67 lines
1.5 KiB
Go
67 lines
1.5 KiB
Go
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// Breakout: when Bollinger bandwidth is tight (a "squeeze") and price closes above
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// the upper band, go long with an ATR(14) trailing stop.
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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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bollinger, _ := wickra.NewBollingerBands(20, 2.0)
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defer bollinger.Close()
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atr, _ := wickra.NewAtr(14)
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defer atr.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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stop := 0.0
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for _, b := range bars {
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band, okBand := bollinger.Update(b.Close)
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atrValue := atr.Update(b.Open, b.High, b.Low, b.Close, b.Volume, b.Timestamp)
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if !okBand || math.IsNaN(atrValue) {
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continue
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}
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bandwidth := math.MaxFloat64
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if band.Middle != 0.0 {
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bandwidth = (band.Upper - band.Lower) / band.Middle
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}
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if !inPosition && bandwidth < 0.06 && b.Close > band.Upper {
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inPosition = true
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entry = b.Close
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stop = b.Close - 2.0*atrValue
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trades++
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} else if inPosition {
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stop = math.Max(stop, b.Close-2.0*atrValue) // trail the stop up
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if b.Close < stop {
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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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}
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market.Print("Bollinger squeeze", 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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