kingchencandGitHub
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).
83 lines
1.9 KiB
Go
83 lines
1.9 KiB
Go
// Strategy example: RSI(14) mean-reversion.
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//
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// Go long when RSI(14) drops below 30 (oversold), exit when it recovers above
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// 70 (overbought). 0.1% fees per trade. The Go counterpart of
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// examples/python/strategy_rsi_mean_reversion.py, printing the same summary.
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//
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// Uses the checked-in examples/data/btcusdt-1h.csv dataset (pass a CSV path to
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// override).
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package main
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import (
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"log"
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"math"
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"os"
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wickra "github.com/wickra-lib/wickra/bindings/go"
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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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oversold = 30.0
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overbought = 70.0
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)
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func main() {
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bars := loadBars()
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rsi, _ := wickra.NewRsi(14)
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defer rsi.Close()
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inPosition := false
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entryPrice := 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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for _, b := range bars {
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value := rsi.Update(b.Close)
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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 math.IsNaN(value) {
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continue
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}
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if !inPosition && value < oversold {
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entryPrice = price
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equity *= 1.0 - fee
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inPosition = true
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} else if inPosition && value > overbought {
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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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}
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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("RSI Mean-Reversion (1h, 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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if len(os.Args) > 1 {
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bars, err := market.LoadOhlcvCsv(os.Args[1])
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if err != nil {
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log.Fatalf("load csv: %v", err)
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}
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return bars
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}
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return market.BundledCandles("btcusdt-1h.csv")
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}
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