MQLArticles/RM/RM_Hooks.mqh

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                 Modificators.mqh |
//|                                  Copyright 2025, Niquel Mendoza. |
//|                     https://www.mql5.com/es/users/nique_372/news |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, Niquel Mendoza."
#property link      "https://www.mql5.com/es/users/nique_372/news"
#property strict

#ifndef MQLARTICLES_RM_HOOKS_MQH
#define MQLARTICLES_RM_HOOKS_MQH

#include "LossProfit.mqh"


//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
class IRiskManagementHook : public CLoggerBase
 {
public:
  //--- Virtual functions
  // Function that will be executed each time a position is closed
  virtual void       OnClosePosition(ModifierOnOpenCloseStruct &on_open_close_struct) {  }

  // Function that will be executed each time an operation is opened
  virtual void       OnOpenPosition(ModifierOnOpenCloseStruct &on_open_close_struct) {  }

  // Function that will be executed only once (at the moment of creating the m_modifier)
  virtual void       OnInitModifier(ModfierInitInfo &on_init) {  }

  // Function that will be executed each new day
  virtual void       OnNewDay() { }

  //---
  virtual inline string Name() const = 0;
 };

//+--------------------------------------------------------------------+
//| Class to integrate external modifications to risk management       |
//+--------------------------------------------------------------------+
class CExtraModifications : public IRiskManagementHook
 {
protected:
  const CLossProfit* m_modifier;
  ENUM_TYPE_LOSS_PROFIT m_property_to_modify;
  string             m_modifier_name;

public:
                     CExtraModifications(ENUM_TYPE_LOSS_PROFIT _property_to_modify = WRONG_VALUE) { m_property_to_modify = _property_to_modify; }

  //--- Non-modifiable functions
  // Function that returns the type of "maximum loss or profit" that this class is modifying
  inline ENUM_TYPE_LOSS_PROFIT MaximumProfitOrLossAModify() const { return m_property_to_modify; };

  // Function that will be used in CRiskManagement to assign the "maximum loss or profit" based on the type of "maximum loss or profit" chosen
  // in the constructor.
  void               SetPointer(const CLossProfit* const _modifier);

  // Name of the custom modifier (to differentiate from others)
  inline string      Name() const override final { return m_modifier_name; }
 };


//+------------------------------------------------------------------+
//| Set pointer                                                      |
//+------------------------------------------------------------------+
void CExtraModifications::SetPointer(const CLossProfit* const _modifier)
 {
//---
  if(CheckPointer(_modifier) == POINTER_INVALID)
   {
    LogFatalError(StringFormat("The pointer to CLossProfit* for m_modifier %s is invalid", Name()), FUNCION_ACTUAL);
    Remover();
    return;
   }

//---
  if(_modifier.GetType() != MaximumProfitOrLossAModify())
   {
    LogFatalError(StringFormat("The type of the maximum loss/gain = %s, is different from the property to be modified = %s",
                               _modifier.Name(), EnumToString(MaximumProfitOrLossAModify())), FUNCION_ACTUAL);
    Remover();
    return;
   }

//---
  m_modifier = _modifier;
 }

//+------------------------------------------------------------------+
//| Clase para aumentar el riesgo                                    |
//+------------------------------------------------------------------+
enum ENUM_MULTIPLIER_METHOD_DR
 {
  DR_MULTIPLIER = 0,  // Multiplier
  DR_EXPONECIAL = 1,  // Exponential
  DR_SUMATORIO = 2   // Additive (Summation)
 };

