386 lines
31 KiB
Plaintext
386 lines
31 KiB
Plaintext
|
//+------------------------------------------------------------------+
|
|||
|
|
//| StrategiesList.mqh |
|
|||
|
|
//| Copyright 2016, Vasiliy Sokolov, St-Petersburg, Russia |
|
|||
|
|
//| https://www.mql5.com/en/users/c-4 |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
#property copyright "Copyright 2016, Vasiliy Sokolov."
|
|||
|
|
#property link "https://www.mql5.com/en/users/c-4"
|
|||
|
|
|
|||
|
|
#ifdef SHOW_BASE_SETTINGS
|
|||
|
|
input string StrategiesXMLFile="Strategies.xml"; // Upload strategies from the file
|
|||
|
|
input bool LoadOnlyCurrentSymbol=false; // Upload only for the current symbol
|
|||
|
|
#endif
|
|||
|
|
#include <Arrays\ArrayObj.mqh>
|
|||
|
|
#include "Strategy.mqh"
|
|||
|
|
#include "StrategyParamsBase.mqh"
|
|||
|
|
#include "EquityListener.mqh"
|
|||
|
|
#include ".\Panel\Panel.mqh"
|
|||
|
|
#include "RSquare.mqh"
|
|||
|
|
#include "Panel\Events\EventChartListChanged.mqh"
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Determines the type of custom criterion calculated after |
|
|||
|
|
//| optimization. |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
enum ENUM_CUSTOM_TYPE
|
|||
|
|
{
|
|||
|
|
CUSTOM_NONE, // Custom criterion is not calculated
|
|||
|
|
CUSTOM_R2_BALANCE, // R^2 based on the strategy balance
|
|||
|
|
CUSTOM_R2_EQUITY, // R^2 based on the strategy equity
|
|||
|
|
};
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Container class to manage strategies of the CStrategy type |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
class CStrategyList
|
|||
|
|
{
|
|||
|
|
private:
|
|||
|
|
CEquityListener m_equity_exp;
|
|||
|
|
CLog* Log; // Logging
|
|||
|
|
CArrayObj m_strategies; // Strategies of the CStrategy type
|
|||
|
|
ENUM_CUSTOM_TYPE m_custom_type; // Custom optimization criterion
|
|||
|
|
ENUM_CORR_TYPE m_corr_type; // Type of correlation for R^2
|
|||
|
|
void ParseStrategies(CXmlElement *xmlStrategies,bool load_curr_symbol);
|
|||
|
|
void ParseLimits(CXmlElement *xmlLimits);
|
|||
|
|
CStrBtn StrButton;
|
|||
|
|
void AddEquityExpert(ENUM_TIMEFRAMES tf, string symbol);
|
|||
|
|
public:
|
|||
|
|
CStrategyList(void);
|
|||
|
|
~CStrategyList(void);
|
|||
|
|
void LoadStrategiesFromXML(string xml_name,bool load_curr_symbol);
|
|||
|
|
bool AddStrategy(CStrategy *strategy);
|
|||
|
|
int Total();
|
|||
|
|
void Clear();
|
|||
|
|
void SetCustomOptimizeR2Balance(ENUM_CORR_TYPE corr_type);
|
|||
|
|
void SetCustomOptimizeR2Equity(ENUM_CORR_TYPE corr_type);
|
|||
|
|
CStrategy *At(int index);
|
|||
|
|
void OnTick();
|
|||
|
|
void OnTimer();
|
|||
|
|
void OnBookEvent(string symbol);
|
|||
|
|
void OnDeinit(const int reason);
|
|||
|
|
double OnTester(void);
|
|||
|
|
void OnChartEvent(const int id,
|
|||
|
|
const long &lparam,
|
|||
|
|
const double &dparam,
|
|||
|
|
const string &sparam);
|
|||
|
|
|
|||
|
|
};
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Default constructor. |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
