Work in Progress
This commit is contained in:
Michael Schimmel
+165
-143
@@ -11,6 +11,7 @@ uses
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System.DateUtils,
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System.Generics.Collections,
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System.Rtti,
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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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@@ -32,9 +33,11 @@ uses
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Myc.Trade.DataPoint,
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Myc.Signals,
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Myc.Mutable,
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Myc.Trade.DataArray,
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Myc.Signals.FMX,
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Myc.TaskManager,
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Myc.Aura.Module,
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Myc.Trade.DataPoint.Impl,
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FMX.ListBox,
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FMX.Layouts,
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FMX.TreeView,
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@@ -45,7 +48,6 @@ uses
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System.Actions,
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FMX.ActnList,
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DynamicFMXControl,
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FirstStrategy,
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Myc.FMX.Chart;
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type
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@@ -103,6 +105,15 @@ type
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property OnEvent: TNotifyEvent read FOnEvent write FOnEvent;
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end;
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TEquitySum = class(TMycConverter<Double, Double>)
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private
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FEquity: Double;
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protected
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function ProcessData(const Value: Double): TState; override;
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public
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constructor Create(AEquity: Double);
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end;
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var
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Form1: TForm1;
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@@ -343,7 +354,7 @@ begin
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end
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);
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var OhlcPoint := lastPrice.Chain<TDataPoint<TOhlcItem>>(TTickAggregation.Create(timeframe));
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var OhlcPoint := lastPrice.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateAggregation(timeframe));
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var Timestamps := OhlcPoint.Field<TDateTime>('Time');
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var Ohlc := OhlcPoint.Field<TOhlcItem>('Data');
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@@ -410,6 +421,13 @@ begin
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end;
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procedure TForm1.Strat2ButtonClick(Sender: TObject);
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type
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TSignal = record
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Sig: Double;
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SL: Double;
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Entry: Double;
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pnl: Double;
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end;
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begin
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var timeframe := TTimeframe.M15;
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@@ -417,26 +435,123 @@ begin
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var lastPrice :=
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ticker.Chain<TDataPoint<Double>>(
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function(const Tick: TDataPoint<TAskBidItem>): TDataPoint<Double>
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begin
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Result.Time := Tick.Time;
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Result.Data := 0.5 * (Tick.Data.Ask + Tick.Data.Bid);
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end
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TConverter.CreateDataPointConverter<TAskBidItem, Double>(
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function(const Tick: TAskBidItem): Double begin Result := 0.5 * (Tick.Ask + Tick.Bid); end
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)
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);
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var OhlcPoint := TTickAggregation.Create(timeframe);
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lastPrice.Sender.Link(OhlcPoint);
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var OhlcPoint := lastPrice.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateAggregation(timeframe));
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var Closes :=
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TConverter<TDataPoint<TOhlcItem>, Double>
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.CreateGeneric(function(const Ohlc: TDataPoint<TOhlcItem>): Double begin Result := Ohlc.Data.Close; end);
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var Ohlc := TConverter.CreateSequence<TOhlcItem>(2, OhlcPoint.Field<TOhlcItem>('Data').Sender);
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var Hull := TConverter<Double, Double>.CreateGeneric(TIndicators.CreateHMA(150));
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var Closes := Ohlc[0].Field<Double>('Close');
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var Timestamps :=
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TConverter<TDataPoint<TOhlcItem>, TDateTime>
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.CreateGeneric(function(const Ohlc: TDataPoint<TOhlcItem>): TDateTime begin Result := Ohlc.Time; end);
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OhlcPoint.Sender.Link(TimeStamps);
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var Hull := Closes.Chain<Double>(TIndicators.CreateHMA(250));
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var Sma := Closes.Chain<Double>(TIndicators.CreateSMA(200));
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var HullSeries := TConverter.CreateEndpoint<Double>(Hull.Sender, 5);
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var SmaSeries := TConverter.CreateEndpoint<Double>(Sma.Sender, 5);
