mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-07-27 20:47:44 +00:00
new files added
This commit is contained in:
Toh4iem9
@@ -0,0 +1,320 @@
|
||||
//+------------------------------------------------------------------+
|
||||
//| ATR_TrailingStop_MTF.mq5 |
|
||||
//| Copyright 2025, xxxxxxxx |
|
||||
//| |
|
||||
//+------------------------------------------------------------------+
|
||||
#property copyright "Copyright 2025, xxxxxxxx"
|
||||
#property link ""
|
||||
#property version "1.00"
|
||||
#property description "Multi-Timeframe ATR Trailing Stop (Chandelier Exit)"
|
||||
|
||||
//--- Indicator Window and Plot Properties ---
|
||||
#property indicator_chart_window
|
||||
#property indicator_buffers 2 // Main line and color buffer
|
||||
#property indicator_plots 1
|
||||
|
||||
//--- Plot 1: ATR Trailing Stop line
|
||||
#property indicator_label1 "ATR Trailing Stop"
|
||||
#property indicator_type1 DRAW_COLOR_LINE
|
||||
#property indicator_color1 clrDodgerBlue, clrTomato
|
||||
#property indicator_style1 STYLE_SOLID
|
||||
#property indicator_width1 2
|
||||
|
||||
//--- Input Parameters ---
|
||||
input ENUM_TIMEFRAMES InpUpperTimeframe = PERIOD_H1; // Timeframe for calculation
|
||||
input int InpAtrPeriod = 22; // ATR Period
|
||||
input double InpMultiplier = 3.0; // ATR Multiplier
|
||||
|
||||
//--- Indicator Buffers ---
|
||||
double BufferStopLine[];
|
||||
double BufferColor[];
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| CLASS: CATR_TrailingStop_Calculator |
|
||||
//| Encapsulates the entire MTF ATR Trailing Stop calculation logic. |
|
||||
//+------------------------------------------------------------------+
|
||||
class CATR_TrailingStop_Calculator
|
||||
{
|
||||
private:
|
||||
string m_symbol;
|
||||
ENUM_TIMEFRAMES m_timeframe;
|
||||
int m_atr_period;
|
||||
double m_multiplier;
|
||||
|
||||
//--- Helper functions for finding highest/lowest values
|
||||
double Highest(const double &array[], int period, int current_pos);
|
||||
double Lowest(const double &array[], int period, int current_pos);
|
||||
|
||||
public:
|
||||
CATR_TrailingStop_Calculator(string symbol, ENUM_TIMEFRAMES timeframe, int period, double multiplier);
|
||||
~CATR_TrailingStop_Calculator(void) {};
|
||||
|
||||
//--- The main calculation method
|
||||
bool Calculate(double &stop_line_out[], double &color_out[]);
|
||||
};
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| CATR_TrailingStop_Calculator: Constructor |
|
||||
//+------------------------------------------------------------------+
|
||||
CATR_TrailingStop_Calculator::CATR_TrailingStop_Calculator(string symbol, ENUM_TIMEFRAMES timeframe, int period, double multiplier) :
|
||||
m_symbol(symbol), m_timeframe(timeframe), m_atr_period(period), m_multiplier(multiplier)
|
||||
{
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| CATR_TrailingStop_Calculator: Main Calculation Logic |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CATR_TrailingStop_Calculator::Calculate(double &stop_line_out[], double &color_out[])
|
||||
{
|
||||
//--- Step 0: Fetch all required data from the higher timeframe
|
||||
int htf_rates_total = Bars(m_symbol, m_timeframe);
|
||||
if(htf_rates_total <= m_atr_period)
|
||||
{
|
||||
Print("Not enough bars on ", EnumToString(m_timeframe));
|
||||
return false;
|
||||
}
|
||||
|
||||
double htf_high[], htf_low[], htf_close[];
|
||||
if(CopyHigh(m_symbol, m_timeframe, 0, htf_rates_total, htf_high) <= 0 ||
|
||||
CopyLow(m_symbol, m_timeframe, 0, htf_rates_total, htf_low) <= 0 ||
|
||||
CopyClose(m_symbol, m_timeframe, 0, htf_rates_total, htf_close) <= 0)
|
||||
{
|
||||
Print("Error copying history data for ", EnumToString(m_timeframe));
|
||||
return false;
|
||||
}
|
||||
|
||||
//--- Ensure non-timeseries arrays for stable calculation
|
||||
ArraySetAsSeries(htf_high, false);
|
||||
ArraySetAsSeries(htf_low, false);
|