CStrategyList::CStrategyList(void) : StrButton(GetPointer(this))
|
|||
|
|
{
|
|||
|
|
Log=CLog::GetLog();
|
|||
|
|
StrButton.Show();
|
|||
|
|
m_strategies.Sort(0);
|
|||
|
|
m_corr_type = CORR_PEARSON;
|
|||
|
|
m_custom_type = CUSTOM_R2_EQUITY;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Note: this is the only place where CLog is deleted. In other |
|
|||
|
|
//| places no need to delete it. |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
CStrategyList::~CStrategyList(void)
|
|||
|
|
{
|
|||
|
|
CLog::DeleteLog();
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Clear the list of strategies |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
CStrategyList::Clear(void)
|
|||
|
|
{
|
|||
|
|
m_strategies.Clear();
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Sets R^2 as the optimization criterion. The coeffi cient is |
|
|||
|
|
//| calculated for the trades made. |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
void CStrategyList::SetCustomOptimizeR2Balance(ENUM_CORR_TYPE corr_type)
|
|||
|
|
{
|
|||
|
|
m_custom_type = CUSTOM_R2_BALANCE;
|
|||
|
|
m_corr_type = corr_type;
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Sets R^2 as the optimization criterion. The coefficient is |
|
|||
|
|
//| calculated based on the recorded equity. |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
void CStrategyList::SetCustomOptimizeR2Equity(ENUM_CORR_TYPE corr_type)
|
|||
|
|
{
|
|||
|
|
m_custom_type = CUSTOM_R2_EQUITY;
|
|||
|
|
m_corr_type = corr_type;
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Sends the OnTick event to all listed strategies |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
void CStrategyList::OnTick(void)
|
|||
|
|
{
|
|||
|
|
for(int i=0; i<m_strategies.Total(); i++)
|
|||
|
|
{
|
|||
|
|
CStrategy *strategy=m_strategies.At(i);
|
|||
|
|
strategy.OnTick();
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Sends the OnTimer event to all listed strategies |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
void CStrategyList::OnTimer(void)
|
|||
|
|
{
|
|||
|
|
for(int i=0; i<m_strategies.Total(); i++)
|
|||
|
|
{
|
|||
|
|
CStrategy *strategy=m_strategies.At(i);
|
|||
|
|
strategy.OnTimer();
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Sends OnBookEvent to all listed strategies |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
void CStrategyList::OnBookEvent(string symbol)
|
|||
|
|
{
|
|||
|
|
for(int i=0; i<m_strategies.Total(); i++)
|
|||
|
|
{
|
|||
|
|
CStrategy *strategy=m_strategies.At(i);
|
|||
|
|
strategy.OnBookEvent(symbol);
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Sends the OnTimer event to all listed strategies |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
/*void CStrategyList::OnDeinit(const int reason)
|
|||
|
|
{
|
|||
|
|
for(int i = 0; i < m_strategies.Total(); i++)
|
|||
|
|
{
|
|||
|
|
CStrategy* strategy = m_strategies.At(i);
|
|||
|
|
strategy.OnDeinit(reason);
|
|||
|
|
}
|
|||
|
|
}*/
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Returns the total number of strategies |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
