DevSolve_DS_SDK_UnitTest/Strategies/MACDStrategy.mqh

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                 MACDStrategy.mqh |
//|                                       Copyrigth - Dev Solve LTDA |
//+------------------------------------------------------------------+
#include "..\ExpertStrategy.mqh"
#include <Math\Stat\Normal.mqh>
#resource "\\Indicators\\Examples\\Custom_MACD.ex5"
//+------------------------------------------------------------------+
//| Class CMACDStrategy.                                             |
//| Purpose: Class of strategy based on MACD signals strategy.       |
//|          The ATR indicator is filter usage in strategy.          |
//|              Derives from class CExpertStrategy.                 |
//+------------------------------------------------------------------+
class CMACDStrategy : public CExpertStrategy
  {
private:
   //--- fields of the strategy
   MqlRates          m_rates[];
   int               m_macd_handle;
   double            m_MACD_MAIN[];
   double            m_MACD_SIGNAL[];
   double            m_MACD_EMA_FAST[];
   double            m_MACD_EMA_SLOW[];
   double            m_MACD_STDDEV_UP[];
   double            m_MACD_STDDEV_DOWN[];
   
   ENUM_TIMEFRAMES   m_macd_timeframe;
   int               m_macd_fast_ema_period;
   int               m_macd_slow_ema_period;
   int               m_macd_signal_period;
   ENUM_APPLIED_PRICE m_macd_applied_price;
   
   ENUM_TIMEFRAMES   m_atr_timeframe;
   int               m_atr_period;
   double            m_atr_multiplier;
   int               m_atr_candle_counter;
   int               m_atr_counter;
   int               m_atr_handle;
   double            m_ATR[];
   ENUM_MACD_TYPE_ENTRY M_MACD_TYPE_ENTRY;
   int               m_macd_stddev_period;
   double            m_macd_stddev_multiplier;
   int               m_ema_fast_handle;
   int               m_ema_slow_handle;
   double            m_MACD_EMA_FAST_PLOT[];
   double            m_MACD_EMA_SLOW_PLOT[];   


public:
                     CMACDStrategy();
                    ~CMACDStrategy();
   //--- setter of the direction strategy
   void              SetDirection(ENUM_TYPE_DIRECTION value) { m_direction=value; }
   //--- setters of the fields
   void              Set_m_macd_timeframe(ENUM_TIMEFRAMES value) {m_macd_timeframe = value;};
   void              Set_m_macd_fast_ema_period(int value) {m_macd_fast_ema_period = value;};
   void              Set_m_macd_slow_ema_period(int value) {m_macd_slow_ema_period = value;};
   void              Set_m_macd_signal_period(int value) {m_macd_signal_period = value;};
   void              Set_m_macd_applied_price(ENUM_APPLIED_PRICE value) {m_macd_applied_price = value;};
   //---
   void              Set_m_atr_timeframe(ENUM_TIMEFRAMES value) {m_atr_timeframe = value;};
   void              Set_m_atr_period(int value) {m_atr_period = value;};
   void              Set_m_atr_multiplier(double value) {m_atr_multiplier = value;};
   void              Set_m_atr_candle_counter(int value) {m_atr_candle_counter = value;};
   
   //---
   void              Set_m_macd_stddev_period(int value) {m_macd_stddev_period = value;};
   void              Set_m_macd_stddev_multiplier(double value) {m_macd_stddev_multiplier = value;};
   void              Set_m_macd_stddev_timeframe(ENUM_TIMEFRAMES value) {m_macd_stddev_period = value;};
   //---
   void              Set_M_MACD_TYPE_ENTRY(ENUM_MACD_TYPE_ENTRY value) {M_MACD_TYPE_ENTRY = value;};
   //--- validation input data
   virtual bool      ValidationSettings(void);
   virtual bool      InitIndicators(CIndicators *indicators);
   //--- methods of the current strategy
   virtual bool      CheckOpenLong(double &price, double &sl, double &tp, datetime &expiration);
   virtual bool      CheckOpenShort(double &price, double &sl, double &tp, datetime &expiration);
   virtual bool      CheckTralilingOrder(COrderInfo *order, double &price, datetime &expiration);

