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).
48 lines
1.5 KiB
R
48 lines
1.5 KiB
R
# 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 70
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# (overbought). 0.1% fees per trade. The R counterpart of
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# examples/python/strategy_rsi_mean_reversion.py, printing the same summary. Uses
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# the 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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OVERSOLD <- 30
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OVERBOUGHT <- 70
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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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closes <- bars$close
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n_bars <- length(closes)
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rsi <- Rsi(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)
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for (i in seq_len(n_bars)) {
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value <- update(rsi, closes[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.finite(value)) next
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if (!in_pos && value < OVERSOLD) {
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entry_price <- price; equity <- equity * (1 - FEE); in_pos <- TRUE
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} else if (in_pos && value > OVERBOUGHT) {
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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("RSI Mean-Reversion (1h, BTCUSDT)",
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closes[1], closes[n_bars], n_bars, closed, equity, equity_curve)
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