Getting started

Ta4j is an open source Java library for technical analysis. It provides the basic components for creation, evaluation and execution of trading strategies.

About technical analysis

• Wikipedia's article on Technical analysis
• Basics of Technical Analysis (from Investopedia)

Quick overview

At the beginning we just need a time series.

// Getting a time series (from any provider: CSV, web service, etc.)
TimeSeries series = createTimeSeries();

Using indicators

// Getting the close price of the ticks
double firstClosePrice = series.getTick(0).getClosePrice();
System.out.println("First close price: " + firstClosePrice.toDouble());
// Or within an indicator:
ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
// Here is the same close price:
System.out.println(firstClosePrice.isEqual(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).toDouble());

// Getting a longer SMA (e.g. over the 30 last ticks)
SMAIndicator longSma = new SMAIndicator(closePrice, 30);

Ta4j includes more than 40 technical indicators.

Building a trading strategy

// Buying rules
// We want to buy:
//  - if the 5-ticks SMA crosses over 30-ticks SMA
//  - or if the price goes below a defined price (e.g $800.00)
Rule buyingRule = new CrossedUpIndicatorRule(shortSma, longSma)
        .or(new CrossedDownIndicatorRule(closePrice, Decimal.valueOf("800")));

// Selling rules
// We want to sell:
//  - if the 5-ticks SMA crosses under 30-ticks SMA
//  - or if if the price looses more than 3%
//  - or if the price earns more than 2%
Rule sellingRule = new CrossedDownIndicatorRule(shortSma, longSma)
        .or(new StopLossRule(closePrice, Decimal.valueOf("3")))
        .or(new StopGainRule(closePrice, Decimal.valueOf("2")));

See also: Algorithmic trading strategies

Running our juicy strategy

// Running our juicy trading strategy...
TradingRecord tradingRecord = series.run(new Strategy(buyingRule, sellingRule));
System.out.println("Number of trades for our strategy: " + tradingRecord.getTradeCount());

Analyzing our results

// Getting the cash flow of the resulting trades
CashFlow cashFlow = new CashFlow(series, tradingRecord);

// Getting the profitable trades ratio
AnalysisCriterion profitTradesRatio = new AverageProfitableTradesCriterion();
System.out.println("Profitable trades ratio: " + profitTradesRatio.calculate(series, tradingRecord));
// Getting the reward-risk ratio
AnalysisCriterion rewardRiskRatio = new RewardRiskRatioCriterion();
System.out.println("Reward-risk ratio: " + rewardRiskRatio.calculate(series, tradingRecord));

// Total profit of our strategy
// vs total profit of a buy-and-hold strategy
AnalysisCriterion vsBuyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
System.out.println("Our profit vs buy-and-hold profit: " + vsBuyAndHold.calculate(series, tradingRecord));