StrategyAnalysis.java

/**
 * 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 eu.verdelhan.ta4j.Strategy;
import eu.verdelhan.ta4j.TimeSeries;
import eu.verdelhan.ta4j.TradingRecord;
import eu.verdelhan.ta4j.analysis.criteria.AverageProfitCriterion;
import eu.verdelhan.ta4j.analysis.criteria.AverageProfitableTradesCriterion;
import eu.verdelhan.ta4j.analysis.criteria.BuyAndHoldCriterion;
import eu.verdelhan.ta4j.analysis.criteria.LinearTransactionCostCriterion;
import eu.verdelhan.ta4j.analysis.criteria.MaximumDrawdownCriterion;
import eu.verdelhan.ta4j.analysis.criteria.NumberOfTicksCriterion;
import eu.verdelhan.ta4j.analysis.criteria.NumberOfTradesCriterion;
import eu.verdelhan.ta4j.analysis.criteria.RewardRiskRatioCriterion;
import eu.verdelhan.ta4j.analysis.criteria.TotalProfitCriterion;
import eu.verdelhan.ta4j.analysis.criteria.VersusBuyAndHoldCriterion;
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
        TradingRecord tradingRecord = series.run(strategy);

        /**
         * Analysis criteria
         */

        // Total profit
        TotalProfitCriterion totalProfit = new TotalProfitCriterion();
        System.out.println("Total profit: " + totalProfit.calculate(series, tradingRecord));
        // Number of ticks
        System.out.println("Number of ticks: " + new NumberOfTicksCriterion().calculate(series, tradingRecord));
        // Average profit (per tick)
        System.out.println("Average profit (per tick): " + 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));
    }
}