//--- Clase
class CDynamicRisk : public CExtraModifications
 {
private:
  double             paso;
  double             val;
  double             percentage_a_empezar_modfiicacioneS;
  ENUM_MULTIPLIER_METHOD_DR metod;
  void               Aumentar();
  bool               is_set;

public:
                     CDynamicRisk(double step, double percentage_to_empezar, ENUM_TYPE_LOSS_PROFIT property_to_modify, ENUM_MULTIPLIER_METHOD_DR multiplier_);
  void               OnClosePosition(ModifierOnOpenCloseStruct &on_open_close_struct) override final;
  void               OnInitModifier(ModfierInitInfo &on_init) override final;
 };
//+------------------------------------------------------------------+
CDynamicRisk::CDynamicRisk(double step, double percentage_to_empezar, ENUM_TYPE_LOSS_PROFIT property_to_modify, ENUM_MULTIPLIER_METHOD_DR multiplier_)
  : CExtraModifications(property_to_modify)
 {
  m_modifier_name = "Risk enhancer by default";
  paso = step;
  percentage_a_empezar_modfiicacioneS = percentage_to_empezar;
  metod = multiplier_;
  is_set = false;

  if((int)metod > 2 || metod < 0)
   {
    LogFatalError(StringFormat("The method %s is invalid", EnumToString(metod)), FUNCION_ACTUAL);
    Remover();
   }

 }
//+------------------------------------------------------------------+
void CDynamicRisk::OnInitModifier(ModfierInitInfo & on_init)
 {
  percentage_a_empezar_modfiicacioneS /= 100.0;
  percentage_a_empezar_modfiicacioneS *= on_init.balance;
  Print("Balance to increase risk: ", percentage_a_empezar_modfiicacioneS);
  val = m_modifier.GetCalcValue();
//Print("Valor del porcentaje: ", val);
 }
//+------------------------------------------------------------------+
void CDynamicRisk::OnClosePosition(ModifierOnOpenCloseStruct & on_open_close_struct)
 {
  if(on_open_close_struct.position.profit > 0 && on_open_close_struct.profit_total > percentage_a_empezar_modfiicacioneS)
   {
    LogInfo(StringFormat("By increasing the risk, a profit of %.2f has been obtained. The initial balance has been exceeded by %.2f.",
                         on_open_close_struct.position.profit, percentage_a_empezar_modfiicacioneS), FUNCION_ACTUAL);
    Aumentar();
    m_modifier.SetCalcValue(val);
   }
  else
   {
    val = m_modifier.SetInitialCalcValue();
   }
 }
//+------------------------------------------------------------------+
void CDynamicRisk::Aumentar(void)
 {
  switch(metod)
   {
    case DR_MULTIPLIER:
      val *= paso;
      break;

    case DR_EXPONECIAL:
      val *= MathExp(paso);
      break;

    case DR_SUMATORIO:
      val += paso;
      break;

    default:
      Remover();
      break;
   }
 }

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
class CModificatorOscar  : public CExtraModifications
 {
private:
  double             max_risk;
  double             riesgo_inciial;
  double             fat_mul;
  double             prev_risk;
  int                hora_ny_init;
  int                min_ny_inti;
  datetime           hora_pa;
  datetime           hora_pd;

public:
                     CModificatorOscar(double max_risk_percent, double risk_init_percent, double multiplicator_, int init_ny_h, int init_ny_min);


  //---
  void               OnNewDay() override final;
  void               OnInitModifier(ModfierInitInfo &on_init) override final;
  void               OnClosePosition(ModifierOnOpenCloseStruct &on_open_close_struct) override final;
 };


//+------------------------------------------------------------------+
CModificatorOscar::CModificatorOscar(double max_risk_percent, double risk_init_percent, double multiplicator_, int init_ny_h, int init_ny_min)
  : CExtraModifications(LP_GMLPO) //Modify the risk by operation
 {
  max_risk = max_risk_percent;
  riesgo_inciial = risk_init_percent;
  fat_mul = multiplicator_;
  hora_ny_init = init_ny_h;
  min_ny_inti = init_ny_min;
  m_modifier_name = "Modifier by oscar";
 }

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void CModificatorOscar::OnNewDay(void)
 {
  datetime hora_ny = HoraYMinutoADatetime(hora_ny_init, min_ny_inti, TimeCurrent());
  hora_pa = hora_ny - 60;
  hora_pd = hora_ny + 60;
 }

