Update
This commit is contained in:
zhutoutoutousan
@@ -0,0 +1,438 @@
|
||||
//+------------------------------------------------------------------+
|
||||
//| RSISecretSauceStrategy.mqh |
|
||||
//| RSI Secret Sauce: leave 70/30 zone, re-enter, peak/bottom entry |
|
||||
//+------------------------------------------------------------------+
|
||||
|
||||
struct RSISecretSauceData
|
||||
{
|
||||
string symbol;
|
||||
bool isInitialized;
|
||||
CTrade trade;
|
||||
CPositionInfo positionInfo;
|
||||
int rsiHandle;
|
||||
int atrHandle;
|
||||
double rsiBuffer[];
|
||||
double atrBuffer[];
|
||||
double highBuffer[];
|
||||
double lowBuffer[];
|
||||
bool rsiWasOverbought;
|
||||
bool rsiWasOversold;
|
||||
bool rsiBackInRange;
|
||||
datetime lastRSIExitTime;
|
||||
datetime lastRSIReentryTime;
|
||||
datetime lastTradeTime;
|
||||
datetime lastBarTime;
|
||||
ENUM_TIMEFRAMES timeframe;
|
||||
int rsiPeriod;
|
||||
double rsiOverbought;
|
||||
double rsiOversold;
|
||||
int rsiLookback;
|
||||
int peakBars;
|
||||
bool requireDivergence;
|
||||
double stopLossATR;
|
||||
double takeProfitATR;
|
||||
int atrPeriod;
|
||||
bool useSwingStopLoss;
|
||||
int swingLookback;
|
||||
int maxPositions;
|
||||
int minBarsBetweenTrades;
|
||||
int magicNumber;
|
||||
int slippage;
|
||||
};
|
||||
|
||||
bool RSS_UpdateIndicators(RSISecretSauceData& d);
|
||||
void RSS_UpdateRSIState(RSISecretSauceData& d);
|
||||
bool RSS_CanOpenNewPosition(RSISecretSauceData& d);
|
||||
void RSS_CheckEntrySignals(RSISecretSauceData& d, const double lotSize);
|
||||
bool RSS_IsRSIPeak(RSISecretSauceData& d);
|
||||
bool RSS_IsRSIBottom(RSISecretSauceData& d);
|
||||
void RSS_OpenPosition(RSISecretSauceData& d, ENUM_POSITION_TYPE type, const double lotSize);
|
||||
bool RSS_CalculateStops(RSISecretSauceData& d, double price, ENUM_POSITION_TYPE type, double& sl, double& tp);
|
||||
double RSS_GetSwingStopLoss(RSISecretSauceData& d, ENUM_POSITION_TYPE type);
|
||||
|
||||
bool InitRSISecretSauce(RSISecretSauceData& d,
|
||||
const string symbol,
|
||||
const ENUM_TIMEFRAMES timeframe,
|
||||
const int rsiPeriod,
|
||||
const double rsiOverbought,
|
||||
const double rsiOversold,
|
||||
const int rsiLookback,
|
||||
const int peakBars,
|
||||
const bool requireDivergence,
|
||||
const double stopLossATR,
|
||||
const double takeProfitATR,
|
||||
const int atrPeriod,
|
||||
const bool useSwingStopLoss,
|
||||
const int swingLookback,
|
||||
const int maxPositions,
|
||||
const int minBarsBetweenTrades,
|
||||
const int magicNumber,
|
||||
const int slippage)
|
||||
{
|
||||
d.symbol = symbol;
|
||||
if(StringLen(d.symbol) == 0)
|
||||
d.symbol = _Symbol;
|
||||
d.isInitialized = false;
|
||||
d.rsiHandle = INVALID_HANDLE;
|
||||
d.atrHandle = INVALID_HANDLE;
|
||||
d.rsiWasOverbought = false;
|
||||
d.rsiWasOversold = false;
|
||||
d.rsiBackInRange = false;
|
||||
d.lastRSIExitTime = 0;
|
||||
d.lastRSIReentryTime = 0;
|
||||
d.lastTradeTime = 0;
|
||||
d.lastBarTime = 0;
|
||||
|
||||
if(!SymbolSelect(d.symbol, true))
|
||||
{
|
||||
Print("RSISecretSauce: Symbol '", d.symbol, "' not available in Market Watch.");
|
||||
return false;
|
||||
}
|
||||
|
||||
d.timeframe = timeframe;
|
||||
d.rsiPeriod = rsiPeriod;
|
||||
d.rsiOverbought = rsiOverbought;
|
||||
d.rsiOversold = rsiOversold;
|
||||
d.rsiLookback = rsiLookback;
|
||||
d.peakBars = peakBars;
|
||||
