PaPP v2: structural mean reversion with 8-MA cluster band, excursion flags, dynamic TP/SL
This commit is contained in:
pietro_giacobazzi
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//+------------------------------------------------------------------+
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//| PaPP_Trading.mq5 |
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//| PaPP Trading |
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//+------------------------------------------------------------------+
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#property copyright "PaPP Trading"
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#property version "2.00"
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#property description "PaPP Trading - Multi timeframe MA + volatilita + accelerazione"
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#property indicator_chart_window
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#property indicator_buffers 10
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#property indicator_plots 10
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input bool ShowLines = false;
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input int FontSize = 9;
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input int XPos = 10;
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input int YPos = 30;
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input int TP_Points = 100; // Take Profit (punti)
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input int SL_Points = 10000; // Stop Loss (punti)
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input bool ShowTPSL = true; // Draw TP/SL lines on chart
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//--- indicator buffers (SetIndexBuffer bound)
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double B1Y[], B6M[], B4M[], B1Mo[], B2W[], B1W[], B3D[], B1D[], BSc[], BAc[];
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//--- handles
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int hMA[8];
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int bars[8];
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string pN[8] = {"1Y","6M","4M","1M","2W","1W","3G","1G"};
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string _pfx = "PP_";
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//--- rolling volatility window
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double hMin[8], hMax[8];
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int volResetBar[8]; // bar index (non-series) of last reset
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int WINDOW = 200; // rolling window bars
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//--- last bar tracking for dashboard update
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datetime lastBarTime = 0;
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//+------------------------------------------------------------------+
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int TimeToBars(int days)
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{
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datetime now = TimeCurrent();
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if(now==0)
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{
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long s = (long)days*86400L;
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long p = PeriodSeconds((ENUM_TIMEFRAMES)_Period);
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return (int)MathMax(1,s/p);
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}
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datetime then = now - days*86400;
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int cnt = Bars(_Symbol,_Period,then,now);
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return MathMax(1,cnt);
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}
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//+------------------------------------------------------------------+
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int OnInit()
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{
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IndicatorSetString(INDICATOR_SHORTNAME,"PaPP Trading v2");
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IndicatorSetInteger(INDICATOR_DIGITS,_Digits);
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int days[8] = {365,182,121,30,14,7,3,1};
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for(int i=0;i<8;i++)
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{
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bars[i] = (i<7) ? TimeToBars(days[i]) : 1;
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hMA[i]=iMA(_Symbol,_Period,bars[i],0,MODE_SMA,PRICE_CLOSE);
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if(hMA[i]==INVALID_HANDLE) return INIT_FAILED;
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}
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SetIndexBuffer(0,B1Y,INDICATOR_DATA); ArraySetAsSeries(B1Y,true);
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SetIndexBuffer(1,B6M,INDICATOR_DATA); ArraySetAsSeries(B6M,true);
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SetIndexBuffer(2,B4M,INDICATOR_DATA); ArraySetAsSeries(B4M,true);
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SetIndexBuffer(3,B1Mo,INDICATOR_DATA); ArraySetAsSeries(B1Mo,true);
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SetIndexBuffer(4,B2W,INDICATOR_DATA); ArraySetAsSeries(B2W,true);
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SetIndexBuffer(5,B1W,INDICATOR_DATA); ArraySetAsSeries(B1W,true);
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SetIndexBuffer(6,B3D,INDICATOR_DATA); ArraySetAsSeries(B3D,true);
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SetIndexBuffer(7,B1D,INDICATOR_DATA); ArraySetAsSeries(B1D,true);
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SetIndexBuffer(8,BSc,INDICATOR_DATA); ArraySetAsSeries(BSc,true);
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SetIndexBuffer(9,BAc,INDICATOR_DATA); ArraySetAsSeries(BAc,true);
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color cl[10] = {clrRed,clrOrange,clrGold,clrLimeGreen,
