#include "..\Expert\ExpertSignalCustom.mqh" // wizard description start //+------------------------------------------------------------------+ //| Description of the class | //| Title=Signals of oscillator 'Williams Percent Range' | //| Type=SignalAdvanced | //| Name=Williams Percent Range | //| ShortName=WPR | //| Class=CSignalWPR | //| Page=signal_wpr | //| Parameter=PeriodWPR,int,14,Period of calculation | //+------------------------------------------------------------------+ // wizard description end //+------------------------------------------------------------------+ //| Class CSignalWPR. | //| Purpose: Class of generator of trade signals based on | //| the 'Williams Percent Range' oscillator. | //| Is derived from the CExpertSignalCustom class. | //+------------------------------------------------------------------+ class CSignalWPR : public CExpertSignalCustom { protected: CiWPR m_wpr; // object-oscillator //--- adjusted parameters int m_period_wpr; // the "period of calculation" 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" //--- 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: CSignalWPR(void); ~CSignalWPR(void); //--- methods of setting adjustable parameters void PeriodWPR(int value) { m_period_wpr=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; } 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 InitWPR(CIndicators *indicators); //--- methods of getting data // double WPR(int ind); double WPR(int ind) { return(m_wpr.Main(ind)); } double Diff(int ind) { return(WPR(ind)-WPR(ind+1)); } int State(int ind); bool ExtState(int ind); bool CompareMaps(int map,int count,bool minimax=false,int start=0); }; //+------------------------------------------------------------------+ //| Constructor | //+------------------------------------------------------------------+ CSignalWPR::CSignalWPR(void) : m_period_wpr(14), m_pattern_0(80), m_pattern_1(70), m_pattern_2(90) { m_id = "WPR"; m_pattern_count = 3; //--- initialization of protected data m_used_series=USE_SERIES_HIGH+USE_SERIES_LOW; } //+------------------------------------------------------------------+ //| Destructor | //+------------------------------------------------------------------+ CSignalWPR::~CSignalWPR(void) { } //+------------------------------------------------------------------+ //| Validation settings protected data. | //+------------------------------------------------------------------+ bool CSignalWPR::ValidationSettings(void) { //--- validation settings of additional filters if(!CExpertSignal::ValidationSettings()) return(false); //--- initial data checks if(m_period_wpr<=0) { printf(__FUNCTION__+": period of the WPR oscillator must be greater than 0"); return(false); } //--- ok return(true); } //+------------------------------------------------------------------+ //| Create indicators. | //+------------------------------------------------------------------+ bool CSignalWPR::InitIndicators(CIndicators *indicators) { //--- check pointer if(indicators==NULL) return(false); //--- initialization of indicators and timeseries of additional filters if(!CExpertSignal::InitIndicators(indicators)) return(false); //--- create and initialize WPR oscillator if(!InitWPR(indicators)) return(false); //--- ok return(true); } //+------------------------------------------------------------------+ //| Initialize WPR oscillators. | //+------------------------------------------------------------------+ bool CSignalWPR::InitWPR(CIndicators *indicators) { //--- check pointer if(indicators==NULL) return(false); //--- add object to collection if(!indicators.Add(GetPointer(m_wpr))) { printf(__FUNCTION__+": error adding object"); return(false); } //--- initialize object if(!m_wpr.Create(m_symbol.Name(),m_period,m_period_wpr)) { printf(__FUNCTION__+": error initializing object"); return(false); } //--- ok return(true); } //+------------------------------------------------------------------+ //| Check of the oscillator state. | //+------------------------------------------------------------------+ int CSignalWPR::State(int ind) { int res=0; double var; //--- for(int i=ind;;i++) { if(WPR(i+1)==EMPTY_VALUE) break; var=Diff(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 CSignalWPR::ExtState(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=State(pos); if(off>0) { //--- minimum of the oscillator is detected pos+=off; m_extr_pos[i]=pos; m_extr_osc[i]=WPR(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]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 CSignalWPR::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>i)&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 oscillator (higher-order bit is always 0) check_map=(m_extr_map>>j)&3; if(inp_map!=check_map) return(false); } //--- "take" two bits - pattern of the corresponding price extremum inp_map=(map>>(i+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 price extremum (higher-order bit is always 0) check_map=(m_extr_map>>(j+2))&3; if(inp_map!=check_map) return(false); } //--- ok return(true); } //+------------------------------------------------------------------+ //| "Voting" that price will grow. | //+------------------------------------------------------------------+ int CSignalWPR::LongCondition(void) { int result=0; int idx =StartIndex(); //--- if(Diff(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"; } //--- if the model 1 is used, search for a reverse of the oscillator upwards behind the level of overselling if(IS_PATTERN_USAGE(1) && Diff(idx+1)<0.0 && WPR(idx+1)>-80.0) { result=m_pattern_1; // signal number 1 m_active_pattern = "Pattern_1"; } //--- if the model 2 or 3 is used, search for the divergences if(IS_PATTERN_USAGE(2)) { //--- perform the extended analysis of the oscillator state ExtState(idx); //--- if the model 2 is used, search for the "divergence" signal if(CompareMaps(1,1)) // 00000001b { result=m_pattern_2; // signal number 2 m_active_pattern = "Pattern_2"; } } } if(result != 0) { m_active_direction = "Buy"; } //--- return the result return(result); } //+------------------------------------------------------------------+ //| "Voting" that price will fall. | //+------------------------------------------------------------------+ int CSignalWPR::ShortCondition(void) { int result=0; int idx =StartIndex(); //--- if(Diff(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) && Diff(idx+1)>0.0 && WPR(idx+1)<-20.0) { result=m_pattern_1; // signal number 1 m_active_pattern = "Pattern_1"; } //--- if the model 2 or 3 is used, search for the divergences if(IS_PATTERN_USAGE(2)) { //--- perform the extended analysis of the oscillator state ExtState(idx); //--- if the model 2 is used, search for the "divergence" signal if(CompareMaps(1,1)) // 00000001b { result=m_pattern_2; // signal number 2 m_active_pattern = "Pattern_2"; } } } if(result != 0) { m_active_direction = "Sell"; } //--- return the result return(result); } //+------------------------------------------------------------------+ //| Set the specified pattern's weight to the specified value | //+------------------------------------------------------------------+ void CSignalWPR::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; } } //+------------------------------------------------------------------+