aidev
108 lines
4.3 KiB
Java
108 lines
4.3 KiB
Java
/*
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* SPDX-License-Identifier: MIT
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*/
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package ta4jexamples.strategies;
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import org.apache.logging.log4j.LogManager;
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import org.apache.logging.log4j.Logger;
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import org.jfree.chart.JFreeChart;
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import org.ta4j.core.BarSeries;
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import org.ta4j.core.BaseStrategy;
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import org.ta4j.core.Rule;
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import org.ta4j.core.Strategy;
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import org.ta4j.core.TradingRecord;
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import org.ta4j.core.backtest.BarSeriesManager;
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import org.ta4j.core.criteria.pnl.GrossReturnCriterion;
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import org.ta4j.core.indicators.RSIIndicator;
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import org.ta4j.core.indicators.averages.SMAIndicator;
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import org.ta4j.core.indicators.helpers.ClosePriceIndicator;
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import org.ta4j.core.rules.CrossedDownIndicatorRule;
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import org.ta4j.core.rules.CrossedUpIndicatorRule;
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import org.ta4j.core.rules.OverIndicatorRule;
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import org.ta4j.core.rules.UnderIndicatorRule;
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import ta4jexamples.charting.workflow.ChartWorkflow;
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import ta4jexamples.datasources.BitStampCsvTradesFileBarSeriesDataSource;
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/**
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* 2-Period RSI Strategy
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*
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* @see <a href=
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* "http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:rsi2">
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* http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:rsi2</a>
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*/
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public class RSI2Strategy {
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private static final Logger LOG = LogManager.getLogger(RSI2Strategy.class);
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/**
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* @param series a bar series
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* @return a 2-period RSI strategy
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*/
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public static Strategy buildStrategy(BarSeries series) {
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if (series == null) {
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throw new IllegalArgumentException("Series cannot be null");
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}
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ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
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SMAIndicator shortSma = new SMAIndicator(closePrice, 5);
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SMAIndicator longSma = new SMAIndicator(closePrice, 200);
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// We use a 2-period RSI indicator to identify buying
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// or selling opportunities within the bigger trend.
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RSIIndicator rsi = new RSIIndicator(closePrice, 2);
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// Entry rule
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// The long-term trend is up when a security is above its 200-period SMA.
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Rule entryRule = new OverIndicatorRule(shortSma, longSma) // Trend
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.and(new CrossedDownIndicatorRule(rsi, 5)) // Signal 1
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.and(new OverIndicatorRule(shortSma, closePrice)); // Signal 2
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// Exit rule
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// The long-term trend is down when a security is below its 200-period SMA.
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Rule exitRule = new UnderIndicatorRule(shortSma, longSma) // Trend
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.and(new CrossedUpIndicatorRule(rsi, 95)) // Signal 1
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.and(new UnderIndicatorRule(shortSma, closePrice)); // Signal 2
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String strategyName = "RSI2Strategy";
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return new BaseStrategy(strategyName, entryRule, exitRule);
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}
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public static void main(String[] args) {
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// Getting the bar series
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BarSeries series = BitStampCsvTradesFileBarSeriesDataSource.loadBitstampSeries();
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// Building the trading strategy
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Strategy strategy = buildStrategy(series);
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// Running the strategy
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BarSeriesManager seriesManager = new BarSeriesManager(series);
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TradingRecord tradingRecord = seriesManager.run(strategy);
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LOG.debug(() -> strategy.toJson());
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LOG.debug("{}'s number of positions: {}", strategy.getName(), tradingRecord.getPositionCount());
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// Analysis
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var grossReturn = new GrossReturnCriterion().calculate(series, tradingRecord);
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LOG.debug("{}'s gross return: {}", strategy.getName(), grossReturn);
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ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
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SMAIndicator shortSma = new SMAIndicator(closePrice, 5);
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SMAIndicator longSma = new SMAIndicator(closePrice, 200);
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RSIIndicator rsiOverlay = new RSIIndicator(closePrice, 2);
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// Charting
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ChartWorkflow chartWorkflow = new ChartWorkflow();
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JFreeChart chart = chartWorkflow.builder()
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.withSeries(series)
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.withTradingRecordOverlay(tradingRecord)
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.withIndicatorOverlay(shortSma)
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.withIndicatorOverlay(longSma)
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.withAnalysisCriterionOverlay(new GrossReturnCriterion(), tradingRecord)
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.withSubChart(rsiOverlay)
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.toChart();
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chartWorkflow.displayChart(chart);
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chartWorkflow.saveChartImage(chart, series, "rsi2-strategy", "temp/charts");
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}
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}
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