forked from matrix2010/Expert_MACross
373 lines
17 KiB
MQL5
373 lines
17 KiB
MQL5
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//+------------------------------------------------------------------+
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//| OptimizatonTest.mqh |
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//| Majid Namnabat |
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//| maj.nam@gmail.com |
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//+------------------------------------------------------------------+
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#property copyright "Majid Namnabat"
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#property link "maj.nam@gmail.com"
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#include <MD_V_LAST\\EA_CustomOptimization.mqh>
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#include <MD_V_LAST\\EA_MD_Types.mqh>
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//+------------------------------------------------------------------+
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//| defines |
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//+------------------------------------------------------------------+
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// #define MacrosHello "Hello, world!"
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// #define MacrosYear 2010
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//+------------------------------------------------------------------+
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//| DLL imports |
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//+------------------------------------------------------------------+
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// #import "user32.dll"
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// int SendMessageA(int hWnd,int Msg,int wParam,int lParam);
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// #import "my_expert.dll"
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// int ExpertRecalculate(int wParam,int lParam);
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// #import
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//+------------------------------------------------------------------+
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//| EX5 imports |
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//+------------------------------------------------------------------+
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// #import "stdlib.ex5"
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// string ErrorDescription(int error_code);
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// #import
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//+------------------------------------------------------------------+
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enum ENUM_OPTIMIZATION_LEVEL
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{
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ENUM_OPTIMIZATION_DISABLED = 0,
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ENUM_OPTIMIZATION_OPENORDER_1 = 1,
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ENUM_OPTIMIZATION_OPENORDER_OPENDISTANCE_DET,
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ENUM_OPTIMIZATION_OPENORDER_OPENDISTANCE_FASTMETHOD_DET,
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ENUM_OPTIMIZATION_OPENORDER_PENDINGORSPOT,
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ENUM_OPTIMIZATION_CLOSEORDER_1,
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ENUM_OPTIMIZATION_CLOSEORDER_CLOSE_DIS,
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ENUM_OPTIMIZATION_STOPLOSS_OPTMV_V2,
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ENUM_OPTIMIZATION_DETAILS_1,
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ENUM_OPTIMIZATION_STATISTICS,
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};
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const ENUM_OPTIMIZATION_LEVEL m_nOptimizationLevel = ENUM_OPTIMIZATION_OPENORDER_1;
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struct stctTrailingCombination
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{
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ENUM_TRAILINGSTOP_METHOD Type;
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int nParamVal;
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};
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struct stctOptTstMVCombination
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{
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ENUM_NORMAL_MV FastPeriod ;
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ENUM_NORMAL_MV SlowPeriod ;
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ENUM_MA_METHOD FastMethod;
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ENUM_MA_METHOD SlowMethod;
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double fStdRatio;
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int MinOpenDistance;
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int SuitableCloseDistance;
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ENUM_CUSTOM_APPLIED_PRICE AppliedPrice;
