MAEntrySignalGenerator.java

package org.ripple.power.hft;

import org.ripple.power.hft.computer.MAComputer;
import org.ripple.power.hft.def.HPeriod;
import org.ripple.power.hft.def.IHStatistics;


/**
 * MA算法仅适用于长期均线趋势变化明显，转向少的情况，如果长期均线有大量whipsaws，不适合
 */
public class MAEntrySignalGenerator implements EntrySignalGenerator {

	private int shortPeriod;

	private int longPeriod;

	private int shortPeriodType;

	private int longPeriodType;

	private int maRecentPeriod;

	public MAEntrySignalGenerator() {

	}

	public MAEntrySignalGenerator(int shortPeriod, int longPeriod, int shortPeriodType,
			int longPeriodType, int maRecentPeriod) {
		super();
		this.shortPeriod = shortPeriod;
		this.longPeriod = longPeriod;
		this.shortPeriodType = shortPeriodType;
		this.longPeriodType = longPeriodType;
		this.maRecentPeriod = maRecentPeriod;
	}

	public double generateSignal(IHStatistics stat) {
		// 储存进去对应的数组
		double[] closeShort = stat.history(shortPeriod + maRecentPeriod, HPeriod.Day)
				.getClosingPrice();
		double[] closeLong = stat.history(longPeriod + maRecentPeriod, HPeriod.Day)
				.getClosingPrice();

		// 计算短期MA
		double[] shortMA = MAComputer.computeMA(closeShort, shortPeriod, shortPeriodType);
		// 计算长期MA
		double[] longMA = MAComputer.computeMA(closeLong, longPeriod, longPeriodType);

		// 计算当天的短期MA与长期MA的差值
		int crossed = 0;

		double delta = shortMA[0] - longMA[0];
		for (int i = 0; i < shortMA.length; i++) {
			double previousDelta = delta;
			delta = shortMA[i] - longMA[i];

			// 短期MA与长期MA值出现交叉, 短期MA处于下降趋势, 长期MA处于上升趋势
			// 简单起见信号强度绝对值统一设置成1
			if ((previousDelta > 0) && delta < 0) {
				crossed = crossed - 1;
			}
			// 短期MA与长期MA值出现交叉, 短期MA处于上升趋势,长期MA处于下降趋势
			else if ((previousDelta < 0) && delta > 0) {
				crossed = crossed + 1;
			}
		}

		if (crossed < 0) {
			return -1;
		} else if (crossed > 0) {
			return 1;
		}
		// 什么也不做
		else {
			return 0;
		}
	}

}