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This commit is contained in:
zhutoutoutousan
@@ -0,0 +1,21 @@
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\section{Simple EMA Price-Action: V1 Exploration Roadmap}
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\label{sec:simple-ema-v1-roadmap}
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\textbf{Objective (V1).}
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Establish a robust baseline for the BTCUSD EMA price-action cross strategy before adding complexity. V1 prioritizes stability, explainability, and out-of-sample consistency.
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\begin{enumerate}
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\item \textbf{Baseline calibration}: optimize core parameters ($EMA$ period, minimum candle body, ATR stop/take-profit multipliers) with bounded search ranges and fixed transaction-cost assumptions.
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\item \textbf{Regime segmentation}: split results by volatility/trend regime (e.g., ATR percentile and ADX bins) to identify where the strategy has structural edge.
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\item \textbf{Session effects}: evaluate performance across Asia, London, and New York sessions; test session-specific body-size and risk multipliers.
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\item \textbf{Exit policy comparison}: compare fixed ATR exits vs. trailing stop and partial take-profit exits; report trade duration, payoff skew, and drawdown impact.
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\item \textbf{Execution stress test}: re-run with adverse spread/slippage scenarios to measure fragility and realistic live-trading degradation.
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\item \textbf{Position-sizing study}: benchmark fixed lot, volatility targeting, and capped fractional sizing with drawdown constraints.
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\item \textbf{Signal quality filters}: test wick/body ratio and momentum confirmation to reduce false crosses; quantify precision-recall tradeoff.
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\item \textbf{Walk-forward validation}: use rolling train-test windows and report parameter drift, out-of-sample Sharpe, and failure periods.
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\item \textbf{Statistical confidence}: include bootstrap confidence intervals for Sharpe, profit factor, win rate, and max drawdown.
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\item \textbf{Portfolio contribution}: evaluate correlation-adjusted P\&L contribution when combined with other robots in the united\_dynamic stack.
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\end{enumerate}
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\textbf{V1 deliverables.}
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For each experiment, report: net P\&L, Sharpe, Sortino, max drawdown, profit factor, win rate, average trade duration, and out-of-sample performance delta.
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@@ -0,0 +1,179 @@
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#property strict
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#property version "1.00"
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#include <Trade/Trade.mqh>
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input group "=== Market ==="
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input string InpSymbol = "BTCUSD";
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input ENUM_TIMEFRAMES InpTimeframe = PERIOD_M15;
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input double InpLots = 0.01;
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input int InpSlippagePoints = 30;
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input int InpMagic = 910001;
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input group "=== Signal ==="
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input int InpEmaPeriod = 50;
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input int InpBodyMinPoints = 100; // Minimal candle body size
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input group "=== Risk ==="
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input bool InpUseAtrStops = true;
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input int InpAtrPeriod = 14;
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input double InpSlAtrMult = 1.8;
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input double InpTpAtrMult = 3.0;
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input double InpFallbackSLPoints = 2500;
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input double InpFallbackTPPoints = 4500;
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CTrade trade;
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datetime g_lastBarTime = 0;
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bool IsNewBar(const string symbol, const ENUM_TIMEFRAMES tf)
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{
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datetime t = iTime(symbol, tf, 0);
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if(t <= 0)
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return false;
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if(t == g_lastBarTime)
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return false;
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g_lastBarTime = t;
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return true;
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}
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bool SelectOwnPosition(const string symbol, const int magic)
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{
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if(!PositionSelect(symbol))
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return false;
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return (int)PositionGetInteger(POSITION_MAGIC) == magic;
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}
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double GetAtrPoints(const string symbol, const ENUM_TIMEFRAMES tf, const int period)
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{
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int hAtr = iATR(symbol, tf, period);
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if(hAtr == INVALID_HANDLE)
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return 0.0;
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double atrBuff[1];
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if(CopyBuffer(hAtr, 0, 1, 1, atrBuff) <= 0)
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{
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IndicatorRelease(hAtr);
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return 0.0;
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}
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IndicatorRelease(hAtr);
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return atrBuff[0] / _Point;
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}
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double GetEmaValue(const string symbol, const ENUM_TIMEFRAMES tf, const int period, const int shift)
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{
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int hEma = iMA(symbol, tf, period, 0, MODE_EMA, PRICE_CLOSE);
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if(hEma == INVALID_HANDLE)
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return 0.0;
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double emaBuff[1];
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if(CopyBuffer(hEma, 0, shift, 1, emaBuff) <= 0)
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{
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IndicatorRelease(hEma);
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return 0.0;
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}
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IndicatorRelease(hEma);
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return emaBuff[0];
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}
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void ComputeStops(const bool isBuy, const double entry, double &sl, double &tp)
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{
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double slPts = InpFallbackSLPoints;
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double tpPts = InpFallbackTPPoints;
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if(InpUseAtrStops)
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{
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double atrPts = GetAtrPoints(InpSymbol, InpTimeframe, InpAtrPeriod);
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if(atrPts > 0.0)
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{
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slPts = MathMax(atrPts * InpSlAtrMult, 100.0);
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tpPts = MathMax(atrPts * InpTpAtrMult, 100.0);
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}
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}
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if(isBuy)
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{
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sl = entry - slPts * _Point;
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tp = entry + tpPts * _Point;
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}
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else
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{
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sl = entry + slPts * _Point;
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tp = entry - tpPts * _Point;
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}
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}
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int OnInit()
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{
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if(!SymbolSelect(InpSymbol, true))
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{
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Print("Failed to select symbol: ", InpSymbol);
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return(INIT_FAILED);
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}
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trade.SetDeviationInPoints(InpSlippagePoints);
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trade.SetExpertMagicNumber(InpMagic);
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return(INIT_SUCCEEDED);
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}
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void OnTick()
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{
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if(_Symbol != InpSymbol)
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return;
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if(!IsNewBar(InpSymbol, InpTimeframe))
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return;
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// Use closed candles (shift 1 and 2) to avoid intrabar repainting behavior.