d.requireDivergence = requireDivergence;
|
||||
d.stopLossATR = stopLossATR;
|
||||
d.takeProfitATR = takeProfitATR;
|
||||
d.atrPeriod = atrPeriod;
|
||||
d.useSwingStopLoss = useSwingStopLoss;
|
||||
d.swingLookback = swingLookback;
|
||||
d.maxPositions = maxPositions;
|
||||
d.minBarsBetweenTrades = minBarsBetweenTrades;
|
||||
d.magicNumber = magicNumber;
|
||||
d.slippage = slippage;
|
||||
|
||||
Sleep(100);
|
||||
int retry = 0;
|
||||
while(retry < 5 && d.rsiHandle == INVALID_HANDLE)
|
||||
{
|
||||
d.rsiHandle = iRSI(d.symbol, d.timeframe, d.rsiPeriod, PRICE_CLOSE);
|
||||
if(d.rsiHandle == INVALID_HANDLE)
|
||||
{
|
||||
if(GetLastError() == 4805 && retry < 4)
|
||||
{
|
||||
Sleep(1000);
|
||||
retry++;
|
||||
continue;
|
||||
}
|
||||
Print("RSISecretSauce: Failed to create RSI for '", d.symbol, "'");
|
||||
return false;
|
||||
}
|
||||
}
|
||||
|
||||
retry = 0;
|
||||
while(retry < 5 && d.atrHandle == INVALID_HANDLE)
|
||||
{
|
||||
d.atrHandle = iATR(d.symbol, d.timeframe, d.atrPeriod);
|
||||
if(d.atrHandle == INVALID_HANDLE)
|
||||
{
|
||||
if(GetLastError() == 4805 && retry < 4)
|
||||
{
|
||||
Sleep(1000);
|
||||
retry++;
|
||||
continue;
|
||||
}
|
||||
Print("RSISecretSauce: Failed to create ATR for '", d.symbol, "'");
|
||||
IndicatorRelease(d.rsiHandle);
|
||||
d.rsiHandle = INVALID_HANDLE;
|
||||
return false;
|
||||
}
|
||||
}
|
||||
|
||||
ArraySetAsSeries(d.rsiBuffer, true);
|
||||
ArraySetAsSeries(d.atrBuffer, true);
|
||||
ArraySetAsSeries(d.highBuffer, true);
|
||||
ArraySetAsSeries(d.lowBuffer, true);
|
||||
|
||||
d.trade.SetExpertMagicNumber(d.magicNumber);
|
||||
d.trade.SetDeviationInPoints(d.slippage);
|
||||
d.trade.SetTypeFilling(ORDER_FILLING_FOK);
|
||||
|
||||
d.isInitialized = true;
|
||||
Print("RSISecretSauce: Initialized for '", d.symbol, "' TF=", EnumToString(d.timeframe));
|
||||
return true;
|
||||
}
|
||||
|
||||
void DeinitRSISecretSauce(RSISecretSauceData& d)
|
||||
{
|
||||
if(d.rsiHandle != INVALID_HANDLE)
|
||||
IndicatorRelease(d.rsiHandle);
|
||||
if(d.atrHandle != INVALID_HANDLE)
|
||||
IndicatorRelease(d.atrHandle);
|
||||
d.rsiHandle = INVALID_HANDLE;
|
||||
d.atrHandle = INVALID_HANDLE;
|
||||
d.isInitialized = false;
|
||||
}
|
||||
|
||||
bool RSS_UpdateIndicators(RSISecretSauceData& d)
|
||||
{
|
||||
int rsiBarsNeeded = d.rsiLookback + 5;
|
||||
if(CopyBuffer(d.rsiHandle, 0, 0, rsiBarsNeeded, d.rsiBuffer) < rsiBarsNeeded)
|
||||
return false;
|
||||
if(CopyBuffer(d.atrHandle, 0, 0, 2, d.atrBuffer) < 2)
|
||||
return false;
|
||||
if(CopyHigh(d.symbol, d.timeframe, 0, d.swingLookback + 5, d.highBuffer) < d.swingLookback + 5)
|
||||
return false;
|
||||
if(CopyLow(d.symbol, d.timeframe, 0, d.swingLookback + 5, d.lowBuffer) < d.swingLookback + 5)
|
||||
return false;
|
||||
return true;
|
||||
}
|
||||
|
||||
void RSS_UpdateRSIState(RSISecretSauceData& d)
|
||||
{
|
||||
double rsiCurrent = d.rsiBuffer[0];
|
||||
double rsiPrev = d.rsiBuffer[1];
|
||||
|
||||
if(rsiPrev >= d.rsiOverbought && rsiCurrent < d.rsiOverbought)
|
||||
{
|
||||
d.rsiWasOverbought = true;
|
||||
d.rsiBackInRange = true;
|
||||
d.lastRSIExitTime = TimeCurrent();
|
||||
d.lastRSIReentryTime = TimeCurrent();
|
||||
}
|
||||
|
||||
if(rsiPrev <= d.rsiOversold && rsiCurrent > d.rsiOversold)
|
||||
{
|
||||
d.rsiWasOversold = true;
|
||||
d.rsiBackInRange = true;
|
||||
d.lastRSIExitTime = TimeCurrent();
|
||||
