25 lines
1.0 KiB
R
25 lines
1.0 KiB
R
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# Trend follower: enter long on a MACD histogram cross up, but only when ADX(14) > 20
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# confirms a trend; exit when the histogram crosses back below zero.
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library(wickra)
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source("_common.R")
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args <- commandArgs(trailingOnly = TRUE)
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bars <- if (length(args) >= 1) load_ohlcv_csv(args[1]) else synthetic_candles(2000)
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macd <- MacdIndicator(12, 26, 9); adx <- Adx(14)
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returns <- numeric(0); trades <- 0L; in_pos <- FALSE; entry <- 0; prev_hist <- NA_real_
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for (i in seq_len(nrow(bars))) {
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b <- bars[i, ]
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m <- update(macd, b$close)
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a <- update(adx, b$open, b$high, b$low, b$close, b$volume, b$timestamp)
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if (is.na(m[["macd"]]) || is.na(a[["adx"]])) next
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trending <- a[["adx"]] > 20
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if (!in_pos && trending && is.finite(prev_hist) && prev_hist <= 0 && m[["histogram"]] > 0) {
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in_pos <- TRUE; entry <- b$close; trades <- trades + 1L
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} else if (in_pos && m[["histogram"]] < 0) {
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returns <- c(returns, (b$close - entry) / entry); in_pos <- FALSE
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}
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prev_hist <- m[["histogram"]]
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}
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print_equity("MACD + ADX trend", summarize_equity(returns, trades))
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