||||
ArraySetAsSeries(htf_close, false);
|
||||
|
||||
//--- Intermediate buffers for calculation
|
||||
double buffer_atr[], buffer_long_stop[], buffer_short_stop[], buffer_trend[];
|
||||
ArrayResize(buffer_atr, htf_rates_total);
|
||||
ArrayResize(buffer_long_stop, htf_rates_total);
|
||||
ArrayResize(buffer_short_stop, htf_rates_total);
|
||||
ArrayResize(buffer_trend, htf_rates_total);
|
||||
|
||||
//--- Resize output arrays to match the source data size
|
||||
ArrayResize(stop_line_out, htf_rates_total);
|
||||
ArrayResize(color_out, htf_rates_total);
|
||||
|
||||
//--- STEP 1: Calculate True Range on HTF data
|
||||
double tr[];
|
||||
ArrayResize(tr, htf_rates_total);
|
||||
for(int i = 1; i < htf_rates_total; i++)
|
||||
{
|
||||
tr[i] = MathMax(htf_high[i], htf_close[i-1]) - MathMin(htf_low[i], htf_close[i-1]);
|
||||
}
|
||||
|
||||
//--- STEP 2: Calculate ATR (Wilder's Smoothing) on HTF data
|
||||
for(int i = m_atr_period; i < htf_rates_total; i++)
|
||||
{
|
||||
if(i == m_atr_period) // Initialization
|
||||
{
|
||||
double atr_sum = 0;
|
||||
for(int j = 1; j <= m_atr_period; j++)
|
||||
atr_sum += tr[j];
|
||||
buffer_atr[i] = atr_sum / m_atr_period;
|
||||
}
|
||||
else // Recursive calculation
|
||||
{
|
||||
buffer_atr[i] = (buffer_atr[i-1] * (m_atr_period - 1) + tr[i]) / m_atr_period;
|
||||
}
|
||||
}
|
||||
|
||||
//--- STEP 3: Calculate Raw Stop Levels on HTF data
|
||||
for(int i = m_atr_period - 1; i < htf_rates_total; i++)
|
||||
{
|
||||
buffer_long_stop[i] = Highest(htf_high, m_atr_period, i) - m_multiplier * buffer_atr[i];
|
||||
buffer_short_stop[i] = Lowest(htf_low, m_atr_period, i) + m_multiplier * buffer_atr[i];
|
||||
}
|
||||
|
||||
//--- STEP 4: Determine Trend and Final Stop Line on HTF data
|
||||
for(int i = m_atr_period; i < htf_rates_total; i++)
|
||||
{
|
||||
if(i == m_atr_period) // Initialization
|
||||
{
|
||||
buffer_trend[i] = (htf_close[i] > htf_close[i-1]) ? 1 : -1;
|
||||
}
|
||||
else
|
||||
{
|
||||
if(htf_close[i] > buffer_short_stop[i-1])
|
||||
buffer_trend[i] = 1;
|
||||
else
|
||||
if(htf_close[i] < buffer_long_stop[i-1])
|
||||
buffer_trend[i] = -1;
|
||||
else
|
||||
buffer_trend[i] = buffer_trend[i-1];
|
||||
}
|
||||
|
||||
if(buffer_trend[i] == 1)
|
||||
{
|
||||
if(buffer_long_stop[i] > stop_line_out[i-1] || buffer_trend[i-1] == -1)
|
||||
stop_line_out[i] = buffer_long_stop[i];
|
||||
else
|
||||
stop_line_out[i] = stop_line_out[i-1];
|
||||
color_out[i] = 0;
|
||||
}
|
||||
else // Trend is -1
|
||||
{
|
||||
if(buffer_short_stop[i] < stop_line_out[i-1] || stop_line_out[i-1] == 0 || buffer_trend[i-1] == 1)
|
||||
stop_line_out[i] = buffer_short_stop[i];
|
||||
else
|
||||
stop_line_out[i] = stop_line_out[i-1];
|
||||
color_out[i] = 1;
|
||||
}
|
||||
|
||||
if(buffer_trend[i] != buffer_trend[i-1])
|
||||
{
|
||||
if(buffer_trend[i] == 1)
|
||||
stop_line_out[i-1] = buffer_long_stop[i];
|
||||
else
|
||||
stop_line_out[i-1] = buffer_short_stop[i];
|
||||
}
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Finds the highest value in a given period of an array. |
|
||||
//+------------------------------------------------------------------+
|
||||
double CATR_TrailingStop_Calculator::Highest(const double &array[], int period, int current_pos)
|
||||
{
|
||||
double res = array[current_pos];
|
||||
for(int i = 1; i < period; i++)
|
||||
{
|
||||
if(current_pos - i < 0)
|
||||
break;
|
||||
if(res < array[current_pos - i])
|
||||
res = array[current_pos - i];
|
||||
}
|
||||
return(res);
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Finds the lowest value in a given period of an array. |
|
||||
//+------------------------------------------------------------------+
|
||||
double CATR_TrailingStop_Calculator::Lowest(const double &array[], int period, int current_pos)
|
||||
{
|
||||
double res = array[current_pos];
|
||||
for(int i = 1; i < period; i++)
|
||||