int CStrategyList::Total(void)
|
|||
|
|
{
|
|||
|
|
return m_strategies.Total();
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Returns a strategy with the 'index' index |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
CStrategy *CStrategyList::At(int index)
|
|||
|
|
{
|
|||
|
|
return m_strategies.At(index);
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Adds a strategy to the list of strategies. The added strategy |
|
|||
|
|
//| must contain the 'magic' number, working symbol and name. i.e. |
|
|||
|
|
//| set appropriate values through the methods ExpertMagic, |
|
|||
|
|
//| ExpertSymbol & ExpertName. |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
bool CStrategyList::AddStrategy(CStrategy *strategy)
|
|||
|
|
{
|
|||
|
|
bool res=true;
|
|||
|
|
if(strategy.ExpertMagic()==0)
|
|||
|
|
{
|
|||
|
|
string text="The strategy should have a magic number. Adding strategy "+strategy.ExpertName()+" is impossible";
|
|||
|
|
CMessage *msg=new CMessage(MESSAGE_WARNING,__FUNCTION__,text);
|
|||
|
|
Log.AddMessage(msg);
|
|||
|
|
res=false;
|
|||
|
|
}
|
|||
|
|
if(strategy.ExpertName()==NULL || strategy.ExpertName()=="")
|
|||
|
|
{
|
|||
|
|
string text="The strategy should have an expert name. Adding strategy with magic "+(string)strategy.ExpertMagic()+" is impossible";
|
|||
|
|
CMessage *msg=new CMessage(MESSAGE_WARNING,__FUNCTION__,text);
|
|||
|
|
Log.AddMessage(msg);
|
|||
|
|
res=false;
|
|||
|
|
}
|
|||
|
|
if(strategy.ExpertSymbol()==NULL || strategy.ExpertSymbol()=="")
|
|||
|
|
{
|
|||
|
|
string text="The strategy should have a work symbol. Adding strategy "+strategy.ExpertName()+" is impossible";
|
|||
|
|
CMessage *msg=new CMessage(MESSAGE_WARNING,__FUNCTION__,text);
|
|||
|
|
Log.AddMessage(msg);
|
|||
|
|
res=false;
|
|||
|
|
}
|
|||
|
|
if(strategy.Timeframe()==PERIOD_CURRENT)
|
|||
|
|
{
|
|||
|
|
string text="The strategy should have a work timeframe. Adding strategy "+strategy.ExpertName()+" is impossible";
|
|||
|
|
CMessage *msg=new CMessage(MESSAGE_WARNING,__FUNCTION__,text);
|
|||
|
|
Log.AddMessage(msg);
|
|||
|
|
res=false;
|
|||
|
|
}
|
|||
|
|
int index = m_strategies.Search(strategy);
|
|||
|
|
if(index != -1)
|
|||
|
|
{
|
|||
|
|
string text="Strategy with Magic "+(string)strategy.ExpertMagic()+
|
|||
|
|
" has already been added to the list of strategies. Change the Magic to be added to the strategy";
|
|||
|
|
CMessage *msg=new CMessage(MESSAGE_WARNING,__FUNCTION__,text);
|
|||
|
|
Log.AddMessage(msg);
|
|||
|
|
res=false;
|
|||
|
|
}
|
|||
|
|
if(!strategy.OnInit())
|
|||
|
|
{
|
|||
|
|
string text="Failed OnInit. '"+strategy.ExpertName()+"' strategy will not be added to the list";
|
|||
|
|
CMessage *msg=new CMessage(MESSAGE_WARNING,__FUNCTION__,text);
|
|||
|
|
Log.AddMessage(msg);
|
|||
|
|
res=false;
|
|||
|
|
}
|
|||
|
|
if(res == false)return res;
|
|||
|
|
//-- Add equity listener expert
|
|||
|
|
if(m_strategies.Total() == 0)
|
|||
|
|
AddEquityExpert(strategy.Timeframe(), strategy.ExpertSymbol());
