55 lines
1.9 KiB
R
55 lines
1.9 KiB
R
|
# Shared helpers for the offline Wickra R examples: deterministic synthetic
|
||
|
|
# market data, a small OHLCV CSV loader, and an equity-curve summary. Mirrors the
|
||
|
|
# helpers used by the C, C# and Go example suites.
|
||
|
|
|
||
|
|
synthetic_prices <- function(count, start = 100) {
|
||
|
|
i <- seq_len(count) - 1
|
||
|
|
start + 12 * sin(i * 0.05) + 5 * sin(i * 0.013) + i * 0.01
|
||
|
|
}
|
||
|
|
|
||
|
|
synthetic_candles <- function(count, start_ts = 0, step_ms = 3600000) {
|
||
|
|
prices <- synthetic_prices(count + 1)
|
||
|
|
k <- seq_len(count)
|
||
|
|
i <- k - 1
|
||
|
|
open <- prices[k]
|
||
|
|
close <- prices[k + 1]
|
||
|
|
data.frame(
|
||
|
|
open = open,
|
||
|
|
high = pmax(open, close) + 0.5 + abs(sin(i * 0.7)),
|
||
|
|
low = pmin(open, close) - 0.5 - abs(cos(i * 0.7)),
|
||
|
|
close = close,
|
||
|
|
volume = 1000 + 500 * (1 + sin(i * 0.1)),
|
||
|
|
timestamp = start_ts + i * step_ms
|
||
|
|
)
|
||
|
|
}
|
||
|
|
|
||
|
|
load_ohlcv_csv <- function(path) {
|
||
|
|
df <- utils::read.csv(path, header = TRUE, stringsAsFactors = FALSE)
|
||
|
|
if (ncol(df) >= 6) {
|
||
|
|
data.frame(open = df[[2]], high = df[[3]], low = df[[4]],
|
||
|
|
close = df[[5]], volume = df[[6]], timestamp = df[[1]])
|
||
|
|
} else {
|
||
|
|
data.frame(open = df[[1]], high = df[[2]], low = df[[3]],
|
||
|
|
close = df[[4]], volume = df[[5]], timestamp = seq_len(nrow(df)))
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
summarize_equity <- function(returns, trades, periods_per_year = 252) {
|
||
|
|
equity <- 1; peak <- 1; maxdd <- 0
|
||
|
|
for (r in returns) {
|
||
|
|
equity <- equity * (1 + r)
|
||
|
|
peak <- max(peak, equity)
|
||
|
|
maxdd <- max(maxdd, (peak - equity) / peak)
|
||
|
|
}
|
||
|
|
mean_r <- if (length(returns)) mean(returns) else 0
|
||
|
|
sd_r <- if (length(returns) > 1) stats::sd(returns) else 0
|
||
|
|
sharpe <- if (sd_r > 1e-12) mean_r / sd_r * sqrt(periods_per_year) else 0
|
||
|
|
list(total_return_pct = (equity - 1) * 100, sharpe = sharpe,
|
||
|
|
max_dd_pct = maxdd * 100, trades = trades)
|
||
|
|
}
|
||
|
|
|
||
|
|
print_equity <- function(name, r) {
|
||
|
|
cat(sprintf("%-26s return=%8.2f%% sharpe=%6.2f maxDD=%6.2f%% trades=%d\n",
|
||
|
|
name, r$total_return_pct, r$sharpe, r$max_dd_pct, r$trades))
|
||
|
|
}
|