forked from animatedread/Warrior_EA
47a5ef338b
- Replaced standard library signal modules with custom implementations to allow for named patterns and improved voting. - Added new input parameters for module weights, allowing for optimization of individual signal contributions. - Enhanced the management of trades with new options for breakeven and management cut. - Introduced a mechanism for dynamic ranking of signal weights based on historical performance. - Improved initialization logic to ensure proper registration of filters and handling of trading conditions. - Added detailed logging for trading permissions and account status during initialization.
367 lines
17 KiB
MQL5
367 lines
17 KiB
MQL5
//+------------------------------------------------------------------+
|
|
//| SignalMACD.mqh |
|
|
//| Copyright 2000-2023, MetaQuotes Ltd. |
|
|
//| https://www.mql5.com |
|
|
//+------------------------------------------------------------------+
|
|
#include "..\Expert\WarriorSignal.mqh"
|
|
#include "OscillatorDivergence.mqh"
|
|
// wizard description start
|
|
//+------------------------------------------------------------------+
|
|
//| Description of the class |
|
|
//| Title=Signals of oscillator 'MACD' |
|
|
//| Type=SignalAdvanced |
|
|
//| Name=MACD |
|
|
//| ShortName=MACD |
|
|
//| Class=CSignalMACD |
|
|
//| Page=signal_macd |
|
|
//| Parameter=PeriodFast,int,12,Period of fast EMA |
|
|
//| Parameter=PeriodSlow,int,26,Period of slow EMA |
|
|
//| Parameter=PeriodSignal,int,9,Period of averaging of difference |
|
|
//| Parameter=Applied,ENUM_APPLIED_PRICE,PRICE_CLOSE,Prices series |
|
|
//+------------------------------------------------------------------+
|
|
// wizard description end
|
|
//+------------------------------------------------------------------+
|
|
//| Class CSignalMACD. |
|
|
//| Purpose: Class of generator of trade signals based on |
|
|
//| the 'Moving Average Convergence/Divergence' oscillator. |
|
|
//| Is derived from the CWarriorSignal class. |
|
|
//| |
|
|
//| Ported from the MQL5 standard library (Include\Expert\Signal\ |
|
|
//| SignalMACD.mqh) - m_id/m_pattern_count/m_active_pattern/ |
|
|
//| m_active_direction/ApplyPatternWeight() are this codebase's |
|
|
//| additions on top, feeding the panel and the DB pattern-ranking |
|
|
//| table exactly like CSignalMA/CSignalRSI do. |
|
|
//| |
|
|
//| This file previously existed here and was deleted when the |
|
|
//| classic-signal set was trimmed to MA+RSI; it is restored |
|
|
//| deliberately, to give the classic vote a momentum/divergence |
|
|
//| model that MA (level) and RSI (bounded oscillator) do not carry. |
|
|
//| It uses the built-in CiMACD, NOT the unified ADMovingAverage |
|
|
//| custom indicator CSignalMA drives - MACD is defined on plain |
|
|
//| EMAs, so there is nothing for MA_Type to select here. |
|
|
//+------------------------------------------------------------------+
|
|
//+------------------------------------------------------------------+
|
|
//| CSignalMACD's side of the IOscillatorDivergenceSource view - |
|
|
//| MQL5 has no multiple inheritance, so the divergence detector is |
|
|
//| reached through this thin adapter instead of a common base. |
|
|
//+------------------------------------------------------------------+
|
|
class CSignalMACD;
|
|
class CSignalMACDDivergenceSource : public IOscillatorDivergenceSource
|
|
{
|
|
private:
|
|
CSignalMACD *m_owner;
|
|
public:
|
|
void Bind(CSignalMACD *owner) { m_owner = owner; }
|
|
virtual double DivergenceOscillatorValue(int ind) override;
|
|
virtual double DivergencePriceLow(int start, int count, int &index) override;
|
|
virtual double DivergencePriceHigh(int start, int count, int &index) override;
|
|
};
|
|
class CSignalMACD : public CWarriorSignal
|
|
{
|
|
protected:
|
|
