forked from mnbvc188199/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.
314 lines
14 KiB
MQL5
314 lines
14 KiB
MQL5
//+------------------------------------------------------------------+
| |
//| SignalRSI.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 'Relative Strength Index' |
| |
//| Type=SignalAdvanced |
| |
//| Name=Relative Strength Index |
| |
//| ShortName=RSI |
| |
//| Class=CSignalRSI |
| |
//| Page=signal_rsi |
| |
//| Parameter=PeriodRSI,int,14,Period of calculation |
| |
//| Parameter=Applied,ENUM_APPLIED_PRICE,PRICE_CLOSE,Prices series |
| |
//+------------------------------------------------------------------+
| |
// wizard description end
| |
//+------------------------------------------------------------------+
| |
//| CSignalRSI'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 CSignalRSI;
| |
class CSignalRSIDivergenceSource : public IOscillatorDivergenceSource
| |
{
| |
private:
| |
CSignalRSI *m_owner;
| |
public:
| |
void Bind(CSignalRSI *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 CSignalRSI. |
| |
//| Purpose: Class of generator of trade signals based on |
| |
//| the 'Relative Strength Index' oscillator. |
| |
//| Is derived from the CWarriorSignal class. |
| |
//+------------------------------------------------------------------+
| |
class CSignalRSI : public CWarriorSignal
| |
{
| |
protected:
| |
CiRSI m_rsi; // object-oscillator
| |
//--- adjusted parameters
| |
int m_periodRSI; // the "period of calculation" parameter of the oscillator
| |
ENUM_APPLIED_PRICE m_applied; // the "prices 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 behind the level of overbuying/overselling"
| |
int m_pattern_2; // model 2 "divergence of the oscillator and price"
| |
int m_pattern_3; // model 3 "double divergence of the oscillator and price"
| |
//--- shared extremum/divergence bit-map detector (see Signals/OscillatorDivergence.mqh)
| |
CSignalRSIDivergenceSource m_divergenceSource;
| |
CDivergenceDetector m_divergence;
| |
| |
public:
| |
CSignalRSI(void);
| |
~CSignalRSI(void);
| |
//--- methods of setting adjustable parameters
| |
void PeriodRSI(int value) { m_periodRSI = 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; }
| |
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(RSI(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 InitRSI(CIndicators *indicators);
| |
//--- methods of getting data
| |
double RSI(int ind) { return(m_rsi.Main(ind)); }
| |
double DiffRSI(int ind) { return(RSI(ind) - RSI(ind + 1)); }
| |
};
| |
//+------------------------------------------------------------------+
| |
//| Constructor |
| |
//+------------------------------------------------------------------+
| |
CSignalRSI::CSignalRSI(void) : m_periodRSI(14),
| |
m_applied(PRICE_CLOSE),
| |
m_pattern_0(10),
| |
m_pattern_1(60),
| |
m_pattern_2(80),
| |
m_pattern_3(100)
| |
{
| |
m_divergenceSource.Bind(GetPointer(this));
| |
m_divergence.Bind(GetPointer(m_divergenceSource));
| |
m_id = "RSI";
| |
//--- Confirmation pattern(s): weight 10, never traded alone, never ranked.
| |
m_confirm_mask = 1<<0;
| |
m_pattern_count = 4;
| |
//--- initialization of protected data
| |
m_used_series = USE_SERIES_HIGH + USE_SERIES_LOW;
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Destructor |
| |
//+------------------------------------------------------------------+
| |
CSignalRSI::~CSignalRSI(void)
| |
{
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Validation settings protected data. |
| |
//+------------------------------------------------------------------+
| |
bool CSignalRSI::ValidationSettings(void)
| |
{
| |
//--- validation settings of additional filters
| |
if(!CWarriorSignal::ValidationSettings())
| |
return(false);
| |
//--- initial data checks
| |
if(m_periodRSI <= 0)
| |
{
| |
printf(__FUNCTION__ + ": period of the RSI oscillator must be greater than 0");
| |
return(false);
| |
}
| |
//--- ok
| |
return(true);
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Create indicators. |
| |
//+------------------------------------------------------------------+
| |
bool CSignalRSI::InitIndicators(CIndicators *indicators)
| |
{
| |
//--- check pointer
| |
if(indicators == NULL)
| |
return(false);
| |
//--- initialization of indicators and timeseries of additional filters
| |
if(!CWarriorSignal::InitIndicators(indicators))
| |
return(false);
| |
//--- create and initialize RSI oscillator
| |
if(!InitRSI(indicators))
| |
return(false);
| |
//--- ok
| |
return(true);
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Initialize RSI oscillators. |
| |
//+------------------------------------------------------------------+
| |
bool CSignalRSI::InitRSI(CIndicators *indicators)
| |
{
| |
//--- check pointer
| |
if(indicators == NULL)
| |
return(false);
| |
//--- add object to collection
| |
if(!indicators.Add(GetPointer(m_rsi)))
| |
{
| |
printf(__FUNCTION__ + ": error adding object");