d.lastRSIReentryTime = TimeCurrent();
|
||||
}
|
||||
|
||||
if(rsiCurrent >= d.rsiOverbought)
|
||||
{
|
||||
d.rsiWasOverbought = false;
|
||||
d.rsiBackInRange = false;
|
||||
}
|
||||
|
||||
if(rsiCurrent <= d.rsiOversold)
|
||||
{
|
||||
d.rsiWasOversold = false;
|
||||
d.rsiBackInRange = false;
|
||||
}
|
||||
}
|
||||
|
||||
bool RSS_CanOpenNewPosition(RSISecretSauceData& d)
|
||||
{
|
||||
int positionCount = 0;
|
||||
for(int i = PositionsTotal() - 1; i >= 0; i--)
|
||||
{
|
||||
if(d.positionInfo.SelectByIndex(i))
|
||||
{
|
||||
if(d.positionInfo.Symbol() == d.symbol && d.positionInfo.Magic() == d.magicNumber)
|
||||
positionCount++;
|
||||
}
|
||||
}
|
||||
|
||||
if(positionCount >= d.maxPositions)
|
||||
return false;
|
||||
|
||||
if(d.lastTradeTime > 0)
|
||||
{
|
||||
int barsSince = Bars(d.symbol, d.timeframe, d.lastTradeTime, TimeCurrent());
|
||||
if(barsSince < d.minBarsBetweenTrades)
|
||||
return false;
|
||||
}
|
||||
|
||||
return true;
|
||||
}
|
||||
|
||||
bool RSS_IsRSIPeak(RSISecretSauceData& d)
|
||||
{
|
||||
if(ArraySize(d.rsiBuffer) < d.peakBars + 2)
|
||||
return false;
|
||||
|
||||
double currentRSI = d.rsiBuffer[0];
|
||||
bool isPeak = true;
|
||||
|
||||
for(int i = 1; i <= d.peakBars; i++)
|
||||
{
|
||||
if(d.rsiBuffer[i] >= currentRSI)
|
||||
{
|
||||
isPeak = false;
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
if(d.rsiBuffer[1] >= currentRSI)
|
||||
isPeak = false;
|
||||
|
||||
return isPeak;
|
||||
}
|
||||
|
||||
bool RSS_IsRSIBottom(RSISecretSauceData& d)
|
||||
{
|
||||
if(ArraySize(d.rsiBuffer) < d.peakBars + 2)
|
||||
return false;
|
||||
|
||||
double currentRSI = d.rsiBuffer[0];
|
||||
bool isBottom = true;
|
||||
|
||||
for(int i = 1; i <= d.peakBars; i++)
|
||||
{
|
||||
if(d.rsiBuffer[i] <= currentRSI)
|
||||
{
|
||||
isBottom = false;
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
if(d.rsiBuffer[1] <= currentRSI)
|
||||
isBottom = false;
|
||||
|
||||
return isBottom;
|
||||
}
|
||||
|
||||
void RSS_CheckEntrySignals(RSISecretSauceData& d, const double lotSize)
|
||||
{
|
||||
if(d.rsiWasOverbought && d.rsiBackInRange)
|
||||
{
|
||||
if(d.rsiBuffer[0] < d.rsiOverbought)
|
||||
{
|
||||
if(RSS_IsRSIPeak(d))
|
||||
RSS_OpenPosition(d, POSITION_TYPE_BUY, lotSize);
|
||||
}
|
||||
}
|
||||
|
||||
if(d.rsiWasOversold && d.rsiBackInRange)
|
||||
{
|
||||
if(d.rsiBuffer[0] > d.rsiOversold)
|
||||
{
|
||||
if(RSS_IsRSIBottom(d))
|
||||
RSS_OpenPosition(d, POSITION_TYPE_SELL, lotSize);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
bool RSS_CalculateStops(RSISecretSauceData& d, double price, ENUM_POSITION_TYPE type, double& sl, double& tp)
|
||||
{
|
||||
double atrValue = d.atrBuffer[0];
|
||||
if(atrValue <= 0)
|
||||
atrValue = price * 0.01;
|
||||
|
||||
double slDistance = atrValue * d.stopLossATR;
|
||||
double tpDistance = atrValue * d.takeProfitATR;
|
||||
|
||||
int digits = (int)SymbolInfoInteger(d.symbol, SYMBOL_DIGITS);
|
||||
double point = SymbolInfoDouble(d.symbol, SYMBOL_POINT);
|
||||
int stopsLevel = (int)SymbolInfoInteger(d.symbol, SYMBOL_TRADE_STOPS_LEVEL);
|
||||
double minStopDistance = MathMax(stopsLevel * point, point * 10);
|
||||
|
||||
if(d.useSwingStopLoss)
|
||||
{
|
||||
double swingStop = RSS_GetSwingStopLoss(d, type);
|
||||
if(swingStop > 0)
|
||||
{
|
||||
if(type == POSITION_TYPE_BUY)
|
||||
{
|
||||
if(swingStop < price && (price - swingStop) > minStopDistance)
