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Sample SMA strategy

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This commit is contained in:
Michael Schimmel
2025-09-03 19:21:31 +02:00
parent 6b9dcee417
commit 696fb2f9a0
8 changed files with 709 additions and 204 deletions
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ASTPlayground/MainForm.pas
+86 -141
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@@ -60,6 +60,7 @@ type
FlowOnlyBox: TCheckBox;
SeriesTestButton: TButton;
OHLCButton: TButton;
DebugBox: TCheckBox;
procedure ClearButtonClick(Sender: TObject);
procedure FormCreate(Sender: TObject);
procedure CrerateTriggerExampleButtonClick(Sender: TObject);
@@ -78,6 +79,7 @@ type
FLastAst: IExpressionNode;
FGScope: IExecutionScope;
FWorkspace: TAuraWorkspace;
function CreateVisitor(const AScope: IExecutionScope): IAstVisitor;
procedure WorkspaceMouseDown(Sender: TObject; Button: TMouseButton; Shift: TShiftState; X, Y: Single);
public
{ Public declarations }
@@ -102,6 +104,18 @@ begin
FWorkspace.Repaint;
end;
function TForm1.CreateVisitor(const AScope: IExecutionScope): IAstVisitor;
begin
// Conditionally create a debug visitor if the checkbox is checked.
if DebugBox.IsChecked then
begin
Memo1.Lines.Add('--- Creating DEBUG visitor ---');
Result := TDebugEvaluatorVisitor.Create(AScope, Memo1.Lines, ShowScopeBox.IsChecked);
end
else
Result := TEvaluatorVisitor.Create(AScope);
end;
procedure TForm1.FormCreate(Sender: TObject);
begin
FWorkspace := TAuraWorkspace.Create(Panel2);
@@ -133,6 +147,7 @@ begin
Memo1.Lines.Clear;
Memo1.Lines.Add('--- Debug Evaluator Trace ---');
// This button ALWAYS uses the debug visitor, regardless of the checkbox.
visitor := TDebugEvaluatorVisitor.Create(scope, Memo1.Lines, ShowScopeBox.IsChecked, 0);
sw := TStopwatch.StartNew;
@@ -203,38 +218,7 @@ begin
Application.ProcessMessages; // Update UI before blocking
sw.Start;
{
root :=
TAst.Block(
[
TAst.VarDecl(
TAst.Identifier('fib'),
TAst.LambdaExpr(
[TAst.Identifier('n')],
TAst.IfExpr(
TAst.BinaryExpr(TAst.Identifier('n'), boLess, TAst.Constant(TScalar.FromInt64(2))),
TAst.Assign(TAst.Identifier('Result'), TAst.Identifier('n')),
TAst.Assign(
TAst.Identifier('Result'),
TAst.BinaryExpr(
TAst.FunctionCall(
TAst.Identifier('fib'),
[TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))]
),
boAdd,
TAst.FunctionCall(
TAst.Identifier('fib'),
[TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(2)))]
)
)
)
)
)
),
TAst.FunctionCall(TAst.Identifier('fib'), [TAst.Constant(TScalar.FromInt64(30))])
]
);
}
root :=
TAst.Block(
[
@@ -269,7 +253,7 @@ begin
FLastAst := root;
scope := TExecutionScope.Create(nil);
visitor := TEvaluatorVisitor.Create(scope);
visitor := CreateVisitor(scope);
result := root.Accept(visitor);
sw.Stop;
@@ -325,31 +309,6 @@ begin
root :=
TAst.Block(
[
TAst.FunctionCall(
TAst.LambdaExpr(
[TAst.Identifier('n')],
TAst.Block(
[
TAst.IfExpr(
TAst.BinaryExpr(TAst.Identifier('n'), boLess, TAst.Constant(TScalar.FromInt64(2))),
TAst.Assign(TAst.Identifier('Result'), TAst.Constant(TScalar.FromInt64(1))),
TAst.Assign(
TAst.Identifier('Result'),
TAst.BinaryExpr(
TAst.Identifier('n'),
boMultiply,
TAst.FunctionCall(
TAst.Identifier('Self'),
[TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))]
)
)
)
)
]
)
),
[TAst.Constant(TScalar.FromInt64(20))]
),
TAst.VarDecl(
TAst.Identifier('factorial'),
TAst.LambdaExpr(
@@ -363,7 +322,7 @@ begin
TAst.Identifier('n'),
boMultiply,
TAst.FunctionCall(
TAst.Identifier('Self'),
TAst.Identifier('factorial'),
[TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))]
)
)
@@ -379,7 +338,7 @@ begin
FLastAst := root;
scope := TExecutionScope.Create(nil);
visitor := TEvaluatorVisitor.Create(scope);
visitor := CreateVisitor(scope);
result := root.Accept(visitor);
sw.Stop;
@@ -437,10 +396,6 @@ begin
// --- 2. Act (in Script) ---
Memo1.Lines.Add('2. Executing script...');
// This script now tests member access and indexing the resulting member series.
