139 lines
5.7 KiB
MQL5
139 lines
5.7 KiB
MQL5
// BollAveragesStrategy.mqh
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// Strategy using the 2_Averages_with_BollingerBands indicator.
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#property copyright "2025, Windsurf Engineering"
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#property link "https://www.windsurf.ai"
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#include "..\IStrategy.mqh"
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#include "..\KnowledgeBase.mqh"
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// --- Buffer indices for the '2_Averages_with_BollingerBands' custom indicator
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#define MA1_BUFFER 0
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#define MA2_BUFFER 1
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#define BB_UPPER_BUFFER 4
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#define BB_MIDDLE_BUFFER 5
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#define BB_LOWER_BUFFER 6
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class CBollAveragesStrategy : public IStrategy
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{
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private:
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int m_indicator_handle;
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// NOTE: m_symbol and m_timeframe inherited from IStrategy - DO NOT shadow
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// --- Data arrays
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double m_ma1_buffer[];
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double m_ma2_buffer[];
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public:
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CBollAveragesStrategy(string symbol, ENUM_TIMEFRAMES timeframe);
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~CBollAveragesStrategy();
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// --- IStrategy interface methods
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virtual void Refresh() override;
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virtual TradeOrder CheckSignal() override;
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virtual string Name() const override { return "BollAveragesStrategy"; }
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virtual void ExportFeatures(CObject* kb, const datetime ts) override;
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CBollAveragesStrategy::CBollAveragesStrategy(string symbol, ENUM_TIMEFRAMES timeframe)
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: IStrategy("BollAveragesStrategy", symbol, timeframe)
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{
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// --- Get indicator handle using inherited m_symbol and m_timeframe
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m_indicator_handle = iCustom(m_symbol, m_timeframe, "Downloads\\2_Averages_with_BollingerBands");
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// --- Set buffers as series
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ArraySetAsSeries(m_ma1_buffer, true);
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ArraySetAsSeries(m_ma2_buffer, true);
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CBollAveragesStrategy::~CBollAveragesStrategy()
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{
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IndicatorRelease(m_indicator_handle);
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}
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//+------------------------------------------------------------------+
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//| Refresh - Copies the latest indicator data into local buffers |
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//+------------------------------------------------------------------+
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void CBollAveragesStrategy::Refresh()
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{
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if(m_indicator_handle == INVALID_HANDLE)
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{
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Print("CBollAveragesStrategy: Invalid indicator handle.");
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return;
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}
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// Copy the last 3 bars of data for crossover detection
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CopyBuffer(m_indicator_handle, MA1_BUFFER, 0, 3, m_ma1_buffer);
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CopyBuffer(m_indicator_handle, MA2_BUFFER, 0, 3, m_ma2_buffer);
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}
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//+------------------------------------------------------------------+
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//| CheckSignal - Checks for a moving average crossover |
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//+------------------------------------------------------------------+
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TradeOrder CBollAveragesStrategy::CheckSignal()
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{
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TradeOrder order;
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order.strategy_name = Name();
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// Check for bullish crossover (MA1 crosses above MA2)
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// Bar 1 is the most recently closed bar
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if (m_ma1_buffer[1] > m_ma2_buffer[1] && m_ma1_buffer[2] <= m_ma2_buffer[2])
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{
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order.action = ACTION_BUY;
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order.order_type = ORDER_TYPE_BUY;
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double price = SymbolInfoDouble(m_symbol, SYMBOL_ASK);
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double atr = GetATR(14, 0);
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double spread = SymbolInfoDouble(m_symbol, SYMBOL_ASK) - SymbolInfoDouble(m_symbol, SYMBOL_BID);
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double min_stop = MathMax(atr * 1.5, MathMax(spread*3, SymbolInfoInteger(m_symbol, SYMBOL_TRADE_STOPS_LEVEL) * _Point));
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order.stop_loss = price - min_stop;
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order.take_profit = price + min_stop * 3.0;
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if(spread > min_stop*0.5) return order;
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return order;
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}
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// Check for bearish crossover (MA1 crosses below MA2)
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if (m_ma1_buffer[1] < m_ma2_buffer[1] && m_ma1_buffer[2] >= m_ma2_buffer[2])
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{
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order.action = ACTION_SELL;
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order.order_type = ORDER_TYPE_SELL;
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double price = SymbolInfoDouble(m_symbol, SYMBOL_BID);
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double atr = GetATR(14, 0);
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double spread = SymbolInfoDouble(m_symbol, SYMBOL_ASK) - SymbolInfoDouble(m_symbol, SYMBOL_BID);
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double min_stop = MathMax(atr * 1.5, MathMax(spread*3, SymbolInfoInteger(m_symbol, SYMBOL_TRADE_STOPS_LEVEL) * _Point));
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order.stop_loss = price + min_stop;
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order.take_profit = price - min_stop * 3.0;
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if(spread > min_stop*0.5) return order;
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return order;
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}
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return order; // Returns order with ACTION_NONE
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}
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//+------------------------------------------------------------------+
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//| ExportFeatures - Export features for ML |
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//+------------------------------------------------------------------+
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void CBollAveragesStrategy::ExportFeatures(CObject* kb, const datetime ts)
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{
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if(CheckPointer(kb)==POINTER_INVALID) return;
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if(m_indicator_handle==INVALID_HANDLE) return;
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CFeaturesKB *features = dynamic_cast<CFeaturesKB*>(kb);
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if(CheckPointer(features)==POINTER_INVALID) return;
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// Read latest buffers
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double ma1[1], ma2[1], bb_up[1], bb_mid[1], bb_lo[1];
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if(CopyBuffer(m_indicator_handle, MA1_BUFFER, 0, 1, ma1)==1)
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(*features).WriteKV(ts, m_symbol, Name(), "ma1", ma1[0]);
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if(CopyBuffer(m_indicator_handle, MA2_BUFFER, 0, 1, ma2)==1)
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(*features).WriteKV(ts, m_symbol, Name(), "ma2", ma2[0]);
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if(CopyBuffer(m_indicator_handle, BB_UPPER_BUFFER, 0, 1, bb_up)==1)
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(*features).WriteKV(ts, m_symbol, Name(), "bb_upper", bb_up[0]);
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if(CopyBuffer(m_indicator_handle, BB_MIDDLE_BUFFER, 0, 1, bb_mid)==1)
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(*features).WriteKV(ts, m_symbol, Name(), "bb_middle", bb_mid[0]);
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if(CopyBuffer(m_indicator_handle, BB_LOWER_BUFFER, 0, 1, bb_lo)==1)
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(*features).WriteKV(ts, m_symbol, Name(), "bb_lower", bb_lo[0]);
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}
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