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Backtesting implemented / Refactoring

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This commit is contained in:
Dennis Thießen
2017-06-09 11:28:29 +02:00
parent 0f3913b7a1
commit 8816456e9d
11 changed files with 533 additions and 265 deletions
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18
dekaBot.iml
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@@ -1,12 +1,11 @@
<?xml version="1.0" encoding="UTF-8"?>
<module org.jetbrains.idea.maven.project.MavenProjectsManager.isMavenModule="true" type="JAVA_MODULE" version="4">
<component name="NewModuleRootManager" LANGUAGE_LEVEL="JDK_1_5">
<component name="NewModuleRootManager" LANGUAGE_LEVEL="JDK_1_7">
<output url="file://$MODULE_DIR$/target/classes" />
<output-test url="file://$MODULE_DIR$/target/test-classes" />
<content url="file://$MODULE_DIR$">
<sourceFolder url="file://$MODULE_DIR$/src/main/java" isTestSource="false" />
<sourceFolder url="file://$MODULE_DIR$/src/main/resources" type="java-resource" />
<sourceFolder url="file://$MODULE_DIR$/src/test/java" isTestSource="true" />
<excludeFolder url="file://$MODULE_DIR$/target" />
</content>
<orderEntry type="inheritedJdk" />
@@ -21,18 +20,9 @@
<orderEntry type="library" name="Maven: org.apache.httpcomponents:httpmime:4.3.6" level="project" />
<orderEntry type="library" name="Maven: org.apache.commons:commons-math3:3.6.1" level="project" />
<orderEntry type="library" name="Maven: org.json:json:20140107" level="project" />
<orderEntry type="library" name="Maven: org.drools:drools-core:6.5.0.Final" level="project" />
<orderEntry type="library" name="Maven: org.mvel:mvel2:2.2.8.Final" level="project" />
<orderEntry type="library" name="Maven: org.kie:kie-api:6.5.0.Final" level="project" />
<orderEntry type="library" name="Maven: org.kie:kie-internal:6.5.0.Final" level="project" />
<orderEntry type="library" name="Maven: org.slf4j:slf4j-api:1.7.2" level="project" />
<orderEntry type="library" name="Maven: org.drools:drools-compiler:6.5.0.Final" level="project" />
<orderEntry type="library" name="Maven: org.antlr:antlr-runtime:3.5" level="project" />
<orderEntry type="library" name="Maven: org.eclipse.jdt.core.compiler:ecj:4.4.2" level="project" />
<orderEntry type="library" name="Maven: com.thoughtworks.xstream:xstream:1.4.9" level="project" />
<orderEntry type="library" name="Maven: xmlpull:xmlpull:1.1.3.1" level="project" />
<orderEntry type="library" name="Maven: xpp3:xpp3_min:1.1.4c" level="project" />
<orderEntry type="library" name="Maven: com.google.protobuf:protobuf-java:2.6.0" level="project" />
<orderEntry type="library" name="Maven: com.googlecode.json-simple:json-simple:1.1.1" level="project" />
<orderEntry type="library" name="Maven: junit:junit:4.10" level="project" />
<orderEntry type="library" name="Maven: org.hamcrest:hamcrest-core:1.1" level="project" />
<orderEntry type="library" name="Maven: joda-time:joda-time:2.9.9" level="project" />
</component>
</module>

7
pom.xml
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@@ -60,6 +60,11 @@
<artifactId>json</artifactId>
<version>20140107</version>
</dependency>
<dependency>
<groupId>com.googlecode.json-simple</groupId>
<artifactId>json-simple</artifactId>
<version>1.1.1</version>
</dependency><!--
<dependency>
<groupId>org.drools</groupId>
<artifactId>drools-core</artifactId>
@@ -69,7 +74,7 @@
<groupId>org.drools</groupId>
<artifactId>drools-compiler</artifactId>
<version>${runtime.version}</version>
</dependency>
</dependency>-->
<dependency>
<groupId>joda-time</groupId>
<artifactId>joda-time</artifactId>

