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@TheCookieLab TheCookieLab released this 17 May 14:27
· 25 commits to master since this release
0.16
9d4f0e6

Release 0.16 of the Ta4j library.

This is the third release via GitHub Releases. Ta4j is also available on the maven central repository

www.ta4j.org

Changelog for ta4j, roughly following keepachangelog.com from version 0.9 onwards.

0.16 (released May 15, 2024)

Breaking

  • Upgraded to Java 11
  • VersusBuyAndHoldCriterion renamed to VersusEnterAndHoldCriterion
  • BarSeries constructors use any instance of Num instead of Num-Function
  • GrossReturnCriterion renamed to ReturnCriterion
  • NetProfitCriterion and GrossProfitCriterion replaced by ProfitCriterion
  • NetLossCriterion and GrossLossCriterion replaced by LossCriterion
  • LosingPositionsRatioCriterion replaced by PositionsRatioCriterion
  • WinningPositionsRatioCriterion replaced by PositionsRatioCriterion
  • Strategy#unstablePeriod renamed to Strategy#unstableBars*
  • DateTimeIndicator moved to package indicators/helpers
  • UnstableIndicator moved to package indicators/helpers
  • ConvertableBaseBarBuilder renamed to BaseBarConvertableBuilder
  • BarSeriesManager updated to use TradeOnNextOpenModel by default, which opens new trades at index t + 1 at the open price.
    • For strategies require the previous behaviour, i.e. trades seconds or minutes before the closing prices, TradeOnCurerentCloseModel can be passed to BarSeriesManager
      • For example:
        • BarSeriesManager manager = new BarSeriesManager(barSeries, new TradeOnCurrentCloseModel())
        • BarSeriesManager manager = new BarSeriesManager(barSeries, transactionCostModel, holdingCostModel, tradeExecutionModel)
  • BarSeriesManager and BacktestExecutor moved to packge backtest
  • BarSeries#getBeginIndex() methode returns correct begin index for bar series with max bar count

Fixed

  • Fixed SuperTrendIndicator fixed calculation when close price is the same as the previous Super Trend indicator value
  • Fixed ParabolicSarIndicator fixed calculation for sporadic indices
  • ExpectancyCriterion fixed calculation
  • catch NumberFormatException if DecimalNum.valueOf(Number) is NaN
  • ProfitCriterion fixed excludeCosts functionality as it was reversed
  • LossCriterion fixed excludeCosts functionality as it was reversed
  • PerformanceReportGenerator fixed netProfit and netLoss calculations to include costs
  • DifferencePercentageIndicator fixed re-calculate instance variable on every iteration
  • ThreeWhiteSoldiersIndicator fixed eliminated instance variable holding possible wrong value
  • ThreeBlackCrowsIndicator fixed eliminated instance variable holding possible wrong value
  • TrailingStopLossRule removed instance variable currentStopLossLimitActivation because it may not be alway the correct (last) value
  • sets ClosePriceDifferenceIndicator#getUnstableBars = 1
  • sets ClosePriceRatioIndicator#getUnstableBars = 1
  • sets ConvergenceDivergenceIndicator#getUnstableBars = barCount
  • sets GainIndicator#getUnstableBars = 1
  • sets HighestValueIndicator#getUnstableBars = barCount
  • sets LossIndicator#getUnstableBars = 1
  • sets LowestValueIndicator#getUnstableBars = barCount
  • sets TRIndicator#getUnstableBars = 1
  • sets PreviousValueIndicator#getUnstableBars = n (= the n-th previous index)
  • PreviousValueIndicator returns NaN if the (n-th) previous value of an indicator does not exist, i.e. if the (n-th) previous is below the first available index.
  • EnterAndHoldReturnCriterion fixes exception thrown when bar series was empty
  • BaseBarSeries fixed UnsupportedOperationException when creating a bar series that is based on an unmodifiable collection
  • Num implements Serializable