protected:
   bool              CheckPriceWithDirection(ENUM_TYPE_DIRECTION direction,ENUM_POSITION_TYPE type,double &price,double &sl,double &tp,datetime &expiration);
   bool              CheckPriceTrendDirection(ENUM_POSITION_TYPE type,double &price,double &sl,double &tp,datetime &expiration);
   bool              CheckPriceCounterTrendDirection(ENUM_POSITION_TYPE type,double &price,double &sl,double &tp,datetime &expiration);
   bool              CheckPriceMax(double &price,double &sl,double &tp,datetime &expiration);
   bool              CheckPriceMin(double &price,double &sl,double &tp,datetime &expiration);

   bool              Refresh(void);

  };
//+------------------------------------------------------------------+
//| Constructor                                                      |
//+------------------------------------------------------------------+
CMACDStrategy::CMACDStrategy():        m_macd_handle(-1),
                                       m_macd_fast_ema_period(-1),
                                       m_macd_slow_ema_period(-1),
                                       m_macd_signal_period(-1),
                                       m_atr_period(-1),
                                       m_macd_stddev_period(-1),
                                       m_macd_stddev_multiplier(-1),
                                       m_atr_counter(0)
  {
  }
//+------------------------------------------------------------------+
//| Destructor                                                       |
//+------------------------------------------------------------------+
CMACDStrategy::~CMACDStrategy()
  {
   IndicatorRelease(m_atr_handle);
   IndicatorRelease(m_macd_handle);
  }
//+------------------------------------------------------------------+
//| Validation Settings                                              |
//+------------------------------------------------------------------+
bool CMACDStrategy::ValidationSettings(void)
  {
   if(!CEngineBase::ValidationSettings())
      return(false);
//--- chek all inputs param
   if(m_macd_fast_ema_period <=0)
     {
      printf("Erro: par<00>metro escolhido para o [Per<00>odo da M<00>dia R<00>pida do MACD] de [MACD Strategy] <00> inv<00>lido.");
      return(false);
     }
   if(m_macd_slow_ema_period<=0)
     {
      printf("Erro: par<00>metro escolhido para o [Per<00>odo da M<00>dia Longa do MACD] de [MACD Strategy] <00> inv<00>lido.");
      return(false);
     }
   if(m_macd_signal_period<=0)
     {
      printf("Erro: par<00>metro escolhido para o [Per<00>odo do Sinal do MACD] de [MACD Strategy] <00> inv<00>lido.");
      return(false);
     }
   if(m_atr_period<=0)
     {
      printf("Erro: par<00>metro escolhido para o [Per<00>odo do ATR] de [MACD Strategy] <00> inv<00>lido.");
      return(false);
     }
   if(m_atr_multiplier<=0)
     {
      printf("Erro: par<00>metro escolhido para o [Multiplicador do ATR] de [MACD Strategy] <00> inv<00>lido.");
      return(false);
     }
//---
   if(m_macd_timeframe==PERIOD_CURRENT)
      m_macd_timeframe=m_period;
//---
   if(m_atr_timeframe==PERIOD_CURRENT)
      m_atr_timeframe=m_period;
//--- ok
   return(true);
  }
//+------------------------------------------------------------------+
//| Init Indicators                                                  |
//+------------------------------------------------------------------+
bool CMACDStrategy::InitIndicators(CIndicators *indicators)
  {
//---
      ArrayResize(m_MACD_MAIN, m_macd_stddev_period+2);  
      ArrayResize(m_MACD_SIGNAL, m_macd_stddev_period+2);
      ArraySetAsSeries(m_MACD_MAIN, true);
      ArraySetAsSeries(m_MACD_SIGNAL, true);
      
      if (m_macd_stddev_period < 2) {
         ArrayResize(m_MACD_MAIN, 3);  
         ArrayResize(m_MACD_SIGNAL, 3);      
      }
      