54
src/main/java/Backtest.java Normal file
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@@ -0,0 +1,54 @@
import org.apache.commons.math3.stat.regression.SimpleRegression;
import org.json.JSONArray;
import org.json.JSONObject;
import java.io.*;
import java.nio.charset.Charset;
import java.util.*;
/**
* Created by denni on 09.06.2017.
*/
public class Backtest {
private static final String APP_NAME = "den_ac_deka_var2";
private static final double VALUE_ETH = 100.0;
private static final double VALUE_EUR = 0.0;
private static final int ROUNDTRIP_TIME_MS = 20000;
private static int NUM_ITERATIONS_FOR_ORDER = 9;
private static int BUY_THRESHOLD = 9;
private static int SELL_THRESHOLD = -9;
private static SimpleRegression srbuyvolume = new SimpleRegression(true);
private static SimpleRegression srsellvolume = new SimpleRegression(true);
private static SimpleRegression srprice = new SimpleRegression(true);
private static OrderHistory orders = new OrderHistory();
private static Funds funds = new Funds();
private static TradeHistory trades;
private static double buyvslope = 0.0;
private static double sellvslope = 0.0;
private static double priceslope = 0.0;
private static int buyindicator = 0;
private static double currentPrice = 0.0;
private static int counter = 0;
private static double fees = 0.0;
private static long sinceid = 0L;
private static String trend = "";
private static int counterbuys = 0;
private static int countersells = 0;
private static int counterneutrals = 0;
private static boolean backtest = false;
private static Map<String, Double> results = new HashMap<String, Double>();
public Backtest(){
}
}

5
src/main/java/Funds.java
View File

@@ -11,7 +11,10 @@ public class Funds {
public Funds(){
}
public void clearFunds(){
if(funds != null) funds.clear();
}
public void addFund(String name, double value){
funds.put(name, value);
@@ -30,7 +33,7 @@ public class Funds {
}
public String getFundsStringOutput(){
String returnValue = "Funds: ";
String returnValue = "";
for(Map.Entry<String, Double> entry : funds.entrySet()){
returnValue += entry.getKey()+" : "+entry.getValue()+" ";

