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Provides examples that demonstrate how to use ta4j
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/*
  The MIT License (MIT)

  Copyright (c) 2014-2017 Marc de Verdelhan & 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.ta4j.core.Strategy;
import org.ta4j.core.TimeSeries;
import org.ta4j.core.TimeSeriesManager;
import org.ta4j.core.TradingRecord;
import org.ta4j.core.analysis.criteria.*;
import ta4jexamples.loaders.CsvTradesLoader;
import ta4jexamples.strategies.MovingMomentumStrategy;

/**
 * This class diplays analysis criterion values after running a trading strategy over a time series.
 */
public class StrategyAnalysis {

    public static void main(String[] args) {

        // Getting the time series
        TimeSeries series = CsvTradesLoader.loadBitstampSeries();
        // Building the trading strategy
        Strategy strategy = MovingMomentumStrategy.buildStrategy(series);
        // Running the strategy
        TimeSeriesManager seriesManager = new TimeSeriesManager(series);
        TradingRecord tradingRecord = seriesManager.run(strategy);

        /*
          Analysis criteria
         */

        // Total profit
        TotalProfitCriterion totalProfit = new TotalProfitCriterion();
        System.out.println("Total profit: " + totalProfit.calculate(series, tradingRecord));
        // Number of bars
        System.out.println("Number of bars: " + new NumberOfBarsCriterion().calculate(series, tradingRecord));
        // Average profit (per bar)
        System.out.println("Average profit (per bar): " + new AverageProfitCriterion().calculate(series, tradingRecord));
        // Number of trades
        System.out.println("Number of trades: " + new NumberOfTradesCriterion().calculate(series, tradingRecord));
        // Profitable trades ratio
        System.out.println("Profitable trades ratio: " + new AverageProfitableTradesCriterion().calculate(series, tradingRecord));
        // Maximum drawdown
        System.out.println("Maximum drawdown: " + new MaximumDrawdownCriterion().calculate(series, tradingRecord));
        // Reward-risk ratio
        System.out.println("Reward-risk ratio: " + new RewardRiskRatioCriterion().calculate(series, tradingRecord));
        // Total transaction cost
        System.out.println("Total transaction cost (from $1000): " + new LinearTransactionCostCriterion(1000, 0.005).calculate(series, tradingRecord));
        // Buy-and-hold
        System.out.println("Buy-and-hold: " + new BuyAndHoldCriterion().calculate(series, tradingRecord));
        // Total profit vs buy-and-hold
        System.out.println("Custom strategy profit vs buy-and-hold strategy profit: " + new VersusBuyAndHoldCriterion(totalProfit).calculate(series, tradingRecord));
    }
}