forked from rosh/MQL5Book
1150 lines
36 KiB
MQL5
1150 lines
36 KiB
MQL5
//+------------------------------------------------------------------+
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//| UnityMartingaleDraft2.mq5 |
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//| Copyright (c) 2022, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright (c) 2022, MetaQuotes Ltd."
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#property link "https://www.mql5.com"
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#property description "Multi-currency expert adviser based on Unity indicator and reversal strategy with martingale."
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#property tester_set "UnityMartingale-eurusd.set"
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#property tester_set "UnityMartingale-gbpchf.set"
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#property tester_set "UnityMartingale-audjpy.set"
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#property tester_set "UnityMartingale-combo.set"
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#property tester_no_cache
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#include "..\..\Include\DateTime.mqh"
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#include "..\..\Include\SymbolMonitor.mqh"
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#include "..\..\Include\PositionFilter.mqh"
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#include "..\..\Include\DealFilter.mqh"
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#include "..\..\Include\MqlTradeSync.mqh"
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#include "..\..\Include\TradeState.mqh"
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#include "..\..\Include\AutoPtr.mqh"
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#include "..\..\Include\TrailingStop.mqh"
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#include "..\..\Include\MultiSymbolMonitor.mqh"
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#include "..\..\Include\Tuples.mqh"
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#include "..\..\Include\RSquared.mqh"
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#include "..\..\Include\TradeReport.mqh"
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#include "..\..\Include\TickModel.mqh"
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enum ERROR_TIMEOUT
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{
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bt_NONE = 0, // none
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bt_SECOND = 1, // second
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bt_MINUTE = 60, // minute (M1)
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bt_HOUR = 60 * 60, // hour (H1)
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bt_SESSION = 60 * 60 * 4, // session (H4)
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bt_DAY = 60 * 60 * 24, // day (D1)
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bt_MONTH = 60 * 60 * 24 * 30, // month (MN)
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bt_YEAR = 60 * 60 * 24 * 365, // year
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bt_FOREVER = UINT_MAX // forever
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};
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enum SIGNAL_TYPE
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{
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BREAKOUT,
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PULLBACK
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};
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//+------------------------------------------------------------------+
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//| Inputs |
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//+------------------------------------------------------------------+
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input group "S Y M B O L S E T T I N G S"
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input bool UseTime = true; // UseTime (HourStart and HourEnd)
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input uint HourStart = 2; // HourStart (0...23)
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input uint HourEnd = 22; // HourEnd (0...23)
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input double Lots = 0.01; // Lots (initial)
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input double Factor = 2.0; // Factor (lot multiplication)
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input uint Limit = 5; // Limit (max number of multiplications)
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input uint StopLoss = 500; // StopLoss (points)
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input uint TakeProfit = 500; // TakeProfit (points)
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input SIGNAL_TYPE StartType = 0; // SignalType
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input group "C O M M O N S E T T I N G S"
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sinput ulong Magic = 1234567890; // Magic
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input ERROR_TIMEOUT SkipTimeOnError = bt_SECOND; // SkipTimeOnError
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input bool Trailing = true; // Trailing
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input string WorkSymbols = ""; // WorkSymbols (name±lots*factor^limit(sl,tp)[start,stop];...)
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input group "U N I T Y S E T T I N G S"
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input string UnitySymbols = "EURUSD,GBPUSD,USDCHF,USDJPY,AUDUSD,USDCAD,NZDUSD";
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input int UnityBarLimit = 10;
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input ENUM_APPLIED_PRICE UnityPriceType = PRICE_CLOSE;
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input ENUM_MA_METHOD UnityPriceMethod = MODE_EMA;
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input int UnityPricePeriod = 1;
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#define SLTP_DEFAULT 1000
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//+------------------------------------------------------------------+
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//| Complete set of settings for one symbol |
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//+------------------------------------------------------------------+
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struct Settings
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{
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bool useTime;
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uint hourStart;
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uint hourEnd;
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double lots;
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double factor;
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uint limit;
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uint stopLoss;
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uint takeProfit;
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SIGNAL_TYPE startType;
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ulong magic;
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ERROR_TIMEOUT skipTimeOnError;
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bool trailing;
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string symbol;
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void defaults()
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{
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useTime = false;
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hourStart = hourEnd = 0;
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lots = 0.01;
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factor = 1;
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limit = 1;
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stopLoss = SLTP_DEFAULT;
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takeProfit = SLTP_DEFAULT;
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startType = BREAKOUT;
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magic = 0;
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skipTimeOnError = bt_NONE;
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symbol = _Symbol;
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trailing = false;
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}
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int range(const string &line, const string opener, const string closer,
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uint &min, uint &max)
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{
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int p, q;
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q = StringFind(line, opener);
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if(q == -1)
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{
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return 0;
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}
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p = q + 1;
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q = StringFind(line, closer, p);
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if(q == -1)
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{
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PrintFormat("WARNING: Range has no closing brace %s for %s", closer, opener);
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return -1; // no pair brace
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}
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string elements[];
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const string substr = StringSubstr(line, p, q - p);
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const int r = StringSplit(substr, ',', elements);
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if(r == 2)
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{
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min = (int)elements[0];
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max = (int)elements[1];
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}
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else
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{
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PrintFormat("WARNING: Range within %s%s should contain 2 elements, %d given",
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opener, closer, r);
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}
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return r;
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}
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// syntax: name±lots*factor^limit(sl,tp)[start,stop];...
