Sample SMA strategy

2025-09-03 13:41:24 +02:00
parent 3e4ca283c9
commit 6b9dcee417
9 changed files with 505 additions and 179 deletions
@@ -4,7 +4,7 @@
        <ProjectVersion>20.3</ProjectVersion>
        <FrameworkType>FMX</FrameworkType>
        <Base>True</Base>
-        <Config Condition="'$(Config)'==''">Release</Config>
+        <Config Condition="'$(Config)'==''">Debug</Config>
        <Platform Condition="'$(Platform)'==''">Win64</Platform>
        <ProjectName Condition="'$(ProjectName)'==''">ASTPlayground</ProjectName>
        <TargetedPlatforms>2</TargetedPlatforms>
@@ -33,7 +33,7 @@ object Form1: TForm1
    end
    object PrettyPrintButton: TButton
      Position.X = 24.000000000000000000
-      Position.Y = 200.000000000000000000
+      Position.Y = 381.000000000000000000
      TabOrder = 3
      Text = 'Print'
      TextSettings.Trimming = None
@@ -41,7 +41,7 @@ object Form1: TForm1
    end
    object DebugButton: TButton
      Position.X = 24.000000000000000000
-      Position.Y = 230.000000000000000000
+      Position.Y = 411.000000000000000000
      TabOrder = 4
      Text = 'Debug'
      TextSettings.Trimming = None
@@ -59,8 +59,8 @@ object Form1: TForm1
      OnClick = RecursionButtonClick
    end
    object ShowScopeBox: TCheckBox
-      Position.X = 32.000000000000000000
-      Position.Y = 256.000000000000000000
+      Position.X = 24.000000000000000000
+      Position.Y = 441.000000000000000000
      TabOrder = 6
      Text = 'Scope'
    end
@@ -74,7 +74,7 @@ object Form1: TForm1
    end
    object CrerateTriggerExampleButton: TButton
      Position.X = 24.000000000000000000
-      Position.Y = 320.000000000000000000
+      Position.Y = 168.000000000000000000
      TabOrder = 9
      Text = 'TriggerTest'
      TextSettings.Trimming = None
@@ -82,7 +82,7 @@ object Form1: TForm1
    end
    object DoTriggerButton: TButton
      Position.X = 24.000000000000000000
-      Position.Y = 350.000000000000000000
+      Position.Y = 198.000000000000000000
      TabOrder = 10
      Text = 'Trigger!'
      TextSettings.Trimming = None
@@ -97,7 +97,7 @@ object Form1: TForm1
    end
    object ClearButton: TButton
      Position.X = 24.000000000000000000
-      Position.Y = 432.000000000000000000
+      Position.Y = 472.000000000000000000
      Size.Width = 80.000000000000000000
      Size.Height = 22.000000000000000000
      Size.PlatformDefault = False
@@ -115,7 +115,7 @@ object Form1: TForm1
    end
    object SeriesTestButton: TButton
      Position.X = 24.000000000000000000
-      Position.Y = 152.000000000000000000
+      Position.Y = 274.000000000000000000
      Size.Width = 80.000000000000000000
      Size.Height = 22.000000000000000000
      Size.PlatformDefault = False
@@ -124,6 +124,14 @@ object Form1: TForm1
      TextSettings.Trimming = None
      OnClick = SeriesTestButtonClick
    end
+    object OHLCButton: TButton
+      Position.X = 24.000000000000000000
+      Position.Y = 304.000000000000000000
+      TabOrder = 15
+      Text = 'OHLC'
+      TextSettings.Trimming = None
+      OnClick = OHLCButtonClick
+    end
  end
  object Panel2: TPanel
    Align = Client
@@ -10,6 +10,7 @@ uses
    System.Classes,
    System.Variants,
    System.Generics.Collections,
+    System.Math,
    FMX.Types,
    FMX.Controls,
    FMX.Forms,
@@ -31,6 +32,16 @@ uses
    FMX.Objects; // Added for TExecutionScope

