441 lines
18 KiB
MQL5
441 lines
18 KiB
MQL5
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//+------------------------------------------------------------------+
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//| SignalRSI.mqh |
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//| Copyright 2000-2023, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#include "..\Expert\ExpertSignalCustom.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=Signals of oscillator 'Relative Strength Index' |
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//| Type=SignalAdvanced |
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//| Name=Relative Strength Index |
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//| ShortName=RSI |
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//| Class=CSignalRSI |
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//| Page=signal_rsi |
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//| Parameter=PeriodRSI,int,14,Period of calculation |
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//| Parameter=Applied,ENUM_APPLIED_PRICE,PRICE_CLOSE,Prices series |
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//+------------------------------------------------------------------+
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// wizard description end
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//+------------------------------------------------------------------+
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//| Class CSignalRSI. |
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//| Purpose: Class of generator of trade signals based on |
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//| the 'Relative Strength Index' oscillator. |
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//| Is derived from the CExpertSignalCustom class. |
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//+------------------------------------------------------------------+
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class CSignalRSI : public CExpertSignalCustom
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{
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protected:
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CiRSI m_rsi; // object-oscillator
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//--- adjusted parameters
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int m_periodRSI; // the "period of calculation" parameter of the oscillator
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ENUM_APPLIED_PRICE m_applied; // the "prices series" parameter of the oscillator
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//--- "weights" of market models (0-100)
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int m_pattern_0; // model 0 "the oscillator has required direction"
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int m_pattern_1; // model 1 "reverse behind the level of overbuying/overselling"
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int m_pattern_2; // model 2 "divergence of the oscillator and price"
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int m_pattern_3; // model 3 "double divergence of the oscillator and price"
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//--- variables
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double m_extr_osc[10]; // array of values of extremums of the oscillator
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double m_extr_pr[10]; // array of values of the corresponding extremums of price
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int m_extr_pos[10]; // array of shifts of extremums (in bars)
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uint m_extr_map; // resulting bit-map of ratio of extremums of the oscillator and the price
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public:
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CSignalRSI(void);
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~CSignalRSI(void);
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//--- methods of setting adjustable parameters
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void PeriodRSI(int value) { m_periodRSI = value; }
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void Applied(ENUM_APPLIED_PRICE value) { m_applied = value; }
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//--- methods of adjusting "weights" of market models
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void Pattern_0(int value) { m_pattern_0 = value; }
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void Pattern_1(int value) { m_pattern_1 = value; }
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void Pattern_2(int value) { m_pattern_2 = value; }
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void Pattern_3(int value) { m_pattern_3 = value; }
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virtual void ApplyPatternWeight(int patternNumber, int weight);
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//--- method of verification of settings
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virtual bool ValidationSettings(void);
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//--- method of creating the indicator and timeseries
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virtual bool InitIndicators(CIndicators *indicators);
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//--- methods of checking if the market models are formed
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virtual int LongCondition(void);
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virtual int ShortCondition(void);
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protected:
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//--- method of initialization of the oscillator
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bool InitRSI(CIndicators *indicators);
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//--- methods of getting data
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double RSI(int ind) { return(m_rsi.Main(ind)); }
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double DiffRSI(int ind) { return(RSI(ind) - RSI(ind + 1)); }
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int StateRSI(int ind);
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bool ExtStateRSI(int ind);
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bool CompareMaps(int map, int count, bool minimax = false, int start = 0);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CSignalRSI::CSignalRSI(void) : m_periodRSI(14),
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m_applied(PRICE_CLOSE),
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m_pattern_0(10),
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m_pattern_1(60),
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m_pattern_2(80),
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m_pattern_3(100)
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{
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m_id = "RSI";
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m_pattern_count = 4;
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//--- initialization of protected data
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m_used_series = USE_SERIES_HIGH + USE_SERIES_LOW;
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CSignalRSI::~CSignalRSI(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 CSignalRSI::ValidationSettings(void)
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{
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//--- validation settings of additional filters