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clrDodgerBlue,clrViolet,clrBrown,clrGray,clrCyan,clrMagenta};
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for(int i=0;i<8;i++)
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{
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PlotIndexSetInteger(i,PLOT_DRAW_TYPE,ShowLines?DRAW_LINE:DRAW_NONE);
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PlotIndexSetInteger(i,PLOT_LINE_COLOR,cl[i]);
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PlotIndexSetString(i,PLOT_LABEL,pN[i]+" MA");
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PlotIndexSetInteger(i,PLOT_LINE_WIDTH,2);
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}
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PlotIndexSetInteger(8,PLOT_DRAW_TYPE,DRAW_NONE);
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PlotIndexSetInteger(9,PLOT_DRAW_TYPE,DRAW_NONE);
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for(int i=0;i<8;i++) { hMin[i]=1e10; hMax[i]=-1e10; volResetBar[i]=0; }
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return INIT_SUCCEEDED;
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}
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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for(int i=0;i<8;i++)
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if(hMA[i]!=INVALID_HANDLE) IndicatorRelease(hMA[i]);
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ObjectsDeleteAll(0,_pfx);
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}
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//+------------------------------------------------------------------+
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//| Buffer helpers (separate MA index from bar index) |
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//+------------------------------------------------------------------+
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void SetMA(int b, int bar, double v)
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{
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if(b==0) B1Y[bar]=v; else if(b==1) B6M[bar]=v; else if(b==2) B4M[bar]=v;
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else if(b==3) B1Mo[bar]=v; else if(b==4) B2W[bar]=v; else if(b==5) B1W[bar]=v;
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else if(b==6) B3D[bar]=v; else if(b==7) B1D[bar]=v;
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}
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double GetMA(int bar, int m)
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{
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if(m==0) return B1Y[bar]; if(m==1) return B6M[bar]; if(m==2) return B4M[bar];
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if(m==3) return B1Mo[bar]; if(m==4) return B2W[bar]; if(m==5) return B1W[bar];
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if(m==6) return B3D[bar]; return B1D[bar];
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}
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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if(rates_total<2) return 0;
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ArraySetAsSeries(close,true);
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ArraySetAsSeries(time,true);
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//--- limit = number of new bars to process
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int limit = rates_total - prev_calculated;
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if(limit>1) limit = rates_total-1;
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//--- Copy only the needed range (performance)
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// needed = limit+1 bars from position startPos
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int needed = limit + 1;
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int startPos = rates_total - needed;
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if(startPos<0) { startPos=0; needed=rates_total; }
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//--- Temp arrays for MA data
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double tmp[8][];
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for(int m=0;m<8;m++)
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{
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ArrayResize(tmp[m],needed);
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int copied = CopyBuffer(hMA[m],0,startPos,needed,tmp[m]);
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if(copied<needed)
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{
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// Not enough data, zero-fill remaining
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for(int i=(copied>0?copied:0);i<needed;i++) tmp[m][i]=0;
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}
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ArraySetAsSeries(tmp[m],true);
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}
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//--- Assign temp -> indicator buffers (series indexed: idx=0=newest)
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for(int idx=limit; idx>=0; idx--)
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{
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double mv[8];
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for(int m=0;m<8;m++)
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{
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if(idx<needed) mv[m]=tmp[m][idx];
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else mv[m]=GetMA(idx,m); // fallback (shouldn't happen)
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SetMA(m, idx, mv[m]);
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}
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double p = close[idx];
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//--- Velocities: need prev bar
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double vel[8];
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for(int m=0;m<8;m++)
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{
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double prv;
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if(idx+1<rates_total)
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{
