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