|
|||
|
|
res=m_strategies.InsertSort(strategy);
|
|||
|
|
if(res)
|
|||
|
|
{
|
|||
|
|
StrButton.AddStrategyName(strategy.ExpertNameFull());
|
|||
|
|
string text="Strategy "+strategy.ExpertNameFull()+" successfully loaded";
|
|||
|
|
CMessage *msg=new CMessage(MESSAGE_INFO,__FUNCTION__,text);
|
|||
|
|
Log.AddMessage(msg);
|
|||
|
|
}
|
|||
|
|
return res;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
void CStrategyList::AddEquityExpert(ENUM_TIMEFRAMES tf, string symbol)
|
|||
|
|
{
|
|||
|
|
if(tf > PERIOD_H1)
|
|||
|
|
m_equity_exp.Timeframe(tf);
|
|||
|
|
else
|
|||
|
|
m_equity_exp.Timeframe(PERIOD_H1);
|
|||
|
|
m_equity_exp.ExpertSymbol(symbol);
|
|||
|
|
m_equity_exp.ExpertMagic(1029384);
|
|||
|
|
m_equity_exp.ExpertName("Equity Listener Expert");
|
|||
|
|
m_strategies.InsertSort(&m_equity_exp);
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Adds monitoring of equity |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
double CStrategyList::OnTester(void)
|
|||
|
|
{
|
|||
|
|
switch(m_custom_type)
|
|||
|
|
{
|
|||
|
|
case CUSTOM_NONE:
|
|||
|
|
return 0.0;
|
|||
|
|
case CUSTOM_R2_BALANCE:
|
|||
|
|
return CustomR2Balance(m_corr_type);
|
|||
|
|
case CUSTOM_R2_EQUITY:
|
|||
|
|
{
|
|||
|
|
double equity[];
|
|||
|
|
m_equity_exp.GetEquityArray(equity);
|
|||
|
|
int total = ArrayResize(equity, ArraySize(equity)+1);
|
|||
|
|
equity[total-1] = AccountInfoDouble(ACCOUNT_EQUITY);
|
|||
|
|
return CustomR2Equity(equity, m_corr_type);
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
return 0.0;
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Loads strategies from the passed XML file "xml_name" |
|
|||
|
|
//| If the load_curr_symbol flag is set to true, it will only load |
|
|||
|
|
//| the strategies in which symbol corresponds to the current |
|
|||
|
|
//| symbol CurrentSymbol() |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
void CStrategyList::LoadStrategiesFromXML(string xml_name,bool load_curr_symbol)
|
|||
|
|
{
|
|||
|
|
CXmlDocument doc;
|
|||
|
|
string err;
|
|||
|
|
bool res=doc.CreateFromFile(xml_name,err);
|
|||
|
|
if(!res)
|
|||
|
|
printf(err);
|
|||
|
|
CXmlElement *global=GetPointer(doc.FDocumentElement);
|
|||
|
|
for(int i=0; i<global.GetChildCount(); i++)
|
|||
|
|
{
|
|||
|
|
CXmlElement* child = global.GetChild(i);
|
|||
|
|
if(child.GetName() == "Strategies")
|
|||
|
|
ParseStrategies(child,load_curr_symbol);
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Parses XML strategies |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
void CStrategyList::ParseStrategies(CXmlElement *xmlStrategies,bool load_curr_symbol)
|
|||
|
|
{
|
|||
|
|
CParamsBase *params=NULL;
|
|||
|
|
for(int i=0; i<xmlStrategies.GetChildCount(); i++)
|
|||
|
|
{
|
|||
|
|
CXmlElement *xStrategy=xmlStrategies.GetChild(i);
|
|||
|
|
if(CheckPointer(params)!=POINTER_INVALID)
|
|||
|
|
delete params;
|
|||
|
|
params=new CParamsBase(xStrategy);
|
|||
|
|
if(!params.IsValid() || (params.Symbol()!=Symbol() && load_curr_symbol))