|
||||
slDistance = price - swingStop;
|
||||
}
|
||||
else
|
||||
{
|
||||
if(swingStop > price && (swingStop - price) > minStopDistance)
|
||||
slDistance = swingStop - price;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if(slDistance < minStopDistance)
|
||||
slDistance = minStopDistance;
|
||||
if(tpDistance < minStopDistance)
|
||||
tpDistance = minStopDistance;
|
||||
|
||||
if(type == POSITION_TYPE_BUY)
|
||||
{
|
||||
sl = NormalizeDouble(price - slDistance, digits);
|
||||
tp = NormalizeDouble(price + tpDistance, digits);
|
||||
}
|
||||
else
|
||||
{
|
||||
sl = NormalizeDouble(price + slDistance, digits);
|
||||
tp = NormalizeDouble(price - tpDistance, digits);
|
||||
}
|
||||
|
||||
return true;
|
||||
}
|
||||
|
||||
double RSS_GetSwingStopLoss(RSISecretSauceData& d, ENUM_POSITION_TYPE type)
|
||||
{
|
||||
if(type == POSITION_TYPE_BUY)
|
||||
{
|
||||
double lowestLow = d.lowBuffer[0];
|
||||
for(int i = 1; i < d.swingLookback && i < ArraySize(d.lowBuffer); i++)
|
||||
{
|
||||
if(d.lowBuffer[i] < lowestLow)
|
||||
lowestLow = d.lowBuffer[i];
|
||||
}
|
||||
return lowestLow;
|
||||
}
|
||||
|
||||
double highestHigh = d.highBuffer[0];
|
||||
for(int i = 1; i < d.swingLookback && i < ArraySize(d.highBuffer); i++)
|
||||
{
|
||||
if(d.highBuffer[i] > highestHigh)
|
||||
highestHigh = d.highBuffer[i];
|
||||
}
|
||||
return highestHigh;
|
||||
}
|
||||
|
||||
void RSS_OpenPosition(RSISecretSauceData& d, ENUM_POSITION_TYPE type, const double lotSize)
|
||||
{
|
||||
double price = (type == POSITION_TYPE_BUY) ?
|
||||
SymbolInfoDouble(d.symbol, SYMBOL_ASK) :
|
||||
SymbolInfoDouble(d.symbol, SYMBOL_BID);
|
||||
|
||||
if(price <= 0)
|
||||
return;
|
||||
|
||||
double sl = 0.0, tp = 0.0;
|
||||
if(!RSS_CalculateStops(d, price, type, sl, tp))
|
||||
return;
|
||||
|
||||
string comment = "RSI_Secret_" + (type == POSITION_TYPE_BUY ? "LONG" : "SHORT");
|
||||
|
||||
bool result = false;
|
||||
if(type == POSITION_TYPE_BUY)
|
||||
result = d.trade.Buy(lotSize, d.symbol, 0, sl, tp, comment);
|
||||
else
|
||||
result = d.trade.Sell(lotSize, d.symbol, 0, sl, tp, comment);
|
||||
|
||||
if(result)
|
||||
{
|
||||
d.lastTradeTime = TimeCurrent();
|
||||
if(type == POSITION_TYPE_BUY)
|
||||
d.rsiWasOverbought = false;
|
||||
else
|
||||
d.rsiWasOversold = false;
|
||||
d.rsiBackInRange = false;
|
||||
}
|
||||
}
|
||||
|
||||
void ProcessRSISecretSauce(RSISecretSauceData& d, const double lotSize)
|
||||
{
|
||||
if(!d.isInitialized)
|
||||
return;
|
||||
|
||||
int requiredBars = MathMax(d.rsiLookback, d.swingLookback) + 10;
|
||||
if(Bars(d.symbol, d.timeframe) < requiredBars)
|
||||
return;
|
||||
|
||||
datetime currentBarTime = iTime(d.symbol, d.timeframe, 0);
|
||||
if(currentBarTime == d.lastBarTime)
|
||||
return;
|
||||
|
||||
d.lastBarTime = currentBarTime;
|
||||
|
||||
if(!RSS_UpdateIndicators(d))
|
||||
return;
|
||||
|
||||
RSS_UpdateRSIState(d);
|
||||
|
||||
if(RSS_CanOpenNewPosition(d))
|
||||
RSS_CheckEntrySignals(d, lotSize);
|
||||
}
|
||||
@@ -0,0 +1,478 @@
|
||||
//+------------------------------------------------------------------+
|
||||
//| SuperEMAStrategy.mqh — EMA + CCI + MACD (United EA module) |
|
||||
//+------------------------------------------------------------------+
|
||||
#ifndef SUPER_EMA_STRATEGY_MQH
|
||||
#define SUPER_EMA_STRATEGY_MQH
|
||||
|
||||
#include <Trade/Trade.mqh>
|
||||
