Work in Progress

Src/Myc.Fmx.Chart.Series.pas

@@ -116,7 +116,7 @@ type
     protected
         function GetSeries: TMycChart.TSeries; override;
         procedure Update; override;
-        function GetCaption(Idx: Int64): String; override; abstract;
+        function GetCaption(Idx: Int64): String; override;
     public
         constructor Create(AOwner: TMycChart; const ADataProvider: TDataProvider<T>);
         destructor Destroy; override;
@@ -374,6 +374,11 @@ begin
     inherited;
 end;
 
+function TChartXAxisLayer<T>.GetCaption(Idx: Int64): String;
+begin
+    Result := IntToStr(Idx);
+end;
+
 function TChartXAxisLayer<T>.GetSeries: TMycChart.TSeries;
 begin
     Result := FSeries;

Src/Myc.Fmx.Chart.pas

@@ -166,7 +166,8 @@ type
         function AddPanel: TPanel;
 
         // Sets the master series that defines the time scale (X-axis).
-        function SetXAxisSeries(Timeframe: TTimeframe; const DataProvider: TDataProvider<TDateTime>): TMycChart.TXAxisLayer;
+        function SetXAxisSeries(Timeframe: TTimeframe; const DataProvider: TDataProvider<TDateTime>): TMycChart.TXAxisLayer; overload;
+        function SetXAxisCounter<T>(const DataProvider: TDataProvider<T>): TMycChart.TXAxisLayer; overload;
 
         property Lookback: TWriteable<Int64> read FLookback write FLookback;
         property NeedRepaint: TFlag read FNeedRepaint;
@@ -639,6 +640,16 @@ begin
     Repaint;
 end;
 
+function TMycChart.SetXAxisCounter<T>(const DataProvider: TDataProvider<T>): TMycChart.TXAxisLayer;
+begin
+    FXAxisSeries.Free;
+
+    var counter := TConverter.CreateCounter<T>;
+    DataProvider.Link(counter);
+    FXAxisSeries := TChartXAxisLayer<Int64>.Create(Self, counter.Sender);
+    Result := FXAxisSeries;
+end;
+
 function TMycChart.SetXAxisSeries(Timeframe: TTimeframe; const DataProvider: TDataProvider<TDateTime>): TMycChart.TXAxisLayer;
 begin
     FXAxisSeries.Free;

Src/Myc.Signals.pas

@@ -77,7 +77,7 @@ type
         class operator Initialize(out Dest: TState);
         class operator Implicit(const A: IState): TState; overload;
         class operator Implicit(const A: TState): IState; overload;
-
+        class operator Add(const A, B: TState): TState;
         class function All(const States: TArray<TState>): TState; static;
         class function Any(const States: TArray<TState>; Count: Integer = 1): TState; static;
 
@@ -271,6 +271,11 @@ begin
     Result := FState.IsSet;
 end;
 
+class operator TState.Add(const A, B: TState): TState;
+begin
+    Result := All([A, B]);
+end;
+
 class operator TState.Implicit(const A: TState): IState;
 begin
     Result := A.FState;

Src/Myc.TaskManager.pas

@@ -31,6 +31,8 @@ type
         // Returns a State to await thread completion.
         function RunTask(const Gate: TState; const Proc: TFunc<TState>): TState;
 
+        class function RunSequence(const Gate: TState; First, Count: Integer; const Proc: TFunc<Integer, TState>): TState; static;
+
         // Waits for the operation associated with State to complete.
         // Must not be called from a task of this factory.
         // After waiting, or if the state is already set, any first stored exception
@@ -146,6 +148,15 @@ begin
     );
 end;
 
+class function TTaskManager.RunSequence(const Gate: TState; First, Count: Integer; const Proc: TFunc<Integer, TState>): TState;
+begin
+    if First >= Count then
+        exit;
+
+    var cProc: TFunc<Integer, TState> := Proc;
+    Result := TaskManager.RunTask(Gate, function: TState begin Result := RunSequence(Proc(First), 1 + First, Count, cProc); end);
+end;
+
 function TTaskManager.RunTask(const Gate: TState; const Proc: TFunc<TState>): TState;
 begin
     var cProc: TFunc<TState> := Proc;