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double o1 = iOpen(InpSymbol, InpTimeframe, 1);
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double c1 = iClose(InpSymbol, InpTimeframe, 1);
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double o2 = iOpen(InpSymbol, InpTimeframe, 2);
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double c2 = iClose(InpSymbol, InpTimeframe, 2);
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double e1 = GetEmaValue(InpSymbol, InpTimeframe, InpEmaPeriod, 1);
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double e2 = GetEmaValue(InpSymbol, InpTimeframe, InpEmaPeriod, 2);
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if(e1 == 0.0 || e2 == 0.0)
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return;
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bool bullishBody = (c1 > o1) && ((c1 - o1) / _Point >= InpBodyMinPoints);
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bool bearishBody = (o1 > c1) && ((o1 - c1) / _Point >= InpBodyMinPoints);
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bool crossedUp = (c2 <= e2 && c1 > e1);
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bool crossedDown = (c2 >= e2 && c1 < e1);
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bool longSignal = crossedUp && bullishBody;
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bool shortSignal = crossedDown && bearishBody;
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bool hasPos = SelectOwnPosition(InpSymbol, InpMagic);
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if(hasPos)
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{
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ENUM_POSITION_TYPE posType = (ENUM_POSITION_TYPE)PositionGetInteger(POSITION_TYPE);
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if((posType == POSITION_TYPE_BUY && shortSignal) ||
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(posType == POSITION_TYPE_SELL && longSignal))
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{
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trade.PositionClose(InpSymbol);
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hasPos = false;
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}
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}
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if(hasPos)
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return;
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MqlTick tick;
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if(!SymbolInfoTick(InpSymbol, tick))
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return;
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double sl = 0.0, tp = 0.0;
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if(longSignal)
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{
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ComputeStops(true, tick.ask, sl, tp);
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trade.Buy(InpLots, InpSymbol, tick.ask, sl, tp, "Simple EMA PA Cross");
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}
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else if(shortSignal)
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{
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ComputeStops(false, tick.bid, sl, tp);
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trade.Sell(InpLots, InpSymbol, tick.bid, sl, tp, "Simple EMA PA Cross");
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}
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}
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@@ -0,0 +1,297 @@
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#property strict
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#property version "1.10"
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#include <Trade/Trade.mqh>
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input group "=== Market ==="
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input string InpSymbol = "BTCUSD";
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input ENUM_TIMEFRAMES InpTimeframe = PERIOD_M15;
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input double InpLots = 0.01;
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input int InpSlippagePoints = 30;
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input int InpMagic = 910011;
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input group "=== Signal ==="
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input int InpEmaPeriod = 50;
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input int InpBodyMinPoints = 100;
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input bool InpUseAdxFilter = true;
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input int InpAdxPeriod = 14;
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input double InpAdxMin = 18.0;
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input group "=== Session Filter (Server Hour) ==="
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input bool InpUseSessionFilter = false;
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input int InpSessionStartHour = 6;
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input int InpSessionEndHour = 22;
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input group "=== Risk ==="
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input bool InpUseAtrStops = true;
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input int InpAtrPeriod = 14;
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input double InpSlAtrMult = 1.8;
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input double InpTpAtrMult = 3.0;
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input bool InpUseHardSL = true;
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input bool InpUseHardTP = false;
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input bool InpUseTrailingStop = true;
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input double InpTrailAtrMult = 1.2;
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input bool InpUseBreakEven = true;
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input double InpBreakEvenAtrTrigger = 1.0;
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input double InpBreakEvenLockPoints = 100;
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input double InpFallbackSLPoints = 2500;
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input double InpFallbackTPPoints = 4500;
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CTrade trade;
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datetime g_lastBarTime = 0;
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bool IsNewBar(const string symbol, const ENUM_TIMEFRAMES tf)
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{
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datetime t = iTime(symbol, tf, 0);
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if(t <= 0 || t == g_lastBarTime)
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return false;
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g_lastBarTime = t;
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return true;
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}
