New Test-Startegy

2025-07-22 17:21:59 +02:00
parent c530f2fc0b
commit e6d41260f9
6 changed files with 311 additions and 42 deletions
@@ -0,0 +1,190 @@
+unit StrategyTest;
+
+interface
+
+uses
+    Myc.Signals,
+    Myc.Trade.Types,
+    Myc.Trade.DataPoint,
+    Myc.Trade.DataArray,
+    Myc.DataRecord,
+    Myc.Trade.Indicators;
+
+function CreateStrategy1(Timeframe: TTimeframe): TConverter<TDataPoint<TOhlcItem>, Double>;
+
+implementation
+
+uses
+    System.SysUtils,
+    System.Math;
+
+function CreateStrategy1(Timeframe: TTimeframe): TConverter<TDataPoint<TOhlcItem>, Double>;
+type
+    TSignal = record
+        Sig: Double;
+        SL: Double;
+        Entry: Double;
+        pnl: Double;
+    end;
+begin
+    var ticker := TConverter.CreateIdentity<TDataPoint<TOhlcItem>>;
+
+    var OhlcPoint := ticker.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateOhlcAggregation(Timeframe));
+
+    var Ohlc := OhlcPoint.Field<TOhlcItem>('Data');
+
+    var Closes := Ohlc.Field<Double>('Close');
+
+    var Hull := Closes.Chain<Double>(TIndicators.CreateHMA(250)).MakeParallel;
+    var Sma := Closes.Chain<Double>(TIndicators.CreateSMA(200)).MakeParallel;
+
+    var Lowest: Double := Double.MaxValue;
+    var Highest: Double := Double.MinValue;
+
+    var ATR := Ohlc.Chain<Double>(TIndicators.CreateATR(50)).MakeParallel;
+
+    // next stage
+
+    var ATREndPoint := TConverter.CreateEndpoint<Double>(ATR.Sender, 5);
+    var ATRSeries: TSeries<Double>;
+
+    var HullEndPoint := TConverter.CreateEndpoint<Double>(Hull.Sender, 5);
+    var HullSeries: TSeries<Double>;
+
+    var SmaEndPoint := TConverter.CreateEndpoint<Double>(Sma.Sender, 5);
+    var SmaSeries: TSeries<Double>;
+
+    var curr: TSignal;
+    curr.SL := Double.NaN;
+    curr.Entry := Double.NaN;
+
+    var lastHull, lastSma: Double;
+
+    var conv :=
+        TConverter.Join<Double>(
+            [Ohlc.Field<Double>('Low').Sender, Ohlc.Field<Double>('High').Sender, Closes.Sender, ATR.Sender, Hull.Sender, Sma.Sender]
+        );
+
+    var Signal :=
+        TConverter<TArray<Double>, TSignal>.CreateGeneric(
+            function(const Values: TArray<Double>): TSignal
+            begin
+                var low := Values[0];
+                var high := Values[1];
+                var close := Values[2];
+                var atr := Values[3];
+                var hull := Values[4];
+                var sma := Values[5];
+
+                if low < Lowest then
+                    Lowest := low;
+                if high > Highest then
+                    Highest := high;
+
+                Result := curr;
+                Result.Sig := 0;
+                var pnl: double := NaN;
+
+                if (hull < sma) and (lastHull >= lastSma) then
+                begin
+                    if curr.Sig > 0 then
+                        pnl := close - curr.Entry;
+
+                    curr.Sig := -1;
+                    curr.SL := Highest;
+                    curr.Entry := close;
+                    Result := curr;
+                end
+                else if (hull > sma) and (lastHull <= lastSma) then
+                begin
+                    if curr.Sig < 0 then
+                        pnl := curr.Entry - close;
+
+                    curr.Sig := 1;
+                    curr.SL := Lowest;
+                    curr.Entry := close;
+                    Result := curr;
+                end;
+
+                atr := 15 * atr;
+                if curr.Sig > 0 then
+                begin
+                    if close > curr.SL then
+                    begin
+                        if curr.SL < close - atr then
+                            curr.SL := close - atr;
+                        Result.SL := curr.SL;
+                    end;
+
+                    if low <= curr.SL then
+                    begin
+                        pnl := curr.SL - curr.Entry;
+                        curr.Sig := 0;
+                        Result.Sig := 0;
+                        curr.SL := NaN;
+                    end;
+                end
+                else if curr.Sig < 0 then
+                begin
+                    if close < curr.SL then
+                    begin
+                        if curr.SL > close + atr then
+                            curr.SL := close + atr;
+                        Result.SL := curr.SL;
+                    end;
+
+                    if high >= curr.SL then
+                    begin
+                        pnl := curr.Entry - curr.SL;
+                        curr.Sig := 0;
+                        Result.Sig := 0;
+                        curr.SL := NaN;
+                    end;
+                end;
+
+                if Result.Sig <> 0 then
+                begin
+                    Lowest := Double.MaxValue;
+                    Highest := Double.MinValue;
+                    Result.SL := Double.NaN;
+                    Result.Entry := Double.NaN;
+                end;
+
+                Result.pnl := pnl;
+
+                lastHull := hull;
+                lastSma := sma;
+            end
+        );
+
+    conv.Link(Signal);
+
+    var pnl := Signal.Field<Double>('pnl');
+
+    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
+                begin
+                    FInit := true;
+                    Broadcast(FEquity);
+                end;
+
+                if not IsNan(Value) then
+                begin
+                    FEquity := FEquity + Value;
+                    Result := Broadcast(FEquity);
+                end;
+            end
+        );
+
+    pnl.Sender.Link(equity);
+
+    Result := TConverter<TDataPoint<TOhlcItem>, Double>.Construct(ticker, equity.Sender);
+end;
+
+end.