derivato da MrBaro75/Warrior_EA
b2784b5a4d
- Added bulk read/write methods for feature caches in IFeaturesView and its implementations to optimize performance. - Introduced LabelCacheInvalidateAll method to manage label cache invalidation alongside feature cache. - Implemented PooledIndependentBars method in topology interfaces to account for additional independent observations. - Enhanced risk budget management with throttling for peak-equity updates to reduce unnecessary file operations. - Improved error handling and logging for ATR trailing stops to ensure better visibility of issues. - Updated alt-data handling to prevent unnecessary operations during testing and optimization phases.
198 righe
9,6 KiB
MQL5
198 righe
9,6 KiB
MQL5
//+------------------------------------------------------------------+
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//| CTrailingATR.mqh |
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//| AnimateDread |
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//| https://tawarriors.com|
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//+------------------------------------------------------------------+
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#property copyright "AnimateDread"
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#include <Expert\ExpertTrailing.mqh>
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#include "..\System\TradeChecks.mqh"
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// wizard description start
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//+----------------------------------------------------------------------+
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//| Description of the class |
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//| Title=Trailing Stop based on ATR Indicator |
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//| Type=Trailing |
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//| Name=ATR |
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//| Class=CTrailingATR |
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//| Page= |
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//| Parameter=Multiplier,double,2, ATR Multiplier |
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//| Parameter=Periods,int,14, ATR Periods |
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//| Parameter=Shift,int,0, ATR Shift |
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//+----------------------------------------------------------------------+
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// wizard description end
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//+------------------------------------------------------------------+
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//| Class CTrailingATR. |
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//| Purpose: Class of trailing stops based on ATR * Multiplier. |
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//| Derives from class CExpertTrailing. |
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//+------------------------------------------------------------------+
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class CTrailingATR : public CExpertTrailing
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{
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protected:
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CiATR m_ATR; // ATR indicator
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//--- input parameters
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double m_multiplier; // Configurable multiple for ATR
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int m_periods; // Configurable periods for ATR
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int m_shift; // Configurable shift for ATR
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//--- Print-once-until-resolved: a dead/cold ATR made CheckTrailingStop() return false with
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//--- nothing logged, which reads identically to "the stop simply hasn't moved yet" - trailing
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//--- silently stops working. Reset the moment a good read comes back so a LATER outage logs again.
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bool m_atrDeadWarned;
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public:
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CTrailingATR(void);
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~CTrailingATR(void);
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//--- methods of initialization of protected data
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void Multiplier(double multiplier) { m_multiplier = multiplier; }
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void Periods(int periods) { m_periods = periods; }
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void Shift(int shift) { m_shift = shift; }
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virtual bool InitIndicators(CIndicators* indicators);
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virtual bool ValidationSettings();
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virtual bool CheckTrailingStopLong(CPositionInfo* position, double& sl, double& tp);
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virtual bool CheckTrailingStopShort(CPositionInfo* position, double& sl, double& tp);
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protected:
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bool AdjustStopLoss(double& sl, double currentPrice, double atrValue, bool isLong);
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bool CheckTrailingStop(CPositionInfo* position, double& sl, double& tp, bool isLong);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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void CTrailingATR::CTrailingATR(void) :
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m_multiplier(2),
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m_periods(14),
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m_shift(0),
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m_atrDeadWarned(false)
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{
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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void CTrailingATR::~CTrailingATR(void)
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{
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}
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//+------------------------------------------------------------------+
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//| Validation settings protected data. |
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//+------------------------------------------------------------------+
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bool CTrailingATR::ValidationSettings()
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{
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if(!CExpertTrailing::ValidationSettings())
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return (false);
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// Check multiplier
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if(m_multiplier <= 0.0 || m_multiplier > 100)
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{
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printf(__FUNCTION__ + ": multiplier must be greater than 0 and lesser than 100");
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return (false);
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}
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// Check ATR Periods
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if(m_periods <= 0 || m_periods > 200)
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{
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printf(__FUNCTION__ + ": ATR Periods must be greater than 0 and lesser than 200");
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return (false);
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}
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// Check ATR shift
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if(m_shift < 0 || m_shift > 200)
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{
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printf(__FUNCTION__ + ": ATR shift must be 0-200");
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return (false);
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}
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//--- ok
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return (true);
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}
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//+------------------------------------------------------------------+
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//| Checking for input parameters and setting protected data. |
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//+------------------------------------------------------------------+
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bool CTrailingATR::InitIndicators(CIndicators* indicators)
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{
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if(indicators == NULL)
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return (false);
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// Add ATR indicator to the collection
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if(!indicators.Add(GetPointer(m_ATR)))
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{
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printf(__FUNCTION__ + ": error adding object");
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return (false);
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}
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// Initialize ATR indicator
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if(!m_ATR.Create(m_symbol.Name(), m_period, m_periods))
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{
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return (false);
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}
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//--- ok
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return (true);
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}
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//+------------------------------------------------------------------+
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//| Common logic for adjusting SL considering freeze level |
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//+------------------------------------------------------------------+
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bool CTrailingATR::AdjustStopLoss(double& sl, double currentPrice, double atrValue, bool isLong)
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{
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// Brokers often set SYMBOL_TRADE_STOPS_LEVEL independently of (and sometimes larger than)
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// SYMBOL_TRADE_FREEZE_LEVEL - validating only against the freeze level let a computed new_sl pass
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// here yet still be inside the broker's minimum-stop-distance zone, so the eventual
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// PositionModify() outside this function would get rejected with nothing logged here to explain it.