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// parentheses and brackets are optional
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// examples: EURUSD+0.01*2^5
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// EURUSD+0.01*2^5(500,1000)[2,22]
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// EURUSD+0.01*2.0^7(500,500)[2,22];AUDJPY+0.01*2.0^8(300,500)[2,22];GBPCHF+0.01*1.7^8(1000,2000)[2,22]
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bool parse(const string &line)
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{
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defaults();
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// obligatory part
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int p = StringFind(line, "+");
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if(p == -1) p = StringFind(line, "-");
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if(p == -1) return false;
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symbol = StringSubstr(line, 0, p);
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startType = line[p] == '+' ? BREAKOUT : PULLBACK;
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int q = StringFind(line, "*", ++p);
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if(q == -1) return false;
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lots = (double)StringSubstr(line, p, q - p);
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p = q + 1;
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q = StringFind(line, "^", p);
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if(q == -1) return false;
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factor = (double)StringSubstr(line, p, q - p);
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p = q + 1;
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limit = (int)StringSubstr(line, p);
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// optional part
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if(range(line, "(", ")", stopLoss, takeProfit) == -1)
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{
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return false; // error
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}
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const int plan = range(line, "[", "]", hourStart, hourEnd);
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if(plan == 2)
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{
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useTime = true;
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}
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else if(plan == -1)
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{
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return false; // error
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}
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return true;
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}
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bool static parseAll(const string &line, Settings &settings[])
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{
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string symbols[];
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int n = StringSplit(line, ';', symbols);
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ArrayResize(settings, n);
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string hash = "";
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for(int i = 0; i < n; i++)
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{
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if(!settings[i].parse(symbols[i]))
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{
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return false;
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}
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string signature = "^" + settings[i].symbol + "$";
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if(StringFind(hash, signature) > -1)
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{
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Print("WARNING: Duplicate of symbol ", settings[i].symbol, " found");
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}
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settings[i].print();
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if(settings[i].validate())
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{
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hash += signature;
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}
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else
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{
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Print("Invalid settings: trade system will be ignored");
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settings[i].symbol = NULL;
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}
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}
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return StringLen(hash) > 0; // some settings are correct
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}
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bool validate()
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{
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SymbolMonitor s(symbol);
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if(takeProfit == 0 && !trailing)
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{
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Print("Either TakeProfit or Trailing should be applied");
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return false;
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}
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if(stopLoss == 0 && trailing)
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{
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Print("StopLoss required for Trailing");
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return false;
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}
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const double minLot = s.get(SYMBOL_VOLUME_MIN);
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if(lots < minLot)
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{
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lots = minLot;
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Print("Minimal lot ", (float)minLot, " is applied for ", symbol);
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}
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const double maxLot = s.get(SYMBOL_VOLUME_MAX);
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if(lots > maxLot)
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{
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lots = maxLot;
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Print("Maximal lot ", (float)maxLot, " is applied for ", symbol);