      ArrayResize(m_ATR,m_atr_period+3);
      ArraySetAsSeries(m_ATR, true);
      
//--- init MACD
   //m_macd_handle=iCustom(m_other_ticker,m_macd_timeframe,"::Indicators\\Examples\\MACD.ex5",m_macd_fast_ema_period,m_macd_slow_ema_period,m_macd_signal_period,m_macd_applied_price);
   m_macd_handle=iCustom(m_other_ticker,m_macd_timeframe,"::Indicators\\Examples\\Custom_MACD.ex5",m_macd_fast_ema_period,m_macd_slow_ema_period,m_macd_signal_period,m_macd_applied_price,m_macd_stddev_period,m_macd_stddev_multiplier);
   
//--- check
   ResetLastError();
   if(m_macd_handle==INVALID_HANDLE)
     {
      SetUserError(ERR_INVALID_HANDLE);
      printf("Erro ao carregar MACD - error: %d",GetLastError());
      return(false);
     }
//--- add to chart
   ChartIndicatorAdd(0,0,m_macd_handle);

//--- init atr
   m_atr_handle=iATR(m_other_ticker,m_atr_timeframe,m_atr_period);
//--- check
   ResetLastError();
   if(m_atr_handle==INVALID_HANDLE)
     {
      SetUserError(ERR_INVALID_HANDLE);
      printf("Erro ao carregar M<00>dia Lenta - error: %d",GetLastError());
      return(false);
     }
//--- add to chart
   ChartIndicatorAdd(0,0,m_atr_handle);
   
//--- init moving averages
   m_ema_fast_handle=iMA(m_other_ticker,m_macd_timeframe,m_macd_fast_ema_period,0,MODE_EMA,PRICE_CLOSE);
   m_ema_slow_handle=iMA(m_other_ticker,m_macd_timeframe,m_macd_slow_ema_period,0,MODE_EMA,PRICE_CLOSE);
//--- check
   ResetLastError();
   if(m_ema_fast_handle==INVALID_HANDLE || m_ema_slow_handle==INVALID_HANDLE  )
     {
      SetUserError(ERR_INVALID_HANDLE);
      printf("Erro ao carregar M<00>dia M<00>veis - error: %d",GetLastError());
      return(false);
     }
//--- add to chart

   ChartIndicatorAdd(0,0,m_ema_fast_handle);   
   ChartIndicatorAdd(0,0,m_ema_slow_handle);     
   
   
//--- ok
   return(true);
  }
//+------------------------------------------------------------------+
//| Checking if there is a possibility of opening a buy position.    |
//+------------------------------------------------------------------+
bool CMACDStrategy::CheckOpenLong(double &price, double &sl, double &tp, datetime &expiration)
  {
   return(CheckPriceWithDirection(m_direction,POSITION_TYPE_BUY,price,sl,tp,expiration));
  }
//+------------------------------------------------------------------+
//| Checking if there is a possibility of opening a sell position.   |
//+------------------------------------------------------------------+
bool CMACDStrategy::CheckOpenShort(double &price, double &sl, double &tp, datetime &expiration)
  {
   return(CheckPriceWithDirection(m_direction,POSITION_TYPE_SELL,price,sl,tp,expiration));
  }
//+------------------------------------------------------------------+
//| Checking price by direction                                      |
//+------------------------------------------------------------------+
bool CMACDStrategy::CheckPriceWithDirection(ENUM_TYPE_DIRECTION direction,ENUM_POSITION_TYPE type,double &price,double &sl,double &tp,datetime &expiration)
  {
//--- if trend direction
   if(direction==TREND_DIRECTION)
      return(CheckPriceTrendDirection(type,price,sl,tp,expiration));
//--- counter trend direction
   else
      return(CheckPriceCounterTrendDirection(type,price,sl,tp,expiration));
  }
//+------------------------------------------------------------------+
//| Checking price by trend direction                                |
//+------------------------------------------------------------------+
bool CMACDStrategy::CheckPriceTrendDirection(ENUM_POSITION_TYPE type,double &price,double &sl,double &tp,datetime &expiration)
  {
//--- check positon type
   if(type==POSITION_TYPE_BUY)
      return(CheckPriceMax(price,sl,tp,expiration));
   else
      return(CheckPriceMin(price,sl,tp,expiration));
   return(false);
  }
//+------------------------------------------------------------------+
//| Checking price by counter trend direction                        |
//+------------------------------------------------------------------+
bool CMACDStrategy::CheckPriceCounterTrendDirection(ENUM_POSITION_TYPE type,double &price,double &sl,double &tp,datetime &expiration)
  {
//--- check positon type
   if(type==POSITION_TYPE_BUY)
      return(CheckPriceMin(price,sl,tp,expiration));
   else
      return(CheckPriceMax(price,sl,tp,expiration));
   return(false);
  }
//+------------------------------------------------------------------+
//| Obtain price max                                                 |
//+------------------------------------------------------------------+
bool CMACDStrategy::CheckPriceMax(double &price,double &sl,double &tp,datetime &expiration)
  {
//---
   if(!Refresh())
      return false;
// check strategy trigger