Src/Myc.Trade.DataArray.pas

@@ -24,7 +24,7 @@ type
 
         class operator Initialize(out Dest: TSeries<T>);
         // Add a singe item
-        function Add(const Data: T; Lookback: Int64): TSeries<T>; overload;
+        function Add(const Data: T; Lookback: Int64 = -1): TSeries<T>; overload;
         // Add a ranmge of items
         function Add(const Data: array of T; First, Count, Lookback: Int64): TSeries<T>; overload;
         // Helper to create a data array from a raw TArray.
@@ -36,6 +36,9 @@ type
 
 implementation
 
+uses
+    System.Math;
+
 { TSeries<T> }
 
 constructor TSeries<T>.Create(const AChunks: TArray<TChunk>; ACount, ATotalCount: Int64);
@@ -62,14 +65,14 @@ var
 begin
     if Count < 0 then
         Count := Length(Data) - First;
-    if (Lookback <= 0) or (Count = 0) then
+    if Count = 0 then
         exit(Self);
 
     Assert(Count <= (Length(Data) - First), 'Count cannot be larger than the source array');
 
     sumCount := FCount + Count;
     newCount := sumCount;
-    if (Lookback > 0) and (newCount > Lookback) then
+    if (Lookback >= 0) and (newCount > Lookback) then
         newCount := Lookback;
     itemsToSkip := sumCount - newCount;
 

Src/Myc.Trade.DataPoint.Impl.pas

@@ -19,7 +19,7 @@ type
     end;
 
     // Concrete data provider that manages a list of processors (listeners).
-    TMycDataProvider<T> = class abstract(TContainedObject, TDataProvider<T>.IDataProvider)
+    TMycContainedDataProvider<T> = class abstract(TContainedObject, TDataProvider<T>.IDataProvider)
     private
         FListeners: TMycNotifyList<IMycProcessor<T>>;
     public
@@ -33,6 +33,19 @@ type
         procedure Unlink(Tag: TDataProvider<T>.TTag);
     end;
 
+    TMycSequence<T> = class(TMycProcessor<T>, IMycDataSequence<T>)
+    private
+        FDataProviders: TArray<TMycContainedDataProvider<T>>;
+        function GetCount: Integer;
+        function GetDataProvider(Idx: Integer): TDataProvider<T>;
+    protected
+        function ProcessData(const Value: T): TState; override;
+        function ProcessDataProvider(Idx: Integer; const Value: T): TState;
+    public
+        constructor Create(ACount: Integer);
+        destructor Destroy; override;
+    end;
+
     // Null object implementation for IDataProvider.
     TNullDataProvider<T> = class(TInterfacedObject, TDataProvider<T>.IDataProvider)
     public
@@ -43,7 +56,7 @@ type
     // Abstract base class for components that process data of type S and provide data of type T.
     TMycConverter<S, T> = class abstract(TMycProcessor<S>, TConverter<S, T>.IConverter)
     private
-        FSender: TMycDataProvider<T>;
+        FSender: TMycContainedDataProvider<T>;
         function GetSender: TDataProvider<T>.IDataProvider;
     protected
         function ProcessData(const Value: S): TState; override; abstract;
@@ -73,6 +86,12 @@ type
         constructor Create(const AFunc: TConstFunc<S, T>);
     end;
 
+    // A converter specialized for calculating indicators.
+    TMycIdentityConverter<T> = class(TMycConverter<T, T>)
+    protected
+        function ProcessData(const Value: T): TState; override; final;
+    end;
+
     // A converter specialized for calculating indicators.
     TMycIndicator<S, T> = class(TMycConverter<S, T>)
     protected
@@ -145,26 +164,43 @@ type
         destructor Destroy; override;
     end;
 
+    TTickAggregation = class(TMycConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>)
+    private
+        FTimeframe: TTimeframe;
+        FCurrentBar: TDataPoint<TOhlcItem>;
+        function GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
+        function GetCurrentBar: TDataPoint<TOhlcItem>;
+        function GetTimeframe: TTimeframe;
+    public
+        constructor Create(const ATimeframe: TTimeframe);
+        function ProcessData(const Value: TDataPoint<Double>): TState; override;
+        property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
+        property Timeframe: TTimeframe read GetTimeframe;
+    end;
+
 implementation
 
 uses
     System.TypInfo,
-    System.RTTI;
+    System.RTTI,
+    System.DateUtils,
+    System.Math,
+    Myc.TaskManager;
 