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}
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if(hourStart == hourEnd && hourStart != 0)
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{
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Print("For 24-hour schedule use 0-0 hours or disable UseTime");
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return false;
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}
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// check if specified symbol exists
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// AND initiate its history loading into the tester (when running in the tester)
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// without this the tester loads only one symbol selected for the chart
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double rates[1];
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const bool success = CopyClose(symbol, PERIOD_CURRENT, 0, 1, rates) > -1;
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if(!success)
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{
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Print("Unknown symbol: ", symbol, " ", E2S(_LastError));
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}
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return success;
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}
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void print() const
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{
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Print(symbol, (startType == BREAKOUT ? "+" : "-"), (float)lots,
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"*", (float)factor,
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"^", limit,
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"(", stopLoss, ",", takeProfit, ")",
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useTime ? "[" + (string)hourStart + "," + (string)hourEnd + "]": "");
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}
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};
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//+------------------------------------------------------------------+
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//| Simple common interface for trading |
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//+------------------------------------------------------------------+
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interface TradingStrategy
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{
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virtual bool trade(void);
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virtual bool statement();
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};
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//+------------------------------------------------------------------+
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//| Simple common interface for trading signals |
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//+------------------------------------------------------------------+
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interface TradingSignal
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{
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virtual int signal(void);
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};
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//+------------------------------------------------------------------+
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//| Helper class to manage and read data from Unity indicator |
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//+------------------------------------------------------------------+
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class UnityController
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{
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int handle; // indicator handle
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int buffers; // number of buffers, registered in the indicator
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const int bar; // bar number where to read values
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double data[]; // current values read from the buffers
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datetime lastRead; // last time values were read
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const bool tickwise; // work by ticks (true) or by bars (false)
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MultiSymbolMonitor sync;
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public:
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UnityController(const string symbolList, const int offset, const int limit,
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const ENUM_APPLIED_PRICE type, const ENUM_MA_METHOD method, const int period):
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bar(offset), tickwise(!offset)
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{
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handle = iCustom(_Symbol, _Period, "MQL5Book/p6/UnityPercentEvent",
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symbolList, limit, type, method, period);
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lastRead = 0;
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string symbols[];
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const int n = StringSplit(symbolList, ',', symbols);
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for(int i = 0; i < n; ++i)
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{
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sync.attach(symbols[i]);
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}
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}
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~UnityController()
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{
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IndicatorRelease(handle);
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}
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void attached(const int b)
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{
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buffers = b;
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ArrayResize(data, buffers);
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}
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bool isReady()
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{
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return sync.check(true) == 0;
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}
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bool isNewTime() const
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{
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return lastRead != lastTime();