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var Lowest: Double := Double.MaxValue;
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var Highest: Double := Double.MinValue;
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var curr: TSignal;
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curr.SL := Double.NaN;
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curr.Entry := Double.NaN;
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var ATR := Ohlc[0].Chain<Double>(TIndicators.CreateATR(50));
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var ATRSeries := TConverter.CreateEndpoint<Double>(ATR.Sender, 5);
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// next stage
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var Signal :=
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Ohlc[1]
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.Chain<TSignal>(
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function(const Ohlc: TOhlcItem): TSignal
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begin
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var pnl: Double := 0;
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if Ohlc.Low < Lowest then
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Lowest := Ohlc.Low;
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if Ohlc.High > Highest then
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Highest := Ohlc.High;
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Result := curr;
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Result.Sig := 0;
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pnl := NaN;
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if (HullSeries.Value[0] < SmaSeries.Value[0]) and (HullSeries.Value[1] >= SmaSeries.Value[1]) then
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begin
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if curr.Sig > 0 then
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pnl := Ohlc.Close - curr.Entry;
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curr.Sig := -1;
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curr.SL := Highest;
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curr.Entry := Ohlc.Close;
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Result := curr;
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end
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else if (HullSeries.Value[0] > SmaSeries.Value[0]) and (HullSeries.Value[1] <= SmaSeries.Value[1]) then
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begin
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if curr.Sig < 0 then
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pnl := curr.Entry - Ohlc.Close;
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curr.Sig := 1;
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curr.SL := Lowest;
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curr.Entry := Ohlc.Close;
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Result := curr;
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end;
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var atr := 15 * ATRSeries.Value[0];
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if curr.Sig > 0 then
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begin
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if Ohlc.Close > curr.SL then
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begin
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if curr.SL < Ohlc.Close - atr then
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curr.SL := Ohlc.Close - atr;
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Result.SL := curr.SL;
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end;
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if Ohlc.Low <= curr.SL then
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begin
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pnl := curr.SL - curr.Entry;
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curr.Sig := 0;
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Result.Sig := 0;
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curr.SL := NaN;
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end;
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end
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else if curr.Sig < 0 then
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begin
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if Ohlc.Close < curr.SL then
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begin
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if curr.SL > Ohlc.Close + atr then
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curr.SL := Ohlc.Close + atr;
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Result.SL := curr.SL;
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end;
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if Ohlc.High >= curr.SL then
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begin
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pnl := curr.Entry - curr.SL;
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curr.Sig := 0;
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Result.Sig := 0;
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curr.SL := NaN;
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end;
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end;
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if Result.Sig <> 0 then
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begin
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Lowest := Double.MaxValue;
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Highest := Double.MinValue;
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Result.SL := Double.NaN;
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Result.Entry := Double.NaN;
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end;
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Result.pnl := pnl;
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end);
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var pnl := Signal.Field<Double>('pnl');
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var equity: TConverter<Double, Double> := TEquitySum.Create(10000);
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pnl.Sender.Link(equity);
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var Layout := CurrLayout<TVertScrollBox>;
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if Layout = nil then
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@@ -451,142 +566,49 @@ begin
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chart.Height := Layout.ChildrenRect.Width * 9 / 16;
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chart.Lookback.Value := 50000;
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/////
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chart.SetXAxisSeries(M15, OhlcPoint.Field<TDateTime>('Time').Sender);
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{
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var panel := chart.AddPanel;
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panel.AddOhlcSeries(Ohlc[0].Sender);
