47a5ef338b
- Replaced standard library signal modules with custom implementations to allow for named patterns and improved voting. - Added new input parameters for module weights, allowing for optimization of individual signal contributions. - Enhanced the management of trades with new options for breakeven and management cut. - Introduced a mechanism for dynamic ranking of signal weights based on historical performance. - Improved initialization logic to ensure proper registration of filters and handling of trading conditions. - Added detailed logging for trading permissions and account status during initialization.
139 lines
7 KiB
MQL5
139 lines
7 KiB
MQL5
//+------------------------------------------------------------------+
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//| ImportDukascopyBars.mq5 |
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//| AnimateDread |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "AnimateDread"
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#property link "https://www.mql5.com"
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#property version "1.00"
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#property script_show_inputs
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#property description "Imports a Dukascopy M1 CSV (the SQX customdata export) as an MT5 custom"
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#property description "symbol, so the same EA config can be tested against a SECOND data vendor."
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//--- WHY THIS EXISTS
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//---
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//--- Every result this project has ever produced came from one broker's history. That is not a
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//--- validation, it is a single sample: a result that survives only on Five Percent Online's bars
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//--- is a result about Five Percent Online. The SQX install ships Dukascopy M1 exports for the
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//--- same instruments, which makes a genuine like-for-like cross-vendor check possible - same EA,
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//--- same window, same settings, independent prices.
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//---
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//--- WHAT THE FILES ACTUALLY CONTAIN (measured 2026-09-11, all 11 CSVs, counted by year):
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//--- * The header says M1 and the filename says 1990, but the early years are DAILY bars, one
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//--- per trading day stamped 00:00. EURUSD/USDJPY carry 257-261 bars/yr from 1990-1998 and
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//--- then jump to ~300k/yr from 1999: a clean handover, no overlap, no mixed band.
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//--- * The INDICES are not like that and must not be treated as if they were. SP500 is daily
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//--- 2008-2016, then a PARTIAL intraday band 2017-2021 - 2017 holds 1,472 bars, about six per
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//--- session - and only becomes true M1 in 2022. Those middle years would still build D1
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//--- bars, from a few minutes of each session, so their highs and lows are systematically
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//--- compressed: understated range, understated ATR, stops too tight. NAS100, UK100 and
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//--- XTIUSD share the shape. Import the indices only for 2022+, or as daily-era data, never
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//--- across the join.
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//--- * <SPREAD> is synthetic and drifts with the vendor's era - 50 points in 1999, 40 in 2004,
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//--- 13 in 2010, 7 in 2015, 0 by 2023. It is NOT a cost model and is deliberately ignored
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//--- here; the custom symbol inherits its costs from the broker symbol it is cloned from.
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//---
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//--- HOW IT IMPORTS. CustomSymbolCreate() with an `origin` clones the broker symbol's contract
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//--- specification - digits, tick size, tick value, contract size, margin - so a backtest on the
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//--- custom symbol is priced like the real one and only the BARS differ. That is the whole point:
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//--- if the two disagree, the disagreement is the data, not the instrument definition.
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//+------------------------------------------------------------------+
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input string InpCsv = "EURUSD_M1_dukascopy.csv"; // CSV in MQL5\Files (tab-separated MT5 export)
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input string InpOrigin = "EURUSD"; // Broker symbol to clone the spec from
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input string InpName = "EURUSD.dk"; // Name for the custom symbol
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input string InpFrom = "2016.01.01"; // Import bars on/after this date ("" = all)
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input string InpTo = ""; // Import bars before this date ("" = all)
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#define BATCH 50000 // bars per CustomRatesUpdate call
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//+------------------------------------------------------------------+
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void OnStart(void)
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{
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const datetime from = (InpFrom == "") ? 0 : StringToTime(InpFrom);
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const datetime to = (InpTo == "") ? 0 : StringToTime(InpTo);
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//--- THE SYMBOL. Created once and then reused: deleting and recreating on every run would drop
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//--- any bars already imported, and this file takes minutes to walk.
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if(!SymbolSelect(InpName, true))
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{
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if(!CustomSymbolCreate(InpName, "Custom\\Dukascopy", InpOrigin))
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{
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PrintFormat("CustomSymbolCreate(%s, origin=%s) failed: %d - is '%s' in Market Watch?",
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InpName, InpOrigin, GetLastError(), InpOrigin);
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return;
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}
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SymbolSelect(InpName, true);
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PrintFormat("created custom symbol %s cloned from %s", InpName, InpOrigin);
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}
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const int h = FileOpen(InpCsv, FILE_READ | FILE_TXT | FILE_ANSI);
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if(h == INVALID_HANDLE)
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{
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PrintFormat("cannot open MQL5\\Files\\%s: %d", InpCsv, GetLastError());
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return;
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}
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MqlRates r[];
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ArrayResize(r, BATCH);
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int n = 0;
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long read = 0, kept = 0, bad = 0;
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datetime firstKept = 0, lastKept = 0;
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string parts[];
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while(!FileIsEnding(h))
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{
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const string line = FileReadString(h);
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read++;
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if(StringLen(line) < 20 || StringGetCharacter(line, 0) == '<')
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continue; // header, or a truncated tail line
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if(StringSplit(line, '\t', parts) < 6)
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{ bad++; continue; }
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//--- "1990.01.02" + " " + "00:00:00" is exactly what StringToTime expects.
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const datetime t = StringToTime(parts[0] + " " + parts[1]);
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if(t == 0)
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{ bad++; continue; }
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if(from > 0 && t < from) continue;
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if(to > 0 && t >= to) continue;
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r[n].time = t;
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r[n].open = StringToDouble(parts[2]);
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r[n].high = StringToDouble(parts[3]);
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r[n].low = StringToDouble(parts[4]);
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r[n].close = StringToDouble(parts[5]);
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r[n].tick_volume = (ArraySize(parts) > 6) ? (long)StringToInteger(parts[6]) : 0;
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r[n].real_volume = 0;
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//--- The vendor's spread column is era-dependent fiction (see the note above). Left at 0 so
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//--- the tester prices from the cloned symbol's own spread rather than from it.
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r[n].spread = 0;
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//--- A zero or inverted bar would import as a valid bar and then quietly poison every ATR
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//--- and range feature built from it. Refuse it here, where it can still be counted.
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if(r[n].open <= 0.0 || r[n].high < r[n].low || r[n].high <= 0.0)
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{ bad++; continue; }
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if(firstKept == 0) firstKept = t;
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lastKept = t;
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kept++;
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if(++n >= BATCH)
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{
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if(CustomRatesUpdate(InpName, r, n) < 0)
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PrintFormat("CustomRatesUpdate failed at %s: %d", TimeToString(t), GetLastError());
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n = 0;
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if(kept % 1000000 == 0)
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PrintFormat(" ... %d bars imported (at %s)", kept, TimeToString(t));
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}
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}
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if(n > 0 && CustomRatesUpdate(InpName, r, n) < 0)
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PrintFormat("final CustomRatesUpdate failed: %d", GetLastError());
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FileClose(h);
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PrintFormat("%s: read %d line(s), imported %d bar(s), rejected %d; range %s .. %s",
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InpName, read, kept, bad,
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TimeToString(firstKept, TIME_DATE | TIME_MINUTES),
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TimeToString(lastKept, TIME_DATE | TIME_MINUTES));
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PrintFormat("Bars(%s, M1) now reports %d; D1 reports %d.",
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InpName, Bars(InpName, PERIOD_M1), Bars(InpName, PERIOD_D1));
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}
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//+------------------------------------------------------------------+
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