aidev
113 lines
5.0 KiB
Java
113 lines
5.0 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.Indicator;
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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.macd.MACDHistogramMode;
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import org.ta4j.core.indicators.macd.MACDVMomentumProfile;
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import org.ta4j.core.indicators.macd.MACDVMomentumState;
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import org.ta4j.core.indicators.macd.VolatilityNormalizedMACDIndicator;
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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.indicators.numeric.NumericIndicator;
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import org.ta4j.core.num.Num;
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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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* Strategy showing the volatility-normalized MACD-V workflow:
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*
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* <ul>
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* <li>custom signal-line injection ({@link SMAIndicator})</li>
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* <li>histogram polarity configuration</li>
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* <li>momentum-state filtering via {@link MACDVMomentumProfile}</li>
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* </ul>
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*/
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public class MACDVMomentumStateStrategy {
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private static final Logger LOG = LogManager.getLogger(MACDVMomentumStateStrategy.class);
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private static final int FAST_EMA = 12;
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private static final int SLOW_EMA = 26;
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private static final int ATR_PERIOD = 26;
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private static final int SIGNAL_PERIOD = 9;
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private static final MACDVMomentumProfile MOMENTUM_PROFILE = new MACDVMomentumProfile(25, 80, -25, -80);
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/**
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* @param series bar series
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* @return strategy based on volatility-normalized MACD-V momentum-state helpers
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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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VolatilityNormalizedMACDIndicator macdV = new VolatilityNormalizedMACDIndicator(closePrice, FAST_EMA, SLOW_EMA,
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ATR_PERIOD, SIGNAL_PERIOD, 100);
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NumericIndicator histogram = macdV.getHistogram(SIGNAL_PERIOD, SMAIndicator::new,
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MACDHistogramMode.MACD_MINUS_SIGNAL);
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Rule bullishMomentum = macdV.inMomentumState(MOMENTUM_PROFILE, MACDVMomentumState.RALLYING_OR_RETRACING)
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.or(macdV.inMomentumState(MOMENTUM_PROFILE, MACDVMomentumState.HIGH_RISK));
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Rule bearishMomentum = macdV.inMomentumState(MOMENTUM_PROFILE, MACDVMomentumState.REBOUNDING_OR_REVERSING)
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.or(macdV.inMomentumState(MOMENTUM_PROFILE, MACDVMomentumState.LOW_RISK));
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Rule entryRule = macdV.crossedUpSignal(SIGNAL_PERIOD, SMAIndicator::new)
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.and(new OverIndicatorRule(histogram, 0))
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.and(bullishMomentum);
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Rule exitRule = macdV.crossedDownSignal(SIGNAL_PERIOD, SMAIndicator::new)
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.or(new UnderIndicatorRule(histogram, 0))
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.or(bearishMomentum);
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return new BaseStrategy(MACDVMomentumStateStrategy.class.getSimpleName(), entryRule, exitRule,
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macdV.getCountOfUnstableBars());
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}
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public static void main(String[] args) {
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BarSeries series = BitStampCsvTradesFileBarSeriesDataSource.loadBitstampSeries();
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Strategy strategy = buildStrategy(series);
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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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Num grossReturn = new GrossReturnCriterion().calculate(series, tradingRecord);
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LOG.debug("{}'s gross return: {}", strategy.getName(), grossReturn);
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VolatilityNormalizedMACDIndicator macdV = new VolatilityNormalizedMACDIndicator(series, FAST_EMA, SLOW_EMA,
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ATR_PERIOD, SIGNAL_PERIOD, 100);
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Indicator<Num> signal = macdV.getSignalLine(SIGNAL_PERIOD, SMAIndicator::new);
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NumericIndicator histogram = macdV.getHistogram(SIGNAL_PERIOD, SMAIndicator::new,
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MACDHistogramMode.MACD_MINUS_SIGNAL);
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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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.withSubChart(macdV)
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.withIndicatorOverlay(signal)
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.withSubChart(histogram)
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.withAnalysisCriterionOverlay(new GrossReturnCriterion(), tradingRecord)
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.toChart();
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chartWorkflow.displayChart(chart);
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chartWorkflow.saveChartImage(chart, series, "macdv-momentum-state-strategy", "temp/charts");
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}
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}
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