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DataFlow refactoring

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This commit is contained in:
Michael Schimmel
2025-07-23 20:14:24 +02:00
parent b623be13fa
commit 7b2446b220
6 changed files with 260 additions and 486 deletions
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AuraTrader/StrategyTest.pas
+106 -109
View File
@@ -10,7 +10,7 @@ uses
Myc.DataRecord,
Myc.Trade.Indicators;
function CreateStrategy1(Timeframe: TTimeframe): TConverter<TDataPoint<TOhlcItem>, Double>;
function CreateStrategy1(Timeframe: TTimeframe): TConverter<TDataPoint<TOhlcItem>, Double>; overload;
implementation
@@ -30,7 +30,7 @@ type
begin
var ticker := TConverter.CreateIdentity<TDataPoint<TOhlcItem>>;
var OhlcPoint := ticker.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateOhlcAggregation(Timeframe));
var OhlcPoint := ticker.Sender.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateOhlcAggregation(Timeframe));
var Ohlc := OhlcPoint.Field<TOhlcItem>('Data');
@@ -40,10 +40,7 @@ begin
var Sma := Closes.Chain<Double>(TIndicators.CreateSMA(200)).MakeParallel;
var ATR := Ohlc.Chain<Double>(TIndicators.CreateATR(50)).MakeParallel;
var conv :=
TConverter.Join<Double>(
[Ohlc.Field<Double>('Low').Sender, Ohlc.Field<Double>('High').Sender, Closes.Sender, ATR.Sender, Hull.Sender, Sma.Sender]
);
var conv := TConverter.Join<Double>([Ohlc.Field<Double>('Low'), Ohlc.Field<Double>('High'), Closes, ATR, Hull, Sma]);
// STAGE 1: Signal Generation. This converter is stateless regarding the trade itself.
// It only detects the crossover event and prepares the data for the next stage.
@@ -52,42 +49,44 @@ begin
var lastHull, lastSma: Double;
var signalGenerator :=
TConverter<TArray<Double>, TSignalEvent>.CreateGeneric(
function(const Values: TArray<Double>): TSignalEvent
begin
Result.Low := Values[0];
Result.High := Values[1];
Result.Close := Values[2];
Result.ATR := Values[3];
var hull := Values[4];
var sma := Values[5];
if Result.Low < Lowest then
Lowest := Result.Low;
if Result.High > Highest then
Highest := Result.High;
Result.Signal := 0;
Result.InitialSL := Double.NaN;
if (hull < sma) and (lastHull >= lastSma) then
conv.Chain<TSignalEvent>(
TConverter<TArray<Double>, TSignalEvent>.CreateGeneric(
function(const Values: TArray<Double>): TSignalEvent
begin
Result.Signal := -1;
Result.InitialSL := Highest;
Highest := Double.MinValue; // Reset for next trend
Lowest := Double.MaxValue;
Result.Low := Values[0];
Result.High := Values[1];
Result.Close := Values[2];
Result.ATR := Values[3];
var hull := Values[4];
var sma := Values[5];
if Result.Low < Lowest then
Lowest := Result.Low;
if Result.High > Highest then
Highest := Result.High;
Result.Signal := 0;
Result.InitialSL := Double.NaN;
if (hull < sma) and (lastHull >= lastSma) then
begin
Result.Signal := -1;
Result.InitialSL := Highest;
Highest := Double.MinValue; // Reset for next trend
Lowest := Double.MaxValue;
end
else if (hull > sma) and (lastHull <= lastSma) then
begin
Result.Signal := 1;
Result.InitialSL := Lowest;
Highest := Double.MinValue; // Reset for next trend
Lowest := Double.MaxValue;
end;
lastHull := hull;
lastSma := sma;
end
else if (hull > sma) and (lastHull <= lastSma) then
begin
Result.Signal := 1;
Result.InitialSL := Lowest;
Highest := Double.MinValue; // Reset for next trend
Lowest := Double.MaxValue;
end;
lastHull := hull;
lastSma := sma;
end
)
);
// STAGE 2: Position Management. This stateful converter manages the lifecycle
@@ -98,95 +97,93 @@ begin
var currEntry := Double.NaN;
var positionManager :=
TConverter<TSignalEvent, Double>.CreateAggregation(
function(const Value: TSignalEvent; const Broadcast: TConverter<TSignalEvent, Double>.TBroadcastProc): TState
