21 lines
706 B
R
21 lines
706 B
R
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# Mean reversion: go long when RSI(14) drops below 30, exit when it recovers above 50.
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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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rsi <- Rsi(14)
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returns <- numeric(0); trades <- 0L; in_pos <- FALSE; entry <- 0
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for (i in seq_len(nrow(bars))) {
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cl <- bars$close[i]
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value <- update(rsi, cl)
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if (!is.finite(value)) next
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if (!in_pos && value < 30) {
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in_pos <- TRUE; entry <- cl; trades <- trades + 1L
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} else if (in_pos && value > 50) {
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returns <- c(returns, (cl - entry) / entry); in_pos <- FALSE
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}
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}
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print_equity("RSI mean-reversion", summarize_equity(returns, trades))
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