kingchenc
91f6f67257
The first language stecker on the C ABI hub: a .NET binding exposing all 514 indicators as idiomatic `IDisposable` classes, generated from `wickra.h`. ## What's here - **`bindings/csharp/`** — the `Wickra` .NET 8 package. `[LibraryImport]` source-generated P/Invoke (`NativeMethods.g.cs`) plus idiomatic wrappers (`Indicators.g.cs`), both generated from the committed `bindings/c/include/wickra.h`. The binding owns no indicator maths — it only marshals types across the C ABI. - **Marshalling, verified end-to-end against the native library.** Opaque handles cross as `nint` kept alive per call via a `SafeHandle`; `bool` as `[MarshalAs(U1)]` (Rust `bool` is one byte); a self-correcting `DllImportResolver` validates the loaded library actually exports the Wickra ABI. Tests cover one representative per FFI archetype (scalar, candle, pairwise, multi-output, bars, profile, values-profile, order-book / array-input) plus exact Sma reference values. - **NuGet packaging** — `dotnet pack` produces `Wickra.<version>.nupkg`; the release pipeline stages prebuilt native libraries under `runtimes/<rid>/native/` for six target triples (win/linux/osx × x64/arm64). - **`examples/csharp/`** — nine examples mirroring `examples/c/`: streaming, backtest, multi_timeframe, parallel_assets, three strategies, and fetch_btcusdt + live_binance. - **CI** — a `csharp` job on the three OSes builds the C ABI, tests the binding, and runs the offline examples. **Release** — a gated `csharp-publish` job packs and pushes to NuGet (gated on `NUGET_API_KEY`, independent of the GitHub-release job so a C# hiccup never blocks the C/C++ asset release). - **Docs consistency wave** — README, CONTRIBUTING, CHANGELOG, examples/README, the issue / PR templates, `sync-about.yml`, and `.gitattributes`. The native Python / Node / WASM bindings and the C ABI are untouched; this is additive. Publishing to NuGet stays gated behind the release tag and the secret.
46 lines
1.9 KiB
C#
46 lines
1.9 KiB
C#
namespace Wickra.Examples;
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/// <summary>Summary statistics for a long-only equity curve.</summary>
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public sealed record EquityResult(double TotalReturnPct, double Sharpe, double MaxDrawdownPct, int Trades, double FinalEquity);
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/// <summary>
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/// Minimal long-only backtest helper: turn a stream of per-bar fractional
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/// returns into a PnL / Sharpe / max-drawdown summary. The strategy examples
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/// produce the returns; this aggregates them.
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/// </summary>
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public static class Backtest
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{
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/// <param name="periodReturns">Per-bar fractional returns (0.01 == +1%).</param>
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/// <param name="trades">Number of position entries.</param>
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/// <param name="periodsPerYear">Annualisation factor for the Sharpe ratio.</param>
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public static EquityResult Summarize(IReadOnlyList<double> periodReturns, int trades, double periodsPerYear = 252.0)
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{
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double equity = 1.0, peak = 1.0, maxDrawdown = 0.0;
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foreach (var r in periodReturns)
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{
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equity *= 1.0 + r;
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peak = Math.Max(peak, equity);
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if (peak > 0)
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{
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maxDrawdown = Math.Max(maxDrawdown, (peak - equity) / peak);
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}
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}
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var mean = periodReturns.Count > 0 ? periodReturns.Average() : 0.0;
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var variance = periodReturns.Count > 1
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? periodReturns.Sum(x => (x - mean) * (x - mean)) / (periodReturns.Count - 1)
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: 0.0;
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var stdDev = Math.Sqrt(variance);
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var sharpe = stdDev > 1e-12 ? mean / stdDev * Math.Sqrt(periodsPerYear) : 0.0;
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return new EquityResult((equity - 1.0) * 100.0, sharpe, maxDrawdown * 100.0, trades, equity);
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}
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/// <summary>Prints a one-line summary.</summary>
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public static void Print(string name, EquityResult r)
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{
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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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}
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