goldenChat base source add

2026-05-23 15:11:48 +09:00
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+/*
+ * 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.BarSeries;
+import org.ta4j.core.BaseStrategy;
+import org.ta4j.core.Strategy;
+import org.ta4j.core.backtest.BarSeriesManager;
+import org.ta4j.core.criteria.pnl.GrossReturnCriterion;
+import org.ta4j.core.criteria.pnl.NetProfitCriterion;
+import org.ta4j.core.indicators.helpers.ClosePriceIndicator;
+import org.ta4j.core.indicators.helpers.HighPriceIndicator;
+import org.ta4j.core.indicators.helpers.HighestValueIndicator;
+import org.ta4j.core.indicators.helpers.LowPriceIndicator;
+import org.ta4j.core.indicators.helpers.LowestValueIndicator;
+import org.ta4j.core.indicators.numeric.BinaryOperationIndicator;
+import org.ta4j.core.rules.OverIndicatorRule;
+import org.ta4j.core.rules.UnderIndicatorRule;
+import ta4jexamples.charting.workflow.ChartWorkflow;
+import ta4jexamples.datasources.BitStampCsvTradesFileBarSeriesDataSource;
+
+/**
+ * Strategies which compares current price to global extrema over a week.
+ */
+public class GlobalExtremaStrategy {
+
+    private static final Logger LOG = LogManager.getLogger(GlobalExtremaStrategy.class);
+
+    // We assume that there were at least one position every 5 minutes during the
+    // whole
+    // week
+    private static final int NB_BARS_PER_WEEK = 12 * 24 * 7;
+
+    /**
+     * @param series the bar series
+     * @return the global extrema strategy
+     */
+    public static Strategy buildStrategy(final BarSeries series) {
+        if (series == null) {
+            throw new IllegalArgumentException("Series cannot be null");
+        }
+
+        final var closePrices = new ClosePriceIndicator(series);
+
+        // Getting the high price over the past week
+        final var highPrices = new HighPriceIndicator(series);
+        final var weekHighPrice = new HighestValueIndicator(highPrices, NB_BARS_PER_WEEK);
+        // Getting the low price over the past week
+        final var lowPrices = new LowPriceIndicator(series);
+        final var weekLowPrice = new LowestValueIndicator(lowPrices, NB_BARS_PER_WEEK);
+
+        // Going long if the close price goes below the low price
+        final var downWeek = BinaryOperationIndicator.product(weekLowPrice, 1.004);
+        final var buyingRule = new UnderIndicatorRule(closePrices, downWeek);
+
+        // Going short if the close price goes above the high price
+        final var upWeek = BinaryOperationIndicator.product(weekHighPrice, 0.996);
+        final var sellingRule = new OverIndicatorRule(closePrices, upWeek);
+
+        String strategyName = "GlobalExtremaStrategy";
+        return new BaseStrategy(strategyName, buyingRule, sellingRule);
+    }
+
+    public static void main(final String[] args) {
+
+        // Getting the bar series
+        final var series = BitStampCsvTradesFileBarSeriesDataSource.loadBitstampSeries();
+
+        // Building the trading strategy
+        final var strategy = buildStrategy(series);
+
+        // Running the strategy
+        final var seriesManager = new BarSeriesManager(series);
+        final var tradingRecord = seriesManager.run(strategy);
+        LOG.debug(() -> strategy.toJson());
+        LOG.debug("{}'s number of positions: {}", strategy.getName(), tradingRecord.getPositionCount());
+
+        // Analysis
+        final var grossReturn = new GrossReturnCriterion().calculate(series, tradingRecord);
+        LOG.debug("{}'s gross return: {}", strategy.getName(), grossReturn);
+
+        final var highPrices = new HighPriceIndicator(series);
+        final var weekHighPrice = new HighestValueIndicator(highPrices, NB_BARS_PER_WEEK);
+        final var lowPrices = new LowPriceIndicator(series);
+        final var weekLowPrice = new LowestValueIndicator(lowPrices, NB_BARS_PER_WEEK);
+        final var downWeek = BinaryOperationIndicator.product(weekLowPrice, 1.004);
+        final var upWeek = BinaryOperationIndicator.product(weekHighPrice, 0.996);
+
+        // Charting
+        ChartWorkflow chartWorkflow = new ChartWorkflow();
+        JFreeChart chart = chartWorkflow.builder()
+                .withSeries(series)
+                .withTradingRecordOverlay(tradingRecord)
+                .withIndicatorOverlay(weekHighPrice)
+                .withIndicatorOverlay(weekLowPrice)
+                .withIndicatorOverlay(downWeek)
+                .withIndicatorOverlay(upWeek)
+                .withAnalysisCriterionOverlay(new NetProfitCriterion(), tradingRecord)
+                .toChart();
+        chartWorkflow.displayChart(chart);
+        chartWorkflow.saveChartImage(chart, series, "global-extrema-strategy", "temp/charts");
+    }
+}