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.*;
+import org.ta4j.core.backtest.BarSeriesManager;
+import org.ta4j.core.criteria.pnl.NetProfitCriterion;
+import org.ta4j.core.criteria.pnl.NetProfitLossCriterion;
+import org.ta4j.core.indicators.NetMomentumIndicator;
+import org.ta4j.core.indicators.RSIIndicator;
+import org.ta4j.core.indicators.helpers.ClosePriceIndicator;
+import org.ta4j.core.rules.CrossedDownIndicatorRule;
+import org.ta4j.core.rules.CrossedUpIndicatorRule;
+import java.awt.Color;
+import ta4jexamples.charting.workflow.ChartWorkflow;
+import ta4jexamples.datasources.JsonFileBarSeriesDataSource;
+
+import java.io.IOException;
+import java.io.InputStream;
+import java.util.Objects;
+
+public class NetMomentumStrategy {
+
+    private static final Logger LOG = LogManager.getLogger(NetMomentumStrategy.class);
+
+    private static final int DEFAULT_OVERBOUGHT_THRESHOLD = 900;
+    private static final int DEFAULT_MOMENTUM_TIMEFRAME = 200;
+    private static final int DEFAULT_OVERSOLD_THRESHOLD = -200;
+    private static final int DEFAULT_RSI_BARCOUNT = 14;
+    private static final double DEFAULT_DECAY_FACTOR = 1;
+
+    public static void main(String[] args) {
+        String jsonOhlcResourceFile = "Coinbase-ETH-USD-PT1D-20160517_20251028.json";
+
+        BarSeries series = null;
+        try (InputStream resourceStream = NetMomentumStrategy.class.getClassLoader()
+                .getResourceAsStream(jsonOhlcResourceFile)) {
+            series = JsonFileBarSeriesDataSource.DEFAULT_INSTANCE.loadSeries(resourceStream);
+        } catch (IOException ex) {
+            LOG.error("IOException while loading resource: {} - {}", jsonOhlcResourceFile, ex.getMessage());
+        }
+
+        Objects.requireNonNull(series, "Bar series was null");
+
+        // Running the strategy
+        runSingleStrategy(series);
+    }
+
+    private static void runSingleStrategy(BarSeries series) {
+        BarSeriesManager seriesManager = new BarSeriesManager(series);
+
+        ClosePriceIndicator closePriceIndicator = new ClosePriceIndicator(series);
+        RSIIndicator rsiIndicator = new RSIIndicator(closePriceIndicator, DEFAULT_RSI_BARCOUNT);
+        NetMomentumIndicator rsiM = NetMomentumIndicator.forRsiWithDecay(rsiIndicator, DEFAULT_MOMENTUM_TIMEFRAME,
+                DEFAULT_DECAY_FACTOR);
+        Strategy strategy = createStrategy(rsiM);
+
+        TradingRecord tradingRecord = seriesManager.run(strategy);
+        LOG.debug(() -> strategy.toJson());
+        LOG.debug("{}'s number of positions: {}", strategy.getName(), tradingRecord.getPositionCount());
+
+        var netProfitLoss = new NetProfitLossCriterion().calculate(series, tradingRecord);
+        LOG.debug("{}'s net profit/loss: {}", strategy.getName(), netProfitLoss);
+
+        // Charting
+        ChartWorkflow chartWorkflow = new ChartWorkflow();
+        JFreeChart chart = chartWorkflow.builder()
+                .withSeries(series)
+                .withTradingRecordOverlay(tradingRecord)
+                .withAnalysisCriterionOverlay(new NetProfitCriterion(), tradingRecord)
+                .withSubChart(rsiIndicator)
+                .withHorizontalMarker(50)
+                .withLineColor(Color.GRAY)
+                .withOpacity(0.3f)
+                .withHorizontalMarker(70)
+                .withLineColor(Color.RED)
+                .withOpacity(0.3f)
+                .withHorizontalMarker(30)
+                .withLineColor(Color.GREEN)
+                .withOpacity(0.3f)
+                .withSubChart(rsiM)
+                .withHorizontalMarker(0)
+                .withLineColor(Color.GRAY)
+                .withOpacity(0.3f)
+                .toChart();
+        chartWorkflow.displayChart(chart);
+        chartWorkflow.saveChartImage(chart, series, "net-momentum-strategy", "temp/charts");
+    }
+
+    private static Strategy createStrategy(NetMomentumIndicator rsiM) {
+        Rule entryRule = new CrossedUpIndicatorRule(rsiM, DEFAULT_OVERSOLD_THRESHOLD);
+        Rule exitRule = new CrossedDownIndicatorRule(rsiM, DEFAULT_OVERBOUGHT_THRESHOLD);
+
+        return new BaseStrategy(NetMomentumStrategy.class.getSimpleName(), entryRule, exitRule);
+    }
+
+}