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if(idx+1<needed) prv=tmp[m][idx+1];
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else prv=GetMA(idx+1,m); // from previously calculated data
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}
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else prv=mv[m];
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vel[m]=mv[m]-prv;
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}
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//--- Score
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int sc=0;
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for(int m=0;m<8;m++) sc += (p>mv[m]) ? 1 : -1;
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BSc[idx]=sc;
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//--- Acceleration
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double aSum=0;
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for(int m=0;m<7;m++) aSum+=(vel[m]-vel[m+1]);
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BAc[idx]=aSum/7.0;
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//--- Rolling volatility window: reset & rebuild every WINDOW bars
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// volResetBar tracks the non-series bar index of last reset
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// Non-series index = rates_total - 1 - idx (since idx is series)
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int nsIdx = rates_total - 1 - idx; // non-series index (0=oldest)
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if(nsIdx == volResetBar[0] + WINDOW)
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{
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// Time to reset: scan back WINDOW bars to recompute min/max
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for(int m=0;m<8;m++) { hMin[m]=1e10; hMax[m]=-1e10; }
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int scanStart = MathMax(0, nsIdx - WINDOW);
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int scanEnd = MathMin(rates_total-1, nsIdx);
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for(int s=scanStart; s<=scanEnd; s++)
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{
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int si = rates_total - 1 - s; // series index
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double pp = close[si];
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for(int m=0;m<8;m++)
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{
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double vm = GetMA(si,m);
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if(vm>0)
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{
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double d = MathAbs(pp - vm);
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if(d<hMin[m]) hMin[m]=d;
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if(d>hMax[m]) hMax[m]=d;
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}
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}
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}
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for(int m=0;m<8;m++) volResetBar[m]=nsIdx;
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}
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else
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{
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// Normal update: extend min/max if this bar pushes them
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for(int m=0;m<8;m++)
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{
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if(mv[m]>0)
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{
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double d = MathAbs(p-mv[m]);
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if(d<hMin[m]) hMin[m]=d;
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if(d>hMax[m]) hMax[m]=d;
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}
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}
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}
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}
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//--- Dashboard: only on new bar or first run
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bool newBar = (time[0]!=lastBarTime);
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if(newBar || prev_calculated==0)
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{
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lastBarTime = time[0];
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DrawDashboard();
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}
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return rates_total;
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}
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//+------------------------------------------------------------------+
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void DrawDashboard()
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{
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double mv[8], vel[8];
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double bid = SymbolInfoDouble(_Symbol,SYMBOL_BID);
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for(int m=0;m<8;m++)
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{
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mv[m]=GetMA(0,m);
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double prv = (GetMA(1,m)>0) ? GetMA(1,m) : mv[m];
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vel[m]=mv[m]-prv;
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}
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string tf = EnumToString((ENUM_TIMEFRAMES)_Period);
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int x=XPos, y=YPos, lh=FontSize+4;
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//--- Title
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Lbl("T",_Symbol+" PaPP ["+tf+"] v2",x,y,FontSize+2,clrGold,true);
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y+=lh+4;
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double c0=GetMA(0,7); // B1D[0] = SMA(1) = latest close
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double c1=GetMA(1,7);