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if(!CExpertSignalCustom::ValidationSettings())
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return(false);
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//--- initial data checks
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if(m_periodRSI <= 0)
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{
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printf(__FUNCTION__ + ": period of the RSI oscillator must be greater than 0");
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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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//| Create indicators. |
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//+------------------------------------------------------------------+
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bool CSignalRSI::InitIndicators(CIndicators *indicators)
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{
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//--- check pointer
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if(indicators == NULL)
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return(false);
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//--- initialization of indicators and timeseries of additional filters
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if(!CExpertSignalCustom::InitIndicators(indicators))
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return(false);
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//--- create and initialize RSI oscillator
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if(!InitRSI(indicators))
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return(false);
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//--- ok
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Initialize RSI oscillators. |
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//+------------------------------------------------------------------+
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bool CSignalRSI::InitRSI(CIndicators *indicators)
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{
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//--- check pointer
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if(indicators == NULL)
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return(false);
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//--- add object to collection
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if(!indicators.Add(GetPointer(m_rsi)))
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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 object
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if(!m_rsi.Create(m_symbol.Name(), m_period, m_periodRSI, m_applied))
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{
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printf(__FUNCTION__ + ": error initializing object");
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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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//| Check of the oscillator state. |
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//+------------------------------------------------------------------+
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int CSignalRSI::StateRSI(int ind)
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{
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int res = 0;
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double var;
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//---
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for(int i = ind;; i++)
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{
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if(RSI(i + 1) == EMPTY_VALUE)
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break;
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var = DiffRSI(i);
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if(res > 0)
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{
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if(var < 0)
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break;
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res++;
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continue;
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}
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if(res < 0)
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{
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if(var > 0)
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break;
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res--;
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continue;
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}
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if(var > 0)
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res++;
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if(var < 0)
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res--;
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}
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//---
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return(res);
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}
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//+------------------------------------------------------------------+
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//| Extended check of the oscillator state consists |
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//| in forming a bit-map according to certain rules, |
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//| which shows ratios of extremums of the oscillator and price. |
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//+------------------------------------------------------------------+
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bool CSignalRSI::ExtStateRSI(int ind)
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{
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//--- operation of this method results in a bit-map of extremums
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//--- practically, the bit-map of extremums is an "array" of 4-bit fields
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//--- each "element of the array" definitely describes the ratio
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//--- of current extremums of the oscillator and the price with previous ones
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//--- purpose of bits of an element of the analyzed bit-map
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//--- bit 3 - not used (always 0)
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//--- bit 2 - is equal to 1 if the current extremum of the oscillator is "more extreme" than the previous one
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//--- (a higher peak or a deeper valley), otherwise - 0
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//--- bit 1 - not used (always 0)
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//--- bit 0 - is equal to 1 if the current extremum of price is "more extreme" than the previous one
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//--- (a higher peak or a deeper valley), otherwise - 0
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//--- in addition to them, the following is formed:
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//--- array of values of extremums of the oscillator,