// let closeColumn = ohlcvSeries.Close;
// let secondClose = closeColumn[1];
// secondClose
ast :=
TAst.LambdaExpr(
[],
@@ -459,7 +414,7 @@ begin
);
FLastAst := ast;
visitor := TEvaluatorVisitor.Create(FGScope);
visitor := CreateVisitor(FGScope);
resultValue := TAst.FunctionCall(ast, []).Accept(visitor);
Memo1.Lines.Add(' - Script finished.');
@@ -530,7 +485,7 @@ begin
FLastAst := main;
scope := TExecutionScope.Create(FGScope);
visitor := TEvaluatorVisitor.Create(scope);
visitor := CreateVisitor(scope);
result := TAst.FunctionCall(main, []).Accept(visitor);
sw.Stop;
@@ -582,7 +537,7 @@ begin
scope := TExecutionScope.Create(FGScope);
visitor := TEvaluatorVisitor.Create(scope);
visitor := CreateVisitor(scope);
result := root.Accept(visitor);
sw.Stop;
@@ -620,15 +575,9 @@ begin
]
);
// lambdaAst :=
// TAst.LambdaExpr(
// [TAst.Identifier('summand')],
// TAst.Assign(TAst.Identifier('X'), TAst.BinaryExpr(TAst.Identifier('X'), boAdd, TAst.Identifier('summand')))
// );
// Evaluate the lambda to create a closure and store it in the scope.
// The closure captures the scope where 'X' is defined.
visitor := TEvaluatorVisitor.Create(FGScope);
visitor := CreateVisitor(FGScope);
blk.Accept(visitor);
// FLastAst is not used for this parameterized example.
@@ -652,7 +601,7 @@ begin
callAst := TAst.FunctionCall(TAst.Identifier('tickHandler'), [TAst.Constant(TScalar.FromInt64(1))]);
// Execute the call AST.
visitor := TEvaluatorVisitor.Create(FGScope);
visitor := CreateVisitor(FGScope);
callAst.Accept(visitor);
FLastAst := callAst;
@@ -684,7 +633,7 @@ begin
FLastAst := callAst;
// Execute the call AST.
visitor := TEvaluatorVisitor.Create(FGScope);
visitor := CreateVisitor(FGScope);
callAst.Accept(visitor);
// Get the updated value of 'X' from the scope and display it.
@@ -715,8 +664,8 @@ end;
procedure TForm1.OHLCButtonClick(Sender: TObject);
const
numRecs = 1000;
lookback = 100;
numRecs = 100;
lookback = 50;
smaSlowLength = 20;
smaFastLength = 5;
var
@@ -734,7 +683,7 @@ var
begin
// 1. Setup
Memo1.Lines.Clear;
Memo1.Lines.Add(Format('--- Simulating SMA Crossover Strategy for %d ticks ---', [numRecs]));
Memo1.Lines.Add(Format('--- Simulating O(1) SMA Crossover Strategy for %d ticks ---', [numRecs]));
FGScope.Clear;
RegisterNativeFunctions(FGScope);
sw := TStopwatch.StartNew;
@@ -742,61 +691,66 @@ begin
recordDef := TRttiAstHelper.JsonToRecordDefinition(TRttiAstHelper.RecordDefinitionToJson(TypeInfo(TOHLCV)));
series := TScalarRecordSeries.Create(recordDef);
// 2. Create the setup AST. This block defines all necessary functions.
// 2. Create the setup AST with O(1) SMA implementation
setupAst :=
TAst.Block(
[
// let sumRange = (s, n) => (n <= 0) ? 0.0 : (s[n - 1] + sumRange(s, n - 1));
TAst.VarDecl(
TAst.Identifier('sumRange'),
TAst.LambdaExpr(
[TAst.Identifier('s'), TAst.Identifier('n')],
TAst.TernaryExpr(
TAst.BinaryExpr(TAst.Identifier('n'), boLessOrEqual, TAst.Constant(TScalar.FromInt64(0))),
TAst.Constant(TScalar.FromDouble(0.0)), // Base case for recursion
TAst.BinaryExpr(
TAst.Indexer(
TAst.Identifier('s'),
TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))
),
boAdd,
TAst.FunctionCall(
TAst.Identifier('sumRange'),
[
TAst.Identifier('s'),
TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))
]
)
)
)
)
),
// let CreateSMA = (len) => (series) => sumRange(series, len) / len;
TAst.VarDecl(
TAst.Identifier('CreateSMA'),
TAst.Identifier('CreateSMA_O1'),
TAst.LambdaExpr(
[TAst.Identifier('len')],
TAst.LambdaExpr(
[TAst.Identifier('series')],
TAst.BinaryExpr(
TAst.FunctionCall(TAst.Identifier('sumRange'), [TAst.Identifier('series'), TAst.Identifier('len')]),
boDivide,
TAst.Identifier('len')
)
TAst.Block(
[
TAst.VarDecl(TAst.Identifier('sum'), TAst.Constant(TScalar.FromDouble(0.0))),
TAst.VarDecl(TAst.Identifier('values'), TAst.CreateSeries('double')),
TAst.LambdaExpr(
