| #include "..\IStrategy.mqh"
|
| #include "..\KnowledgeBase.mqh"
|
| #include "..\TradeManager.mqh"
|
|
|
| class CAroonStrategy : public IStrategy
|
| {
|
| private:
|
| int m_period;
|
| int m_upThreshold;
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| int m_downThreshold;
|
|
|
| // Cached values
|
| double m_aroon_up, m_aroon_down;
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| double m_close0, m_close1;
|
|
|
| public:
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| CAroonStrategy(const string symbol, const ENUM_TIMEFRAMES tf) : IStrategy("AroonStrategy", symbol, tf)
|
| {
|
| m_period = 14; m_upThreshold = 70; m_downThreshold = 30;
|
| m_aroon_up = m_aroon_down = 0;
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| m_close0 = m_close1 = 0;
|
| }
|
|
|
| virtual string Name() { return "AroonStrategy"; }
|
|
|
| virtual void Refresh()
|
| {
|
| m_close0 = iClose(m_symbol, m_timeframe, 0);
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| m_close1 = iClose(m_symbol, m_timeframe, 1);
|
|
|
| // Manual Aroon computation: Up = (period - barsSinceHigh)/period * 100
|
| // Down = (period - barsSinceLow)/period * 100
|
| int bars_since_high = iHighest(m_symbol, m_timeframe, MODE_HIGH, m_period, 0);
|
| int bars_since_low = iLowest(m_symbol, m_timeframe, MODE_LOW, m_period, 0);
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| if(bars_since_high>=0 && bars_since_low>=0)
|
| {
|
| m_aroon_up = 100.0 * (m_period - bars_since_high) / m_period;
|
| m_aroon_down = 100.0 * (m_period - bars_since_low) / m_period;
|
| }
|
| }
|
|
|
| virtual TradeOrder CheckSignal()
|
| {
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| TradeOrder ord; ord.strategy_name = Name();
|
|
|
| // Aroon crossover strategy
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| if(m_aroon_up > m_upThreshold && m_aroon_down < m_downThreshold)
|
| {
|
| // Strong uptrend
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| 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);
|
| 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; // skip if spread is too high
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| return ord;
|
| }
|
| else if(m_aroon_down > m_upThreshold && m_aroon_up < m_downThreshold)
|
| {
|
| // 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; // skip if spread is too high
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| return ord;
|
| }
|
|
|
| return ord;
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| }
|
|
|
| virtual void ExportFeatures(CFeaturesKB* kb, const datetime ts)
|
| {
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| if(CheckPointer(kb)==POINTER_INVALID) return;
|
| (*kb).WriteKV(ts, m_symbol, Name(), "aroon_up", m_aroon_up);
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| (*kb).WriteKV(ts, m_symbol, Name(), "aroon_down", m_aroon_down);
|
| }
|
| };
|