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}
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datetime lastTime() const
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{
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// when in sync, all symbols have the same 0-th bar time
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return tickwise ? TimeTradeServer() : iTime(_Symbol, _Period, 0);
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}
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bool getOuterIndices(int &min, int &max)
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{
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if(isNewTime())
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{
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if(!read()) return false;
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}
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max = ArrayMaximum(data);
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min = ArrayMinimum(data);
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return true;
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}
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double operator[](const int buffer)
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{
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if(isNewTime())
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{
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if(!read())
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{
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return EMPTY_VALUE;
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}
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}
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return data[buffer];
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}
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bool read()
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{
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if(!buffers) return false;
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for(int i = 0; i < buffers; ++i)
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{
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double temp[1];
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if(CopyBuffer(handle, i, bar, 1, temp) == 1)
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{
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data[i] = temp[0];
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}
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else
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{
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return false;
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}
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}
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lastRead = lastTime();
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return true;
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}
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};
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//+------------------------------------------------------------------+
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//| Concrete trading signal based on Unity indicator |
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//+------------------------------------------------------------------+
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class UnitySignal: public TradingSignal
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{
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UnityController *controller;
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const int currency1;
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const int currency2;
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public:
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UnitySignal(UnityController *parent, const int c1, const int c2):
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controller(parent), currency1(c1), currency2(c2) { }
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virtual int signal(void) override
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{
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if(!controller.isReady()) return 0; // wait until go out of sync
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if(!controller.isNewTime()) return 0;
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int min, max;
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if(!controller.getOuterIndices(min, max)) return 0;
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// overbought - can be breakout or pullback
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if(currency1 == max && currency2 == min) return +1;
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// oversold - can be breakout or pullback
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if(currency2 == max && currency1 == min) return -1;
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// can emit early exit signals as well
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// if(controller[currency1] > controller[currency2]) return +2; // exit sells
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// if(controller[currency1] < controller[currency2]) return -2; // exit buys
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return 0;
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}
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};
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//+------------------------------------------------------------------+
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//| Special PositionState with on-the-fly equity monitoring |
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//+------------------------------------------------------------------+
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class PositionStateWithEquity: public PositionState
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{
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TradeReport *report;
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public:
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PositionStateWithEquity(const long t, TradeReport *r): PositionState(t), report(r)
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{
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}
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~PositionStateWithEquity()
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{
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if(HistorySelectByPosition(get(POSITION_IDENTIFIER)))
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{
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double result = 0;
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DealFilter filter;