CiMACD m_MACD; // object-oscillator
|
|
//--- adjusted parameters
|
|
int m_period_fast; // the "period of fast EMA" parameter of the oscillator
|
|
int m_period_slow; // the "period of slow EMA" parameter of the oscillator
|
|
int m_period_signal; // the "period of averaging of difference" parameter of the oscillator
|
|
ENUM_APPLIED_PRICE m_applied; // the "price series" parameter of the oscillator
|
|
//--- "weights" of market models (0-100)
|
|
int m_pattern_0; // model 0 "the oscillator has required direction"
|
|
int m_pattern_1; // model 1 "reverse of the oscillator to required direction"
|
|
int m_pattern_2; // model 2 "crossing of main and signal line"
|
|
int m_pattern_3; // model 3 "crossing of main line an the zero level"
|
|
int m_pattern_4; // model 4 "divergence of the oscillator and price"
|
|
int m_pattern_5; // model 5 "double divergence of the oscillator and price"
|
|
//--- shared extremum/divergence bit-map detector (see Signals/OscillatorDivergence.mqh)
|
|
CSignalMACDDivergenceSource m_divergenceSource;
|
|
CDivergenceDetector m_divergence;
|
|
|
|
public:
|
|
CSignalMACD(void);
|
|
~CSignalMACD(void);
|
|
//--- methods of setting adjustable parameters
|
|
void PeriodFast(int value) { m_period_fast = value; }
|
|
void PeriodSlow(int value) { m_period_slow = value; }
|
|
void PeriodSignal(int value) { m_period_signal = value; }
|
|
void Applied(ENUM_APPLIED_PRICE value) { m_applied = value; }
|
|
//--- methods of adjusting "weights" of market models
|
|
void Pattern_0(int value) { m_pattern_0 = value; }
|
|
void Pattern_1(int value) { m_pattern_1 = value; }
|
|
void Pattern_2(int value) { m_pattern_2 = value; }
|
|
void Pattern_3(int value) { m_pattern_3 = value; }
|
|
void Pattern_4(int value) { m_pattern_4 = value; }
|
|
void Pattern_5(int value) { m_pattern_5 = value; }
|
|
virtual void ApplyPatternWeight(int patternNumber, int weight);
|
|
//--- method of verification of settings
|
|
virtual bool ValidationSettings(void);
|
|
//--- method of creating the indicator and timeseries
|
|
virtual bool InitIndicators(CIndicators *indicators);
|
|
//--- methods of checking if the market models are formed
|
|
virtual int LongCondition(void);
|
|
virtual int ShortCondition(void);
|
|
//--- deep-history readiness for the meta candidate sweep - see CWarriorSignal::SweepPrepare
|
|
//--- IOscillatorDivergenceSource surface for m_divergenceSource (see OscillatorDivergence.mqh);
|
|
//--- public because the adapter is a separate object, not a subclass
|
|
double DivergenceOscillatorValue(int ind) { return(Main(ind)); }
|
|
double DivergencePriceLow(int start, int count, int &index) { return(m_low.MinValue(start, count, index)); }
|
|
double DivergencePriceHigh(int start, int count, int &index) { return(m_high.MaxValue(start, count, index)); }
|
|
|
|
protected:
|
|
//--- method of initialization of the oscillator
|
|
bool InitMACD(CIndicators *indicators);
|
|
//--- methods of getting data
|
|
double Main(int ind) { return(m_MACD.Main(ind)); }
|
|
double Signal(int ind) { return(m_MACD.Signal(ind)); }
|
|
double DiffMain(int ind) { return(Main(ind) - Main(ind + 1)); }
|
|
double State(int ind) { return(Main(ind) - Signal(ind)); }
|
|
};
|
|
//+------------------------------------------------------------------+
|
|
//| Constructor |
|
|
//+------------------------------------------------------------------+
|
|
CSignalMACD::CSignalMACD(void) : m_period_fast(12),
|
|
m_period_slow(26),
|
|
m_period_signal(9),
|
|
m_applied(PRICE_CLOSE),
|
|
m_pattern_0(10),
|
|
m_pattern_1(30),
|
|
m_pattern_2(80),
|
|
m_pattern_3(50),
|
|
m_pattern_4(60),
|
|
m_pattern_5(100)
|
|
{
|
|
m_divergenceSource.Bind(GetPointer(this));
|
|
m_divergence.Bind(GetPointer(m_divergenceSource));
|
|
m_id = "MACD";
|
|
//--- Confirmation pattern(s): weight 10, never traded alone, never ranked.
