forked from Princeec13/mql5
139 lines
4.9 KiB
MQL5
139 lines
4.9 KiB
MQL5
// MeanReversionBBStrategy.mqh
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// A mean-reversion strategy based on Bollinger Bands with a long-term trend filter.
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#property copyright "2025, Windsurf Engineering"
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#property link "https://www.windsurf.ai"
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#include "..\IStrategy.mqh"
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// For CFeaturesKB
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#include "..\KnowledgeBase.mqh"
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class CMeanReversionBBStrategy : public IStrategy
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{
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private:
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int m_bb_handle;
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int m_ma_handle;
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string m_symbol;
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ENUM_TIMEFRAMES m_timeframe;
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// --- Data arrays
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double m_bb_upper[], m_bb_lower[];
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double m_ma_trend[];
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public:
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CMeanReversionBBStrategy(string symbol, ENUM_TIMEFRAMES timeframe);
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~CMeanReversionBBStrategy();
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// --- IStrategy interface methods
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virtual void Refresh() override;
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virtual TradeOrder CheckSignal() override;
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virtual string Name() override { return "MeanReversionBBStrategy"; }
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virtual void ExportFeatures(CFeaturesKB* kb, const datetime ts) override
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{
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if(CheckPointer(kb)==POINTER_INVALID) return;
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// latest price
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MqlRates r[]; if(CopyRates(m_symbol, m_timeframe, 0, 1, r)==1)
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(*kb).WriteKV(ts, m_symbol, Name(), "close", r[0].close);
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// SMA trend value
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double sma[1]; if(CopyBuffer(m_ma_handle, 0, 0, 1, sma)==1)
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(*kb).WriteKV(ts, m_symbol, Name(), "sma_trend", sma[0]);
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// BBands values
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double up[1], lo[1];
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if(CopyBuffer(m_bb_handle, 1, 0, 1, up)==1)
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(*kb).WriteKV(ts, m_symbol, Name(), "bb_upper", up[0]);
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if(CopyBuffer(m_bb_handle, 2, 0, 1, lo)==1)
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(*kb).WriteKV(ts, m_symbol, Name(), "bb_lower", lo[0]);
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if(CopyBuffer(m_bb_handle, 1, 0, 1, up)==1 && CopyBuffer(m_bb_handle, 2, 0, 1, lo)==1)
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(*kb).WriteKV(ts, m_symbol, Name(), "bb_width", up[0]-lo[0]);
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}
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CMeanReversionBBStrategy::CMeanReversionBBStrategy(string symbol, ENUM_TIMEFRAMES timeframe)
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{
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m_symbol = symbol;
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m_timeframe = timeframe;
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// --- Get indicator handles
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m_bb_handle = iBands(m_symbol, m_timeframe, 20, 0, 2.0, PRICE_CLOSE);
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m_ma_handle = iMA(m_symbol, PERIOD_D1, 100, 0, MODE_SMA, PRICE_CLOSE);
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// --- Set buffers as series
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ArraySetAsSeries(m_bb_upper, true);
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ArraySetAsSeries(m_bb_lower, true);
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ArraySetAsSeries(m_ma_trend, true);
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CMeanReversionBBStrategy::~CMeanReversionBBStrategy()
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{
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IndicatorRelease(m_bb_handle);
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IndicatorRelease(m_ma_handle);
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}
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//+------------------------------------------------------------------+
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//| Refresh |
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//+------------------------------------------------------------------+
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void CMeanReversionBBStrategy::Refresh()
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{
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// Copy the last 2 bars of data
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CopyBuffer(m_bb_handle, 1, 0, 2, m_bb_upper); // Upper Band
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CopyBuffer(m_bb_handle, 2, 0, 2, m_bb_lower); // Lower Band
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CopyBuffer(m_ma_handle, 0, 0, 1, m_ma_trend); // MA Trend
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}
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//+------------------------------------------------------------------+
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//| Checks for a trading signal. |
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//+------------------------------------------------------------------+
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TradeOrder CMeanReversionBBStrategy::CheckSignal()
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{
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TradeOrder order;
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order.strategy_name = Name();
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// --- Get latest price data
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MqlRates rates[];
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if(CopyRates(m_symbol, m_timeframe, 0, 1, rates) != 1) return order;
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double close_price = rates[0].close;
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// --- Get latest indicator values
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double sma_val[1];
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double upper_band[1];
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double lower_band[1];
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if(CopyBuffer(m_ma_handle, 0, 0, 1, sma_val) != 1 ||
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CopyBuffer(m_bb_handle, 1, 0, 1, upper_band) != 1 ||
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CopyBuffer(m_bb_handle, 2, 0, 1, lower_band) != 1)
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{
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return order;
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}
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// --- Entry Logic
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if(close_price > sma_val[0]) // Long-term trend is up
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{
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if(close_price < lower_band[0])
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{
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order.action = ACTION_BUY;
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order.order_type = ORDER_TYPE_BUY;
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order.stop_loss = close_price - 100 * _Point; // Example SL
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order.take_profit = close_price + 200 * _Point; // Example TP
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return order;
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}
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}
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else if(close_price < sma_val[0]) // Long-term trend is down
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{
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if(close_price > upper_band[0])
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{
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order.action = ACTION_SELL;
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order.order_type = ORDER_TYPE_SELL;
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order.stop_loss = close_price + 100 * _Point; // Example SL
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order.take_profit = close_price - 200 * _Point; // Example TP
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return order;
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}
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}
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return order;
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}
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