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Generic indicator factory

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This commit is contained in:
Michael Schimmel
2025-07-27 16:41:54 +02:00
parent 791f629a10
commit ecee8b37bc
6 changed files with 827 additions and 274 deletions
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AuraTrader/MainForm.pas
+11 -11
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@@ -312,13 +312,13 @@ begin
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 Hull := Closes.Chain<Double>(THMA.CreateHMA(250)).MakeParallel;
var Sma := Closes.Chain<Double>(TSMA.CreateSMA(200)).MakeParallel;
var Lowest: Double := Double.MaxValue;
var Highest: Double := Double.MinValue;
var ATR := Ohlc.Chain<Double>(TIndicators.CreateATR(50)).MakeParallel;
var ATR := Ohlc.Chain<Double>(TATR.CreateATR(50)).MakeParallel;
// next stage
@@ -471,7 +471,7 @@ begin
panel.AddDoubleSeries(Signal.Producer.Field<Double>('Entry'), TAlphaColors.Green, 1);
panel.AddDoubleSeries(Signal.Producer.Field<Double>('SL'), TAlphaColors.Red, 2);
var mean := TConverter<TArray<Double>, Double>.CreateConverter(TIndicators.CreateMean());
var mean := TConverter<TArray<Double>, Double>.CreateConverter(TMean.CreateMean());
TConverter.Join<Double>([Hull, Sma]).Chain<Double>(mean);
@@ -616,13 +616,13 @@ begin
var Ohlc := OhlcPoint.Field<TOhlcItem>('Data');
var Closes := Ohlc.Field<Double>('Close');
var Hull := Closes.Chain<Double>(TIndicators.CreateHMA(150));
var Sma := Closes.Chain<Double>(TIndicators.CreateSMA(50));
var Ema := Closes.Chain<Double>(TIndicators.CreateEMA(21));
var Boli := Closes.MakeParallel.Chain<TBollingerBandsResult>(TIndicators.CreateBollingerBands(20, 2.0));
var Rsi := Closes.Chain<Double>(TIndicators.CreateRSI(14));
var Macd := Closes.MakeParallel.Chain<TMacdResult>(TIndicators.CreateMACD(12, 26, 9));
var Stoch := Ohlc.Chain<TStochasticResult>(TIndicators.CreateStochastic(14, 3));
var Hull := Closes.Chain<Double>(THMA.CreateHMA(150));
var Sma := Closes.Chain<Double>(TSMA.CreateSMA(50));
var Ema := Closes.Chain<Double>(TEMA.CreateEMA(21));
var Boli := Closes.MakeParallel.Chain<TBollingerBands.TResult>(TBollingerBands.CreateBollingerBands(20, 2.0));
var Rsi := Closes.Chain<Double>(TRSI.CreateRSI(14));
var Macd := Closes.MakeParallel.Chain<TMacd.TResult>(TMACD.CreateMACD(12, 26, 9));
var Stoch := Ohlc.Chain<TStochastic.TResult>(TStochastic.CreateStochastic(14, 3));
chart.SetXAxisSeries(timeframe, Timestamps);
AuraTrader/StrategyTest.pas
+3 -3
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@@ -35,9 +35,9 @@ begin
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 ATR := Ohlc.Chain<Double>(TIndicators.CreateATR(50)).MakeParallel;
var Hull := Closes.Chain<Double>(THMA.CreateHMA(250)).MakeParallel;
var Sma := Closes.Chain<Double>(TSMA.CreateSMA(200)).MakeParallel;
var ATR := Ohlc.Chain<Double>(TATR.CreateATR(50)).MakeParallel;
var conv := TConverter.Join<Double>([Ohlc.Field<Double>('Low'), Ohlc.Field<Double>('High'), Closes, ATR, Hull, Sma]);
AuraTrader/TestMethodCallFromRecordParams.pas
+4 -3
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@@ -6,6 +6,7 @@ uses
System.SysUtils,
System.Classes,
Myc.Data.Records,
Myc.Data.Pipeline,
Myc.Trade.Indicators;
type
@@ -61,7 +62,7 @@ uses
class function TMyWorker.CreateFactory: TIndicatorFactoryProc<TParams, TArgs, TResult>;
begin
Result :=
function(const Params: TParams): TIndicatorProc<TArgs, TResult>
function(const Params: TParams): TConvertFunc<TArgs, TResult>
begin
var Log := TStrings(Params.Log);
var text := Params.text;
@@ -101,7 +102,7 @@ end;
class function TSmaIndicator.CreateFactory: TIndicatorFactoryProc<TParams, TArgs, TResult>;
begin
