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examples: fix and harmonize the strategy backtests across all languages (#324)

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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
2026-06-17 17:56:22 +02:00
committed by GitHub
parent 2e07c07a40
commit 75eefbbd08
20 changed files with 886 additions and 196 deletions
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examples/csharp/strategy_macd_adx/Program.cs
+40 -16
View File
@@ -1,42 +1,66 @@
using Wickra;
using Wickra.Examples;
// Trend follower: enter long on a MACD histogram cross up, but only when ADX(14) > 20
// confirms a trend; exit when the histogram crosses back below zero.
var bars = args.Length > 0 ? MarketData.LoadOhlcvCsv(args[0]) : MarketData.SyntheticCandles(2000);
// Strategy example: MACD crossover with ADX trend-strength filter.
//
// Enters long on a MACD histogram cross up (the histogram turns positive) while
// ADX(14) > 20 (a directional market); exits on the opposite MACD crossover
// regardless of ADX. 0.1% fees per trade. The C# counterpart of
// examples/python/strategy_macd_adx.py, printing the same summary. Uses the
// checked-in examples/data/btcusdt-1h.csv dataset (pass a CSV path to override).
const double Fee = 0.001;
const double AdxFloor = 20.0;
var bars = args.Length > 0 ? MarketData.LoadOhlcvCsv(args[0]) : MarketData.BundledCandles("btcusdt-1h.csv");
using var macd = new MacdIndicator(12, 26, 9);
using var adx = new Adx(14);
var returns = new List<double>();
var trades = 0;
var inPosition = false;
var entry = 0.0;
var prevHistogram = double.NaN;
var entryPrice = 0.0;
var closedTrades = new List<double>();
var equity = 1.0;
var equityCurve = new List<double>();
bool? prevSign = null;
foreach (var b in bars)
{
var m = macd.Update(b.Close);
var a = adx.Update(b.Open, b.High, b.Low, b.Close, b.Volume, b.Timestamp);
var price = b.Close;
equityCurve.Add(inPosition ? equity * (price / entryPrice) : equity);
if (m is not { } macdValue || a is not { } adxValue)
{
continue;
}
var trending = adxValue.Adx > 20.0;
if (!inPosition && trending && double.IsFinite(prevHistogram) && prevHistogram <= 0.0 && macdValue.Histogram > 0.0)
var histSign = macdValue.Histogram > 0.0;
var crossUp = prevSign == false && histSign;
var crossDown = prevSign == true && !histSign;
prevSign = histSign;
if (!inPosition && crossUp && adxValue.Adx > AdxFloor)
{
entryPrice = price;
equity *= 1.0 - Fee;
inPosition = true;
entry = b.Close;
trades++;
}
else if (inPosition && macdValue.Histogram < 0.0)
else if (inPosition && crossDown)
{
returns.Add((b.Close - entry) / entry);
var tradeRet = price / entryPrice - 1.0;
closedTrades.Add(tradeRet);
equity *= (1.0 + tradeRet) * (1.0 - Fee);
inPosition = false;
}
prevHistogram = macdValue.Histogram;
}
Backtest.Print("MACD + ADX trend", Backtest.Summarize(returns, trades));
if (inPosition)
{
var tradeRet = bars[^1].Close / entryPrice - 1.0;
closedTrades.Add(tradeRet);
equity *= (1.0 + tradeRet) * (1.0 - Fee);
}
Backtest.PrintSummary("MACD + ADX Trend Filter (1h, BTCUSDT)",
bars[0].Close, bars[^1].Close, bars.Length, closedTrades, equity, equityCurve);