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int props[] = {DEAL_PROFIT, DEAL_SWAP, DEAL_COMMISSION, DEAL_FEE};
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Tuple4<double, double, double, double> overheads[];
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if(filter.select(props, overheads))
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{
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for(int i = 0; i < ArraySize(overheads); ++i)
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{
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result += NormalizeDouble(overheads[i]._1, 2) + NormalizeDouble(overheads[i]._2, 2)
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+ NormalizeDouble(overheads[i]._3, 2) + NormalizeDouble(overheads[i]._4, 2);
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}
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}
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if(CheckPointer(report) != POINTER_INVALID) report.addBalance(result);
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}
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}
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};
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//+------------------------------------------------------------------+
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//| Main class with trading strategy |
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//+------------------------------------------------------------------+
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class UnityMartingale: public TradingStrategy
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{
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protected:
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Settings settings;
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SymbolMonitor symbol;
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AutoPtr<PositionState> position;
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AutoPtr<TrailingStop> trailing;
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AutoPtr<TradingSignal> command;
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TradeReport report;
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TradeReport::DrawDown equity;
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const double deposit;
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const datetime epoch;
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double lotsStep;
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double lotsLimit;
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double takeProfit, stopLoss;
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bool paused;
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datetime badConditions;
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public:
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UnityMartingale(const Settings &state, TradingSignal *signal):
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symbol(state.symbol), deposit(AccountInfoDouble(ACCOUNT_BALANCE)), epoch(TimeCurrent())
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{
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settings = state;
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paused = false;
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badConditions = 0;
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command = signal;
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equity.calcDrawdown(deposit);
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// assign member variables
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const double point = symbol.get(SYMBOL_POINT);
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takeProfit = settings.takeProfit * point;
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stopLoss = settings.stopLoss * point;
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lotsLimit = settings.lots;
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lotsStep = symbol.get(SYMBOL_VOLUME_STEP);
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// calculate maximal lot after predefined number of multiplications
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for(int pos = 0; pos < (int)settings.limit; pos++)
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{
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lotsLimit = MathFloor((lotsLimit * settings.factor) / lotsStep) * lotsStep;
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}
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double maxLot = symbol.get(SYMBOL_VOLUME_MAX);
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if(lotsLimit > maxLot)
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{
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lotsLimit = maxLot;
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}
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// pick up existing positions (if any)
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PositionFilter positions;
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ulong tickets[];
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positions.let(POSITION_MAGIC, settings.magic).let(POSITION_SYMBOL, settings.symbol)
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.select(tickets);
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const int n = ArraySize(tickets);
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if(n > 1)
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{
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Alert(StringFormat("Too many positions: %d", n));
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// TODO: close old positions
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}
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else if(n > 0)
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{
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position = MQLInfoInteger(MQL_TESTER) ? new PositionStateWithEquity(tickets[0], &report) : new PositionState(tickets[0]);
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if(settings.stopLoss && settings.trailing)
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{
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trailing = new TrailingStop(tickets[0], settings.stopLoss,
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((int)symbol.get(SYMBOL_SPREAD) + 1) * 2);
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}
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}
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}
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virtual bool statement() override
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{
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if(MQLInfoInteger(MQL_TESTER))
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{
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Print("Separate trade report for ", settings.symbol);