Result :=
function(const Params: TParams): TIndicatorProc<TArgs, TResult>
function(const Params: TParams): TConvertFunc<TArgs, TResult>
var
// State for the indicator closure
period: Integer;
@@ -150,7 +151,7 @@ procedure TestSma(const Log: TStrings);
var
fact: TGenericIndicatorFactory;
params: TDataRecord;
indi: TIndicatorProc<TDataRecord, TDataRecord>;
indi: TConvertFunc<TDataRecord, TDataRecord>;
args: TDataRecord;
res: TDataRecord;
smaValue: Double;
Src/Myc.Data.Records.pas
-7
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@@ -136,16 +136,9 @@ end;
procedure TDataRecord.CopyFrom<T>(const Src: T);
begin
var ctx := TRttiContext.Create;
var rttiType := ctx.GetType(TypeInfo(T));
for var i := 0 to High(FLayout.FFields) do
begin
var P: PByte := @Src;
inc(P, FLayout.Fields[i].Offset);
FLayout.Fields[i].FromType(FBuffer, Src);
end;
end;
procedure TDataRecord.CopyValue(const SrcRec: TDataRecord; SrcIdx, DstIdx: Integer);
begin
Src/Myc.Trade.Indicators.Common.pas
+789 -233
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File diff suppressed because it is too large Load Diff
Src/Myc.Trade.Indicators.pas
+9 -6
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@@ -3,13 +3,13 @@ unit Myc.Trade.Indicators;
interface
uses
Myc.Data.Pipeline,
Myc.Data.Records;
{$M+}
type
TIndicatorProc<TValue, TResult> = reference to function(const Value: TValue): TResult;
TIndicatorFactoryProc<TParams, TValue, TResult> = reference to function(const Params: TParams): TIndicatorProc<TValue, TResult>;
TIndicatorFactoryProc<TParams, TValue, TResult> = reference to function(const Params: TParams): TConvertFunc<TValue, TResult>;
(*
Sample definition of an indicator template:
@@ -33,6 +33,9 @@ type
[IndicatorFactory]
class function CreateFactory: TIndicatorFactoryProc<TParams, TArgs, TResult>; static;
// Hard coded version:
class function CreateHMA( Period: Integer ): TConvertFunc<Double, Double>; static;
end;
*)
@@ -66,7 +69,7 @@ type
function GetResultLayout: TDataRecord.TLayout;
{$endregion}
function CreateIndicator(const Params: TDataRecord): TIndicatorProc<TDataRecord, TDataRecord>;
function CreateIndicator(const Params: TDataRecord): TConvertFunc<TDataRecord, TDataRecord>;
property ParameterLayout: TDataRecord.TLayout read GetParameterLayout;
property ArgumentLayout: TDataRecord.TLayout read GetArgumentLayout;
@@ -94,7 +97,7 @@ type
class function CreateFromTemplate<T>: TGenericIndicatorFactory;
function CreateIndicator(const Params: TDataRecord): TIndicatorProc<TDataRecord, TDataRecord>;
function CreateIndicator(const Params: TDataRecord): TConvertFunc<TDataRecord, TDataRecord>;
property ParameterLayout: TDataRecord.TLayout read GetParameterLayout;
property ArgumentLayout: TDataRecord.TLayout read GetArgumentLayout;
@@ -297,7 +300,7 @@ begin
// Create the main factory procedure. This is a double-nested anonymous method
// that wraps the template's specific factory and worker functions.
factoryProc :=
function(const Params: TDataRecord): TIndicatorProc<TDataRecord, TDataRecord>
function(const Params: TDataRecord): TConvertFunc<TDataRecord, TDataRecord>
begin
// Outer anonymous method: This is the factory proc.
// It gets called with a TDataRecord of parameters.
@@ -364,7 +367,7 @@ begin
Result := TGenericIndicatorFactory.Create(parameterLayout, argumentLayout, resultLayout, factoryProc, shortName, name, hint);
end;
function TGenericIndicatorFactory.CreateIndicator(const Params: TDataRecord): TIndicatorProc<TDataRecord, TDataRecord>;
function TGenericIndicatorFactory.CreateIndicator(const Params: TDataRecord): TConvertFunc<TDataRecord, TDataRecord>;
begin
Assert(
(not Assigned(FParameterLayout.Fields)) or (Params.Layout = FParameterLayout),