//+------------------------------------------------------------------+
void CModificatorOscar::OnInitModifier(ModfierInitInfo &on_init)
 {
  riesgo_inciial /= 100.0;
  riesgo_inciial *= on_init.balance;
 }

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void CModificatorOscar::OnClosePosition(ModifierOnOpenCloseStruct &on_open_close_struct)
 {
  bool es_perdida = on_open_close_struct.position.profit < 0.00;
  bool cerro_por_sl = on_open_close_struct.deal_reason == DEAL_REASON_SL;
  bool cerro_por_tp = on_open_close_struct.deal_reason == DEAL_REASON_TP;
  bool cerrado_en_ny = TimeCurrent() >= hora_pa && TimeCurrent() <= hora_pd;

//---
  if(cerrado_en_ny)
   {
    LogInfo("Operation closed during NY hours - current risk remains", FUNCION_ACTUAL);
    return;
   }

//---
  if(es_perdida && cerro_por_sl)
   {
    LogInfo(StringFormat("SL reached - increasing risk. Loss: %.2f", on_open_close_struct.position.profit), FUNCION_ACTUAL);
    double new_risk = m_modifier.GetCalcValue() * fat_mul;

    if(new_risk <= max_risk)
      m_modifier.SetCalcValue(new_risk);
    else
      m_modifier.SetCalcValue(max_risk);

   }
  else
    if(!es_perdida && cerro_por_tp)
     {
      LogInfo("TP reached - resetting to initial risk", FUNCION_ACTUAL);
      m_modifier.SetInitialCalcValue();
     }
 }

//+--------------------------------------------------------------------------------------+
//| Clase para modificar el riesgo en base a la estrategia de 2.0                        |
//+--------------------------------------------------------------------------------------+
class CModifierDynamicRisk : public CExtraModifications
 {
private:
  double             to_applied[];
  int                index_gmlpo;

public:
                     CModifierDynamicRisk(string percentages_to_applied);

  //---
  void               OnClosePosition(ModifierOnOpenCloseStruct &on_open_close_struct) override final;
 };
//+------------------------------------------------------------------+
CModifierDynamicRisk::CModifierDynamicRisk(string percentages_to_applied)
  : CExtraModifications(LP_GMLPO)
 {
  StrTo::CstArray(to_applied, percentages_to_applied, ',');
  index_gmlpo = 0;
  m_modifier_name = "Dynamic Risk 2.0";
 }
//+------------------------------------------------------------------+
void CModifierDynamicRisk::OnClosePosition(ModifierOnOpenCloseStruct & on_open_close_struct)
 {
  if(on_open_close_struct.position.profit  < 0.00) //La posicion salio SL
   {
    // Print(__FUNCTION__, "Se a obtenido un sl modificando el riesgo...");
    m_modifier.SetCalcValue(to_applied[index_gmlpo]);

    if(index_gmlpo < (int)to_applied.Size() - 1)
      index_gmlpo++;
   }
  else //La posicion salio TP
   {
    //Print(__FUNCTION__, "Se a obtenido un tp modificando el riesgo...");
    index_gmlpo = 0;

    m_modifier.SetInitialCalcValue(); //Modificar al riesgo inicial
   }
 }


//+------------------------------------------------------------------+
//| Modificador de riesgo 2                                          |
//+------------------------------------------------------------------+
class CDynamicRiskAlma : public CExtraModifications
 {
private:
  double             multiplier;

public:
                     CDynamicRiskAlma(double mul)
    :                CExtraModifications(LP_GMLPO) { multiplier = mul;  m_modifier_name = "Dynamic Risk Alma v2"; }

  //---
  void               OnClosePosition(ModifierOnOpenCloseStruct &on_open_close_struct) override final;

 };

//+------------------------------------------------------------------+
void CDynamicRiskAlma::OnClosePosition(ModifierOnOpenCloseStruct & on_open_close_struct)
 {
  if(on_open_close_struct.profit_total < 0)
   {
    double r = m_modifier.GetCalcValue() * multiplier;
    m_modifier.SetCalcValue(r);
   }
  else
   {
    m_modifier.SetInitialCalcValue();
   }
 }


