Sample SMA strategy
This commit is contained in:
Michael Schimmel
+206
-35
@@ -10,6 +10,7 @@ uses
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System.Classes,
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System.Variants,
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System.Generics.Collections,
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System.Math,
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FMX.Types,
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FMX.Controls,
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FMX.Forms,
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@@ -31,6 +32,16 @@ uses
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FMX.Objects; // Added for TExecutionScope
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type
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// A test record
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TOHLCV = record
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Timestamp: TDateTime;
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Open: Double;
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High: Double;
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Low: Double;
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Close: Double;
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Volume: Int64;
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end;
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TForm1 = class(TForm)
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Panel1: TPanel;
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Memo1: TMemo;
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@@ -48,6 +59,7 @@ type
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ClearButton: TButton;
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FlowOnlyBox: TCheckBox;
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SeriesTestButton: TButton;
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OHLCButton: TButton;
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procedure ClearButtonClick(Sender: TObject);
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procedure FormCreate(Sender: TObject);
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procedure CrerateTriggerExampleButtonClick(Sender: TObject);
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@@ -55,6 +67,7 @@ type
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procedure DoTrigger2ButtonClick(Sender: TObject);
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procedure DoTriggerButtonClick(Sender: TObject);
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procedure FibonacciButtonClick(Sender: TObject);
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procedure OHLCButtonClick(Sender: TObject);
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procedure PrettyPrintButtonClick(Sender: TObject);
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procedure RecursionButtonClick(Sender: TObject);
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procedure SeriesTestButtonClick(Sender: TObject);
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@@ -62,7 +75,7 @@ type
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procedure Test2ButtonClick(Sender: TObject);
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private
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// Stores the last AST generated by Test1 or Test2 button clicks.
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FLastAst: IAstNode;
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FLastAst: IExpressionNode;
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FGScope: IExecutionScope;
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FWorkspace: TAuraWorkspace;
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procedure WorkspaceMouseDown(Sender: TObject; Button: TMouseButton; Shift: TShiftState; X, Y: Single);
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@@ -308,12 +321,11 @@ begin
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Memo1.Lines.Add('--- Recursive factorial(20) ---');
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sw.Start;
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{
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root :=
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TAst.Block(
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[
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TAst.VarDecl(
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TAst.Identifier('factorial'),
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TAst.FunctionCall(
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TAst.LambdaExpr(
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[TAst.Identifier('n')],
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TAst.Block(
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@@ -327,7 +339,7 @@ begin
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TAst.Identifier('n'),
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boMultiply,
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TAst.FunctionCall(
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TAst.Identifier('factorial'),
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TAst.Identifier('Self'),
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[TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))]
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)
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)
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@@ -335,15 +347,9 @@ begin
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)
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]
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)
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)
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),
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[TAst.Constant(TScalar.FromInt64(20))]
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),
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TAst.FunctionCall(TAst.Identifier('factorial'), [TAst.Constant(TScalar.FromInt64(20))])
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]
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);
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}
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root :=
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TAst.Block(
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[
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TAst.VarDecl(
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TAst.Identifier('factorial'),
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TAst.LambdaExpr(
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@@ -357,7 +363,7 @@ begin
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TAst.Identifier('n'),
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boMultiply,
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TAst.FunctionCall(
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TAst.Identifier('factorial'),
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TAst.Identifier('Self'),
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[TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))]
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)
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)
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@@ -383,16 +389,6 @@ begin
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end;
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procedure TForm1.SeriesTestButtonClick(Sender: TObject);
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type
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// A test record to generate a definition from.