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bool IsInAllowedSession()
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{
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if(!InpUseSessionFilter)
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return true;
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MqlDateTime dt;
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if(!TimeToStruct(TimeCurrent(), dt))
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return true;
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int h = dt.hour;
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if(InpSessionStartHour <= InpSessionEndHour)
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return (h >= InpSessionStartHour && h < InpSessionEndHour);
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// Overnight window, e.g. 22 -> 6
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return (h >= InpSessionStartHour || h < InpSessionEndHour);
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}
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bool SelectOwnPosition(const string symbol, const int magic)
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{
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if(!PositionSelect(symbol))
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return false;
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return (int)PositionGetInteger(POSITION_MAGIC) == magic;
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}
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double GetIndicatorValue(const int handle, const int bufferIndex, const int shift)
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{
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if(handle == INVALID_HANDLE)
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return 0.0;
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double buff[1];
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if(CopyBuffer(handle, bufferIndex, shift, 1, buff) <= 0)
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return 0.0;
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return buff[0];
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}
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double GetAtrPoints(const string symbol, const ENUM_TIMEFRAMES tf, const int period)
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{
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int hAtr = iATR(symbol, tf, period);
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double atr = GetIndicatorValue(hAtr, 0, 1);
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if(hAtr != INVALID_HANDLE)
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IndicatorRelease(hAtr);
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if(atr <= 0.0)
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return 0.0;
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return atr / _Point;
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}
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double GetEmaValue(const string symbol, const ENUM_TIMEFRAMES tf, const int period, const int shift)
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{
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int hEma = iMA(symbol, tf, period, 0, MODE_EMA, PRICE_CLOSE);
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double ema = GetIndicatorValue(hEma, 0, shift);
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if(hEma != INVALID_HANDLE)
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IndicatorRelease(hEma);
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return ema;
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}
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double GetAdxValue(const string symbol, const ENUM_TIMEFRAMES tf, const int period, const int shift)
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{
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int hAdx = iADX(symbol, tf, period);
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double adx = GetIndicatorValue(hAdx, 0, shift);
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if(hAdx != INVALID_HANDLE)
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IndicatorRelease(hAdx);
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return adx;
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}
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void ComputeStops(const bool isBuy, const double entry, double &sl, double &tp)
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{
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double slPts = InpFallbackSLPoints;
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double tpPts = InpFallbackTPPoints;
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if(InpUseAtrStops)
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{
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double atrPts = GetAtrPoints(InpSymbol, InpTimeframe, InpAtrPeriod);
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if(atrPts > 0.0)
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{
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slPts = MathMax(atrPts * InpSlAtrMult, 100.0);
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tpPts = MathMax(atrPts * InpTpAtrMult, 100.0);
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}
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}
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if(isBuy)
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{
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sl = InpUseHardSL ? (entry - slPts * _Point) : 0.0;
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tp = InpUseHardTP ? (entry + tpPts * _Point) : 0.0;
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}
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else
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{
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sl = InpUseHardSL ? (entry + slPts * _Point) : 0.0;
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tp = InpUseHardTP ? (entry - tpPts * _Point) : 0.0;
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}
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}
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void ManageOpenPosition()
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{
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if(!SelectOwnPosition(InpSymbol, InpMagic))
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return;
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MqlTick tick;
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if(!SymbolInfoTick(InpSymbol, tick))
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return;
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ENUM_POSITION_TYPE posType = (ENUM_POSITION_TYPE)PositionGetInteger(POSITION_TYPE);
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double openPrice = PositionGetDouble(POSITION_PRICE_OPEN);
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double curSL = PositionGetDouble(POSITION_SL);
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double curTP = PositionGetDouble(POSITION_TP);
