505 lines
No EOL
17 KiB
MQL5
505 lines
No EOL
17 KiB
MQL5
//+------------------------------------------------------------------+
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//| ATR Dynamic Trading System.mq5 |
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//| Complete ATR-Based Trading System for Testing |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025"
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#property link ""
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#property version "1.00"
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#property strict
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#property description "ATR-based trading system with dynamic risk management for strategy tester"
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#include <Trade\Trade.mqh>
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#include <Trade\PositionInfo.mqh>
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#include <Trade\OrderInfo.mqh>
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// EA input parameters
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input group "ATR Risk Parameters"
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input int ATR_Period = 14; // ATR Period
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input double SL_ATR_Multiplier = 3.0; // Stop Loss ATR Multiplier
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input double TP_ATR_Multiplier = 3.5; // Take Profit ATR Multiplier
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input double Trail_Start_Multiplier = 2.5; // Trailing Start ATR Multiplier
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input double Trail_Step_Multiplier = 0.5; // Trailing Step ATR Multiplier
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input int ATR_Shift = 1; // ATR shift (1 for previous bar)
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input double Extra_Buffer_Pips = 5; // Extra buffer in pips
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input group "Trading Parameters"
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input bool Manage_SL = true; // Manage Stop Loss
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input bool Manage_TP = true; // Manage Take Profit
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input bool Use_Trailing_Stop = true; // Use Trailing Stop
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input bool Close_At_Profit_Target = false; // Close position at profit target instead of setting TP
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input group "Entry Strategy Parameters"
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input int Fast_MA_Period = 8; // Fast Moving Average Period
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input int Slow_MA_Period = 21; // Slow Moving Average Period
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input ENUM_MA_METHOD MA_Method = MODE_SMA; // Moving Average Method
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input ENUM_APPLIED_PRICE Applied_Price = PRICE_CLOSE; // Applied Price
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input double Lot_Size = 0.1; // Fixed Lot Size
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input bool Allow_Long_Positions = true; // Allow Long Positions
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input bool Allow_Short_Positions = true; // Allow Short Positions
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input group "Timing Parameters"
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input int Check_Interval_Seconds = 5; // Interval between checks (seconds)
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input bool Process_On_Bar_Close = true; // Process only on bar close
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// Global variables
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CTrade trade;
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CPositionInfo posInfo;
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COrderInfo orderInfo;
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double atrValue;
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double point;
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int digits;
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datetime lastCheckTime = 0;
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datetime lastBarTime = 0;
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int atrHandle;
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int fastMAHandle;
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int slowMAHandle;
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int positionCount = 0;
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ulong positionTickets[];
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//+------------------------------------------------------------------+
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//| Expert initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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// Initialize trade operations
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trade.SetExpertMagicNumber(123456); // Use a fixed magic number for testing
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// Initialize market information
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digits = (int)SymbolInfoInteger(_Symbol, SYMBOL_DIGITS);
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point = SymbolInfoDouble(_Symbol, SYMBOL_POINT);
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// Create indicator handles
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atrHandle = iATR(_Symbol, PERIOD_CURRENT, ATR_Period);
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fastMAHandle = iMA(_Symbol, PERIOD_CURRENT, Fast_MA_Period, 0, MA_Method, Applied_Price);
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slowMAHandle = iMA(_Symbol, PERIOD_CURRENT, Slow_MA_Period, 0, MA_Method, Applied_Price);
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if(atrHandle == INVALID_HANDLE || fastMAHandle == INVALID_HANDLE || slowMAHandle == INVALID_HANDLE)
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{
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Print("Error creating indicator handles");
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return(INIT_FAILED);
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}
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// Set timer for real-time operation (not needed in strategy tester)
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if(!EventSetTimer(Check_Interval_Seconds))
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{
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Print("Error setting timer");
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return(INIT_FAILED);
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}
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// Initial identification of positions
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RefreshPositions();
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Print("ATR Dynamic Trading System initialized successfully");
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Expert deinitialization function |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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// Release indicator handles
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IndicatorRelease(atrHandle);
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IndicatorRelease(fastMAHandle);
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IndicatorRelease(slowMAHandle);
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// Remove timer
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EventKillTimer();
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// Clean up
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Comment("");
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}
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//+------------------------------------------------------------------+
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//| Timer function |
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//+------------------------------------------------------------------+
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void OnTimer()
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{
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// Check if it's time to update (for real-time trading)
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if(!IsTimeToCheck())
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return;
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// Update indicators and manage positions
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UpdateIndicators();
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ManagePositions();
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CheckForEntrySignals();
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// Record the check time
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lastCheckTime = TimeCurrent();