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//--- array of values of price extremums and
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//--- array of "distances" between extremums of the oscillator (in bars)
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//--- it should be noted that when using the results of the extended check of state,
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//--- you should consider, which extremum of the oscillator (peak or valley)
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//--- is the "reference point" (i.e. was detected first during the analysis)
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//--- if a peak is detected first then even elements of all arrays
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//--- will contain information about peaks, and odd elements will contain information about valleys
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//--- if a valley is detected first, then respectively in reverse
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int pos = ind, off, index;
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uint map; // intermediate bit-map for one extremum
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//---
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m_extr_map = 0;
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for(int i = 0; i < 10; i++)
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{
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off = StateRSI(pos);
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if(off > 0)
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{
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//--- minimum of the oscillator is detected
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pos += off;
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m_extr_pos[i] = pos;
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m_extr_osc[i] = RSI(pos);
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if(i > 1)
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{
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m_extr_pr[i] = m_low.MinValue(pos - 2, 5, index);
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//--- form the intermediate bit-map
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map = 0;
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if(m_extr_pr[i - 2] < m_extr_pr[i])
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map += 1; // set bit 0
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if(m_extr_osc[i - 2] < m_extr_osc[i])
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map += 4; // set bit 2
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//--- add the result
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m_extr_map += map << (4 * (i - 2));
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}
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else
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m_extr_pr[i] = m_low.MinValue(pos - 1, 4, index);
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}
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else
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{
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//--- maximum of the oscillator is detected
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pos -= off;
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m_extr_pos[i] = pos;
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m_extr_osc[i] = RSI(pos);
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if(i > 1)
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{
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m_extr_pr[i] = m_high.MaxValue(pos - 2, 5, index);
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//--- form the intermediate bit-map
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map = 0;
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if(m_extr_pr[i - 2] > m_extr_pr[i])
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map += 1; // set bit 0
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if(m_extr_osc[i - 2] > m_extr_osc[i])
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map += 4; // set bit 2
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//--- add the result
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m_extr_map += map << (4 * (i - 2));
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}
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else
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m_extr_pr[i] = m_high.MaxValue(pos - 1, 4, index);
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}
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}
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//---
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Comparing the bit-map of extremums with pattern. |
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//+------------------------------------------------------------------+
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bool CSignalRSI::CompareMaps(int map, int count, bool minimax, int start)
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{
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int step = (minimax) ? 4 : 8;
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int total = step * (start + count);
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//--- check input parameters for a possible going out of range of the bit-map
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if(total > 32)
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return(false);
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//--- bit-map of the patter is an "array" of 4-bit fields
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//--- each "element of the array" definitely describes the desired ratio
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//--- of current extremums of the oscillator and the price with previous ones
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//--- purpose of bits of an elements of the pattern of the bit-map pattern
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//--- bit 3 - is equal to if the ratio of extremums of the oscillator is insignificant for us
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//--- is equal to 0 if we want to "find" the ratio of extremums of the oscillator determined by the value of bit 2
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//--- bit 2 - is equal to 1 if we want to "discover" the situation when the current extremum of the "oscillator" is "more extreme" than the previous one
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//--- (current peak is higher or current valley is deeper)
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//--- is equal to 0 if we want to "discover" the situation when the current extremum of the oscillator is "less extreme" than the previous one
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//--- (current peak is lower or current valley is less deep)
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//--- bit 1 - is equal to 1 if the ratio of extremums is insignificant for us
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//--- it is equal to 0 if we want to "find" the ratio of price extremums determined by the value of bit 0
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//--- bit 0 - is equal to 1 if we want to "discover" the situation when the current price extremum is "more extreme" than the previous one
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//--- (current peak is higher or current valley is deeper)