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Lbl("P","Oggi: "+DTS(c0,_Digits)+" | Ieri: "+DTS(c1,_Digits),x,y,FontSize,clrWhite,false);
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y+=lh+2;
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Lbl("S1","------------------------------",x,y,FontSize-1,clrGold,false);
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y+=lh;
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string hdr = StringFormat("%-6s %-12s %-4s %-8s %-5s %-7s","Periodo","Media","Pos","Dist","Vol%","Veloc");
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Lbl("H",hdr,x,y,FontSize,clrGold,false);
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y+=lh;
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for(int m=0;m<8;m++)
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{
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if(mv[m]<=0) continue;
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double dist = bid-mv[m];
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double absD = MathAbs(dist);
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//--- Volatility % (rolling window)
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double vn=50.0;
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if(hMax[m]>hMin[m] && hMax[m]>0)
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{ vn=((absD-hMin[m])/(hMax[m]-hMin[m]))*100.0; vn=MathMax(0,MathMin(100,vn)); }
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string row = StringFormat("%-6s %-12.*f %-4s %-+8.*f %-5.0f%% %-+7.*f",
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pN[m],_Digits,mv[m],
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(dist>0)?"SU":"GIU",
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_Digits,dist,vn,_Digits,vel[m]);
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Lbl("R"+(string)m,row,x,y,FontSize,(dist>0)?clrLimeGreen:clrRed,false);
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y+=lh;
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}
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Lbl("S2","------------------------------",x,y,FontSize-1,clrGold,false);
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y+=lh;
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//--- Score
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int sc = (int)BSc[0];
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string sS = StringFormat("SCORE: %+d/8",sc);
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string sD = " [LATERALE]";
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if(sc>=5) sD=" [IPERCOMPRATO]";
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else if(sc<=-5) sD=" [IPERVENDUTO]";
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else if(sc>=2) sD=" [RIALZO]";
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else if(sc<=-2) sD=" [RIBASSO]";
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Lbl("Sc",sS+sD,x,y,FontSize+1,(sc>=2)?clrLimeGreen:(sc<=-2)?clrRed:clrGray,true);
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y+=lh+2;
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//--- Acceleration (threshold based on _Point)
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double acc = BAc[0];
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double accThresh = _Point * 10.0;
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string aS = StringFormat("ACCEL: %+.*f",_Digits+1,acc);
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string aD = " [STABILE/FRENATA]";
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if(acc>accThresh) aD=" [ACCELERAZIONE +]";
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else if(acc<-accThresh) aD=" [ACCELERAZIONE -]";
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Lbl("Ac",aS+aD,x,y,FontSize+1,(acc>accThresh)?clrLimeGreen:(acc<-accThresh)?clrRed:clrGray,true);
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y+=lh;
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//--- Average volatility
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double vAvg=0; int vCnt=0;
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for(int m=0;m<8;m++)
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{
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if(mv[m]>0 && hMax[m]>hMin[m] && hMax[m]>0)
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{
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double ad=MathAbs(bid-mv[m]);
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double vn=((ad-hMin[m])/(hMax[m]-hMin[m]))*100.0;
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vAvg+=MathMax(0,MathMin(100,vn)); vCnt++;
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}
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}
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if(vCnt>0) vAvg/=vCnt;
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string vS = StringFormat("VOL: %.0f%%",vAvg);
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string vD = " [NORMALE]";
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if(vAvg>70) vD=" [ALTA - breakout in corso]";
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else if(vAvg<40) vD=" [BASSA - compressione]";
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Lbl("Vo",vS+vD,x,y,FontSize+1,(vAvg>70)?clrRed:(vAvg>40)?clrYellow:clrLimeGreen,true);
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y+=lh+2;
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Lbl("TPSL","TP: +"+string(TP_Points)+" pt ("+DTS(bid+TP_Points*_Point,_Digits)+
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") | SL: -"+string(SL_Points)+" pt ("+DTS(bid-SL_Points*_Point,_Digits)+")",
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x,y,FontSize,clrGray,false);
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y+=lh+6;
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//--- TP/SL lines on chart
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if(ShowTPSL)
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{
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string tpName = _pfx+"TPLINE";
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string slName = _pfx+"SLLINE";
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double tpPrice = bid + TP_Points * _Point;
