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CHANGELOG.md

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

0.14 (unreleased)

Breaking

Fixed

Changed

Added

  • 🎉 Enhancement Loggers in BaseBarSeries and BarSeriesManager made static for better performance.

Removed/Deprecated

0.13 (released November 5, 2019)

Breaking

  • 💥 Breaking Refactored from Max/Min to High/Low in Bar class
  • 💥 Breaking Removed redundant constructors from BaseBar class
  • 💥 Breaking Renamed TimeSeries to BarSeries

Fixed

  • Fixed BaseBarSeries: problem with getSubList for series with specified maximumBarCount.
  • Fixed return BigDecimal instead of Number in: PrecisionNum.getDelegate.
  • Fixed java.lang.ClassCastException in: PrecisionNum.equals().
  • Fixed java.lang.ClassCastException in: DoubleNum.equals().
  • Fixed java.lang.NullPointerException in: NumberOfBarsCriterion.calculate(TimeSeries, Trade) for opened trade.
  • Fixed java.lang.NullPointerException in: AverageProfitableTradesCriterion.calculate(TimeSeries, Trade) for opened trade.
  • StopGainRule: now correctly handles stops for sell orders
  • StopLossRule: now correctly handles stops for sell orders
  • ProfitLossCriterion: fixed to work properly for short trades
  • PivotPointIndicator: fixed possible npe if first bar is not in same period
  • IchimokuChikouSpanIndicator: fixed calculations - applied correct formula.
  • CloseLocationValueIndicator: fixed special case, return zero instead of NaN if high price == low price

Changed

  • PrecisionNum: improve performance for methods isZero/isPositive/isPositiveOrZero/isNegative/isNegativeOrZero.
  • BaseTimeSeriesBuilder moved from inner class to own class
  • TrailingStopLossRule added ability to look back the last x bars for calculating the trailing stop loss

Added

  • 🎉 Enhancement Added getters for AroonDownIndicator and AroonUpIndicator in AroonOscillatorIndicator
  • 🎉 Enhancement Added common constructors in BaseBar for BigDecimal, Double and String values
  • 🎉 Enhancement Added constructor in BaseBar with trades property
  • 🎉 Enhancement Added BaseBarBuilder and ConvertibleBaseBarBuilder - BaseBar builder classes
  • 🎉 Enhancement Added BarAggregator and TimeSeriesAggregator to allow aggregates bars and time series
  • 🎉 Enhancement Added LWMA Linearly Weighted Moving Average Indicator
  • 🎉 Enhancement Implemented trading cost models (linear transaction and borrowing cost models)
  • 🎉 Enhancement Implemented Value at Risk Analysis Criterion
  • 🎉 Enhancement Implemented Expected Shortfall Analysis Criterion
  • 🎉 Enhancement Implemented Returns class to analyze the time series of return rates. Supports logarithmic and arithmetic returns
  • 🎉 Enhancement Implemented a way to find the best result for multiple strategies by submitting a range of numbers while backtesting
  • 🎉 Enhancement Implemented NumberOfBreakEvenTradesCriterion for counting break even trades
  • 🎉 Enhancement Implemented NumberOfLosingTradesCriterion for counting losing trades
  • 🎉 Enhancement Implemented NumberOfWinningTradesCriterion for counting winning trades
  • 🎉 Enhancement Implemented NumberOfWinningTradesCriterion for counting winning trades
  • 🎉 Enhancement Implemented ProfitLossPercentageCriterion for calculating the total performance percentage of your trades
  • 🎉 Enhancement Implemented TotalProfit2Criterion for calculating the total profit of your trades
  • 🎉 Enhancement Implemented TotalLossCriterion for calculating the total loss of your trades
  • 🎉 Enhancement Added ADX indicator based strategy to ta4j-examples
  • 🎉 Enhancement TrailingStopLossRule: added possibility of calculations of TrailingStopLossRule also for open, high, low price. Added getter for currentStopLossLimitActivation
  • 🎉 Enhancement Add constructors with parameters to allow custom implementation of ReportGenerators in BacktestExecutor
  • 🎉 Enhancement Added license checker goal on CI's pipeline
  • 🎉 Enhancement Added source format checker goal on CI's pipeline

Removed/Deprecated

0.12 (released September 10, 2018)

Breaking:

