goldenChat base source add

2026-05-23 15:11:48 +09:00
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+/*
+ * SPDX-License-Identifier: MIT
+ */
+package ta4jexamples.analysis;
+
+import org.apache.logging.log4j.LogManager;
+import org.apache.logging.log4j.Logger;
+import org.ta4j.core.AnalysisCriterion.PositionFilter;
+import org.ta4j.core.backtest.BarSeriesManager;
+import org.ta4j.core.criteria.AverageReturnPerBarCriterion;
+import org.ta4j.core.criteria.EnterAndHoldCriterion;
+import org.ta4j.core.criteria.LinearTransactionCostCriterion;
+import org.ta4j.core.criteria.drawdown.MaximumDrawdownCriterion;
+import org.ta4j.core.criteria.NumberOfBarsCriterion;
+import org.ta4j.core.criteria.NumberOfPositionsCriterion;
+import org.ta4j.core.criteria.PositionsRatioCriterion;
+import org.ta4j.core.criteria.drawdown.ReturnOverMaxDrawdownCriterion;
+import org.ta4j.core.criteria.VersusEnterAndHoldCriterion;
+import org.ta4j.core.criteria.pnl.GrossReturnCriterion;
+
+import org.ta4j.core.criteria.pnl.NetReturnCriterion;
+import ta4jexamples.datasources.BitStampCsvTradesFileBarSeriesDataSource;
+import ta4jexamples.strategies.MovingMomentumStrategy;
+
+/**
+ * This class displays analysis criterion values after running a trading
+ * strategy over a bar series.
+ */
+public class StrategyAnalysis {
+
+    private static final Logger LOG = LogManager.getLogger(StrategyAnalysis.class);
+
+    public static void main(String[] args) {
+
+        // Getting the bar series
+        var series = BitStampCsvTradesFileBarSeriesDataSource.loadBitstampSeries();
+        // Building the trading strategy
+        var strategy = MovingMomentumStrategy.buildStrategy(series);
+        // Running the strategy
+        var seriesManager = new BarSeriesManager(series);
+        var tradingRecord = seriesManager.run(strategy);
+
+        /*
+         * Analysis criteria
+         */
+
+        var grossReturn = new GrossReturnCriterion().calculate(series, tradingRecord);
+        LOG.debug("Gross return: {}", grossReturn);
+
+        var netReturnCriterion = new NetReturnCriterion();
+        var netReturn = netReturnCriterion.calculate(series, tradingRecord);
+        LOG.debug("Net return: {}", netReturn);
+
+        var numberOfBars = new NumberOfBarsCriterion().calculate(series, tradingRecord);
+        LOG.debug("Number of bars: {}", numberOfBars);
+
+        var AverageReturnPerBar = new AverageReturnPerBarCriterion().calculate(series, tradingRecord);
+        LOG.debug("Average return per bar: {}", AverageReturnPerBar);
+
+        var numberOfPositions = new NumberOfPositionsCriterion().calculate(series, tradingRecord);
+        LOG.debug("Number of positions: {}", numberOfPositions);
+
+        var positionsRatio = new PositionsRatioCriterion(PositionFilter.PROFIT).calculate(series, tradingRecord);
+        LOG.debug("Winning positions ratio: {}", positionsRatio);
+
+        var maximumDrawdown = new MaximumDrawdownCriterion().calculate(series, tradingRecord);
+        LOG.debug("Maximum drawdown: {}", maximumDrawdown);
+
+        var returnOverMaxDrawdown = new ReturnOverMaxDrawdownCriterion().calculate(series, tradingRecord);
+        LOG.debug("Return over maximum drawdown: {}", returnOverMaxDrawdown);
+
+        var linearTransactionCost = new LinearTransactionCostCriterion(1000, 0.005).calculate(series, tradingRecord);
+        LOG.debug("Total transaction cost (from $1000): {}", linearTransactionCost);
+
+        var enterAndHold = EnterAndHoldCriterion.EnterAndHoldReturnCriterion().calculate(series, tradingRecord);
+        LOG.debug("Buy-and-hold return: {}", enterAndHold);
+
+        var versusEnterAndHold = new VersusEnterAndHoldCriterion(netReturnCriterion).calculate(series, tradingRecord);
+        LOG.debug("Custom strategy return vs buy-and-hold strategy return: {}", versusEnterAndHold);
+    }
+
+}