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).
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kingchenc
@@ -1,5 +1,13 @@
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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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// 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 SQUEEZE_LOOKBACK 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 Go counterpart of examples/python/strategy_bollinger_squeeze.py,
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// printing the same summary.
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//
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// Uses the checked-in examples/data/btcusdt-1d.csv dataset (daily bars give an
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// interpretable ~6-month-low lookback); pass a CSV path to override.
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package main
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import (
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@@ -11,47 +19,90 @@ import (
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"github.com/wickra-lib/wickra/examples/go/internal/market"
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)
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const (
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fee = 0.001
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bbPeriod = 20
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bbK = 2.0
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atrPeriod = 14
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atrStopMult = 2.0
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squeezeLookback = 180
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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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bb, _ := wickra.NewBollingerBands(bbPeriod, bbK)
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defer bb.Close()
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atr, _ := wickra.NewAtr(atrPeriod)
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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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entryPrice := 0.0
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stopLevel := 0.0
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var closedTrades []float64
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equity := 1.0
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var equityCurve []float64
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var bwWindow []float64
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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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band, okBand := bb.Update(b.Close)
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atrVal := atr.Update(b.Open, b.High, b.Low, b.Close, b.Volume, b.Timestamp)
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price := b.Close
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mtm := equity
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if inPosition {
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mtm = equity * (price / entryPrice)
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}
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equityCurve = append(equityCurve, mtm)
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if !okBand || math.IsNaN(atrVal) {
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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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upper, middle, lower := band.Upper, band.Middle, band.Lower
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if math.Abs(middle) <= 1e-12 {
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continue
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}
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bandwidth := (upper - lower) / middle
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bwWindow = append(bwWindow, bandwidth)
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if len(bwWindow) > squeezeLookback {
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bwWindow = bwWindow[len(bwWindow)-squeezeLookback:]
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}
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if len(bwWindow) < squeezeLookback {
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continue
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}
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minBw := bwWindow[0]
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for _, v := range bwWindow {
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if v < minBw {
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minBw = v
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}
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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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if inPosition {
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if price < stopLevel || upper < entryPrice {
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tradeRet := price/entryPrice - 1.0
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closedTrades = append(closedTrades, 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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} else {
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isNewLow := math.Abs(bandwidth-minBw) < 1e-12
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if isNewLow && price > upper {
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entryPrice = price
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stopLevel = price - atrStopMult*atrVal
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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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market.Print("Bollinger squeeze", market.Summarize(returns, trades, 252.0))
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if inPosition {
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lastPrice := bars[len(bars)-1].Close
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tradeRet := lastPrice/entryPrice - 1.0
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closedTrades = append(closedTrades, tradeRet)
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equity *= (1.0 + tradeRet) * (1.0 - fee)
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}
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market.PrintSummary("Bollinger Squeeze Breakout (1d, BTCUSDT)",
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bars[0].Close, bars[len(bars)-1].Close, len(bars), closedTrades, equity, equityCurve)
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}
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func loadBars() []market.Bar {
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@@ -62,5 +113,5 @@ func loadBars() []market.Bar {
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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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return market.BundledCandles("btcusdt-1d.csv")
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}
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