   bool authorizeATR = false;

      if(M_MACD_TYPE_ENTRY == MACD_TYPE_ENTRY_1)
        {

         if(m_MACD_SIGNAL[1] < 0 && m_MACD_SIGNAL[0] > 0)
           {
            m_atr_counter = m_atr_candle_counter; 
            //price = m_symbol.Last();
            //return true;
           }
        }
      else
         if(M_MACD_TYPE_ENTRY == MACD_TYPE_ENTRY_2)
           {

            if(m_MACD_MAIN[1] < m_MACD_SIGNAL[1] && m_MACD_MAIN[0] > m_MACD_SIGNAL[0])
              {
               m_atr_counter = m_atr_candle_counter; 
               //price = m_symbol.Last();
               //return true;               
              }
           }
         else
            if(M_MACD_TYPE_ENTRY == MACD_TYPE_ENTRY_3)
              {  
                        
                 if(m_MACD_MAIN[1] < m_MACD_STDDEV_UP[1] && m_MACD_MAIN[0] > m_MACD_STDDEV_UP[0])
                 {
                  m_atr_counter = m_atr_candle_counter; 
                  //price = m_symbol.Last();
                  //return true;                   
                 }
              }
            else
               if(M_MACD_TYPE_ENTRY == MACD_TYPE_ENTRY_4)
                 {                 
                  if(m_MACD_MAIN[1] < 0 && m_MACD_MAIN[0] > 0)
                    {                     
                     m_atr_counter = m_atr_candle_counter;  
                     //price = m_symbol.Last();
                     //return true;                                        
                    }
                 }
               else
                 {
                  Print("Tipo de Entrada MACD n<00>o selecionada.");
                 }                
       
         
       if (m_atr_counter > 0) {                
         m_atr_counter -= 1;
         int maxAtrArray = ArrayMaximum(m_ATR,0,m_atr_candle_counter);
         if (maxAtrArray == 0) {
            price = m_symbol.Last();
            return true;
         }       
       }         
     
//---
   return(false);
  }
//+------------------------------------------------------------------+
//| Obtain price min                                                 |
//+------------------------------------------------------------------+
bool CMACDStrategy::CheckPriceMin(double &price,double &sl,double &tp,datetime &expiration)
  {
//---
   if(!Refresh())
      return false;
// check strategy trigger  