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// TCMinStopDistance() is the shared max(stops, freeze) rule from System\TradeChecks.mqh (article
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// 2555 #6/#7); it also floors the stops level at the current spread, which brokers that publish a
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// 0 SYMBOL_TRADE_STOPS_LEVEL and enforce a floating spread-derived limit instead require.
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double minDistance = TCMinStopDistance(m_symbol.Name());
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int digits = m_symbol.Digits(); // Get the number of digits after the decimal for the instrument
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// Calculate new SL based on position type (Long or Short)
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double new_sl = isLong ? NormalizeDouble(currentPrice - atrValue * m_multiplier, digits)
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: NormalizeDouble(currentPrice + atrValue * m_multiplier, digits);
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// Calculate the level beyond which SL cannot be set due to freeze/stops level
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double level = isLong ? currentPrice - minDistance : currentPrice + minDistance;
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// Check if new SL is in the correct direction and respects the freeze level
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bool isSlValid = isLong ? (new_sl > sl && new_sl < level) : (new_sl < sl && new_sl > level);
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if(isSlValid)
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{
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sl = new_sl;
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return true;
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}
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return false;
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}
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//+------------------------------------------------------------------+
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//| Checking trailing stop and/or profit for long position. |
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//+------------------------------------------------------------------+
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bool CTrailingATR::CheckTrailingStopLong(CPositionInfo* position, double& sl, double& tp)
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{
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return CheckTrailingStop(position, sl, tp, true);
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}
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//+------------------------------------------------------------------+
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//| Checking trailing stop and/or profit for short position. |
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//+------------------------------------------------------------------+
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bool CTrailingATR::CheckTrailingStopShort(CPositionInfo* position, double& sl, double& tp)
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{
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return CheckTrailingStop(position, sl, tp, false);
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}
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//+------------------------------------------------------------------+
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//| Shared body of both directions. A long trails off the Bid, a |
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//| short off the Ask; everything else is identical. |
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//+------------------------------------------------------------------+
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bool CTrailingATR::CheckTrailingStop(CPositionInfo* position, double& sl, double& tp, bool isLong)
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{
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sl = EMPTY_VALUE;
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tp = EMPTY_VALUE;
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if(position == NULL)
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return false;
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double new_sl = position.StopLoss();
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double price = isLong ? m_symbol.Bid() : m_symbol.Ask();
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double atr = m_ATR.Main(m_shift);
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//--- A cold/dead ATR reads EMPTY_VALUE == DBL_MAX, a real MathIsValidNumber()-passing number, not
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//--- a recognisable failure - AdjustStopLoss would compute against it and its own validity tests
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//--- would fail, returning false with NOTHING logged. That reads identically to "the stop simply
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//--- has not moved yet", so trailing can silently stop working for as long as the handle stays bad.
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if(atr == EMPTY_VALUE || atr <= 0.0 || !MathIsValidNumber(atr))
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{
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if(!m_atrDeadWarned)
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{
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m_atrDeadWarned = true;
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PrintFormat("%s: ATR trailing STALLED for %s - m_ATR.Main(%d)=%.10g (needs a valid > 0"
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" value). Stops will not trail until this indicator recovers.",
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__FUNCTION__, (position != NULL ? position.Symbol() : "?"), m_shift, atr);
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}
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return false;
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}
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m_atrDeadWarned = false;
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//--- AdjustStopLoss honours the freeze level; only publish sl when it actually moved
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if(!AdjustStopLoss(new_sl, price, atr, isLong))
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return false;
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sl = new_sl;
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return true;
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}
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//+------------------------------------------------------------------+
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