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//--- it is equal to 0 if we want to "discover" the situation when the current price extremum is "less extreme" than the previous one
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//--- (current peak is lower or current valley is less deep)
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uint inp_map, check_map;
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int i, j;
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//--- loop by extremums (4 minimums and 4 maximums)
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//--- price and the oscillator are checked separately (thus, there are 16 checks)
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for(i = step * start, j = 0; i < total; i += step, j += 4)
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{
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//--- "take" two bits - patter of the corresponding extremum of the price
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inp_map = (map >> j) & 3;
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//--- if the higher-order bit=1, then any ratio is suitable for us
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if(inp_map < 2)
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{
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//--- "take" two bits of the corresponding extremum of the price (higher-order bit is always 0)
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check_map = (m_extr_map >> i) & 3;
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if(inp_map != check_map)
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return(false);
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}
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//--- "take" two bits - pattern of the corresponding oscillator extremum
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inp_map = (map >> (j + 2)) & 3;
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//--- if the higher-order bit=1, then any ratio is suitable for us
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if(inp_map >= 2)
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continue;
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//--- "take" two bits of the corresponding oscillator extremum (higher-order bit is always 0)
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check_map = (m_extr_map >> (i + 2)) & 3;
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if(inp_map != check_map)
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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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//| "Voting" that price will grow. |
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//+------------------------------------------------------------------+
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int CSignalRSI::LongCondition(void)
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{
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int result = 0;
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int idx = StartIndex();
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//---
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if(DiffRSI(idx) > 0.0)
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{
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//--- the oscillator is directed upwards confirming the possibility of price growth
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if(IS_PATTERN_USAGE(0))
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{
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result = m_pattern_0;
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m_active_pattern = "Pattern_0";
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} // "confirming" signal number 0
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//--- if the model 1 is used, search for a reverse of the oscillator upwards behind the level of overselling
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if(IS_PATTERN_USAGE(1) && DiffRSI(idx + 1) < 0.0 && RSI(idx + 1) < 30.0)
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{
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result = m_pattern_1;
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m_active_pattern = "Pattern_1";
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}
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//--- if the model 2, 3 or 4 is used, perform the extended analysis of the oscillator state
|
||
|
|
if(IS_PATTERN_USAGE(2) || IS_PATTERN_USAGE(3) || IS_PATTERN_USAGE(4))
|
||
|
|
{
|
||
|
|
ExtStateRSI(idx);
|
||
|
|
//--- search for the "divergence" signal
|
||
|
|
if(IS_PATTERN_USAGE(2) && CompareMaps(1, 1)) // 0000 0001b
|
||
|
|
{
|
||
|
|
result = m_pattern_2;
|
||
|
|
m_active_pattern = "Pattern_2";
|
||
|
|
}
|
||
|
|
//--- search for the "double divergence" signal
|
||
|
|
if(IS_PATTERN_USAGE(3) && CompareMaps(0x11, 2)) // 0001 0001b
|
||
|
|
{
|
||
|
|
result = m_pattern_3;
|
||
|
|
m_active_pattern = "Pattern_3";
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
if(result != 0)
|
||
|
|
{
|
||
|
|
m_active_direction = "Buy";
|
||
|
|
}
|
||
|
|
//--- return the result
|
||
|
|
return(result);
|
||
|
|
}
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| "Voting" that price will fall. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
int CSignalRSI::ShortCondition(void)
|
||
|
|
{
|
||
|
|
int result = 0;
|
||
|
|
int idx = StartIndex();
|
||
|
|
//---
|
||
|
|
if(DiffRSI(idx) < 0.0)
|
||
|
|
{
|
||
|
|
//--- the oscillator is directed downwards confirming the possibility of falling of price
|
||
|
|
if(IS_PATTERN_USAGE(0))
|
||
|
|
{
|
||
|
|
result = m_pattern_0;
|
||
|
|
m_active_pattern = "Pattern_0";
|
||
|
|
}
|
||
|
|
//--- if the model 1 is used, search for a reverse of the oscillator downwards behind the level of overbuying
|
||
|
|
if(IS_PATTERN_USAGE(1) && DiffRSI(idx + 1) > 0.0 && RSI(idx + 1) > 70.0)
|
||
|
|
{
|
||
|
|
result = m_pattern_1;
|
||
|
|
m_active_pattern = "Pattern_1";
|
||
|
|
} // signal number 1
|
||
|
|
//--- if the model 2, 3 or 4 is used, perform the extended analysis of the oscillator state
|
||
|
|
if(IS_PATTERN_USAGE(2) || IS_PATTERN_USAGE(3) || IS_PATTERN_USAGE(4))
|
||
|
|
{
|
||
|
|
ExtStateRSI(idx);
|
||
|
|
//--- search for the "divergence" signal
|
||
|
|
if(IS_PATTERN_USAGE(2) && CompareMaps(1, 1)) // 0000 0001b
|
||
|
|
{
|
||
|
|
result = m_pattern_2;
|
||
|
|
m_active_pattern = "Pattern_2";
|
||
|
|
}
|
||
|
|
//--- search for the "double divergence" signal
|
||
|
|
if(IS_PATTERN_USAGE(3) && CompareMaps(0x11, 2)) // 0001 0001b
|
||
|
|
{
|
||
|
|
result = m_pattern_3;
|
||
|
|
m_active_pattern = "Pattern_3";
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
if(result != 0)
|
||
|
|
{
|
||
|
|
m_active_direction = "Sell";
|
||
|
|
}
|
||
|
|
//--- return the result
|
||
|
|
return(result);
|
||
|
|
}
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Set the specified pattern's weight to the specified value |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
void CSignalRSI::ApplyPatternWeight(int patternNumber, int weight)
|
||
|
|
{
|
||
|
|
switch(patternNumber)
|
||
|
|
{
|
||
|
|
default:
|
||
|
|
break;
|
||
|
|
case 0:
|
||
|
|
Pattern_0(weight);
|
||
|
|
break;
|
||
|
|
case 1:
|
||
|
|
Pattern_1(weight);
|
||
|
|
break;
|
||
|
|
case 2:
|
||
|
|
Pattern_2(weight);
|
||
|
|
break;
|
||
|
|
case 3:
|
||
|
|
Pattern_3(weight);
|
||
|
|
break;
|
||
|
|
}
|
||
|
|
}
|
||
|
|
//+------------------------------------------------------------------+
|