examples: fix and harmonize the strategy backtests across all languages (#324)
The strategy_* examples were only syntax-smoked in CI, never run, which hid two classes of problem: 1. Python strategy_macd_adx / strategy_bollinger_squeeze passed three separate arguments to the candle indicators ADX/ATR, whose .update() takes a single candle — a TypeError at runtime — and read the ADX tuple at index 0 (plus_di) instead of 2 (adx). Both fixed. 2. The Go / C# / R / Java strategies defaulted to synthetic data and used a different (annualised) one-line summary, so they printed wildly different numbers from the Rust/Python/Node/C/WASM suite. Rewrite them to the shared per-trade backtest (load the bundled BTCUSDT CSV by default, same entry/exit logic, same print_summary output). All nine runnable bindings now print byte-identical backtest summaries on the same data (MACD+ADX 246 trades / -47.19%, RSI 37 / -17.84%, Bollinger 1 / -7.82%), verified by diffing each language's output against the Python reference. WASM shares the same logic and bundled dataset (browser-rendered).
This commit is contained in:
kingchenc
@@ -42,4 +42,75 @@ public static class Backtest
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Console.WriteLine(
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$"{name,-26} return={r.TotalReturnPct,8:F2}% sharpe={r.Sharpe,6:F2} maxDD={r.MaxDrawdownPct,6:F2}% trades={r.Trades}");
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}
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/// <summary>
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/// Prints the per-trade backtest summary shared verbatim with the Rust,
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/// Python, Node, Go and C example suites (same labels, same numbers).
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/// </summary>
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public static void PrintSummary(string name, double firstPrice, double lastPrice, int bars,
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IReadOnlyList<double> closedTrades, double finalEquity, IReadOnlyList<double> equityCurve)
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{
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var ci = System.Globalization.CultureInfo.InvariantCulture;
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var buyHold = lastPrice / firstPrice;
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var stratReturn = finalEquity - 1.0;
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var bhReturn = buyHold - 1.0;
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int wins = 0, losses = 0;
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double best = 0.0, worst = 0.0;
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for (var i = 0; i < closedTrades.Count; i++)
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{
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var r = closedTrades[i];
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if (r > 0)
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{
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wins++;
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}
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else if (r < 0)
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{
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losses++;
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}
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if (i == 0 || r > best)
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{
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best = r;
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}
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if (i == 0 || r < worst)
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{
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worst = r;
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}
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}
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var n = closedTrades.Count;
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var mean = n > 0 ? closedTrades.Average() : 0.0;
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var variance = n > 1 ? closedTrades.Sum(x => (x - mean) * (x - mean)) / (n - 1) : 0.0;
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var sharpe = variance > 0 ? mean / Math.Sqrt(variance) : 0.0;
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var peak = equityCurve.Count > 0 ? equityCurve[0] : 1.0;
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var maxDd = 0.0;
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foreach (var eq in equityCurve)
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{
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if (eq > peak)
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{
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peak = eq;
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}
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var dd = (peak - eq) / peak;
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if (dd > maxDd)
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{
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maxDd = dd;
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}
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}
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Console.WriteLine($"=== {name} ===");
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Console.WriteLine(string.Create(ci, $"{"Bars:",-23}{bars}"));
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Console.WriteLine(string.Create(ci, $"{"Trades:",-23}{n} (W{wins} / L{losses})"));
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Console.WriteLine(string.Create(ci, $"{"Strategy return:",-23}{stratReturn * 100:+0.00;-0.00}%"));
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Console.WriteLine(string.Create(ci, $"{"Buy & Hold return:",-23}{bhReturn * 100:+0.00;-0.00}%"));
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Console.WriteLine(string.Create(ci, $"{"Excess over BH:",-23}{(stratReturn - bhReturn) * 100:+0.00;-0.00}%"));
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Console.WriteLine(string.Create(ci, $"{"Max drawdown:",-23}{maxDd * 100:0.00}%"));
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Console.WriteLine(string.Create(ci, $"{"Per-trade Sharpe:",-23}{sharpe:0.00} (mean {mean:+0.0000;-0.0000}, stddev {Math.Sqrt(variance):0.0000})"));
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Console.WriteLine(string.Create(ci, $"{"Best / worst trade:",-23}{best * 100:+0.00;-0.00}% / {worst * 100:+0.00;-0.00}%"));
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Console.WriteLine();
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Console.WriteLine("NOTE: Educational example — fees, slippage, funding costs and tax " +
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"effects are simplified or omitted. Past performance is not " +
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"indicative of future results.");
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}
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}
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@@ -58,4 +58,15 @@ public static class MarketData
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return bars;
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}
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/// <summary>
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/// Loads one of the checked-in datasets under examples/data, resolved
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/// relative to this source file so it works from any working directory.
