goldenChat base source add

2026-05-23 15:11:48 +09:00
commit a4ea7762b5
2081 changed files with 1155760 additions and 0 deletions
@@ -0,0 +1,104 @@
+/*
+ * SPDX-License-Identifier: MIT
+ */
+package ta4jexamples.strategies;
+
+import org.apache.logging.log4j.LogManager;
+import org.apache.logging.log4j.Logger;
+import org.jfree.chart.JFreeChart;
+import org.ta4j.core.*;
+import org.ta4j.core.backtest.BarSeriesManager;
+import org.ta4j.core.criteria.pnl.GrossReturnCriterion;
+import org.ta4j.core.indicators.adx.ADXIndicator;
+import org.ta4j.core.indicators.adx.MinusDIIndicator;
+import org.ta4j.core.indicators.adx.PlusDIIndicator;
+import org.ta4j.core.indicators.averages.SMAIndicator;
+import org.ta4j.core.indicators.helpers.ClosePriceIndicator;
+import org.ta4j.core.rules.CrossedDownIndicatorRule;
+import org.ta4j.core.rules.CrossedUpIndicatorRule;
+import org.ta4j.core.rules.OverIndicatorRule;
+import org.ta4j.core.rules.UnderIndicatorRule;
+import ta4jexamples.charting.workflow.ChartWorkflow;
+import ta4jexamples.datasources.BitStampCsvTradesFileBarSeriesDataSource;
+
+/**
+ * ADX indicator based strategy
+ *
+ * @see <a href=
+ *      "http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_directional_index_adx">
+ *      http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_directional_index_adx</a>
+ */
+public class ADXStrategy {
+
+    private static final Logger LOG = LogManager.getLogger(ADXStrategy.class);
+
+    /**
+     * @param series a bar series
+     * @return an adx indicator based strategy
+     */
+    public static Strategy buildStrategy(BarSeries series) {
+        if (series == null) {
+            throw new IllegalArgumentException("Series cannot be null");
+        }
+
+        final ClosePriceIndicator closePriceIndicator = new ClosePriceIndicator(series);
+        final SMAIndicator smaIndicator = new SMAIndicator(closePriceIndicator, 50);
+
+        final int adxBarCount = 14;
+        final ADXIndicator adxIndicator = new ADXIndicator(series, adxBarCount);
+        final OverIndicatorRule adxOver20Rule = new OverIndicatorRule(adxIndicator, 20);
+
+        final PlusDIIndicator plusDIIndicator = new PlusDIIndicator(series, adxBarCount);
+        final MinusDIIndicator minusDIIndicator = new MinusDIIndicator(series, adxBarCount);
+
+        final Rule plusDICrossedUpMinusDI = new CrossedUpIndicatorRule(plusDIIndicator, minusDIIndicator);
+        final Rule plusDICrossedDownMinusDI = new CrossedDownIndicatorRule(plusDIIndicator, minusDIIndicator);
+        final OverIndicatorRule closePriceOverSma = new OverIndicatorRule(closePriceIndicator, smaIndicator);
+        final Rule entryRule = adxOver20Rule.and(plusDICrossedUpMinusDI).and(closePriceOverSma);
+
+        final UnderIndicatorRule closePriceUnderSma = new UnderIndicatorRule(closePriceIndicator, smaIndicator);
+        final Rule exitRule = adxOver20Rule.and(plusDICrossedDownMinusDI).and(closePriceUnderSma);
+
+        return new BaseStrategy("ADXStrategy", entryRule, exitRule, adxBarCount);
+    }
+
+    public static void main(String[] args) {
+
+        // Getting the bar series
+        BarSeries series = BitStampCsvTradesFileBarSeriesDataSource.loadBitstampSeries();
+
+        // Building the trading strategy
+        Strategy strategy = buildStrategy(series);
+
+        // Running the strategy
+        BarSeriesManager seriesManager = new BarSeriesManager(series);
+        TradingRecord tradingRecord = seriesManager.run(strategy);
+        LOG.debug(() -> strategy.toJson());
+        LOG.debug("{}'s number of positions: {}", strategy.getName(), tradingRecord.getPositionCount());
+
+        // Analysis
+        var grossReturn = new GrossReturnCriterion().calculate(series, tradingRecord);
+        LOG.debug("{}'s gross return: {}", strategy.getName(), grossReturn);
+
+        ClosePriceIndicator closePriceIndicator = new ClosePriceIndicator(series);
+        SMAIndicator smaIndicator = new SMAIndicator(closePriceIndicator, 50);
+        int adxBarCount = 14;
+        ADXIndicator adxIndicator = new ADXIndicator(series, adxBarCount);
+        PlusDIIndicator plusDIIndicator = new PlusDIIndicator(series, adxBarCount);
+        MinusDIIndicator minusDIIndicator = new MinusDIIndicator(series, adxBarCount);
+
+        // Charting
+        ChartWorkflow chartWorkflow = new ChartWorkflow();
+        JFreeChart chart = chartWorkflow.builder()
+                .withSeries(series)
+                .withTradingRecordOverlay(tradingRecord)
+                .withIndicatorOverlay(smaIndicator)
+                .withSubChart(adxIndicator)
+                .withIndicatorOverlay(plusDIIndicator)
+                .withIndicatorOverlay(minusDIIndicator)
+                .withSubChart(new GrossReturnCriterion(), tradingRecord)
+                .toChart();
+        chartWorkflow.displayChart(chart);
+        chartWorkflow.saveChartImage(chart, series, "adx-strategy", "temp/charts");
+    }
+}