| #include "..\\IStrategy.mqh"
|
| #include "..\\KnowledgeBase.mqh"
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| #include "..\\TradeManager.mqh"
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| #include "..\\Indicators\\SuperTrend.mqh"
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| #include "..\\Indicators\\KAMA.mqh"
|
|
|
| class CSuperTrendADXKamaStrategy : public IStrategy
|
| {
|
| private:
|
| int m_adxPeriod;
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| int m_atrPeriod;
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| double m_atrMult;
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| int m_kamaPeriod;
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| int m_adxThreshold;
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|
|
| CSuperTrend m_st;
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| CKAMA m_kama;
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| int m_hATR;
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| int m_hADX;
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|
|
| // pending order config
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| bool m_usePending; // place limit pullbacks instead of market
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| double m_pullbackPoints; // distance in points from KAMA/band
|
|
|
| // cached
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| double m_close0, m_close1;
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| double m_atr1;
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| double m_adx1;
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| int m_dir1;
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| double m_kama_val1, m_kama_slope1;
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|
|
| public:
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| CSuperTrendADXKamaStrategy(const string symbol, const ENUM_TIMEFRAMES tf) : IStrategy("SuperTrendADXKamaStrategy", symbol, tf)
|
| {
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| m_adxPeriod = 14; m_atrPeriod = 14; m_atrMult = 2.0; m_kamaPeriod=30; m_adxThreshold=22;
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| m_st.Init(symbol, tf, 10, 3.0);
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| m_kama.Init(symbol, tf, 10, 2, 30);
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| m_hATR = iATR(symbol, tf, m_atrPeriod);
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| m_hADX = iADX(symbol, tf, m_adxPeriod);
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| m_close0=m_close1=0; m_atr1=0; m_adx1=0; m_dir1=0; m_kama_val1=0; m_kama_slope1=0;
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| m_usePending=false; m_pullbackPoints=10;
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| }
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|
|
| virtual string Name() { return "SuperTrendADXKamaStrategy"; }
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|
|
| 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);
|
| // Copy ATR(1)
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| double buf[1];
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| m_atr1 = 0.0; m_adx1 = 0.0;
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| if(m_hATR>0 && CopyBuffer(m_hATR, 0, 1, 1, buf)==1) m_atr1 = buf[0];
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| if(m_hADX>0 && CopyBuffer(m_hADX, 0, 1, 1, buf)==1) m_adx1 = buf[0];
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| m_dir1 = m_st.Direction(1);
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| m_kama_val1 = m_kama.Value(1);
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| m_kama_slope1 = m_kama.Slope(1);
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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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| // Basic guards
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| if(m_atr1<=0 || m_close1<=0) return ord;
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| // Trend filter and regime
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| bool trend_up = (m_dir1>0);
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| bool trend_down = (m_dir1<0);
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| bool strong_trend = (m_adx1 >= m_adxThreshold);
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| // Pullback logic: price near KAMA with slope in trend direction
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| bool kama_up = (m_kama_slope1>0);
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| bool kama_down = (m_kama_slope1<0);
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|
|
| // Long setup
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| if(trend_up && strong_trend && kama_up && m_close1 >= m_kama_val1)
|
| {
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| ord.action = ACTION_BUY;
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| if(m_usePending){ ord.order_type = ORDER_TYPE_BUY_LIMIT; ord.price = m_kama_val1 + (m_pullbackPoints*_Point); }
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| else { ord.order_type = ORDER_TYPE_BUY; }
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| // ATR based stop
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| double sl = m_close1 - m_atrMult*m_atr1;
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| ord.stop_loss = sl;
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| // optional TP: 2R
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| ord.take_profit = m_close1 + 2.0*(m_close1 - sl);
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| // trailing via ATR
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| ord.trailing_enabled = true; ord.trailing_type = TRAIL_ATR; ord.atr_period=m_atrPeriod; ord.atr_multiplier=m_atrMult;
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| return ord;
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| }
|
| // Short setup
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| if(trend_down && strong_trend && kama_down && m_close1 <= m_kama_val1)
|
| {
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| ord.action = ACTION_SELL;
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| if(m_usePending){ ord.order_type = ORDER_TYPE_SELL_LIMIT; ord.price = m_kama_val1 - (m_pullbackPoints*_Point); }
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| else { ord.order_type = ORDER_TYPE_SELL; }
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| double sl = m_close1 + m_atrMult*m_atr1;
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| ord.stop_loss = sl;
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| ord.take_profit = m_close1 - 2.0*(sl - m_close1);
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| ord.trailing_enabled = true; ord.trailing_type = TRAIL_ATR; ord.atr_period=m_atrPeriod; ord.atr_multiplier=m_atrMult;
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| return ord;
|
| }
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| return ord;
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| }
|
|
|
| virtual void ExportFeatures(CFeaturesKB* kb, const datetime ts)
|
| {
|
| if(CheckPointer(kb)==POINTER_INVALID) return;
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| (*kb).WriteKV(ts, m_symbol, Name(), "adx", m_adx1);
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| (*kb).WriteKV(ts, m_symbol, Name(), "supertrend_dir", (double)m_dir1);
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| (*kb).WriteKV(ts, m_symbol, Name(), "kama_val", m_kama_val1);
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| (*kb).WriteKV(ts, m_symbol, Name(), "kama_slope", m_kama_slope1);
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| (*kb).WriteKV(ts, m_symbol, Name(), "atr", m_atr1);
|
| }
|
| };
|
