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java.lang.Object TradingStrategies.TradingStrategy TradingStrategies.StrategyBuyAndHold
A strategy which buys 100 shares and holds them to the horizon.
Constructor Summary | |
StrategyBuyAndHold(double fixed_trc,
double prop_trc,
Asset asset)
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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 StrategyBuyAndHold(double fixed_trc, double prop_trc, Asset asset)
fixed_trc
- fixed transaction costs per tradeprop_trc
- proportional transaction costs per tradeasset
- the asset invested inMethod Detail |
public double newWeight(int t)
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.).
newWeight
in class TradingStrategy
t
- current time.
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