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.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.RSIIndicator;
+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;
+
+/**
+ * 2-Period RSI Strategy
+ *
+ * @see <a href=
+ *      "http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:rsi2">
+ *      http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:rsi2</a>
+ */
+public class RSI2Strategy {
+
+    private static final Logger LOG = LogManager.getLogger(RSI2Strategy.class);
+
+    /**
+     * @param series a bar series
+     * @return a 2-period RSI strategy
+     */
+    public static Strategy buildStrategy(BarSeries series) {
+        if (series == null) {
+            throw new IllegalArgumentException("Series cannot be null");
+        }
+
+        ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
+        SMAIndicator shortSma = new SMAIndicator(closePrice, 5);
+        SMAIndicator longSma = new SMAIndicator(closePrice, 200);
+
+        // We use a 2-period RSI indicator to identify buying
+        // or selling opportunities within the bigger trend.
+        RSIIndicator rsi = new RSIIndicator(closePrice, 2);
+
+        // Entry rule
+        // The long-term trend is up when a security is above its 200-period SMA.
+        Rule entryRule = new OverIndicatorRule(shortSma, longSma) // Trend
+                .and(new CrossedDownIndicatorRule(rsi, 5)) // Signal 1
+                .and(new OverIndicatorRule(shortSma, closePrice)); // Signal 2
+
+        // Exit rule
+        // The long-term trend is down when a security is below its 200-period SMA.
+        Rule exitRule = new UnderIndicatorRule(shortSma, longSma) // Trend
+                .and(new CrossedUpIndicatorRule(rsi, 95)) // Signal 1
+                .and(new UnderIndicatorRule(shortSma, closePrice)); // Signal 2
+
+        String strategyName = "RSI2Strategy";
+        return new BaseStrategy(strategyName, entryRule, exitRule);
+    }
+
+    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 closePrice = new ClosePriceIndicator(series);
+        SMAIndicator shortSma = new SMAIndicator(closePrice, 5);
+        SMAIndicator longSma = new SMAIndicator(closePrice, 200);
+        RSIIndicator rsiOverlay = new RSIIndicator(closePrice, 2);
+
+        // Charting
+        ChartWorkflow chartWorkflow = new ChartWorkflow();
+        JFreeChart chart = chartWorkflow.builder()
+                .withSeries(series)
+                .withTradingRecordOverlay(tradingRecord)
+                .withIndicatorOverlay(shortSma)
+                .withIndicatorOverlay(longSma)
+                .withAnalysisCriterionOverlay(new GrossReturnCriterion(), tradingRecord)
+                .withSubChart(rsiOverlay)
+                .toChart();
+        chartWorkflow.displayChart(chart);
+        chartWorkflow.saveChartImage(chart, series, "rsi2-strategy", "temp/charts");
+    }
+
+}