Class StrategyAverageDown

  extended byTradingStrategies.TradingStrategy
      extended byTradingStrategies.StrategyAverageDown

public class StrategyAverageDown
extends TradingStrategy

A strategy which starts with 100 shares and increases the number of shares by another 100 shares whenever the asset price declines a certain trigger percentage below the level at the last buy.

Constructor Summary
StrategyAverageDown(double fixed_trc, double prop_trc, Asset asset, int triggerPercentage)
Method Summary
 double newWeight(int t)
          The new weight of the asset given that a trade takes place at time t (ie.
Methods inherited from class TradingStrategies.TradingStrategy
discountedGainsAndNumberOfTrades, discountedGainsFromTrading, get_asset, get_B, get_currentWeight, get_dt, get_fixed_trc, get_nTrades, get_prop_trc, get_S, get_T, get_tradeTrigger, initialInvestment, newDiscountedGainsAndNumberOfTrades, newDiscountedGainsFromTrading, newReturnFromTrading, newTradeStatistics, returnsFromTrading, tradeStatistics
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail


public StrategyAverageDown(double fixed_trc,
                           double prop_trc,
                           Asset asset,
                           int triggerPercentage)

fixed_trc - fixed transaction costs per trade
prop_trc - proportional transaction costs per trade
asset - the asset invested in
triggerPercentage - percent decline triggering a buy
Method Detail


public double newWeight(int t)
Description copied from class: TradingStrategy

The new weight of the asset given that a trade takes place at time t (ie. the portfolio is rebalanced at time t).

If no trade takes place at time t the weight of the asset is in the member variable currentWeight. This variable is kept up to date to allow reference to the last weight in the computation of the next weight newWeight(t) at time t (eg "doubling up", "selling half" etc.).

Specified by:
newWeight in class TradingStrategy
t - current time.