93 lines
3.4 KiB
C
93 lines
3.4 KiB
C
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/* Shared equity-curve summary for the Wickra C strategy examples.
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*
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* The Rust strategy examples repeat their `print_summary` per file; in C the
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* presentation is factored into this header so each strategy .c file stays
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* focused on its signal logic. Pure reporting — no indicator state.
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*
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* Header-only: define WICKRA_STRATEGY_IMPL in exactly one translation unit.
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*/
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#ifndef WICKRA_STRATEGY_H
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#define WICKRA_STRATEGY_H
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#include <stddef.h>
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/* Print a one-screen summary of a strategy run: returns vs buy & hold, trade
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* win/loss counts, max drawdown, per-trade Sharpe, best/worst trade. */
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void wickra_print_summary(const char *name, double first_price, double last_price,
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size_t bars, const double *closed_trades, size_t n_trades,
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double final_equity, const double *equity_curve,
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size_t n_curve);
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#ifdef WICKRA_STRATEGY_IMPL
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#include <math.h>
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#include <stdio.h>
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void wickra_print_summary(const char *name, double first_price, double last_price,
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size_t bars, const double *closed_trades, size_t n_trades,
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double final_equity, const double *equity_curve,
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size_t n_curve) {
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double buy_hold = last_price / first_price;
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double strat_return = final_equity - 1.0;
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double bh_return = buy_hold - 1.0;
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size_t wins = 0, losses = 0;
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double best = -INFINITY, worst = INFINITY;
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double sum_ret = 0.0, sum_sq = 0.0;
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for (size_t i = 0; i < n_trades; ++i) {
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double r = closed_trades[i];
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if (r > 0.0) {
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wins++;
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} else if (r < 0.0) {
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losses++;
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}
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if (r > best) {
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best = r;
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}
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if (r < worst) {
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worst = r;
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}
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sum_ret += r;
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sum_sq += r * r;
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}
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double n = (double)n_trades;
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double mean_ret = n > 0.0 ? sum_ret / n : 0.0;
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double var_ret = n > 1.0 ? (sum_sq - n * mean_ret * mean_ret) / (n - 1.0) : 0.0;
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double sharpe = var_ret > 0.0 ? mean_ret / sqrt(var_ret) : 0.0;
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if (n_trades == 0) {
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best = 0.0;
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worst = 0.0;
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}
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double peak = n_curve > 0 ? equity_curve[0] : 1.0;
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double max_dd = 0.0;
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for (size_t i = 0; i < n_curve; ++i) {
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if (equity_curve[i] > peak) {
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peak = equity_curve[i];
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}
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double dd = (peak - equity_curve[i]) / peak;
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if (dd > max_dd) {
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max_dd = dd;
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}
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}
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printf("=== %s ===\n", name);
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printf("Bars: %llu\n", (unsigned long long)bars);
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printf("Trades: %llu (W%llu / L%llu)\n", (unsigned long long)n_trades,
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(unsigned long long)wins, (unsigned long long)losses);
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printf("Strategy return: %+.2f%%\n", strat_return * 100.0);
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printf("Buy & Hold return: %+.2f%%\n", bh_return * 100.0);
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printf("Excess over BH: %+.2f%%\n", (strat_return - bh_return) * 100.0);
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printf("Max drawdown: %.2f%%\n", max_dd * 100.0);
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printf("Per-trade Sharpe: %.2f (mean %+.4f, stddev %.4f)\n", sharpe,
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mean_ret, sqrt(var_ret));
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printf("Best / worst trade: %+.2f%% / %+.2f%%\n", best * 100.0, worst * 100.0);
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printf("\n");
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printf("NOTE: Educational example — fees, slippage, funding costs and tax "
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"effects are simplified or omitted. Past performance is not indicative "
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"of future results.\n");
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}
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#endif /* WICKRA_STRATEGY_IMPL */
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#endif /* WICKRA_STRATEGY_H */
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