Merge pull request #12 from zhutoutoutousan/develop
Update BTC strategy
This commit is contained in:
@@ -7,6 +7,7 @@
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- [2. RSI MidPoint Hijack XAU/USD](#2-rsi-midpoint-hijack-xauusd)
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- [3. RSI Reversal Asian EUR/USD](#3-rsi-reversal-asian-eurusd)
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- [4. RSI CrossOver Reversal XAU/USD](#4-rsi-crossover-reversal-xauusd)
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- [5. RSI Follow Reverse EMA CrossOver BTC/USD](#5-rsi-follow-reverse-ema-crossover-btcusd)
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- [Strategy Rationale](#strategy-rationale)
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- [RSI Reversal Strategy](#rsi-reversal-strategy)
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- [RSI MidPoint Hijack Strategy](#rsi-midpoint-hijack-strategy)
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@@ -141,6 +142,47 @@ TrailingStop = 295; // Trailing stop in pips
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<img src="RSICrossOverReversalXAUUSD/test-balance.jpg" alt="RSI CrossOver Reversal XAU/USD Test Balance" width="600"/>
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</div>
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### 5. RSI Follow Reverse EMA CrossOver BTC/USD
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- **Strategy**: Multi-strategy approach combining RSI Follow, RSI Reverse, and EMA crossovers
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- **Key Features**:
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- Implements three distinct strategies:
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1. RSI Follow Strategy
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2. RSI Reverse Strategy
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3. EMA Cross Strategy
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- Optimized for Bitcoin (BTC/USD) trading
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- Includes strategy locking mechanism to protect profits
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- Features cooldown periods after losses
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- Time-based trading windows for each strategy
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- Adaptive position sizing based on volatility
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**Core Parameters:**
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```mql5
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// RSI Follow Strategy
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InpRSIPeriod = 14; // RSI Period
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InpRSIOverbought = 70; // RSI Overbought Level
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InpRSIOversold = 30; // RSI Oversold Level
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// RSI Reverse Strategy
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InpRSIReversePeriod = 14; // RSI Period
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InpRSIReverseOverbought = 80; // RSI Overbought Level
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InpRSIReverseOversold = 20; // RSI Oversold Level
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// EMA Settings
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InpEMAPeriod = 200; // EMA Period
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InpEMASlopeThreshold = 0.1; // EMA Slope Threshold
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InpEMADistanceThreshold = 100; // EMA Distance Threshold
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// Strategy Management
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InpEnableStrategyLock = true; // Enable Strategy Lock
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InpLockProfitThreshold = 1000; // Lock Profit Threshold (pips)
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InpCooldownPeriod = 24; // Cooldown Period in hours
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```
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**Test Balance Results:**
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<div align="center">
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<img src="RSIFollowReverseEMACrossOverBTCUSD/test-balance.jpg" alt="RSI Follow Reverse EMA CrossOver BTC/USD Test Balance" width="600"/>
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</div>
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## Strategy Rationale
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### RSI Reversal Strategy
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@@ -0,0 +1,586 @@
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//+------------------------------------------------------------------+
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//| RSIFollowReverseEMACrossOver.mq5 |
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//| Copyright 2024, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2024, MetaQuotes Ltd."
