98 lines
3.6 KiB
MQL5
98 lines
3.6 KiB
MQL5
#ifndef DUALEA_STRATEGIES_KELTNER_MOMENTUM_MQH
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#define DUALEA_STRATEGIES_KELTNER_MOMENTUM_MQH
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#include "..\\IStrategy.mqh"
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#include "..\\KnowledgeBase.mqh"
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#include "..\\TradeManager.mqh"
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#include "..\\Indicators\\Keltner.mqh"
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class CKeltnerMomentumStrategy : public IStrategy
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{
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private:
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CKeltner m_kc;
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int m_emaPeriod;
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int m_atrPeriod;
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double m_atrMult;
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int m_adxPeriod;
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int m_hADX;
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int m_hATR;
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// cached
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double m_close1;
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double m_upper1, m_lower1, m_mid1, m_midSlope1;
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double m_adx1, m_atr1;
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public:
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CKeltnerMomentumStrategy(const string symbol, const ENUM_TIMEFRAMES tf) : IStrategy("KeltnerMomentumStrategy", symbol, tf)
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{
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m_emaPeriod=20; m_atrPeriod=10; m_atrMult=1.5;
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m_kc.Init(symbol, tf, m_emaPeriod, m_atrPeriod, m_atrMult);
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m_adxPeriod=14; m_hADX=iADX(symbol, tf, m_adxPeriod);
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m_hATR=iATR(symbol, tf, MathMax(14, m_atrPeriod));
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m_close1=0.0; m_upper1=m_lower1=m_mid1=m_midSlope1=0.0; m_adx1=0.0; m_atr1=0.0;
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}
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virtual string Name(){ return "KeltnerMomentumStrategy"; }
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virtual void Refresh()
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{
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m_close1 = iClose(m_symbol, m_timeframe, 1);
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m_upper1 = m_kc.Upper(1);
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m_lower1 = m_kc.Lower(1);
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m_mid1 = m_kc.Middle(1);
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m_midSlope1 = m_kc.MiddleSlope(1);
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// ADX & ATR
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double b[1];
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m_adx1=0.0; if(m_hADX>0 && CopyBuffer(m_hADX,0,1,1,b)==1) m_adx1=b[0];
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m_atr1=0.0; if(m_hATR>0 && CopyBuffer(m_hATR,0,1,1,b)==1) m_atr1=b[0];
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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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if(m_close1<=0 || m_upper1<=0 || m_lower1<=0 || m_atr1<=0) return ord;
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bool strong_trend = (m_adx1 >= 20.0 || m_adx1==0.0);
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int digits = (int)SymbolInfoInteger(m_symbol, SYMBOL_DIGITS);
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// Long: close above upper band with positive mid slope and strong trend
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if(strong_trend && m_midSlope1>0 && m_close1 >= m_upper1)
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{
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ord.action = ACTION_BUY; ord.order_type = ORDER_TYPE_BUY;
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double sl = m_close1 - 1.5*m_atr1;
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double tp = m_close1 + 3.0*m_atr1;
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ord.stop_loss = NormalizeDouble(sl, digits);
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ord.take_profit = NormalizeDouble(tp, digits);
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ord.trailing_enabled=true; ord.trailing_type=TRAIL_ATR; ord.atr_period=MathMax(14, m_atrPeriod); ord.atr_multiplier=2.0;
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return ord;
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}
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// Short: close below lower band with negative mid slope and strong trend
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if(strong_trend && m_midSlope1<0 && m_close1 <= m_lower1)
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{
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ord.action = ACTION_SELL; ord.order_type = ORDER_TYPE_SELL;
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double sl = m_close1 + 1.5*m_atr1;
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double tp = m_close1 - 3.0*m_atr1;
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ord.stop_loss = NormalizeDouble(sl, digits);
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ord.take_profit = NormalizeDouble(tp, digits);
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ord.trailing_enabled=true; ord.trailing_type=TRAIL_ATR; ord.atr_period=MathMax(14, m_atrPeriod); ord.atr_multiplier=2.0;
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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(), "kc_upper", m_upper1);
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(*kb).WriteKV(ts, m_symbol, Name(), "kc_lower", m_lower1);
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(*kb).WriteKV(ts, m_symbol, Name(), "kc_mid", m_mid1);
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(*kb).WriteKV(ts, m_symbol, Name(), "kc_mid_slope", m_midSlope1);
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(*kb).WriteKV(ts, m_symbol, Name(), "adx", m_adx1);
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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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#endif // DUALEA_STRATEGIES_KELTNER_MOMENTUM_MQH
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