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ENUM_STOPLOSS_TYPE nStopLossType;
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ENUM_BRIEF_MV nStopLossParameter;
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ENUM_BREAKEVEN nActiveBreakEvenDistance;
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ENUM_TAKEPROFIT_METHOD nTakeProfitMethod;
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ENUM_OPENORDER_RISKANALYSIS nOpenOrderRiskAnalysis;
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int nOpenOrder_RiskAnalysis_LevelUp ;
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int nOpenOrder_RiskAnalysis_LevelDown;
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};
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struct stctOptTstMVCombinationV2
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{
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int nMVPeriodIndex;
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ENUM_MA_METHOD FastMethod;
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double fStdRatio;
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};
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struct stctOptTstBrTrDisCombination
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{
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int BreakeEvenDis ;
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int TrailingDis ;
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};
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struct stctMVPeriodCombination
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{
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ENUM_NORMAL_MV FastMBVPeriod ;
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ENUM_NORMAL_MV SlowMVPeriod ;
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};
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struct stctMVStatistics
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{
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ENUM_NORMAL_MV m_nFastPeriod ;
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ENUM_NORMAL_MV m_nSlowPeriod ;
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ENUM_MA_METHOD m_nFastMethod;
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double m_fMean;
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double m_fStd;
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int m_nBarsCount;
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};
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struct stctOptimizationCriterias
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{
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int m_nMonthNext;
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double m_fProfitFactor_Criteria; //This ProfitGross / LossGross
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double m_fNetProfit_Criteria; //This is ProfitGross - LossGross
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double m_fNetProfit_PercentTime_Criteria; //This is (ProfitGross - LossGross)/InitialDeposit
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bool m_bTradeCountLimit_Activate;
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double m_fWinRatio_Criteria;
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bool m_bValidateCriterias_NextMonthes ;
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int m_nValidateCriterias_CalculatedCount ;
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};
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const int trailParamsArray_Size = 18;
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stctTrailingCombination trailParams[] = {{ENUM_TRAILINGSTOP_MV,3},{ENUM_TRAILINGSTOP_MV,5},
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{ENUM_TRAILINGSTOP_MV,7},{ENUM_TRAILINGSTOP_MV,9},
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{ENUM_TRAILINGSTOP_MV,21},{ENUM_TRAILINGSTOP_MV,34},
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{ENUM_TRAILINGSTOP_ATR15,7},/*{ATR15,12},*/{ENUM_TRAILINGSTOP_ATR15,13},{ENUM_TRAILINGSTOP_ATR15,21},{ENUM_TRAILINGSTOP_ATR15,26},{ENUM_TRAILINGSTOP_ATR15,30},
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/*{ATR20,7},{ATR20,12},*/{ENUM_TRAILINGSTOP_ATR20,13},{ENUM_TRAILINGSTOP_ATR20,21},{ENUM_TRAILINGSTOP_ATR20,26},
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{ENUM_TRAILINGSTOP_ATR20,30},{ENUM_TRAILINGSTOP_FIXEDPOINT,15},{ENUM_TRAILINGSTOP_FIXEDPOINT,20},
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{ENUM_TRAILINGSTOP_FIXEDPOINT,25}
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};
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///////////////////////////////////////////////////////////////////
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//const int m_nOptimizationCriteria_Count = 2;
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stctOptimizationCriterias m_OptimizationCriterias[] = {{8,0.05,-1.0,-1.0,false,-1.0 ,false,0},
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{12,0.1,-1.0,-1.0,false,-1.0 ,false,0}};
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//const int optMvs_Size = 11;
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/*
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1 : 13,30
