aidev
108 lines
4.6 KiB
Java
108 lines
4.6 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.Strategy;
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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.criteria.pnl.NetProfitCriterion;
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import org.ta4j.core.indicators.helpers.ClosePriceIndicator;
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import org.ta4j.core.indicators.helpers.HighPriceIndicator;
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import org.ta4j.core.indicators.helpers.HighestValueIndicator;
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import org.ta4j.core.indicators.helpers.LowPriceIndicator;
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import org.ta4j.core.indicators.helpers.LowestValueIndicator;
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import org.ta4j.core.indicators.numeric.BinaryOperationIndicator;
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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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* Strategies which compares current price to global extrema over a week.
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*/
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public class GlobalExtremaStrategy {
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private static final Logger LOG = LogManager.getLogger(GlobalExtremaStrategy.class);
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// We assume that there were at least one position every 5 minutes during the
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// whole
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// week
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private static final int NB_BARS_PER_WEEK = 12 * 24 * 7;
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/**
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* @param series the bar series
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* @return the global extrema strategy
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*/
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public static Strategy buildStrategy(final 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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final var closePrices = new ClosePriceIndicator(series);
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// Getting the high price over the past week
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final var highPrices = new HighPriceIndicator(series);
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final var weekHighPrice = new HighestValueIndicator(highPrices, NB_BARS_PER_WEEK);
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// Getting the low price over the past week
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final var lowPrices = new LowPriceIndicator(series);
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final var weekLowPrice = new LowestValueIndicator(lowPrices, NB_BARS_PER_WEEK);
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// Going long if the close price goes below the low price
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final var downWeek = BinaryOperationIndicator.product(weekLowPrice, 1.004);
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final var buyingRule = new UnderIndicatorRule(closePrices, downWeek);
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// Going short if the close price goes above the high price
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final var upWeek = BinaryOperationIndicator.product(weekHighPrice, 0.996);
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final var sellingRule = new OverIndicatorRule(closePrices, upWeek);
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String strategyName = "GlobalExtremaStrategy";
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return new BaseStrategy(strategyName, buyingRule, sellingRule);
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}
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public static void main(final String[] args) {
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// Getting the bar series
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final var series = BitStampCsvTradesFileBarSeriesDataSource.loadBitstampSeries();
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// Building the trading strategy
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final var strategy = buildStrategy(series);
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// Running the strategy
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final var seriesManager = new BarSeriesManager(series);
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final var 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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final var grossReturn = new GrossReturnCriterion().calculate(series, tradingRecord);
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LOG.debug("{}'s gross return: {}", strategy.getName(), grossReturn);
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final var highPrices = new HighPriceIndicator(series);
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final var weekHighPrice = new HighestValueIndicator(highPrices, NB_BARS_PER_WEEK);
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final var lowPrices = new LowPriceIndicator(series);
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final var weekLowPrice = new LowestValueIndicator(lowPrices, NB_BARS_PER_WEEK);
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final var downWeek = BinaryOperationIndicator.product(weekLowPrice, 1.004);
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final var upWeek = BinaryOperationIndicator.product(weekHighPrice, 0.996);
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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(weekHighPrice)
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.withIndicatorOverlay(weekLowPrice)
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.withIndicatorOverlay(downWeek)
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.withIndicatorOverlay(upWeek)
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.withAnalysisCriterionOverlay(new NetProfitCriterion(), tradingRecord)
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.toChart();
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chartWorkflow.displayChart(chart);
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chartWorkflow.saveChartImage(chart, series, "global-extrema-strategy", "temp/charts");
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}
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}
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