Class StrategyDollarCostAverage

  extended byTradingStrategies.TradingStrategy
      extended byTradingStrategies.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


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

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


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.