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2 : 21,30
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3 : 13,34
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4 : 21,34 ?
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5 : 26,34 ?
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6 : 13,50 ?
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5 : 21,34
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6 : 26,34
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9 : 21,50
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10 : 26,50
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Normal Open Distance :
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13,34,EMA : 160
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09,30,LWMA : 220
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09,34,EMA : 190
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*/
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/*USDJPY
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stctOptTstMVCombination optMvs[] = {{ENUM_NORMAL_MV13,ENUM_NORMAL_MV34,MODE_EMA,MODE_SMA,160,80,PREVIOUS_CANDLE},
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{ENUM_NORMAL_MV09,ENUM_NORMAL_MV34,MODE_EMA,MODE_SMA,190,80,PREVIOUS_CANDLE}}; //2
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*/
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/*
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stctOptTstMVCombination optMvs[] = {{ENUM_NORMAL_MV21,ENUM_NORMAL_MV50,MODE_EMA,MODE_SMA,180,80,PREVIOUS_CANDLE},
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{ENUM_NORMAL_MV13,ENUM_NORMAL_MV30,MODE_EMA,MODE_SMA,180,80,PREVIOUS_CANDLE},
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{ENUM_NORMAL_MV09,ENUM_NORMAL_MV50,MODE_LWMA,MODE_SMA,340,80,PREVIOUS_CANDLE}
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}; //2
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*/
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//EURUSD 15
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stctOptTstMVCombination optMvs[] = {{ENUM_NORMAL_MV09,ENUM_NORMAL_MV34,MODE_EMA,MODE_SMA,1.5,180,35,PREVIOUS_CANDLE,ENUM_STOPLOSS_BELOW_CUSTOM_MV,21,ENUM_BREAKEVEN_FIXED_N2 , ENUM_TAKEPROFIT_DISABLED , ENUM_OPENORDER_RISKANALYSIS_DLB_BASED , 84 , 6 },
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{ENUM_NORMAL_MV13,ENUM_NORMAL_MV50,MODE_EMA,MODE_SMA,1.5,210,40,PREVIOUS_CANDLE,ENUM_STOPLOSS_BELOW_CUSTOM_MV,21,ENUM_BREAKEVEN_FIXED_50, ENUM_TAKEPROFIT_DISABLED , ENUM_OPENORDER_RISKANALYSIS_RSI_BASED , 87 , 17 },
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{ENUM_NORMAL_MV09,ENUM_NORMAL_MV34,MODE_LWMA,MODE_SMA,1.5,210,125,PREVIOUS_CANDLE,ENUM_STOPLOSS_BELOW_CUSTOM_MV,21,ENUM_BREAKEVEN_INTELLIGENT, ENUM_TAKEPROFIT_DISABLED , ENUM_OPENORDER_RISKANALYSIS_RSI_BASED , 87 , 17 },
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{ENUM_NORMAL_MV13,ENUM_NORMAL_MV50,MODE_LWMA,MODE_SMA,1.5,240,125,PREVIOUS_CANDLE,ENUM_STOPLOSS_BELOW_CUSTOM_MV,21,ENUM_BREAKEVEN_FIXED_40, ENUM_TAKEPROFIT_DISABLED , ENUM_OPENORDER_RISKANALYSIS_RSI_BASED , 87 , 17 },
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{ENUM_NORMAL_MV13,ENUM_NORMAL_MV34,MODE_EMA,MODE_SMA,1.5,150,65,PREVIOUS_CANDLE,ENUM_STOPLOSS_BELOW_CUSTOM_MV,21,ENUM_BREAKEVEN_INTELLIGENT, ENUM_TAKEPROFIT_DISABLED , ENUM_OPENORDER_RISKANALYSIS_RSI_BASED , 87 , 17 },
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}; //2
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stctOptTstMVCombinationV2 optMvsV2[]= {
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{10,MODE_LWMA,1.7},
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};
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const int optBrTrDis_Size = 33;
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stctOptTstBrTrDisCombination optBrTrDis[] ;
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//const int optMVPeriods_Size = 31;
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stctMVPeriodCombination optMVPeriods[];
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stctMVStatistics optMVStatistics[];
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/////////////////////////////////////////////////////////////////
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TCustomCriterionArray *criterion_Ptr;
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const int MIN_TRADES_COUNT = 50 ;
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const double MIN_PROFIT_FACTOR = 1.05;
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const double MIN_KELLY_FACTOR = 0.03;
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const int MIN_NET_PROFIT = 20; // 15 MinTrade & 50000 Balance
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//+------------------------------------------------------------------+
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//| LoadArray function |
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//+------------------------------------------------------------------+
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void LoadArrays()
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{
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int nBreakeEvenDis[] = {0,30,50,70, 90, 110, 130};
