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docs(examples): add 3 end-to-end strategy examples (Rust + Python) (#65)

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Wires real indicators into complete signal -> fill -> PnL -> equity
loops over the checked-in BTCUSDT datasets, with per-trade Sharpe and
max-drawdown reported on stdout. Closes the gap where existing
examples showed only the mechanics of calling `update`/`batch` but not
how Wickra plugs into a trading-system shape.

Three strategies, each in Rust + Python (six files total):

- strategy_rsi_mean_reversion — RSI(14) thresholds (30/70) on 1h
  BTCUSDT. Binary position, 0.1% per-trade fee.
- strategy_macd_adx — MACD crossover entries gated by ADX(14) > 20 on
  1h BTCUSDT. Trend-follower demo of multi-indicator gating.
- strategy_bollinger_squeeze — Bollinger-bandwidth 180-day-low squeeze
  + upper-band breakout entry, ATR(14) * 2 stop. On 1d BTCUSDT for
  interpretable lookback.

Each file is self-contained — print_summary is inlined per script so
the example stays a single-file read. Every script prints a
NOT-financial-advice notice next to its results.

examples/README.md updated to list the new bins/scripts.
This commit is contained in:
kingchenc
2026-05-30 18:23:03 +02:00
committed by GitHub
parent 6c2ddf319f
commit c212f91256
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examples/README.md
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@@ -17,6 +17,9 @@ The Rust examples live in the `wickra-examples` workspace member crate.
| `parallel_assets.rs` | Serial vs `BatchExt::batch_parallel` (rayon) over a synthetic panel, with speedup. | `cargo run --release -p wickra-examples --bin parallel_assets -- --assets 200 --bars 5000` |
| `fetch_btcusdt.rs` | Download real BTCUSDT klines from the Binance REST API into `examples/data/`. | `cargo run -p wickra-examples --bin fetch_btcusdt` |
| `live_binance.rs` | Stream live Binance klines through an indicator over a resilient WebSocket. | `cargo run -p wickra-examples --bin live_binance` |
| `strategy_rsi_mean_reversion.rs` | Hourly BTCUSDT mean-reversion using RSI(14) thresholds, with PnL / Sharpe / max-DD summary. | `cargo run --release -p wickra-examples --bin strategy_rsi_mean_reversion` |
| `strategy_macd_adx.rs` | Hourly BTCUSDT trend-follower: MACD crossover entries gated by ADX(14) > 20. | `cargo run --release -p wickra-examples --bin strategy_macd_adx` |
| `strategy_bollinger_squeeze.rs` | Daily BTCUSDT Bollinger-squeeze breakout with ATR(14) trailing stop. | `cargo run --release -p wickra-examples --bin strategy_bollinger_squeeze` |
## Python — `examples/python/`
@@ -28,6 +31,9 @@ The Rust examples live in the `wickra-examples` workspace member crate.
| `multi_timeframe.py` | Resample a 1-minute CSV to coarser timeframes and compare. | `python -m examples.python.multi_timeframe <1m.csv>` |
| `parallel_assets.py` | Process many symbols in parallel — the Rust extension releases the GIL during batch computation. | `python -m examples.python.parallel_assets --assets 200 --bars 5000` |
| `fetch_btcusdt.py` | Download real BTCUSDT klines from the Binance REST API into `examples/data/` (urllib + stdlib only). | `python -m examples.python.fetch_btcusdt` |
| `strategy_rsi_mean_reversion.py` | Hourly BTCUSDT mean-reversion using RSI(14) thresholds, with PnL / Sharpe / max-DD summary. | `python -m examples.python.strategy_rsi_mean_reversion` |
| `strategy_macd_adx.py` | Hourly BTCUSDT trend-follower: MACD crossover entries gated by ADX(14) > 20. | `python -m examples.python.strategy_macd_adx` |
| `strategy_bollinger_squeeze.py` | Daily BTCUSDT Bollinger-squeeze breakout with ATR(14) trailing stop. | `python -m examples.python.strategy_bollinger_squeeze` |
`live_trading.py` additionally needs `pip install websockets`.