; } 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); } } String[] myname = dataFiles[0].split("[.]+"); 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_" + myname[0] + ".dat")); for (file_count = 0; file_count < 1; file_count++) { 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; 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) { //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); time = date_tokens[1]; //insampStart is the time we collect daily data //if(date_stamp.indexOf(insampStart) != -1) if (trade_times.contains(time)) { //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); } print_filter = false; 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[7])); hi_price.add(new Double(tokens[8])); } else { lo_price.add((new Double(tokens[7]))); hi_price.add((new Double(tokens[8]))); } //---- start the account ------ if (account.size() == 0) { account.add(date_stamp + " " + 0); dailyoutret.add(0.0); } String[] hours = time.split("[:]+"); cur_hour = (new Integer(hours[0])).intValue(); (new Integer(hours[1])).intValue(); trading_closed = false; //if currently not in a transaction and between the hours of midnight and start-hour, then no new //positions will be opened if (asian_close) //only closed if most recent transaction was closed artificially through SL or TP after end hours { if ((in_transaction == 0 && out_transaction == 0) && cur_hour >= start_hour && cur_hour <= end_hour) { trading_closed = true; if (printall) System.out.println(cur_hour + " " + start_hour); } } else { if (cur_hour >= start_hour && cur_hour <= end_hour) { trading_closed = true; if (printall) { System.out.println(cur_hour + " " + start_hour); } } } // if(cur_hour == 14) {release_first = true;} // else {elease_first = false;} if (inverse_hours) { trading_closed = !trading_closed; } its_closing_time = false; //its_closing_time = (date_stamp.indexOf("16:00:00") != -1); made_trade = false; if (daily_returns.size() >= n_obs && trade_times.contains(time)) //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 (day_count == 0 || weekend.dayOfWeek().getAsText().equals("Sunday") && date_stamp.indexOf("18:00:00") != -1) { if (printall) System.out.println("Recomputing filter..."); mdfa.computeFilterGeneral(true, print_filter); 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]); } 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; } //----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 + ", trading_closed = " + trading_closed); if (friday_closing && its_closing_time) { if (printall) System.out.println("\nIt's Friday at 5pm, time to close shop for week"); if (current_signal > 0 && in_transaction == 1) //in a long transaction { 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " " + daily_price.get(daily_price.size() - 1) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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); } } else if (current_signal < 0 && out_transaction == 1) //in a short transaction { 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " " + daily_price.get(daily_price.size() - 1) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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); } } else { //if(binary_rule && !trading_closed) if (binary_rule && (cur_hour <= 16 && cur_hour >= 10)) { // if(signal_profit) // { // //if(printall) System.out.println("Trading_closed = " + trading_closed); // 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); // } // // if(!trading_closed) // {price_bought = daily_price.get(daily_size-1); // //in_transaction = 1; // out_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); // } // if(printall) System.out.println("profit, price_borrowed, price_sold = " + profit + ", " + price_borrowed + ", " + price_sold); // // if(!trading_closed) // { // price_borrowed = daily_price.get(daily_size-1); // //out_transaction = 1; // in_transaction = 1; // if(printall)System.out.println("Entered short transaction at " + price_borrowed); // } // } // // } made_trade = false; 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " " + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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) && !trading_closed) { profit = 0; price_bought = daily_price.get(daily_size - 1); in_transaction = 1; account.add(date_stamp + " " + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " -" + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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) && !trading_closed) { profit = 0; price_borrowed = daily_price.get(daily_size - 1); out_transaction = 1; account.add(date_stamp + " -" + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); if (printall) System.out.println("Entered short transaction at " + price_borrowed); } } } if (signal_strength_rule && ((in_transaction == 0 && out_transaction == 0) && !trading_closed && (cur_hour <= 16 && cur_hour >= 10))) { 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " " + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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) { profit = 0; price_bought = daily_price.get(daily_size - 1); in_transaction = 1; account.add(date_stamp + " " + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); 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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " -" + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } 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); if (printall) System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold); } if (short_sell && out_transaction == 0) { profit = 0; price_borrowed = daily_price.get(daily_size - 1); out_transaction = 1; account.add(date_stamp + " -" + formatter3.format(daily_price.get(daily_price.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); dailyoutret.add(daily_price.get(daily_size - 1) - log_ret); log_ret = daily_price.get(daily_size - 1).doubleValue(); if (printall) System.out.println("Entered short transaction at " + price_borrowed); } } } if (!made_trade) { profit = 0; //account.add(date_stamp + " " + formatter3.format(daily_price.get(daily_price.size()-1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); //dailyoutret.add(price.get(price.size()-1) - log_ret); //log_ret = price.get(price.size()-1); } day_count++; //if(recompute_day == day_count) {y_count=0;} 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); } } else if (trading_hours && (cur_hour <= 16 && cur_hour >= 10))// && !trading_closed)// && cur_min != 30) { 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; cur_pnl = bid.get(bid.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); price_sold = bid.get(bid.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), 4); //account.add(date_stamp + " " + (amount - stop_loss)); //account.add(date_stamp + " " + (amount + profit)); //account.add(date_stamp + " " + price.get(price.size()-1) + " " + profit + " " + (amount + profit)); account.add(date_stamp + " -" + formatter3.format(bid.get(bid.size() - 1)) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } dailyoutret.add(bid.get(bid.size() - 1) - log_ret); log_ret = bid.get(bid.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); price_sold = bid.get(bid.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), 4); //account.add(date_stamp + " " + (amount + profit)); //account.add(date_stamp + " " + price.get(price.size()-1) + " " + profit + " " + (amount + profit)); account.add(date_stamp + " -" + formatter3.format(price_sold) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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); cur_pnl = last_price - ask.get(ask.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); price_sold = ask.get(ask.