//+------------------------------------------------------------------+
//| Clase para modificar riesgo 3                                    |
//+------------------------------------------------------------------+
inline double FunctionKevin(double defect_risk, double loss_percentage, double constante)
 {
  return (defect_risk * MathExp(loss_percentage / constante));
 }
//+------------------------------------------------------------------+
class CMathDynamicRisk : public CExtraModifications
 {
private:
  double             constante;
  double             balance_inicial;


public:
                     CMathDynamicRisk(double constante_)
    :                CExtraModifications(LP_GMLPO) { constante = constante_; m_modifier_name = "Modifier By Kevin"; }

  //---
  void               OnClosePosition(ModifierOnOpenCloseStruct &on_open_close_struct) override final;
  void               OnInitModifier(ModfierInitInfo &on_init) override final;
 };

//+------------------------------------------------------------------+
void CMathDynamicRisk::OnInitModifier(ModfierInitInfo & on_init)
 {
  balance_inicial = on_init.balance;
 }

//+------------------------------------------------------------------+
void CMathDynamicRisk::OnClosePosition(ModifierOnOpenCloseStruct & on_open_close_struct)
 {
  double percentage_ = CalcularPorcentaje(on_open_close_struct.profit_total, balance_inicial);
  if(percentage_ < 0.00)
   {
    double new_percentage = FunctionKevin(m_modifier.GetInitialCalcValue(), percentage_, constante);
    m_modifier.SetCalcValue(NormalizeDouble(new_percentage, 2));
   }
 }



//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
class CDynamicFOptimal : public CExtraModifications
 {
private:
  int                num_pos;           // N<EFBFBD>mero total de posiciones cerradas
  double             profit[];         // Profits de operaciones ganadoras
  double             loss[];           // P<EFBFBD>rdidas (valor absoluto)
  double             sum_profit;       // Suma acumulada de profits
  double             sum_loss;         // Suma acumulada de p<EFBFBD>rdidas
  double             avg_profit;       // Promedio de profits
  double             avg_loss;         // Promedio de p<EFBFBD>rdidas
  double             rr;               // Relaci<EFBFBD>n ganancia/p<EFBFBD>rdida (R)
  double             win_probability;  // Probabilidad de ganar (p)
  int                min_trades;       // M<EFBFBD>nimo de operaciones para Kelly
  double             kelly_fraction;   // Fracci<EFBFBD>n de Kelly (por ejemplo, 0.5)
  int                max_data;         // M<EFBFBD>ximo n<EFBFBD>mero de operaciones a almacenar

  bool               enable_kelly_mod; // Agregar como variable de clase

public:
                     CDynamicFOptimal(int min_trades_, int max_data_to_update, double kelly_fraction_) : CExtraModifications(LP_GMLPO)
   {
    m_modifier_name = "Optimal F Modifier";
    num_pos = 0;
    sum_profit = 0.0;
    sum_loss = 0.0;
    avg_profit = 0.0;
    avg_loss = 0.0;
    rr = 0.0;
    win_probability = 0.0;
    min_trades = MathMax(min_trades_, 10);
    kelly_fraction = MathMax(0.0, MathMin(kelly_fraction_, 1.0)); // Corregir
    max_data = MathMax(max_data_to_update, 30);
    enable_kelly_mod = true;
    ArrayResize(profit, 0);
    ArrayResize(loss, 0);
   }

  void               TrimOldData()
   {
    int total_data = ArraySize(profit) + ArraySize(loss);
    if(total_data <= max_data)
      return;

    while(total_data > max_data)
     {
      if(ArraySize(profit) > 0 && (ArraySize(loss) == 0 || profit[0] <= loss[0]))
       {
        sum_profit -= profit[0];
        ArrayRemove(profit, 0, 1);
        int win_count = ArraySize(profit);
        avg_profit = win_count > 0 ? sum_profit / win_count : 0.0;
        num_pos--; // Decrementar
       }
      else
        if(ArraySize(loss) > 0)
         {
          sum_loss -= loss[0];
          ArrayRemove(loss, 0, 1);
          int loss_count = ArraySize(loss);
          avg_loss = loss_count > 0 ? sum_loss / loss_count : 0.0;
          num_pos--; // Decrementar
         }
      total_data = ArraySize(profit) + ArraySize(loss);
     }
   }

