aidev
115 lines
4.7 KiB
Java
115 lines
4.7 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.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.criteria.pnl.GrossReturnCriterion;
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import org.ta4j.core.indicators.MACDIndicator;
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import org.ta4j.core.indicators.StochasticOscillatorKIndicator;
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import org.ta4j.core.indicators.averages.EMAIndicator;
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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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* Moving momentum strategy.
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*
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* @see <a href=
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* "http://stockcharts.com/help/doku.php?id=chart_school:trading_strategies:moving_momentum">
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* http://stockcharts.com/help/doku.php?id=chart_school:trading_strategies:moving_momentum</a>
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*/
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public class MovingMomentumStrategy {
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private static final Logger LOG = LogManager.getLogger(MovingMomentumStrategy.class);
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/**
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* @param series the bar series
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* @return the moving momentum 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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ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
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// The bias is bullish when the shorter-moving average moves above the longer
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// moving average.
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// The bias is bearish when the shorter-moving average moves below the longer
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// moving average.
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EMAIndicator shortEma = new EMAIndicator(closePrice, 9);
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EMAIndicator longEma = new EMAIndicator(closePrice, 26);
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StochasticOscillatorKIndicator stochasticOscillK = new StochasticOscillatorKIndicator(series, 14);
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MACDIndicator macd = new MACDIndicator(closePrice, 9, 26);
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EMAIndicator emaMacd = new EMAIndicator(macd, 18);
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// Entry rule
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Rule entryRule = new OverIndicatorRule(shortEma, longEma) // Trend
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.and(new CrossedDownIndicatorRule(stochasticOscillK, 20)) // Signal 1
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.and(new OverIndicatorRule(macd, emaMacd)); // Signal 2
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// Exit rule
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Rule exitRule = new UnderIndicatorRule(shortEma, longEma) // Trend
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.and(new CrossedUpIndicatorRule(stochasticOscillK, 80)) // Signal 1
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.and(new UnderIndicatorRule(macd, emaMacd)); // Signal 2
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String strategyName = "MovingMomentumStrategy";
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return new BaseStrategy(strategyName, entryRule, exitRule);
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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 closePrice = new ClosePriceIndicator(series);
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EMAIndicator shortEma = new EMAIndicator(closePrice, 9);
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EMAIndicator longEma = new EMAIndicator(closePrice, 26);
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MACDIndicator macd = new MACDIndicator(closePrice, 9, 26);
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EMAIndicator emaMacd = new EMAIndicator(macd, 18);
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StochasticOscillatorKIndicator stochasticOscillK = new StochasticOscillatorKIndicator(series, 14);
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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(shortEma)
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.withIndicatorOverlay(longEma)
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.withSubChart(macd)
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.withIndicatorOverlay(emaMacd)
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.withSubChart(stochasticOscillK)
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.toChart();
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chartWorkflow.displayChart(chart);
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chartWorkflow.saveChartImage(chart, series, "moving-momentum-strategy", "temp/charts");
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}
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}
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