-{ TMycDataProvider<T> }
+{ TMycContainedDataProvider<T> }
 
-constructor TMycDataProvider<T>.Create(const Controller: IInterface);
+constructor TMycContainedDataProvider<T>.Create(const Controller: IInterface);
 begin
     inherited Create(Controller);
 end;
 
-destructor TMycDataProvider<T>.Destroy;
+destructor TMycContainedDataProvider<T>.Destroy;
 begin
     FListeners.Finalize;
     inherited Destroy;
 end;
 
-function TMycDataProvider<T>.Broadcast(const Value: T): TState;
+function TMycContainedDataProvider<T>.Broadcast(const Value: T): TState;
 begin
     FListeners.Lock;
     try
@@ -192,7 +228,7 @@ begin
     end;
 end;
 
-function TMycDataProvider<T>.Link(const Processor: IMycProcessor<T>): TDataProvider<T>.TTag;
+function TMycContainedDataProvider<T>.Link(const Processor: IMycProcessor<T>): TDataProvider<T>.TTag;
 begin
     // Add the Processor to the notification list
     FListeners.Lock;
@@ -203,7 +239,7 @@ begin
     end;
 end;
 
-procedure TMycDataProvider<T>.Unlink(Tag: TDataProvider<T>.TTag);
+procedure TMycContainedDataProvider<T>.Unlink(Tag: TDataProvider<T>.TTag);
 begin
     FListeners.Lock;
     try
@@ -230,7 +266,7 @@ end;
 constructor TMycConverter<S, T>.Create;
 begin
     inherited Create;
-    FSender := TMycDataProvider<T>.Create(Self);
+    FSender := TMycContainedDataProvider<T>.Create(Self);
 end;
 
 destructor TMycConverter<S, T>.Destroy;
@@ -411,4 +447,156 @@ begin
     FChanged.Notify;
 end;
 
+{ TTickAggregation }
+
+constructor TTickAggregation.Create(const ATimeframe: TTimeframe);
+begin
+    inherited Create;
+    FTimeframe := ATimeframe;
+end;
+
+function TTickAggregation.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
+var
+    baseTime: TDateTime;
+begin
+    // Align the time grid to UTC 0:00 using functions from System.DateUtils
+    baseTime := RecodeMilliSecond(TimeStamp, 0);
+
+    case Timeframe of
+        S: Result := baseTime;
+        S5: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 5));
+        S15: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 15));
+        S30: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 30));
+
+        M: Result := RecodeSecond(baseTime, 0);
+        M2: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 2));
+        M3: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 3));
+        M5: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 5));
+        M10: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 10));
+        M15: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 15));
+        M30: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 30));
+
+        H: Result := RecodeMinute(RecodeSecond(baseTime, 0), 0);
+        H2: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 2));
+        H3: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 3));
+        H4: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 4));
+        H8: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 8));
+        H12: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 12));
+
+        D: Result := StartOfTheDay(TimeStamp);
+        // D2, D3 are uncommon; this is a simple modulo-based approach relative to TDateTime's epoch.
+        D2: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 2);
+        D3: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 3);
+
+        W: Result := TimeStamp.StartOfTheWeek;
+
+        MN: Result := TimeStamp.StartOfTheMonth;
+        // Quarter alignment
+        MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
+        // Half-year alignment
+        MN6: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 6 * 6 + 1);
+
+        Y: Result := TimeStamp.StartOfTheYear;
+    else
+        // Fallback for any undefined timeframe
+        Result := 0;
+    end;
+end;
+
+function TTickAggregation.GetCurrentBar: TDataPoint<TOhlcItem>;
+begin
+    Result := FCurrentBar;
+end;
+
+function TTickAggregation.GetTimeframe: TTimeframe;
+begin
+    Result := FTimeframe;
+end;
+
+function TTickAggregation.ProcessData(const Value: TDataPoint<Double>): TState;
+var
+    barStartTime: TDateTime;
+    lastBarTime: TDateTime;
+begin
+    // Update bar for the strategy's timeframe
+    barStartTime := GetBarStartTime(Value.Time, FTimeframe);
+    lastBarTime := FCurrentBar.Time;
+
+    if (barStartTime > lastBarTime) then
+    begin
+        // A new bar starts, so the previous one is now complete.
+        if (lastBarTime > 0) then
+        begin
+            Result := Broadcast(FCurrentBar);
+        end;
+
+        // Start a new bar, Volume is 1 because this is the first tick.
+        FCurrentBar.Data.Open := Value.Data;
+        FCurrentBar.Data.High := Value.Data;
+        FCurrentBar.Data.Low := Value.Data;
+        FCurrentBar.Data.Close := Value.Data;
+        FCurrentBar.Data.Volume := 1;
+        FCurrentBar.Time := barStartTime;
+    end
+    else
+    begin
+        // Update the currently aggregating bar
+        if Value.Data > FCurrentBar.Data.High then
+            FCurrentBar.Data.High := Value.Data;
+        if Value.Data < FCurrentBar.Data.Low then
+            FCurrentBar.Data.Low := Value.Data;
+        FCurrentBar.Data.Close := Value.Data;
+        // Volume is the number of ticks needed to build the complete bar.
+        FCurrentBar.Data.Volume := FCurrentBar.Data.Volume + 1;
+    end;
+end;
+
+{ TMycSequence<T> }
+
+constructor TMycSequence<T>.Create(ACount: Integer);
+begin
+    inherited Create;
+
+    SetLength(FDataProviders, ACount);
+    for var i := 0 to High(FDataProviders) do
+        FDataProviders[i] := TMycContainedDataProvider<T>.Create(Self);
+end;
+
+destructor TMycSequence<T>.Destroy;
+begin
+    for var i := High(FDataProviders) downto 0 do
+        FDataProviders[i].Free;
+    inherited;
+end;
+
+function TMycSequence<T>.GetCount: Integer;
+begin
+    Result := Length(FDataProviders);
+end;
+
+function TMycSequence<T>.GetDataProvider(Idx: Integer): TDataProvider<T>;
+begin
+    Result := FDataProviders[Idx];
+end;
+
+function TMycSequence<T>.ProcessData(const Value: T): TState;
+begin
+    Result := ProcessDataProvider(0, Value);
+end;
+
+function TMycSequence<T>.ProcessDataProvider(Idx: Integer; const Value: T): TState;
+begin
+    if Idx >= Length(FDataProviders) then
+        exit;
+
+    Result :=
+        TaskManager
+            .RunTask(FDataProviders[idx].Broadcast(Value), function: TState begin Result := ProcessDataProvider(1 + idx, Value); end);
+end;
+
+function TMycIdentityConverter<T>.ProcessData(const Value: T): TState;
+begin
+    Result := Broadcast(Value);
+end;
+
 end.