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TOHLCV = record
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Timestamp: TDateTime;
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Open: Double;
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High: Double;
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Low: Double;
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Close: Double;
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Volume: Int64;
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end;
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var
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jsonDef: string;
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recordDef: TScalarRecordDefinition;
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@@ -457,8 +453,7 @@ begin
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TAst.VarDecl(
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TAst.Identifier('secondClose'),
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TAst.Indexer(TAst.Identifier('closeColumn'), TAst.Constant(TScalar.FromInt64(1)))
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),
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TAst.AssignResult(TAst.Identifier('secondClose'))
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)
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]
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)
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);
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@@ -527,7 +522,7 @@ begin
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TAst.Identifier('b'),
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TAst.BinaryExpr(TAst.Identifier('a'), boMultiply, TAst.Constant(TScalar.FromInt64(2)))
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),
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TAst.AssignResult(TAst.BinaryExpr(TAst.Identifier('a'), boAdd, TAst.Identifier('b')))
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TAst.BinaryExpr(TAst.Identifier('a'), boAdd, TAst.Identifier('b'))
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]
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)
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);
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@@ -570,14 +565,11 @@ begin
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TAst.Identifier('createStrategyInstance'),
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TAst.LambdaExpr(
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[TAst.Identifier('offset')],
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Tast.VarDecl(
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TAst.Identifier('Result'),
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TAst.Block(
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[
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TAst.VarDecl(TAst.Identifier('baseValue'), TAst.Constant(TScalar.FromInt64(100))),
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TAst.BinaryExpr(TAst.Identifier('baseValue'), boAdd, TAst.Identifier('offset'))
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]
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)
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TAst.Block(
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[
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TAst.VarDecl(TAst.Identifier('baseValue'), TAst.Constant(TScalar.FromInt64(100))),
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TAst.BinaryExpr(TAst.Identifier('baseValue'), boAdd, TAst.Identifier('offset'))
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]
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)
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)
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),
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@@ -721,4 +713,183 @@ begin
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end;
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end;
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procedure TForm1.OHLCButtonClick(Sender: TObject);
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const
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numRecs = 1000;
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lookback = 100;
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smaSlowLength = 20;
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smaFastLength = 5;
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var
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recordDef: TScalarRecordDefinition;
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series: TScalarRecordSeries;
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setupAst: IExpressionNode;
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callAst: IExpressionNode;
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visitor: IAstVisitor;
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i: Integer;
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lastClose: Double;
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ohlcvRec: TOHLCV;
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recordValue: TScalarRecord;
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resultValue: TAstValue;
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sw: TStopwatch;
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begin
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// 1. Setup
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Memo1.Lines.Clear;
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Memo1.Lines.Add(Format('--- Simulating SMA Crossover Strategy for %d ticks ---', [numRecs]));
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FGScope.Clear;
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RegisterNativeFunctions(FGScope);
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sw := TStopwatch.StartNew;
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recordDef := TRttiAstHelper.JsonToRecordDefinition(TRttiAstHelper.RecordDefinitionToJson(TypeInfo(TOHLCV)));
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series := TScalarRecordSeries.Create(recordDef);
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// 2. Create the setup AST. This block defines all necessary functions.
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setupAst :=
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TAst.Block(
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[
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// let sumRange = (s, n) => (n <= 0) ? 0.0 : (s[n - 1] + sumRange(s, n - 1));
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TAst.VarDecl(
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TAst.Identifier('sumRange'),
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TAst.LambdaExpr(
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[TAst.Identifier('s'), TAst.Identifier('n')],
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TAst.TernaryExpr(
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TAst.BinaryExpr(TAst.Identifier('n'), boLessOrEqual, TAst.Constant(TScalar.FromInt64(0))),
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TAst.Constant(TScalar.FromDouble(0.0)), // Base case for recursion
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TAst.BinaryExpr(
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TAst.Indexer(
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TAst.Identifier('s'),
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TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))
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),
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boAdd,
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TAst.FunctionCall(
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TAst.Identifier('sumRange'),
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[
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TAst.Identifier('s'),
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TAst.BinaryExpr(TAst.Identifier('n'), boSubtract, TAst.Constant(TScalar.FromInt64(1)))
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]
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)
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)
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)
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)
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),
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// let CreateSMA = (len) => (series) => sumRange(series, len) / len;
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TAst.VarDecl(
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TAst.Identifier('CreateSMA'),
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TAst.LambdaExpr(
