
ta4jexamples.analysis.CashFlowToChart Maven / Gradle / Ivy
/**
* The MIT License (MIT)
*
* Copyright (c) 2014-2017 Marc de Verdelhan, 2017-2019 Ta4j Organization & respective
* authors (see AUTHORS)
*
* Permission is hereby granted, free of charge, to any person obtaining a copy of
* this software and associated documentation files (the "Software"), to deal in
* the Software without restriction, including without limitation the rights to
* use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
* the Software, and to permit persons to whom the Software is furnished to do so,
* subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in all
* copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
* COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
* IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
* CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
package ta4jexamples.analysis;
import org.jfree.chart.ChartFactory;
import org.jfree.chart.ChartPanel;
import org.jfree.chart.JFreeChart;
import org.jfree.chart.axis.DateAxis;
import org.jfree.chart.axis.NumberAxis;
import org.jfree.chart.plot.XYPlot;
import org.jfree.chart.renderer.xy.StandardXYItemRenderer;
import org.jfree.data.time.Minute;
import org.jfree.data.time.TimeSeriesCollection;
import org.jfree.ui.ApplicationFrame;
import org.jfree.ui.RefineryUtilities;
import org.ta4j.core.Bar;
import org.ta4j.core.BarSeries;
import org.ta4j.core.BarSeriesManager;
import org.ta4j.core.Indicator;
import org.ta4j.core.Strategy;
import org.ta4j.core.TradingRecord;
import org.ta4j.core.analysis.CashFlow;
import org.ta4j.core.indicators.helpers.ClosePriceIndicator;
import org.ta4j.core.num.Num;
import ta4jexamples.loaders.CsvTradesLoader;
import ta4jexamples.strategies.MovingMomentumStrategy;
import java.awt.*;
import java.text.SimpleDateFormat;
import java.util.Date;
/**
* This class builds a graphical chart showing the cash flow of a strategy.
*/
public class CashFlowToChart {
/**
* Builds a JFreeChart time series from a Ta4j bar series and an indicator.
*
* @param barSeries the ta4j bar series
* @param indicator the indicator
* @param name the name of the chart time series
* @return the JFreeChart time series
*/
private static org.jfree.data.time.TimeSeries buildChartBarSeries(BarSeries barSeries, Indicator indicator,
String name) {
org.jfree.data.time.TimeSeries chartBarSeries = new org.jfree.data.time.TimeSeries(name);
for (int i = 0; i < barSeries.getBarCount(); i++) {
Bar bar = barSeries.getBar(i);
chartBarSeries.add(new Minute(new Date(bar.getEndTime().toEpochSecond() * 1000)),
indicator.getValue(i).doubleValue());
}
return chartBarSeries;
}
/**
* Adds the cash flow axis to the plot.
*
* @param plot the plot
* @param dataset the cash flow dataset
*/
private static void addCashFlowAxis(XYPlot plot, TimeSeriesCollection dataset) {
final NumberAxis cashAxis = new NumberAxis("Cash Flow Ratio");
cashAxis.setAutoRangeIncludesZero(false);
plot.setRangeAxis(1, cashAxis);
plot.setDataset(1, dataset);
plot.mapDatasetToRangeAxis(1, 1);
final StandardXYItemRenderer cashFlowRenderer = new StandardXYItemRenderer();
cashFlowRenderer.setSeriesPaint(0, Color.blue);
plot.setRenderer(1, cashFlowRenderer);
}
/**
* Displays a chart in a frame.
*
* @param chart the chart to be displayed
*/
private static void displayChart(JFreeChart chart) {
// Chart panel
ChartPanel panel = new ChartPanel(chart);
panel.setFillZoomRectangle(true);
panel.setMouseWheelEnabled(true);
panel.setPreferredSize(new Dimension(1024, 400));
// Application frame
ApplicationFrame frame = new ApplicationFrame("Ta4j example - Cash flow to chart");
frame.setContentPane(panel);
frame.pack();
RefineryUtilities.centerFrameOnScreen(frame);
frame.setVisible(true);
}
public static void main(String[] args) {
// Getting the bar series
BarSeries series = CsvTradesLoader.loadBitstampSeries();
// Building the trading strategy
Strategy strategy = MovingMomentumStrategy.buildStrategy(series);
// Running the strategy
BarSeriesManager seriesManager = new BarSeriesManager(series);
TradingRecord tradingRecord = seriesManager.run(strategy);
// Getting the cash flow of the resulting trades
CashFlow cashFlow = new CashFlow(series, tradingRecord);
/*
* Building chart datasets
*/
TimeSeriesCollection datasetAxis1 = new TimeSeriesCollection();
datasetAxis1.addSeries(buildChartBarSeries(series, new ClosePriceIndicator(series), "Bitstamp Bitcoin (BTC)"));
TimeSeriesCollection datasetAxis2 = new TimeSeriesCollection();
datasetAxis2.addSeries(buildChartBarSeries(series, cashFlow, "Cash Flow"));
/*
* Creating the chart
*/
JFreeChart chart = ChartFactory.createTimeSeriesChart("Bitstamp BTC", // title
"Date", // x-axis label
"Price", // y-axis label
datasetAxis1, // data
true, // create legend?
true, // generate tooltips?
false // generate URLs?
);
XYPlot plot = (XYPlot) chart.getPlot();
DateAxis axis = (DateAxis) plot.getDomainAxis();
axis.setDateFormatOverride(new SimpleDateFormat("MM-dd HH:mm"));
/*
* Adding the cash flow axis (on the right)
*/
addCashFlowAxis(plot, datasetAxis2);
/*
* Displaying the chart
*/
displayChart(chart);
}
}
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