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).
55 lines
2.0 KiB
R
55 lines
2.0 KiB
R
# Strategy example: MACD crossover with ADX trend-strength filter.
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#
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# Enters long on a MACD histogram cross up (the histogram turns positive) while
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# ADX(14) > 20 (a directional market); exits on the opposite MACD crossover
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# regardless of ADX. 0.1% fees per trade. The R counterpart of
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# examples/python/strategy_macd_adx.py, printing the same summary. Uses the
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# checked-in examples/data/btcusdt-1h.csv dataset (pass a CSV path to override).
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suppressPackageStartupMessages(library(wickra))
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source("_common.R")
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FEE <- 0.001
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ADX_FLOOR <- 20
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args <- commandArgs(trailingOnly = TRUE)
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bars <- if (length(args) >= 1) load_ohlcv_csv(args[1]) else bundled_candles("btcusdt-1h.csv")
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opens <- bars$open; highs <- bars$high; lows <- bars$low
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closes <- bars$close; vols <- bars$volume; ts <- bars$timestamp
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n_bars <- length(closes)
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macd <- MacdIndicator(12, 26, 9); adx <- Adx(14)
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in_pos <- FALSE; entry_price <- 0; closed <- numeric(0); equity <- 1
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equity_curve <- numeric(n_bars); have_prev <- FALSE; prev_sign <- FALSE
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for (i in seq_len(n_bars)) {
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m <- update(macd, closes[i])
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a <- update(adx, opens[i], highs[i], lows[i], closes[i], vols[i], ts[i])
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price <- closes[i]
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equity_curve[i] <- if (in_pos) equity * (price / entry_price) else equity
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if (is.na(m[["macd"]]) || is.na(a[["adx"]])) next
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hist_sign <- m[["histogram"]] > 0
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cross_up <- have_prev && !prev_sign && hist_sign
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cross_down <- have_prev && prev_sign && !hist_sign
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have_prev <- TRUE; prev_sign <- hist_sign
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if (!in_pos && cross_up && a[["adx"]] > ADX_FLOOR) {
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entry_price <- price; equity <- equity * (1 - FEE); in_pos <- TRUE
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} else if (in_pos && cross_down) {
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trade_ret <- price / entry_price - 1
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closed <- c(closed, trade_ret)
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equity <- equity * (1 + trade_ret) * (1 - FEE)
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in_pos <- FALSE
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}
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}
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if (in_pos) {
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trade_ret <- closes[n_bars] / entry_price - 1
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closed <- c(closed, trade_ret)
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equity <- equity * (1 + trade_ret) * (1 - FEE)
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}
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print_summary("MACD + ADX Trend Filter (1h, BTCUSDT)",
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closes[1], closes[n_bars], n_bars, closed, equity, equity_curve)
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