  void               OnClosePosition(ModifierOnOpenCloseStruct &on_open_close_struct) override final
   {
    double profit_value = on_open_close_struct.position.profit;
    num_pos++;

    if(profit_value == 0)
     {
      Print("Break-even operation detected");
      return;
     }

    if(profit_value > 0)
     {
      AddArrayNoVerification(profit, profit_value, 0);
      sum_profit += profit_value;
      int win_count = ArraySize(profit);
      avg_profit = win_count > 0 ? sum_profit / win_count : 0.0;
     }
    else
     {
      double val = fabs(profit_value);
      AddArrayNoVerification(loss, val, 0);
      sum_loss += fabs(profit_value);
      int loss_count = ArraySize(loss);
      avg_loss = loss_count > 0 ? sum_loss / loss_count : 0.0;
     }

    TrimOldData();

    int win_count = ArraySize(profit);
    int total_data = ArraySize(profit) + ArraySize(loss);
    win_probability = total_data > 0 ? (double)win_count / total_data : 0.0;

    rr = avg_loss > 0 ? avg_profit / avg_loss : 0.0;

    PrintFormat("%s: Debug | win_count: %d, loss_count: %d, avg_profit: %.2f, avg_loss: %.2f", __FUNCTION__, ArraySize(profit), ArraySize(loss), avg_profit, avg_loss);

    if(enable_kelly_mod && num_pos >= min_trades && rr > 0 && win_probability > 0)
     {
      double kelly = (win_probability * (rr + 1) - 1) / rr;
      kelly = MathMax(0.0, MathMin(kelly, 1.0));
      double adjusted_kelly = kelly * kelly_fraction;
      m_modifier.SetCalcValue(adjusted_kelly * 100.0);
      PrintFormat("%s: Info | Kelly ajustado: %+.2f, Probabilidad: %.2f, R: %.2f, Operaciones: %d", __FUNCTION__, adjusted_kelly * 100.0, win_probability, rr, num_pos);
     }
   }
 };

//+------------------------------------------------------------------+
//| Clase manager para modidicadores                                 |
//+------------------------------------------------------------------+
class CRiskManagemeHookManager : public CManagerBase<IRiskManagementHook>
 {
public:
                     CRiskManagemeHookManager() : CManagerBase<IRiskManagementHook>(false) { }

  //---
  __forceinline void OnClosePosition(ModifierOnOpenCloseStruct &on_open_close_struct);
  __forceinline void OnOpenPosition(ModifierOnOpenCloseStruct &on_open_close_struct);
  __forceinline void OnNewDay();
 };

//+------------------------------------------------------------------+
__forceinline void CRiskManagemeHookManager::OnClosePosition(ModifierOnOpenCloseStruct &on_open_close_struct)
 {
  for(int i = 0; i < total; i++)
    items[i].OnClosePosition(on_open_close_struct);
 }


//+------------------------------------------------------------------+
__forceinline void CRiskManagemeHookManager::OnOpenPosition(ModifierOnOpenCloseStruct &on_open_close_struct)
 {
  for(int i = 0; i < total; i++)
    items[i].OnOpenPosition(on_open_close_struct);
 }

//+------------------------------------------------------------------+
__forceinline void CRiskManagemeHookManager::OnNewDay(void)
 {
  for(int i = 0; i < total; i++)
    items[i].OnNewDay();
 }

/*
ADVERTENCIA al momeneto de a<EFBFBD>adir items a esta clase, esta si son dinamicos las eliminara cuidado.
WARNING when adding items to this class, if they are dynamic, be careful.
*/

//+------------------------------------------------------------------+
#endif // MQLARTICLES_RM_HOOKS_MQH
//+------------------------------------------------------------------+