 type
+    // A test record
+    TOHLCV = record
+        Timestamp: TDateTime;
+        Open: Double;
+        High: Double;
+        Low: Double;
+        Close: Double;
+        Volume: Int64;
+    end;
+
    TForm1 = class(TForm)
        Panel1: TPanel;
        Memo1: TMemo;
@@ -48,6 +59,7 @@ type
        ClearButton: TButton;
        FlowOnlyBox: TCheckBox;
        SeriesTestButton: TButton;
+        OHLCButton: TButton;
        procedure ClearButtonClick(Sender: TObject);
        procedure FormCreate(Sender: TObject);
        procedure CrerateTriggerExampleButtonClick(Sender: TObject);
@@ -55,6 +67,7 @@ type
        procedure DoTrigger2ButtonClick(Sender: TObject);
        procedure DoTriggerButtonClick(Sender: TObject);
        procedure FibonacciButtonClick(Sender: TObject);
+        procedure OHLCButtonClick(Sender: TObject);
        procedure PrettyPrintButtonClick(Sender: TObject);
        procedure RecursionButtonClick(Sender: TObject);
        procedure SeriesTestButtonClick(Sender: TObject);
@@ -62,7 +75,7 @@ type
        procedure Test2ButtonClick(Sender: TObject);
    private
        // Stores the last AST generated by Test1 or Test2 button clicks.
-        FLastAst: IAstNode;
+        FLastAst: IExpressionNode;
        FGScope: IExecutionScope;
        FWorkspace: TAuraWorkspace;
        procedure WorkspaceMouseDown(Sender: TObject; Button: TMouseButton; Shift: TShiftState; X, Y: Single);
@@ -308,12 +321,11 @@ begin
    Memo1.Lines.Add('--- Recursive factorial(20) ---');

    sw.Start;
-    {
+
    root :=
        TAst.Block(
            [
-                TAst.VarDecl(
-                    TAst.Identifier('factorial'),
+                TAst.FunctionCall(
                    TAst.LambdaExpr(
                        [TAst.Identifier('n')],
                        TAst.Block(
@@ -327,7 +339,7 @@ begin
                                            TAst.Identifier('n'),
                                            boMultiply,
                                            TAst.FunctionCall(
-                                                TAst.Identifier('factorial'),
+                                                TAst.Identifier('Self'),
                                                [TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))]
                                            )
                                        )
@@ -335,15 +347,9 @@ begin
                                )
                            ]
                        )
-                    )
+                    ),
+                    [TAst.Constant(TScalar.FromInt64(20))]
                ),
-                TAst.FunctionCall(TAst.Identifier('factorial'), [TAst.Constant(TScalar.FromInt64(20))])
-            ]
-        );
-}
-    root :=
-        TAst.Block(
-            [
                TAst.VarDecl(
                    TAst.Identifier('factorial'),
                    TAst.LambdaExpr(
@@ -357,7 +363,7 @@ begin
                                        TAst.Identifier('n'),
                                        boMultiply,
                                        TAst.FunctionCall(
-                                            TAst.Identifier('factorial'),
+                                            TAst.Identifier('Self'),
                                            [TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))]
                                        )
                                    )
@@ -383,16 +389,6 @@ begin
 end;

 procedure TForm1.SeriesTestButtonClick(Sender: TObject);
-type
-    // A test record to generate a definition from.
-    TOHLCV = record
-        Timestamp: TDateTime;
-        Open: Double;
-        High: Double;
-        Low: Double;
-        Close: Double;
-        Volume: Int64;
-    end;
 var
    jsonDef: string;
    recordDef: TScalarRecordDefinition;
@@ -457,8 +453,7 @@ begin
                    TAst.VarDecl(
                        TAst.Identifier('secondClose'),
                        TAst.Indexer(TAst.Identifier('closeColumn'), TAst.Constant(TScalar.FromInt64(1)))
-                    ),
-                    TAst.AssignResult(TAst.Identifier('secondClose'))
+                    )
                ]
            )
        );
@@ -527,7 +522,7 @@ begin
                        TAst.Identifier('b'),
                        TAst.BinaryExpr(TAst.Identifier('a'), boMultiply, TAst.Constant(TScalar.FromInt64(2)))
                    ),
-                    TAst.AssignResult(TAst.BinaryExpr(TAst.Identifier('a'), boAdd, TAst.Identifier('b')))
+                    TAst.BinaryExpr(TAst.Identifier('a'), boAdd, TAst.Identifier('b'))
                ]
            )
        );
@@ -570,14 +565,11 @@ begin
                    TAst.Identifier('createStrategyInstance'),
                    TAst.LambdaExpr(
                        [TAst.Identifier('offset')],
-                        Tast.VarDecl(
-                            TAst.Identifier('Result'),
-                            TAst.Block(
-                                [
-                                    TAst.VarDecl(TAst.Identifier('baseValue'), TAst.Constant(TScalar.FromInt64(100))),
-                                    TAst.BinaryExpr(TAst.Identifier('baseValue'), boAdd, TAst.Identifier('offset'))
-                                ]
-                            )
+                        TAst.Block(
+                            [
+                                TAst.VarDecl(TAst.Identifier('baseValue'), TAst.Constant(TScalar.FromInt64(100))),
+                                TAst.BinaryExpr(TAst.Identifier('baseValue'), boAdd, TAst.Identifier('offset'))
+                            ]
                        )
                    )
                ),
@@ -721,4 +713,183 @@ begin
    end;
 end;

