415 lines
17 KiB
MQL5
415 lines
17 KiB
MQL5
#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]<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]=WPR(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 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<total;i+=step,j+=4)
|
|
{
|
|
//--- "take" two bits - patter of the corresponding extremum of the oscillator
|
|
inp_map=(map>>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;
|
|
}
|
|
}
|
|
//+------------------------------------------------------------------+
|