pairs_trading/Enigma.mq5

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                        SPVIX.mq5 |
//|                                  Copyright 2024, MetaQuotes Ltd. |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2024, MetaQuotes Ltd."
#property link      "https://www.mql5.com"
#property version   "1.00"
#include <Math\Stat\Math.mqh>
#include <Trade\Trade.mqh>
CTrade ExtTrade; // <EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0ub
/*
input group "***Bf<42><66>-<2D><>[***"
input int Jisa = 7;    //<EFBFBD>e,gBf<EFBFBD><EFBFBD>h0Bf<EFBFBD>]
input int ho =9;      //Bf<EFBFBD><EFBFBD>
input int mi =5;      //R
input int oho =5;      //Bf<EFBFBD><EFBFBD>
input double PIP =250;      //300
input group "***Bf<42><66>-<2D><>[2***"
input int ho2 =16;      //Bf<EFBFBD><EFBFBD>
input int mi2 =5;      //R
*/



input double zmax = 2.0;



sinput ulong  Magic = 550055;  // <EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
sinput ulong  Slippage = 20;  // <EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
sinput double Lots = 0.1;     // <EFBFBD>0<EFBFBD>0<EFBFBD>0pe
input double MaxSpread = 50;                              // <EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD><EFBFBD>
<EFBFBD><EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
input group "***)RE^
dR<EFBFBD>0-<EFBFBD><EFBFBD>[***"
input double in_TP = 1000.0;      //TP
input double in_SL =1000.0;      //SL
/*input double in_Trail =  2000.0;    //Trail
input double in_TrailS = 2000.0;   //TrailStart
input double PIP2 =250;      //300
input double in_TP2 = 14000.0;      //TP
input double in_SL2 =2000.0;      //SL
input double in_Trail2 =  2200.0;    //Trail
input double in_TrailS2 = 1400.0;   //TrailStart*/
input group "***<00><>$P***"

input group "***<1A><><EFBFBD>***"
input string NO1 ="USDCHF";      //USDCHF
input string NO2 ="AUDCHF";      //XAUUSD

string symbols[9] = {"AUDCHF", "EURAUD", "GBPAUD", "CADCHF", "EURCAD", "EURNZD", "GBPCAD", "GBPNZD", "NZDCHF"};


int RSI_hNO1[9]; // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
int RSI_hNO2; // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
double RSI0[];   // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
double RSI1[];   // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
double RSI2[];   // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
double RSI3[];   // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
double RSI4[];   // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
double RSI5[];   // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
double RSI6[];   // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
double RSI7[];   // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
double RSI8[];   // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
double RSINO2[];   // RSI<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
int L1,L2;
double dSpread;
datetime dflag,dflag2;
//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit() {
//---
// EAn0Rg-<EFBFBD><EFBFBD>[
   ExtTrade.SetExpertMagicNumber(Magic);    // <EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0n0-<EFBFBD><EFBFBD>[
   ExtTrade.SetDeviationInPoints(Slippage); // <EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0n0-<EFBFBD><EFBFBD>[
   for(int i=0; i<=8; i++) {
      RSI_hNO1[i]= iRSI(symbols[i],PERIOD_CURRENT, 14,PRICE_CLOSE);            // RSIn0Rg-<EFBFBD><EFBFBD>[
   }


   RSI_hNO2= iRSI(NO2,PERIOD_CURRENT, 44, PRICE_CLOSE);            // RSIn0Rg-<EFBFBD><EFBFBD>[
//---

   return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason) {
//---

}
//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick() {
//---
   /*
      double Ask=NormalizeDouble(SymbolInfoDouble(_Symbol,SYMBOL_ASK),_Digits);
      double Bid=NormalizeDouble(SymbolInfoDouble(_Symbol,SYMBOL_BID),_Digits);
      dSpread = (Ask - Bid) / (Point()*10);
      */
   double rsi[9];
   double zscore[9];
   string  symbol;
   ulong Tiket;
   ArrayInitialize(rsi,0);
   ArraySetAsSeries(RSI1,true);          //M<EFBFBD>R<EFBFBD>0Bf<EFBFBD>|Rk0<EFBFBD>-N<EFBFBD><EFBFBD>L0eQc0f0D0j0D0<EFBFBD>rKag0<EFBFBD>0OK	<EFBFBD>

   for(int i=0; i<=8; i++) {
      CopyBuffer(RSI_hNO1[i],0,0,3,RSI1);
      rsi[i]=RSI1[0];
   }

   double heikin=MathMean(rsi);
   double hensa= MathStandardDeviation(rsi);
   heikin=MathRound(heikin,2);
   hensa=MathRound(hensa,2);

   double max=MathMax(rsi);
   double min=MathMin(rsi);
   max=(max-heikin)/hensa;
   min=(min-heikin)/hensa;
   string symMAX=symbols[ArrayBsearch(rsi,MathMax(rsi))];
   string symMIN=symbols[ArrayBsearch(rsi,MathMin(rsi))];

   for(int i=0; i<=8; i++) {
      zscore[i]= Zscore(rsi[i],heikin,hensa);
   }





//S0n0EAL0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
cc0f0D0<EFBFBD>0K0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
   for(int i = 0; i < PositionsTotal(); i++) {
      Tiket = PositionGetTicket(i);
      symbol=PositionGetString(POSITION_SYMBOL);
      if(PositionGetInteger(POSITION_MAGIC) == Magic) break;

      else {
         Tiket = 0;
         symbol="";
      }
   }
   int num=0;
   int total=ArraySize(symbols);
   for(int i=0; i<total; i++) {
      if(symbols[i]==symbol) {
         num=i;
         break;
      }
   }if(symbols[num]==symbol)
      {
       Print("/////////////////////////////////////////////");
      }

   if(!(symbol=="")&&MathAbs(zscore[num]) < 0.5&&  rsi[num]<30 &&1==SP(symbol)||rsi[num]>60 &&1==LP(symbol) ) {
      ExtTrade.PositionClose(Tiket);
      Print("close");
   }
   if(max>zmax&&rsi[ArrayBsearch(rsi,MathMax(rsi))]>70&&0==SP(symMAX)) {
      SELL("SELL",symMAX,Lots,in_SL,in_TP);