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#property link "https://www.mql5.com"
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#property version "1.00"
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#include <Trade\Trade.mqh>
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#include <Trade\PositionInfo.mqh>
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// Input Parameters
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input group "General Settings"
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input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Trading Timeframe
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input double InpLotSize = 0.01; // Lot Size
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input int InpMagicNumberRSIFollow = 1001; // Magic Number RSI Follow
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input int InpMagicNumberRSIReverse = 1002;// Magic Number RSI Reverse
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input int InpMagicNumberEMACross = 1003; // Magic Number EMA Cross
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input group "Strategy Switches"
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input bool InpEnableRSIFollow = true; // Enable RSI Follow Strategy
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input bool InpEnableRSIReverse = true; // Enable RSI Reverse Strategy
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input bool InpEnableEMACross = true; // Enable EMA Cross Strategy
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input bool InpEnableStrategyLock = false; // Enable Strategy Lock
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input double InpLockProfitThreshold = 120.0; // Lock Profit Threshold (pips)
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input bool InpCloseOppositeTrades = true; // Close Opposite Trades When Profiting
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input group "RSI Follow Strategy"
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input int InpRSIPeriod = 49; // RSI Period
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input int InpRSIOverbought = 81; // RSI Overbought Level
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input int InpRSIOversold = 41; // RSI Oversold Level
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input int InpRSIExitLevel = 48; // RSI Exit Level
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input int InpRSIFollowStartHour = 24; // RSI Follow Start Hour (0-23)
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input int InpRSIFollowEndHour = 8; // RSI Follow End Hour (0-23)
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input bool InpRSIFollowCloseOutsideHours = false; // Close trades outside trading hours
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input group "RSI Reverse Strategy"
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input int InpRSIReversePeriod = 159; // RSI Period
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input int InpRSIReverseOverbought = 51; // RSI Overbought Level
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input int InpRSIReverseOversold = 49; // RSI Oversold Level
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input int InpRSIReverseCrossLevel = 54; // RSI Cross Level
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input int InpRSIReverseExitLevel = 49; // RSI Exit Level
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input int InpRSIReverseStartHour = 12; // RSI Reverse Start Hour (0-23)
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input int InpRSIReverseEndHour = 22; // RSI Reverse End Hour (0-23)
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input bool InpRSIReverseCloseOutsideHours = false; // Close trades outside trading hours
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input int InpRSIReverseCooldownBars = 11; // RSI Reverse Cooldown (bars)
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input bool InpRSIReverseCooldownOnLoss = true; // Apply cooldown only on loss
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input group "EMA Cross Strategy"
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input int InpEMAPeriod = 175; // EMA Period
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input int InpEMACrossStartHour = 22; // EMA Cross Start Hour (0-23)
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input int InpEMACrossEndHour = 12; // EMA Cross End Hour (0-23)
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input bool InpEMACrossCloseOutsideHours = false; // Close trades outside trading hours
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input bool InpUseEMADistanceEntry = true; // Use EMA Distance Entry
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input double InpEMADistancePips = 8440.0; // EMA Distance Threshold (pips)
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input int InpEMADistancePeriod = 30; // EMA Distance Period (bars)
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// Global Variables
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int rsiHandle;
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int rsiReverseHandle;
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int emaHandle;
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bool rsiOverbought = false;
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bool rsiOversold = false;
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bool rsiReverseOverbought = false;
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bool rsiReverseOversold = false;
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CTrade trade;
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CPositionInfo positionInfo;
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bool emaCrossBuySignal = false;
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bool emaCrossSellSignal = false;
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int emaCrossSignalBar = 0;
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datetime lastBarTime = 0;
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datetime rsiReverseLastCloseTime = 0;
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bool rsiReverseInCooldown = false;
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//+------------------------------------------------------------------+
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//| Expert initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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// Initialize indicators
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rsiHandle = iRSI(_Symbol, InpTimeframe, InpRSIPeriod, PRICE_CLOSE);
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rsiReverseHandle = iRSI(_Symbol, InpTimeframe, InpRSIReversePeriod, PRICE_CLOSE);
