TotalProfitCriterion.java

/**
 * The MIT License (MIT)
 *
 * Copyright (c) 2014-2017 Marc de Verdelhan & respective authors (see AUTHORS)
 *
 * Permission is hereby granted, free of charge, to any person obtaining a copy of
 * this software and associated documentation files (the "Software"), to deal in
 * the Software without restriction, including without limitation the rights to
 * use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
 * the Software, and to permit persons to whom the Software is furnished to do so,
 * subject to the following conditions:
 *
 * The above copyright notice and this permission notice shall be included in all
 * copies or substantial portions of the Software.
 *
 * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
 * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
 * FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
 * COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
 * IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
 * CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
 */
package eu.verdelhan.ta4j.analysis.criteria;

import eu.verdelhan.ta4j.Decimal;
import eu.verdelhan.ta4j.TimeSeries;
import eu.verdelhan.ta4j.Trade;
import eu.verdelhan.ta4j.TradingRecord;

/**
 * Total profit criterion.
 * <p>
 * The total profit of the provided {@link Trade trade(s)} over the provided {@link TimeSeries series}.
 */
public class TotalProfitCriterion extends AbstractAnalysisCriterion {

    @Override
    public double calculate(TimeSeries series, TradingRecord tradingRecord) {
        double value = 1d;
        for (Trade trade : tradingRecord.getTrades()) {
            value *= calculateProfit(series, trade);
        }
        return value;
    }

    @Override
    public double calculate(TimeSeries series, Trade trade) {
        return calculateProfit(series, trade);
    }

    @Override
    public boolean betterThan(double criterionValue1, double criterionValue2) {
        return criterionValue1 > criterionValue2;
    }

    /**
     * Calculates the profit of a trade (Buy and sell).
     * @param series a time series
     * @param trade a trade
     * @return the profit of the trade
     */
    private double calculateProfit(TimeSeries series, Trade trade) {
        Decimal profit = Decimal.ONE;
        if (trade.isClosed()) {
            Decimal exitClosePrice = series.getTick(trade.getExit().getIndex()).getClosePrice();
            Decimal entryClosePrice = series.getTick(trade.getEntry().getIndex()).getClosePrice();

            if (trade.getEntry().isBuy()) {
                profit = exitClosePrice.dividedBy(entryClosePrice);
            } else {
                profit = entryClosePrice.dividedBy(exitClosePrice);
            }
        }
        return profit.toDouble();
    }
}