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int nTrailingStopDis[] = { 60, 80, 100, 120, 140, 160, 180, 200, 220, 240};
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//int commonMVPeriods[12] = {8,9,10,12,13,20,21,26,30,34,50,55};
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//int commonMVPeriods[] = {9,12,21,26,30,34,50,55}; //simple & fast
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int commonMVPeriods[] = {9,12,13,21,26,30,34,50}; //simple & fast
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int commonMVPeriods_Fast[] = {9,13,21,26,30,34}; //simple & fast
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int commonMVPeriods_Slow[] = {21,26,30,34,50}; //simple & fast
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int nCounter = 0;
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int n1,n2;
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//first count
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ArrayResize(optBrTrDis,36,0);
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for(n1 = 0 ; n1 < 6 ; n1++)
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{
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for(n2 = 0 ; n2 < 6 ; n2++)
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{
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if(nBreakeEvenDis[n1] >= nTrailingStopDis[n2])
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continue;
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optBrTrDis[nCounter].BreakeEvenDis = nBreakeEvenDis[n1] ;
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optBrTrDis[nCounter].TrailingDis= nTrailingStopDis[n2] ;
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nCounter++;
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}
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}
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ArrayResize(optBrTrDis,nCounter,0);
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if(!IS_SECURE)
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Print("LoadArrays optBrTrDis Size : ", ArraySize(optBrTrDis)," nCounter = ", nCounter);
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nCounter = 0;
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/*
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ArrayResize(optMVPeriods,ArraySize(commonMVPeriods)*ArraySize(commonMVPeriods),0);
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for ( n1 = 2 ; n1 < ArraySize(commonMVPeriods) ; n1++) {
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for ( n2 = 0 ; n2 < ArraySize(commonMVPeriods) ; n2++) {
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if((commonMVPeriods[n2] >= commonMVPeriods[n1] - 5) )
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continue;
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optMVPeriods[nCounter].SlowMVPeriod= commonMVPeriods[n1] ;
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optMVPeriods[nCounter].FastMBVPeriod = commonMVPeriods[n2] ;
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nCounter++;
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}
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}
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*/
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ArrayResize(optMVPeriods,ArraySize(commonMVPeriods_Fast)*ArraySize(commonMVPeriods_Slow),0);
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for(n1 = 2 ; n1 < ArraySize(commonMVPeriods_Slow) ; n1++)
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{
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for(n2 = 0 ; n2 < ArraySize(commonMVPeriods_Fast) ; n2++)
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{
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if((commonMVPeriods_Fast[n2] >= commonMVPeriods_Slow[n1] - 5 || (commonMVPeriods_Slow[n1]-commonMVPeriods_Fast[n2])>40))
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continue;
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optMVPeriods[nCounter].SlowMVPeriod= (ENUM_NORMAL_MV)commonMVPeriods_Slow[n1] ;
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optMVPeriods[nCounter].FastMBVPeriod = (ENUM_NORMAL_MV)commonMVPeriods_Fast[n2] ;
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nCounter++;
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}
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}
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ArrayResize(optMVPeriods,nCounter,0);
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if(!IS_SECURE)
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Print("LoadArrays optMVPeriods Size : ", ArraySize(optMVPeriods)," nCounter = ", nCounter);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void LoadMVStatistics()
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{
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if(m_nOptimizationLevel == ENUM_OPTIMIZATION_STATISTICS)
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return;
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ArrayResize(optMVStatistics,ArraySize(optMVPeriods)*2);
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int nRow=0;