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/// </summary>
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public static Bar[] BundledCandles(string filename,
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[System.Runtime.CompilerServices.CallerFilePath] string self = "")
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{
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var dir = Path.GetDirectoryName(self)!;
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return LoadOhlcvCsv(Path.Combine(dir, "..", "..", "data", filename));
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}
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}
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@@ -1,46 +1,91 @@
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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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// Strategy example: Bollinger-squeeze breakout with an ATR(14) trailing stop.
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//
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// Enters long when Bollinger bandwidth makes a new SqueezeLookback low (a
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// volatility squeeze) and price closes above the upper band; exits on an ATR(14)
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// trailing stop or when the upper band falls back below the entry. 0.1% fees per
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// trade. The C# counterpart of examples/python/strategy_bollinger_squeeze.py,
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// printing the same summary. Uses the checked-in examples/data/btcusdt-1d.csv
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// dataset (pass a CSV path to override).
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const double Fee = 0.001;
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const double AtrStopMult = 2.0;
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const int SqueezeLookback = 180;
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var bars = args.Length > 0 ? MarketData.LoadOhlcvCsv(args[0]) : MarketData.BundledCandles("btcusdt-1d.csv");
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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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var entryPrice = 0.0;
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var stopLevel = 0.0;
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var closedTrades = new List<double>();
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var equity = 1.0;
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var equityCurve = new List<double>();
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var bwWindow = new Queue<double>();
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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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var price = b.Close;
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equityCurve.Add(inPosition ? equity * (price / entryPrice) : equity);
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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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if (Math.Abs(band.Middle) <= 1e-12)
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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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continue;
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}
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else if (inPosition)
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var bandwidth = (band.Upper - band.Lower) / band.Middle;
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bwWindow.Enqueue(bandwidth);
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if (bwWindow.Count > SqueezeLookback)
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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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bwWindow.Dequeue();
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}
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if (bwWindow.Count < SqueezeLookback)
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{
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continue;
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}
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var minBw = bwWindow.Min();
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if (inPosition)
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{
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if (price < stopLevel || band.Upper < entryPrice)
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{
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returns.Add((b.Close - entry) / entry);
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var tradeRet = price / entryPrice - 1.0;
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closedTrades.Add(tradeRet);
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equity *= (1.0 + tradeRet) * (1.0 - Fee);
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inPosition = false;
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}
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}
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else
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{
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var isNewLow = Math.Abs(bandwidth - minBw) < 1e-12;
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if (isNewLow && price > band.Upper)
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{
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entryPrice = price;
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stopLevel = price - AtrStopMult * atrValue;
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equity *= 1.0 - Fee;
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inPosition = true;
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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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if (inPosition)
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{
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var tradeRet = bars[^1].Close / entryPrice - 1.0;
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closedTrades.Add(tradeRet);
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equity *= (1.0 + tradeRet) * (1.0 - Fee);
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}
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Backtest.PrintSummary("Bollinger Squeeze Breakout (1d, BTCUSDT)",
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bars[0].Close, bars[^1].Close, bars.Length, closedTrades, equity, equityCurve);
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@@ -1,42 +1,66 @@
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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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// Strategy example: MACD crossover with ADX trend-strength filter.