|
||||
enum ENUM_SE_ENTRY_STYLE
|
||||
{
|
||||
SE_ENTRY_CCIZERO_MACD = 0,
|
||||
SE_ENTRY_LAMBERT = 1,
|
||||
SE_ENTRY_PULLBACK = 2
|
||||
};
|
||||
|
||||
struct SuperEMAData
|
||||
{
|
||||
string symbol;
|
||||
ENUM_TIMEFRAMES tf;
|
||||
datetime lastBarTime;
|
||||
CTrade trade;
|
||||
bool isInitialized;
|
||||
int slippagePoints;
|
||||
int magic;
|
||||
int emaFast;
|
||||
int emaMid;
|
||||
int emaSlow;
|
||||
int emaTrendBars;
|
||||
int cciPeriod;
|
||||
double cciOverbought;
|
||||
double cciOversold;
|
||||
int pullbackCciLookback;
|
||||
int macdFast;
|
||||
int macdSlow;
|
||||
int macdSignal;
|
||||
ENUM_SE_ENTRY_STYLE entryStyle;
|
||||
bool oneTradeOnly;
|
||||
bool useStructuralSL;
|
||||
double slBufferPoints;
|
||||
bool exitOnTrendFlip;
|
||||
bool exitOnMacdFlip;
|
||||
bool exitOnCciZeroCross;
|
||||
int maxHoldingBars;
|
||||
bool exitBelowMidEma;
|
||||
bool debugLogs;
|
||||
};
|
||||
|
||||
void SuperEMA_Log(SuperEMAData &d, const string s)
|
||||
{
|
||||
if(d.debugLogs)
|
||||
Print("[SuperEMA] ", s);
|
||||
}
|
||||
|
||||
bool SuperEMA_IsNewBar(SuperEMAData &d)
|
||||
{
|
||||
datetime t = iTime(d.symbol, d.tf, 0);
|
||||
if(t <= 0 || t == d.lastBarTime)
|
||||
return false;
|
||||
d.lastBarTime = t;
|
||||
return true;
|
||||
}
|
||||
|
||||
double SuperEMA_EmaAt(SuperEMAData &d, const int period, const int shift)
|
||||
{
|
||||
int h = iMA(d.symbol, d.tf, period, 0, MODE_EMA, PRICE_CLOSE);
|
||||
if(h == INVALID_HANDLE)
|
||||
return 0.0;
|
||||
double b[1];
|
||||
if(CopyBuffer(h, 0, shift, 1, b) <= 0)
|
||||
{
|
||||
IndicatorRelease(h);
|
||||
return 0.0;
|
||||
}
|
||||
IndicatorRelease(h);
|
||||
return b[0];
|
||||
}
|
||||
|
||||
double SuperEMA_CciAt(SuperEMAData &d, const int shift)
|
||||
{
|
||||
int h = iCCI(d.symbol, d.tf, d.cciPeriod, PRICE_TYPICAL);
|
||||
if(h == INVALID_HANDLE)
|
||||
return 0.0;
|
||||
double b[1];
|
||||
if(CopyBuffer(h, 0, shift, 1, b) <= 0)
|
||||
{
|
||||
IndicatorRelease(h);
|
||||
return 0.0;
|
||||
}
|
||||
IndicatorRelease(h);
|
||||
return b[0];
|
||||
}
|
||||
|
||||
bool SuperEMA_MacdHistAt(SuperEMAData &d, const int shift, double &hist)
|
||||
{
|
||||
int h = iMACD(d.symbol, d.tf, d.macdFast, d.macdSlow, d.macdSignal, PRICE_CLOSE);
|
||||
if(h == INVALID_HANDLE)
|
||||
return false;
|
||||
double mainLine[1], sigLine[1];
|
||||
if(CopyBuffer(h, 0, shift, 1, mainLine) <= 0 || CopyBuffer(h, 1, shift, 1, sigLine) <= 0)
|
||||
{
|
||||
IndicatorRelease(h);
|
||||
return false;
|
||||
}
|
||||
IndicatorRelease(h);
|
||||
hist = mainLine[0] - sigLine[0];
|
||||
return true;
|
||||
}
|
||||
|
||||
bool SuperEMA_TrendUp(SuperEMAData &d, const int sh)
|
||||
{
|
||||
double c = iClose(d.symbol, d.tf, sh);
|
||||
double emaS = SuperEMA_EmaAt(d, d.emaSlow, sh);
|
||||
return (emaS > 0.0 && c > emaS);
|
||||
}
|
||||
|
||||
bool SuperEMA_TrendDown(SuperEMAData &d, const int sh)
|
||||
{
|
||||
double c = iClose(d.symbol, d.tf, sh);
|
||||
double emaS = SuperEMA_EmaAt(d, d.emaSlow, sh);
|
||||
return (emaS > 0.0 && c < emaS);
|
||||
}
|
||||
|
||||
bool SuperEMA_CciCrossAboveZero(SuperEMAData &d)
|
||||
{
|
||||
double c1 = SuperEMA_CciAt(d, 1);
|
||||
double c2 = SuperEMA_CciAt(d, 2);
|
||||
return (c2 <= 0.0 && c1 > 0.0);
|
||||
}
|
||||
|
||||
bool SuperEMA_CciCrossBelowZero(SuperEMAData &d)
|
||||
{
|
||||
double c1 = SuperEMA_CciAt(d, 1);
|
||||
double c2 = SuperEMA_CciAt(d, 2);
