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ProfitLossCriterion.java
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ProfitLossCriterion.java
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/*
* The MIT License (MIT)
*
* Copyright (c) 2017-2024 Ta4j Organization & respective
* authors (see AUTHORS)
*
* Permission is hereby granted, free of charge, to any person obtaining a copy of
* this software and associated documentation files (the "Software"), to deal in
* the Software without restriction, including without limitation the rights to
* use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
* the Software, and to permit persons to whom the Software is furnished to do so,
* subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in all
* copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
* COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
* IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
* CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
package org.ta4j.core.criteria.pnl;
import org.ta4j.core.BarSeries;
import org.ta4j.core.Position;
import org.ta4j.core.TradingRecord;
import org.ta4j.core.criteria.AbstractAnalysisCriterion;
import org.ta4j.core.num.Num;
/**
* Net Profit and loss criterion (absolute PnL, includes trading costs).
*
* <p>
* The profit or loss over the provided {@link BarSeries series}.
*/
public class ProfitLossCriterion extends AbstractAnalysisCriterion {
@Override
public Num calculate(BarSeries series, Position position) {
return position.getProfit();
}
@Override
public Num calculate(BarSeries series, TradingRecord tradingRecord) {
return tradingRecord.getPositions()
.stream()
.filter(Position::isClosed)
.map(position -> calculate(series, position))
.reduce(series.zero(), Num::plus);
}
/** The higher the criterion value, the better. */
@Override
public boolean betterThan(Num criterionValue1, Num criterionValue2) {
return criterionValue1.isGreaterThan(criterionValue2);
}
}