public static void main(String[] args) {
// Getting a time series (from any provider: CSV, web service, etc.)
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
// Getting the close price of the ticks
double firstClosePrice = series.getTick(0).getClosePrice();
System.out.println("First close price: " + firstClosePrice);
// Or within an indicator:
ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
// Here is the same close price:
System.out.println(firstClosePrice == closePrice.getValue(0)); // equal to firstClosePrice
// Getting the simple moving average (SMA) of the close price over the last 5 ticks
SMAIndicator shortSma = new SMAIndicator(closePrice, 5);
// Here is the 5-ticks-SMA value at the 42nd index
System.out.println("5-ticks-SMA value at the 42nd index: " + shortSma.getValue(42));
// Getting a longer SMA (e.g. over the 30 last ticks)
SMAIndicator longSma = new SMAIndicator(closePrice, 30);
// Ok, now let's building our trading strategy!
// Initial strategy:
// - Buy when 5-ticks SMA crosses over 30-ticks SMA
// - Sell when 5-ticks SMA crosses under 30-ticks SMA
Strategy ourStrategy = new IndicatorCrossedIndicatorStrategy(shortSma, longSma);
// Cutomizing our strategy...
// We want to buy if the price goes below a defined price (e.g $800.00)
ourStrategy = new SupportStrategy(closePrice, ourStrategy, 800d);
// And we want to sell if the price looses more than 3%
ourStrategy = new StopLossStrategy(closePrice, ourStrategy, 3);
// Or if the price earns more than 2%
ourStrategy = new StopGainStrategy(closePrice, ourStrategy, 2);
// Running our juicy trading strategy...
Runner ourRunner = new Runner(series, ourStrategy);
List<Trade> trades = ourRunner.run();
System.out.println("Number of trades for our strategy: " + trades.size());
// Analysis
// Getting the cash flow of the resulting trades
CashFlow cashFlow = new CashFlow(series, trades);
// Running a reference strategy (for comparison) in which we buy just once
Runner referenceRunner = new Runner(series, new JustBuyOnceStrategy());
List<Trade> referenceTrades = referenceRunner.run();
System.out.println("Number of trades for reference strategy: " + referenceTrades.size());
// Comparing our strategy to the just-buy-once strategy according to a criterion
TotalProfitCriterion criterion = new TotalProfitCriterion();
// Our strategy is better than a just-buy-once one
System.out.println("Total profit for our strategy: " + criterion.calculate(series, trades));
System.out.println(
"Total profit for reference strategy: " + criterion.calculate(series, referenceTrades));
}
/**
* Builds a JFreeChart time series from a Ta4j time series and an indicator.
*
* @param tickSeries the ta4j time 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 buildChartTimeSeries(
TimeSeries tickSeries, Indicator<Decimal> indicator, String name) {
org.jfree.data.time.TimeSeries chartTimeSeries = new org.jfree.data.time.TimeSeries(name);
for (int i = 0; i < tickSeries.getTickCount(); i++) {
Tick tick = tickSeries.getTick(i);
chartTimeSeries.add(new Day(tick.getEndTime().toDate()), indicator.getValue(i).toDouble());
}
return chartTimeSeries;
}
@Override
protected Decimal calculate(int index) {
return series.getTick(index).getClosePrice();
}