Src/Myc.Trade.DataPoint.pas

@@ -48,6 +48,13 @@ type
         class property Null: IDataProvider read FNull;
     end;
 
+    IMycDataSequence<T> = interface(IMycProcessor<T>)
+        function GetCount: Integer;
+        function GetDataProvider(Idx: Integer): TDataProvider<T>;
+        property Count: Integer read GetCount;
+        property DataProvider[Idx: Integer]: TDataProvider<T> read GetDataProvider; default;
+    end;
+
     // Interface helper for IConverter<S,T> providing the null object pattern.
     TConverter<S, T> = record
     public
@@ -59,7 +66,6 @@ type
                 property Sender: TDataProvider<T>.IDataProvider read GetSender;
             end;
 
-    {$region 'private'}
     strict private
         class var
             FNull: IConverter;
@@ -67,7 +73,6 @@ type
     private
         FConverter: IConverter;
         function GetSender: TDataProvider<T>; inline;
-    {$endregion}
     public
         constructor Create(const AConverter: IConverter);
 
@@ -78,15 +83,15 @@ type
 
         class function CreateGeneric(const Func: TConstFunc<S, T>): TConverter<S, T>; static;
 
-        // Wrapper for IMycProcessor.ProcessData
-        function ProcessData(const Value: S): TState; inline;
-
         function Chain<R>(const Next: TConverter<T, R>): TConverter<T, R>; overload; inline;
         function Chain<R>(const Func: TConstFunc<T, R>): TConverter<T, R>; overload; inline;
 
         // Extracts the field of a record by it's name (using RTTI).
         function Field<R>(const FieldName: String): TConverter<T, R>; overload; inline;
 
+        function Sequence(Count: Integer): IMycDataSequence<T>; overload;
+        function Sequence(const Items: TArray<IConverter>): IMycDataSequence<S>; overload;
+
         // Provides access to the null object instance.
         class property Null: IConverter read FNull;
         // Wrapper for IConverter.Sender
@@ -95,10 +100,18 @@ type
 