657
src/main/java/Main.java
View File

@@ -6,316 +6,491 @@ import org.apache.commons.math3.stat.regression.SimpleRegression;
import org.json.JSONArray;
import org.json.JSONObject;
import java.util.ArrayList;
import java.util.Scanner;
import java.io.*;
import java.nio.charset.Charset;
import java.util.*;
public class Main {
private static final String APP_NAME = "den_ac_deka_ct3_15_35";
private static final double VALUE_ETH = 100.0;
private static final double VALUE_EUR = 0.0;
private static final int ROUNDTRIP_TIME_MS = 20000;
private static int NUM_ITERATIONS_FOR_ORDER = 15;
private static int BUY_THRESHOLD = 35;
private static int SELL_THRESHOLD = -35;
static SimpleRegression srbuyvolume = new SimpleRegression(true);
static SimpleRegression srsellvolume = new SimpleRegression(true);
static SimpleRegression srprice = new SimpleRegression(true);
private static SimpleRegression srbuyvolume = new SimpleRegression(true);
private static SimpleRegression srsellvolume = new SimpleRegression(true);
private static SimpleRegression srprice = new SimpleRegression(true);
static ArrayList<Double> list = new ArrayList<Double>();
static OrderHistory orders = new OrderHistory();
public static Funds funds = new Funds();
public static TradeHistory trades;
private static OrderHistory orders = new OrderHistory();
private static Funds funds = new Funds();
private static TradeHistory trades;
public static double buyvslope = 0.0;
public static double sellvslope = 0.0;
public static double priceslope = 0.0;
public static int buyindicator = 0;
public static double currentPrice = 0.0;
static int counter = 0;
private static double buyvslope = 0.0;
private static double sellvslope = 0.0;
private static double priceslope = 0.0;
private static int buyindicator = 0;
private static double currentPrice = 0.0;
private static int counter = 0;
private static double fees = 0.0;
private static long sinceid = 0L;
private static String trend = "";
public static int counterbuys = 0;
public static int countersells = 0;
public static int counterneutrals = 0;
private static int counterbuys = 0;
private static int countersells = 0;
private static int counterneutrals = 0;
public static void main(String [ ] args) throws InterruptedException {
private static boolean regressionbacktest = false;
private static boolean backtest = false;
private static Map<String, Double > results = new HashMap<>();
public static void main(String[] args) throws InterruptedException {
System.out.println("Starting DekaBot...");
System.out.println("Starting simulation... initializing Funds...");
funds.addFund("ETH", VALUE_ETH);
funds.addFund("EUR", VALUE_EUR);
System.out.println("Do Backtesting? y/r/n");
Scanner in = new Scanner(System.in);
String input = in.next();
//String input = "n";
System.out.println("Start simulation? (y/n)");
String s = in.next();
if(input.equals("r")){
regressionbacktest = true;
long sinceid = 0L;
for(int x = 4; x < 30; x++){
System.out.println("x:"+x);
NUM_ITERATIONS_FOR_ORDER = x;
for(int y = x-1;y < 3*x;y++){
BUY_THRESHOLD = y;
SELL_THRESHOLD = -y;
if(s.equals("y")){
try{
HttpResponse<JsonNode> jsonResponse = Unirest.post("https://api.kraken.com/0/public/Trades")
.header("accept", "application/json")
.queryString("pair", "ETHEUR")
.asJson();
doBacktest();
sinceid = jsonResponse.getBody().getObject().getJSONObject("result").getLong("last");
}catch(UnirestException ue){
System.out.println("Could not establish connection.");
return;
}
System.out.println("Starting simulation... initializing Funds...");
funds.addFund("ETH", 0.0);
funds.addFund("EUR", 3000);
try{
sendStats();
}catch(UnirestException ue){
System.out.println("Could not send stats - just continue");
}
System.out.println(funds.getFundsStringOutput());
while(true){
Thread.sleep(20000);
sinceid = analyzeVolume(sinceid);
analyzePrice();
System.out.println("Trend: "+calculateTrend_2()+" // Price: "+currentPrice);
if(((counter % 6) == 0) && (counter != 0)){
Order order = decide();
if(order.ordertype != null) doOrder(order);
buyindicator = 0;
System.out.println("Funds: "+funds.getFundsStringOutput());
srbuyvolume.clear();
srsellvolume.clear();
srprice.clear();
doOrder(new Order("buy"));
results.put(x+":"+y,funds.getValue("ETH"));
}
counter++;
System.out.println("-------"+counter+"-------");
}
System.out.println("Output of best results: ");
HashMap<String, Double> sortedResult = (HashMap<String, Double>) sortByValue(results);
for (Map.Entry<String, Double> entry : sortedResult.entrySet()) {