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double slPrice = bid - SL_Points * _Point;
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if(ObjectFind(0,tpName)<0) ObjectCreate(0,tpName,OBJ_HLINE,0,0,0);
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if(ObjectFind(0,slName)<0) ObjectCreate(0,slName,OBJ_HLINE,0,0,0);
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ObjectSetDouble(0,tpName,OBJPROP_PRICE,tpPrice);
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ObjectSetDouble(0,slName,OBJPROP_PRICE,slPrice);
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ObjectSetInteger(0,tpName,OBJPROP_COLOR,clrLimeGreen);
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ObjectSetInteger(0,slName,OBJPROP_COLOR,clrRed);
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ObjectSetInteger(0,tpName,OBJPROP_WIDTH,1);
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ObjectSetInteger(0,slName,OBJPROP_WIDTH,1);
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ObjectSetInteger(0,tpName,OBJPROP_STYLE,STYLE_DASHDOT);
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ObjectSetInteger(0,slName,OBJPROP_STYLE,STYLE_DASHDOT);
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ObjectSetString(0,tpName,OBJPROP_TEXT,"TP +"+string(TP_Points)+" ("+DTS(tpPrice,_Digits)+")");
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ObjectSetString(0,slName,OBJPROP_TEXT,"SL -"+string(SL_Points)+" ("+DTS(slPrice,_Digits)+")");
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ObjectSetInteger(0,tpName,OBJPROP_BACK,true);
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ObjectSetInteger(0,slName,OBJPROP_BACK,true);
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ObjectSetInteger(0,tpName,OBJPROP_SELECTABLE,false);
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ObjectSetInteger(0,slName,OBJPROP_SELECTABLE,false);
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}
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else
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{
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if(ObjectFind(0,_pfx+"TPLINE")>=0) ObjectDelete(0,_pfx+"TPLINE");
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if(ObjectFind(0,_pfx+"SLLINE")>=0) ObjectDelete(0,_pfx+"SLLINE");
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}
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Lbl("L0","LEGENDA:",x,y,FontSize,clrGold,true);
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y+=lh;
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Lbl("L1","SU/GIU = prezzo sopra/sotto media | Vol% = 0(min)-100(max) rolling "+string(WINDOW),x,y,FontSize-1,clrWhite,false);
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y+=lh-2;
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Lbl("L2","Score +8=tutto rialzo -8=tutto ribasso ~0=laterale",x,y,FontSize-1,clrWhite,false);
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y+=lh-2;
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Lbl("L3","Accel +=forza in aumento -=forza in calo ~0=stabile/frenata",x,y,FontSize-1,clrWhite,false);
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y+=lh-2;
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Lbl("L4","Vol>70%=esplosione Vol<40%=compressione (molla)",x,y,FontSize-1,clrWhite,false);
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}
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//+------------------------------------------------------------------+
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void Lbl(string n,string t,int x,int y,int fs,color c,bool b)
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{
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string o=_pfx+n;
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if(ObjectFind(0,o)<0) ObjectCreate(0,o,OBJ_LABEL,0,0,0);
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ObjectSetInteger(0,o,OBJPROP_XDISTANCE,x);
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ObjectSetInteger(0,o,OBJPROP_YDISTANCE,y);
|
||||
ObjectSetInteger(0,o,OBJPROP_CORNER,CORNER_LEFT_UPPER);
|
||||
ObjectSetString(0,o,OBJPROP_TEXT,t);
|
||||
ObjectSetString(0,o,OBJPROP_FONT,b?"Lucida Console Bold":"Lucida Console");
|
||||
ObjectSetInteger(0,o,OBJPROP_FONTSIZE,fs);
|
||||
ObjectSetInteger(0,o,OBJPROP_COLOR,c);
|
||||
ObjectSetInteger(0,o,OBJPROP_BACK,false);
|
||||
ObjectSetInteger(0,o,OBJPROP_SELECTABLE,false);
|
||||
ObjectSetInteger(0,o,OBJPROP_HIDDEN,true);
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
string DTS(double v,int d) { return DoubleToString(v,d); }
|
||||
//+------------------------------------------------------------------+
|
||||
@@ -0,0 +1,208 @@
|
||||
//+------------------------------------------------------------------+
|
||||
//| PaPP_Trading_EA.mq5 |
|
||||
//| PaPP Trading |
|
||||
//+------------------------------------------------------------------+
|
||||
#include <Trade/Trade.mqh>
|
||||
//+------------------------------------------------------------------+
|
||||
#property copyright "PaPP Trading"
|
||||
#property version "1.03"
|
||||
#property description "PaPP Trading EA - Mean Reversion su Score multi-TF"
|
||||
#property description "Compra quando Score <= BuyThresh (sotto media = ipervenduto)"
|
||||
#property description "Vende quando Score >= SellThresh (sopra media = ipercomprato)"
|
||||
|
||||
input double LotSize = 0.01;
|
||||
input int TP_Points = 100;
|
||||
input int SL_Points = 10000; // ~1000 pips, safety net largo
|
||||
input int BuyThresh = -3;
|
||||
input int SellThresh = 3;
|
||||
input bool UseAccel = false;
|
||||
input bool DebugPrint = true;
|
||||
input int MinValidMAs = 4;
|
||||
input int Magic = 2024001;
|
||||
input int Slippage = 30;
|
||||
|
||||
int hMA[8];
|
||||
int bars[8];
|
||||
string pN[8] = {"1Y","6M","4M","1M","2W","1W","3G","1G"};
|
||||
datetime lastBar = 0;
|
||||
ulong myTicket = 0;
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
int TimeToBars(int days)
|
||||
{
|
||||
datetime now = TimeCurrent();
|
||||
if(now==0)
|
||||
{
|
||||
long s = (long)days*86400L;
|
||||
long p = PeriodSeconds((ENUM_TIMEFRAMES)_Period);
|
||||
return (int)MathMax(1,s/p);
|
||||
}
|
||||
datetime then = now - days*86400;
|
||||
int cnt = Bars(_Symbol,_Period,then,now);
|
||||
return MathMax(1,cnt);
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
int OnInit()
|
||||
{
|
||||