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emaHandle = iMA(_Symbol, InpTimeframe, InpEMAPeriod, 0, MODE_EMA, PRICE_CLOSE);
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if(rsiHandle == INVALID_HANDLE || rsiReverseHandle == INVALID_HANDLE || emaHandle == INVALID_HANDLE)
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{
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Print("Error creating indicators");
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return INIT_FAILED;
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}
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// Initialize trade settings
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trade.SetExpertMagicNumber(InpMagicNumberRSIFollow);
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trade.SetMarginMode();
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trade.SetTypeFillingBySymbol(_Symbol);
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trade.SetDeviationInPoints(10);
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// Initialize last bar time
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datetime time[];
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if(CopyTime(_Symbol, InpTimeframe, 0, 1, time) > 0)
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{
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lastBarTime = time[0];
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}
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Check if new bar has formed |
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//+------------------------------------------------------------------+
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bool IsNewBar()
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{
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datetime time[];
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if(CopyTime(_Symbol, InpTimeframe, 0, 1, time) > 0)
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{
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if(time[0] != lastBarTime)
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{
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lastBarTime = time[0];
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return true;
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}
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}
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return false;
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}
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//+------------------------------------------------------------------+
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//| Expert deinitialization function |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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// Release indicator handles
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IndicatorRelease(rsiHandle);
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IndicatorRelease(rsiReverseHandle);
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IndicatorRelease(emaHandle);
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}
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//+------------------------------------------------------------------+
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//| Check if current time is within trading hours |
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//+------------------------------------------------------------------+
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bool IsWithinTradingHours(int startHour, int endHour)
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{
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MqlDateTime currentTime;
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TimeToStruct(TimeCurrent(), currentTime);
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if(startHour <= endHour)
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{
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return (currentTime.hour >= startHour && currentTime.hour < endHour);
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}
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else
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{
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return (currentTime.hour >= startHour || currentTime.hour < endHour);
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}
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}
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//+------------------------------------------------------------------+
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//| Check if position exists for given magic number |
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//+------------------------------------------------------------------+
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bool HasPosition(int magic)
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{
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for(int i = PositionsTotal() - 1; i >= 0; i--)
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{
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if(positionInfo.SelectByIndex(i))
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{
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if(positionInfo.Magic() == magic)
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return true;
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}
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}
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return false;
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}
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//+------------------------------------------------------------------+
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//| Check if any strategy has profitable position |
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//+------------------------------------------------------------------+
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bool HasProfitablePosition(int excludeMagic)
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{
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bool hasProfitable = false;
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for(int i = PositionsTotal() - 1; i >= 0; i--)
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{
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if(positionInfo.SelectByIndex(i))
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{
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if(positionInfo.Magic() != excludeMagic)
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{
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double profit = positionInfo.Profit();