System.out.println(entry.getKey() + " Value: "+entry.getValue());
}
return;
}else if(input.equals("y")){
backtest = true;
doBacktest();
doOrder(new Order("buy"));
System.out.println("");
System.out.println("Final ETH count: "+funds.getValue("ETH"));
System.out.println("Buys: "+counterbuys+" Sells: "+countersells+" Neutral: "+counterneutrals+" Fees: "+fees);
return;
}
sendStats();
System.out.println(funds.getFundsStringOutput());
System.out.println("-------Start-------");
try {
HttpResponse<JsonNode> jsonResponse = Unirest.post("https://api.kraken.com/0/public/Trades")
.header("accept", "application/json")
.queryString("pair", "ETHEUR")
.asJson();
sinceid = jsonResponse.getBody().getObject().getJSONObject("result").getLong("last");
} catch (UnirestException ue) {
System.out.println("Could not establish connection: " + ue.getMessage());
return;
}
while (true) {
Thread.sleep(ROUNDTRIP_TIME_MS);
getPrice();
getVolume();
trend = calculateTrend_3();
outputAnalyzationResults();
if (((counter % NUM_ITERATIONS_FOR_ORDER) == 0) && (counter != 0)) {
Order order = decide();
if (order.ordertype != null) doOrder(order);
buyindicator = 0;
System.out.println("Funds: " + funds.getFundsStringOutput());
srbuyvolume.clear();
srsellvolume.clear();
srprice.clear();
}
counter++;
System.out.println("-------" + counter + "-------");
}
}
private static void doOrder(Order order){
if(order.ordertype.equals("buy")){
if(Double.compare(funds.getValue("EUR"),0) > 0) {
orders.addOrder(order);
funds.addValue("ETH", funds.getValue("EUR") / currentPrice);
funds.takeValue("EUR", funds.getValue("EUR"));
private static void doOrder(Order order) {
Double tmpFees = 0.0;
switch(order.ordertype){
case "buy":
if (Double.compare(funds.getValue("EUR"), 0) > 0) {
orders.addOrder(order);
counterbuys++;
}else{
System.out.println("Would like to buy but conditions not met (out of funds)");
}
}else if(order.ordertype.equals("sell")){
if(Double.compare(funds.getValue("ETH"),0) > 0){
orders.addOrder(order);
tmpFees = funds.getValue("EUR") * 0.0026;
funds.addValue("ETH", (funds.getValue("EUR") - tmpFees) / currentPrice);
funds.takeValue("EUR", funds.getValue("EUR"));
funds.addValue("EUR", funds.getValue("ETH") * currentPrice);
funds.takeValue("ETH", funds.getValue("ETH"));
if(!regressionbacktest) System.out.printf("Fees for order: %.3f - Total Fees: %.3f",tmpFees,fees);
counterbuys++;
} else {
if(!regressionbacktest) System.out.println("Would like to buy but conditions not met (out of funds)");
}
break;
case "sell":
if (Double.compare(funds.getValue("ETH"), 0) > 0) {
orders.addOrder(order);
tmpFees = funds.getValue("ETH") * currentPrice * 0.0026;
funds.addValue("EUR", (funds.getValue("ETH") * currentPrice) - tmpFees);
funds.takeValue("ETH", funds.getValue("ETH"));
if(!regressionbacktest) System.out.printf("Fees for order: %.3f - Total Fees: %.3f",tmpFees,fees);
countersells++;
} else {
if(!regressionbacktest) System.out.println("Would like to sell but conditions not met (out of funds)");
}
break;
default:
System.out.println("ERROR: Order not recognized: " + order.type);
break;
countersells++;
}else{
System.out.println("Would like to sell but conditions not met (out of funds)");
}
}else{
System.out.println("ERROR: Order not recoginized: "+order.type);
}
try{
sendStats();
}catch(UnirestException ue){
System.out.println("Error sending stats - just continue...");
}
}
private static void sendStats() throws UnirestException {
HttpResponse<JsonNode> jsonResponse = Unirest.post("https://www.riskahead.de/api/v1/deka/updatestats/")
.header("accept", "application/json")
.queryString("app_id", "den_deka_2_6")
.field("funds_start", "EUR: 3000")
.field("funds_current", funds.getFundsStringOutput())
.field("trades_buy", counterbuys)
.field("trades_sell", countersells)
.field("trades_neutral", counterneutrals)
.asJson();
fees += tmpFees;
sendStats();
}
private static Order decide() {
Order newOrder = new Order();
newOrder.price = currentPrice;
if(buyindicator > 6){
if(!regressionbacktest) System.out.println("------- START ORDER -------");
if (buyindicator > BUY_THRESHOLD) {
System.out.println("BUY NOW - PRICE: "+currentPrice);
newOrder.ordertype = "buy";
if(!regressionbacktest) System.out.println("BUY NOW - PRICE: " + currentPrice);
newOrder.ordertype = "buy";
}else if(buyindicator > -6){
System.out.println("DO NOTHING - NEUTRAL: "+currentPrice);
} else if (buyindicator > SELL_THRESHOLD) {
if(!regressionbacktest) System.out.println("DO NOTHING - NEUTRAL: " + currentPrice);
counterneutrals++;
}else{