   }

   if(min<-zmax&&rsi[ArrayBsearch(rsi,MathMax(rsi))]<30&&0==LP(symMIN)) {
      BUY("BUY",symMIN,Lots,in_SL,in_TP);
   }

   /*         //<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0g0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0c<EFBFBD>[W0f0
0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0K0<EFBFBD>0MA$P<EFBFBD>0M<EFBFBD>Rk0<EFBFBD>0<EFBFBD>0<EFBFBD>0
   Print(RSI1[0],"//////////",RSINO2[0]);
   double XAUUSD =MathLog( iClose(NO2,PERIOD_H1,0));

   double USDCHF =MathLog( iClose(NO1,PERIOD_H1,0));
   double lo3= MathLog( iClose(NO1,PERIOD_H1,3) ); // <EFBFBD>[pe<EFBFBD>0<EFBFBD>S<EFBFBD>0$P

   double loPER= (USDCHF-lo3)*100;
   */




   /*
      Comment(USDCHF,"\n",loPER);
      if(RSINO1[1]>90&&LP()==0&&SP()==0 ) {
         BUY("BUY","USDCHF",Lots,in_SL,in_TP);
       //  SELL("SELL","XAUUSD",Lots,in_SL,in_TP);
      }


      if(RSINO1[1]<50&&SP() ==0) {
         //BUY("BUY","US500");
         SELL("SELL","USDCHF",Lots,in_SL,in_TP);
      }*/
}
//+------------------------------------------------------------------+

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
double Zscore(double num, double mean, double std) {
   return (num - mean) / std;
}
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void SELL(string COM,string  SYM,double l,double s,double L) {
   double Ask=NormalizeDouble(SymbolInfoDouble(SYM,SYMBOL_ASK),_Digits);
   double Bid=NormalizeDouble(SymbolInfoDouble(SYM,SYMBOL_BID),_Digits);
   double   SL = NormalizeDouble((Ask + s*_Point), _Digits);
   double    TP = NormalizeDouble((Bid -L*_Point), _Digits);
   if(!ExtTrade.Sell(l,SYM,Bid,SL,TP,COM))Print("//////////////");

}
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void BUY(string COM,string  SYM,double l,double s,double L) {

   double Ask=NormalizeDouble(SymbolInfoDouble(SYM,SYMBOL_ASK),_Digits);
   double Bid=NormalizeDouble(SymbolInfoDouble(SYM,SYMBOL_BID),_Digits);
   double   SL = NormalizeDouble((Bid -s*_Point), _Digits);
   double   TP = NormalizeDouble((Ask +L*_Point), _Digits);
   if(!ExtTrade.Buy(l,SYM,Ask,SL,TP,COM))Print("//////////////");


}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
int LP(string s) { //<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0pe<EFBFBD>0<EFBFBD>S<EFBFBD>_
   int buys=0;
   int total=PositionsTotal();
   ulong ticket=0;
   ulong PositionMagic=0;
   long type;
   string symbol;
   for(int i=total-1; i>=0; i--) {
      ticket=PositionGetTicket(i);
      symbol=PositionGetString(POSITION_SYMBOL);
      PositionMagic=PositionGetInteger(POSITION_MAGIC);
      type  =PositionGetInteger(POSITION_TYPE);
      if(symbol==s && PositionMagic==Magic && type==POSITION_TYPE_BUY) {
         buys++;
      }
   }
   return(buys);
}

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int SP(string s) { //<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0pe<EFBFBD>0<EFBFBD>S<EFBFBD>_
   int sells=0;
   int total=PositionsTotal();
   ulong ticket=0;
   ulong PositionMagic=0;
   long type;
   string symbol;
   for(int i=total-1; i>=0; i--) {
      ticket=PositionGetTicket(i);
      symbol=PositionGetString(POSITION_SYMBOL);
      PositionMagic=PositionGetInteger(POSITION_MAGIC);
      type  =PositionGetInteger(POSITION_TYPE);
      if(symbol==s && PositionMagic==Magic && type==POSITION_TYPE_SELL) {
         sells++;
      }
   }
   return(sells);
}
//+------------------------------------------------------------------+
ulong Ti() { //<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0pe<EFBFBD>0<EFBFBD>S<EFBFBD>_
   int buys=0;
   int total=PositionsTotal();
   ulong ticket=0;
   ulong PositionMagic=0;
   long type;
   string symbol;
   for(int i=total-1; i>=0; i--) {
      ticket=PositionGetTicket(i);
      symbol=PositionGetString(POSITION_SYMBOL);
      PositionMagic=PositionGetInteger(POSITION_MAGIC);
      type  =PositionGetInteger(POSITION_TYPE);
      if(/*symbol==_Symbol && */PositionMagic==Magic && type==POSITION_TYPE_BUY) {
         buys++;
      }
   }
   return(buys);
}

//+------------------------------------------------------------------+