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}
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//+------------------------------------------------------------------+
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//| Expert tick function |
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//+------------------------------------------------------------------+
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void OnTick()
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{
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// Check if we process only on bar close
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if(Process_On_Bar_Close)
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{
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datetime currentBarTime = iTime(_Symbol, PERIOD_CURRENT, 0);
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if(currentBarTime != lastBarTime)
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{
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lastBarTime = currentBarTime;
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UpdateIndicators();
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ManagePositions();
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CheckForEntrySignals();
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}
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return;
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}
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// Otherwise, check if it's time to update based on timer
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if(IsTimeToCheck())
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{
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UpdateIndicators();
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ManagePositions();
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CheckForEntrySignals();
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lastCheckTime = TimeCurrent();
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}
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}
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//+------------------------------------------------------------------+
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//| Check if it's time to process |
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//+------------------------------------------------------------------+
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bool IsTimeToCheck()
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{
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if(TimeCurrent() - lastCheckTime >= Check_Interval_Seconds)
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return true;
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return false;
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}
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//+------------------------------------------------------------------+
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//| Update indicators |
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//+------------------------------------------------------------------+
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void UpdateIndicators()
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{
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double atrBuffer[];
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// Get current ATR value
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if(CopyBuffer(atrHandle, 0, ATR_Shift, 1, atrBuffer) > 0)
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{
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atrValue = NormalizeDouble(atrBuffer[0], digits);
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if(atrValue <= 0)
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{
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Print("Warning: ATR calculation returned zero or negative value. Using fallback value.");
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atrValue = 0.0001; // Fallback to prevent errors
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}
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}
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else
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{
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Print("Error getting ATR value: ", GetLastError());
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}
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}
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//+------------------------------------------------------------------+
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//| Check for entry signals |
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//+------------------------------------------------------------------+
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void CheckForEntrySignals()
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{
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// Check if we already have positions
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if(PositionsTotal() > 0)
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{
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// For simplicity in testing, we'll only allow one position at a time
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for(int i = 0; i < PositionsTotal(); i++)
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{
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if(posInfo.SelectByIndex(i))
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{
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if(posInfo.Symbol() == _Symbol && posInfo.Magic() == 123456)
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return; // Exit if we already have a position
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}
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}
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}
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// Get MA values
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double fastMA[], slowMA[];
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if(CopyBuffer(fastMAHandle, 0, 0, 2, fastMA) <= 0 ||
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CopyBuffer(slowMAHandle, 0, 0, 2, slowMA) <= 0)
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{
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Print("Error getting MA values");
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return;
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}
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// Entry logic - MA crossover
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bool buySignal = fastMA[1] <= slowMA[1] && fastMA[0] > slowMA[0];
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bool sellSignal = fastMA[1] >= slowMA[1] && fastMA[0] < slowMA[0];
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double currentPrice;
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double stopLoss, takeProfit;
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double bufferInPoints = Extra_Buffer_Pips * 10 * point;
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// Check for Buy Signal
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if(buySignal && Allow_Long_Positions)
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{
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currentPrice = SymbolInfoDouble(_Symbol, SYMBOL_ASK);
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// Calculate SL and TP
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stopLoss = Manage_SL ? NormalizeDouble(currentPrice - (atrValue * SL_ATR_Multiplier) - bufferInPoints, digits) : 0;
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takeProfit = Manage_TP && !Close_At_Profit_Target ? NormalizeDouble(currentPrice + (atrValue * TP_ATR_Multiplier), digits) : 0;
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// Execute the buy order
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if(!trade.Buy(Lot_Size, _Symbol, 0, stopLoss, takeProfit, "ATR Strategy Buy"))
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{
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Print("Buy order failed with error: ", GetLastError());
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}
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else
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{
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Print("Buy order executed at ", currentPrice, " SL: ", stopLoss, " TP: ", takeProfit);
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}
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}
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// Check for Sell Signal
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if(sellSignal && Allow_Short_Positions)
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{
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currentPrice = SymbolInfoDouble(_Symbol, SYMBOL_BID);
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// Calculate SL and TP