  • Decimal class has been replaced by new Num interface. Enables using Double, BigDecimal and custom data types for calculations.
  • Big changes in TimeSeries and BaseTimeSeries. Multiple new addBar(..) functions in TimeSeries allow to add data directly to the series

Fixed

  • TradingBotOnMovingTimeSeries: fixed calculations and ArithmeticException Overflow
  • Fixed wrong indexing in: Indicator.toDouble().
  • PrecisionNum.sqrt(): using DecimalFormat.parse().
  • RandomWalk[High|Low]Indicator: fixed formula (max/min of formula with n iterating from 2 to barCount)

Changed

  • ALL INDICATORS: Decimal replaced by Num.
  • ALL CRITERION: Calculations modified to use Num.
  • AbstractIndicator: new AbstractIndicator#numOf(Number n) function as counterpart of dropped Decimal.valueOf(double|int|..)
  • TimeSeries | Bar: preferred way to add bar data to a TimeSeries is directly to the series via new TimeSeries#addBar(time,open,high,..) functions. It ensures to use the correct Num implementation of the series
  • XlsTestsUtils: now processes xls with one or more days between data rows (daily, weekly, monthly, etc). Also handle xls #DIV/0! calculated cells (imported as NaN.NaN)
  • CachedIndicator: Last bar is not cached to support real time indicators
  • **TimeSeries | Bar **: added new #addPrice(price) function that adds price to (last) bar.
  • Parameter timeFrame renamed to barCount.
  • Various Rules: added constructor that provides Number parameters
  • AroonUpIndicator: redundant TimeSeries call was removed from constructor
  • AroonDownIndicator: redundant TimeSeries call was removed from constructor
  • BaseTimeSeries: added setDefaultFunction() to SeriesBuilder for setting the default Num type function for all new TimeSeries built by that SeriesBuilder, updated BuildTimeSeries example
  • CriterionTest: changed from explicit constructor calls to AbstractCriterionTest.getCriterion() calls.
  • ChopIndicator: transparent fixes
  • StochasticRSIIndicator: comments and params names changes to reduce confusion
  • ConvergenceDivergenceIndicator: remove unused method
  • ChopIndicatorTest: spelling, TODO: add better tests
  • Various Indicators: remove double math operations, change Math.sqrt(double) to Num.sqrt(), other small improvements
  • RandomWalk[High|Low]Indicator: renamed to RWI[High|Low]Indicator

Added

  • BaseTimeSeries.SeriesBuilder: simplifies creation of BaseTimeSeries.
  • Num: Extracted interface of dropped Decimal class
  • DoubleNum: Num implementation to support calculations based on double primitive
  • BigDecimalNum: Default Num implementation of BaseTimeSeries
  • DifferencePercentageIndicator: New indicator to get the difference in percentage from last value
  • PrecisionNum: Num implementation to support arbitrary precision
  • TestUtils: removed convenience methods for permuted parameters, fixed all unit tests
  • TestUtils: added parameterized abstract test classes to allow two test runs with DoubleNum and BigDecimalNum
  • ChopIndicator new common indicator of market choppiness (low volatility), and related 'ChopIndicatorTest' JUnit test and 'CandlestickChartWithChopIndicator' example
  • BollingerBandWidthIndicator: added missing constructor documentation.
  • BollingerBandsLowerIndicator: added missing constructor documentation.
  • BollingerBandsMiddleIndicator: added missing constructor documentation.
  • TrailingStopLossRule: new rule that is satisfied if trailing stop loss is reached
  • Num: added Num sqrt(int) and Num sqrt()
  • pom.xml: added support to generate ta4j-core OSGi artifact.

Removed/Deprecated

  • Decimal: removed. Replaced by Num interface
  • TimeSeries#addBar(Bar bar): deprecated. Use TimeSeries#addBar(Time, open, high, low, ...)
  • BaseTimeSeries: Constructor BaseTimeSeries(TimeSeries defaultSeries, int seriesBeginIndex, int seriesEndIndex) removed. Use TimeSeries.getSubseries(int i, int i) instead
  • FisherIndicator: commented constructor removed.
  • TestUtils: removed convenience methods for permuted parameters, fixed all unit tests
  • BaseTimeSeries: Constructor BaseTimeSeries(TimeSeries defaultSeries, int seriesBeginIndex, int seriesEndIndex) removed. Use TimeSeries.getSubseries(int i, int i) instead
  • BigDecimalNum: removed. Replaced by PrecisionNum
  • AbstractCriterionTest: removed constructor AbstractCriterionTest(Function<Number, Num). Use AbstractCriterionTest(CriterionFactory, Function<Number, Num>).
  • Indicator: removed redundant private TimeSeries