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double atrPts = GetAtrPoints(InpSymbol, InpTimeframe, InpAtrPeriod);
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if(atrPts <= 0.0)
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atrPts = InpFallbackSLPoints;
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double triggerPts = atrPts * InpBreakEvenAtrTrigger;
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double trailPts = MathMax(atrPts * InpTrailAtrMult, 50.0);
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double newSL = curSL;
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bool needModify = false;
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if(posType == POSITION_TYPE_BUY)
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{
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double profitPts = (tick.bid - openPrice) / _Point;
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if(InpUseBreakEven && profitPts >= triggerPts)
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{
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double beSL = openPrice + InpBreakEvenLockPoints * _Point;
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if(newSL == 0.0 || beSL > newSL)
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{
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newSL = beSL;
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needModify = true;
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}
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}
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if(InpUseTrailingStop)
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{
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double trailSL = tick.bid - trailPts * _Point;
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if((newSL == 0.0 || trailSL > newSL) && trailSL < tick.bid)
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{
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newSL = trailSL;
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needModify = true;
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}
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}
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}
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else if(posType == POSITION_TYPE_SELL)
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{
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double profitPts = (openPrice - tick.ask) / _Point;
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if(InpUseBreakEven && profitPts >= triggerPts)
|
||||
{
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double beSL = openPrice - InpBreakEvenLockPoints * _Point;
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if(newSL == 0.0 || beSL < newSL)
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||||
{
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newSL = beSL;
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needModify = true;
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||||
}
|
||||
}
|
||||
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if(InpUseTrailingStop)
|
||||
{
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double trailSL = tick.ask + trailPts * _Point;
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if((newSL == 0.0 || trailSL < newSL) && trailSL > tick.ask)
|
||||
{
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newSL = trailSL;
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needModify = true;
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||||
}
|
||||
}
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||||
}
|
||||
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||||
if(needModify)
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trade.PositionModify(InpSymbol, newSL, curTP);
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}
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||||
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||||
int OnInit()
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||||
{
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if(!SymbolSelect(InpSymbol, true))
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{
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Print("Failed to select symbol: ", InpSymbol);
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return(INIT_FAILED);
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||||
}
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||||
|
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trade.SetDeviationInPoints(InpSlippagePoints);
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trade.SetExpertMagicNumber(InpMagic);
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return(INIT_SUCCEEDED);
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||||
}
|
||||
|
||||
void OnTick()
|
||||
{
|
||||
if(_Symbol != InpSymbol)
|
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return;
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||||
|
||||
ManageOpenPosition();
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||||
if(!IsInAllowedSession())
|
||||
return;
|
||||
if(!IsNewBar(InpSymbol, InpTimeframe))
|
||||
return;
|
||||
|
||||
double o1 = iOpen(InpSymbol, InpTimeframe, 1);
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||||
double c1 = iClose(InpSymbol, InpTimeframe, 1);
|
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double c2 = iClose(InpSymbol, InpTimeframe, 2);
|
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double e1 = GetEmaValue(InpSymbol, InpTimeframe, InpEmaPeriod, 1);
|
||||
double e2 = GetEmaValue(InpSymbol, InpTimeframe, InpEmaPeriod, 2);
|
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if(e1 == 0.0 || e2 == 0.0)
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||||
return;
|
||||
|
||||
if(InpUseAdxFilter)
|
||||
{
|
||||
double adx = GetAdxValue(InpSymbol, InpTimeframe, InpAdxPeriod, 1);
|
||||
if(adx < InpAdxMin)
|
||||
return;
|
||||
}
|
||||
|
||||
bool bullishBody = (c1 > o1) && ((c1 - o1) / _Point >= InpBodyMinPoints);
|
||||
bool bearishBody = (o1 > c1) && ((o1 - c1) / _Point >= InpBodyMinPoints);
|
||||
bool crossedUp = (c2 <= e2 && c1 > e1);
|
||||
bool crossedDown = (c2 >= e2 && c1 < e1);
|
||||
|
||||
bool longSignal = crossedUp && bullishBody;
|
||||
bool shortSignal = crossedDown && bearishBody;
|
||||
|
||||
bool hasPos = SelectOwnPosition(InpSymbol, InpMagic);
|
||||
if(hasPos)
|
||||
{
|
||||
ENUM_POSITION_TYPE posType = (ENUM_POSITION_TYPE)PositionGetInteger(POSITION_TYPE);
|
||||
if((posType == POSITION_TYPE_BUY && shortSignal) ||
|
||||
(posType == POSITION_TYPE_SELL && longSignal))
|
||||
{
|
||||
trade.PositionClose(InpSymbol);
|
||||
hasPos = false;
|
||||
}
|
||||
}
|
||||
|
||||
if(hasPos)
|
||||
return;
|
||||
|
||||
MqlTick tick;
|
||||
if(!SymbolInfoTick(InpSymbol, tick))
|
||||
return;
|
||||
|
||||
double sl = 0.0, tp = 0.0;
|
||||
if(longSignal)
|
||||
{
|
||||
ComputeStops(true, tick.ask, sl, tp);
|
||||
trade.Buy(InpLots, InpSymbol, tick.ask, sl, tp, "Simple EMA PA Cross V1");
|
||||
}
|
||||
else if(shortSignal)
|
||||
{
|
||||
ComputeStops(false, tick.bid, sl, tp);
|
||||
trade.Sell(InpLots, InpSymbol, tick.bid, sl, tp, "Simple EMA PA Cross V1");
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user