| #include "..\IStrategy.mqh"
|
| #include "..\KnowledgeBase.mqh"
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| #include "..\TradeManager.mqh"
|
|
|
| class CADXStrategy : public IStrategy
|
| {
|
| private:
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| int m_adxPeriod;
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| int m_adxThreshold;
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| int m_diPeriod;
|
|
|
| // Cached values
|
| double m_adx_current, m_plus_di, m_minus_di;
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| double m_close0, m_close1;
|
|
|
| public:
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| CADXStrategy(const string symbol, const ENUM_TIMEFRAMES tf) : IStrategy("ADXStrategy", symbol, tf)
|
| {
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| m_adxPeriod = 14; m_adxThreshold = 25; m_diPeriod = 14;
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| m_adx_current = m_plus_di = m_minus_di = 0;
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| m_close0 = m_close1 = 0;
|
| }
|
|
|
| virtual string Name() { return "ADXStrategy"; }
|
|
|
| virtual void Refresh()
|
| {
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| m_close0 = iClose(m_symbol, m_timeframe, 0);
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| m_close1 = iClose(m_symbol, m_timeframe, 1);
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|
|
| double adx_buffer[], plus_di_buffer[], minus_di_buffer[];
|
| int adx_handle = iADX(m_symbol, m_timeframe, m_adxPeriod);
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|
|
| if(adx_handle > 0)
|
| {
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| CopyBuffer(adx_handle, 0, 0, 1, adx_buffer);
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| CopyBuffer(adx_handle, 1, 0, 1, plus_di_buffer);
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| CopyBuffer(adx_handle, 2, 0, 1, minus_di_buffer);
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|
|
| m_adx_current = adx_buffer[0];
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| m_plus_di = plus_di_buffer[0];
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| m_minus_di = minus_di_buffer[0];
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| }
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| }
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|
|
| virtual TradeOrder CheckSignal()
|
| {
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| TradeOrder ord; ord.strategy_name = Name();
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|
|
| // Strong trend detection
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| if(m_adx_current > m_adxThreshold)
|
| {
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| if(m_plus_di > m_minus_di && m_plus_di > 20)
|
| {
|
| // Strong uptrend
|
| ord.action = ACTION_BUY;
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| ord.order_type = ORDER_TYPE_BUY;
|
| double atr = GetATR(14, 0);
|
| double spread = SymbolInfoDouble(_Symbol, SYMBOL_ASK) - SymbolInfoDouble(_Symbol, SYMBOL_BID);
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| double min_stop = MathMax(atr * 1.5, MathMax(spread*3, SymbolInfoInteger(_Symbol, SYMBOL_TRADE_STOPS_LEVEL) * _Point));
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| ord.stop_loss = m_close0 - min_stop;
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| ord.take_profit = m_close0 + min_stop * 3.0;
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| if(spread > min_stop*0.5) return ord;
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| return ord;
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| }
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| else if(m_minus_di > m_plus_di && m_minus_di > 20)
|
| {
|
| // Strong downtrend
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| ord.action = ACTION_SELL;
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| ord.order_type = ORDER_TYPE_SELL;
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| double atr = GetATR(14, 0);
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| double spread = SymbolInfoDouble(_Symbol, SYMBOL_ASK) - SymbolInfoDouble(_Symbol, SYMBOL_BID);
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| double min_stop = MathMax(atr * 1.5, MathMax(spread*3, SymbolInfoInteger(_Symbol, SYMBOL_TRADE_STOPS_LEVEL) * _Point));
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| ord.stop_loss = m_close0 + min_stop;
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| ord.take_profit = m_close0 - min_stop * 3.0;
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| if(spread > min_stop*0.5) return ord;
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| return ord;
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| }
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| }
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|
|
| return ord;
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| }
|
|
|
| virtual void ExportFeatures(CFeaturesKB* kb, const datetime ts)
|
| {
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| if(CheckPointer(kb)==POINTER_INVALID) return;
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| (*kb).WriteKV(ts, m_symbol, Name(), "adx", m_adx_current);
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| (*kb).WriteKV(ts, m_symbol, Name(), "plus_di", m_plus_di);
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| (*kb).WriteKV(ts, m_symbol, Name(), "minus_di", m_minus_di);
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| }
|
| };
|