+procedure TForm1.OHLCButtonClick(Sender: TObject);
+const
+    numRecs = 1000;
+    lookback = 100;
+    smaSlowLength = 20;
+    smaFastLength = 5;
+var
+    recordDef: TScalarRecordDefinition;
+    series: TScalarRecordSeries;
+    setupAst: IExpressionNode;
+    callAst: IExpressionNode;
+    visitor: IAstVisitor;
+    i: Integer;
+    lastClose: Double;
+    ohlcvRec: TOHLCV;
+    recordValue: TScalarRecord;
+    resultValue: TAstValue;
+    sw: TStopwatch;
+begin
+    // 1. Setup
+    Memo1.Lines.Clear;
+    Memo1.Lines.Add(Format('--- Simulating SMA Crossover Strategy for %d ticks ---', [numRecs]));
+    FGScope.Clear;
+    RegisterNativeFunctions(FGScope);
+    sw := TStopwatch.StartNew;
+
+    recordDef := TRttiAstHelper.JsonToRecordDefinition(TRttiAstHelper.RecordDefinitionToJson(TypeInfo(TOHLCV)));
+    series := TScalarRecordSeries.Create(recordDef);
+
+    // 2. Create the setup AST. This block defines all necessary functions.
+    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.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')
+                            )
+                        )
+                    )
+                ),
+                // let smaFast = CreateSMA(5);
+                TAst.VarDecl(
+                    TAst.Identifier('smaFast'),
+                    TAst.FunctionCall(TAst.Identifier('CreateSMA'), [TAst.Constant(TScalar.FromInt64(smaFastLength))])
+                ),
+                // let smaSlow = CreateSMA(20);
+                TAst.VarDecl(
+                    TAst.Identifier('smaSlow'),
+                    TAst.FunctionCall(TAst.Identifier('CreateSMA'), [TAst.Constant(TScalar.FromInt64(smaSlowLength))])
+                ),
+                // Define the main strategy function
+                TAst.VarDecl(
+                    TAst.Identifier('maCrossStrategy'),
+                    TAst.LambdaExpr(
+                        [TAst.Identifier('ohlcv')],
+                        TAst.Block(
+                            [
+                                TAst.VarDecl(
+                                    TAst.Identifier('close'),
+                                    TAst.MemberAccess(TAst.Identifier('ohlcv'), TAst.Identifier('Close'))
+                                ),
+                                TAst.VarDecl(
+                                    TAst.Identifier('valSmaFast'),
+                                    TAst.FunctionCall(TAst.Identifier('smaFast'), [TAst.Identifier('close')])
+                                ),
+                                TAst.VarDecl(
+                                    TAst.Identifier('valSmaSlow'),
+                                    TAst.FunctionCall(TAst.Identifier('smaSlow'), [TAst.Identifier('close')])
+                                ),
+                                TAst.TernaryExpr(
+                                    TAst.BinaryExpr(TAst.Identifier('valSmaFast'), boGreater, TAst.Identifier('valSmaSlow')),
+                                    TAst.Constant(TScalar.FromInt64(1)), // Buy signal
+                                    TAst.Constant(TScalar.FromInt64(-1))
+                                ) // Sell signal
+                            ]
+                        )
+                    )
+                )
+            ]
+        );
+
+    FLastAst := setupAst; // Store for visualization
+    visitor := TEvaluatorVisitor.Create(FGScope);
+
+    // Execute the setup script once to define all functions in the scope.
+    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
+    Memo1.Lines.Add('Starting simulation...');
+    Application.ProcessMessages;
+
+    lastClose := 1000.0;
+    Randomize;
+
+    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;
+        ohlcvRec.High := Max(ohlcvRec.Open, ohlcvRec.Close) + Random;
+        ohlcvRec.Low := Min(ohlcvRec.Open, ohlcvRec.Close) - Random;
+        ohlcvRec.Volume := RandomRange(1000, 50000);
+        lastClose := ohlcvRec.Close;
+
+        recordValue :=
+            TScalarRecord.Create(
+                recordDef,
+                [
+                    TScalarValue.FromDateTime(ohlcvRec.Timestamp),
+                    TScalarValue.FromDouble(ohlcvRec.Open),
+                    TScalarValue.FromDouble(ohlcvRec.High),
+                    TScalarValue.FromDouble(ohlcvRec.Low),
+                    TScalarValue.FromDouble(ohlcvRec.Close),
+                    TScalarValue.FromInt64(ohlcvRec.Volume)
+                ]
+            );
+
+        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;
+        end;
+    end;
+
+    sw.Stop;
+    Memo1.Lines.Add('--- Simulation Finished ---');
+    Memo1.Lines.Add(Format('Total time: %d ms', [sw.ElapsedMilliseconds]));
+end;
+
 end.
@@ -76,6 +76,7 @@ type
            const Title, Details: string;
            const InPin, OutPin: String;
            IsExec: Boolean;
+            HasResult: Boolean;
            const ChildVisitorProc: TChildVisitorProc
        ): TAuraNode;
        function VisitOperatorNode(
@@ -181,7 +182,8 @@ implementation