| |
return(false);
| |
}
| |
//--- initialize object
| |
if(!m_rsi.Create(m_symbol.Name(), m_period, m_periodRSI, m_applied))
| |
{
| |
printf(__FUNCTION__ + ": error initializing object");
| |
return(false);
| |
}
| |
//--- ok
| |
return(true);
| |
}
| |
//+------------------------------------------------------------------+
| |
//| CSignalRSIDivergenceSource - forwards to the owner's public |
| |
//| IOscillatorDivergenceSource surface (see the class declaration |
| |
//| just above CSignalRSI). |
| |
//+------------------------------------------------------------------+
| |
double CSignalRSIDivergenceSource::DivergenceOscillatorValue(int ind)
| |
{
| |
return(m_owner.DivergenceOscillatorValue(ind));
| |
}
| |
double CSignalRSIDivergenceSource::DivergencePriceLow(int start, int count, int &index)
| |
{
| |
return(m_owner.DivergencePriceLow(start, count, index));
| |
}
| |
double CSignalRSIDivergenceSource::DivergencePriceHigh(int start, int count, int &index)
| |
{
| |
return(m_owner.DivergencePriceHigh(start, count, index));
| |
}
| |
//+------------------------------------------------------------------+
| |
//| "Voting" that price will grow. |
| |
//+------------------------------------------------------------------+
| |
int CSignalRSI::LongCondition(void)
| |
{
| |
int result = 0;
| |
int idx = StartIndex();
| |
//---
| |
if(DiffRSI(idx) > 0.0)
| |
{
| |
//--- the oscillator is directed upwards confirming 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, search for a reverse of the oscillator upwards behind the level of overselling
| |
if(IS_PATTERN_USAGE(1) && DiffRSI(idx + 1) < 0.0 && RSI(idx + 1) < 30.0)
| |
{
| |
result = m_pattern_1;
| |
m_active_pattern = "Pattern_1";
| |
}
| |
//--- if model 2 or 3 is used, perform the extended analysis of the oscillator state.
| |
//--- NOTE: this used to also test IS_PATTERN_USAGE(4), inherited from the standard library's
| |
//--- 5-pattern RSI. This class declares 4 patterns (m_pattern_count = 4, models 0-3), so bit 4
| |
//--- has no weight member and neither branch below can act on it - but m_patterns_usage defaults
| |
//--- to all-bits-set, so the term was NOT dead: it let the whole block (and ExtState's scan)
| |
//--- run even with models 2 and 3 both switched off, for a result that could never change.
| |
if(IS_PATTERN_USAGE(2) || IS_PATTERN_USAGE(3))
| |
{
| |
m_divergence.ExtState(idx);
| |
//--- search for the "divergence" signal
| |
if(IS_PATTERN_USAGE(2) && m_divergence.CompareMaps(1, 1)) // 0000 0001b
| |
{
| |
result = m_pattern_2;
| |
m_active_pattern = "Pattern_2";
| |
}
| |
//--- search for the "double divergence" signal
| |
if(IS_PATTERN_USAGE(3) && m_divergence.CompareMaps(0x11, 2)) // 0001 0001b
| |
{
| |
result = m_pattern_3;
| |
m_active_pattern = "Pattern_3";
| |
}
| |
}
| |
}
| |
if(result != 0)
| |
{
| |
m_active_direction = "Buy";
| |
}
| |
//--- return the result
| |
return(result);
| |
}
| |
//+------------------------------------------------------------------+
| |
//| "Voting" that price will fall. |
| |
//+------------------------------------------------------------------+
| |
int CSignalRSI::ShortCondition(void)
| |
{
| |
int result = 0;
| |
int idx = StartIndex();
| |
//---
| |
if(DiffRSI(idx) < 0.0)
| |
{
| |
//--- the oscillator is directed downwards confirming the possibility of falling of price
| |
if(IS_PATTERN_USAGE(0))
| |
{
| |
result = m_pattern_0;
| |
m_active_pattern = "Pattern_0";
| |
}
| |
//--- if the model 1 is used, search for a reverse of the oscillator downwards behind the level of overbuying
| |
if(IS_PATTERN_USAGE(1) && DiffRSI(idx + 1) > 0.0 && RSI(idx + 1) > 70.0)
| |
{
| |
result = m_pattern_1;
| |
m_active_pattern = "Pattern_1";
| |
} // signal number 1
| |
//--- if model 2 or 3 is used, perform the extended analysis of the oscillator state
| |
//--- (see LongCondition() for why the old IS_PATTERN_USAGE(4) term was removed)
| |
if(IS_PATTERN_USAGE(2) || IS_PATTERN_USAGE(3))
| |
{
| |
m_divergence.ExtState(idx);
| |
//--- search for the "divergence" signal
| |
if(IS_PATTERN_USAGE(2) && m_divergence.CompareMaps(1, 1)) // 0000 0001b
| |
{
| |
result = m_pattern_2;
| |
m_active_pattern = "Pattern_2";
| |
}
| |
//--- search for the "double divergence" signal
| |
if(IS_PATTERN_USAGE(3) && m_divergence.CompareMaps(0x11, 2)) // 0001 0001b
| |
{
| |
result = m_pattern_3;
| |
m_active_pattern = "Pattern_3";
| |
}
| |
}
| |
}
| |
if(result != 0)
| |
{
| |
m_active_direction = "Sell";
| |
}
| |
//--- return the result
| |
return(result);
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Set the specified pattern's weight to the specified value |
| |
//+------------------------------------------------------------------+
| |
void CSignalRSI::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;
| |
}
| |
}
| |
//+------------------------------------------------------------------+
|