Examples with UnderIndicatorRule org.ta4j.core.trading.rules.UnderIndicatorRule used on opensource projects

Example 1 with UnderIndicatorRule

use of org.ta4j.core.trading.rules.UnderIndicatorRule in project crypto-bot by jnidzwetzki.

the class BBreakoutStrategy method getStrategy.

public Strategy getStrategy() {
    final ClosePriceIndicator closePrice = new ClosePriceIndicator(timeSeries);
    final SMAIndicator sma = new SMAIndicator(closePrice, bbPeriod);
    final BollingerBandsMiddleIndicator bbmiddle = new BollingerBandsMiddleIndicator(sma);
    final StandardDeviationIndicator sd = new StandardDeviationIndicator(closePrice, bbPeriod);
    final BollingerBandsUpperIndicator bbup = new BollingerBandsUpperIndicator(bbmiddle, sd, Decimal.valueOf(deviationUp));
    final BollingerBandsUpperIndicator bbdown = new BollingerBandsUpperIndicator(bbmiddle, sd, Decimal.valueOf(deviationDown));
    final Rule buyingRule = new UnderIndicatorRule(closePrice, bbdown);
    final Rule sellingRule = new OverIndicatorRule(closePrice, bbup).or(new StopLossRule(closePrice, Decimal.valueOf(2)));
    final BaseStrategy strategy = new BaseStrategy(buyingRule, sellingRule);
    return strategy;
}

Example 2 with UnderIndicatorRule

use of org.ta4j.core.trading.rules.UnderIndicatorRule in project ta4j by ta4j.

the class GlobalExtremaStrategy method buildStrategy.

/**
 * @param series a time series
 * @return a global extrema strategy
 */
public static Strategy buildStrategy(TimeSeries series) {
    if (series == null) {
        throw new IllegalArgumentException("Series cannot be null");
    }
    ClosePriceIndicator closePrices = new ClosePriceIndicator(series);
    // Getting the max price over the past week
    MaxPriceIndicator maxPrices = new MaxPriceIndicator(series);
    HighestValueIndicator weekMaxPrice = new HighestValueIndicator(maxPrices, NB_BARS_PER_WEEK);
    // Getting the min price over the past week
    MinPriceIndicator minPrices = new MinPriceIndicator(series);
    LowestValueIndicator weekMinPrice = new LowestValueIndicator(minPrices, NB_BARS_PER_WEEK);
    // Going long if the close price goes below the min price
    MultiplierIndicator downWeek = new MultiplierIndicator(weekMinPrice, Decimal.valueOf("1.004"));
    Rule buyingRule = new UnderIndicatorRule(closePrices, downWeek);
    // Going short if the close price goes above the max price
    MultiplierIndicator upWeek = new MultiplierIndicator(weekMaxPrice, Decimal.valueOf("0.996"));
    Rule sellingRule = new OverIndicatorRule(closePrices, upWeek);
    return new BaseStrategy(buyingRule, sellingRule);
}

Example 3 with UnderIndicatorRule

use of org.ta4j.core.trading.rules.UnderIndicatorRule in project ta4j by ta4j.

the class MovingMomentumStrategy method buildStrategy.

/**
 * @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 = // Trend
    new OverIndicatorRule(shortEma, longEma).and(// Signal 1
    new CrossedDownIndicatorRule(stochasticOscillK, Decimal.valueOf(20))).and(// Signal 2
    new OverIndicatorRule(macd, emaMacd));
    // Exit rule
    Rule exitRule = // Trend
    new UnderIndicatorRule(shortEma, longEma).and(// Signal 1
    new CrossedUpIndicatorRule(stochasticOscillK, Decimal.valueOf(80))).and(// Signal 2
    new UnderIndicatorRule(macd, emaMacd));
    return new BaseStrategy(entryRule, exitRule);
}

Example 4 with UnderIndicatorRule

use of org.ta4j.core.trading.rules.UnderIndicatorRule in project ta4j by ta4j.

the class RSI2Strategy method buildStrategy.

/**
 * @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 = // Trend
    new OverIndicatorRule(shortSma, longSma).and(// Signal 1
    new CrossedDownIndicatorRule(rsi, Decimal.valueOf(5))).and(// Signal 2
    new OverIndicatorRule(shortSma, closePrice));
    // Exit rule
    // The long-term trend is down when a security is below its 200-period SMA.
    Rule exitRule = // Trend
    new UnderIndicatorRule(shortSma, longSma).and(// Signal 1
    new CrossedUpIndicatorRule(rsi, Decimal.valueOf(95))).and(// Signal 2
    new UnderIndicatorRule(shortSma, closePrice));
    return new BaseStrategy(entryRule, exitRule);
}

Example 5 with UnderIndicatorRule

use of org.ta4j.core.trading.rules.UnderIndicatorRule in project ta4j by ta4j.

the class CachedIndicatorTest method strategyExecutionOnCachedIndicatorAndLimitedTimeSeries.

@Test
public void strategyExecutionOnCachedIndicatorAndLimitedTimeSeries() {
    TimeSeries timeSeries = new MockTimeSeries(0, 1, 2, 3, 4, 5, 6, 7);
    SMAIndicator sma = new SMAIndicator(new ClosePriceIndicator(timeSeries), 2);
    // Theoretical values for SMA(2) cache: 0, 0.5, 1.5, 2.5, 3.5, 4.5, 5.5, 6.5
    timeSeries.setMaximumBarCount(6);
    // Theoretical values for SMA(2) cache: null, null, 2, 2.5, 3.5, 4.5, 5.5, 6.5
    Strategy strategy = new BaseStrategy(new OverIndicatorRule(sma, Decimal.THREE), new UnderIndicatorRule(sma, Decimal.THREE));
    // Theoretical shouldEnter results: false, false, false, false, true, true, true, true
    // Theoretical shouldExit results: false, false, true, true, false, false, false, false
    // As we return the first bar/result found for the removed bars:
    // -> Approximated values for ClosePrice cache: 2, 2, 2, 3, 4, 5, 6, 7
    // -> Approximated values for SMA(2) cache: 2, 2, 2, 2.5, 3.5, 4.5, 5.5, 6.5
    // Then enters/exits are also approximated:
    // -> shouldEnter results: false, false, false, false, true, true, true, true
    // -> shouldExit results: true, true, true, true, false, false, false, false
    assertFalse(strategy.shouldEnter(0));
    assertTrue(strategy.shouldExit(0));
    assertFalse(strategy.shouldEnter(1));
    assertTrue(strategy.shouldExit(1));
    assertFalse(strategy.shouldEnter(2));
    assertTrue(strategy.shouldExit(2));
    assertFalse(strategy.shouldEnter(3));
    assertTrue(strategy.shouldExit(3));
    assertTrue(strategy.shouldEnter(4));
    assertFalse(strategy.shouldExit(4));
    assertTrue(strategy.shouldEnter(5));
    assertFalse(strategy.shouldExit(5));
    assertTrue(strategy.shouldEnter(6));
    assertFalse(strategy.shouldExit(6));
    assertTrue(strategy.shouldEnter(7));
    assertFalse(strategy.shouldExit(7));
}