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), 4); //account.add(date_stamp + " " + (amount - stop_loss)); //account.add(date_stamp + " " + (amount + profit)); //account.add(date_stamp + " " + price.get(price.size()-1) + " " + profit + " " + (amount + profit)); account.add(date_stamp + " " + formatter3.format(price_sold) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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); price_sold = ask.get(ask.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), 4); //account.add(date_stamp + " " + (amount + profit)); account.add(date_stamp + " " + formatter3.format(price_sold) + " " + formatter3.format(profit) + " " + formatter3.format(amount + profit)); amount = getAmount(account.get(account.size() - 1), 4); if (weekend.dayOfWeek().getAsText().equals("Sunday")) { sunday.add(date_stamp + " " + profit); } dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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 if (printall) 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 if (printall) 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; if (printall) 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) { if (printall) 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); } } } double mean_ntrades = 0; 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; int n_trades = 0; ArrayList<Integer> n_trades_day = new ArrayList<Integer>(); 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), 4) - getAmount(account.get(i - 1), 4); dates = account.get(i).split("[ ]+"); if (!perf_dates.contains(dates[0])) //first date entry { if (perf_dates.size() != 0) { perf_returns.add(pnl); n_trades_day.add(n_trades); } perf_dates.add(dates[0]); pnl = dreturns[i]; if (dreturns[i] != 0) { n_trades = 1; } else { n_trades = 0; } } else //already contains the date, so add on pnl { pnl = pnl + dreturns[i]; //System.out.println(dreturns[i]); if (dreturns[i] != 0) { n_trades++; } // System.out.println(n_trades);} } 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); n_trades_day.add(n_trades); for (i = 0; i < perf_dates.size(); i++) { if (printall) System.out.println(perf_dates.get(i) + " " + perf_returns.get(i) + " " + n_trades_day.get(i)); perform.println(perf_dates.get(i) + " " + perf_returns.get(i)); mean_ntrades = mean_ntrades + n_trades_day.get(i); } mean_ntrades = mean_ntrades / n_trades_day.size(); 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]); // } } double sunday_roi = 0; double sunday_trade = 0; double sunday_pos_mean = 0; double sunday_neg_mean = 0; int nsunday_pos_mean = 0; int nsunday_neg_mean = 0; System.out.println("\nSunday Performance"); for (i = 0; i < sunday.size(); i++) { //System.out.println(sunday.get(i)); sunday_trade = getAmount(sunday.get(i), 4); sunday_roi = sunday_roi + sunday_trade; if (sunday_trade > 0) { sunday_pos_mean += sunday_trade; nsunday_pos_mean++; } if (sunday_trade < 0) { sunday_neg_mean += sunday_trade; nsunday_neg_mean++; } } System.out.println("\nSunday Stats"); System.out.println("Sunday ROI = " + sunday_roi); sunday_roi = sunday_roi / (nsunday_pos_mean + nsunday_neg_mean); System.out.println("Sunday meantrade = " + sunday_roi); System.out.println("Sunday pos mean = " + (sunday_pos_mean / nsunday_pos_mean) + ", npos_trades = " + nsunday_pos_mean); System.out.println("Sunday neg mean = " + (sunday_neg_mean / nsunday_neg_mean) + ", nneg_trades = " + nsunday_neg_mean); mean = mean / (n_pos_ret + n_neg_ret); System.out.println("ROI = " + account.get(account.size() - 1)); //--- compute stats--------------- 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(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 + ", avg_n_trades = " + mean_ntrades); out.close(); dailyout.close(); perform.close(); b0_coeff.close(); } catch (FileNotFoundException fe) { System.out.println("File not found..." + fe); } catch (IOException ioe) { System.out.println("IO procedure faulty..." + ioe); } n_files++; return computed; }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public boolean startStrategyDailyIntradayOneHourBidAsk() { int j, i, l, N, file_count; double sum = 0; Double D;/* www . ja v a 2 s .c o m*/ String ddelims = "[-]"; boolean computed = false; boolean print_filter = 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>(); ArrayList<Double> perf_returns = new ArrayList<Double>(); double pnl; String[] dates; boolean inverse_hours = false; String time; ArrayList<String> account = new ArrayList<String>(); ArrayList<String> latestDates = 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; int end_hour; 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]; 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; //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; ArrayList<String> trade_times = new ArrayList<String>(); ArrayList<String> fxcm_dates = new ArrayList<String>(); 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; friday_closing = false; //asian_close = true; //----- Fill up with times here ------------------------- for (i = 0; i < 10; i++) { trade_times.add("0" + i + ":00:00"); } for (i = 10; i < 24; i++) { trade_times.add(i + ":00:00"); } // trade_times.add("00:00:00"); // trade_times.add("06:00:00"); // trade_times.add("12:00:00"); // trade_times.add("18:00:00"); String[] hourToks = startingTime.split("[:]+"); start_hour = (new Integer(hourToks[0])).intValue(); hourToks = endingTime.split("[:]+"); end_hour = (new Integer(hourToks[0])).intValue(); inverse_hours = false; if (start_hour > end_hour) //must switch hours here { int temphour = end_hour; inverse_hours = true; end_hour = start_hour; start_hour = temphour; } 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); } } jpy = false; 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")); for (file_count = 0; file_count < 1; file_count++) { if (dataFiles[file_count].indexOf("JPY") != -1 && dataFiles[file_count].indexOf("NOKJPY") == -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; global_stop_loss = global_stop_loss * 100; stop_loss = stop_loss_thresh; } else if (futures_data) { //change_time_zone = true; System.out.println("Changed time zone to Tokyo"); stop_loss_thresh = stop_loss_thresh * 10000; stop_loss = stop_loss_thresh; take_profit_thresh = take_profit_thresh * 10000; global_stop_loss = global_stop_loss * 10000; } ArrayList<String> dayData = new ArrayList<String>(); 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; //---- add the latest FXCM data - while ((strline = br.readLine()) != null) { dayData.add(strline); //add the date tokens = strline.split("[,]+"); fxcm_dates.add(tokens[0]); } //----- now add the lates IB data ------------ System.out.println("opening " + dataFiles[file_count] + " IB data"); String[] fxpair = dataFiles[file_count].split("[.]+"); if ((new File(fxpair[0] + ".IB.dat")).exists()) { fin = new FileInputStream(fxpair[0] + ".IB.dat"); din = new DataInputStream(fin); br = new BufferedReader(new InputStreamReader(din)); String lastFXCMdate = fxcm_dates.get(fxcm_dates.size() - 1); SimpleDateFormat sdf = new SimpleDateFormat("yyyy-MM-DD HH:mm:ss"); Date date1 = sdf.parse(lastFXCMdate); while ((strline = br.readLine()) != null) { tokens = strline.split("[,]+"); Date date2 = sdf.parse(tokens[0]); if (!fxcm_dates.contains(tokens[0]) && date1.before(date2)) { System.out.println("New time and observation " + strline); dayData.add(strline); } } } for (int ts = 0; ts < dayData.size(); ts++) { strline = dayData.get(ts); //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); time = date_tokens[1]; //insampStart is the time we collect daily data //if(date_stamp.indexOf(insampStart) != -1) if (trade_times.contains(time)) { //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); } print_filter = false; 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[7])); hi_price.add(new Double(tokens[8]));} // else // {lo_price.add((new Double(tokens[7]))); hi_price.add((new Double(tokens[8])));} lo_price.add((new Double(tokens[2]))); hi_price.add((new Double(tokens[3]))); //---- start the account ------ if (account.size() == 0) { account.add(date_stamp + " " + 0); dailyoutret.add(0.0); } String[] hours = time.split("[:]+"); cur_hour = (new Integer(hours[0])).intValue(); (new Integer(hours[1])).intValue(); trading_closed = false; //if currently not in a transaction and between the hours of midnight and start-hour, then no new //positions will be opened if (asian_close) //only closed if most recent transaction was closed artificially through SL or TP after end hours { if ((in_transaction == 0 && out_transaction == 0) && cur_hour >= start_hour && cur_hour <= end_hour) { trading_closed = true; } // if(printall) System.out.println(cur_hour + " " + start_hour);} } else { if (cur_hour >= start_hour && cur_hour <= end_hour) { trading_closed = true; } // if(printall) {System.out.println(cur_hour + " " + start_hour);}} } if (inverse_hours) { trading_closed = !trading_closed; } its_closing_time = (weekend.dayOfWeek().getAsText().equals("Friday") && date_stamp.indexOf("17:00:00") != -1); made_trade = false; if (daily_returns.size() >= n_obs && trade_times.contains(time)) //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 (day_count == 0 || weekend.dayOfWeek().getAsText().equals("Sunday") && date_stamp.indexOf("18:00:00") != -1) { if (printall) System.out.println("Recomputing filter..."); mdfa.computeFilterGeneral(true, print_filter); 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]); } 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; } //----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 + ", trading_closed = " + trading_closed); if (friday_closing && its_closing_time) { if (printall) System.out.println("\nIt's Friday at 5pm, time to close shop for week"); if (current_signal > 0 && in_transaction == 1) //in a long transaction { 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); } } else if (current_signal < 0 && out_transaction == 1) //in a short transaction { 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); } } else { //if(binary_rule && !trading_closed) if (binary_rule) { // if(signal_profit) // { // //if(printall) System.out.println("Trading_closed = " + trading_closed); // 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); // } // // if(!trading_closed) // {price_bought = daily_price.get(daily_size-1); // //in_transaction = 1; // out_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); // } // if(printall) System.out.println("profit, price_borrowed, price_sold = " + profit + ", " + price_borrowed + ", " + price_sold); // // if(!trading_closed) // { // price_borrowed = daily_price.get(daily_size-1); // //out_transaction = 1; // in_transaction = 1; // if(printall)System.out.println("Entered short transaction at " + price_borrowed); // } // } // // } made_trade = false; if (current_signal > 0 && prev_signal <= 0) //new point positive, we see momentum, buy { //last_price = daily_price.get(daily_size-1); last_price = ask.get(ask.size() - 1); if (short_sell && out_transaction == 1) //in a short-sell transaction, sell { //price_sold = daily_price.get(daily_size-1); price_sold = ask.get(ask.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(ask.get(ask.size() - 1) - log_ret); log_ret = ask.get(ask.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) && !trading_closed) { price_bought = ask.get(ask.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); last_price = bid.get(bid.size() - 1); if (long_buy && in_transaction == 1) { price_sold = bid.get(bid.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(bid.get(bid.size() - 1) - log_ret); log_ret = bid.get(bid.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) && !trading_closed) { price_borrowed = bid.get(bid.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) && !trading_closed)) { if (current_signal > 0) //new point positive, we see momentum, buy { //last_price = daily_price.get(daily_size-1); last_price = ask.get(ask.size() - 1); if (short_sell && out_transaction == 1) //in a short-sell transaction, sell { price_sold = ask.get(ask.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(ask.get(ask.size() - 1) - log_ret); log_ret = ask.get(ask.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 = ask.get(ask.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 = bid.get(bid.size() - 1); if (long_buy && in_transaction == 1) { price_sold = bid.get(bid.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(bid.get(bid.size() - 1) - log_ret); log_ret = bid.get(bid.size() - 1).doubleValue(); in_transaction = 0; if (printall) System.out.println("Bought for a profit of " + profit); if (printall) System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold); } if (short_sell && out_transaction == 0) { price_borrowed = bid.get(bid.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;} //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); } } if (trading_hours)// && !trading_closed)// && cur_min != 30) { if (cur_pnl != 0 && date_stamp.indexOf("22:30:00") != -1) //close out position { if (in_transaction == 1) { //System.out.println("Ending trading for next startup"); 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 -------- //System.out.println("Sold at " + date_stamp + " for a profit/loss of " + profit); stop_loss = global_stop_loss; red_zone = false; } else if (out_transaction == 1) { //System.out.println("Ending trading for next startup"); 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 (in_transaction == 1) //in a long transaction { if (red_zone && bid.get(bid.size() - 1) > last_price) //check if new high price { last_price = bid.get(bid.size() - 1); } //cur_pnl = price.get(price.size()-1) - last_price; cur_pnl = bid.get(bid.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); price_sold = bid.get(bid.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 + profit)); amount = getAmount(account.get(account.size() - 1)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(bid.get(bid.size() - 1) - log_ret); log_ret = bid.get(bid.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); price_sold = bid.get(bid.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)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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 && ask.get(ask.size() - 1) < last_price) //check if new high price { last_price = ask.get(ask.size() - 1); } //cur_pnl = last_price - price.get(price.size()-1); cur_pnl = last_price - ask.get(ask.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); price_sold = ask.get(ask.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 + profit)); amount = getAmount(account.get(account.size() - 1)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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); price_sold = ask.get(ask.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)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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 if (printall) 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 if (printall) 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; if (printall) 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) { if (printall) 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) { if (current_signal > 0) { System.out .println("" + date_stamp + ", " + formatter3.format(bid.get(bid.size() - 1)) + ", " + current_signal + ", " + formatter3.format(cur_pnl) + ", " + formatter3.format(lo_pnl) + ", " + formatter3.format(hi_pnl)); } else { System.out .println("" + date_stamp + ", " + formatter3.format(ask.get(ask.size() - 1)) + ", " + current_signal + ", " + formatter3.format(cur_pnl) + ", " + formatter3.format(lo_pnl) + ", " + formatter3.format(hi_pnl)); } } allsignal.add(date_stamp + " " + current_signal); } } } double mean_ntrades = 0; 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; int n_trades = 0; ArrayList<Integer> n_trades_day = new ArrayList<Integer>(); double pret; ArrayList<Double> perf_rets = new ArrayList<Double>(); ArrayList<String> perf_datestimes = new ArrayList<String>(); 