if(orders.getLastOrder() == null || Double.compare(orders.getLastOrder().price,currentPrice*0.995) < 0 || Double.compare(orders.getLastOrder().price,currentPrice*0.985) > 0){
} else {
if (orders.getLastOrder() == null || Double.compare(orders.getLastOrder().price, currentPrice * 0.995) < 0 || Double.compare(orders.getLastOrder().price, currentPrice * 0.985) > 0) {
System.out.println("SELL NOW - PRICE: "+currentPrice);
if(!regressionbacktest) System.out.println("SELL NOW - PRICE: " + currentPrice);
newOrder.ordertype = "sell";
}else{
System.out.println("Would like to sell but percentage not reached");
} else {
if(!regressionbacktest) System.out.println("Would like to sell but percentage not reached");
}
}
if(!regressionbacktest) System.out.println("------- END ORDER -------");
return newOrder;
}
private static void analyzePrice() {
try{
HttpResponse<JsonNode> jsonResponse;
jsonResponse = Unirest.post("https://min-api.cryptocompare.com/data/price?fsym=ETH&tsyms=BTC,USD,EUR")
.header("accept", "application/json")
.queryString("fsyn", "ETH")
.field("tsyms", "BTC,USD,EUR")
.asJson();
private static String calculateTrend() {
if ((Double.compare(buyvslope, 0) > 0) && (Double.compare(priceslope, 0) > 0)) {
if (Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) > 0) {
buyindicator += 3;
return "strong buy";
} else {
buyindicator += 2;
return "normal buy";
}
} else if ((Double.compare(sellvslope, 0) > 0) && (Double.compare(priceslope, 0) < 0)) {
if (Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) < 0) {
buyindicator -= 3;
return "strong sell";
} else {
buyindicator -= 2;
return "normal sell";
}
} else if (Double.compare(buyvslope, sellvslope) > 0 && (Double.compare(priceslope, 0) > 0)) {
buyindicator += 1;
return "weak buy";
} else if (Double.compare(buyvslope, sellvslope) < 0 && (Double.compare(priceslope, 0) < 0)) {
buyindicator -= 1;
return "weak sell";
} else {
return "neutral";
}
}
private static String calculateTrend_2() {
if (Double.isNaN(priceslope)) {
if (Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) > 0) {
buyindicator += 1;
return "weak buy";
} else {
buyindicator -= 1;
return "weak sell";
}
} else if ((Double.compare(priceslope, 0) > 0)) {
if ((Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) > 0) && (Double.compare(buyvslope, 0) > 0) && (Double.compare(sellvslope, 0) < 0)) {
buyindicator += 3;
return "strong buy";
} else if ((Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) > 0) && (Double.compare(buyvslope, 0) > 0)) {
buyindicator += 2;
return "normal buy";
} else {
buyindicator += 1;
return "weak buy";
}
} else if ((Double.compare(priceslope, 0) < 0)) {
if ((Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) < 0) && (Double.compare(buyvslope, 0) < 0) && (Double.compare(sellvslope, 0) > 0)) {
buyindicator -= 3;
return "strong sell";
} else if ((Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) < 0) && (Double.compare(sellvslope, 0) > 0)) {
buyindicator -= 2;
return "normal sell";
} else {
buyindicator -= 1;
return "weak sell";
}
} else {
return "neutral";
}
}
private static String calculateTrend_3() {
if (Double.isNaN(priceslope)) {
if (Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) > 0) {
buyindicator += 1;
return "weak buy";
} else {
buyindicator -= 1;
return "weak sell";
}
} else if ((Double.compare(priceslope, 0) > 0)) {
if ((Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) > 0)) {
buyindicator += 3;
return "strong buy";
} else {
buyindicator += 2;
return "normal buy";
}
} else if ((Double.compare(priceslope, 0) < 0)) {
if ((Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) < 0)) {
buyindicator -= 3;
return "strong sell";
} else {
buyindicator -= 2;
return "normal sell";
}
} else {
return "neutral";
}
}
private static void doBacktest(){
try {
funds.clearFunds();
orders.clearOrders();
if(trades != null) trades.clearTrades();
funds.addFund("ETH", VALUE_ETH);
funds.addFund("EUR", VALUE_EUR);
String priceline = "";
String volumeline = "";
int counter = 0;
InputStream fis = new FileInputStream("C:\\Development\\Projects\\DekaBot\\DekaBot\\src\\main\\resources\\price.txt");
InputStreamReader isr = new InputStreamReader(fis, Charset.forName("UTF-8"));
BufferedReader br = new BufferedReader(isr);
InputStream fis2 = new FileInputStream("C:\\Development\\Projects\\DekaBot\\DekaBot\\src\\main\\resources\\volume.txt");
InputStreamReader isr2 = new InputStreamReader(fis2, Charset.forName("UTF-8"));
BufferedReader br2 = new BufferedReader(isr2);
while ((priceline = br.readLine()) != null) {