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panel.AddDoubleSeries(Hull.Sender, TAlphaColors.Cornflowerblue, 2);
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panel.AddDoubleSeries(Sma.Sender, TAlphaColors.Brown, 1.5);
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panel.AddDoubleSeries(Signal.Field<Double>('SL').Sender, TAlphaColors.Red, 2);
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panel.AddDoubleSeries(Signal.Field<Double>('Entry').Sender, TAlphaColors.Green, 1);
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chart.SetXAxisSeries(timeframe, Timestamps.Sender);
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// panel := chart.AddPanel;
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// panel.AddDoubleSeries( equity.Sender, TAlphaColors.Blue, 3 );
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var Panel := chart.AddPanel;
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var pnlChart := TMycChart.Create(Self);
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AlignControl(pnlChart);
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pnlChart.Height := Layout.ChildrenRect.Width * 9 / 24;
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pnlChart.Lookback.Value := 50000;
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pnlChart.SetXAxisCounter<Double>(equity.Sender);
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OhlcPoint.Sender.Link(Ohlc);
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Panel.AddOhlcSeries(Ohlc.Sender);
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Ohlc.Sender.Link(Closes);
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var Hull: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateHMA(150));
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Closes.Sender.Link(Hull);
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Panel.AddDoubleSeries(Hull.Sender, TAlphaColors.Aliceblue);
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// Add SMA (Simple Moving Average)
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var Sma: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateSMA(50));
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Closes.Sender.Link(Sma);
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Panel.AddDoubleSeries(Sma.Sender, TAlphaColors.Yellow);
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// Add EMA (Exponential Moving Average)
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var Ema: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateEMA(21));
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Closes.Sender.Link(Ema);
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Panel.AddDoubleSeries(Ema.Sender, TAlphaColors.Aqua);
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// Add Bollinger Bands (20, 2.0)
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var Boli: IMycConverter<Double, TBollingerBandsResult> :=
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TGenericIndicator<Double, TBollingerBandsResult>.Create(TIndicators.CreateBollingerBands(20, 2.0));
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Closes.Sender.Link(Boli);
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var BoliUpper: IMycConverter<TBollingerBandsResult, Double> :=
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TMycGenericConverter<TBollingerBandsResult, Double>
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.Create(function(const Item: TBollingerBandsResult): Double begin Result := Item.UpperBand; end);
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Boli.Sender.Link(BoliUpper);
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Panel.AddDoubleSeries(BoliUpper.Sender, TAlphaColors.Gray);
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var BoliMiddle: IMycConverter<TBollingerBandsResult, Double> :=
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TMycGenericConverter<TBollingerBandsResult, Double>
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.Create(function(const Item: TBollingerBandsResult): Double begin Result := Item.MiddleBand; end);
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Boli.Sender.Link(BoliMiddle);
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Panel.AddDoubleSeries(BoliMiddle.Sender, TAlphaColors.Darkgray, 1.0);
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var BoliLower: IMycConverter<TBollingerBandsResult, Double> :=
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TMycGenericConverter<TBollingerBandsResult, Double>
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.Create(function(const Item: TBollingerBandsResult): Double begin Result := Item.LowerBand; end);
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Boli.Sender.Link(BoliLower);
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Panel.AddDoubleSeries(BoliLower.Sender, TAlphaColors.Gray);
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Panel := chart.AddPanel;
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// Add RSI (Relative Strength Index)
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var Rsi: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateRSI(14));
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Closes.Sender.Link(Rsi);
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Panel.AddDoubleSeries(Rsi.Sender, TAlphaColors.Fuchsia);
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// Add MACD (12, 26, 9)
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var Macd: IMycConverter<Double, TMacdResult> := TGenericIndicator<Double, TMacdResult>.Create(TIndicators.CreateMACD(12, 26, 9));
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Closes.Sender.Link(Macd);
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Panel := chart.AddPanel;
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var MacdLine: IMycConverter<TMacdResult, Double> :=
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TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.MacdLine; end);
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Macd.Sender.Link(MacdLine);
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Panel.AddDoubleSeries(MacdLine.Sender, TAlphaColors.Orange);
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var MacdSignal: IMycConverter<TMacdResult, Double> :=
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TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.SignalLine; end);
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Macd.Sender.Link(MacdSignal);
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Panel.AddDoubleSeries(MacdSignal.Sender, TAlphaColors.Dodgerblue);
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var MacdHist: IMycConverter<TMacdResult, Double> :=
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TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.Histogram; end);
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Macd.Sender.Link(MacdHist);
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Panel.AddDoubleSeries(MacdHist.Sender, TAlphaColors.Lightgreen, 1.0);
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Panel := chart.AddPanel;
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// Add Stochastic Oscillator (14, 3) - This needs OHLC data, not just Close prices.
