47 lines
1.3 KiB
C#
47 lines
1.3 KiB
C#
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using Wickra;
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using Wickra.Examples;
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// Breakout: when Bollinger bandwidth is tight (a "squeeze") and price closes above the
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// upper band, go long with an ATR(14) trailing stop.
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var bars = args.Length > 0 ? MarketData.LoadOhlcvCsv(args[0]) : MarketData.SyntheticCandles(2000);
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using var bollinger = new BollingerBands(20, 2.0);
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using var atr = new Atr(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 stop = 0.0;
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foreach (var b in bars)
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{
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var bands = bollinger.Update(b.Close);
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var atrValue = atr.Update(b.Open, b.High, b.Low, b.Close, b.Volume, b.Timestamp);
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if (bands is not { } band || !double.IsFinite(atrValue))
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{
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continue;
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}
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var bandwidth = band.Middle != 0.0 ? (band.Upper - band.Lower) / band.Middle : double.MaxValue;
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if (!inPosition && bandwidth < 0.06 && b.Close > band.Upper)
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{
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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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}
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else if (inPosition)
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{
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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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{
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returns.Add((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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Backtest.Print("Bollinger squeeze", Backtest.Summarize(returns, trades));
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