volumeline = br2.readLine();
priceline = br.readLine();
volumeline = br2.readLine();
if(volumeline == null || priceline == null){
return;
}
if(volumeline.charAt(volumeline.length()-1) != '}'){
volumeline += br2.readLine();
}
JSONObject jsonPriceObject = new JSONObject(priceline);
JSONObject jsonVolumeObject = new JSONObject(volumeline);
jsonVolumeObject = jsonVolumeObject.getJSONObject("result");
sinceid = jsonVolumeObject.getLong("last");
JSONArray volumeArray = jsonVolumeObject.getJSONArray("XETHZEUR");
currentPrice = jsonPriceObject.getDouble("EUR");
srprice.addData((double) counter, currentPrice);
trades = new TradeHistory(volumeArray, sinceid);
srbuyvolume.addData((double) counter, trades.volumeOfBuyTrades);
srsellvolume.addData((double) counter, trades.volumeOfSellTrades);
priceslope = srprice.getSlope();
buyvslope = srbuyvolume.getSlope();
sellvslope = srsellvolume.getSlope();
trend = calculateTrend_2();
outputAnalyzationResults();
if (((counter % NUM_ITERATIONS_FOR_ORDER) == 0) && (counter != 0)) {
Order order = decide();
if (order.ordertype != null) doOrder(order);
buyindicator = 0;
if(!regressionbacktest) System.out.println("Funds: " + funds.getFundsStringOutput());
srbuyvolume.clear();
srsellvolume.clear();
srprice.clear();
}
if(!regressionbacktest && !backtest) System.out.println("-------" + counter + "-------");
counter++;
}
} catch (IOException e) {
e.printStackTrace();
}
}
private static void getPrice() {
try {
HttpResponse<JsonNode> jsonResponse;
jsonResponse = Unirest.post("https://min-api.cryptocompare.com/data/price?fsym=ETH&tsyms=BTC,USD,EUR")
.header("accept", "application/json")
.queryString("fsyn", "ETH")
.field("tsyms", "BTC,USD,EUR")
.asJson();
writeResponseToFile(jsonResponse,"price");
currentPrice = jsonResponse.getBody().getObject().getDouble("EUR");
srprice.addData((double)counter,currentPrice);
System.out.printf("Current price slope: %.3f \n",srprice.getSlope());
}catch(UnirestException ue){
srprice.addData((double) counter, currentPrice);
} catch (UnirestException ue) {
System.out.println("Exception was thrown - just continue and ignore");
}
}
private static String calculateTrend(){
if((Double.compare(buyvslope, 0) > 0) && (Double.compare(priceslope, 0) > 0)){
if(Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) > 0){
buyindicator += 3;
return "strong buy";
}else{
buyindicator += 2;
return "normal buy";
}
}else if((Double.compare(sellvslope, 0) > 0) && (Double.compare(priceslope, 0) < 0)){
if(Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) < 0){
buyindicator -= 3;
return "strong sell";
}else{
buyindicator -= 2;
return "normal sell";
}
}else if(Double.compare(buyvslope, sellvslope) > 0 && (Double.compare(priceslope, 0) > 0)){
buyindicator += 1;
return "weak buy";
}else if(Double.compare(buyvslope, sellvslope) < 0 && (Double.compare(priceslope, 0) < 0)){
buyindicator -= 1;
return "weak sell";
}else{
return "neutral";
}
}
private static String calculateTrend_2(){
if((Double.compare(priceslope, 0.1) > 0)){
if((Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) > 0) && (Double.compare(buyvslope, 0) > 0) && (Double.compare(sellvslope, 0) < 0)){
buyindicator += 5;
return "strong buy";
}else if((Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) > 0) && (Double.compare(buyvslope, 0) > 0)){
buyindicator += 3;
return "normal buy";
}else{
buyindicator += 1;
return "weak buy";
}
}else if((Double.compare(priceslope, 0.0) < 0)){
if((Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) < 0) && (Double.compare(buyvslope, 0) < 0) && (Double.compare(sellvslope, 0) > 0)){
buyindicator -= 5;
return "strong sell";
}else if((Double.compare(trades.volumeOfBuyTrades, trades.volumeOfSellTrades) < 0) && (Double.compare(sellvslope, 0) > 0)){
buyindicator -= 3;
return "normal sell";
}else{
buyindicator -= 1;
return "weak sell";
}
}else{
return "neutral";
}
}
private static long analyzeVolume(long sinceid) {
try{
HttpResponse<JsonNode> jsonResponse;
jsonResponse = Unirest.post("https://api.kraken.com/0/public/Trades")
private static void getVolume() {
try {
HttpResponse<JsonNode> jsonResponse = Unirest.post("https://api.kraken.com/0/public/Trades")
.header("accept", "application/json")
.queryString("pair", "ETHEUR")
.field("since", sinceid)
.asJson();
writeResponseToFile(jsonResponse,"volume");
JSONArray array = jsonResponse.getBody().getObject().getJSONObject("result").getJSONArray("XETHZEUR");
sinceid = jsonResponse.getBody().getObject().getJSONObject("result").getLong("last");