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[TAst.Identifier('len')],
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TAst.LambdaExpr(
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[TAst.Identifier('series')],
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TAst.BinaryExpr(
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TAst.FunctionCall(TAst.Identifier('sumRange'), [TAst.Identifier('series'), TAst.Identifier('len')]),
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boDivide,
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TAst.Identifier('len')
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)
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)
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)
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),
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// let smaFast = CreateSMA(5);
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TAst.VarDecl(
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TAst.Identifier('smaFast'),
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TAst.FunctionCall(TAst.Identifier('CreateSMA'), [TAst.Constant(TScalar.FromInt64(smaFastLength))])
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),
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// let smaSlow = CreateSMA(20);
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TAst.VarDecl(
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TAst.Identifier('smaSlow'),
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TAst.FunctionCall(TAst.Identifier('CreateSMA'), [TAst.Constant(TScalar.FromInt64(smaSlowLength))])
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),
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// Define the main strategy function
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TAst.VarDecl(
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TAst.Identifier('maCrossStrategy'),
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TAst.LambdaExpr(
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[TAst.Identifier('ohlcv')],
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TAst.Block(
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[
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TAst.VarDecl(
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TAst.Identifier('close'),
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TAst.MemberAccess(TAst.Identifier('ohlcv'), TAst.Identifier('Close'))
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),
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TAst.VarDecl(
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TAst.Identifier('valSmaFast'),
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TAst.FunctionCall(TAst.Identifier('smaFast'), [TAst.Identifier('close')])
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),
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TAst.VarDecl(
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TAst.Identifier('valSmaSlow'),
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TAst.FunctionCall(TAst.Identifier('smaSlow'), [TAst.Identifier('close')])
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),
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TAst.TernaryExpr(
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TAst.BinaryExpr(TAst.Identifier('valSmaFast'), boGreater, TAst.Identifier('valSmaSlow')),
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TAst.Constant(TScalar.FromInt64(1)), // Buy signal
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TAst.Constant(TScalar.FromInt64(-1))
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) // Sell signal
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]
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)
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)
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)
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]
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);
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FLastAst := setupAst; // Store for visualization
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visitor := TEvaluatorVisitor.Create(FGScope);
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// Execute the setup script once to define all functions in the scope.
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setupAst.Accept(visitor);
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// Create the AST for the function call that will be executed on each tick.
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callAst := TAst.FunctionCall(TAst.Identifier('maCrossStrategy'), [TAst.Identifier('current_series')]);
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// 3. Simulation Loop
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Memo1.Lines.Add('Starting simulation...');
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Application.ProcessMessages;
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lastClose := 1000.0;
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Randomize;
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var nw := Now;
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for i := 1 to numRecs do
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begin
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// Generate a random OHLCV record
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ohlcvRec.Timestamp := nw + (i / (24 * 60));
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ohlcvRec.Open := lastClose + (Random * 0.05);
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ohlcvRec.Close := lastClose + (Random - 0.49) * 2;
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ohlcvRec.High := Max(ohlcvRec.Open, ohlcvRec.Close) + Random;
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ohlcvRec.Low := Min(ohlcvRec.Open, ohlcvRec.Close) - Random;
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ohlcvRec.Volume := RandomRange(1000, 50000);
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lastClose := ohlcvRec.Close;
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recordValue :=
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TScalarRecord.Create(
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recordDef,
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[
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TScalarValue.FromDateTime(ohlcvRec.Timestamp),
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TScalarValue.FromDouble(ohlcvRec.Open),
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TScalarValue.FromDouble(ohlcvRec.High),
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TScalarValue.FromDouble(ohlcvRec.Low),
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TScalarValue.FromDouble(ohlcvRec.Close),
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TScalarValue.FromInt64(ohlcvRec.Volume)
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]
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);
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series.Add(recordValue, lookback);
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// Execute the strategy if we have enough data for the slowest indicator
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if series.TotalCount >= smaSlowLength then
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begin
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// Place the current data into the scope for the callAst to find
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FGScope.SetValue('current_series', TAstValue.FromRecordSeries(series));
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// Correctly call the strategy function via its identifier
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resultValue := callAst.Accept(visitor);
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if (i mod 100 = 0) or (i = numRecs) then
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begin
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Memo1.Lines.Add(Format('Tick %d/%d: Close = %.2f, Signal = %s', [i, numRecs, ohlcvRec.Close, resultValue.ToString]));
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Application.ProcessMessages;
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end;
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end;
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end;
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sw.Stop;
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Memo1.Lines.Add('--- Simulation Finished ---');
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Memo1.Lines.Add(Format('Total time: %d ms', [sw.ElapsedMilliseconds]));
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end;
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end.
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