|
||||
return (c2 >= 0.0 && c1 < 0.0);
|
||||
}
|
||||
|
||||
bool SuperEMA_CciCrossAbove100(SuperEMAData &d)
|
||||
{
|
||||
double c1 = SuperEMA_CciAt(d, 1);
|
||||
double c2 = SuperEMA_CciAt(d, 2);
|
||||
return (c2 < d.cciOverbought && c1 > d.cciOverbought);
|
||||
}
|
||||
|
||||
bool SuperEMA_CciCrossBelowMinus100(SuperEMAData &d)
|
||||
{
|
||||
double c1 = SuperEMA_CciAt(d, 1);
|
||||
double c2 = SuperEMA_CciAt(d, 2);
|
||||
return (c2 > d.cciOversold && c1 < d.cciOversold);
|
||||
}
|
||||
|
||||
bool SuperEMA_HadCciOversoldRecently(SuperEMAData &d)
|
||||
{
|
||||
for(int i = 2; i <= d.pullbackCciLookback + 1; i++)
|
||||
{
|
||||
double v = SuperEMA_CciAt(d, i);
|
||||
if(v <= d.cciOversold)
|
||||
return true;
|
||||
}
|
||||
return false;
|
||||
}
|
||||
|
||||
bool SuperEMA_HadCciOverboughtRecently(SuperEMAData &d)
|
||||
{
|
||||
for(int i = 2; i <= d.pullbackCciLookback + 1; i++)
|
||||
{
|
||||
double v = SuperEMA_CciAt(d, i);
|
||||
if(v >= d.cciOverbought)
|
||||
return true;
|
||||
}
|
||||
return false;
|
||||
}
|
||||
|
||||
bool SuperEMA_PullbackNearFastEmaLong(SuperEMAData &d)
|
||||
{
|
||||
double emaF = SuperEMA_EmaAt(d, d.emaFast, 1);
|
||||
double lo = iLow(d.symbol, d.tf, 1);
|
||||
if(emaF <= 0.0)
|
||||
return false;
|
||||
return (lo <= emaF + d.slBufferPoints * _Point * 3.0);
|
||||
}
|
||||
|
||||
bool SuperEMA_PullbackNearFastEmaShort(SuperEMAData &d)
|
||||
{
|
||||
double emaF = SuperEMA_EmaAt(d, d.emaFast, 1);
|
||||
double hi = iHigh(d.symbol, d.tf, 1);
|
||||
if(emaF <= 0.0)
|
||||
return false;
|
||||
return (hi >= emaF - d.slBufferPoints * _Point * 3.0);
|
||||
}
|
||||
|
||||
int SuperEMA_PositionsByMagic(SuperEMAData &d)
|
||||
{
|
||||
int n = 0;
|
||||
for(int i = PositionsTotal() - 1; i >= 0; i--)
|
||||
{
|
||||
ulong t = PositionGetTicket(i);
|
||||
if(t == 0)
|
||||
continue;
|
||||
if(PositionGetString(POSITION_SYMBOL) == d.symbol && (int)PositionGetInteger(POSITION_MAGIC) == d.magic)
|
||||
n++;
|
||||
}
|
||||
return n;
|
||||
}
|
||||
|
||||
void SuperEMA_ComputeSLTP(SuperEMAData &d, const bool isBuy, double &sl, double &tp)
|
||||
{
|
||||
sl = 0.0;
|
||||
tp = 0.0;
|
||||
if(!d.useStructuralSL)
|
||||
return;
|
||||
double emaM = SuperEMA_EmaAt(d, d.emaMid, d.emaTrendBars);
|
||||
double buf = d.slBufferPoints * _Point;
|
||||
if(isBuy)
|
||||
sl = emaM - buf;
|
||||
else
|
||||
sl = emaM + buf;
|
||||
}
|
||||
|
||||
int SuperEMA_BarsSinceOpen(SuperEMAData &d, const datetime openTime)
|
||||
{
|
||||
if(openTime <= 0)
|
||||
return 0;
|
||||
int sh = iBarShift(d.symbol, d.tf, openTime, false);
|
||||
if(sh < 0)
|
||||
return 999999;
|
||||
return sh;
|
||||
}
|
||||
|
||||
void SuperEMA_CloseTicket(SuperEMAData &d, const ulong ticket, const string reason)
|
||||
{
|
||||
d.trade.SetExpertMagicNumber(d.magic);
|
||||
if(d.trade.PositionClose(ticket))
|
||||
SuperEMA_Log(d, "Close: " + reason);
|
||||
}
|
||||
|
||||
void SuperEMA_ManageExits(SuperEMAData &d)
|
||||
{
|
||||
for(int i = PositionsTotal() - 1; i >= 0; i--)
|
||||
{
|
||||
ulong ticket = PositionGetTicket(i);
|
||||
if(ticket == 0)
|
||||
continue;
|
||||
if(!PositionSelectByTicket(ticket))
|
||||
continue;
|
||||
if(PositionGetString(POSITION_SYMBOL) != d.symbol)
|
||||
continue;
|
||||
if((int)PositionGetInteger(POSITION_MAGIC) != d.magic)
|
||||
continue;
|
||||
|
||||