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var Stoch: IMycConverter<TOhlcItem, TStochasticResult> :=
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TGenericIndicator<TOhlcItem, TStochasticResult>.Create(TIndicators.CreateStochastic(14, 3));
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Ohlc.Sender.Link(Stoch);
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var StochK: IMycConverter<TStochasticResult, Double> :=
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TMycGenericConverter<TStochasticResult, Double>.Create(function(const Item: TStochasticResult): Double begin Result := Item.K; end);
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Stoch.Sender.Link(StochK);
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Panel.AddDoubleSeries(StochK.Sender, TAlphaColors.Green);
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var StochD: IMycConverter<TStochasticResult, Double> :=
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TMycGenericConverter<TStochasticResult, Double>.Create(function(const Item: TStochasticResult): Double begin Result := Item.D; end);
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Stoch.Sender.Link(StochD);
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Panel.AddDoubleSeries(StochD.Sender, TAlphaColors.Red);
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/////
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var tickChart := TMycChart.Create(Self);
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tickChart.Height := Layout.ChildrenRect.Width * 9 / 16;
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AlignControl(tickChart);
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tickChart.Lookback.Value := 1000000;
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var TickTime: IMycConverter<TDataPoint<TAskBidItem>, TDateTime> :=
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TMycGenericConverter<TDataPoint<TAskBidItem>, TDateTime>
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.Create(function(const Tick: TDataPoint<TAskBidItem>): TDateTime begin Result := Tick.Time; end);
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var TickAsk: IMycConverter<TDataPoint<TAskBidItem>, Double> :=
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TMycGenericConverter<TDataPoint<TAskBidItem>, Double>
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.Create(function(const Tick: TDataPoint<TAskBidItem>): Double begin Result := Tick.Data.Ask; end);
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var TickBid: IMycConverter<TDataPoint<TAskBidItem>, Double> :=
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TMycGenericConverter<TDataPoint<TAskBidItem>, Double>
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.Create(function(const Tick: TDataPoint<TAskBidItem>): Double begin Result := Tick.Data.Bid; end);
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var TickSpread: IMycConverter<TDataPoint<TAskBidItem>, Double> :=
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TMycGenericConverter<TDataPoint<TAskBidItem>, Double>
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.Create(function(const Tick: TDataPoint<TAskBidItem>): Double begin Result := Tick.Data.Bid-Tick.Data.Ask; end);
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ticker.Sender.Link( TickTime );
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ticker.Sender.Link( TickAsk );
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ticker.Sender.Link( TickBid );
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ticker.Sender.Link( TickSpread );
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tickChart.SetXAxisSeries( TTimeframe.S, TickTime.Sender );
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panel := tickChart.AddPanel;
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panel.AddDoubleSeries(TickAsk.Sender, TAlphaColors.Blue);
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panel.AddDoubleSeries(TickBid.Sender, TAlphaColors.Red);
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panel := tickChart.AddPanel;
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panel.AddDoubleSeries(TickSpread.Sender);
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panel := pnlChart.AddPanel;
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panel.AddDoubleSeries(equity.Sender, TAlphaColors.Blue, 3);
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/////
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var done := ExecuteStrategy(Symbol, ticker);
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FProcessDone := TState.All([FProcessDone, done]);
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}
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end;
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{ TEquitySum<S, T> }
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constructor TEquitySum.Create(AEquity: Double);
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begin
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inherited Create;
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FEquity := AEquity;
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end;
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function TEquitySum.ProcessData(const Value: Double): TState;
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begin
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if not IsNan(Value) then
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begin
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FEquity := FEquity + Value;
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Result := Broadcast(FEquity);
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end;
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end;
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end.
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Reference in New Issue
Block a user