--
-- Ted
--~--~---------~--~----~------------~-------~--~----~
You received this message because you are subscribed to the Google Groups
"JBookTrader" group.
To post to this group, send email to [email protected]
To unsubscribe from this group, send email to
[email protected]
For more options, visit this group at
http://groups.google.com/group/jbooktrader?hl=en
-~----------~----~----~----~------~----~------~--~---
package com.jbooktrader.strategy;
import com.jbooktrader.indicator.depth.*;
import com.jbooktrader.indicator.price.*;
import com.jbooktrader.platform.indicator.*;
import com.jbooktrader.platform.model.*;
import com.jbooktrader.platform.optimizer.*;
/**
*
*/
public class HanSolo extends StrategyES {
// Technical indicators
private final Indicator balanceRsiInd, rsiInd;
// Strategy parameters names
private static final String DEPTH_RSI_PERIOD = "EmaPeriod";
private static final String RSI_PERIOD = "RsiPeriod";
private static final String BALANCE_ENTRY = "BalanceEntry";
private static final String RSI_ENTRY = "RsiEntry";
// Strategy parameters values
private final int balanceEntry, rsiEntry;
public HanSolo(StrategyParams optimizationParams) throws
JBookTraderException {
super(optimizationParams);
balanceEntry = getParam(BALANCE_ENTRY);
rsiEntry = getParam(RSI_ENTRY);
// Create technical indicators
rsiInd = new PriceRSI(getParam(RSI_PERIOD));
balanceRsiInd = new DepthBalanceRSI(getParam(DEPTH_RSI_PERIOD));
addIndicator(rsiInd);
addIndicator(balanceRsiInd);
}
/**
* Adds parameters to strategy. Each parameter must have 5 values:
* name: identifier
* min, max, step: range for optimizer
* value: used in backtesting and trading
*/
@Override
public void setParams() {
addParam(DEPTH_RSI_PERIOD, 1, 126, 2, 21);
addParam(RSI_PERIOD, 1, 201, 2, 35);
addParam(BALANCE_ENTRY, 1, 51, 2, 43);
addParam(RSI_ENTRY, 1, 51, 2, 47);
}
/**
* This method is invoked by the framework when an order book changes and
the technical
* indicators are recalculated. This is where the strategy itself should be
defined.
*/
@Override
public void onBookChange() {
double rsi = rsiInd.getValue() - 50;
double balanceRsi = balanceRsiInd.getValue();
if (balanceRsi >= balanceEntry && rsi <= -rsiEntry) {
setPosition(1);
} else if (balanceRsi <= -balanceEntry && rsi >= rsiEntry) {
setPosition(-1);
}
}
}
