kingchenc
75eefbbd08
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).
92 lines
2.6 KiB
C#
92 lines
2.6 KiB
C#
using Wickra;
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using Wickra.Examples;
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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 inPosition = false;
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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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if (Math.Abs(band.Middle) <= 1e-12)
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{
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continue;
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}
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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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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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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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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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