 uses
    System.Math,
-    System.StrUtils;
+    System.StrUtils,
+    Myc.Data.Scalar;

 type
    // This visitor converts an AST expression subtree into a single string.
@@ -284,7 +286,7 @@ var
 begin
    sb := TStringBuilder.Create;
    try
-        sb.Append('(');
+        sb.Append(#$03BB + '(');
        if Length(Node.Parameters) > 0 then
        begin
            for i := 0 to High(Node.Parameters) do
@@ -677,6 +679,7 @@ begin
            '',
            '',
            true,
+            false,
            procedure(const Visitor: IAstVisitor)
            var
                expression: IExpressionNode;
@@ -715,6 +718,7 @@ function TAstToAuraNodeVisitor.VisitContainerNode(
    const Title, Details: string;
    const InPin, OutPin: String;
    IsExec: Boolean;
+    HasResult: Boolean;
    const ChildVisitorProc: TChildVisitorProc
 ): TAuraNode;
 var
@@ -724,6 +728,7 @@ var
    maxRight: Single;
    maxBottom: Single;
    control: TControl;
+    childLastResult: TAuraNodeResult;
 begin
    const pinNodeHeight = cPinSize + cVerticalPadding;

@@ -764,6 +769,9 @@ begin
    childVisitor := TAstToAuraNodeVisitor.Create(FWorkspace, containerNode, childStartPos, FConnections, FCurrentExec.ToArray, FMode);
    ChildVisitorProc(childVisitor);

+    // Capture the result from the child visitor.
+    childLastResult := (childVisitor as TAstToAuraNodeVisitor).FLastResult;
+
    FCurrentExec.Clear;
    FCurrentExec.AddRange((childVisitor as TAstToAuraNodeVisitor).FCurrentExec);

@@ -781,7 +789,7 @@ begin

    // The width must be at least the title width, and large enough for children.
    containerNode.Width := Max(containerNode.Width, maxRight + FSpacing.X);
-    containerNode.Height := Max(containerNode.Height, maxBottom + FSpacing.Y + IfThen(OutPin <> '', pinNodeHeight, 0));
+    containerNode.Height := Max(containerNode.Height, maxBottom + FSpacing.Y);

    if OutPin <> '' then
    begin
@@ -789,8 +797,19 @@ begin
        exitNode.Parent := containerNode;
        exitNode.Height := pinNodeHeight;
        var exitPin := CreateEntry(exitNode);
+
+        // Create and connect a data pin if the container returns a value.
+        if HasResult and Assigned(childLastResult.OutputPin) then
+        begin
+            var dataResultPin := CreateInput(exitNode, 'Result');
+            FConnections.Add(TPinConnection.Create(childLastResult.OutputPin, dataResultPin));
+        end;
+
        FinalizeNodeLayout(exitNode);

+        // Enlarge for the exit node
+        containerNode.Height := Max(containerNode.Height, maxBottom + FSpacing.Y + exitNode.Height);
+
        exitNode.Position.Point := TPointF.Create(containerNode.Width - exitNode.Width, containerNode.Height - exitNode.Height);

        if not IsExec then
@@ -1022,11 +1041,12 @@ begin
    // Use the helper to create and populate the container node.
    lambdaNode :=
        VisitContainerNode(
-            'Lambda',
+            #$03BB,
            paramStr,
            'call',
            'return',
            false,
+            true,
            procedure(const Visitor: IAstVisitor) begin Node.Body.Accept(Visitor); end
        );