aidev
83 lines
3.6 KiB
Java
83 lines
3.6 KiB
Java
/*
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* SPDX-License-Identifier: MIT
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*/
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package ta4jexamples.analysis;
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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.AnalysisCriterion.PositionFilter;
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import org.ta4j.core.backtest.BarSeriesManager;
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import org.ta4j.core.criteria.AverageReturnPerBarCriterion;
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import org.ta4j.core.criteria.EnterAndHoldCriterion;
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import org.ta4j.core.criteria.LinearTransactionCostCriterion;
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import org.ta4j.core.criteria.drawdown.MaximumDrawdownCriterion;
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import org.ta4j.core.criteria.NumberOfBarsCriterion;
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import org.ta4j.core.criteria.NumberOfPositionsCriterion;
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import org.ta4j.core.criteria.PositionsRatioCriterion;
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import org.ta4j.core.criteria.drawdown.ReturnOverMaxDrawdownCriterion;
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import org.ta4j.core.criteria.VersusEnterAndHoldCriterion;
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import org.ta4j.core.criteria.pnl.GrossReturnCriterion;
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import org.ta4j.core.criteria.pnl.NetReturnCriterion;
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import ta4jexamples.datasources.BitStampCsvTradesFileBarSeriesDataSource;
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import ta4jexamples.strategies.MovingMomentumStrategy;
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/**
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* This class displays analysis criterion values after running a trading
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* strategy over a bar series.
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*/
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public class StrategyAnalysis {
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private static final Logger LOG = LogManager.getLogger(StrategyAnalysis.class);
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public static void main(String[] args) {
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// Getting the bar series
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var series = BitStampCsvTradesFileBarSeriesDataSource.loadBitstampSeries();
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// Building the trading strategy
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var strategy = MovingMomentumStrategy.buildStrategy(series);
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// Running the strategy
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var seriesManager = new BarSeriesManager(series);
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var tradingRecord = seriesManager.run(strategy);
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/*
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* Analysis criteria
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*/
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var grossReturn = new GrossReturnCriterion().calculate(series, tradingRecord);
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LOG.debug("Gross return: {}", grossReturn);
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var netReturnCriterion = new NetReturnCriterion();
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var netReturn = netReturnCriterion.calculate(series, tradingRecord);
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LOG.debug("Net return: {}", netReturn);
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var numberOfBars = new NumberOfBarsCriterion().calculate(series, tradingRecord);
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LOG.debug("Number of bars: {}", numberOfBars);
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var AverageReturnPerBar = new AverageReturnPerBarCriterion().calculate(series, tradingRecord);
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LOG.debug("Average return per bar: {}", AverageReturnPerBar);
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var numberOfPositions = new NumberOfPositionsCriterion().calculate(series, tradingRecord);
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LOG.debug("Number of positions: {}", numberOfPositions);
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var positionsRatio = new PositionsRatioCriterion(PositionFilter.PROFIT).calculate(series, tradingRecord);
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LOG.debug("Winning positions ratio: {}", positionsRatio);
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var maximumDrawdown = new MaximumDrawdownCriterion().calculate(series, tradingRecord);
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LOG.debug("Maximum drawdown: {}", maximumDrawdown);
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var returnOverMaxDrawdown = new ReturnOverMaxDrawdownCriterion().calculate(series, tradingRecord);
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LOG.debug("Return over maximum drawdown: {}", returnOverMaxDrawdown);
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var linearTransactionCost = new LinearTransactionCostCriterion(1000, 0.005).calculate(series, tradingRecord);
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LOG.debug("Total transaction cost (from $1000): {}", linearTransactionCost);
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var enterAndHold = EnterAndHoldCriterion.EnterAndHoldReturnCriterion().calculate(series, tradingRecord);
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LOG.debug("Buy-and-hold return: {}", enterAndHold);
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var versusEnterAndHold = new VersusEnterAndHoldCriterion(netReturnCriterion).calculate(series, tradingRecord);
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LOG.debug("Custom strategy return vs buy-and-hold strategy return: {}", versusEnterAndHold);
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}
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}
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