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if(profit > InpLockProfitThreshold * _Point)
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{
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hasProfitable = true;
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// If enabled, close opposite trades
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if(InpCloseOppositeTrades)
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{
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// Check if this is an opposite trade to the excluded magic number
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if((excludeMagic == InpMagicNumberRSIFollow && positionInfo.Magic() == InpMagicNumberRSIReverse) ||
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(excludeMagic == InpMagicNumberRSIReverse && positionInfo.Magic() == InpMagicNumberRSIFollow) ||
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(excludeMagic == InpMagicNumberEMACross && (positionInfo.Magic() == InpMagicNumberRSIReverse || positionInfo.Magic() == InpMagicNumberRSIFollow)) ||
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((excludeMagic == InpMagicNumberRSIFollow || excludeMagic == InpMagicNumberRSIReverse) && positionInfo.Magic() == InpMagicNumberEMACross))
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{
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ClosePosition(positionInfo.Magic());
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}
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}
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}
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}
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}
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}
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return hasProfitable;
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}
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//+------------------------------------------------------------------+
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//| Check for RSI Follow Strategy signals |
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//+------------------------------------------------------------------+
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void CheckRSIFollowStrategy()
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{
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// Check if within trading hours
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if(!IsWithinTradingHours(InpRSIFollowStartHour, InpRSIFollowEndHour))
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{
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if(InpRSIFollowCloseOutsideHours)
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{
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if(HasPosition(InpMagicNumberRSIFollow))
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{
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ClosePosition(InpMagicNumberRSIFollow);
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}
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}
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return;
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}
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// Check strategy lock
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if(InpEnableStrategyLock && HasProfitablePosition(InpMagicNumberRSIFollow))
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return;
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double rsi[];
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ArraySetAsSeries(rsi, true);
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CopyBuffer(rsiHandle, 0, 0, 3, rsi);
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if(ArraySize(rsi) < 3) return;
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// Check for overbought condition
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if(rsi[1] > InpRSIOverbought)
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rsiOverbought = true;
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else if(rsi[1] < InpRSIOversold)
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rsiOversold = true;
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// Check for entry signals
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if(rsiOverbought && rsi[1] < rsi[0] && rsi[1] < InpRSIExitLevel)
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{
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// Sell signal
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if(!HasPosition(InpMagicNumberRSIFollow))
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{
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trade.SetExpertMagicNumber(InpMagicNumberRSIFollow);
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trade.Sell(InpLotSize, _Symbol, 0, 0, 0, "RSI Follow");
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}
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rsiOverbought = false;
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}
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else if(rsiOversold && rsi[1] > rsi[0] && rsi[1] > InpRSIExitLevel)
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{
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// Buy signal
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if(!HasPosition(InpMagicNumberRSIFollow))
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{
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trade.SetExpertMagicNumber(InpMagicNumberRSIFollow);
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trade.Buy(InpLotSize, _Symbol, 0, 0, 0, "RSI Follow");
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}
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rsiOversold = false;
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}
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}
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//+------------------------------------------------------------------+
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//| Check if RSI Reverse is in cooldown |
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//+------------------------------------------------------------------+
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bool IsRSIReverseInCooldown()
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{
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if(InpRSIReverseCooldownBars <= 0)
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return false;
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if(!rsiReverseInCooldown)
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return false;
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datetime time[];
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if(CopyTime(_Symbol, InpTimeframe, 0, 1, time) > 0)
