MovingMomentumStrategy.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.strategies;

import eu.verdelhan.ta4j.Decimal;
import eu.verdelhan.ta4j.Rule;
import eu.verdelhan.ta4j.Strategy;
import eu.verdelhan.ta4j.TimeSeries;
import eu.verdelhan.ta4j.TradingRecord;
import eu.verdelhan.ta4j.analysis.criteria.TotalProfitCriterion;
import eu.verdelhan.ta4j.indicators.oscillators.StochasticOscillatorKIndicator;
import eu.verdelhan.ta4j.indicators.simple.ClosePriceIndicator;
import eu.verdelhan.ta4j.indicators.trackers.EMAIndicator;
import eu.verdelhan.ta4j.indicators.trackers.MACDIndicator;
import eu.verdelhan.ta4j.trading.rules.CrossedDownIndicatorRule;
import eu.verdelhan.ta4j.trading.rules.CrossedUpIndicatorRule;
import eu.verdelhan.ta4j.trading.rules.OverIndicatorRule;
import eu.verdelhan.ta4j.trading.rules.UnderIndicatorRule;
import ta4jexamples.loaders.CsvTradesLoader;

/**
 * Moving momentum strategy.
 * <p>
 * @see http://stockcharts.com/help/doku.php?id=chart_school:trading_strategies:moving_momentum
 */
public class MovingMomentumStrategy {

    /**
     * @param series a time series
     * @return a moving momentum strategy
     */
    public static Strategy buildStrategy(TimeSeries series) {
        if (series == null) {
            throw new IllegalArgumentException("Series cannot be null");
        }

        ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
        
        // The bias is bullish when the shorter-moving average moves above the longer moving average.
        // The bias is bearish when the shorter-moving average moves below the longer moving average.
        EMAIndicator shortEma = new EMAIndicator(closePrice, 9);
        EMAIndicator longEma = new EMAIndicator(closePrice, 26);

        StochasticOscillatorKIndicator stochasticOscillK = new StochasticOscillatorKIndicator(series, 14);

        MACDIndicator macd = new MACDIndicator(closePrice, 9, 26);
        EMAIndicator emaMacd = new EMAIndicator(macd, 18);
        
        // Entry rule
        Rule entryRule = new OverIndicatorRule(shortEma, longEma) // Trend
                .and(new CrossedDownIndicatorRule(stochasticOscillK, Decimal.valueOf(20))) // Signal 1
                .and(new OverIndicatorRule(macd, emaMacd)); // Signal 2
        
        // Exit rule
        Rule exitRule = new UnderIndicatorRule(shortEma, longEma) // Trend
                .and(new CrossedUpIndicatorRule(stochasticOscillK, Decimal.valueOf(80))) // Signal 1
                .and(new UnderIndicatorRule(macd, emaMacd)); // Signal 2
        
        return new Strategy(entryRule, exitRule);
    }

    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
        TradingRecord tradingRecord = series.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));
    }
}