int days[8] = {365,182,121,30,14,7,3,1};
|
||||
for(int i=0;i<8;i++)
|
||||
{
|
||||
bars[i] = (i<7) ? TimeToBars(days[i]) : 1;
|
||||
hMA[i] = iMA(_Symbol,_Period,bars[i],0,MODE_SMA,PRICE_CLOSE);
|
||||
if(hMA[i]==INVALID_HANDLE) return INIT_FAILED;
|
||||
}
|
||||
myTicket = 0;
|
||||
Print("=== PaPP v1.03 INIT ===");
|
||||
for(int i=0;i<8;i++) Print(" MA[",i,"] ",pN[i]," bars=",bars[i]);
|
||||
return INIT_SUCCEEDED;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
void OnDeinit(const int reason)
|
||||
{
|
||||
for(int i=0;i<8;i++)
|
||||
if(hMA[i]!=INVALID_HANDLE) IndicatorRelease(hMA[i]);
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
double GetMA(int idx,int m)
|
||||
{
|
||||
double buf[1];
|
||||
// idx=0 -> last COMPLETED bar (start_pos=1)
|
||||
// idx=1 -> second-to-last (start_pos=2)
|
||||
if(CopyBuffer(hMA[m],0,idx+1,1,buf)==1) return buf[0];
|
||||
return 0;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
void OnTick()
|
||||
{
|
||||
datetime curBar = iTime(_Symbol,_Period,0);
|
||||
if(curBar==lastBar) return;
|
||||
lastBar = curBar;
|
||||
|
||||
double close0 = iClose(_Symbol,_Period,0);
|
||||
if(close0<=0) return;
|
||||
|
||||
double mv[8], vel[8];
|
||||
int validMAs=0;
|
||||
for(int m=0;m<8;m++)
|
||||
{
|
||||
mv[m] = GetMA(0,m);
|
||||
if(mv[m]>0) validMAs++;
|
||||
double prv = GetMA(1,m);
|
||||
if(prv<=0) prv=mv[m];
|
||||
vel[m] = mv[m] - prv;
|
||||
}
|
||||
|
||||
if(DebugPrint)
|
||||
{
|
||||
Print("--- ",TimeToString(curBar)," Close=",DoubleToString(close0,_Digits)," Valid=",validMAs);
|
||||
for(int m=0;m<8;m++)
|
||||
if(mv[m]>0)
|
||||
Print(" ",pN[m],"=",DoubleToString(mv[m],_Digits),
|
||||
" diff=",DoubleToString(close0-mv[m],_Digits),
|
||||
" vel=",DoubleToString(vel[m],6));
|
||||
}
|
||||
|
||||
if(validMAs < MinValidMAs) return;
|
||||
|
||||
//--- Score (-validMAs .. +validMAs)
|
||||
int score = 0;
|
||||
for(int m=0;m<8;m++)
|
||||
if(mv[m]>0) score += (close0>mv[m]) ? 1 : -1;
|
||||
|
||||
//--- Acceleration
|
||||
double accel=0;
|
||||
int ac=0;
|
||||
for(int m=0;m<7;m++)
|
||||
{
|
||||
if(mv[m]>0 && mv[m+1]>0) { accel+=(vel[m]-vel[m+1]); ac++; }
|
||||
}
|
||||
if(ac>0) accel/=ac;
|
||||
|
||||
double point = SymbolInfoDouble(_Symbol,SYMBOL_POINT);
|
||||
|
||||
if(DebugPrint) Print("Score:",score," Entry:",BuyThresh,"/",SellThresh," Accel:",DoubleToString(accel,6));
|
||||
|
||||
//--- Position check
|
||||
bool hasPos = PositionSelectByTicket(myTicket);
|
||||
if(!hasPos) myTicket = 0;
|
||||
|
||||
//--- Exit
|
||||
if(hasPos)
|
||||
{
|
||||
bool isBuy = (PositionGetInteger(POSITION_TYPE)==POSITION_TYPE_BUY);
|
||||
bool shouldClose = false;
|
||||
if(isBuy && score >= SellThresh) shouldClose = true;
|
||||
if(!isBuy && score <= BuyThresh) shouldClose = true;
|
||||
if(!shouldClose && score>=-1 && score<=1) shouldClose = true;
|
||||
if(shouldClose)
|
||||
{
|
||||
if(DebugPrint) Print(">>> CLOSE ",isBuy?"BUY":"SELL"," score=",score);
|
||||
CTrade trade;
|
||||
trade.PositionClose(myTicket,Slippage);
|
||||
myTicket = 0;
|
||||
}
|
||||
return;
|
||||
}
|
||||
|
||||
//--- BUY
|
||||
if(score <= BuyThresh)
|
||||
{
|
||||
if(!UseAccel || accel > -point*10)
|
||||
{
|
||||
if(DebugPrint) Print(">>> BUY score=",score);
|
||||
double tp = close0 + TP_Points*point;
|
||||
double sl = close0 - SL_Points*point;
|
||||
if(sl<0) sl = point;
|
||||
MqlTradeRequest req={};
|
||||
MqlTradeResult res={};
|
||||
req.action = TRADE_ACTION_DEAL;
|
||||
req.symbol = _Symbol;
|
||||
req.volume = LotSize;
|
||||
req.type = ORDER_TYPE_BUY;
|
||||
req.price = SymbolInfoDouble(_Symbol,SYMBOL_ASK);
|
||||
req.tp = tp;
|
||||
req.sl = sl;
|
||||
req.deviation = Slippage;
|
||||
req.magic = Magic;
|
||||
req.comment = "PaPP B"+IntegerToString(score);
|
||||
if(OrderSend(req,res))
|
||||
{
|
||||
if(res.retcode==TRADE_RETCODE_DONE) myTicket = res.order;
|
||||
else if(DebugPrint) Print("BUY fail: c",res.retcode);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
//--- SELL
|
||||
if(score >= SellThresh)
|
||||
{
|
||||
if(!UseAccel || accel < point*10)
|
||||
{
|
||||
if(DebugPrint) Print(">>> SELL score=",score);
|
||||
double tp = close0 - TP_Points*point;
|
||||
double sl = close0 + SL_Points*point;
|
||||
MqlTradeRequest req={};
|
||||
MqlTradeResult res={};
|
||||
req.action = TRADE_ACTION_DEAL;
|
||||
req.symbol = _Symbol;
|
||||
req.volume = LotSize;
|
||||
req.type = ORDER_TYPE_SELL;
|
||||
req.price = SymbolInfoDouble(_Symbol,SYMBOL_BID);
|
||||
req.tp = tp;
|
||||
req.sl = sl;
|
||||
req.deviation = Slippage;
|
||||
req.magic = Magic;
|
||||
req.comment = "PaPP S"+IntegerToString(score);
|
||||
if(OrderSend(req,res))
|
||||
{
|
||||
if(res.retcode==TRADE_RETCODE_DONE) myTicket = res.order;
|
||||
else if(DebugPrint) Print("SELL fail: c",res.retcode);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
@@ -0,0 +1,146 @@
|
||||
//+------------------------------------------------------------------+
|
||||
//| PaPP_Median.mq5 |
|
||||
//| PaPP v2 |
|
||||
//+------------------------------------------------------------------+
|
||||
#property copyright "PaPP v2"
|
||||
#property version "2.00"
|
||||
#property description "PaPP Median - Media 8 MA (1g-1y)"
|
||||
#property description "Linea singola = fair value multi-TF"
|
||||
#property indicator_chart_window
|
||||
#property indicator_buffers 1
|
||||
#property indicator_plots 1
|
||||
|
||||
input int FontSize = 9;
|
||||
|
||||
double Buff_Median[];
|
||||
|
||||
int hMA[8];
|
||||
int bars[8];
|
||||
string _pfx = "PM_";
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
int TimeToBars(int d)
|
||||
{
|
||||
datetime n = TimeCurrent();
|
||||
if(n==0)
|
||||
{
|
||||
long s = (long)d*86400L, p = PeriodSeconds((ENUM_TIMEFRAMES)_Period);
|
||||
return (int)MathMax(1,s/p);
|
||||
}
|
||||
return MathMax(1,Bars(_Symbol,_Period,n-d*86400,n));
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
int OnInit()
|
||||
{
|
||||
int days[8] = {365,182,121,30,14,7,3,1};
|
||||
for(int i=0;i<8;i++)
|
||||
{
|
||||
bars[i] = (i<7) ? TimeToBars(days[i]) : 1;
|
||||
hMA[i] = iMA(_Symbol,_Period,bars[i],0,MODE_SMA,PRICE_CLOSE);
|
||||
if(hMA[i]==INVALID_HANDLE) return INIT_FAILED;
|
||||
}
|
||||
|
||||
SetIndexBuffer(0,Buff_Median,INDICATOR_DATA);
|
||||
ArraySetAsSeries(Buff_Median,true);
|
||||
|
||||
PlotIndexSetInteger(0,PLOT_DRAW_TYPE,DRAW_LINE);
