35 lines
800 B
C#
35 lines
800 B
C#
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using Wickra;
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using Wickra.Examples;
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// Mean reversion: go long when RSI(14) drops below 30, exit when it recovers above 50.
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var bars = args.Length > 0 ? MarketData.LoadOhlcvCsv(args[0]) : MarketData.SyntheticCandles(2000);
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using var rsi = new Rsi(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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foreach (var b in bars)
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{
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var value = rsi.Update(b.Close);
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if (!double.IsFinite(value))
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{
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continue;
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}
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if (!inPosition && value < 30.0)
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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 && value > 50.0)
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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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}
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Backtest.Print("RSI mean-reversion", Backtest.Summarize(returns, trades));
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