|
|
m_confirm_mask = 1<<0;
|
|
m_pattern_count = 6;
|
|
//--- initialization of protected data
|
|
m_used_series = USE_SERIES_HIGH + USE_SERIES_LOW;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Destructor |
|
|
//+------------------------------------------------------------------+
|
|
CSignalMACD::~CSignalMACD(void)
|
|
{
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Validation settings protected data. |
|
|
//+------------------------------------------------------------------+
|
|
bool CSignalMACD::ValidationSettings(void)
|
|
{
|
|
//--- validation settings of additional filters
|
|
if(!CWarriorSignal::ValidationSettings())
|
|
return(false);
|
|
//--- initial data checks
|
|
if(m_period_fast >= m_period_slow)
|
|
{
|
|
printf(__FUNCTION__ + ": slow period must be greater than fast period");
|
|
return(false);
|
|
}
|
|
//--- ok
|
|
return(true);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Create indicators. |
|
|
//+------------------------------------------------------------------+
|
|
bool CSignalMACD::InitIndicators(CIndicators *indicators)
|
|
{
|
|
//--- check of pointer is performed in the method of the parent class
|
|
//---
|
|
//--- initialization of indicators and timeseries of additional filters
|
|
if(!CWarriorSignal::InitIndicators(indicators))
|
|
return(false);
|
|
//--- create and initialize MACD oscilator
|
|
if(!InitMACD(indicators))
|
|
return(false);
|
|
//--- ok
|
|
return(true);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Initialize MACD oscillators. |
|
|
//+------------------------------------------------------------------+
|
|
bool CSignalMACD::InitMACD(CIndicators *indicators)
|
|
{
|
|
//--- add object to collection
|
|
if(!indicators.Add(GetPointer(m_MACD)))
|
|
{
|
|
printf(__FUNCTION__ + ": error adding object");
|
|
return(false);
|
|
}
|
|
//--- initialize object
|
|
if(!m_MACD.Create(m_symbol.Name(), m_period, m_period_fast, m_period_slow, m_period_signal, m_applied))
|
|
{
|
|
printf(__FUNCTION__ + ": error initializing object");
|
|
return(false);
|
|
}
|
|
//--- ok
|
|
return(true);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| CSignalMACDDivergenceSource - forwards to the owner's public |
|
|
//| IOscillatorDivergenceSource surface (see the class declaration |
|
|
//| just above CSignalMACD). |
|
|
//+------------------------------------------------------------------+
|
|
double CSignalMACDDivergenceSource::DivergenceOscillatorValue(int ind)
|
|
{
|
|
return(m_owner.DivergenceOscillatorValue(ind));
|
|
}
|
|
double CSignalMACDDivergenceSource::DivergencePriceLow(int start, int count, int &index)
|
|
{
|
|
return(m_owner.DivergencePriceLow(start, count, index));
|
|
}
|
|
double CSignalMACDDivergenceSource::DivergencePriceHigh(int start, int count, int &index)
|
|
{
|
|
return(m_owner.DivergencePriceHigh(start, count, index));
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| "Voting" that price will grow. |
|
|
//+------------------------------------------------------------------+
|
|
int CSignalMACD::LongCondition(void)
|
|
{
|
|
int result = 0;
|
|
int idx = StartIndex();
|
|
//--- check direction of the main line
|
|
if(DiffMain(idx) > 0.0)
|
|
{
|
|
//--- the main line is directed upwards, and it confirms the possibility of price growth
|
|
if(IS_PATTERN_USAGE(0))
|
|
{
|
|
result = m_pattern_0;
|
|
m_active_pattern = "Pattern_0";
|
|
}
|
|
// "confirming" signal number 0
|
|
//--- if the model 1 is used, look for a reverse of the main line
|
|
if(IS_PATTERN_USAGE(1) && DiffMain(idx + 1) < 0.0)
|
|
{
|
|
result = m_pattern_1;
|
|
m_active_pattern = "Pattern_1";
|
|
} // signal number 1
|
|
//--- if the model 2 is used, look for an intersection of the main and signal line
|
|
if(IS_PATTERN_USAGE(2) && State(idx) > 0.0 && State(idx + 1) < 0.0)
|
|
{
|
|
result = m_pattern_2;
|
|
m_active_pattern = "Pattern_2";
|
|
} // signal number 2
|
|