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{
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datetime currentBarTime = time[0];
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datetime cooldownEndTime = rsiReverseLastCloseTime + InpRSIReverseCooldownBars * PeriodSeconds(InpTimeframe);
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if(currentBarTime >= cooldownEndTime)
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{
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rsiReverseInCooldown = false;
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return false;
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}
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Check for RSI Reverse Strategy signals |
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//+------------------------------------------------------------------+
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void CheckRSIReverseStrategy()
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{
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// Check if within trading hours
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if(!IsWithinTradingHours(InpRSIReverseStartHour, InpRSIReverseEndHour))
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{
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if(InpRSIReverseCloseOutsideHours)
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{
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if(HasPosition(InpMagicNumberRSIReverse))
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{
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ClosePosition(InpMagicNumberRSIReverse);
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}
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}
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return;
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}
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// Check strategy lock
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if(InpEnableStrategyLock && HasProfitablePosition(InpMagicNumberRSIReverse))
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return;
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// Check cooldown
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if(IsRSIReverseInCooldown())
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return;
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double rsi[];
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ArraySetAsSeries(rsi, true);
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CopyBuffer(rsiReverseHandle, 0, 0, 3, rsi);
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if(ArraySize(rsi) < 3) return;
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// Check for overbought/oversold conditions
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if(rsi[1] > InpRSIReverseOverbought)
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rsiReverseOverbought = true;
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else if(rsi[1] < InpRSIReverseOversold)
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rsiReverseOversold = true;
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// Check for entry signals
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if(rsiReverseOverbought && rsi[1] < InpRSIReverseCrossLevel)
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{
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// Sell signal
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if(!HasPosition(InpMagicNumberRSIReverse))
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{
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trade.SetExpertMagicNumber(InpMagicNumberRSIReverse);
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trade.Sell(InpLotSize, _Symbol, 0, 0, 0, "RSI Reverse");
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}
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rsiReverseOverbought = false;
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}
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else if(rsiReverseOversold && rsi[1] > InpRSIReverseCrossLevel)
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{
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// Buy signal
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if(!HasPosition(InpMagicNumberRSIReverse))
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{
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trade.SetExpertMagicNumber(InpMagicNumberRSIReverse);
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trade.Buy(InpLotSize, _Symbol, 0, 0, 0, "RSI Reverse");
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}
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rsiReverseOversold = false;
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}
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||||
}
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//+------------------------------------------------------------------+
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//| Check for EMA Cross Strategy signals |
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//+------------------------------------------------------------------+
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void CheckEMACrossStrategy()
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{
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// Check if within trading hours
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if(!IsWithinTradingHours(InpEMACrossStartHour, InpEMACrossEndHour))
|
||||
{
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if(InpEMACrossCloseOutsideHours)
|
||||
{
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if(HasPosition(InpMagicNumberEMACross))
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{
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ClosePosition(InpMagicNumberEMACross);
|
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}
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}
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return;
|
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}
|
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// Check strategy lock
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if(InpEnableStrategyLock && HasProfitablePosition(InpMagicNumberEMACross))
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return;
|
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double ema[], close[];
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ArraySetAsSeries(ema, true);
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ArraySetAsSeries(close, true);
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CopyBuffer(emaHandle, 0, 0, InpEMADistancePeriod + 2, ema);
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CopyClose(_Symbol, InpTimeframe, 0, InpEMADistancePeriod + 2, close);
