ta4jexamples.strategies.CCICorrectionStrategy Maven / Gradle / Ivy
/*
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.strategies;
import org.ta4j.core.*;
import org.ta4j.core.analysis.criteria.TotalProfitCriterion;
import org.ta4j.core.indicators.CCIIndicator;
import org.ta4j.core.trading.rules.OverIndicatorRule;
import org.ta4j.core.trading.rules.UnderIndicatorRule;
import ta4jexamples.loaders.CsvTradesLoader;
/**
* CCI Correction Strategy
*
* @see
* http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:cci_correction
*/
public class CCICorrectionStrategy {
/**
* @param series a time series
* @return a CCI correction strategy
*/
public static Strategy buildStrategy(TimeSeries series) {
if (series == null) {
throw new IllegalArgumentException("Series cannot be null");
}
CCIIndicator longCci = new CCIIndicator(series, 200);
CCIIndicator shortCci = new CCIIndicator(series, 5);
Decimal plus100 = Decimal.HUNDRED;
Decimal minus100 = Decimal.valueOf(-100);
Rule entryRule = new OverIndicatorRule(longCci, plus100) // Bull trend
.and(new UnderIndicatorRule(shortCci, minus100)); // Signal
Rule exitRule = new UnderIndicatorRule(longCci, minus100) // Bear trend
.and(new OverIndicatorRule(shortCci, plus100)); // Signal
Strategy strategy = new BaseStrategy(entryRule, exitRule);
strategy.setUnstablePeriod(5);
return strategy;
}
public static void main(String[] args) {
// Getting the time series
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
// Building the trading strategy
Strategy strategy = buildStrategy(series);
// Running the strategy
TimeSeriesManager seriesManager = new TimeSeriesManager(series);
TradingRecord tradingRecord = seriesManager.run(strategy);
System.out.println("Number of trades for the strategy: " + tradingRecord.getTradeCount());
// Analysis
System.out.println("Total profit for the strategy: " + new TotalProfitCriterion().calculate(series, tradingRecord));
}
}