0.11 (released January 25, 2018)

  • BREAKING: Tick has been renamed to Bar

Fixed

  • ATRIndicator: fixed calculations
  • PlusDI, MinusDI, ADX: fixed calculations
  • LinearTransactionCostCriterion: fixed calculations, added xls file and unit tests
  • FisherIndicator: fixed calculations
  • ConvergenceDivergenceIndicator: fixed NPE of optional "minStrenght"-property

Changed

  • TotalProfitCriterion: If not NaN the criterion uses the price of the Order and not just the close price of underlying TimeSeries
  • Order: Now constructors and static sell/buyAt(..) functions need a price and amount parameter to satisfy correct be behaviour of criterions (entry/exit prices can differ from corresponding close prices in Order)
  • JustOnceRule: now it is possible to add another rule so that this rule is satisfied if the inner rule is satisfied for the first time
  • MeanDeviationIndicator: moved to statistics package
  • Decimal: use BigDecimal::valueof instead of instantiating a new BigDecimal for double, int and long
    • now Decimal extends Number
  • Strategy: can now have a optional parameter "name".
  • Tick: Tick has been renamed to Bar for a more appropriate description of the price movement over a set period of time.
  • MMAIndicator: restructured and moved from helpers to indicators package
  • AverageTrueRangeIndicator: renamed to ATRIndicator
  • AverageDirectionalMovementDownIndicator: renamed to ADXIndicator
  • ADXIndicator: added new two argument constructor
  • DirectionalMovementPlusIndicator and DirectionalMovementPlusIndicator: renamed to PlusDIIndicator and MinusDIIndicator
  • XlsTestsUtils: rewritten to provide getSeries(), getIndicator(), getFinalCriterionValue(), and getTradingRecord() in support of XLSCriterionTest and XLSIndicatorTest.
  • IndicatorFactory: made generic and renamed createIndicator() to getIndicator()
  • RSIIndicatorTest: example showing usage of new generic unit testing of indicators
  • LinearTransactionCostCriterionTest: example showing usage of new generic unit testing of criteria

Added

  • ConvergenceDivergenceIndicator: new Indicator for positive/negative convergence and divergence.
  • BooleanTransformIndicator: new indicator to transform any decimal indicator to a boolean indicator by using logical operations.
  • DecimalTransformIndicator: new indicator to transforms any indicator by using common math operations.
  • Decimal: added functions Decimal valueOf(BigDecimal) and BigDecimal getDelegate()
  • AbstractEMAIndicator: new abstract indicator for ema based indicators like MMAIndicator
  • PearsonCorrelationIndicator: new statistic indicator with pearson correlation
  • TimeSeries: new method getSubSeries(int, int) to create a sub series of the TimeSeries that stores bars exclusively between startIndex and endIndex parameters
  • IIIIndicator: Intraday Intensity Index
  • CriterionFactory: new functional interface to support CriterionTest
  • IndicatorTest: new class for storing an indicator factory, allows for generic calls like getIndicator(D data, P... params) after the factory is set once in the constructor call. Facilitates standardization across unit tests.
  • CriterionTest: new class for storing a criterion factory, allows for generic calls like getCriterion(P... params) after the factory is set once in the constructor call. Facilitates standardization across unit tests.
  • ExternalIndicatorTest: new interface for fetching indicators and time series from external sources
  • ExternalCriterionTest: new interface for fetching criteria, trading records, and time series from external sources
  • XLSIndicatorTest: new class implementing ExternalIndicatorTest for XLS files, for use in XLS unit tests
  • XLSCriterionTest: new class implementing ExternalCriterionTest for XLS files, for use in XLS unit tests

Removed

  • TraillingStopLossIndicator: no need for this as indicator. No further calculations possible after price falls below stop loss. Use StopLossRule or DifferenceIndicator

Deprecated

  • BaseTimeSeries: Constructor: BaseTimeSeries(TimeSeries defaultSeries, int seriesBeginIndex, int seriesEndIndex) use getSubSeries(int, int)
  • Decimal: Method toDouble() use doubleValue()

0.10 (released October 30, 2017)

VERY Important note!!!!