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// equity drawdown should have been already calculated on-the-fly
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Print("Equity DD:");
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equity.print();
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// balance drawdown is calculated along with resulting report
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Print("Trade Statistics (with Balance DD):");
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DealFilter filter;
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filter.let(DEAL_SYMBOL, settings.symbol)
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.let(DEAL_MAGIC, settings.magic, IS::EQUAL_OR_ZERO);
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// we need ZERO magic for last exit made by the tester
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HistorySelect(0, LONG_MAX);
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TradeReport::GenericStats stats =
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report.calcStatistics(filter, deposit, epoch);
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stats.print();
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}
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return false;
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}
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bool scheduled(const datetime now)
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{
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const long hour = (now % 86400) / 3600;
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if(settings.hourStart < settings.hourEnd)
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{
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return hour >= settings.hourStart && hour < settings.hourEnd;
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}
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else
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{
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return hour >= settings.hourStart || hour < settings.hourEnd;
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}
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return true;
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}
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virtual bool trade() override
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{
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// if an error occured in the recent past, wait a predefined period
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if(settings.skipTimeOnError > 0 && badConditions ==
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TimeCurrent() / settings.skipTimeOnError * settings.skipTimeOnError)
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{
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return false;
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}
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if(MQLInfoInteger(MQL_TESTER))
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{
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if(position[])
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{
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report.resetFloatingPL(); // after reset we need to sum up all floating PLs
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// calling addFloatingPL for every position,
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// but in this strategy we have only 1 position at a time
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report.addFloatingPL(position[].get(POSITION_PROFIT) + position[].get(POSITION_SWAP));
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equity.calcDrawdown(report.getCurrent()); // once all floating PL added - calculate DD
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}
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}
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// work hours
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if(settings.useTime && !scheduled(TimeCurrent()))
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{
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// if position is open - close it
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if(position[] && position[].isReady())
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{
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if(close(position[].get(POSITION_TICKET)))
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{
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// NB: we could keep position in cache to find new direction
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// and continue series of lot multiplication between schedules,
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// then do not do "NULLifing" on the next line
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position = NULL;
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}
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else
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{
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// errors are handled inside 'close', i.e. trading is paused for a while
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position[].refresh(); // make sure 'ready' flag is dropped or kept by actual state
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}
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}
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return false;
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}
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int s = command[].signal();
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if(s != 0)
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{
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if(settings.startType == PULLBACK) s *= -1; // reverse logic
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}
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ulong ticket = 0;
| |
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if(position[] == NULL) // fresh start - no position existing or existed
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{
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if(s == +1)
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{
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ticket = openBuy(settings.lots);
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}
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else if(s == -1)
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{
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ticket = openSell(settings.lots);
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}
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}
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else
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{