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)); if (jpy) { dreturns[i] = dreturns[i] * .01; } dates = account.get(i).split("[ ]+"); if (!perf_dates.contains(dates[0])) //first date entry { if (perf_dates.size() != 0) { perf_returns.add(pnl); n_trades_day.add(n_trades); } perf_dates.add(dates[0]); if (dreturns[i] != 0) { perf_datestimes.add(dates[0] + " " + dates[1]); perf_rets.add(dreturns[i]); } pnl = dreturns[i]; if (dreturns[i] != 0) { n_trades = 1; } else { n_trades = 0; } } else //already contains the date, so add on pnl { pnl = pnl + dreturns[i]; //System.out.println(dreturns[i]); if (dreturns[i] != 0) { n_trades++; perf_datestimes.add(dates[0] + " " + dates[1]); perf_rets.add(dreturns[i]); } // System.out.println(n_trades);} } 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); n_trades_day.add(n_trades); for (i = 0; i < perf_dates.size(); i++) { if (printall) System.out.println(perf_dates.get(i) + " " + perf_returns.get(i) + " " + n_trades_day.get(i)); perform.println(perf_dates.get(i) + " " + perf_returns.get(i)); date_returns.add(perf_dates.get(i) + " " + perf_returns.get(i)); mean_ntrades = mean_ntrades + n_trades_day.get(i); } mean_ntrades = mean_ntrades / n_trades_day.size(); dates_price = new String[n_obs]; for (i = 1; i < n_obs; i++) { tokens = allsignal.get(allsignal.size() - n_obs + i).split("[ ]+"); if (perf_datestimes.contains(latestDates.get(latestDates.size() - n_obs + i))) { pret = perf_rets.get(perf_datestimes.indexOf(latestDates.get(latestDates.size() - n_obs + i))); System.out.println(latestDates.get(latestDates.size() - n_obs + i) + " " + pret); } else { pret = 0; } //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] + " " + pret); // } } dates_price[0] = dates_price[1]; mean = mean / (n_pos_ret + n_neg_ret); System.out.println("ROI = " + account.get(account.size() - 1)); //--- compute stats--------------- 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(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 + ", avg_n_trades = " + mean_ntrades); out.close(); dailyout.close(); perform.close(); b0_coeff.close(); } catch (ParseException fe) { System.out.println("ParseException"); } catch (NullPointerException fe) { System.out.println("Null pointer"); } catch (IllegalArgumentException fe) { System.out.println("IllegalArgument"); } catch (FileNotFoundException fe) { System.out.println("File not found..." + fe); } catch (IOException ioe) { System.out.println("IO procedure faulty..." + ioe); } n_files++; return computed; }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public boolean startStrategyDailyIntradayOneHourBidAsk15Min(double sprd, boolean spreadon) { int j, i, l, N, file_count; double sum = 0; Double D;/*ww w.ja va 2 s.c om*/ String ddelims = "[-]"; boolean computed = false; boolean print_filter = 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>(); ArrayList<Double> perf_returns = new ArrayList<Double>(); double pnl; String[] dates; boolean inverse_hours = false; String time; ArrayList<String> account = new ArrayList<String>(); ArrayList<String> latestDates = 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; int end_hour; 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]; 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; //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; ArrayList<String> trade_times = new ArrayList<String>(); ArrayList<String> fxcm_dates = new ArrayList<String>(); 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; friday_closing = false; //asian_close = true; boolean spread_on = spreadon; //----- Fill up with times here ------------------------- for (i = 0; i < 10; i++) { trade_times.add("0" + i + ":00:00"); } for (i = 10; i < 24; i++) { trade_times.add(i + ":00:00"); } for (i = 0; i < 10; i++) { trade_times.add("0" + i + ":15:00"); } for (i = 10; i < 24; i++) { trade_times.add(i + ":15:00"); } for (i = 0; i < 10; i++) { trade_times.add("0" + i + ":30:00"); } for (i = 10; i < 24; i++) { trade_times.add(i + ":30:00"); } for (i = 0; i < 10; i++) { trade_times.add("0" + i + ":45:00"); } for (i = 10; i < 24; i++) { trade_times.add(i + ":45:00"); } // trade_times.add("00:00:00"); // trade_times.add("06:00:00"); // trade_times.add("12:00:00"); // trade_times.add("18:00:00"); String[] hourToks = startingTime.split("[:]+"); start_hour = (new Integer(hourToks[0])).intValue(); hourToks = endingTime.split("[:]+"); end_hour = (new Integer(hourToks[0])).intValue(); inverse_hours = false; if (start_hour > end_hour) //must switch hours here { int temphour = end_hour; inverse_hours = true; end_hour = start_hour; start_hour = temphour; } 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); } } jpy = false; 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")); for (file_count = 0; file_count < 1; file_count++) { if (dataFiles[file_count].indexOf("JPY") != -1 && dataFiles[file_count].indexOf("NOKJPY") == -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; global_stop_loss = global_stop_loss * 100; stop_loss = stop_loss_thresh; } else if (futures_data) { //change_time_zone = true; System.out.println("Changed time zone to Tokyo"); stop_loss_thresh = stop_loss_thresh * 10000; stop_loss = stop_loss_thresh; take_profit_thresh = take_profit_thresh * 10000; global_stop_loss = global_stop_loss * 10000; } ArrayList<String> dayData = new ArrayList<String>(); 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; //---- add the latest FXCM data - while ((strline = br.readLine()) != null) { dayData.add(strline); //add the date tokens = strline.split("[,]+"); fxcm_dates.add(tokens[0]); } //----- now add the lates IB data ------------ System.out.println("opening " + dataFiles[file_count] + " IB data"); String[] fxpair = dataFiles[file_count].split("[.]+"); if ((new File(fxpair[0] + ".IB.dat")).exists()) { fin = new FileInputStream(fxpair[0] + ".IB.dat"); din = new DataInputStream(fin); br = new BufferedReader(new InputStreamReader(din)); String lastFXCMdate = fxcm_dates.get(fxcm_dates.size() - 1); SimpleDateFormat sdf = new SimpleDateFormat("yyyy-MM-DD HH:mm:ss"); Date date1 = sdf.parse(lastFXCMdate); while ((strline = br.readLine()) != null) { tokens = strline.split("[,]+"); Date date2 = sdf.parse(tokens[0]); if (!fxcm_dates.contains(tokens[0]) && date1.before(date2)) { System.out.println("New time and observation " + strline); dayData.add(strline); } } } for (int ts = 0; ts < dayData.size(); ts++) { strline = dayData.get(ts); //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); time = date_tokens[1]; //insampStart is the time we collect daily data //if(date_stamp.indexOf(insampStart) != -1) if (trade_times.contains(time)) { //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); } print_filter = false; 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])) - sprd); ask.add((new Double(tokens[3])) + sprd); mid.add(new Double(tokens[1])); } else { bid.add((new Double(tokens[2])) - sprd); ask.add((new Double(tokens[3])) + sprd); mid.add(new Double(tokens[1])); } D = new Double(tokens[1]); //price.add(D); if (spread_on) { if (current_signal > 0) { price.add(ask.get(ask.size() - 1)); } else { price.add(bid.get(bid.size() - 1)); } // if(current_signal > 0) // {price.add(mid.get(mid.size()-1) - sprd );} // else // {price.add(mid.get(mid.size()-1) + sprd );} } else { price.add(mid.get(mid.size() - 1)); } 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[7])); hi_price.add(new Double(tokens[8]));} // else // {lo_price.add((new Double(tokens[7]))); hi_price.add((new Double(tokens[8])));} lo_price.add((new Double(tokens[2]))); hi_price.add((new Double(tokens[3]))); //---- start the account ------ if (account.size() == 0) { account.add(date_stamp + " " + 0); dailyoutret.add(0.0); } String[] hours = time.split("[:]+"); cur_hour = (new Integer(hours[0])).intValue(); (new Integer(hours[1])).intValue(); trading_closed = false; //if currently not in a transaction and between the hours of midnight and