with the release 0.10 we have changed the previous java package definition to org.ta4j or to be more specific to org.ta4j.core (the new organisation). You have to reorganize all your refernces to the new packages! In eclipse you can do this easily by selecting your sources and run "Organize imports" Changed ownership of the ta4j repository: from mdeverdelhan/ta4j (stopped the maintenance) to ta4j/ta4j (new organization)

Fixed

  • ParabolicSarIndicator: wrong calculation fixed
  • KAMAIndicator: stack overflow bug fixed
  • AroonUpIndicator and AroonDownIndicator: wrong calculations fixed and can handle NaN values now

Changed

  • BREAKING: new package structure: change eu.verdelhan.ta4j to org.ta4j.ta4j-core
  • new package adx: new location of AverageDirectionalMovementIndicator and DMI+/DMI-
  • Ownership of the ta4j repository: from mdeverdelhan/ta4j (stopped the maintenance) to ta4j/ta4j (new organization)
  • ParabolicSarIndicator: old constructor removed (there was no need for time frame parameter after big fix). Three new constructors for default and custom parameters.
  • HighestValueIndicator and LowestValueIndicator: ignore also NaN values if they are at the current index

Added

  • AroonOscillatorIndicator: new indicator based on AroonUp/DownIndicator
  • AroonUpIndicator and AroonDownIndicator: New constructor with parameter for custom indicator for min price and max price calculation
  • ROCVIndicator: rate of Change of Volume
  • DirectionalMovementPlusIndicator: new indicator for Directional Movement System (DMI+)
  • DirectionalMovementDownIndicator: new indicator for Directional Movement System (DMI-)
  • ChaikinOscillatorIndicator: new indicator.
  • InSlopeRule: new rule that is satisfied if the slope of two indicators are within a boundary
  • IsEqualRule: new rule that is satisfied if two indicators are equal
  • AroonUpIndicator and AroonDownIndicator: new constructor with parameter for custom indicator for min price and max price calculation
  • Pivot Point Indicators Package: new package with Indicators for calculating standard, Fibonacci and DeMark pivot points and reversals
    • PivotPointIndicator: new indicator for calculating the standard pivot point
      • StandardReversalIndicator: new indicator for calculating the standard reversals (R3,R2,R1,S1,S2,S3)
      • FibonacciReversalIndicator: new indicator for calculating the Fibonacci reversals (R3,R2,R1,S1,S2,S3)
    • DeMarkPivotPointIndicator: new indicator for calculating the DeMark pivot point
      • DeMarkReversalIndicator: new indicator for calculating the DeMark resistance and the DeMark support
  • IsFallingRule: new rule that is satisfied if indicator strictly decreases within the timeFrame.
  • IsRisingRule: new rule that is satisfied if indicator strictly increases within the timeFrame.
  • IsLowestRule: new rule that is satisfied if indicator is the lowest within the timeFrame.
  • IsHighestRule: new rule that is satisfied if indicator is the highest within the timeFrame.

0.9 (released September 7, 2017)

  • BREAKING drops Java 7 support
  • use java.time instead of java.util.Date
  • Added interfaces for some API basic objects
  • Cleaned whole API
  • Reordered indicators
  • Added PreviousValueIndicator
  • Fixed #162 - Added amount field into Tick constructor
  • Fixed #183 - addTrade bad calculation
  • Fixed #153, #170 - Updated StopGainRule and StopLossRule for short trades
  • Removed dependency to Joda-time
  • Dropped Java 6 and Java 7 compatibility
  • Fixed #120 - ZLEMAIndicator StackOverflowError
  • Added stochastic RSI indicator
  • Added smoothed RSI indicator
  • Fixed examples
  • Fixed #81 - Tick uses Period of 24H when it possibly means 1 Day
  • Fixed #80 - TimeSeries always iterates over all the data
  • Removed the timePeriod field in time series
  • Fixed #102 - RSIIndicator returns NaN when rsi == 100
  • Added periodical growth rate indicator
  • Fixed #105 - Strange calculation with Ichimoku Indicator
  • Added Random Walk Index (high/low) indicators
  • Improved performance for Williams %R indicator
  • Moved mock indicators to regular scope (renamed in Fixed*Indicator)

0.8 (released February 25, 2016)

