115 lines
4.1 KiB
MQL5
115 lines
4.1 KiB
MQL5
#include "..\\IStrategy.mqh"
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#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"
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class CSuperTrendADXKamaStrategy : public IStrategy
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{
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private:
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string m_symbol;
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ENUM_TIMEFRAMES m_tf;
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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
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// 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)
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{
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m_symbol = symbol; m_tf = 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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{
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m_close0 = iClose(m_symbol, m_tf, 0);
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m_close1 = iClose(m_symbol, m_tf, 1);
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// 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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{
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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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{
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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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}
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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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{
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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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}
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return ord;
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}
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virtual void ExportFeatures(CFeaturesKB* kb, const datetime ts)
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{
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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);
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}
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};
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