ENUM_POSITION_TYPE ptype = (ENUM_POSITION_TYPE)PositionGetInteger(POSITION_TYPE);
|
||||
datetime openTime = (datetime)PositionGetInteger(POSITION_TIME);
|
||||
|
||||
double h1 = 0.0;
|
||||
if(!SuperEMA_MacdHistAt(d, 1, h1))
|
||||
continue;
|
||||
|
||||
bool closeLong = false;
|
||||
bool closeShort = false;
|
||||
string reason = "";
|
||||
|
||||
if(d.maxHoldingBars > 0)
|
||||
{
|
||||
int held = SuperEMA_BarsSinceOpen(d, openTime);
|
||||
if(held >= d.maxHoldingBars)
|
||||
{
|
||||
if(ptype == POSITION_TYPE_BUY)
|
||||
closeLong = true;
|
||||
else
|
||||
closeShort = true;
|
||||
reason = "time stop (max bars)";
|
||||
}
|
||||
}
|
||||
|
||||
if(ptype == POSITION_TYPE_BUY)
|
||||
{
|
||||
if(d.exitOnTrendFlip && SuperEMA_TrendDown(d, d.emaTrendBars))
|
||||
{
|
||||
closeLong = true;
|
||||
reason = "trend flip (below slow EMA)";
|
||||
}
|
||||
if(d.exitOnMacdFlip && h1 < 0.0)
|
||||
{
|
||||
closeLong = true;
|
||||
reason = "MACD histogram < 0";
|
||||
}
|
||||
if(d.exitOnCciZeroCross && SuperEMA_CciCrossBelowZero(d))
|
||||
{
|
||||
closeLong = true;
|
||||
reason = "CCI crossed below zero";
|
||||
}
|
||||
if(d.exitBelowMidEma)
|
||||
{
|
||||
double c = iClose(d.symbol, d.tf, 1);
|
||||
double emaM = SuperEMA_EmaAt(d, d.emaMid, 1);
|
||||
if(emaM > 0.0 && c < emaM)
|
||||
{
|
||||
closeLong = true;
|
||||
reason = "close below mid EMA";
|
||||
}
|
||||
}
|
||||
if(closeLong)
|
||||
SuperEMA_CloseTicket(d, ticket, reason);
|
||||
}
|
||||
else if(ptype == POSITION_TYPE_SELL)
|
||||
{
|
||||
if(d.exitOnTrendFlip && SuperEMA_TrendUp(d, d.emaTrendBars))
|
||||
{
|
||||
closeShort = true;
|
||||
reason = "trend flip (above slow EMA)";
|
||||
}
|
||||
if(d.exitOnMacdFlip && h1 > 0.0)
|
||||
{
|
||||
closeShort = true;
|
||||
reason = "MACD histogram > 0";
|
||||
}
|
||||
if(d.exitOnCciZeroCross && SuperEMA_CciCrossAboveZero(d))
|
||||
{
|
||||
closeShort = true;
|
||||
reason = "CCI crossed above zero";
|
||||
}
|
||||
if(d.exitBelowMidEma)
|
||||
{
|
||||
double c = iClose(d.symbol, d.tf, 1);
|
||||
double emaM = SuperEMA_EmaAt(d, d.emaMid, 1);
|
||||
if(emaM > 0.0 && c > emaM)
|
||||
{
|
||||
closeShort = true;
|
||||
reason = "close above mid EMA";
|
||||
}
|
||||
}
|
||||
if(closeShort)
|
||||
SuperEMA_CloseTicket(d, ticket, reason);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
bool InitSuperEMA(SuperEMAData &d,
|
||||
const string symbol,
|
||||
const ENUM_TIMEFRAMES tf,
|
||||
const int slippagePoints,
|
||||
const int magic,
|
||||
const int emaFast,
|
||||
const int emaMid,
|
||||
const int emaSlow,
|
||||
const int emaTrendBars,
|
||||
const int cciPeriod,
|
||||
const double cciOverbought,
|
||||
const double cciOversold,
|
||||
const int pullbackCciLookback,
|
||||
const int macdFast,
|
||||
const int macdSlow,
|
||||
const int macdSignal,
|
||||
const ENUM_SE_ENTRY_STYLE entryStyle,
|
||||
const bool oneTradeOnly,
|
||||
const bool useStructuralSL,
|
||||
const double slBufferPoints,
|
||||
const bool exitOnTrendFlip,
|
||||
const bool exitOnMacdFlip,
|
||||
const bool exitOnCciZeroCross,
|
||||
const int maxHoldingBars,
|
||||
const bool exitBelowMidEma,
|
||||
const bool debugLogs)
|
||||
{
|
||||
d.symbol = symbol;
|
||||
if(StringLen(d.symbol) == 0)
|
||||
d.symbol = _Symbol;
|
||||
d.tf = tf;
|
||||
d.lastBarTime = 0;
|
||||
d.isInitialized = false;
|
||||
d.slippagePoints = slippagePoints;
|
||||
d.magic = magic;
|
||||
d.emaFast = emaFast;