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stopLoss = Manage_SL ? NormalizeDouble(currentPrice + (atrValue * SL_ATR_Multiplier) + bufferInPoints, digits) : 0;
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takeProfit = Manage_TP && !Close_At_Profit_Target ? NormalizeDouble(currentPrice - (atrValue * TP_ATR_Multiplier), digits) : 0;
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// Execute the sell order
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if(!trade.Sell(Lot_Size, _Symbol, 0, stopLoss, takeProfit, "ATR Strategy Sell"))
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{
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Print("Sell order failed with error: ", GetLastError());
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}
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else
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{
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Print("Sell order executed at ", currentPrice, " SL: ", stopLoss, " TP: ", takeProfit);
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}
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}
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}
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//+------------------------------------------------------------------+
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//| Refresh list of position tickets |
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//+------------------------------------------------------------------+
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void RefreshPositions()
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{
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int total = PositionsTotal();
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int count = 0;
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// First, count valid positions
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for(int i = 0; i < total; i++)
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{
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if(posInfo.SelectByIndex(i))
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{
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if(posInfo.Symbol() == _Symbol && posInfo.Magic() == 123456)
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count++;
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}
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}
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// Resize array and fill with position tickets
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ArrayResize(positionTickets, count);
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positionCount = 0;
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for(int i = 0; i < total; i++)
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{
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if(posInfo.SelectByIndex(i))
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{
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if(posInfo.Symbol() == _Symbol && posInfo.Magic() == 123456)
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{
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positionTickets[positionCount] = posInfo.Ticket();
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positionCount++;
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}
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}
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}
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}
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//+------------------------------------------------------------------+
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//| Manage all positions |
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//+------------------------------------------------------------------+
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void ManagePositions()
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{
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// Get current open positions
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RefreshPositions();
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// Convert buffer from pips to points
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double bufferInPoints = Extra_Buffer_Pips * 10 * point;
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// Display current ATR info
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string info = "Current ATR: " + DoubleToString(atrValue, digits) + "\n";
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info += "SL distance: " + DoubleToString(atrValue * SL_ATR_Multiplier + bufferInPoints, digits) + "\n";
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info += "TP distance: " + DoubleToString(atrValue * TP_ATR_Multiplier, digits) + "\n";
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info += "Positions managed: " + IntegerToString(positionCount);
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Comment(info);
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// Process existing positions
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for(int i = 0; i < positionCount; i++)
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{
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if(posInfo.SelectByTicket(positionTickets[i]))
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{
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// Process the position
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ProcessPosition(posInfo.PositionType(), posInfo.PriceOpen(),
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posInfo.StopLoss(), posInfo.TakeProfit(),
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posInfo.Ticket(), bufferInPoints);
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}
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}
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}
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//+------------------------------------------------------------------+
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//| Process a single position |
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//+------------------------------------------------------------------+
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void ProcessPosition(ENUM_POSITION_TYPE posType, double openPrice,
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double currentSL, double currentTP, ulong ticket,
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double bufferInPoints)
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{
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double newSL = 0, newTP = 0;
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double trailingStartLevel = 0;
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double currentPrice = 0;
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bool modifyPosition = false;
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// Get current bid/ask
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double bid = SymbolInfoDouble(_Symbol, SYMBOL_BID);
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double ask = SymbolInfoDouble(_Symbol, SYMBOL_ASK);
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// Set SL and TP based on position type
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if(posType == POSITION_TYPE_BUY)
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{
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currentPrice = bid;
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// Calculate new stop loss if needed
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if(Manage_SL)
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{
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// Initial SL calculation
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newSL = NormalizeDouble(openPrice - (atrValue * SL_ATR_Multiplier) - bufferInPoints, digits);
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}
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else
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{
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newSL = currentSL; // Keep current SL
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}
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// Calculate new take profit if needed
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if(Manage_TP && !Close_At_Profit_Target)
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{
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newTP = NormalizeDouble(openPrice + (atrValue * TP_ATR_Multiplier), digits);
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}
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else
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{
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newTP = currentTP; // Keep current TP
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}
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// Check for profit target if closing instead of TP