| |
if(position[].refresh()) // position still exists
| |
{
| |
if((position[].get(POSITION_TYPE) == POSITION_TYPE_BUY && s == -1)
| |
|| (position[].get(POSITION_TYPE) == POSITION_TYPE_SELL && s == +1))
| |
{
| |
PrintFormat("Opposite signal: %d for position %d %lld",
| |
s, position[].get(POSITION_TYPE), position[].get(POSITION_TICKET));
| |
if(close(position[].get(POSITION_TICKET)))
| |
{
| |
// position = NULL; - keep position info in the cache
| |
}
| |
else
| |
{
| |
// errors are handled inside 'close', i.e. trading is paused for a while
| |
position[].refresh(); // make sure 'ready' flag is dropped if closed anyway
| |
}
| |
}
| |
else
| |
{
| |
position[].update();
| |
if(trailing[]) trailing[].trail();
| |
}
| |
}
| |
else // position closed - let open next one
| |
{
| |
if(s == 0) // while no signals keep martingale
| |
{
| |
// use cached object to read former position properties: profit and lot
| |
if(position[].get(POSITION_PROFIT) >= 0.0)
| |
{
| |
// keep previous trade direction
| |
if(position[].get(POSITION_TYPE) == POSITION_TYPE_BUY)
| |
ticket = openBuy(settings.lots); // BUY in case of previous profitable BUY
| |
else
| |
ticket = openSell(settings.lots); // SELL in case of previous profitable SELL
| |
}
| |
else
| |
{
| |
double lots = MathFloor((position[].get(POSITION_VOLUME) * settings.factor) / lotsStep) * lotsStep;
| |
| |
if(lotsLimit < lots)
| |
{
| |
lots = settings.lots;
| |
}
| |
| |
// change trade direction
| |
if(position[].get(POSITION_TYPE) == POSITION_TYPE_BUY)
| |
ticket = openSell(lots); // SELL in case of previous lossy BUY
| |
else
| |
ticket = openBuy(lots); // BUY in case of previous lossy SELL
| |
}
| |
}
| |
else // if a signal exists do multiplied lots after a loss
| |
{
| |
double lots;
| |
if(position[].get(POSITION_PROFIT) >= 0.0)
| |
{
| |
lots = settings.lots;
| |
}
| |
else
| |
{
| |
lots = MathFloor((position[].get(POSITION_VOLUME) * settings.factor) / lotsStep) * lotsStep;
| |
| |
if(lotsLimit < lots)
| |
{
| |
lots = settings.lots;
| |
}
| |
}
| |
| |
ticket = (s == +1) ? openBuy(lots) : openSell(lots);
| |
}
| |
}
| |
}
| |
| |
if(ticket > 0) // new position is just opened
| |
{
| |
position = MQLInfoInteger(MQL_TESTER) ? new PositionStateWithEquity(ticket, &report) : new PositionState(ticket);
| |
if(settings.stopLoss && settings.trailing)
| |
{
| |
trailing = new TrailingStop(ticket, settings.stopLoss,
| |
((int)symbol.get(SYMBOL_SPREAD) + 1) * 2);
| |
}
| |
}
| |
| |
return true;
| |
}
| |
| |
protected:
| |
bool checkFreeMargin(const ENUM_ORDER_TYPE type, const double price, double &lots) const
| |
{
| |
double margin;
| |
if(OrderCalcMargin(type, settings.symbol, lots, price, margin))
| |
{
| |
if(AccountInfoDouble(ACCOUNT_MARGIN_FREE) > margin)
| |
{
| |
return true;
| |
}
| |
}
| |
| |
// fallback to starting lot due to insufficient margin
| |
lots = settings.lots;
| |
| |
if(OrderCalcMargin(type, settings.symbol, lots, price, margin))
| |
{
| |
return AccountInfoDouble(ACCOUNT_MARGIN_FREE) > margin;
| |
}
| |
| |
return false;
| |
}
| |
| |
void prepare(MqlTradeRequestSync &request)
| |
{
| |
request.deviation = (int)(symbol.get(SYMBOL_SPREAD) + 1) * 2;
| |
request.magic = settings.magic;
| |
}
| |
| |
ulong postprocess(MqlTradeRequestSync &request)
| |
{
| |
if(request.result.order == 0)
| |
{
| |
badConditions = TimeCurrent() / settings.skipTimeOnError * settings.skipTimeOnError;
| |
if(!paused)
| |
{
| |
Print("Pausing due to bad conditions: ", badConditions);
| |
paused = true;
| |
}
| |
}
| |
else
| |
{
| |
if(request.completed())
| |
{
| |
paused = false;
| |
return request.result.position;
| |
}
| |
}
| |
return 0;
| |
}
| |
| |
ulong openBuy(double lots)
| |
{
| |
const double price = symbol.get(SYMBOL_ASK);
| |
| |
if(!checkFreeMargin(ORDER_TYPE_BUY, price, lots)) return 0;
| |
| |
MqlTradeRequestSync request;
| |
prepare(request);
| |
if(request.buy(settings.symbol, lots, price,
| |
stopLoss ? price - stopLoss : 0,
| |
takeProfit ? price + takeProfit : 0))
| |
{
| |
return postprocess(request);
| |
}
| |
return 0;
| |
}
| |
| |
ulong openSell(double lots)
| |
{
| |
const double price = symbol.get(SYMBOL_BID);
| |
| |
if(!checkFreeMargin(ORDER_TYPE_SELL, price, lots)) return 0;
| |
| |
MqlTradeRequestSync request;
| |
prepare(request);
| |
if(request.sell(settings.symbol, lots, price,
| |
stopLoss ? price + stopLoss : 0,
| |
takeProfit ? price - takeProfit : 0))
| |
{
| |
return postprocess(request);
| |
}
| |
return 0;
| |
}
| |
| |
bool close(const ulong ticket)
| |
{
| |
MqlTradeRequestSync request;
| |
prepare(request);
| |
return request.close(ticket) && postprocess(request);
| |
}
| |
};
| |
| |
//+------------------------------------------------------------------+
| |
//| Manager for a set of TradingStrategy instances |
| |
//+------------------------------------------------------------------+
| |
class TradingStrategyPool: public TradingStrategy
| |
{
| |
private:
| |
AutoPtr<TradingStrategy> pool[];
| |
| |
public:
| |
TradingStrategyPool(const int reserve = 0)
| |
{
| |
ArrayResize(pool, 0, reserve);
| |
}
| |
| |
TradingStrategyPool(TradingStrategy *instance)
| |
{
| |
push(instance);
| |
}
| |
| |
void push(TradingStrategy *instance)
| |
{
| |
int n = ArraySize(pool);
| |
ArrayResize(pool, n + 1);
| |
pool[n] = instance;
| |
}
| |
| |
virtual bool trade() override
| |
{
| |
for(int i = 0; i < ArraySize(pool); i++)
| |
{
| |
pool[i][].trade();
| |
}
| |
return true;
| |
}
| |
| |
virtual bool statement() override
| |
{
| |
bool result = false;
| |
for(int i = 0; i < ArraySize(pool); i++)
| |
{
| |
result = pool[i][].statement() || result;
| |
}
| |
return result;
| |
}
| |
};
| |
| |
//+------------------------------------------------------------------+
| |
//| Global pointer for the pool of strategies |
| |
//+------------------------------------------------------------------+
| |
AutoPtr<TradingStrategyPool> pool;
| |
AutoPtr<UnityController> controller;
| |
| |
int currenciesCount;
| |
string currencies[];
| |
| |
//+------------------------------------------------------------------+
| |
//| Expert initialization function |
| |
//+------------------------------------------------------------------+
| |
int OnInit()
| |
{
| |
currenciesCount = 0;
| |
ArrayResize(currencies, 0);
| |
| |
if(!StartUp(true)) return INIT_PARAMETERS_INCORRECT;
| |
| |
const bool barwise = UnityPriceType == PRICE_CLOSE && UnityPricePeriod == 1;
| |
controller = new UnityController(UnitySymbols, barwise,
| |
UnityBarLimit, UnityPriceType, UnityPriceMethod, UnityPricePeriod);
| |
// now waiting for indicator messages about buffers/currencies
| |
return INIT_SUCCEEDED;
| |
}
| |
| |
//+------------------------------------------------------------------+
| |
//| Get indices of 2 currencies building up given forex pair |
| |
//+------------------------------------------------------------------+
| |
bool SplitSymbolToCurrencyIndices(const string symbol, int &first, int &second)
