public FinalRating calculateRating(TuningResDTO tuningRes) {
int nbSuccess = 0;
int nbFailure = 0;
for (PeriodRatingDTO periodRatingDTO : tuningRes.getPeriods()) {
Validity periodValidity =
smoothedPeriodValidity(periodRatingDTO, tuningRes.getStockPriceChange());
// nbSuccess = nbSuccess + ((periodValidity.equals(Validity.SUCCESS))?1:0);
if (periodRatingDTO
.getTrend()
.equals(EventType.BULLISH.toString())) { // we tally only the bullish failures and success
nbSuccess = nbSuccess + ((periodValidity.equals(Validity.SUCCESS)) ? 1 : 0);
nbFailure = nbFailure + ((periodValidity.equals(Validity.FAILURE)) ? 1 : 0);
}
}
FinalRating finalRating =
tuningFinalizationRating(
tuningRes.getFollowProfit(), tuningRes.getStockPriceChange(), nbSuccess, nbFailure);
// Test
// finalRating.validity = Validity.SUCCESS;
return finalRating;
}
private Validity smoothedPeriodValidity(
PeriodRatingDTO periodRatingDTO, Double totalPriceChange) {
Validity periodValidity = Validity.NORATING;
double errorDelta = 0.0;
double ratioToTotPriceChange = 0.10;
boolean isBullAndNeg =
periodRatingDTO.getTrend().equals(EventType.BULLISH.name())
&& periodRatingDTO.getPriceRateOfChange() < -errorDelta;
boolean isBearAndPos =
periodRatingDTO.getTrend().equals(EventType.BEARISH.name())
&& periodRatingDTO.getPriceRateOfChange() > errorDelta;
boolean isPeriodSignificant =
Math.abs(periodRatingDTO.getPriceRateOfChange())
> Math.abs(totalPriceChange * ratioToTotPriceChange);
if (isBullAndNeg || isBearAndPos) {
if (isPeriodSignificant) {
periodValidity = Validity.FAILURE;
} else {
periodValidity = Validity.NORATING;
}
} else {
periodValidity = Validity.SUCCESS;
}
return periodValidity;
}
private void addFilteredPeriod(
List<PeriodRatingDTO> periods, PeriodRatingDTO period, int sizeConstraint) {
if ((periods.size() == 0) && EventType.valueOf(period.getTrend()).equals(EventType.BULLISH)) {
LOGGER.info("First bullish period discarded : " + period);
return;
}
if (sizeConstraint != -1 && period.getPeriodLenght() < sizeConstraint) {
String invFlasePositiveTrend =
(EventType.valueOf(period.getTrend()).equals(EventType.BULLISH))
? EventType.NONE.toString()
: EventType.BULLISH.toString();
LOGGER.info(
"Period is too short (false positive) : "
+ period
+ ". Trend will be set as "
+ invFlasePositiveTrend);
period.setTrend(invFlasePositiveTrend);
if ((periods.size() == 0) && EventType.valueOf(period.getTrend()).equals(EventType.BULLISH)) {
LOGGER.info("First bullish period discarded : " + period);
return;
}
}
PeriodRatingDTO previousPeriod;
if (periods.size() > 0
&& (previousPeriod = periods.get(periods.size() - 1))
.getTrend()
.equals(period.getTrend())) {
previousPeriod.setTo(period.getTo());
previousPeriod.setPriceAtTo(period.getPriceAtTo());
previousPeriod.setRealised(period.isRealised());
} else {
periods.add(period);
}
}
/**
* Builds a *_ConfigRating.csv file for the stock containing the trend periods results of the
* stock tuning. The from and to dates are the date for the start of a trend (BULLISH/BEARISH) and
* the end of the trend. The file contains one line per config elected over the tuning. For each
* config its trend period of occurrence and the trend values during this period. Hence you can
* have several lines with different configs over the same trend period where they were
* consecutively elected with the same trend results. As in fact the config elected will change at
* the pace of the tuning periods which are different from the trend periods. On the other hand,
* when trend changes, also does the trend period dates. In the same way the same config can be
* elected over several consecutive trend period changes.
*/
public void exportConfigRating(
String analysisName,
TuningResDTO tuningRes,
Date startDate,
Date endDate,
FinalRating calculatedRating)
throws IOException {
String fileName = "tmp" + File.separator + analysisName + "_ConfigRating.csv";
File configRatings = new File(System.getProperty("installdir") + File.separator + fileName);
FileWriter fileWriter = new FileWriter(configRatings);
fileWriter.write(
"config, cfg start, cfg end, trend start, trend end, length, price change, trend, success/failure, compound profit \n");
SimpleDateFormat dateFormat = new SimpleDateFormat("yyyy MM dd");
Double compoundProfit = 1d;
for (PeriodRatingDTO periodRatingDTO : tuningRes.getPeriods()) {
String successOrFailure =
((periodRatingDTO.getTrend().equals(EventType.BULLISH.name())
&& periodRatingDTO.getPriceRateOfChange() <= 0)
|| (periodRatingDTO.getTrend().equals(EventType.BEARISH.name())
&& periodRatingDTO.getPriceRateOfChange() > 0))
? "FAILURE"
: "SUCCESS";
if (periodRatingDTO.getTrend().equals(EventType.BULLISH.name()))
compoundProfit = compoundProfit * (periodRatingDTO.getPriceRateOfChange() + 1);
String cfgStr =
dateFormat.format(periodRatingDTO.getFrom())
+ " , "
+ dateFormat.format(periodRatingDTO.getTo())
+ " , "
+ periodRatingDTO.getPeriodLenght()
+ " , "
+ periodRatingDTO.getPriceRateOfChange()
+ " , "
+ periodRatingDTO.getTrend()
+ " , "
+ successOrFailure
+ " , "
+ compoundProfit;
if (periodRatingDTO.getConfigs().size() > 0) {
for (String pConfig : periodRatingDTO.getConfigs()) {
String cfgStart = dateFormat.format(startDate);
String cfgEnd = dateFormat.format(endDate);
fileWriter.write(pConfig + " , " + cfgStart + " , " + cfgEnd + " , " + cfgStr + "\n");
}
} else { // No config
fileWriter.write("No config? " + " , , , " + cfgStr + "\n");
}
}
fileWriter.write(
"total , percent gain : "
+ tuningRes.getFollowProfit()
+ ", price change : "
+ tuningRes.getStockPriceChange()
+ "\n");
tuningRes.setConfigRatingFile(fileName);
fileWriter.write("rating , " + calculatedRating);
fileWriter.close();
}