  • Fixed StackOverflowErrors on recursive indicators (see #60 and #68)
  • Fixed #74 - Question on backtesting strategies with indicators calculated with enough ticks
  • Added Chande Momentum Oscillator indicator
  • Added cumulated losses/gains indicators
  • Added Range Action Verification Index indicator
  • Added MVWAP indicator
  • Added VWAP indicator
  • Added Chandelier exit indicators
  • Improved Decimal performances
  • Added Fisher indicator
  • Added KAMA indicator
  • Added Detrended Price Oscillator
  • Added Ichimoku clouds indicators
  • Added statistical indicators: Simple linear regression, Correlation coefficient, Variance, Covariance, Standard error
  • Moved standard deviation
  • Added Bollinger BandWidth and %B indicator
  • Added Keltner channel indicators
  • Added Ulcer Index and Mass Index indicators
  • Added a trailing stop-loss indicator
  • Added Coppock Curve indicator
  • Added sum indicator
  • Added candle indicators: Real body, Upper/Lower shadow, Doji, 3 black crows, 3 white soldiers, Bullish/Bearish Harami, Bullish/Bearish Engulfing
  • Added absolute indicator
  • Added Hull Moving Average indicator
  • Updated Bollinger Bands (variable multiplier, see #53)
  • Fixed #39 - Possible update for TimeSeries.run()
  • Added Chaikin Money Flow indicator
  • Improved volume indicator
  • Added Close Location Value indicator
  • Added Positive Volume Index and Negative Volume Index indicators
  • Added zero-lag EMA indicator

0.7 (released May 21, 2015)

  • Fixed #35 - Fix max drawdown criterion
  • Improved documentation: user's guide & contributor's guidelines
  • Fixed #37 - Update Tick.toString method
  • Fixed #36 - Missing 'Period timePeriod' in full Tick constructor
  • Updated examples
  • Improved analysis criteria (to use actual entry/exit prices instead of close prices)
  • Added price and amount to Order
  • Added helpers for order creation
  • Renamed Operation to Order
  • Added a record/history of a trading session (TradingRecord)
  • Moved the trading logic from strategies to rules
  • Refactored trade operations
  • Added a difference indicator
  • Small other API changes

0.6 (released February 5, 2015)

  • Added NaN to Decimals
  • Renamed TADecimal to Decimal
  • Fixed #24 - Error in standard deviation calculation
  • Added moving time series (& cache: #25)
  • Refactored time series and ticks
  • Added entry-pass filter and exit-pass filter strategies
  • Replaced JustBuyOnceStrategy and CombinedBuyAndSellStrategy by JustEnterOnceStrategy and CombinedEntryAndExitStrategy respectively
  • Added examples
  • Added operation type helpers
  • Added strategy execution traces through SLF4J
  • Removed .summarize(...) methods and Decision (analysis)
  • Improved performance of some indicators and strategies
  • Generalized cache to all indicators (#20)
  • Removed AssertJ dependency
  • Fixed #16 - Division by zero in updated WalkForward example

0.5 (released October 22, 2014)

  • Switched doubles for TADecimals (BigDecimals) in indicators
  • Semantic improvement for IndicatorOverIndicatorStrategy
  • Fixed #11 - UnknownFormatConversionException when using toString() for 4 strategies
  • Added a maximum value starter strategy
  • Added linear transaction cost (analysis criterion)
  • Removed evaluators (replaced by .chooseBest(...) and .betterThan(...) methods)
  • Added triple EMA indicator
  • Added double EMA indicator
  • Removed slicers (replaced by .split(...) methods)
  • Removed runner (replaced by .run(...) methods)
  • Added more tests
  • Removed ConstrainedTimeSeries (replaced by .subseries(...) methods)
  • Added/refactored examples (including walk-forward and candlestick chart)

0.4 (released May 28, 2014)

  • Fixed #2 - Tests failing in JDK8
  • Added indicators: Mean deviation, Commodity channel index, Percentage price oscillator (tests)
  • Added distance between indicator and constant
  • Added opposite strategy
  • Removed some runners
  • Added strategy runs on whole series
  • Refactored slicers
  • Removed log4j dependency
  • Added examples

0.3 (released March 11, 2014)

  • First public release
  • 100% Pure Java - works on any Java Platform version 6 or later
  • More than 40 technical indicators (Aroon, ATR, moving averages, parabolic SAR, RSI, etc.)
  • A powerful engine for building custom trading strategies
  • Utilities to run and compare strategies
  • Minimal 3rd party dependencies
  • MIT license