52 lines
1007 B
Go
52 lines
1007 B
Go
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// Mean reversion: go long when RSI(14) drops below 30, exit when it recovers above 50.
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package main
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import (
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"log"
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"math"
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"os"
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wickra "github.com/wickra-lib/wickra/bindings/go"
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"github.com/wickra-lib/wickra/examples/go/internal/market"
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)
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func main() {
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bars := loadBars()
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rsi, _ := wickra.NewRsi(14)
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defer rsi.Close()
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var returns []float64
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trades := 0
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inPosition := false
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entry := 0.0
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for _, b := range bars {
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value := rsi.Update(b.Close)
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if math.IsNaN(value) {
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continue
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}
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if !inPosition && value < 30.0 {
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inPosition = true
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entry = b.Close
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trades++
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} else if inPosition && value > 50.0 {
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returns = append(returns, (b.Close-entry)/entry)
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inPosition = false
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}
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}
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market.Print("RSI mean-reversion", market.Summarize(returns, trades, 252.0))
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}
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func loadBars() []market.Bar {
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if len(os.Args) > 1 {
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bars, err := market.LoadOhlcvCsv(os.Args[1])
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if err != nil {
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log.Fatalf("load csv: %v", err)
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}
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return bars
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}
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return market.SyntheticCandles(2000)
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}
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