|
||||
PlotIndexSetInteger(0,PLOT_LINE_COLOR,clrGold);
|
||||
PlotIndexSetInteger(0,PLOT_LINE_WIDTH,2);
|
||||
PlotIndexSetString(0,PLOT_LABEL,"PaPP Median");
|
||||
IndicatorSetString(INDICATOR_SHORTNAME,"PaPP Median");
|
||||
return INIT_SUCCEEDED;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
void OnDeinit(const int reason)
|
||||
{
|
||||
for(int i=0;i<8;i++) if(hMA[i]!=INVALID_HANDLE) IndicatorRelease(hMA[i]);
|
||||
ObjectsDeleteAll(0,_pfx);
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
double GetMA(int idx,int m)
|
||||
{
|
||||
double buf[1];
|
||||
if(CopyBuffer(hMA[m],0,idx+1,1,buf)==1) return buf[0];
|
||||
return 0;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
int OnCalculate(const int rates_total,
|
||||
const int prev_calculated,
|
||||
const datetime &time[],
|
||||
const double &open[],
|
||||
const double &high[],
|
||||
const double &low[],
|
||||
const double &close[],
|
||||
const long &tick_volume[],
|
||||
const long &volume[],
|
||||
const int &spread[])
|
||||
{
|
||||
if(rates_total<2) return 0;
|
||||
ArraySetAsSeries(close,true);
|
||||
|
||||
int limit = rates_total - prev_calculated;
|
||||
if(limit>1) limit=rates_total-1;
|
||||
|
||||
for(int idx=limit;idx>=0;idx--)
|
||||
{
|
||||
double sum=0; int cnt=0;
|
||||
for(int m=0;m<8;m++)
|
||||
{
|
||||
double v = GetMA(idx,m);
|
||||
if(v>0) { sum+=v; cnt++; }
|
||||
}
|
||||
Buff_Median[idx]=(cnt>0) ? sum/cnt : 0;
|
||||
}
|
||||
|
||||
DrawInfo();
|
||||
return rates_total;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
void DrawInfo()
|
||||
{
|
||||
double bid = SymbolInfoDouble(_Symbol,SYMBOL_BID);
|
||||
double median = Buff_Median[0];
|
||||
if(median<=0) return;
|
||||
|
||||
int x=10,y=30,lh=FontSize+4;
|
||||
ObjectsDeleteAll(0,_pfx);
|
||||
|
||||
Lbl("T","PaPP Median ["+EnumToString((ENUM_TIMEFRAMES)_Period)+"]",x,y,FontSize+2,clrGold,true);
|
||||
y+=lh+4;
|
||||
|
||||
double distPct = (bid-median)/median*100;
|
||||
string distS = StringFormat("%+.2f%%",distPct);
|
||||
color distC = (distPct>0)?clrRed:clrLimeGreen;
|
||||
Lbl("M","Median: "+DoubleToString(median,_Digits),x,y,FontSize,clrWhite,false); y+=lh;
|
||||
Lbl("D","Dist: "+distS,x,y,FontSize,distC,true); y+=lh+2;
|
||||
|
||||
//--- Dispersione MA e bande (info)
|
||||
double ds=0; int dc=0;
|
||||
for(int m=0;m<8;m++) { double v=GetMA(0,m); if(v>0) { ds+=MathAbs(v-median)/median*100; dc++; } }
|
||||
double vol = (dc>0)?ds/dc:0;
|
||||
Lbl("V","Cluster +/-"+DoubleToString(vol,3)+"%",x,y,FontSize,clrGray,false); y+=lh;
|
||||
Lbl("H","Sopra=SELL | Sotto=BUY",x,y,FontSize-1,clrGray,false);
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
void Lbl(string n,string t,int x,int y,int fs,color c,bool b)
|
||||
{
|
||||
string o=_pfx+n;
|
||||
if(ObjectFind(0,o)<0) ObjectCreate(0,o,OBJ_LABEL,0,0,0);
|
||||
ObjectSetInteger(0,o,OBJPROP_XDISTANCE,x);
|
||||
ObjectSetInteger(0,o,OBJPROP_YDISTANCE,y);
|
||||
ObjectSetInteger(0,o,OBJPROP_CORNER,CORNER_LEFT_UPPER);
|
||||
ObjectSetString(0,o,OBJPROP_TEXT,t);
|
||||
ObjectSetString(0,o,OBJPROP_FONT,b?"Lucida Console Bold":"Lucida Console");
|
||||
ObjectSetInteger(0,o,OBJPROP_FONTSIZE,fs);
|
||||
ObjectSetInteger(0,o,OBJPROP_COLOR,c);
|
||||
ObjectSetInteger(0,o,OBJPROP_BACK,false);
|
||||
ObjectSetInteger(0,o,OBJPROP_SELECTABLE,false);
|
||||
ObjectSetInteger(0,o,OBJPROP_HIDDEN,true);
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
@@ -0,0 +1,234 @@
|
||||
//+------------------------------------------------------------------+
|
||||
//| PaPP_Median_EA.mq5 |
|
||||
//| PaPP v2 |
|
||||
//+------------------------------------------------------------------+
|
||||
#include <Trade/Trade.mqh>
|
||||
//+------------------------------------------------------------------+
|
||||
#property copyright "PaPP v2"
|
||||
#property version "2.00"
|
||||
#property description "PaPP Median EA - Mean Reversion puro"
|
||||
#property description "Linea mediana (media 8 MA 1g-1y) = unico segnale"
|
||||
#property description "Sopra = SELL | Sotto = BUY"
|
||||
|
||||
input double LotSize = 0.01;
|
||||
input int TrailStart = 0;
|
||||
input int TrailStep = 0;
|
||||
input int MaxPosPerSide = 3;
|
||||
input bool DebugPrint = true;
|
||||
input int Magic = 2024002;
|
||||
input int Slippage = 30;
|
||||
|
||||
int hMA[8];
|
||||
int bars[8];
|
||||
datetime lastBar = 0;
|
||||
bool buyFired = false;
|
||||
bool sellFired = false;
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
int TimeToBars(int d)
|
||||
{
|
||||
datetime n = TimeCurrent();
|
||||
if(n==0)
|
||||
{
|
||||
long s = (long)d*86400L, p = PeriodSeconds((ENUM_TIMEFRAMES)_Period);
|
||||
return (int)MathMax(1,s/p);
|
||||
}
|
||||
return MathMax(1,Bars(_Symbol,_Period,n-d*86400,n));
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
int OnInit()
|
||||
{
|
||||
int days[8] = {365,182,121,30,14,7,3,1};
|
||||
for(int i=0;i<8;i++)
|
||||
{
|
||||
bars[i] = (i<7) ? TimeToBars(days[i]) : 1;
|
||||
hMA[i] = iMA(_Symbol,_Period,bars[i],0,MODE_SMA,PRICE_CLOSE);
|
||||
if(hMA[i]==INVALID_HANDLE) return INIT_FAILED;
|
||||
}
|
||||
if(DebugPrint) Print("=== PaPP Median EA v2.00 INIT ===");
|
||||
Print(" Lot=",LotSize," Trail=",TrailStart,"/",TrailStep," MaxPos=",MaxPosPerSide);
|
||||
for(int i=0;i<8;i++) Print(" MA[",i,"] bars=",bars[i]);
|
||||
return INIT_SUCCEEDED;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
void OnDeinit(const int reason)
|
||||
{
|
||||
for(int i=0;i<8;i++) if(hMA[i]!=INVALID_HANDLE) IndicatorRelease(hMA[i]);
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
double GetMA(int idx,int m)
|
||||
{
|
||||
double buf[1];
|
||||
if(CopyBuffer(hMA[m],0,idx+1,1,buf)==1) return buf[0];
|
||||
return 0;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
int CountPos(int type)
|
||||
{
|
||||
int n=0;
|
||||
for(int i=PositionsTotal()-1; i>=0; i--)
|
||||
{
|
||||
ulong t=PositionGetTicket(i);
|
||||
if(t>0 && PositionSelectByTicket(t))
|
||||
if(PositionGetInteger(POSITION_MAGIC)==Magic && PositionGetString(POSITION_SYMBOL)==_Symbol)
|
||||
if(PositionGetInteger(POSITION_TYPE)==type) n++;
|
||||
}
|
||||
return n;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
void TrailAll()
|
||||
{
|
||||
if(TrailStart<=0 || TrailStep<=0) return;
|
||||
double point = SymbolInfoDouble(_Symbol,SYMBOL_POINT);
|
||||
double bid = SymbolInfoDouble(_Symbol,SYMBOL_BID);
