forked from animatedread/Warrior_EA
334 lines
15 KiB
MQL5
334 lines
15 KiB
MQL5
 | //+------------------------------------------------------------------+
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//| SignalMA.mqh |
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//| Copyright 2000-2023, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#include "..\Expert\WarriorSignal.mqh"
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// wizard description start
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//+------------------------------------------------------------------+
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//| Description of the class |
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//| Title=Signals of indicator 'Moving Average' |
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//| Type=SignalAdvanced |
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//| Name=Moving Average |
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//| ShortName=MA |
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//| Class=CSignalMA |
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//| Page=signal_ma |
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//| Parameter=PeriodMA,int,10,Period of averaging |
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//| Parameter=Shift,int,0,Time shift |
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//| Parameter=Method,ENUM_MA_METHOD,MODE_SMA,Method of averaging |
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//| Parameter=Applied,ENUM_APPLIED_PRICE,PRICE_CLOSE,Prices series |
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//+------------------------------------------------------------------+
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// wizard description end
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//+------------------------------------------------------------------+
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//| Class CSignalMA. |
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//| Purpose: Class of generator of trade signals based on |
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//| the 'Moving Average' indicator. |
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//| Is derived from the CWarriorSignal class. |
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//+------------------------------------------------------------------+
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class CSignalMA : public CWarriorSignal
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{
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protected:
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CiMA m_ma; // built-in moving average (iMA)
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//--- adjusted parameters
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int m_ma_period; // the "period of averaging" parameter of the indicator
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int m_ma_type; // an ENUM_MA_METHOD code, passed to iMA as-is
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ENUM_APPLIED_PRICE m_ma_applied; // the "object of averaging" parameter of the indicator
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//--- "weights" of market models (0-100)
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int m_pattern_0; // model 0 "price is on the necessary side from the indicator"
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int m_pattern_1; // model 1 "price crossed the indicator with opposite direction"
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int m_pattern_2; // model 2 "price crossed the indicator with the same direction"
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int m_pattern_3; // model 3 "piercing"
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public:
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CSignalMA(void);
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~CSignalMA(void);
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//--- methods of setting adjustable parameters
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void PeriodMA(int value) { m_ma_period = value; }
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//--- Shift() is the base class's (CWarriorSignal): the BAR this vote is evaluated on, not
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//--- iMA's ma_shift, which this class pins to 0. See InitMA().
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void Method(int value) { m_ma_type = value; }
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void Applied(ENUM_APPLIED_PRICE value) { m_ma_applied = value; }
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//--- methods of adjusting "weights" of market models
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void Pattern_0(int value) { m_pattern_0 = value; }
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void Pattern_1(int value) { m_pattern_1 = value; }
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void Pattern_2(int value) { m_pattern_2 = value; }
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void Pattern_3(int value) { m_pattern_3 = value; }
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virtual void ApplyPatternWeight(int patternNumber, int weight);
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//--- method of verification of settings
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virtual bool ValidationSettings(void);
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//--- method of creating the indicator and timeseries
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virtual bool InitIndicators(CIndicators *indicators);
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//--- methods of checking if the market models are formed
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virtual int LongCondition(void);
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virtual int ShortCondition(void);
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//--- deep-history readiness for the meta candidate sweep - see CWarriorSignal::SweepPrepare
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protected:
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//--- method of initialization of the indicator
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bool InitMA(CIndicators *indicators);
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//--- methods of getting data
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double MA(int ind) { return(m_ma.GetData(0, ind)); }
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double DiffMA(int ind) { return(MA(ind) - MA(ind + 1)); }
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//--- Slope as it stood at the PREVIOUS bar, i.e. not yet influenced by bar `ind`'s own close.
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//--- Model 1 needs this and DiffMA() cannot serve: for any RECURSIVE average (EMA/SMMA, and the
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//--- exponential methods) MA(ind) = a*Close(ind) + (1-a)*MA(ind+1), so
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//--- DiffMA(ind) = a * (Close(ind) - MA(ind + 1))
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//--- DiffCloseMA(ind) = (1-a) * (Close(ind) - MA(ind + 1))
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//--- are positive multiples of the same quantity and therefore ALWAYS share a sign. Model 1 asks
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//--- for "close below a RISING average", which is exactly the sign combination that identity
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//--- forbids - so under EMA or SMMA the model could never fire on any bar of any symbol. Both are
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//--- still selectable and tuner-reachable, so this is live, not historical. Reading the slope one
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//--- bar back breaks the algebraic tie for every MA type while keeping the model's stated meaning:
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//--- a pull-back closing against an established trend.
