43 lines
1.2 KiB
C#
43 lines
1.2 KiB
C#
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using Wickra;
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using Wickra.Examples;
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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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var bars = args.Length > 0 ? MarketData.LoadOhlcvCsv(args[0]) : MarketData.SyntheticCandles(2000);
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using var macd = new MacdIndicator(12, 26, 9);
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using var adx = new Adx(14);
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var returns = new List<double>();
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var trades = 0;
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var inPosition = false;
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var entry = 0.0;
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var prevHistogram = double.NaN;
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foreach (var b in bars)
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{
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var m = macd.Update(b.Close);
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var a = adx.Update(b.Open, b.High, b.Low, b.Close, b.Volume, b.Timestamp);
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if (m is not { } macdValue || a is not { } adxValue)
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{
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continue;
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}
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var trending = adxValue.Adx > 20.0;
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if (!inPosition && trending && double.IsFinite(prevHistogram) && prevHistogram <= 0.0 && macdValue.Histogram > 0.0)
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{
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inPosition = true;
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entry = b.Close;
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trades++;
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}
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else if (inPosition && macdValue.Histogram < 0.0)
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{
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returns.Add((b.Close - entry) / entry);
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inPosition = false;
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}
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prevHistogram = macdValue.Histogram;
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}
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Backtest.Print("MACD + ADX trend", Backtest.Summarize(returns, trades));
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