97 lines
3.5 KiB
MQL5
97 lines
3.5 KiB
MQL5
#ifndef DUALEA_STRATEGIES_VWAP_REVERSION_MQH
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#define DUALEA_STRATEGIES_VWAP_REVERSION_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\\VWAP.mqh"
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class CVWAPReversionStrategy : public IStrategy
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{
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private:
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CVWAP m_vwap;
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int m_vwapWindow;
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int m_adxPeriod;
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int m_hADX;
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int m_atrPeriod;
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double m_atrMult;
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double m_devAtrMult; // deviation threshold in ATR multiples
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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_vwap1;
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double m_dev1;
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double m_atr1;
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double m_adx1;
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public:
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CVWAPReversionStrategy(const string symbol, const ENUM_TIMEFRAMES tf) : IStrategy("VWAPReversionStrategy", symbol, tf)
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{
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m_vwapWindow=30; m_vwap.Init(symbol, tf, m_vwapWindow);
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m_adxPeriod=14; m_hADX=iADX(symbol, tf, m_adxPeriod);
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m_atrPeriod=14; m_atrMult=1.5; m_devAtrMult=1.0; m_hATR=iATR(symbol, tf, m_atrPeriod);
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m_close1=0.0; m_vwap1=0.0; m_dev1=0.0; m_atr1=0.0; m_adx1=0.0;
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}
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virtual string Name(){ return "VWAPReversionStrategy"; }
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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_vwap1 = m_vwap.Value(1);
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m_dev1 = (m_close1>0 && m_vwap1>0? (m_close1 - m_vwap1) : 0.0);
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// ATR(1)
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m_atr1 = 0.0; if(m_hATR>0){ double b[1]; if(CopyBuffer(m_hATR,0,1,1,b)==1) m_atr1=b[0]; }
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// ADX(1)
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m_adx1 = 0.0; if(m_hADX>0){ double b[1]; if(CopyBuffer(m_hADX,0,1,1,b)==1) m_adx1=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_vwap1<=0 || m_atr1<=0) return ord;
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// Favor reversion when trend is not strong
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bool allow_revert = (m_adx1 <= 22.0 || m_adx1==0.0);
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if(!allow_revert) return ord;
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int digits = (int)SymbolInfoInteger(m_symbol, SYMBOL_DIGITS);
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// Long: price sufficiently below vwap
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if(m_dev1 <= -m_devAtrMult*m_atr1)
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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 - m_atrMult*m_atr1;
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double tp = (m_vwap1>m_close1? m_vwap1 : m_close1 + 1.0*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=m_atrPeriod; ord.atr_multiplier=m_atrMult;
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return ord;
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}
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// Short: price sufficiently above vwap
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if(m_dev1 >= m_devAtrMult*m_atr1)
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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 + m_atrMult*m_atr1;
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double tp = (m_vwap1<m_close1? m_vwap1 : m_close1 - 1.0*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=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(), "vwap", m_vwap1);
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(*kb).WriteKV(ts, m_symbol, Name(), "dev_from_vwap", m_dev1);
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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_VWAP_REVERSION_MQH
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