//--- if the model 3 is used, look for an intersection of the main line and the zero level
|
|
if(IS_PATTERN_USAGE(3) && Main(idx) > 0.0 && Main(idx + 1) < 0.0)
|
|
{
|
|
result = m_pattern_3;
|
|
m_active_pattern = "Pattern_3";
|
|
} // signal number 3
|
|
//--- if the models 4 or 5 are used and the main line turned upwards below the zero level, look for divergences
|
|
if((IS_PATTERN_USAGE(4) || IS_PATTERN_USAGE(5)) && Main(idx) < 0.0)
|
|
{
|
|
//--- perform the extended analysis of the oscillator state
|
|
m_divergence.ExtState(idx);
|
|
//--- if the model 4 is used, look for the "divergence" signal
|
|
if(IS_PATTERN_USAGE(4) && m_divergence.CompareMaps(1, 1)) // 0000 0001b
|
|
{
|
|
result = m_pattern_4;
|
|
m_active_pattern = "Pattern_4";
|
|
} // signal number 4
|
|
//--- if the model 5 is used, look for the "double divergence" signal
|
|
if(IS_PATTERN_USAGE(5) && m_divergence.CompareMaps(0x11, 2)) // 0001 0001b
|
|
{
|
|
result = m_pattern_5;
|
|
m_active_pattern = "Pattern_5";
|
|
} // signal number 5
|
|
}
|
|
}
|
|
if(result != 0)
|
|
{
|
|
m_active_direction = "Buy";
|
|
}
|
|
//--- return the result
|
|
return(result);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| "Voting" that price will fall. |
|
|
//+------------------------------------------------------------------+
|
|
int CSignalMACD::ShortCondition(void)
|
|
{
|
|
int result = 0;
|
|
int idx = StartIndex();
|
|
// Check direction of the main line
|
|
if(DiffMain(idx) < 0.0)
|
|
{
|
|
// Main line is directed downwards, confirming a possibility of falling of price
|
|
if(IS_PATTERN_USAGE(0))
|
|
{
|
|
result = m_pattern_0; // "confirming" signal number 0
|
|
m_active_pattern = "Pattern_0";
|
|
}
|
|
// If the model 1 is used, look for a reverse of the main line
|
|
if(IS_PATTERN_USAGE(1) && DiffMain(idx + 1) > 0.0)
|
|
{
|
|
result = m_pattern_1; // signal number 1
|
|
m_active_pattern = "Pattern_1";
|
|
}
|
|
// If the model 2 is used, look for an intersection of the main and signal line
|
|
if(IS_PATTERN_USAGE(2) && State(idx) < 0.0 && State(idx + 1) > 0.0)
|
|
{
|
|
result = m_pattern_2; // signal number 2
|
|
m_active_pattern = "Pattern_2";
|
|
}
|
|
// If the model 3 is used, look for an intersection of the main line and the zero level
|
|
if(IS_PATTERN_USAGE(3) && Main(idx) < 0.0 && Main(idx + 1) > 0.0)
|
|
{
|
|
result = m_pattern_3; // signal number 3
|
|
m_active_pattern = "Pattern_3";
|
|
}
|
|
// If the models 4 or 5 are used and the main line turned downwards above the zero level, look for divergences
|
|
if((IS_PATTERN_USAGE(4) || IS_PATTERN_USAGE(5)) && Main(idx) > 0.0)
|
|
{
|
|
// Perform the extended analysis of the oscillator state
|
|
m_divergence.ExtState(idx);
|
|
// If the model 4 is used, look for the "divergence" signal
|
|
if(IS_PATTERN_USAGE(4) && m_divergence.CompareMaps(1, 1)) // 0000 0001b
|
|
{
|
|
result = m_pattern_4; // signal number 4
|
|
m_active_pattern = "Pattern_4";
|
|
}
|
|
// If the model 5 is used, look for the "double divergence" signal
|
|
if(IS_PATTERN_USAGE(5) && m_divergence.CompareMaps(0x11, 2)) // 0001 0001b
|
|
{
|
|
result = m_pattern_5; // signal number 5
|
|
m_active_pattern = "Pattern_5";
|
|
}
|
|
}
|
|
}
|
|
if(result != 0)
|
|
{
|
|
m_active_direction = "Sell";
|
|
}
|
|
// Return the result
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Set the specified pattern's weight to the specified value |
|
|
//+------------------------------------------------------------------+
|
|
void CSignalMACD::ApplyPatternWeight(int patternNumber, int weight)
|
|
{
|
|
switch(patternNumber)
|
|
{
|
|
default:
|
|
break;
|
|
case 0:
|
|
Pattern_0(weight);
|
|
break;
|
|
case 1:
|
|
Pattern_1(weight);
|
|
break;
|
|
case 2:
|
|
Pattern_2(weight);
|
|
break;
|
|
case 3:
|
|
Pattern_3(weight);
|
|
break;
|
|
case 4:
|
|
Pattern_4(weight);
|
|
break;
|
|
case 5:
|
|
Pattern_5(weight);
|
|
break;
|
|
}
|
|
}
|
|
//+------------------------------------------------------------------+
|