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double DiffMAPrev(int ind) { return(MA(ind + 1) - MA(ind + 2)); }
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double DiffOpenMA(int ind) { return(Open(ind) - MA(ind)); }
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double DiffHighMA(int ind) { return(High(ind) - MA(ind)); }
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double DiffLowMA(int ind) { return(Low(ind) - MA(ind)); }
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double DiffCloseMA(int ind) { return(Close(ind) - MA(ind)); }
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CSignalMA::CSignalMA(void) : m_ma_period(12),
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//--- SMA to match the MA_Type input seed. Warrior_EA.mq5 always pushes g_TunedMaType over this,
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//--- so the default only shows if the signal is constructed outside that path - it should still
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//--- agree with the documented default rather than quietly disagreeing.
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m_ma_type(MODE_SMA),
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m_ma_applied(PRICE_CLOSE),
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m_pattern_0(10),
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m_pattern_1(10),
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m_pattern_2(60),
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m_pattern_3(60)
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{
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m_id = "MA";
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//--- Confirmation pattern(s): weight 10, never traded alone, never ranked.
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m_confirm_mask = (1<<0)|(1<<1);
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m_pattern_count = 4;
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//--- initialization of protected data
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m_used_series = USE_SERIES_OPEN + USE_SERIES_HIGH + USE_SERIES_LOW + USE_SERIES_CLOSE;
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CSignalMA::~CSignalMA(void)
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{
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}
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//+------------------------------------------------------------------+
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//| Validation settings protected data. |
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//+------------------------------------------------------------------+
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bool CSignalMA::ValidationSettings(void)
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{
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//--- validation settings of additional filters
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if(!CWarriorSignal::ValidationSettings())
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return(false);
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//--- initial data checks
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if(m_ma_period <= 0)
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{
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printf(__FUNCTION__ + ": period MA must be greater than 0");
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return(false);
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}
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//--- iMA silently returns an invalid handle for a method outside ENUM_MA_METHOD, which shows up much
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//--- later as a vote that never fires. Fail here instead, where the cause is still visible.
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if(m_ma_type < MODE_SMA || m_ma_type > MODE_LWMA)
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{
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printf(__FUNCTION__ + ": MA type %d is not an ENUM_MA_METHOD value", m_ma_type);
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return(false);
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}
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//--- ok
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Create indicators. |
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//+------------------------------------------------------------------+
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bool CSignalMA::InitIndicators(CIndicators *indicators)
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{
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//--- check pointer
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if(indicators == NULL)
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return(false);
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//--- initialization of indicators and timeseries of additional filters
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if(!CWarriorSignal::InitIndicators(indicators))
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return(false);
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//--- create and initialize MA indicator
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if(!InitMA(indicators))
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return(false);
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//--- ok
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Initialize MA indicators. |
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//+------------------------------------------------------------------+
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bool CSignalMA::InitMA(CIndicators *indicators)
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{
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//--- check pointer
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if(indicators == NULL)
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return(false);
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//--- add object to collection
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if(!indicators.Add(GetPointer(m_ma)))
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{
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printf(__FUNCTION__ + ": error adding object");
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return(false);
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}
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//--- built-in iMA. ma_shift is fixed at 0: it displaces the AVERAGE along the time axis, which is not
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//--- what this EA means by shift - the bar a condition is evaluated on is CWarriorSignal::Shift().
