aidev
105 lines
4.6 KiB
Java
105 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.*;
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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.adx.ADXIndicator;
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import org.ta4j.core.indicators.adx.MinusDIIndicator;
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import org.ta4j.core.indicators.adx.PlusDIIndicator;
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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.rules.CrossedDownIndicatorRule;
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import org.ta4j.core.rules.CrossedUpIndicatorRule;
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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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* ADX indicator based strategy
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*
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* @see <a href=
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* "http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_directional_index_adx">
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* http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_directional_index_adx</a>
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*/
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public class ADXStrategy {
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private static final Logger LOG = LogManager.getLogger(ADXStrategy.class);
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/**
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* @param series a bar series
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* @return an adx indicator based strategy
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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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final ClosePriceIndicator closePriceIndicator = new ClosePriceIndicator(series);
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final SMAIndicator smaIndicator = new SMAIndicator(closePriceIndicator, 50);
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final int adxBarCount = 14;
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final ADXIndicator adxIndicator = new ADXIndicator(series, adxBarCount);
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final OverIndicatorRule adxOver20Rule = new OverIndicatorRule(adxIndicator, 20);
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final PlusDIIndicator plusDIIndicator = new PlusDIIndicator(series, adxBarCount);
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final MinusDIIndicator minusDIIndicator = new MinusDIIndicator(series, adxBarCount);
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final Rule plusDICrossedUpMinusDI = new CrossedUpIndicatorRule(plusDIIndicator, minusDIIndicator);
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final Rule plusDICrossedDownMinusDI = new CrossedDownIndicatorRule(plusDIIndicator, minusDIIndicator);
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final OverIndicatorRule closePriceOverSma = new OverIndicatorRule(closePriceIndicator, smaIndicator);
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final Rule entryRule = adxOver20Rule.and(plusDICrossedUpMinusDI).and(closePriceOverSma);
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final UnderIndicatorRule closePriceUnderSma = new UnderIndicatorRule(closePriceIndicator, smaIndicator);
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final Rule exitRule = adxOver20Rule.and(plusDICrossedDownMinusDI).and(closePriceUnderSma);
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return new BaseStrategy("ADXStrategy", entryRule, exitRule, adxBarCount);
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}
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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 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(() -> 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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var grossReturn = new GrossReturnCriterion().calculate(series, tradingRecord);
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LOG.debug("{}'s gross return: {}", strategy.getName(), grossReturn);
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ClosePriceIndicator closePriceIndicator = new ClosePriceIndicator(series);
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SMAIndicator smaIndicator = new SMAIndicator(closePriceIndicator, 50);
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int adxBarCount = 14;
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ADXIndicator adxIndicator = new ADXIndicator(series, adxBarCount);
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PlusDIIndicator plusDIIndicator = new PlusDIIndicator(series, adxBarCount);
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MinusDIIndicator minusDIIndicator = new MinusDIIndicator(series, adxBarCount);
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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(smaIndicator)
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.withSubChart(adxIndicator)
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.withIndicatorOverlay(plusDIIndicator)
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.withIndicatorOverlay(minusDIIndicator)
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.withSubChart(new GrossReturnCriterion(), tradingRecord)
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.toChart();
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chartWorkflow.displayChart(chart);
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chartWorkflow.saveChartImage(chart, series, "adx-strategy", "temp/charts");
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}
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}
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