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if(ArraySize(ema) < InpEMADistancePeriod + 2 || ArraySize(close) < InpEMADistancePeriod + 2) return;
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// Check for cross signals
|
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if(ema[1] < close[1] && ema[0] > close[0])
|
||||
{
|
||||
// Buy cross signal
|
||||
emaCrossBuySignal = true;
|
||||
emaCrossSellSignal = false;
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||||
emaCrossSignalBar = 0;
|
||||
}
|
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else if(ema[1] > close[1] && ema[0] < close[0])
|
||||
{
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// Sell cross signal
|
||||
emaCrossSellSignal = true;
|
||||
emaCrossBuySignal = false;
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||||
emaCrossSignalBar = 0;
|
||||
}
|
||||
|
||||
// Check for distance entry conditions
|
||||
if(InpUseEMADistanceEntry)
|
||||
{
|
||||
if(emaCrossBuySignal)
|
||||
{
|
||||
// Check if price has moved above EMA by the required distance for the required period
|
||||
bool distanceConditionMet = true;
|
||||
for(int i = 0; i < InpEMADistancePeriod; i++)
|
||||
{
|
||||
double distance = (close[i] - ema[i]) / _Point;
|
||||
if(distance < InpEMADistancePips)
|
||||
{
|
||||
distanceConditionMet = false;
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
if(distanceConditionMet && !HasPosition(InpMagicNumberEMACross))
|
||||
{
|
||||
trade.SetExpertMagicNumber(InpMagicNumberEMACross);
|
||||
trade.Buy(InpLotSize, _Symbol, 0, 0, 0, "EMA Cross Distance");
|
||||
emaCrossBuySignal = false;
|
||||
}
|
||||
}
|
||||
else if(emaCrossSellSignal)
|
||||
{
|
||||
// Check if price has moved below EMA by the required distance for the required period
|
||||
bool distanceConditionMet = true;
|
||||
for(int i = 0; i < InpEMADistancePeriod; i++)
|
||||
{
|
||||
double distance = (ema[i] - close[i]) / _Point;
|
||||
if(distance < InpEMADistancePips)
|
||||
{
|
||||
distanceConditionMet = false;
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
if(distanceConditionMet && !HasPosition(InpMagicNumberEMACross))
|
||||
{
|
||||
trade.SetExpertMagicNumber(InpMagicNumberEMACross);
|
||||
trade.Sell(InpLotSize, _Symbol, 0, 0, 0, "EMA Cross Distance");
|
||||
emaCrossSellSignal = false;
|
||||
}
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
// Original cross entry logic
|
||||
if(ema[1] < close[1] && ema[0] > close[0])
|
||||
{
|
||||
// Buy signal
|
||||
if(!HasPosition(InpMagicNumberEMACross))
|
||||
{
|
||||
trade.SetExpertMagicNumber(InpMagicNumberEMACross);
|
||||
trade.Buy(InpLotSize, _Symbol, 0, 0, 0, "EMA Cross");
|
||||
}
|
||||
}
|
||||
else if(ema[1] > close[1] && ema[0] < close[0])
|
||||
{
|
||||
// Sell signal
|
||||
if(!HasPosition(InpMagicNumberEMACross))
|
||||
{
|
||||
trade.SetExpertMagicNumber(InpMagicNumberEMACross);
|
||||
trade.Sell(InpLotSize, _Symbol, 0, 0, 0, "EMA Cross");
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// Increment signal bar counter
|
||||
if(emaCrossBuySignal || emaCrossSellSignal)
|
||||
{
|
||||
emaCrossSignalBar++;
|
||||
// Reset signals if they're too old (optional, can be removed if not needed)
|
||||
if(emaCrossSignalBar > InpEMADistancePeriod * 2)
|
||||
{
|
||||
emaCrossBuySignal = false;
|
||||
emaCrossSellSignal = false;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Expert tick function |
|
||||
//+------------------------------------------------------------------+
|
||||
void OnTick()
|
||||
{
|
||||
// Only process on new bar
|
||||
if(!IsNewBar())
|
||||
return;
|
||||
|
||||
// Check for new signals
|
||||
if(InpEnableRSIFollow)
|
||||
CheckRSIFollowStrategy();
|
||||
if(InpEnableRSIReverse)
|
||||
CheckRSIReverseStrategy();
|
||||
if(InpEnableEMACross)
|
||||
CheckEMACrossStrategy();
|
||||
|
||||
// Check for exit conditions
|
||||
CheckExitConditions();
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Check exit conditions for all strategies |
|
||||
//+------------------------------------------------------------------+
|
||||
void CheckExitConditions()
|
||||
{
|
||||
double rsi[], rsiReverse[], ema[], close[];
|
||||
ArraySetAsSeries(rsi, true);
|
||||
ArraySetAsSeries(rsiReverse, true);
|
||||
ArraySetAsSeries(ema, true);
|
||||
ArraySetAsSeries(close, true);
|
||||
|
||||
if(InpEnableRSIFollow)
|
||||
{
|
||||
CopyBuffer(rsiHandle, 0, 0, 1, rsi);
|
||||
// Check RSI Follow exit conditions
|
||||
if(HasPosition(InpMagicNumberRSIFollow))
|
||||
{
|
||||
if((positionInfo.PositionType() == POSITION_TYPE_BUY && rsi[0] < InpRSIExitLevel) ||
|
||||
(positionInfo.PositionType() == POSITION_TYPE_SELL && rsi[0] > InpRSIExitLevel))
|
||||
{
|
||||
ClosePosition(InpMagicNumberRSIFollow);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if(InpEnableRSIReverse)
|
||||
{
|
||||
CopyBuffer(rsiReverseHandle, 0, 0, 1, rsiReverse);
|
||||
// Check RSI Reverse exit conditions
|
||||
if(HasPosition(InpMagicNumberRSIReverse))
|
||||
{
|
||||
if((positionInfo.PositionType() == POSITION_TYPE_BUY && rsiReverse[0] < InpRSIReverseExitLevel) ||
|
||||
(positionInfo.PositionType() == POSITION_TYPE_SELL && rsiReverse[0] > InpRSIReverseExitLevel))
|
||||
{
|
||||
ClosePosition(InpMagicNumberRSIReverse);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if(InpEnableEMACross)
|
||||
{
|
||||
CopyBuffer(emaHandle, 0, 0, 2, ema);
|
||||
CopyClose(_Symbol, InpTimeframe, 0, 2, close);
|
||||
// Check EMA Cross exit conditions
|
||||
if(HasPosition(InpMagicNumberEMACross))
|
||||
{
|
||||
if((positionInfo.PositionType() == POSITION_TYPE_BUY && ema[0] > close[0]) ||
|
||||
(positionInfo.PositionType() == POSITION_TYPE_SELL && ema[0] < close[0]))
|
||||
{
|
||||
ClosePosition(InpMagicNumberEMACross);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Close position by magic number |
|
||||
//+------------------------------------------------------------------+
|
||||
void ClosePosition(int magic)
|
||||
{
|
||||
for(int i = PositionsTotal() - 1; i >= 0; i--)
|
||||
{
|
||||
if(positionInfo.SelectByIndex(i))
|
||||
{
|
||||
if(positionInfo.Magic() == magic)
|
||||
{
|
||||
// Check if this is RSI Reverse position and update cooldown
|
||||
if(magic == InpMagicNumberRSIReverse)
|
||||
{
|
||||
datetime time[];
|
||||
if(CopyTime(_Symbol, InpTimeframe, 0, 1, time) > 0)
|
||||
{
|
||||
rsiReverseLastCloseTime = time[0];
|
||||
// Only enter cooldown if it's a loss or if cooldown on loss is disabled
|
||||
if(!InpRSIReverseCooldownOnLoss || positionInfo.Profit() < 0)
|
||||
{
|
||||
rsiReverseInCooldown = true;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
trade.PositionClose(positionInfo.Ticket());
|
||||
break;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Binary file not shown.
|
After Width: | Height: | Size: 242 KiB |
Reference in New Issue
Block a user