goldenChat base source add

2026-05-23 15:11:48 +09:00
commit a4ea7762b5
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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.Indicator;
+import org.ta4j.core.Rule;
+import org.ta4j.core.Strategy;
+import org.ta4j.core.TradingRecord;
+import org.ta4j.core.backtest.BarSeriesManager;
+import org.ta4j.core.criteria.pnl.GrossReturnCriterion;
+import org.ta4j.core.indicators.macd.MACDHistogramMode;
+import org.ta4j.core.indicators.macd.MACDVMomentumProfile;
+import org.ta4j.core.indicators.macd.MACDVMomentumState;
+import org.ta4j.core.indicators.macd.VolatilityNormalizedMACDIndicator;
+import org.ta4j.core.indicators.averages.SMAIndicator;
+import org.ta4j.core.indicators.helpers.ClosePriceIndicator;
+import org.ta4j.core.indicators.numeric.NumericIndicator;
+import org.ta4j.core.num.Num;
+import org.ta4j.core.rules.OverIndicatorRule;
+import org.ta4j.core.rules.UnderIndicatorRule;
+import ta4jexamples.charting.workflow.ChartWorkflow;
+import ta4jexamples.datasources.BitStampCsvTradesFileBarSeriesDataSource;
+
+/**
+ * Strategy showing the volatility-normalized MACD-V workflow:
+ *
+ * <ul>
+ * <li>custom signal-line injection ({@link SMAIndicator})</li>
+ * <li>histogram polarity configuration</li>
+ * <li>momentum-state filtering via {@link MACDVMomentumProfile}</li>
+ * </ul>
+ */
+public class MACDVMomentumStateStrategy {
+
+    private static final Logger LOG = LogManager.getLogger(MACDVMomentumStateStrategy.class);
+
+    private static final int FAST_EMA = 12;
+    private static final int SLOW_EMA = 26;
+    private static final int ATR_PERIOD = 26;
+    private static final int SIGNAL_PERIOD = 9;
+
+    private static final MACDVMomentumProfile MOMENTUM_PROFILE = new MACDVMomentumProfile(25, 80, -25, -80);
+
+    /**
+     * @param series bar series
+     * @return strategy based on volatility-normalized MACD-V momentum-state helpers
+     */
+    public static Strategy buildStrategy(BarSeries series) {
+        if (series == null) {
+            throw new IllegalArgumentException("Series cannot be null");
+        }
+
+        ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
+        VolatilityNormalizedMACDIndicator macdV = new VolatilityNormalizedMACDIndicator(closePrice, FAST_EMA, SLOW_EMA,
+                ATR_PERIOD, SIGNAL_PERIOD, 100);
+        NumericIndicator histogram = macdV.getHistogram(SIGNAL_PERIOD, SMAIndicator::new,
+                MACDHistogramMode.MACD_MINUS_SIGNAL);
+
+        Rule bullishMomentum = macdV.inMomentumState(MOMENTUM_PROFILE, MACDVMomentumState.RALLYING_OR_RETRACING)
+                .or(macdV.inMomentumState(MOMENTUM_PROFILE, MACDVMomentumState.HIGH_RISK));
+        Rule bearishMomentum = macdV.inMomentumState(MOMENTUM_PROFILE, MACDVMomentumState.REBOUNDING_OR_REVERSING)
+                .or(macdV.inMomentumState(MOMENTUM_PROFILE, MACDVMomentumState.LOW_RISK));
+
+        Rule entryRule = macdV.crossedUpSignal(SIGNAL_PERIOD, SMAIndicator::new)
+                .and(new OverIndicatorRule(histogram, 0))
+                .and(bullishMomentum);
+        Rule exitRule = macdV.crossedDownSignal(SIGNAL_PERIOD, SMAIndicator::new)
+                .or(new UnderIndicatorRule(histogram, 0))
+                .or(bearishMomentum);
+
+        return new BaseStrategy(MACDVMomentumStateStrategy.class.getSimpleName(), entryRule, exitRule,
+                macdV.getCountOfUnstableBars());
+    }
+
+    public static void main(String[] args) {
+
+        BarSeries series = BitStampCsvTradesFileBarSeriesDataSource.loadBitstampSeries();
+        Strategy strategy = buildStrategy(series);
+
+        BarSeriesManager seriesManager = new BarSeriesManager(series);
+        TradingRecord tradingRecord = seriesManager.run(strategy);
+        LOG.debug(() -> strategy.toJson());
+        LOG.debug("{}'s number of positions: {}", strategy.getName(), tradingRecord.getPositionCount());
+
+        Num grossReturn = new GrossReturnCriterion().calculate(series, tradingRecord);
+        LOG.debug("{}'s gross return: {}", strategy.getName(), grossReturn);
+
+        VolatilityNormalizedMACDIndicator macdV = new VolatilityNormalizedMACDIndicator(series, FAST_EMA, SLOW_EMA,
+                ATR_PERIOD, SIGNAL_PERIOD, 100);
+        Indicator<Num> signal = macdV.getSignalLine(SIGNAL_PERIOD, SMAIndicator::new);
+        NumericIndicator histogram = macdV.getHistogram(SIGNAL_PERIOD, SMAIndicator::new,
+                MACDHistogramMode.MACD_MINUS_SIGNAL);
+
+        ChartWorkflow chartWorkflow = new ChartWorkflow();
+        JFreeChart chart = chartWorkflow.builder()
+                .withSeries(series)
+                .withTradingRecordOverlay(tradingRecord)
+                .withSubChart(macdV)
+                .withIndicatorOverlay(signal)
+                .withSubChart(histogram)
+                .withAnalysisCriterionOverlay(new GrossReturnCriterion(), tradingRecord)
+                .toChart();
+        chartWorkflow.displayChart(chart);
+        chartWorkflow.saveChartImage(chart, series, "macdv-momentum-state-strategy", "temp/charts");
+    }
+}