[TAst.Identifier('val')],
TAst.Block(
[
TAst.IfExpr(
TAst.BinaryExpr(
TAst.SeriesLength(TAst.Identifier('values')),
boGreaterOrEqual,
TAst.Identifier('len')
),
TAst.Assign(
TAst.Identifier('sum'),
TAst.BinaryExpr(
TAst.Identifier('sum'),
boSubtract,
TAst.Indexer(
TAst.Identifier('values'),
TAst.BinaryExpr(
TAst.Identifier('len'),
boSubtract,
TAst.Constant(TScalar.FromInt64(1))
)
)
)
),
nil
),
TAst.Assign(
TAst.Identifier('sum'),
TAst.BinaryExpr(TAst.Identifier('sum'), boAdd, TAst.Identifier('val'))
),
TAst.AddSeriesItem(TAst.Identifier('values'), TAst.Identifier('val'), TAst.Identifier('len')),
TAst.BinaryExpr(TAst.Identifier('sum'), boDivide, TAst.SeriesLength(TAst.Identifier('values')))
]
)
)
]
)
)
),
// let smaFast = CreateSMA(5);
TAst.VarDecl(
TAst.Identifier('smaFast'),
TAst.FunctionCall(TAst.Identifier('CreateSMA'), [TAst.Constant(TScalar.FromInt64(smaFastLength))])
TAst.FunctionCall(TAst.Identifier('CreateSMA_O1'), [TAst.Constant(TScalar.FromInt64(smaFastLength))])
),
// let smaSlow = CreateSMA(20);
TAst.VarDecl(
TAst.Identifier('smaSlow'),
TAst.FunctionCall(TAst.Identifier('CreateSMA'), [TAst.Constant(TScalar.FromInt64(smaSlowLength))])
TAst.FunctionCall(TAst.Identifier('CreateSMA_O1'), [TAst.Constant(TScalar.FromInt64(smaSlowLength))])
),
// Define the main strategy function
TAst.VarDecl(
TAst.Identifier('maCrossStrategy'),
TAst.LambdaExpr(
@@ -804,22 +758,25 @@ begin
TAst.Block(
[
TAst.VarDecl(
TAst.Identifier('close'),
TAst.MemberAccess(TAst.Identifier('ohlcv'), TAst.Identifier('Close'))
TAst.Identifier('currentClose'),
TAst.MemberAccess(
TAst.Indexer(TAst.Identifier('ohlcv'), TAst.Constant(TScalar.FromInt64(0))),
TAst.Identifier('Close')
)
),
TAst.VarDecl(
TAst.Identifier('valSmaFast'),
TAst.FunctionCall(TAst.Identifier('smaFast'), [TAst.Identifier('close')])
TAst.FunctionCall(TAst.Identifier('smaFast'), [TAst.Identifier('currentClose')])
),
TAst.VarDecl(
TAst.Identifier('valSmaSlow'),
TAst.FunctionCall(TAst.Identifier('smaSlow'), [TAst.Identifier('close')])
TAst.FunctionCall(TAst.Identifier('smaSlow'), [TAst.Identifier('currentClose')])
),
TAst.TernaryExpr(
TAst.BinaryExpr(TAst.Identifier('valSmaFast'), boGreater, TAst.Identifier('valSmaSlow')),
TAst.Constant(TScalar.FromInt64(1)), // Buy signal
TAst.Constant(TScalar.FromInt64(1)),
TAst.Constant(TScalar.FromInt64(-1))
) // Sell signal
)
]
)
)
@@ -827,13 +784,9 @@ begin
]
);
FLastAst := setupAst; // Store for visualization
visitor := TEvaluatorVisitor.Create(FGScope);
// Execute the setup script once to define all functions in the scope.
FLastAst := setupAst;
visitor := CreateVisitor(FGScope);
setupAst.Accept(visitor);
// Create the AST for the function call that will be executed on each tick.
callAst := TAst.FunctionCall(TAst.Identifier('maCrossStrategy'), [TAst.Identifier('current_series')]);
// 3. Simulation Loop
@@ -846,7 +799,6 @@ begin
var nw := Now;
for i := 1 to numRecs do
begin
// Generate a random OHLCV record
ohlcvRec.Timestamp := nw + (i / (24 * 60));
ohlcvRec.Open := lastClose + (Random * 0.05);
ohlcvRec.Close := lastClose + (Random - 0.49) * 2;
@@ -870,20 +822,13 @@ begin
series.Add(recordValue, lookback);
// Execute the strategy if we have enough data for the slowest indicator
if series.TotalCount >= smaSlowLength then
begin
// Place the current data into the scope for the callAst to find
FGScope.SetValue('current_series', TAstValue.FromRecordSeries(series));
// Correctly call the strategy function via its identifier
resultValue := callAst.Accept(visitor);
if (i mod 100 = 0) or (i = numRecs) then
begin
Memo1.Lines.Add(Format('Tick %d/%d: Close = %.2f, Signal = %s', [i, numRecs, ohlcvRec.Close, resultValue.ToString]));
Application.ProcessMessages;
end;
Memo1.Lines.Add(Format('Tick %d/%d: Close = %.2f, Signal = %s', [i, numRecs, ohlcvRec.Close, resultValue.ToString]));
Application.ProcessMessages;
end;
end;