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int filehandle = FileOpen("MV_statistics_"+Symbol()+"_"+IntegerToString(Period())+".txt",FILE_CSV|FILE_READ,",");
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if(filehandle==INVALID_HANDLE)
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{
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if(IS_ENABLE_LOG)
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Print("Failed to open the file by the absolute path ");
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if(IS_ENABLE_LOG)
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Print("Error code ",GetLastError());
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}
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else
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{
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do //loop through each cell
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{
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if(IS_ENABLE_LOG)
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Print("LoadMVStatistics nRow: ", nRow);
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if(nRow>=ArraySize(optMVStatistics))
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break;
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optMVStatistics[nRow].m_nFastPeriod = (ENUM_NORMAL_MV)StringToInteger(FileReadString(filehandle));
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optMVStatistics[nRow].m_nSlowPeriod = (ENUM_NORMAL_MV)StringToInteger(FileReadString(filehandle));
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optMVStatistics[nRow].m_nFastMethod = StringToEnum(FileReadString(filehandle),optMVStatistics[nRow].m_nFastMethod);
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optMVStatistics[nRow].m_fMean = StringToDouble(FileReadString(filehandle));
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optMVStatistics[nRow].m_fStd = StringToDouble(FileReadString(filehandle));
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optMVStatistics[nRow].m_nBarsCount = (int)StringToInteger(FileReadString(filehandle));
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nRow++;
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}
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while(!FileIsEnding(filehandle));
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FileClose(filehandle);
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}
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ArrayResize(optMVStatistics,nRow+1);
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if(IS_ENABLE_LOG)
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Print("LoadMVStatistics "," Load Finished ");
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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int FindMVStatistics()
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{
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if(m_nOptimizationLevel == ENUM_OPTIMIZATION_STATISTICS)
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return -1;
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for(int n=0; n<ArraySize(optMVStatistics); n++)
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{
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if(IS_ENABLE_LOG)
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Print("FindMVStatistics ", optMVStatistics[n].m_nSlowPeriod, " ", optMVStatistics[n].m_nFastPeriod, " ", optMVStatistics[n].m_nFastMethod);
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if(optMVStatistics[n].m_nSlowPeriod == SlowMVPeriod && optMVStatistics[n].m_nFastPeriod == FastMVPeriod && optMVStatistics[n].m_nFastMethod == FastMVType)
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{
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return n;
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}
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}
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return -1;
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}
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//+------------------------------------------------------------------+
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//| if 6 month Trade and low Trade Count or NetProfit negative , leave it |
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//+------------------------------------------------------------------+
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bool ValidateCriterias(string strSymbol , int nTimeFrame,int nCriteria , datetime dt_FirstCrossOccurred, CAllTradesStatistic& oAllTradesStatistics)
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{
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if(m_OptimizationCriterias[nCriteria].m_nValidateCriterias_CalculatedCount>0 && m_nIsDoneValidatoin_DuringTesting == ENUM_VALIDATION_FULL)
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||
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return m_OptimizationCriterias[nCriteria].m_bValidateCriterias_NextMonthes;
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int nMonthLast = m_OptimizationCriterias[nCriteria].m_nMonthNext;
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int nDays = GetDaysElapsed(dt_FirstCrossOccurred);