|
||||
d.emaMid = emaMid;
|
||||
d.emaSlow = emaSlow;
|
||||
d.emaTrendBars = emaTrendBars;
|
||||
d.cciPeriod = cciPeriod;
|
||||
d.cciOverbought = cciOverbought;
|
||||
d.cciOversold = cciOversold;
|
||||
d.pullbackCciLookback = pullbackCciLookback;
|
||||
d.macdFast = macdFast;
|
||||
d.macdSlow = macdSlow;
|
||||
d.macdSignal = macdSignal;
|
||||
d.entryStyle = entryStyle;
|
||||
d.oneTradeOnly = oneTradeOnly;
|
||||
d.useStructuralSL = useStructuralSL;
|
||||
d.slBufferPoints = slBufferPoints;
|
||||
d.exitOnTrendFlip = exitOnTrendFlip;
|
||||
d.exitOnMacdFlip = exitOnMacdFlip;
|
||||
d.exitOnCciZeroCross = exitOnCciZeroCross;
|
||||
d.maxHoldingBars = maxHoldingBars;
|
||||
d.exitBelowMidEma = exitBelowMidEma;
|
||||
d.debugLogs = debugLogs;
|
||||
|
||||
if(!SymbolSelect(d.symbol, true))
|
||||
{
|
||||
Print("SuperEMA: symbol not available: ", d.symbol);
|
||||
return false;
|
||||
}
|
||||
d.trade.SetExpertMagicNumber(d.magic);
|
||||
d.trade.SetDeviationInPoints(d.slippagePoints);
|
||||
d.isInitialized = true;
|
||||
return true;
|
||||
}
|
||||
|
||||
void ProcessSuperEMA(SuperEMAData &d, const double lots)
|
||||
{
|
||||
if(!d.isInitialized)
|
||||
return;
|
||||
|
||||
if(!SuperEMA_IsNewBar(d))
|
||||
return;
|
||||
|
||||
SuperEMA_ManageExits(d);
|
||||
|
||||
if(d.oneTradeOnly && SuperEMA_PositionsByMagic(d) > 0)
|
||||
return;
|
||||
|
||||
const int sh = d.emaTrendBars;
|
||||
double h1 = 0.0, h2 = 0.0;
|
||||
if(!SuperEMA_MacdHistAt(d, 1, h1) || !SuperEMA_MacdHistAt(d, 2, h2))
|
||||
return;
|
||||
|
||||
bool up = SuperEMA_TrendUp(d, sh);
|
||||
bool dn = SuperEMA_TrendDown(d, sh);
|
||||
|
||||
bool wantBuy = false;
|
||||
bool wantSell = false;
|
||||
|
||||
switch(d.entryStyle)
|
||||
{
|
||||
case SE_ENTRY_CCIZERO_MACD:
|
||||
if(up && SuperEMA_CciCrossAboveZero(d) && h1 > 0.0)
|
||||
wantBuy = true;
|
||||
if(dn && SuperEMA_CciCrossBelowZero(d) && h1 < 0.0)
|
||||
wantSell = true;
|
||||
break;
|
||||
|
||||
case SE_ENTRY_LAMBERT:
|
||||
if(up && SuperEMA_CciCrossAbove100(d) && h1 > 0.0)
|
||||
wantBuy = true;
|
||||
if(dn && SuperEMA_CciCrossBelowMinus100(d) && h1 < 0.0)
|
||||
wantSell = true;
|
||||
break;
|
||||
|
||||
case SE_ENTRY_PULLBACK:
|
||||
if(up && SuperEMA_HadCciOversoldRecently(d) && SuperEMA_CciCrossAboveZero(d) && h1 > 0.0 && SuperEMA_PullbackNearFastEmaLong(d))
|
||||
wantBuy = true;
|
||||
if(dn && SuperEMA_HadCciOverboughtRecently(d) && SuperEMA_CciCrossBelowZero(d) && h1 < 0.0 && SuperEMA_PullbackNearFastEmaShort(d))
|
||||
wantSell = true;
|
||||
break;
|
||||
}
|
||||
|
||||
MqlTick tick;
|
||||
if(!SymbolInfoTick(d.symbol, tick))
|
||||
return;
|
||||
|
||||
double sl = 0.0, tp = 0.0;
|
||||
|
||||
if(wantBuy && !wantSell)
|
||||
{
|
||||
SuperEMA_ComputeSLTP(d, true, sl, tp);
|
||||
if(d.trade.Buy(lots, d.symbol, tick.ask, sl, tp, "United SuperEMA long"))
|
||||
SuperEMA_Log(d, StringFormat("BUY ask=%.5f sl=%.5f", tick.ask, sl));
|
||||
}
|
||||
else if(wantSell && !wantBuy)
|
||||
{
|
||||
SuperEMA_ComputeSLTP(d, false, sl, tp);
|
||||
if(d.trade.Sell(lots, d.symbol, tick.bid, sl, tp, "United SuperEMA short"))
|
||||
SuperEMA_Log(d, StringFormat("SELL bid=%.5f sl=%.5f", tick.bid, sl));
|
||||
}
|
||||
}
|
||||
|
||||
void DeinitSuperEMA(SuperEMAData &d)
|
||||
{
|
||||
d.isInitialized = false;
|
||||
}
|
||||
|
||||
#endif // SUPER_EMA_STRATEGY_MQH
|
||||
Reference in New Issue
Block a user