trades = new TradeHistory(array,sinceid);
trades = new TradeHistory(array, sinceid);
System.out.print("Number of buy trades: "+trades.numberOfBuyTrades);
System.out.printf(" - Volume of buy trades: %.3f \n",trades.volumeOfBuyTrades);
System.out.print("Number of sell trades: "+trades.numberOfSellTrades);
System.out.printf(" - Volume of sell trades: %.3f \n",trades.volumeOfSellTrades);
System.out.println("Timeframe in sec: "+trades.timeframesec);
srbuyvolume.addData((double) counter,trades.volumeOfBuyTrades);
System.out.printf("buy volume slope: %.3f //",srbuyvolume.getSlope());
srsellvolume.addData((double) counter,trades.volumeOfSellTrades);
System.out.printf("sell volume slope: %.3f \n",srsellvolume.getSlope());
srbuyvolume.addData((double) counter, trades.volumeOfBuyTrades);
srsellvolume.addData((double) counter, trades.volumeOfSellTrades);
priceslope = srprice.getSlope();
buyvslope = srbuyvolume.getSlope();
sellvslope = srsellvolume.getSlope();
}catch(UnirestException ue){
System.out.println("Exception thrown. Just continoue..");
} catch (UnirestException ue) {
System.out.println("Exception thrown. Just continue..");
}
return sinceid;
}
private static int calculatePercentage(Double first, Double second){
private static void sendStats() {
if(regressionbacktest || backtest) return;
try {
Unirest.post("https://www.riskahead.de/api/v1/deka/updatestats/")
.header("accept", "application/json")
.queryString("app_id", APP_NAME)
.field("funds_start", "ETH: " + VALUE_ETH + " EUR: " + VALUE_EUR)
.field("funds_current", funds.getFundsStringOutput())
.field("trades_buy", counterbuys)
.field("trades_sell", countersells)
.field("trades_fees", fees)
.field("trades_neutral", counterneutrals)
.asJson();
} catch (UnirestException ue) {
System.out.println("Error sending stats: " + ue.getMessage());
}
}
private static void outputAnalyzationResults() {
if(regressionbacktest || backtest) return;
System.out.printf("Price: "+ currentPrice +" => Slope: %.3f \n",srprice.getSlope());
System.out.printf("Buy-Trades -- Amount: " + trades.numberOfBuyTrades + " Volume: %.3f => Slope: %.3f\n",trades.volumeOfBuyTrades,srbuyvolume.getSlope());
System.out.printf("Sell-Trades -- Amount: " + trades.numberOfSellTrades + " Volume: %.3f => Slope: %.3f\n",trades.volumeOfSellTrades,srsellvolume.getSlope());
System.out.println("Trend: " + trend);
}
private static void writeResponseToFile(HttpResponse<JsonNode> jsonResponse, String filename) {
try{
PrintWriter writer = new PrintWriter(new FileOutputStream(
new File(filename+"_"+APP_NAME+".txt"),
true ));
writer.append(jsonResponse.getBody().toString()+"\r\n");
writer.close();
} catch (IOException e) {
// do something
}
}
private static <K, V> Map<K, V> sortByValue(Map<K, V> map) {
List<Map.Entry<K, V>> list = new LinkedList<>(map.entrySet());
Collections.sort(list, new Comparator<Object>() {
@SuppressWarnings("unchecked")
public int compare(Object o2, Object o1) {
return ((Comparable<V>) ((Map.Entry<K, V>) (o1)).getValue()).compareTo(((Map.Entry<K, V>) (o2)).getValue());
}
});
Map<K, V> result = new LinkedHashMap<>();
for (Iterator<Map.Entry<K, V>> it = list.iterator(); it.hasNext();) {
Map.Entry<K, V> entry = (Map.Entry<K, V>) it.next();
result.put(entry.getKey(), entry.getValue());
}
return result;
}
private static int calculatePercentage(Double first, Double second) {
Double d = (1 - first / second) * 100;
return Math.abs(d.intValue());
}
private static void analyzeAverage(String shortname) throws UnirestException {
HttpResponse<JsonNode> jsonResponse = Unirest.get("https://min-api.cryptocompare.com/data/histominute")
.queryString("fsym", shortname)
.queryString("tsym", "EUR" )
.queryString("limit","10")
.queryString("aggregate","1")
.queryString("e","Kraken")
.asJson();
JSONArray dataArray = jsonResponse.getBody().getObject().getJSONArray("Data");
double priceAvg = dataArray.getJSONObject(0).getDouble("close");
double tmpPrice = priceAvg;
int numRising = 0;
int numFalling = 0;
for(int i = 1; i < dataArray.length(); i++){
JSONObject obj = dataArray.getJSONObject(i);
tmpPrice = obj.getDouble("close");
priceAvg += tmpPrice;
}
Integer seconds = (jsonResponse.getBody().getObject().getInt("TimeTo")-jsonResponse.getBody().getObject().getInt("TimeFrom")) / 60;
priceAvg = priceAvg / dataArray.length();
System.out.printf("Latest price: "+currentPrice+", calculated AVG from last "+seconds+ " minutes: %.2f€ ",priceAvg);
if(Double.compare(currentPrice,priceAvg) > 0){
buyindicator--;
}else{
buyindicator++;
}
}
}