|
|||
|
|
continue;
|
|||
|
|
CStrategy *str=CStrategy::GetStrategy(params.Name());
|
|||
|
|
if(str==NULL)
|
|||
|
|
continue;
|
|||
|
|
str.ExpertMagic(params.Magic());
|
|||
|
|
str.ExpertSymbol(params.Symbol());
|
|||
|
|
str.Timeframe(params.Timeframe());
|
|||
|
|
str.ExpertName(params.Name());
|
|||
|
|
string name=str.ExpertName();
|
|||
|
|
CXmlElement *xml_params=xStrategy.GetChild("Params");
|
|||
|
|
if(xml_params!=NULL)
|
|||
|
|
str.ParseXmlParams(xml_params);
|
|||
|
|
CXmlElement *xml_mm=xStrategy.GetChild("MoneyManagment");
|
|||
|
|
if(xml_mm!=NULL)
|
|||
|
|
{
|
|||
|
|
if(!str.MM.ParseByXml(xml_mm))
|
|||
|
|
{
|
|||
|
|
string text="Strategy "+str.ExpertName()+" (Magic: "+(string)str.ExpertMagic()+") load MM from XML failed";
|
|||
|
|
CMessage *msg=new CMessage(MESSAGE_WARNING,__FUNCTION__,text);
|
|||
|
|
Log.AddMessage(msg);
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
CXmlElement *xml_regim=xStrategy.GetChild("TradeStateStart");
|
|||
|
|
if(xml_regim!=NULL)
|
|||
|
|
{
|
|||
|
|
string regim=xml_regim.GetText();
|
|||
|
|
if(regim=="BuyAndSell")
|
|||
|
|
str.TradeState(TRADE_BUY_AND_SELL);
|
|||
|
|
else if(regim=="BuyOnly")
|
|||
|
|
str.TradeState(TRADE_BUY_ONLY);
|
|||
|
|
else if(regim=="SellOnly")
|
|||
|
|
str.TradeState(TRADE_SELL_ONLY);
|
|||
|
|
else if(regim=="Stop")
|
|||
|
|
str.TradeState(TRADE_STOP);
|
|||
|
|
else if(regim=="Wait")
|
|||
|
|
str.TradeState(TRADE_WAIT);
|
|||
|
|
else if(regim=="NoNewEntry")
|
|||
|
|
str.TradeState(TRADE_NO_NEW_ENTRY);
|
|||
|
|
else
|
|||
|
|
{
|
|||
|
|
string text="For strategy "+str.ExpertName()+" (Magic: "+(string)str.ExpertMagic()+
|
|||
|
|
") set not correctly trade state: "+regim;
|
|||
|
|
CMessage *msg=new CMessage(MESSAGE_WARNING,__FUNCTION__,text);
|
|||
|
|
Log.AddMessage(msg);
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
AddStrategy(str);
|
|||
|
|
}
|
|||
|
|
if(CheckPointer(params)!=POINTER_INVALID)
|
|||
|
|
delete params;
|
|||
|
|
}
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
//| Parses XML strategies |
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
void CStrategyList::OnChartEvent(const int id,const long &lparam,const double &dparam,const string &sparam)
|
|||
|
|
{
|
|||
|
|
CEvent *event=NULL;
|
|||
|
|
switch(id)
|
|||
|
|
{
|
|||
|
|
case CHARTEVENT_OBJECT_CLICK:
|
|||
|
|
event=new CEventChartObjClick(sparam);
|
|||
|
|
break;
|
|||
|
|
case CHARTEVENT_MOUSE_MOVE:
|
|||
|
|
event=new CEventChartMouseMove(lparam,(long)dparam,(int)sparam);
|
|||
|
|
break;
|
|||
|
|
case CHARTEVENT_OBJECT_ENDEDIT:
|
|||
|
|
event=new CEventChartEndEdit(sparam);
|
|||
|
|
break;
|
|||
|
|
case CHARTEVENT_CUSTOM+EVENT_CHART_LIST_CHANGED:
|
|||
|
|
event=new CEventChartListChanged(sparam);
|
|||
|
|
break;
|
|||
|
|
}
|
|||
|
|
if(event!=NULL)
|
|||
|
|
{
|
|||
|
|
StrButton.Event(event);
|
|||
|
|
delete event;
|
|||
|
|
}
|
|||
|
|
ChartRedraw();
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
CStrategyList Manager;
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
�
|