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nDays -= (SlowMVPeriod * nTimeFrame)/(24*60);
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if(nDays < 31*nMonthLast)
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return true;
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CAllTradesStatistic *poAllTradesStatistics = GetPointer(oAllTradesStatistics);
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poAllTradesStatistics.CalcStatistics(ENUM_ORDERS_INVESTIGATE_ALL);
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int nMinimumTradesCount = (int)MathRound(nDays/20); //2. Prev 20 //1. Prev Standard 12
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//Print("ValidateCriterias dtExpert_TimeInit " , dt_FirstCrossOccurred , " nDays: " , nDays , " nMinTradesCount: " , nMinimumTradesCount , " nTradeCount: " , poAllTradesStatistics.m_nTradeCount);
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//at least each 4 days one Trade Done
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//int nTotalTrade = (int)TesterStatistics(STAT_TRADES);
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//double fNetProfit = TesterStatistics(STAT_PROFIT);
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||
|
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double fNetProfit_PercentTime_Criteria = m_OptimizationCriterias[nCriteria].m_fNetProfit_PercentTime_Criteria;
|
||
|
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int nBarsCount = iBars(strSymbol , nTimeFrame);
|
||
|
|
int nTotalBarsCount = 0;
|
||
|
|
int nMVStIndex = FindMVStatistics();
|
||
|
|
double fRatioLast = 0.f;
|
||
|
|
double fSuitableNetProfit_PercentTime_Criteria = -1.0;
|
||
|
|
double fNetProfit_PercentTime = 0.f;
|
||
|
|
|
||
|
|
if(nMVStIndex>-1 && fNetProfit_PercentTime_Criteria>-1)
|
||
|
|
{
|
||
|
|
nTotalBarsCount = optMVStatistics[nMVStIndex].m_nBarsCount;
|
||
|
|
fRatioLast = (double) nBarsCount / nTotalBarsCount ;
|
||
|
|
fSuitableNetProfit_PercentTime_Criteria = ( fNetProfit_PercentTime_Criteria ) * fRatioLast;
|
||
|
|
fNetProfit_PercentTime = poAllTradesStatistics.m_fNetProfit / poAllTradesStatistics.m_fInitialDeposit;
|
||
|
|
|
||
|
|
}
|
||
|
|
if(poAllTradesStatistics.m_nTradeCount < nMinimumTradesCount && m_OptimizationCriterias[nCriteria].m_bTradeCountLimit_Activate)
|
||
|
|
{
|
||
|
|
m_OptimizationCriterias[nCriteria].m_bValidateCriterias_NextMonthes = false;
|
||
|
|
//Print("ValidateCriterias !!!return false!!! nTotalTrade: " , poAllTradesStatistics.m_nTradeCount , " nMinimumTradesCount : " , nMinimumTradesCount , " Days: " , nDays);
|
||
|
|
}
|
||
|
|
else if(m_OptimizationCriterias[nCriteria].m_fProfitFactor_Criteria > 0 && poAllTradesStatistics.m_fProfitFactor < m_OptimizationCriterias[nCriteria].m_fProfitFactor_Criteria)
|
||
|
|
{
|
||
|
|
m_OptimizationCriterias[nCriteria].m_bValidateCriterias_NextMonthes = false;
|
||
|
|
Print("ValidateCriterias false (ProfitFactor)!!! ProfitFactor: " , poAllTradesStatistics.m_fProfitFactor);
|
||
|
|
}
|
||
|
|
else if(fSuitableNetProfit_PercentTime_Criteria > -1 && fNetProfit_PercentTime < fSuitableNetProfit_PercentTime_Criteria)
|
||
|
|
{
|
||
|
|
m_OptimizationCriterias[nCriteria].m_bValidateCriterias_NextMonthes = false;
|
||
|
|
Print("ValidateCriterias false!!! fNetProfit_PercentTime: " , fNetProfit_PercentTime, " fSuitableNetProfit_PercentTime_Criteria " , fSuitableNetProfit_PercentTime_Criteria , " fRatioLast " , fRatioLast );
|
||
|
|
Print("ValidateCriterias false!!!: TradesNetProfit : " , poAllTradesStatistics.m_fNetProfit, " fSuitableNetProfit_PercentTime_Criteria " , fSuitableNetProfit_PercentTime_Criteria , " fRatioLast " , fRatioLast );
|
||
|
|
}
|
||
|
|
else if(m_OptimizationCriterias[nCriteria].m_fWinRatio_Criteria > 0 && poAllTradesStatistics.m_fWinRatio < m_OptimizationCriterias[nCriteria].m_fWinRatio_Criteria)
|
||
|
|
{
|
||
|
|
m_OptimizationCriterias[nCriteria].m_bValidateCriterias_NextMonthes = false;
|
||
|
|
Print("ValidateCriterias false!!! fWinRatio: " , poAllTradesStatistics.m_fWinRatio , " m_OptimizationCriterias[nCriteria].m_fWinRatio_Criteria " , m_OptimizationCriterias[nCriteria].m_fWinRatio_Criteria );
|
||
|
|
}
|
||
|
|
else if(m_OptimizationCriterias[nCriteria].m_fNetProfit_Criteria > 0 && poAllTradesStatistics.m_fNetProfit < m_OptimizationCriterias[nCriteria].m_fNetProfit_Criteria)
|
||
|
|
{
|
||
|
|
m_OptimizationCriterias[nCriteria].m_bValidateCriterias_NextMonthes = false;
|
||
|
|
Print("ValidateCriterias false!!! fNetProfit: " , poAllTradesStatistics.m_fNetProfit , " fNetProfit_Criteria " , m_OptimizationCriterias[nCriteria].m_fNetProfit_Criteria , " fRatioLast " , fRatioLast );
|
||
|
|
}
|
||
|
|
else
|
||
|
|
{
|
||
|
|
///Print("ValidateCriterias true!!! fProfitFactor: " , poAllTradesStatistics.m_fProfitFactor , " fSuitableNetProfit_PercentTime_Criteria : " , fSuitableNetProfit_PercentTime_Criteria , " fRatioLast " , fRatioLast );
|
||
|
|
m_OptimizationCriterias[nCriteria].m_bValidateCriterias_NextMonthes = true;
|
||
|
|
}
|
||
|
|
m_OptimizationCriterias[nCriteria].m_nValidateCriterias_CalculatedCount++;
|
||
|
|
return m_OptimizationCriterias[nCriteria].m_bValidateCriterias_NextMonthes;
|
||
|
|
}
|
||
|
|
//+------------------------------------------------------------------+
|