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if(Close_At_Profit_Target)
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{
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double profitTarget = openPrice + (atrValue * TP_ATR_Multiplier);
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if(currentPrice >= profitTarget)
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{
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// Close the position at profit target
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if(trade.PositionClose(ticket))
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{
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Print("Position #", ticket, " closed at profit target!");
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}
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return; // Exit the function
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}
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}
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// Check for trailing stop if enabled
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if(Use_Trailing_Stop && Manage_SL)
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{
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// Calculate trailing start level
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trailingStartLevel = NormalizeDouble(openPrice + (atrValue * Trail_Start_Multiplier), digits);
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// Check if price has moved enough to activate trailing
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if(currentPrice >= trailingStartLevel)
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{
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// Calculate new trailing stop level
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double trailingSL = NormalizeDouble(currentPrice - (atrValue * Trail_Step_Multiplier) - bufferInPoints, digits);
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// Only move stop up, never down
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if(trailingSL > currentSL || currentSL == 0)
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{
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newSL = trailingSL;
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modifyPosition = true;
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}
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}
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}
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}
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else if(posType == POSITION_TYPE_SELL)
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{
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currentPrice = ask;
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// Calculate new stop loss if needed
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if(Manage_SL)
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{
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// Initial SL calculation
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newSL = NormalizeDouble(openPrice + (atrValue * SL_ATR_Multiplier) + bufferInPoints, digits);
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}
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else
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{
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newSL = currentSL; // Keep current SL
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}
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// Calculate new take profit if needed
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if(Manage_TP && !Close_At_Profit_Target)
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{
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newTP = NormalizeDouble(openPrice - (atrValue * TP_ATR_Multiplier), digits);
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}
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else
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{
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newTP = currentTP; // Keep current TP
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}
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// Check for profit target if closing instead of TP
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if(Close_At_Profit_Target)
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{
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double profitTarget = openPrice - (atrValue * TP_ATR_Multiplier);
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if(currentPrice <= profitTarget)
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{
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// Close the position at profit target
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if(trade.PositionClose(ticket))
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{
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Print("Position #", ticket, " closed at profit target!");
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}
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return; // Exit the function
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}
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}
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// Check for trailing stop if enabled
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if(Use_Trailing_Stop && Manage_SL)
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{
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// Calculate trailing start level
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trailingStartLevel = NormalizeDouble(openPrice - (atrValue * Trail_Start_Multiplier), digits);
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// Check if price has moved enough to activate trailing
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if(currentPrice <= trailingStartLevel)
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{
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// Calculate new trailing stop level
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double trailingSL = NormalizeDouble(currentPrice + (atrValue * Trail_Step_Multiplier) + bufferInPoints, digits);
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// Only move stop down (for shorts), never up
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if(trailingSL < currentSL || currentSL == 0)
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{
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newSL = trailingSL;
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modifyPosition = true;
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}
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}
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}
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}
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// Ensure we're not moving SL in wrong direction for position type
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if(posType == POSITION_TYPE_BUY && currentSL > 0 && newSL < currentSL)
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{
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// Keep current SL
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newSL = currentSL;
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}
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else if(posType == POSITION_TYPE_SELL && currentSL > 0 && newSL > currentSL)
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{
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// Keep current SL
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newSL = currentSL;
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}
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// Check if SL or TP needs to be changed
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if((MathAbs(currentSL - newSL) > Point() && Manage_SL) ||
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(MathAbs(currentTP - newTP) > Point() && Manage_TP) ||
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modifyPosition)
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{
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// Apply the new SL and TP
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if(trade.PositionModify(ticket, newSL, newTP))
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{
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string action = modifyPosition ? "Trailing Stop" : "Initial SL/TP";
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Print(action, " applied to position #", ticket, " New SL: ", newSL, " New TP: ", newTP);
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}
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else
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{
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Print("Failed to modify position #", ticket, " Error: ", GetLastError());
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}
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}
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} |