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if(!m_ma.Create(m_symbol.Name(), m_period, m_ma_period, 0, (ENUM_MA_METHOD)m_ma_type, m_ma_applied))
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{
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printf(__FUNCTION__ + ": error initializing object");
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return(false);
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}
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//--- ok
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return(true);
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}
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//+------------------------------------------------------------------+
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//| "Voting" that price will grow. |
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//+------------------------------------------------------------------+
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int CSignalMA::LongCondition(void)
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{
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int result = 0;
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int idx = StartIndex();
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//--- analyze positional relationship of the close price and the indicator at the first analyzed bar
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if(DiffCloseMA(idx) < 0.0)
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{
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//--- the close price is below the indicator
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if(IS_PATTERN_USAGE(1) && DiffOpenMA(idx) > 0.0 && DiffMAPrev(idx) > 0.0)
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{
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//--- the open price is above the indicator (i.e. there was an intersection), but the indicator is directed upwards
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//--- (measured at the previous bar - see DiffMAPrev() for why DiffMA() makes this unsatisfiable)
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result = m_pattern_1;
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m_active_pattern = "Pattern_1";
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//--- consider that this is an unformed "piercing" and suggest to enter the market at the current price
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m_base_price = 0.0;
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}
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}
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else
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{
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//--- the close price is above the indicator (the indicator has no objections to buying)
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if(IS_PATTERN_USAGE(0))
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{
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result = m_pattern_0;
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m_active_pattern = "Pattern_0";
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}
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//--- if the indicator is directed upwards
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if(DiffMA(idx) > 0.0)
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{
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if(DiffOpenMA(idx) < 0.0)
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{
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//--- if the model 2 is used
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if(IS_PATTERN_USAGE(2))
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{
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//--- the open price is below the indicator (i.e. there was an intersection)
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result = m_pattern_2;
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m_active_pattern = "Pattern_2";
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//--- suggest to enter the market at the "roll back"
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m_base_price = m_symbol.NormalizePrice(MA(idx));
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}
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}
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else
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{
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//--- if the model 3 is used and the open price is above the indicator
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if(IS_PATTERN_USAGE(3) && DiffLowMA(idx) < 0.0)
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{
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//--- the low price is below the indicator
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result = m_pattern_3;
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m_active_pattern = "Pattern_3";
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//--- consider that this is a formed "piercing" and suggest to enter the market at the current price
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m_base_price = 0.0;
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}
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}
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}
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}
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if(result != 0)
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{
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m_active_direction = "Buy";
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}
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//--- return the result
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return(result);
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}
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//+------------------------------------------------------------------+
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//| "Voting" that price will fall. |
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//+------------------------------------------------------------------+
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int CSignalMA::ShortCondition(void)
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{
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int result = 0;
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int idx = StartIndex();
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//--- analyze positional relationship of the close price and the indicator at the first analyzed bar
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if(DiffCloseMA(idx) > 0.0)
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{
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//--- the close price is above the indicator
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if(IS_PATTERN_USAGE(1) && DiffOpenMA(idx) < 0.0 && DiffMAPrev(idx) < 0.0)
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{
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//--- the open price is below the indicator (i.e. there was an intersection), but the indicator is directed downwards
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//--- (measured at the previous bar - see DiffMAPrev() for why DiffMA() makes this unsatisfiable)
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result = m_pattern_1;
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m_active_pattern = "Pattern_1";
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//--- consider that this is an unformed "piercing" and suggest to enter the market at the current price
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m_base_price = 0.0;
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}
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}
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else
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{
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//--- the close price is below the indicator (the indicator has no objections to buying)
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if(IS_PATTERN_USAGE(0))
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{
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result = m_pattern_0;
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m_active_pattern = "Pattern_0";
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}
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//--- the indicator is directed downwards
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if(DiffMA(idx) < 0.0)
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{
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if(DiffOpenMA(idx) > 0.0)
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{
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//--- if the model 2 is used
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if(IS_PATTERN_USAGE(2))
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{
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//--- the open price is above the indicator (i.e. there was an intersection)
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result = m_pattern_2;
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m_active_pattern = "Pattern_2";
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//--- suggest to enter the market at the "roll back"
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m_base_price = m_symbol.NormalizePrice(MA(idx));
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}
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}
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else
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{
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//--- if the model 3 is used and the open price is below the indicator
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if(IS_PATTERN_USAGE(3) && DiffHighMA(idx) > 0.0)
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{
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//--- the high price is above the indicator
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result = m_pattern_3;
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m_active_pattern = "Pattern_3";
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//--- consider that this is a formed "piercing" and suggest to enter the market at the current price
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m_base_price = 0.0;
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}
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}
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}
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}
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if(result != 0)
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{
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m_active_direction = "Sell";
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}
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//--- return the result
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return(result);
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}
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//+------------------------------------------------------------------+
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//| Set the specified pattern's weight to the specified value |
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//+------------------------------------------------------------------+
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void CSignalMA::ApplyPatternWeight(int patternNumber, int weight)
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{
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switch(patternNumber)
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{
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default:
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break;
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case 0:
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Pattern_0(weight);
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break;
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case 1:
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Pattern_1(weight);
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break;
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case 2:
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Pattern_2(weight);
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break;
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case 3:
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Pattern_3(weight);
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break;
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}
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}
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//+------------------------------------------------------------------+
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