| |
{
| |
const string s1 = SymbolInfoString(symbol, SYMBOL_CURRENCY_BASE);
| |
const string s2 = SymbolInfoString(symbol, SYMBOL_CURRENCY_PROFIT);
| |
first = second = -1;
| |
for(int i = 0; i < ArraySize(currencies); ++i)
| |
{
| |
if(currencies[i] == s1) first = i;
| |
else if(currencies[i] == s2) second = i;
| |
}
| |
| |
return first != -1 && second != -1;
| |
}
| |
| |
//+------------------------------------------------------------------+
| |
//| Applied initialization function (called on different events) |
| |
//+------------------------------------------------------------------+
| |
bool StartUp(const bool init = false)
| |
{
| |
if(WorkSymbols == "")
| |
{
| |
Settings settings =
| |
{
| |
UseTime, HourStart, HourEnd,
| |
Lots, Factor, Limit,
| |
StopLoss, TakeProfit,
| |
StartType, Magic, SkipTimeOnError, Trailing, _Symbol
| |
};
| |
| |
if(settings.validate())
| |
{
| |
if(init)
| |
{
| |
Print("Input settings:");
| |
settings.print();
| |
}
| |
}
| |
else
| |
{
| |
if(init) Print("Wrong settings, please fix");
| |
return false;
| |
}
| |
| |
if(!init)
| |
{
| |
controller[].attached(currenciesCount);
| |
// split _Symbol to 2 of currencies[]
| |
int first, second;
| |
if(!SplitSymbolToCurrencyIndices(_Symbol, first, second))
| |
{
| |
PrintFormat("Can't find currencies (%s %s) for %s",
| |
(first == -1 ? "base" : ""), (second == -1 ? "profit" : ""), _Symbol);
| |
return false;
| |
}
| |
pool = new TradingStrategyPool(new UnityMartingale(settings,
| |
new UnitySignal(controller[], first, second)));
| |
}
| |
}
| |
else
| |
{
| |
Print("Parsed settings:");
| |
Settings settings[];
| |
| |
if(!Settings::parseAll(WorkSymbols, settings))
| |
{
| |
if(init) Print("Settings are incorrect, can't start up");
| |
return false;
| |
}
| |
| |
if(!init)
| |
{
| |
controller[].attached(currenciesCount);
| |
| |
const int n = ArraySize(settings);
| |
pool = new TradingStrategyPool(n);
| |
for(int i = 0; i < n; i++)
| |
{
| |
if(settings[i].symbol == NULL) continue; // skip incorrect settings
| |
| |
settings[i].skipTimeOnError = SkipTimeOnError;
| |
settings[i].trailing = Trailing;
| |
// support many subsystems on the same symbol on a hedge account
| |
settings[i].magic = Magic + i; // different magic for every subsystem
| |
| |
// split settings[i].symbol to 2 of currencies[]
| |
int first, second;
| |
if(!SplitSymbolToCurrencyIndices(settings[i].symbol, first, second))
| |
{
| |
PrintFormat("Can't find currencies (%s %s) for %s",
| |
(first == -1 ? "base" : ""), (second == -1 ? "profit" : ""), settings[i].symbol);
| |
}
| |
else
| |
{
| |
pool[].push(new UnityMartingale(settings[i],
| |
new UnitySignal(controller[], first, second)));
| |
}
| |
}
| |
}
| |
}
| |
| |
return true;
| |
}
| |
| |
//+------------------------------------------------------------------+
| |
//| Chart event handler |
| |
//+------------------------------------------------------------------+
| |
void OnChartEvent(const int id, const long &lparam, const double &dparam, const string &sparam)
| |
{
| |
if(id == CHARTEVENT_CUSTOM + UnityBarLimit)
| |
{
| |
PrintFormat("%lld %f '%s'", lparam, dparam, sparam);
| |
if(lparam == 0) ArrayResize(currencies, 0);
| |
currenciesCount = (int)MathRound(dparam);
| |
PUSH(currencies, sparam);
| |
| |
if(ArraySize(currencies) == currenciesCount)
| |
{
| |
if(pool[] == NULL)
| |
{
| |
StartUp(); // confirms that indicator is ready, we can start trading
| |
}
| |
else
| |
{
| |
Alert("Repeated initialization!");
| |
}
| |
}
| |
}
| |
}
| |
| |
//+------------------------------------------------------------------+
| |
//| Tick event handler |
| |
//+------------------------------------------------------------------+
| |
void OnTick()
| |
{
| |
CheckTickModel();
| |
if(pool[] != NULL)
| |
{
| |
pool[].trade();
| |
}
| |
}
| |
| |
//+------------------------------------------------------------------+
| |
//| Tester event handler |
| |
//+------------------------------------------------------------------+
| |
| |
#define STAT_PROPS 5
| |
| |
double OnTester()
| |
{
| |
if(IsStopped())
| |
{
| |
FrameAdd("status", 1, 0, NULL);
| |
return 0;
| |
}
| |
| |
HistorySelect(0, LONG_MAX);
| |
| |
const ENUM_DEAL_PROPERTY_DOUBLE props[STAT_PROPS] =
| |
{
| |
DEAL_PROFIT, DEAL_SWAP, DEAL_COMMISSION, DEAL_FEE, DEAL_VOLUME
| |
};
| |
double expenses[][STAT_PROPS];
| |
ulong tickets[]; // used here only to match 'select' prototype, but helpful for debug
| |
| |
DealFilter filter;
| |
filter.let(DEAL_TYPE, (1 << DEAL_TYPE_BUY) | (1 << DEAL_TYPE_SELL), IS::OR_BITWISE)
| |
.let(DEAL_ENTRY, (1 << DEAL_ENTRY_OUT) | (1 << DEAL_ENTRY_INOUT) | (1 << DEAL_ENTRY_OUT_BY), IS::OR_BITWISE)
| |
.select(props, tickets, expenses);
| |
| |
const int n = ArraySize(tickets);
| |
| |
double balance[]; // adjusted by trade volumes for using R2 criterion
| |
| |
ArrayResize(balance, n + 1);
| |
balance[0] = TesterStatistics(STAT_INITIAL_DEPOSIT);
| |
| |
for(int i = 0; i < n; ++i)
| |
{
| |
double result = 0;
| |
for(int j = 0; j < STAT_PROPS - 1; ++j)
| |
{
| |
result += expenses[i][j];
| |
}
| |
result /= expenses[i][STAT_PROPS - 1]; // normalize by volume
| |
balance[i + 1] = result + balance[i];
| |
}
| |
| |
const double r2 = RSquaredTest(balance);
| |
| |
if(pool[] != NULL)
| |
{
| |
pool[].statement(); // ask trading systems to output their results
| |
}
| |
| |
return r2 * 100;
| |
}
| |
| |
//+------------------------------------------------------------------+
| |
//| Optimization pass (frame), used for error detection here |
| |
//+------------------------------------------------------------------+
| |
void OnTesterPass()
| |
{
| |
ulong pass;
| |
string name;
| |
long id;
| |
double value;
| |
uchar data[];
| |
while(FrameNext(pass, name, id, value, data))
| |
{
| |
if(name == "status" && id == 1)
| |
{
| |
Alert("Please stop optimization!");
| |
Alert("Tick model is incorrect: OHLC M1 or better is required");
| |
// could be great if this call would stop optimization itself,
| |
// but it is not
| |
ExpertRemove();
| |
}
| |
}
| |
}
| |
| |
//+------------------------------------------------------------------+
| |
//| Proper tick model guard |
| |
//+------------------------------------------------------------------+
| |
void CheckTickModel()
| |
{
| |
if(MQLInfoInteger(MQL_TESTER))
| |
{
| |
static const TICK_MODEL minimalRequiredQuality = TICK_MODEL_OHLC_M1;
| |
| |
static ulong count = 0;
| |
static const ulong detector = 3;
| |
if(count++ < detector)
| |
{
| |
const TICK_MODEL model = getTickModel();
| |
if(count >= 2)
| |
{
| |
if(minimalRequiredQuality < model)
| |
{
| |
PrintFormat("Tick model is incorrect (%s %sis required), terminating",
| |
EnumToString(minimalRequiredQuality),
| |
(minimalRequiredQuality != TICK_MODEL_REAL ? "or better " : ""));
| |
ExpertRemove(); // will set _StopFlag flag
| |
// TesterStop(); // will NOT set _StopFlag flag
| |
}
| |
}
| |
}
| |
}
| |
}
| |
//+------------------------------------------------------------------+
|