aidev
91 lines
2.9 KiB
Java
91 lines
2.9 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 java.time.Duration;
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import java.time.Instant;
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import java.util.stream.Stream;
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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.ta4j.core.BarSeries;
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import org.ta4j.core.BaseBarSeriesBuilder;
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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.indicators.averages.SMAIndicator;
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import org.ta4j.core.indicators.helpers.ClosePriceIndicator;
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import org.ta4j.core.indicators.helpers.UnstableIndicator;
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import org.ta4j.core.num.Num;
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import org.ta4j.core.rules.CrossedDownIndicatorRule;
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import org.ta4j.core.rules.CrossedUpIndicatorRule;
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public class UnstableIndicatorStrategy {
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private static final Logger LOG = LogManager.getLogger(UnstableIndicatorStrategy.class);
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public static final Duration MINUTE = Duration.ofMinutes(1);
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public static final Instant TIME = Instant.parse("2020-01-01T00:00:00Z");
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public static Strategy buildStrategy(BarSeries series) {
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ClosePriceIndicator close = new ClosePriceIndicator(series);
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int smaPeriod = 3;
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Indicator<Num> sma = new UnstableIndicator(new SMAIndicator(close, smaPeriod), smaPeriod - 1);
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Rule entryRule = new CrossedUpIndicatorRule(close, sma);
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Rule exitRule = new CrossedDownIndicatorRule(close, sma);
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BaseStrategy strategy = new BaseStrategy(entryRule, exitRule);
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strategy.setUnstableBars(3);
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return strategy;
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}
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public static void main(String[] args) {
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inappropriateTrade();
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appropriateTrade();
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}
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public static void inappropriateTrade() {
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// Should not trade
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test("Inappropriate trade", Stream.of(10d, 2d, 6d, 16d, 8d));
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}
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public static void appropriateTrade() {
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// Should trade
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test("Appropriate trade", Stream.of(10d, 8d, 6d, 16d, 8d));
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}
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public static void test(String name, Stream<Double> closePrices) {
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// Getting the bar series
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BarSeries series = new BaseBarSeriesBuilder().build();
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Instant[] currentTime = { TIME };
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closePrices.forEach(close -> {
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series.barBuilder()
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.timePeriod(MINUTE)
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.endTime(currentTime[0])
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.openPrice(0)
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.closePrice(close)
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.highPrice(0)
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.lowPrice(0)
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.add();
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currentTime[0] = currentTime[0].plus(MINUTE);
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});
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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("{} {}", name, tradingRecord.getPositions());
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}
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}
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