start-hour, then no new //positions will be opened if (asian_close) //only closed if most recent transaction was closed artificially through SL or TP after end hours { if ((in_transaction == 0 && out_transaction == 0) && cur_hour >= start_hour && cur_hour <= end_hour) { trading_closed = true; } // if(printall) System.out.println(cur_hour + " " + start_hour);} } else { if (cur_hour >= start_hour && cur_hour <= end_hour) { trading_closed = true; } // if(printall) {System.out.println(cur_hour + " " + start_hour);}} } if (inverse_hours) { trading_closed = !trading_closed; } its_closing_time = (weekend.dayOfWeek().getAsText().equals("Friday") && date_stamp.indexOf("17:00:00") != -1); made_trade = false; if (daily_returns.size() >= n_obs && trade_times.contains(time)) //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 (day_count == 0 || weekend.dayOfWeek().getAsText().equals("Sunday") && date_stamp.indexOf("18:00:00") != -1) { if (printall) System.out.println("Recomputing filter..."); mdfa.computeFilterGeneral(true, print_filter); 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]); } 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; } //----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 + ", trading_closed = " + trading_closed); if (friday_closing && its_closing_time) { if (printall) System.out.println("\nIt's Friday at 5pm, time to close shop for week"); if (current_signal > 0 && in_transaction == 1) //in a long transaction { 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); } } else if (current_signal < 0 && out_transaction == 1) //in a short transaction { 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); } } else { //if(binary_rule && !trading_closed) if (binary_rule) { // if(signal_profit) // { // //if(printall) System.out.println("Trading_closed = " + trading_closed); // 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); // } // // if(!trading_closed) // {price_bought = daily_price.get(daily_size-1); // //in_transaction = 1; // out_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); // } // if(printall) System.out.println("profit, price_borrowed, price_sold = " + profit + ", " + price_borrowed + ", " + price_sold); // // if(!trading_closed) // { // price_borrowed = daily_price.get(daily_size-1); // //out_transaction = 1; // in_transaction = 1; // if(printall)System.out.println("Entered short transaction at " + price_borrowed); // } // } // // } made_trade = false; if (current_signal > 0 && prev_signal <= 0) //new point positive, we see momentum, buy { //last_price = daily_price.get(daily_size-1); last_price = ask.get(ask.size() - 1); if (short_sell && out_transaction == 1) //in a short-sell transaction, buy { //price_sold = daily_price.get(daily_size-1); price_sold = ask.get(ask.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(ask.get(ask.size() - 1) - log_ret); log_ret = ask.get(ask.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) && !trading_closed) { price_bought = ask.get(ask.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); last_price = bid.get(bid.size() - 1); if (long_buy && in_transaction == 1) { price_sold = bid.get(bid.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(bid.get(bid.size() - 1) - log_ret); log_ret = bid.get(bid.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) && !trading_closed) { price_borrowed = bid.get(bid.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) && !trading_closed)) { if (current_signal > 0) //new point positive, we see momentum, buy { //last_price = daily_price.get(daily_size-1); last_price = ask.get(ask.size() - 1); if (short_sell && out_transaction == 1) //in a short-sell transaction, sell { price_sold = ask.get(ask.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(ask.get(ask.size() - 1) - log_ret); log_ret = ask.get(ask.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 = ask.get(ask.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 = bid.get(bid.size() - 1); if (long_buy && in_transaction == 1) { price_sold = bid.get(bid.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(bid.get(bid.size() - 1) - log_ret); log_ret = bid.get(bid.size() - 1).doubleValue(); in_transaction = 0; if (printall) System.out.println("Bought for a profit of " + profit); if (printall) System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold); } if (short_sell && out_transaction == 0) { price_borrowed = bid.get(bid.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;} //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); } } if (trading_hours)// && !trading_closed)// && cur_min != 30) { // if(cur_pnl != 0 && date_stamp.indexOf("22:30:00") != -1) //close out position // { // if(in_transaction == 1) // { // // //System.out.println("Ending trading for next startup"); // // // 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 -------- // //System.out.println("Sold at " + date_stamp + " for a profit/loss of " + profit); // stop_loss = global_stop_loss; // red_zone = false; // // } // else if(out_transaction == 1) // { // // //System.out.println("Ending trading for next startup"); // // // 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 (in_transaction == 1) //in a long transaction { if (red_zone && bid.get(bid.size() - 1) > last_price) //check if new high price { last_price = bid.get(bid.size() - 1); } //cur_pnl = price.get(price.size()-1) - last_price; cur_pnl = bid.get(bid.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); price_sold = bid.get(bid.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 + profit)); amount = getAmount(account.get(account.size() - 1)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(bid.get(bid.size() - 1) - log_ret); log_ret = bid.get(bid.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); price_sold = bid.get(bid.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)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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 && ask.get(ask.size() - 1) < last_price) //check if new high price { last_price = ask.get(ask.size() - 1); } //cur_pnl = last_price - price.get(price.size()-1); cur_pnl = last_price - ask.get(ask.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); price_sold = ask.get(ask.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 + profit)); amount = getAmount(account.get(account.size() - 1)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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); price_sold = ask.get(ask.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)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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 if (printall) 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 if (printall) 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; if (printall) 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) { if (printall) 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) { if (current_signal > 0) { 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)); } else { 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); } } } double mean_ntrades = 0; 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; int n_trades = 0; ArrayList<Integer> n_trades_day = new ArrayList<Integer>(); double pret; ArrayList<Double> perf_rets = new ArrayList<Double>(); ArrayList<String> perf_datestimes = new ArrayList<String>(); 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)); if (jpy) { dreturns[i] = dreturns[i] * .01; } dates = account.get(i).split("[ ]+"); if (!perf_dates.contains(dates[0])) //first date entry { if (perf_dates.size() != 0) { perf_returns.add(pnl); n_trades_day.add(n_trades); } perf_dates.add(dates[0]); if (dreturns[i] != 0) { perf_datestimes.add(dates[0] + " " + dates[1]); perf_rets.add(dreturns[i]); } pnl = dreturns[i]; if (dreturns[i] != 0) { n_trades = 1; } else { n_trades = 0; } } else //already contains the date, so add on pnl { pnl = pnl + dreturns[i]; //System.out.println(dreturns[i]); if (dreturns[i] != 0) { n_trades++; perf_datestimes.add(dates[0] + " " + dates[1]); perf_rets.add(dreturns[i]); } // System.out.println(n_trades);} } 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); n_trades_day.add(n_trades); for (i = 0; i < perf_dates.size(); i++) { if (printall) System.out.println(perf_dates.get(i) + " " + perf_returns.get(i) + " " + n_trades_day.get(i)); perform.println(perf_dates.get(i) + " " + perf_returns.get(i)); date_returns.add(perf_dates.get(i) + " " + perf_returns.get(i)); mean_ntrades = mean_ntrades + n_trades_day.get(i); } mean_ntrades = mean_ntrades / n_trades_day.size(); dates_price = new String[n_obs]; for (i = 1; i < n_obs; i++) { tokens = allsignal.get(allsignal.size() - n_obs + i).split("[ ]+"); if (perf_datestimes.contains(latestDates.get(latestDates.size() - n_obs + i))) { pret = perf_rets.get(perf_datestimes.indexOf(latestDates.get(latestDates.size() - n_obs + i))); System.out.println(latestDates.get(latestDates.size() - n_obs + i) + " " + pret); } else { pret = 0; } //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] + " " + pret); // } } dates_price[0] = dates_price[1]; mean = mean / (n_pos_ret + n_neg_ret); System.out.println("ROI = " + account.get(account.size() - 1)); //--- compute stats--------------- 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(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 + ", avg_n_trades = " + mean_ntrades); out.close(); dailyout.close(); perform.close(); b0_coeff.close(); } catch (ParseException fe) { System.out.println("ParseException"); } catch (NullPointerException fe) { System.out.println("Null pointer"); } catch (IllegalArgumentException fe) { System.out.println("IllegalArgument"); } catch (FileNotFoundException fe) { System.out.println("File not found..." + fe); } catch (IOException ioe) { System.out.println("IO procedure faulty..." + ioe); } n_files++; return computed; }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public boolean startStrategyDailyIntradayOneHourBidAsk_MR(StrategyParameters strat) { int j, i, l, N, file_count; double sum = 0; Double D;/* w w w.j a va2 s. co m*/ String ddelims = "[-]"; boolean computed = false; boolean print_filter = 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>(); ArrayList<Double> perf_returns = new ArrayList<Double>(); double pnl; String[] dates; boolean inverse_hours = false; String time; ArrayList<String> account = new ArrayList<String>(); ArrayList<String> latestDates = 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; int end_hour; 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[]>(); boolean waiting_meanrev_down = false; boolean waiting_meanrev_up = false; double mean_rev_amnt = .0005; 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]; 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; //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; ArrayList<String> trade_times = new ArrayList<String>(); ArrayList<String> fxcm_dates = new ArrayList<String>(); 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; friday_closing = false; //asian_close = true; //----- Fill up with times here ------------------------- for (i = 0; i < 10; i++) { trade_times.add("0" + i + ":00:00"); } for (i = 10; i < 24; i++) { trade_times.add(i + ":00:00"); } // trade_times.add("00:00:00"); // trade_times.add("06:00:00"); // trade_times.add("12:00:00"); // trade_times.add("18:00:00"); String[] hourToks = startingTime.split("[:]+"); start_hour = (new Integer(hourToks[0])).intValue(); hourToks = endingTime.split("[:]+"); end_hour = (new Integer(hourToks[0])).intValue(); inverse_hours = false; if (start_hour > end_hour) //must switch hours here { int temphour = end_hour; inverse_hours = true; end_hour = start_hour; start_hour = temphour; } 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); } } jpy = false; 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")); for (file_count = 0; file_count < 1; file_count++) { if (dataFiles[file_count].indexOf("JPY") != -1 && dataFiles[file_count].indexOf("NOKJPY") == -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; global_stop_loss = global_stop_loss * 100; stop_loss = stop_loss_thresh; } else if (futures_data) { //change_time_zone = true; System.out.println("Changed time zone to Tokyo"); stop_loss_thresh = stop_loss_thresh * 10000; stop_loss = stop_loss_thresh; take_profit_thresh = take_profit_thresh * 10000; global_stop_loss = global_stop_loss * 10000; } ArrayList<String> dayData = new ArrayList<String>(); 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; //---- add the latest FXCM data - while ((strline = br.readLine()) != null) { dayData.add(strline); //add the date tokens = strline.split("[,]+"); fxcm_dates.add(tokens[0]); } //----- now add the lates IB data ------------ System.out.println("opening " + dataFiles[file_count] + " IB data"); String[] fxpair = dataFiles[file_count].split("[.]+"); if ((new File(fxpair[0] + ".IB.dat")).exists()) { fin = new FileInputStream(fxpair[0] + ".IB.dat"); din = new DataInputStream(fin); br = new BufferedReader(new InputStreamReader(din)); String lastFXCMdate = fxcm_dates.get(fxcm_dates.size() - 1); SimpleDateFormat sdf = new SimpleDateFormat("yyyy-MM-DD HH:mm:ss"); Date date1 = sdf.parse(lastFXCMdate); while ((strline = br.readLine()) != null) { tokens = strline.split("[,]+"); Date date2 = sdf.parse(tokens[0]); if (!fxcm_dates.contains(tokens[0]) && date1.before(date2)) { System.out.println("New time and observation " + strline); dayData.add(strline); } } } for (int ts = 0; ts < dayData.size(); ts++) { strline = dayData.get(ts); //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); time = date_tokens[1]; //insampStart is the time we collect daily data //if(date_stamp.indexOf(insampStart) != -1) if (trade_times.contains(time)) { //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); } print_filter = false; 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[7])); hi_price.add(new Double(tokens[8]));} // else // {lo_price.add((new Double(tokens[7]))); hi_price.add((new Double(tokens[8])));} lo_price.add((new Double(tokens[2]))); hi_price.add((new Double(tokens[3]))); //---- start the account ------ if (account.size() == 0) { account.add(date_stamp + " " + 0); dailyoutret.add(0.0); } String[] hours = time.split("[:]+"); cur_hour = (new Integer(hours[0])).intValue(); (new Integer(hours[1])).intValue(); trading_closed = false; //if currently not in a transaction and between the hours of midnight and start-hour, then no new //positions will be opened if (asian_close) //only closed if most recent transaction was closed artificially through SL or TP after end hours { if ((in_transaction == 0 && out_transaction == 0) && cur_hour >= start_hour && cur_hour <= end_hour) { trading_closed = true; } // if(printall) System.out.println(cur_hour + " " + start_hour);} } else { if (cur_hour >= start_hour && cur_hour <= end_hour) { trading_closed = true; } //if(printall) {System.out.println(cur_hour + " " + start_hour);}} } if (inverse_hours) { trading_closed = !trading_closed; } its_closing_time = (weekend.dayOfWeek().getAsText().equals("Friday") && date_stamp.indexOf("17:00:00") != -1); made_trade = false; if (daily_returns.size() >= n_obs && trade_times.contains(time)) //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 (day_count == 0 || weekend.dayOfWeek().getAsText().equals("Sunday") && date_stamp.indexOf("18:00:00") != -1) { if (printall) System.out.println("Recomputing filter..."); mdfa.computeFilterGeneral(true, print_filter); 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]); } 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; } //----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 + ", trading_closed = " + trading_closed); if (friday_closing && its_closing_time) { if (printall) System.out.println("\nIt's Friday at 5pm, time to close shop for week"); if (current_signal > 0 && in_transaction == 1) //in a long transaction { 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); } } else if (current_signal < 0 && out_transaction == 1) //in a short transaction { 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); } } else { //if(binary_rule && !trading_closed) if (binary_rule) { made_trade = false; if (current_signal > 0 && prev_signal <= 0) //new point positive, we see momentum, buy { waiting_meanrev_down = false; waiting_meanrev_up = false; //last_price = daily_price.get(daily_size-1); last_price = ask.get(ask.size() - 1); if (short_sell && out_transaction == 1) //in a short-sell transaction, sell { //price_sold = daily_price.get(daily_size-1); price_sold = ask.get(ask.