var
pnl: Double;
begin
Result := TState.Null;
pnl := Double.NaN;
// 1. Check for a new signal to open or reverse a position
if Value.Signal <> 0 then
signalGenerator.Chain<Double>(
TConverter<TSignalEvent, Double>.CreateAggregation(
function(const Value: TSignalEvent; const Broadcast: TConverter<TSignalEvent, Double>.TBroadcastProc): TState
var
pnl: Double;
begin
// If a position is already open, close it first
if currSig > 0 then
pnl := Value.Close - currEntry
else if currSig < 0 then
pnl := currEntry - Value.Close;
Result := TState.Null;
pnl := Double.NaN;
// Open new position
currSig := Value.Signal;
currEntry := Value.Close;
currSL := Value.InitialSL;
end
// 2. If no new signal, manage the currently open position
else
begin
var atrValue := 15 * Value.ATR;
if currSig > 0 then // Manage long position
// 1. Check for a new signal to open or reverse a position
if Value.Signal <> 0 then
begin
if Value.Close > currSL then
if currSL < Value.Close - atrValue then
currSL := Value.Close - atrValue;
// If a position is already open, close it first
if currSig > 0 then
pnl := Value.Close - currEntry
else if currSig < 0 then
pnl := currEntry - Value.Close;
if Value.Low <= currSL then
begin
pnl := currSL - currEntry;
currSig := 0; // Close position
end;
// Open new position
currSig := Value.Signal;
currEntry := Value.Close;
currSL := Value.InitialSL;
end
else if currSig < 0 then // Manage short position
// 2. If no new signal, manage the currently open position
else
begin
if Value.Close < currSL then
if currSL > Value.Close + atrValue then
currSL := Value.Close + atrValue;
if Value.High >= currSL then
var atrValue := 15 * Value.ATR;
if currSig > 0 then // Manage long position
begin
pnl := currEntry - currSL;
currSig := 0; // Close position
if Value.Close > currSL then
if currSL < Value.Close - atrValue then
currSL := Value.Close - atrValue;
if Value.Low <= currSL then
begin
pnl := currSL - currEntry;
currSig := 0; // Close position
end;
end
else if currSig < 0 then // Manage short position
begin
if Value.Close < currSL then
if currSL > Value.Close + atrValue then
currSL := Value.Close + atrValue;
if Value.High >= currSL then
begin
pnl := currEntry - currSL;
currSig := 0; // Close position
end;
end;
end;
end;
// 3. If a PnL was generated (trade closed), broadcast it
if not IsNan(pnl) then
begin
currSL := Double.NaN;
Broadcast(pnl);
end;
end
// 3. If a PnL was generated (trade closed), broadcast it
if not IsNan(pnl) then
begin
currSL := Double.NaN;
Broadcast(pnl);
end;
end
)
);
// Chain the stages together
conv.Link(signalGenerator);
signalGenerator.Sender.Link(positionManager);
// The final equity calculation remains the same, it just consumes the PnL from the position manager
var FEquity: Double := 10000;
var FInit: Boolean := false;
var equity :=
TConverter<Double, Double>.CreateAggregation(
function(const Value: Double; const Broadcast: TConverter<Double, Double>.TBroadcastProc): TState
begin
if not FInit then
positionManager.Chain<Double>(
TConverter<Double, Double>.CreateAggregation(
function(const Value: Double; const Broadcast: TConverter<Double, Double>.TBroadcastProc): TState
begin
FInit := true;
Broadcast(FEquity);
end;
if not FInit then
begin
FInit := true;
Broadcast(FEquity);
end;
if not IsNan(Value) then
begin
FEquity := FEquity + Value;
Result := Broadcast(FEquity);
end;
end
if not IsNan(Value) then
begin
FEquity := FEquity + Value;
Result := Broadcast(FEquity);
end;
end
)
);
positionManager.Sender.Link(equity);
Result := TConverter<TDataPoint<TOhlcItem>, Double>.Construct(ticker, equity.Sender);
Result := TConverter<TDataPoint<TOhlcItem>, Double>.Construct(ticker, equity);
end;
end.