TradingStrategies
Class StrategyDoubleOrNothing

java.lang.Object
  TradingStrategies.TradingStrategy
      TradingStrategies.StrategyDoubleOrNothing

public class StrategyDoubleOrNothing

extends TradingStrategy

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

Warning:if f is large enough this can wrest positive returns even from an asset drifting lower (bear market). In this case however the position can grow very large. Do this only if you have very deep pockets!

Constructor Summary

StrategyDoubleOrNothing(double fixed_trc, double prop_trc, Asset asset, int triggerPercentage, double f)

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

StrategyDoubleOrNothing

public StrategyDoubleOrNothing(double fixed_trc,
                               double prop_trc,
                               Asset asset,
                               int triggerPercentage,
                               double f)

Parameters:

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

f - factor by which number of shares is increased on each buy

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.