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(ask.get(ask.size() - 1) - log_ret); log_ret = ask.get(ask.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((long_buy && in_transaction == 0) && !trading_closed) // { // price_bought = ask.get(ask.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; last_price = bid.get(bid.size() - 1); if (long_buy && in_transaction == 1) { price_sold = bid.get(bid.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(bid.get(bid.size() - 1) - log_ret); log_ret = bid.get(bid.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((short_sell && out_transaction == 0) && !trading_closed) // { // price_borrowed = bid.get(bid.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) && !trading_closed)) { if (current_signal > 0) //new point positive, we see momentum, buy { //last_price = daily_price.get(daily_size-1); last_price = ask.get(ask.size() - 1); waiting_meanrev_down = true; // if(short_sell && out_transaction == 1) //in a short-sell transaction, sell // { // price_sold = ask.get(ask.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(ask.get(ask.size()-1) - log_ret); // log_ret = ask.get(ask.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 = ask.get(ask.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 = bid.get(bid.size() - 1); waiting_meanrev_up = true; // if(long_buy && in_transaction == 1) // { // price_sold = bid.get(bid.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(bid.get(bid.size()-1) - log_ret); // log_ret = bid.get(bid.size()-1).doubleValue(); // // in_transaction = 0; // // if(printall)System.out.println("Bought for a profit of " + profit); // if(printall)System.out.println("profit, price_bought, price_sold = " + profit + ", " + price_bought + ", " + price_sold); // // // } // if(short_sell && out_transaction == 0) // { // price_borrowed = bid.get(bid.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;} 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); } } if (trading_hours)// && !trading_closed)// && cur_min != 30) { if (cur_pnl != 0 && date_stamp.indexOf("22:30:00") != -1) //close out position { if (in_transaction == 1) { //System.out.println("Ending trading for next startup"); 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 -------- //System.out.println("Sold at " + date_stamp + " for a profit/loss of " + profit); stop_loss = global_stop_loss; red_zone = false; } else if (out_transaction == 1) { //System.out.println("Ending trading for next startup"); 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; waiting_meanrev_up = false; waiting_meanrev_down = false; } } 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) && !trading_closed) { price_borrowed = bid.get(bid.size() - 1); out_transaction = 1; last_price = price_borrowed; if (printall) System.out.println("Waiting over Entered short transaction at " + price_borrowed + " after " + (bid.get(bid.size() - 1) - last_price) + " reversion"); } waiting_meanrev_up = false; } } else if (waiting_meanrev_down) { if ((last_price - ask.get(ask.size() - 1)) > mean_rev_amnt) { if ((long_buy && in_transaction == 0) && !trading_closed) { price_bought = ask.get(ask.size() - 1); in_transaction = 1; last_price = price_bought; if (printall) System.out.println("Waiting over, Entered long transaction at " + price_bought + " after " + (last_price - ask.get(ask.size() - 1)) + " reversion"); } waiting_meanrev_down = false; } } if (in_transaction == 1) //in a long transaction { if (red_zone && bid.get(bid.size() - 1) > last_price) //check if new high price { last_price = bid.get(bid.size() - 1); } //cur_pnl = price.get(price.size()-1) - last_price; cur_pnl = bid.get(bid.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); price_sold = bid.get(bid.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 + profit)); amount = getAmount(account.get(account.size() - 1)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(bid.get(bid.size() - 1) - log_ret); log_ret = bid.get(bid.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); price_sold = bid.get(bid.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)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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 && ask.get(ask.size() - 1) < last_price) //check if new high price { last_price = ask.get(ask.size() - 1); } //cur_pnl = last_price - price.get(price.size()-1); cur_pnl = last_price - ask.get(ask.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); price_sold = ask.get(ask.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 + profit)); amount = getAmount(account.get(account.size() - 1)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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); price_sold = ask.get(ask.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)); //if(weekend.dayOfWeek().getAsText().equals("Sunday")) {sunday.add(date_stamp + " " + profit);} dailyoutret.add(price_sold - log_ret); log_ret = price_sold; 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 if (printall) 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 if (printall) 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; if (printall) 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) { if (printall) 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) { if (current_signal > 0) { System.out .println("" + date_stamp + ", " + formatter3.format(bid.get(bid.size() - 1)) + ", " + current_signal + ", " + formatter3.format(cur_pnl) + ", " + formatter3.format(lo_pnl) + ", " + formatter3.format(hi_pnl)); } else { System.out .println("" + date_stamp + ", " + formatter3.format(ask.get(ask.size() - 1)) + ", " + current_signal + ", " + formatter3.format(cur_pnl) + ", " + formatter3.format(lo_pnl) + ", " + formatter3.format(hi_pnl)); } } allsignal.add(date_stamp + " " + current_signal); } } } double mean_ntrades = 0; 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; int n_trades = 0; ArrayList<Integer> n_trades_day = new ArrayList<Integer>(); double pret; ArrayList<Double> perf_rets = new ArrayList<Double>(); ArrayList<String> perf_datestimes = new ArrayList<String>(); 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)); if (jpy) { dreturns[i] = dreturns[i] * .01; } dates = account.get(i).split("[ ]+"); if (!perf_dates.contains(dates[0])) //first date entry { if (perf_dates.size() != 0) { perf_returns.add(pnl); n_trades_day.add(n_trades); } perf_dates.add(dates[0]); if (dreturns[i] != 0) { perf_datestimes.add(dates[0] + " " + dates[1]); perf_rets.add(dreturns[i]); } pnl = dreturns[i]; if (dreturns[i] != 0) { n_trades = 1; } else { n_trades = 0; } } else //already contains the date, so add on pnl { pnl = pnl + dreturns[i]; //System.out.println(dreturns[i]); if (dreturns[i] != 0) { n_trades++; perf_datestimes.add(dates[0] + " " + dates[1]); perf_rets.add(dreturns[i]); } // System.out.println(n_trades);} } 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); n_trades_day.add(n_trades); for (i = 0; i < perf_dates.size(); i++) { if (printall) System.out.println(perf_dates.get(i) + " " + perf_returns.get(i) + " " + n_trades_day.get(i)); perform.println(perf_dates.get(i) + " " + perf_returns.get(i)); date_returns.add(perf_dates.get(i) + " " + perf_returns.get(i)); mean_ntrades = mean_ntrades + n_trades_day.get(i); } mean_ntrades = mean_ntrades / n_trades_day.size(); dates_price = new String[n_obs]; for (i = 1; i < n_obs; i++) { tokens = allsignal.get(allsignal.size() - n_obs + i).split("[ ]+"); if (perf_datestimes.contains(latestDates.get(latestDates.size() - n_obs + i))) { pret = perf_rets.get(perf_datestimes.indexOf(latestDates.get(latestDates.size() - n_obs + i))); System.out.println(latestDates.get(latestDates.size() - n_obs + i) + " " + pret); } else { pret = 0; } //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] + " " + pret); // } } dates_price[0] = dates_price[1]; mean = mean / (n_pos_ret + n_neg_ret); System.out.println("ROI = " + account.get(account.size() - 1)); //--- compute stats--------------- 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(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 + ", avg_n_trades = " + mean_ntrades); out.close(); dailyout.close(); perform.close(); b0_coeff.close(); } catch (ParseException fe) { System.out.println("ParseException"); } catch (NullPointerException fe) { System.out.println("Null pointer"); } catch (IllegalArgumentException fe) { System.out.println("IllegalArgument"); } catch (FileNotFoundException fe) { System.out.println("File not found..." + fe); } catch (IOException ioe) { System.out.println("IO procedure faulty..." + ioe); } n_files++; return computed; }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public void updateEndTimeAsia(String time, int start_hour, int close_hour, int liquide_hour, int liquide_min) { String date_delims = "[ ]+"; String ddelims = "[-]"; String[] date_tokens = time.split(date_delims); String[] intdates = date_tokens[0].split(ddelims); int signal_min = liquide_min; try {// w w w . j av a 2 s .c o m startTimeDT = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), start_hour, signal_min); } catch (IllegalInstantException ie) { startTimeDT = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), start_hour + 1, signal_min); } endTimeDT = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), close_hour, signal_min); liquidateTimeDT = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), liquide_hour, liquide_min); if (liquide_hour > start_hour && liquidateTimeDT.dayOfWeek().getAsText().equals("Friday")) { liquidateTimeDT = liquidateTimeDT.plusDays(2); } //--- assume starting after 10am HST (16.00 EST or 4pm EST) produces new system setup for next day //System.out.println(cur_hour); if (close_hour < start_hour) { endTimeDT = endTimeDT.plusDays(1); if (endTimeDT.dayOfWeek().getAsText().equals("Saturday")) { endTimeDT = endTimeDT.plusDays(2); } } else if (endTimeDT.dayOfWeek().getAsText().equals("Friday")) { endTimeDT = endTimeDT.plusDays(2); } if (liquide_hour < start_hour) { liquidateTimeDT = liquidateTimeDT.plusDays(1); } if (liquidateTimeDT.dayOfWeek().getAsText().equals("Saturday")) { liquidateTimeDT = liquidateTimeDT.plusDays(2); } //System.out.println("Updated start/close at " + startTimeDT + " " + endTimeDT + " " + liquidateTimeDT); }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public void updateEndTime(String time, int start_hour, int close_hour, int liquide_hour, int liquide_min) { String date_delims = "[ ]+"; String ddelims = "[-]"; String[] date_tokens = time.split(date_delims); String[] intdates = date_tokens[0].split(ddelims); int signal_min = liquide_min; try {//from w w w. j a v a 2 s . c o m startTimeDT = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), start_hour, signal_min); } catch (IllegalArgumentException ie) { startTimeDT = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), start_hour + 1, signal_min); } try { endTimeDT = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), close_hour, signal_min); } catch (IllegalArgumentException ie) { endTimeDT = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), close_hour + 1, signal_min); } liquidateTimeDT = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), liquide_hour, liquide_min); //System.out.println("here2??"); if (close_hour < start_hour) { endTimeDT = endTimeDT.plusDays(1); if (endTimeDT.dayOfWeek().getAsText().equals("Saturday")) { endTimeDT = endTimeDT.plusDays(2); } } //System.out.println("here3??"); if (liquide_hour < start_hour) { liquidateTimeDT = liquidateTimeDT.plusDays(1); } if (liquidateTimeDT.dayOfWeek().getAsText().equals("Saturday")) { liquidateTimeDT = liquidateTimeDT.plusDays(2); } if (start_hour > 17 && startTimeDT.dayOfWeek().getAsText().equals("Friday")) { startTimeDT = startTimeDT.plusDays(2); } if (liquide_hour > 17 && liquidateTimeDT.dayOfWeek().getAsText().equals("Friday")) { liquidateTimeDT = liquidateTimeDT.plusDays(2); } if (close_hour > 17 && endTimeDT.dayOfWeek().getAsText().equals("Friday")) { endTimeDT = endTimeDT.plusDays(2); } }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public void setFilterFilesiMetrica(File file, String name, int sl, int sigFreq, int pnlFreq, double spreadFilter, int shift) { String[] tokens;/*from ww w .j av a2 s . c o m*/ String strline; int i, m; int n_files = 0; ArrayList<String> params = new ArrayList<String>(); String header; try { FileInputStream fin = new FileInputStream(file); DataInputStream din = new DataInputStream(fin); BufferedReader br = new BufferedReader(new InputStreamReader(din)); //----- first get the frequencies -------------- //names = new ArrayList<String>(); while ((strline = br.readLine()) != null) { tokens = strline.split("[ ]+"); String[] liquidHour = tokens[0].split("[:]+"); String[] endHour = tokens[1].split("[:]+"); String[] startHour = tokens[3].split("[:]+"); DateTime liquidTime = new DateTime(2015, 11, 17, (new Integer(liquidHour[0])).intValue(), (new Integer(liquidHour[1])).intValue()); DateTime endTime = new DateTime(2015, 11, 17, (new Integer(endHour[0])).intValue(), (new Integer(liquidHour[1])).intValue()); DateTime startTime = new DateTime(2015, 11, 17, (new Integer(startHour[0])).intValue(), (new Integer(liquidHour[1])).intValue()); liquidTime = liquidTime.minusHours(shift); endTime = endTime.minusHours(shift); startTime = startTime.minusHours(shift); int newLiquidhour = liquidTime.getHourOfDay(); int newEndhour = endTime.getHourOfDay(); int newStarthour = startTime.getHourOfDay(); String newLiquid = "" + newLiquidhour + ":" + liquidHour[1] + ":00"; String newEnd = "" + newEndhour + ":" + liquidHour[1]; String newStart = "" + newStarthour + ":" + liquidHour[1]; strline = newLiquid + " " + newEnd + " " + tokens[2] + " " + newStart + " "; for (i = 4; i < tokens.length; i++) { strline = strline + tokens[i] + " "; } params.add(strline); n_files++; } header = "String[] " + name + "_parameters = new String[" + n_files + "];"; System.out.println(header); for (m = 0; m < n_files; m++) { System.out.println(name + "_parameters[" + m + "] = \"" + params.get(m) + pnlFreq + " " + sigFreq + " " + spreadFilter + " " + name + "-signal-" + m + "\";"); } din.close(); } catch (FileNotFoundException fe) { System.out.println("File not found..." + fe); } catch (IOException ioe) { System.out.println("IO procedure faulty..." + ioe); } }
From source file:ch.imetrica.mdfaTradingStrategies.MDFAStrategyEvolution.java
public boolean isSunday(String d) { String[] intdates = d.split("[-]+"); DateTime weekend = new DateTime((new Integer(intdates[0])).intValue(), (new Integer(intdates[1])).intValue(), (new Integer(intdates[2])).intValue(), 16, 0); return (weekend.dayOfWeek().getAsText().equals("Sunday")); }
From source file:ch.ledcom.log4jtools.utils.ParseUtils.java
License:Apache License
public static DateTime extractDateFromName(File file) { Matcher m = DATE_PATTERN.matcher(file.getName()); if (!m.matches()) { return null; }/* w w w . j a v a 2s . c o m*/ int year = Integer.parseInt(m.group(1)); int month = Integer.parseInt(m.group(2)); int day = Integer.parseInt(m.group(3)); return new DateTime(year, month, day, 0, 0); }