      if(M_MACD_TYPE_ENTRY == MACD_TYPE_ENTRY_1)
        {

         if(m_MACD_SIGNAL[1] > 0 && m_MACD_SIGNAL[0] < 0)
           {
            m_atr_counter = m_atr_candle_counter; 
            //price = m_symbol.Last();
            //return true;
           }
        }
      else
         if(M_MACD_TYPE_ENTRY == MACD_TYPE_ENTRY_2)
           {
            if(m_MACD_MAIN[1] > m_MACD_SIGNAL[1] && m_MACD_MAIN[0] < m_MACD_SIGNAL[0])
              {
               m_atr_counter = m_atr_candle_counter; 
               //price = m_symbol.Last();
               //return true;               
              }
           }
         else
            if(M_MACD_TYPE_ENTRY == MACD_TYPE_ENTRY_3)
              {
                                
               if(m_MACD_MAIN[1] > m_MACD_STDDEV_DOWN[1] && m_MACD_MAIN[0] < m_MACD_STDDEV_DOWN[0])
                 {
                  m_atr_counter = m_atr_candle_counter; 
                  //price = m_symbol.Last();
                  //return true;                   
                 }
              }
            else
               if(M_MACD_TYPE_ENTRY == MACD_TYPE_ENTRY_4)
                 {                  
                  if(m_MACD_MAIN[1] > 0 && m_MACD_MAIN[0] < 0)
                    {
                     m_atr_counter = m_atr_candle_counter; 
                     //price = m_symbol.Last();
                     //return true;                     
                    }
                 }
               else
                 {
                  Print("Tipo de Entrada MACD n<00>o selecionada.");
                 }
                 
                 
       if (m_atr_counter > 0) {          
         m_atr_counter -= 1;
         int maxAtrArray = ArrayMaximum(m_ATR,0,m_atr_candle_counter);
         if (maxAtrArray == 0) {
            price = m_symbol.Last();
            return true;
         }       
       }      
//---
   return(false);
  }
//+------------------------------------------------------------------+
//| Check Trailing Order                                             |
//+------------------------------------------------------------------+
bool CMACDStrategy::CheckTralilingOrder(COrderInfo *order,double &price,datetime &expiration)
  {
//---
   return(false);
  }
//+------------------------------------------------------------------+
//| Refresh Indicators Data.                                         |
//+------------------------------------------------------------------+
bool CMACDStrategy::Refresh(void)
  {
//--- check n bars in chart
   if(Bars(m_other_ticker,m_macd_timeframe)<m_macd_fast_ema_period) //--- checar no tf do indicador
      return(false);
   if(Bars(m_other_ticker,m_macd_timeframe)<m_macd_slow_ema_period) //--- checar no tf do indicador
      return(false);
   if(Bars(m_other_ticker,m_macd_timeframe)<m_macd_signal_period) //--- checar no tf do indicador
      return(false);
//--- check n bars calculated
   if(BarsCalculated(m_macd_handle)<1)
      return(false);
//--- check n bars copied
   if(CopyBuffer(m_macd_handle,0,1,m_macd_stddev_period+2,m_MACD_MAIN)<1) //--- compiar sempre da barra 1 pra tr<EFBFBD>s
      return(false);
   if(CopyBuffer(m_macd_handle,1,1,3,m_MACD_SIGNAL)<1)
      return(false);
   if(CopyBuffer(m_macd_handle,2,1,3,m_MACD_STDDEV_UP)<1)
      return(false);
   if(CopyBuffer(m_macd_handle,3,1,3,m_MACD_STDDEV_DOWN)<1)
      return(false);          
   if(CopyBuffer(m_macd_handle,4,1,3,m_MACD_EMA_FAST)<1)
      return(false);
   if(CopyBuffer(m_macd_handle,5,1,3,m_MACD_EMA_SLOW)<1)
      return(false);
        
//--- check n bars in chart
   if(Bars(m_other_ticker,m_atr_timeframe)<m_atr_period) //--- checar no tf do indicador
      return(false);
//--- check n bars calculated
   if(BarsCalculated(m_atr_handle)<1)
      return(false);
//--- check n bars copied
   if(CopyBuffer(m_atr_handle,0,1,m_atr_period+2,m_ATR)<1)
      return(false);
//---
   if(CopyRates(m_symbol.Name(),m_period,1,1,m_rates)<1)
      return(false);
//---
   return(true);
  }