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//
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// Enters long on a MACD histogram cross up (the histogram turns positive) while
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// ADX(14) > 20 (a directional market); exits on the opposite MACD crossover
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// regardless of ADX. 0.1% fees per trade. The C# counterpart of
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// examples/python/strategy_macd_adx.py, printing the same summary. Uses the
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// checked-in examples/data/btcusdt-1h.csv dataset (pass a CSV path to override).
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const double Fee = 0.001;
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const double AdxFloor = 20.0;
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var bars = args.Length > 0 ? MarketData.LoadOhlcvCsv(args[0]) : MarketData.BundledCandles("btcusdt-1h.csv");
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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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var entryPrice = 0.0;
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var closedTrades = new List<double>();
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var equity = 1.0;
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var equityCurve = new List<double>();
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bool? prevSign = null;
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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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var price = b.Close;
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equityCurve.Add(inPosition ? equity * (price / entryPrice) : equity);
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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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var histSign = macdValue.Histogram > 0.0;
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var crossUp = prevSign == false && histSign;
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var crossDown = prevSign == true && !histSign;
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prevSign = histSign;
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if (!inPosition && crossUp && adxValue.Adx > AdxFloor)
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{
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entryPrice = price;
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equity *= 1.0 - Fee;
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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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else if (inPosition && crossDown)
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{
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returns.Add((b.Close - entry) / entry);
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var tradeRet = price / entryPrice - 1.0;
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closedTrades.Add(tradeRet);
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equity *= (1.0 + tradeRet) * (1.0 - Fee);
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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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if (inPosition)
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{
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var tradeRet = bars[^1].Close / entryPrice - 1.0;
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closedTrades.Add(tradeRet);
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equity *= (1.0 + tradeRet) * (1.0 - Fee);
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}
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Backtest.PrintSummary("MACD + ADX Trend Filter (1h, BTCUSDT)",
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bars[0].Close, bars[^1].Close, bars.Length, closedTrades, equity, equityCurve);
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@@ -1,34 +1,57 @@
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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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// Strategy example: RSI(14) mean-reversion.
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//
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// Go long when RSI(14) drops below 30 (oversold), exit when it recovers above
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// 70 (overbought). 0.1% fees per trade. The C# counterpart of
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// examples/python/strategy_rsi_mean_reversion.py, printing the same summary.
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// Uses the checked-in examples/data/btcusdt-1h.csv dataset (pass a CSV path to override).
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const double Fee = 0.001;
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const double Oversold = 30.0;
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const double Overbought = 70.0;
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var bars = args.Length > 0 ? MarketData.LoadOhlcvCsv(args[0]) : MarketData.BundledCandles("btcusdt-1h.csv");
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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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var entryPrice = 0.0;
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var closedTrades = new List<double>();
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var equity = 1.0;
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var equityCurve = new List<double>();
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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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var price = b.Close;
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equityCurve.Add(inPosition ? equity * (price / entryPrice) : equity);
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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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if (!inPosition && value < Oversold)
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{
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entryPrice = price;
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equity *= 1.0 - Fee;
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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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else if (inPosition && value > Overbought)
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{
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returns.Add((b.Close - entry) / entry);
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var tradeRet = price / entryPrice - 1.0;
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closedTrades.Add(tradeRet);
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equity *= (1.0 + tradeRet) * (1.0 - Fee);
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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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if (inPosition)
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{
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var tradeRet = bars[^1].Close / entryPrice - 1.0;
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closedTrades.Add(tradeRet);
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equity *= (1.0 + tradeRet) * (1.0 - Fee);
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}
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Backtest.PrintSummary("RSI Mean-Reversion (1h, BTCUSDT)",
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bars[0].Close, bars[^1].Close, bars.Length, closedTrades, equity, equityCurve);
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Reference in New Issue
Block a user