4
src/main/java/Order.java
View File

@@ -12,4 +12,8 @@ public class Order {
public Order(){
}
public Order(String ordertype){
this.ordertype = ordertype;
}
}

4
src/main/java/OrderHistory.java
View File

@@ -11,6 +11,10 @@ public class OrderHistory {
}
public void clearOrders(){
if(orders != null) orders.clear();
}
public void addOrder(Order order){
orders.add(order);
}

4
src/main/java/TradeHistory.java
View File

@@ -73,5 +73,9 @@ public class TradeHistory {
timeframesec = trades.get(trades.size()-1).time - trades.get(0).time;
}
public void clearTrades(){
if(trades != null) trades.clear();
}
}

3
src/main/resources/META-INF/MANIFEST.MF Normal file
View File

@@ -0,0 +1,3 @@
Manifest-Version: 1.0
Main-Class: Main

34
src/main/resources/backtestresults.txt Normal file
View File

@@ -0,0 +1,34 @@
/*
23598,41 / 230,84
Fees: 662.12
round 12
buy 20
sell 20
0
0
ct1:
23:38 Value: 102.254903366053
23:39 Value: 102.05434371249746
24:39 Value: 101.96592024993276
15:27 Value: 101.81517198770021
13:26 Value: 101.80589120186636
ct2:
15:21 Value: 104.40138708742731
15:22 Value: 104.04880741781145
15:23 Value: 104.04880741781145
5:8 Value: 102.19331248328419
12:19 Value: 102.02828394264394
ct3:
15:35 Value: 103.35768030572747
15:33 Value: 103.32193214168696
21:50 Value: 103.05732906060597
21:49 Value: 103.05732906060597
10:23 Value: 102.66724122909187
*/

8
src/main/resources/simpleRule.drl
View File

@@ -1,8 +0,0 @@
import CryptoCoin;
rule "accountBalanceAtLeast"
when
$account : Account( balance < 100 )
then
System.out.println("Warning! money running out!");
end