aidev
78 lines
3.3 KiB
Java
78 lines
3.3 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 java.text.DecimalFormat;
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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.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.Trade;
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import org.ta4j.core.TradingRecord;
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import org.ta4j.core.analysis.cost.CostModel;
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import org.ta4j.core.analysis.cost.LinearBorrowingCostModel;
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import org.ta4j.core.analysis.cost.LinearTransactionCostModel;
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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.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.datasources.BitStampCsvTradesFileBarSeriesDataSource;
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/**
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* This class displays an example of the transaction cost calculation.
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*/
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public class TradeCost {
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private static final Logger LOG = LogManager.getLogger(TradeCost.class);
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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 short selling trading strategy
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Strategy strategy = buildShortSellingMomentumStrategy(series);
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// Setting the trading cost models
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double feePerTrade = 0.0005;
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double borrowingFee = 0.00001;
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CostModel transactionCostModel = new LinearTransactionCostModel(feePerTrade);
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CostModel borrowingCostModel = new LinearBorrowingCostModel(borrowingFee);
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// Running the strategy
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BarSeriesManager seriesManager = new BarSeriesManager(series, transactionCostModel, borrowingCostModel);
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Trade.TradeType entryTrade = Trade.TradeType.SELL;
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TradingRecord tradingRecord = seriesManager.run(strategy, entryTrade);
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DecimalFormat df = new DecimalFormat("##.##");
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LOG.debug("------------ Borrowing Costs ------------");
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tradingRecord.getPositions()
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.forEach(position -> LOG.debug("Borrowing cost for {} periods is: {}",
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df.format(position.getExit().getIndex() - position.getEntry().getIndex()),
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df.format(position.getHoldingCost().doubleValue())));
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LOG.debug("------------ Transaction Costs ------------");
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tradingRecord.getPositions()
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.forEach(position -> LOG.debug("Transaction cost for selling: {} -- Transaction cost for buying: {}",
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df.format(position.getEntry().getCost().doubleValue()),
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df.format(position.getExit().getCost().doubleValue())));
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}
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private static Strategy buildShortSellingMomentumStrategy(BarSeries series) {
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Indicator<Num> closingPrices = new ClosePriceIndicator(series);
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SMAIndicator shortEma = new SMAIndicator(closingPrices, 10);
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SMAIndicator longEma = new SMAIndicator(closingPrices, 50);
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Rule shortOverLongRule = new OverIndicatorRule(shortEma, longEma);
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Rule shortUnderLongRule = new UnderIndicatorRule(shortEma, longEma);
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String strategyName = "Momentum short-selling strategy";
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return new BaseStrategy(strategyName, shortOverLongRule, shortUnderLongRule);
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}
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}
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