TradingStrategies
Class StrategyDollarCostAverage

java.lang.Object
  TradingStrategies.TradingStrategy
      TradingStrategies.StrategyDollarCostAverage

public class StrategyDollarCostAverage

extends TradingStrategy

A strategy which buys 100 shares at regular intervals regardless of price.

Constructor Summary

StrategyDollarCostAverage(double fixed_trc, double prop_trc, Asset asset, int nBuys)

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

StrategyDollarCostAverage

public StrategyDollarCostAverage(double fixed_trc,
                                 double prop_trc,
                                 Asset asset,
                                 int nBuys)

Parameters:

fixed_trc - fixed transaction costs per trade

prop_trc - proportional transaction costs per trade

asset - the asset invested in

nBuys - number of buys to the horizon

Method Detail

newWeight

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

Parameters:

t - current time.