aidev
102 lines
4.2 KiB
Java
102 lines
4.2 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.NetProfitCriterion;
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import org.ta4j.core.criteria.pnl.NetProfitLossCriterion;
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import org.ta4j.core.indicators.NetMomentumIndicator;
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import org.ta4j.core.indicators.RSIIndicator;
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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 java.awt.Color;
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import ta4jexamples.charting.workflow.ChartWorkflow;
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import ta4jexamples.datasources.JsonFileBarSeriesDataSource;
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import java.io.IOException;
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import java.io.InputStream;
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import java.util.Objects;
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public class NetMomentumStrategy {
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private static final Logger LOG = LogManager.getLogger(NetMomentumStrategy.class);
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private static final int DEFAULT_OVERBOUGHT_THRESHOLD = 900;
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private static final int DEFAULT_MOMENTUM_TIMEFRAME = 200;
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private static final int DEFAULT_OVERSOLD_THRESHOLD = -200;
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private static final int DEFAULT_RSI_BARCOUNT = 14;
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private static final double DEFAULT_DECAY_FACTOR = 1;
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public static void main(String[] args) {
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String jsonOhlcResourceFile = "Coinbase-ETH-USD-PT1D-20160517_20251028.json";
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BarSeries series = null;
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try (InputStream resourceStream = NetMomentumStrategy.class.getClassLoader()
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.getResourceAsStream(jsonOhlcResourceFile)) {
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series = JsonFileBarSeriesDataSource.DEFAULT_INSTANCE.loadSeries(resourceStream);
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} catch (IOException ex) {
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LOG.error("IOException while loading resource: {} - {}", jsonOhlcResourceFile, ex.getMessage());
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}
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Objects.requireNonNull(series, "Bar series was null");
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// Running the strategy
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runSingleStrategy(series);
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}
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private static void runSingleStrategy(BarSeries series) {
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BarSeriesManager seriesManager = new BarSeriesManager(series);
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ClosePriceIndicator closePriceIndicator = new ClosePriceIndicator(series);
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RSIIndicator rsiIndicator = new RSIIndicator(closePriceIndicator, DEFAULT_RSI_BARCOUNT);
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NetMomentumIndicator rsiM = NetMomentumIndicator.forRsiWithDecay(rsiIndicator, DEFAULT_MOMENTUM_TIMEFRAME,
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DEFAULT_DECAY_FACTOR);
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Strategy strategy = createStrategy(rsiM);
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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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var netProfitLoss = new NetProfitLossCriterion().calculate(series, tradingRecord);
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LOG.debug("{}'s net profit/loss: {}", strategy.getName(), netProfitLoss);
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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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.withAnalysisCriterionOverlay(new NetProfitCriterion(), tradingRecord)
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.withSubChart(rsiIndicator)
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.withHorizontalMarker(50)
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.withLineColor(Color.GRAY)
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.withOpacity(0.3f)
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.withHorizontalMarker(70)
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.withLineColor(Color.RED)
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.withOpacity(0.3f)
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.withHorizontalMarker(30)
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.withLineColor(Color.GREEN)
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.withOpacity(0.3f)
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.withSubChart(rsiM)
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.withHorizontalMarker(0)
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.withLineColor(Color.GRAY)
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.withOpacity(0.3f)
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.toChart();
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chartWorkflow.displayChart(chart);
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chartWorkflow.saveChartImage(chart, series, "net-momentum-strategy", "temp/charts");
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}
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private static Strategy createStrategy(NetMomentumIndicator rsiM) {
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Rule entryRule = new CrossedUpIndicatorRule(rsiM, DEFAULT_OVERSOLD_THRESHOLD);
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Rule exitRule = new CrossedDownIndicatorRule(rsiM, DEFAULT_OVERBOUGHT_THRESHOLD);
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return new BaseStrategy(NetMomentumStrategy.class.getSimpleName(), entryRule, exitRule);
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}
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}
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