RSI2Strategy.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.simple.ClosePriceIndicator;
import eu.verdelhan.ta4j.indicators.trackers.RSIIndicator;
import eu.verdelhan.ta4j.indicators.trackers.SMAIndicator;
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;

/**
 * 2-Period RSI Strategy
 * <p>
 * @see http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:rsi2
 */
public class RSI2Strategy {

    /**
     * @param series a time series
     * @return a 2-period RSI strategy
     */
    public static Strategy buildStrategy(TimeSeries series) {
        if (series == null) {
            throw new IllegalArgumentException("Series cannot be null");
        }

        ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
        SMAIndicator shortSma = new SMAIndicator(closePrice, 5);
        SMAIndicator longSma = new SMAIndicator(closePrice, 200);

        // We use a 2-period RSI indicator to identify buying
        // or selling opportunities within the bigger trend.
        RSIIndicator rsi = new RSIIndicator(closePrice, 2);
        
        // Entry rule
        // The long-term trend is up when a security is above its 200-period SMA.
        Rule entryRule = new OverIndicatorRule(shortSma, longSma) // Trend
                .and(new CrossedDownIndicatorRule(rsi, Decimal.valueOf(5))) // Signal 1
                .and(new OverIndicatorRule(shortSma, closePrice)); // Signal 2
        
        // Exit rule
        // The long-term trend is down when a security is below its 200-period SMA.
        Rule exitRule = new UnderIndicatorRule(shortSma, longSma) // Trend
                .and(new CrossedUpIndicatorRule(rsi, Decimal.valueOf(95))) // Signal 1
                .and(new UnderIndicatorRule(shortSma, closePrice)); // Signal 2
        
        // TODO: Finalize the strategy
        
        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));
    }

}