{
|
||||
if(current_pos - i < 0)
|
||||
break;
|
||||
if(res > array[current_pos - i])
|
||||
res = array[current_pos - i];
|
||||
}
|
||||
return(res);
|
||||
}
|
||||
|
||||
//--- Global calculator object ---
|
||||
CATR_TrailingStop_Calculator *g_calculator;
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Custom indicator initialization function. |
|
||||
//+------------------------------------------------------------------+
|
||||
int OnInit()
|
||||
{
|
||||
SetIndexBuffer(0, BufferStopLine, INDICATOR_DATA);
|
||||
SetIndexBuffer(1, BufferColor, INDICATOR_COLOR_INDEX);
|
||||
|
||||
ArraySetAsSeries(BufferStopLine, false);
|
||||
ArraySetAsSeries(BufferColor, false);
|
||||
|
||||
ENUM_TIMEFRAMES calc_tf = (InpUpperTimeframe == PERIOD_CURRENT) ? (ENUM_TIMEFRAMES)Period() : InpUpperTimeframe;
|
||||
int atr_period = (InpAtrPeriod < 1) ? 1 : InpAtrPeriod;
|
||||
double multiplier = (InpMultiplier <= 0) ? 3.0 : InpMultiplier;
|
||||
|
||||
g_calculator = new CATR_TrailingStop_Calculator(_Symbol, calc_tf, atr_period, multiplier);
|
||||
if(CheckPointer(g_calculator) == POINTER_INVALID)
|
||||
{
|
||||
Print("Error creating calculator object");
|
||||
return(INIT_FAILED);
|
||||
}
|
||||
|
||||
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
|
||||
PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, atr_period);
|
||||
IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("ATR Stop MTF(%s, %d, %.1f)", EnumToString(calc_tf), atr_period, multiplier));
|
||||
|
||||
return(INIT_SUCCEEDED);
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Custom indicator deinitialization function. |
|
||||
//+------------------------------------------------------------------+
|
||||
void OnDeinit(const int reason)
|
||||
{
|
||||
if(CheckPointer(g_calculator) != POINTER_INVALID)
|
||||
delete g_calculator;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| ATR Trailing Stop MTF calculation function. |
|
||||
//+------------------------------------------------------------------+
|
||||
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[])
|
||||
{
|
||||
ENUM_TIMEFRAMES calc_tf = (InpUpperTimeframe == PERIOD_CURRENT) ? (ENUM_TIMEFRAMES)Period() : InpUpperTimeframe;
|
||||
|
||||
//--- Detect new bar on the higher timeframe
|
||||
static datetime last_htf_bar_time = 0;
|
||||
datetime htf_time[];
|
||||
bool new_htf_bar = false;
|
||||
|
||||
if(CopyTime(_Symbol, calc_tf, 0, 1, htf_time) > 0)
|
||||
{
|
||||
if(htf_time[0] > last_htf_bar_time)
|
||||
{
|
||||
last_htf_bar_time = htf_time[0];
|
||||
new_htf_bar = true;
|
||||
}
|
||||
}
|
||||
|
||||
//--- Recalculate everything only on a new HTF bar or the first run
|
||||
if(new_htf_bar || prev_calculated == 0)
|
||||
{
|
||||
if(CheckPointer(g_calculator) == POINTER_INVALID)
|
||||
return 0;
|
||||
|
||||
double htf_stop_line[], htf_color[];
|
||||
if(!g_calculator.Calculate(htf_stop_line, htf_color))
|
||||
return 0;
|
||||
|
||||
//--- Map the HTF data to the current chart's timeline
|
||||
datetime htf_timeline[];
|
||||
int htf_rates_total = ArraySize(htf_stop_line);
|
||||
if(CopyTime(_Symbol, calc_tf, 0, htf_rates_total, htf_timeline) <= 0)
|
||||
return 0;
|
||||
|
||||
ArraySetAsSeries(htf_timeline, false);
|
||||
|
||||
int htf_idx = 0;
|
||||
for(int i = 0; i < rates_total; i++)
|
||||
{
|
||||
//--- Find the corresponding HTF bar for the current chart's bar
|
||||
while(htf_idx < htf_rates_total - 1 && htf_timeline[htf_idx + 1] <= time[i])
|
||||
{
|
||||
htf_idx++;
|
||||
}
|
||||
|
||||
if(htf_stop_line[htf_idx] != 0)
|
||||
{
|
||||
BufferStopLine[i] = htf_stop_line[htf_idx];
|
||||
BufferColor[i] = htf_color[htf_idx];
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
return(rates_total);
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
//+------------------------------------------------------------------+
|
||||
Reference in New Issue
Block a user