     // Factory for creating specific converter instances.
     TConverter = record
+        class function CreateEndpoint<T>(const DataProvider: TDataProvider<T>; Lookback: Int64): TMutable<TSeries<T>>; static;
+
         class function CreateCounter<T>: TConverter<T, Int64>; static;
         class function CreateTicker<T>: TConverter<TArray<T>, T>; static;
         class function CreateRecordField<S, T>(const FieldName: String): TConverter<S, T>; static;
-        class function CreateEndpoint<T>(const DataProvider: TDataProvider<T>; Lookback: Int64): TMutable<TSeries<T>>; static;
+        class function CreateIdentity<T>: TConverter<T, T>; static;
+
+        class function CreateAggregation(Timeframe: TTimeframe): TConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>; static;
+
+        class function CreateDataPointConverter<S, T>(const Func: TConstFunc<S, T>): TConverter<TDataPoint<S>, TDataPoint<T>>; static;
+
+        class function CreateSequence<T>(Count: Integer; const Parent: TDataProvider<T>): TArray<TConverter<T, T>>; overload; static;
     end;
 
 implementation
@@ -186,6 +199,22 @@ begin
     Result := FConverter.Sender;
 end;
 
+function TConverter<S, T>.Sequence(Count: Integer): IMycDataSequence<T>;
+begin
+    Result := TMycSequence<T>.Create(Count);
+    FConverter.Sender.Link(Result);
+end;
+
+function TConverter<S, T>.Sequence(const Items: TArray<IConverter>): IMycDataSequence<S>;
+begin
+    var seq: IMycDataSequence<S> := TMycSequence<S>.Create(Length(Items));
+
+    for var i := 0 to High(Items) do
+        seq[i].Link(Items[i]);
+
+    Result := seq;
+end;
+
 class operator TConverter<S, T>.Initialize(out Dest: TConverter<S, T>);
 begin
     Dest.FConverter := FNull;
@@ -201,9 +230,9 @@ begin
     Result := A.FConverter;
 end;
 
-function TConverter<S, T>.ProcessData(const Value: S): TState;
+class function TConverter.CreateAggregation(Timeframe: TTimeframe): TConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>;
 begin
-    Result := FConverter.ProcessData(Value);
+    Result := TTickAggregation.Create(Timeframe);
 end;
 
 { TConverter }
@@ -213,11 +242,29 @@ begin
     Result := TMycDataCounter<T>.Create;
 end;
 
+class function TConverter.CreateDataPointConverter<S, T>(const Func: TConstFunc<S, T>): TConverter<TDataPoint<S>, TDataPoint<T>>;
+begin
+    var cFunc: TConstFunc<S, T> := Func;
+    Result :=
+        TMycGenericConverter<TDataPoint<S>, TDataPoint<T>>.Create(
+            function(const Value: TDataPoint<S>): TDataPoint<T>
+            begin
+                Result.Time := Value.Time;
+                Result.Data := cFunc(Value.Data);
+            end
+        );
+end;
+
 class function TConverter.CreateEndpoint<T>(const DataProvider: TDataProvider<T>; Lookback: Int64): TMutable<TSeries<T>>;
 begin
     Result := TMycDataEndpoint<T>.Create(DataProvider, Lookback);
 end;
 
+class function TConverter.CreateIdentity<T>: TConverter<T, T>;
+begin
+    Result := TMycIdentityConverter<T>.Create;
+end;
+
 class function TConverter.CreateRecordField<S, T>(const FieldName: String): TConverter<S, T>;
 begin
     Result := TMycRecordFieldReader<S, T>.Create(FieldName);
@@ -228,4 +275,17 @@ begin
     Result := TMycTicker<T>.Create;
 end;
 
+class function TConverter.CreateSequence<T>(Count: Integer; const Parent: TDataProvider<T>): TArray<TConverter<T, T>>;
+begin
+    var seq: IMycDataSequence<T> := TMycSequence<T>.Create(Count);
+
+    SetLength(Result, Count);
+    for var i := 0 to High(Result) do
+    begin
+        Result[i] := TMycIdentityConverter<T>.Create;
+        seq[i].Link(Result[i]);
+    end;
+    Parent.Link(seq);
+end;
+
 end.

