ta4j Strategy Parser

ta4j Strategy Parser is a library to parse Technical Analysis strategies into ta4j using antlr4.

Strategies

Strategies are defined as combination of GO_LONG and GO_SHORT combined signals.

A signal could be a combination of indicator expressions and logical expressions.

(((DEMA[5] >= SMA[45]) OR ((TEMA[30] <= 1.3) OR ((DEMA[74] >= 0.3637) OR (CCI[30] <= 0.5)))) AND ((TEMA[30] <= 1.3) OR ((DEMA[74] >= 0.3637) OR (CCI[30] <= 0.5)))) [GO_LONG] 
; 
((TEMA[30] <= 1.3) OR ((DEMA[74] >= 0.3637) OR (CCII[30] <= 0.5))) [GO_SHORT]",

Logical expressions must be inserted between parentheses

• correct

((DEMA[74] >= 0.3637) OR (CCII[30] <= 0.5))

• incorrect

(DEMA[74] >= 0.3637) OR (CCII[30] <= 0.5)

Use

import org.ambulando.strategy.ta4j.parser.*;

    ...
    String input = "(RSI[5] <= 7.5) [GO_LONG] ; (CCII[5] >= 7.9) [GO_SHORT]";
    try
    {
      BarSeries barSeries = getBarSeries();
      Strategy strategy = parser.parse(input, barSeries);
    }
    catch (ParserException e)
    {
      List<ParserError> errors = e.getErrors();
      //handle errors
    }
    ...

Operators

• Logic operators between signals
  • OR
  • AND
• mathematical operators between indicators:
  • >=
  • <=

Indicators

Use of the indicator can be found in ta4j docs At now, the following indicators are recognized by the parser:

INDICATOR	USE
Close Price	CPRICE
Volume	VOLUME
Simple Moving Average - SMA	SMA[timeframe:int]
Double Exponential Moving Average - DEMA	DEMA[timeframe:int]
Exponential Moving Average - EMA	EMA[timeframe:int]
Triple Exponential Moving Average – TEMA	TEMA[timeframe:int]
Weighted Moving Average WMA	WMA[timeframe:int]
William's R - WILLIAMS	WILLIAMS[timeframe:int]
Commodity Channel Index - CCI	CCI[timeframe:int]
Relative Strength Index - RSI	RSI[timeframe:int]
Ulcer Index - UI	UI[timeframe:int]
Average Directional Index - ADX	ADX[timeframe:int]
Hull Moving Average HMA	HMA[timeframe:int]
Zero-Lag Exponential Moving Average - ZLEMA	ZLEMA[timeframe:int]
Kaufman's Adaptive Moving Average - KAMA	KAMA[timeframe:int,timeframe:int,timeframe:int]
Moving Average Convergence Divergence - MACD	MACD[timeframe:int,timeframe:int]
Percentage price oscillator - PPO	PPO[timeframe:int,timeframe:int]
Volume-Weighted Average Price - VWAP	VWAP[timeframe:int]
Chaikin Oscillator - COI	COI[timeframe:int,timeframe:int]
Accumulation Distribution - ADI	ADI
Intraday Intensity Index - III	III
Chaikin Money Flow - CMF	CMF[timeframe:int]
Moving Volume Weighted Average Price - MVWAP	MVWAP[timeframe:int,timeframe:int]
Negative Volume Index - NVI	NVI
Rate Of Change of Volume - ROCV	ROCV[timeframe:int]
Positive Volume Index - PVI	PVI
On Balance Volume - OBV	OBV