|
||||
double ask = SymbolInfoDouble(_Symbol,SYMBOL_ASK);
|
||||
CTrade trade;
|
||||
for(int i=PositionsTotal()-1; i>=0; i--)
|
||||
{
|
||||
ulong t=PositionGetTicket(i);
|
||||
if(t<=0 || !PositionSelectByTicket(t)) continue;
|
||||
if(PositionGetInteger(POSITION_MAGIC)!=Magic || PositionGetString(POSITION_SYMBOL)!=_Symbol) continue;
|
||||
|
||||
bool isBuy = (PositionGetInteger(POSITION_TYPE)==POSITION_TYPE_BUY);
|
||||
double entry = PositionGetDouble(POSITION_PRICE_OPEN);
|
||||
double currSL = PositionGetDouble(POSITION_SL);
|
||||
double currTP = PositionGetDouble(POSITION_TP);
|
||||
double newSL=0;
|
||||
|
||||
if(isBuy && bid >= entry+TrailStart*point)
|
||||
{
|
||||
newSL = bid - TrailStep*point;
|
||||
if(newSL > currSL+point && trade.PositionModify(t,newSL,currTP))
|
||||
if(DebugPrint) Print(">>> TRAIL BUY t",t," SL->",DoubleToString(newSL,_Digits));
|
||||
}
|
||||
if(!isBuy && ask <= entry-TrailStart*point)
|
||||
{
|
||||
newSL = ask + TrailStep*point;
|
||||
if(currSL==0 || newSL < currSL-point)
|
||||
{
|
||||
if(trade.PositionModify(t,newSL,currTP))
|
||||
if(DebugPrint) Print(">>> TRAIL SELL t",t," SL->",DoubleToString(newSL,_Digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
void OnTick()
|
||||
{
|
||||
TrailAll();
|
||||
|
||||
datetime curBar = iTime(_Symbol,_Period,0);
|
||||
if(curBar==lastBar) return;
|
||||
lastBar = curBar;
|
||||
|
||||
double ask = SymbolInfoDouble(_Symbol,SYMBOL_ASK);
|
||||
double bid = SymbolInfoDouble(_Symbol,SYMBOL_BID);
|
||||
double point = SymbolInfoDouble(_Symbol,SYMBOL_POINT);
|
||||
|
||||
//--- Leggi le 8 MA e calcola mediana
|
||||
double mv[8]; int valid=0; double sum=0;
|
||||
for(int m=0;m<8;m++) { mv[m]=GetMA(0,m); if(mv[m]>0) { sum+=mv[m]; valid++; } }
|
||||
if(valid==0 || sum<=0) { if(DebugPrint) Print("SKIP: valid=",valid); return; }
|
||||
|
||||
double median = sum/valid;
|
||||
|
||||
//--- Dispersione MA = banda strutturale del cluster
|
||||
int dc=0; double ds=0;
|
||||
for(int m=0;m<8;m++)
|
||||
if(mv[m]>0) { ds+=MathAbs(mv[m]-median)/median*100; dc++; }
|
||||
double vol = (dc>0) ? ds/dc : 0;
|
||||
|
||||
double sellBand = median*(1+vol/100);
|
||||
double buyBand = median*(1-vol/100);
|
||||
double distPct = (bid-median)/median*100;
|
||||
|
||||
int nBuy = CountPos(POSITION_TYPE_BUY);
|
||||
int nSell = CountPos(POSITION_TYPE_SELL);
|
||||
|
||||
//--- Reset escursion flags quando price rientra nel cluster
|
||||
if(bid>=buyBand && bid<=sellBand) { buyFired=false; sellFired=false; }
|
||||
|
||||
//--- LOG
|
||||
if(DebugPrint)
|
||||
{
|
||||
Print("");
|
||||
Print("=== BAR: ",TimeToString(curBar)," ===");
|
||||
Print("Bid=",DoubleToString(bid,_Digits)," Median=",DoubleToString(median,_Digits));
|
||||
Print("Dist=",DoubleToString(distPct,3),"% DispMA=",DoubleToString(vol,4),"%");
|
||||
Print("Band: [",DoubleToString(buyBand,_Digits)," <- ",DoubleToString(sellBand,_Digits)," ] Pos: ",nBuy,"B ",nSell,"S");
|
||||
for(int m=0;m<8;m++)
|
||||
if(mv[m]>0)
|
||||
Print(" MA",m,"=",DoubleToString(mv[m],_Digits),
|
||||
" diff=",DoubleToString(bid-mv[m],_Digits));
|
||||
Print("---");
|
||||
}
|
||||
|
||||
//--- Entry: fuori dal cluster, TP=mediana, SL simmetrico
|
||||
if(bid < buyBand && !buyFired && nBuy < MaxPosPerSide)
|
||||
{
|
||||
double entry = ask;
|
||||
double tpDist = MathAbs(median-entry);
|
||||
double sl = NormalizeDouble(entry-tpDist,_Digits);
|
||||
double tp = NormalizeDouble(median,_Digits);
|
||||
if(sl>=point)
|
||||
{
|
||||
if(DebugPrint) Print(">>> BUY: bid=",DoubleToString(bid,_Digits),
|
||||
" < buyBand=",DoubleToString(buyBand,_Digits),
|
||||
" TP=",DoubleToString(tp,_Digits)," SL=",DoubleToString(sl,_Digits),
|
||||
" (",DoubleToString(tpDist/point,0),"pts)");
|
||||
MqlTradeRequest req={}; MqlTradeResult res={};
|
||||
req.action = TRADE_ACTION_DEAL; req.symbol = _Symbol;
|
||||
req.volume = LotSize; req.type = ORDER_TYPE_BUY; req.price = entry;
|
||||
req.sl = sl; req.tp = tp; req.deviation = Slippage; req.magic = Magic;
|
||||
req.comment = "Pv2B "+DoubleToString(distPct,1)+"%";
|
||||
if(OrderSend(req,res) && res.retcode==TRADE_RETCODE_DONE)
|
||||
{ if(DebugPrint) Print(">>> BUY OPENED t",res.order); buyFired=true; }
|
||||
else if(DebugPrint) Print("BUY fail: c",res.retcode);
|
||||
}
|
||||
else if(DebugPrint) Print("BUY SKIP: tpDist too small (",DoubleToString(tpDist/point,0),"pts)");
|
||||
}
|
||||
|
||||
if(bid > sellBand && !sellFired && nSell < MaxPosPerSide)
|
||||
{
|
||||
double entry = bid;
|
||||
double tpDist = MathAbs(entry-median);
|
||||
double sl = NormalizeDouble(entry+tpDist,_Digits);
|
||||
double tp = NormalizeDouble(median,_Digits);
|
||||
if(tpDist>=point)
|
||||
{
|
||||
if(DebugPrint) Print(">>> SELL: bid=",DoubleToString(bid,_Digits),
|
||||
" > sellBand=",DoubleToString(sellBand,_Digits),
|
||||
" TP=",DoubleToString(tp,_Digits)," SL=",DoubleToString(sl,_Digits),
|
||||
" (",DoubleToString(tpDist/point,0),"pts)");
|
||||
MqlTradeRequest req={}; MqlTradeResult res={};
|
||||
req.action = TRADE_ACTION_DEAL; req.symbol = _Symbol;
|
||||
req.volume = LotSize; req.type = ORDER_TYPE_SELL; req.price = entry;
|
||||
req.sl = sl; req.tp = tp; req.deviation = Slippage; req.magic = Magic;
|
||||
req.comment = "Pv2S "+DoubleToString(distPct,1)+"%";
|
||||
if(OrderSend(req,res) && res.retcode==TRADE_RETCODE_DONE)
|
||||
{ if(DebugPrint) Print(">>> SELL OPENED t",res.order); sellFired=true; }
|
||||
else if(DebugPrint) Print("SELL fail: c",res.retcode);
|
||||
}
|
||||
else if(DebugPrint) Print("SELL SKIP: tpDist too small (",DoubleToString(tpDist/point,0),"pts)");
|
||||
}
|
||||
|
||||
if(DebugPrint)
|
||||
{
|
||||
if(bid>=buyBand && bid<=sellBand)
|
||||
Print("NO ENTRY: inside cluster [",DoubleToString(buyBand,_Digits),
|
||||
" - ",DoubleToString(sellBand,_Digits),"]");
|
||||
else if(bid<buyBand && nBuy>=MaxPosPerSide)
|
||||
Print("BUY BLOCKED: max pos (",nBuy,"/",MaxPosPerSide,") bid=",DoubleToString(bid,_Digits),
|
||||
" < buyBand=",DoubleToString(buyBand,_Digits));
|
||||
else if(bid>sellBand && nSell>=MaxPosPerSide)
|
||||
Print("SELL BLOCKED: max pos (",nSell,"/",MaxPosPerSide,") bid=",DoubleToString(bid,_Digits),
|
||||
" > sellBand=",DoubleToString(sellBand,_Digits));
|
||||
}
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
Reference in New Issue
Block a user