Src/Myc.Trade.Indicators.pas

@@ -29,6 +29,13 @@ type
         LowerBand: Double;
     end;
 
+    // Result for the Keltner Channels indicator.
+    TKeltnerChannelsResult = record
+        UpperBand: Double;
+        MiddleBand: Double;
+        LowerBand: Double;
+    end;
+
     TIndicators = record
     private
         class function CalculateSMA(const Series: TSeries<Double>; const Period: Integer): Double; static;
@@ -44,11 +51,33 @@ type
         // Relative Strength Index
         class function CreateRSI(Period: Integer): TConstFunc<Double, Double>; static;
         // Moving Average Convergence Divergence
-        class function CreateMACD(FastPeriod, SlowPeriod, SignalPeriod: Integer): TConstFunc<Double, TMacdResult>; static;
+        class function CreateMACD(FastPeriod, SlowPeriod, SignalPeriod: Integer): TConstFunc<Double, TMacdResult>; overload; static;
+        class function CreateMACD(
+            const EmaFast,
+            EmaSlow,
+            EmaSignal: TConstFunc<Double, Double>
+        ): TConstFunc<Double, TMacdResult>; overload; static;
         // Stochastic Oscillator
-        class function CreateStochastic(KPeriod, DPeriod: Integer): TConstFunc<TOhlcItem, TStochasticResult>; static;
+        class function CreateStochastic(KPeriod, DPeriod: Integer): TConstFunc<TOhlcItem, TStochasticResult>; overload; static;
+        class function CreateStochastic(
+            KPeriod: Integer;
+            const SmaD: TConstFunc<Double, Double>
+        ): TConstFunc<TOhlcItem, TStochasticResult>; overload; static;
         // Bollinger Bands
         class function CreateBollingerBands(Period: Integer; Multiplier: Double): TConstFunc<Double, TBollingerBandsResult>; static;
+        // Average True Range
+        class function CreateATR(Period: Integer): TConstFunc<TOhlcItem, Double>; overload; static;
+        class function CreateATR(const MovAvgTR: TConstFunc<Double, Double>): TConstFunc<TOhlcItem, Double>; overload; static;
+        // Keltner Channels
+        class function CreateKeltnerChannels(
+            Period: Integer;
+            Multiplier: Double
+        ): TConstFunc<TOhlcItem, TKeltnerChannelsResult>; overload; static;
+        class function CreateKeltnerChannels(
+            const MovAvgMiddle: TConstFunc<Double, Double>;
+            const AtrFunc: TConstFunc<TOhlcItem, Double>;
+            Multiplier: Double
+        ): TConstFunc<TOhlcItem, TKeltnerChannelsResult>; overload; static;
     end;
 
 implementation
@@ -208,19 +237,22 @@ begin
         end;
 end;
 
+// Standard MACD using EMAs.
 class function TIndicators.CreateMACD(FastPeriod, SlowPeriod, SignalPeriod: Integer): TConstFunc<Double, TMacdResult>;
 begin
-    var emaFast := CreateEMA(FastPeriod);
-    var emaSlow := CreateEMA(SlowPeriod);
-    var emaSignal := CreateEMA(SignalPeriod);
+    Result := CreateMACD(CreateEMA(FastPeriod), CreateEMA(SlowPeriod), CreateEMA(SignalPeriod));
+end;
 
+// Creates a MACD indicator from three provided moving average functions.
+class function TIndicators.CreateMACD(const EmaFast, EmaSlow, EmaSignal: TConstFunc<Double, Double>): TConstFunc<Double, TMacdResult>;
+begin
     Result :=
         function(const Value: Double): TMacdResult
         var
             fastVal, slowVal: Double;
         begin
-            fastVal := emaFast(Value);
-            slowVal := emaSlow(Value);
+            fastVal := EmaFast(Value);
+            slowVal := EmaSlow(Value);
 
             if IsNan(slowVal) then // slowVal will be the last one to become non-NaN
             begin
@@ -231,7 +263,7 @@ begin
             else
             begin
                 Result.MacdLine := fastVal - slowVal;
-                Result.SignalLine := emaSignal(Result.MacdLine);
+                Result.SignalLine := EmaSignal(Result.MacdLine);
                 if not IsNan(Result.SignalLine) then
                     Result.Histogram := Result.MacdLine - Result.SignalLine
                 else
@@ -313,10 +345,19 @@ begin
         end;
 end;
 
