The Leverage Space Portfolio Model in the Real World 393
nextItem=(nextItem+1)%args.length;
}
return args;
}protected double [] convertStringArrayToDouble(String
[] s){
double [] d = new double[s.length];
for(int i = 0; i<s.length; i++){
try{
d[i]=Double.parseDouble(s[i]);
}catch(NumberFormatException e){
d[i]=0.0;
}
}
return d;
}protected int B(double [] hprset,boolean drawdown){
double interimHPR=1.0;
double previnterimHPR=1.0;
double numerator=0.0;
double denominator=0.0;
for(int i=0;i<hprset.length;i++){
double useinvalue = previnterimHPR;
if(drawdown && previnterimHPR>1.0)
useinvalue = 1.0;interimHPR = useinvalue x hprset[i];
//interimHPR = previnterimHPR x hprset[i];
double value = interimHPR - b;
numerator += value;
denominator += Math.abs(value);
previnterimHPR = interimHPR;
}
if(denominator==0.0){
return 0;
}else{
double x = (numerator/denominator);
if(x>=0){
return (int)x;
}else{
return 0;
}
}
}