From a545e2c18dc26d76cfa14e9db510add1307ca234 Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Tue, 2 Sep 2025 12:18:21 +0200 Subject: [PATCH] new files added --- .../MyIndicators/ATR_TrailingStop_MTF.mq5 | 320 ++++++++++++++++++ 1 file changed, 320 insertions(+) create mode 100644 Indicators/MyIndicators/ATR_TrailingStop_MTF.mq5 diff --git a/Indicators/MyIndicators/ATR_TrailingStop_MTF.mq5 b/Indicators/MyIndicators/ATR_TrailingStop_MTF.mq5 new file mode 100644 index 0000000..8881599 --- /dev/null +++ b/Indicators/MyIndicators/ATR_TrailingStop_MTF.mq5 @@ -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); + } +//+------------------------------------------------------------------+ +//+------------------------------------------------------------------+