+// Standard Stochastic Oscillator using an SMA for the %D line.
 class function TIndicators.CreateStochastic(KPeriod, DPeriod: Integer): TConstFunc<TOhlcItem, TStochasticResult>;
+begin
+    Result := CreateStochastic(KPeriod, CreateSMA(DPeriod));
+end;
+
+// Creates a Stochastic Oscillator using an injectable moving average for the %D line.
+class function TIndicators.CreateStochastic(
+    KPeriod: Integer;
+    const SmaD: TConstFunc<Double, Double>
+): TConstFunc<TOhlcItem, TStochasticResult>;
 begin
     var sourceData: TSeries<TOhlcItem>;
-    var smaD := CreateSMA(DPeriod);
 
     Result :=
         function(const Value: TOhlcItem): TStochasticResult
@@ -347,7 +388,80 @@ begin
                 else
                     Result.K := 100; // Or 50, depends on convention
 
-                Result.D := smaD(Result.K);
+                Result.D := SmaD(Result.K);
+            end;
+        end;
+end;
+
+// Standard ATR using an EMA for smoothing.
+class function TIndicators.CreateATR(Period: Integer): TConstFunc<TOhlcItem, Double>;
+begin
+    Result := CreateATR(CreateEMA(Period));
+end;
+
+// Calculates the Average True Range (ATR) using an injectable moving average.
+class function TIndicators.CreateATR(const MovAvgTR: TConstFunc<Double, Double>): TConstFunc<TOhlcItem, Double>;
+begin
+    var sourceData: TSeries<TOhlcItem>;
+
+    Result :=
+        function(const Value: TOhlcItem): Double
+        var
+            tr: Double;
+        begin
+            // We only need the previous bar to calculate true range.
+            sourceData := sourceData.Add(Value, 2);
+
+            if (sourceData.Count < 2) then
+            begin
+                // Feed a dummy value to keep the moving average count in sync. It will correctly return NaN.
+                Result := MovAvgTR(0);
+                Exit;
+            end;
+
+            // Calculate current True Range.
+            tr := Max(Value.High - Value.Low, Max(Abs(Value.High - sourceData[1].Close), Abs(Value.Low - sourceData[1].Close)));
+
+            // Feed the calculated TR into the provided moving average function.
+            Result := MovAvgTR(tr);
+        end;
+end;
+
+// Standard Keltner Channels using an EMA for the middle line and an EMA-based ATR.
+class function TIndicators.CreateKeltnerChannels(Period: Integer; Multiplier: Double): TConstFunc<TOhlcItem, TKeltnerChannelsResult>;
+begin
+    Result := CreateKeltnerChannels(CreateEMA(Period), CreateATR(Period), Multiplier);
+end;
+
+// Calculates Keltner Channels using an injectable ATR and middle band moving average.
+class function TIndicators.CreateKeltnerChannels(
+    const MovAvgMiddle: TConstFunc<Double, Double>;
+    const AtrFunc: TConstFunc<TOhlcItem, Double>;
+    Multiplier: Double
+): TConstFunc<TOhlcItem, TKeltnerChannelsResult>;
+begin
+    Result :=
+        function(const Value: TOhlcItem): TKeltnerChannelsResult
+        var
+            atrValue, middleValue, typicalPrice: Double;
+        begin
+            // Calculate Typical Price for the middle band.
+            typicalPrice := (Value.High + Value.Low + Value.Close) / 3.0;
+
+            // Get values from the provided indicator functions.
+            middleValue := MovAvgMiddle(typicalPrice);
+            atrValue := AtrFunc(Value);
+
+            // Set default NaN values for the warm-up period.
+            Result.MiddleBand := middleValue;
+            Result.UpperBand := Double.NaN;
+            Result.LowerBand := Double.NaN;
+
+            // Once both middle band and ATR have valid (non-NaN) values, calculate the channels.
+            if not IsNan(middleValue) and not IsNan(atrValue) then
+            begin
+                Result.UpperBand := middleValue + (atrValue * Multiplier);
+                Result.LowerBand := middleValue - (atrValue * Multiplier);
             end;
         end;
 end;

Src/Myc.Trade.Types.pas

@@ -29,6 +29,7 @@ type
     end;
 
     TConstFunc<S, T> = reference to function(const Value: S): T;
+    TConstFuncPredicate<S, T> = reference to function(const Value: S; out Res: T): Boolean;
 
 implementation