Changed

  • BarSeriesManager consider finishIndex when running backtest
  • BarSeriesManager add holdingTransaction
  • BacktestExecutor evaluates strategies in parallel when possible
  • CachedIndicator synchronize on getValue()
  • BaseBar defaults to DecimalNum type in all constructors
  • TRIndicator improved calculation
  • WMAIndicator improved calculation
  • KSTIndicator improved calculation
  • RSIIndicator simplify calculation
  • FisherIndicator improved calculation
  • DoubleEMAIndicator improved calculation
  • CMOIndicator improved calculation
  • PearsonCorrelationIndicator improved calculation
  • PivotPoint-Indicators improved calculations
  • ValueAtRiskCriterion improved calculation
  • ExpectedShortfallCriterion improved calculation
  • SqnCriterion improved calculation
  • NumberOfBreakEvenPositionsCriterion shorten code
  • AverageReturnPerBarCriterion improved calculation
  • ZLEMAIndicator improved calculation
  • InPipeRule improved calculation
  • SumIndicator improved calculation
  • updated pom.xml: slf4j-api to 2.0.7
  • updated pom.xml: org.apache.poi to 5.2.3
  • updated pom.xml: maven-jar-plugin to 3.3.0
  • add final to properties where possible
  • improved javadoc
  • SuperTrendIndicator,SuperTrendUpperIndicator,SuperTrendLowerIndicator: optimized calculation
  • SuperTrendIndicator, SuperTrendLowerBandIndicator, SuperTrendUpperBandIndicator: multiplier changed to from Integer to Double
  • add missing @Override annotation
  • RecursiveCachedIndicator: simplified code
  • LossIndicator: optimize calculation
  • GainIndicator: improved calculation
  • PriceVariationIndicator renamed to ClosePriceRatioIndicator for consistency with new ClosePriceDifferenceIndicator
  • made UnaryOperation and BinaryOperation public

Removed/Deprecated

  • removed Serializable from CostModel
  • removed @Deprecated Bar#addTrade(double tradeVolume, double tradePrice, Function<Number, Num> numFunction); use Bar#addTrade(Num tradeVolume, Num tradePrice) instead.
  • removed @Deprecated Bar#addTrade(String tradeVolume, String tradePrice, Function<Number, Num> numFunction); use Bar#addTrade(Num tradeVolume, Num tradePrice) instead.
  • removed DecimalNum.valueOf(DecimalNum)
  • delete .travis.yml as this project is managed by "Github actions"

Added

  • added TradingRecord.getStartIndex() and TradingRecord.getEndIndex() to track start and end of the recording
  • added SuperTrendIndicator
  • added SuperTrendUpperBandIndicator
  • added SuperTrendLowerBandIndicator
  • added Donchian Channel indicators (Upper, Lower, and Middle)
  • added Indicator.getUnstableBars()
  • added TransformIndicator.pow()
  • added BarSeriesManager.getHoldingCostModel() and BarSeriesManager.getTransactionCostModel() to allow extending BarSeriesManager and reimplementing run()
  • added MovingAverageCrossOverRangeBacktest.java and ETH-USD-PT5M-2023-3-13_2023-3-15.json test data file to demonstrate parallel strategy evaluation
  • added javadoc improvements for percentage criteria
  • added "lessIsBetter"-property for AverageCriterion
  • added "lessIsBetter"-property for RelativeStandardDeviation
  • added "lessIsBetter"-property for StandardDeviationCriterion
  • added "lessIsBetter"-property for StandardErrorCriterion
  • added "lessIsBetter"-property for VarianceCriterion
  • added "lessIsBetter"-property for NumberOfPositionsCriterion
  • added "addBase"-property for ReturnCriterion to include or exclude the base percentage of 1
  • added RelativeVolumeStandardDeviationIndicator
  • added MoneyFlowIndexIndicator
  • added IntraDayMomentumIndexIndicator
  • added ClosePriceDifferenceIndicator
  • added TimeSegmentedVolumeIndicator
  • added DecimalNum.valueOf(DoubleNum) to convert a DoubleNum to a DecimalNum.
  • added DoubleNum.valueOf(DecimalNum) to convert a DecimalNum to a DoubleNum.
  • added "TradeExecutionModel" to modify trade execution during backtesting
  • added NumIndicator to calculate any Num-value for a Bar
  • added RunningTotalIndicator to calculate a cumulative sum for a period.

Fixed

  • Fixed CashFlow fixed calculation with custom startIndex and endIndex
  • Fixed Returns fixed calculation with custom startIndex and endIndex
  • Fixed ExpectedShortfallCriterion fixed calculation with custom startIndex and endIndex
  • Fixed MaximumDrawDownCriterion fixed calculation with custom startIndex and endIndex
  • Fixed EnterAndHoldReturnCriterion fixed calculation with custom startIndex and endIndex
  • Fixed VersusEnterAndHoldCriterion fixed calculation with custom startIndex and endIndex
  • Fixed BarSeriesManager consider finishIndex when running backtest
Assets 8