| #include "..\\IStrategy.mqh"
|
| #include "..\\KnowledgeBase.mqh"
|
| #include "..\\TradeManager.mqh"
|
| #include "..\\Indicators\\Donchian.mqh"
|
|
|
| class CDonchianATRBreakoutStrategy : public IStrategy
|
| {
|
| private:
|
| string m_symbol; ENUM_TIMEFRAMES m_tf;
|
| CDonchian m_dc; int m_dcPeriod;
|
| int m_hATR; int m_atrPeriod; double m_atrMult;
|
| // cached
|
| double m_up1, m_lo1, m_close1, m_atr1;
|
| public:
|
| CDonchianATRBreakoutStrategy(const string symbol, const ENUM_TIMEFRAMES tf)
|
| {
|
| m_symbol=symbol; m_tf=tf; m_dcPeriod=20; m_atrPeriod=14; m_atrMult=2.0;
|
| m_dc.Init(symbol, tf, m_dcPeriod);
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| m_hATR = iATR(symbol, tf, m_atrPeriod);
|
| m_up1=m_lo1=m_close1=m_atr1=0;
|
| }
|
| virtual string Name(){ return "DonchianATRBreakoutStrategy"; }
|
| virtual void Refresh()
|
| {
|
| m_close1 = iClose(m_symbol, m_tf, 1);
|
| m_up1 = m_dc.Upper(1);
|
| m_lo1 = m_dc.Lower(1);
|
| double b[1]; if(m_hATR>0 && CopyBuffer(m_hATR,0,1,1,b)==1) m_atr1=b[0];
|
| }
|
| virtual TradeOrder CheckSignal()
|
| {
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| TradeOrder ord; ord.strategy_name=Name();
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| if(m_close1<=0 || m_up1<=0 || m_lo1<=0 || m_atr1<=0) return ord;
|
| // Long breakout: price near upper channel
|
| if(m_close1>=m_up1)
|
| {
|
| ord.action=ACTION_BUY; ord.order_type=ORDER_TYPE_BUY_STOP; ord.price=m_up1 + (5*_Point);
|
| ord.stop_loss = m_close1 - m_atrMult*m_atr1; ord.take_profit = m_close1 + 2.0*(m_atrMult*m_atr1);
|
| ord.trailing_enabled=true; ord.trailing_type=TRAIL_ATR; ord.atr_period=m_atrPeriod; ord.atr_multiplier=m_atrMult; return ord;
|
| }
|
| // Short breakout
|
| if(m_close1<=m_lo1)
|
| {
|
| ord.action=ACTION_SELL; ord.order_type=ORDER_TYPE_SELL_STOP; ord.price=m_lo1 - (5*_Point);
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| ord.stop_loss = m_close1 + m_atrMult*m_atr1; ord.take_profit = m_close1 - 2.0*(m_atrMult*m_atr1);
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| ord.trailing_enabled=true; ord.trailing_type=TRAIL_ATR; ord.atr_period=m_atrPeriod; ord.atr_multiplier=m_atrMult; return ord;
|
| }
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| return ord;
|
| }
|
| 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(), "dc_upper", m_up1);
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| (*kb).WriteKV(ts, m_symbol, Name(), "dc_lower", m_lo1);
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| (*kb).WriteKV(ts, m_symbol, Name(), "atr", m_atr1);
|
| }
|
| };
|
