Biblioteca2/Include/filters.mqh

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                      filters.mqh |
//|                                             Rafael Morgado Silva |
//|                                                                  |
//+------------------------------------------------------------------+
enum FILTER_TYPES
{
   FTNone,//Nenhum
   FTLiq,//Liquidez m<EFBFBD>nima
   FTPre,//Pre<EFBFBD>o m<EFBFBD>nimo
   FTRent,//Rentabilidade positiva
   FTHiVol,//Volatilidade alta
   FTLowVol,//Volatilidade baixa
   FTCross//Cruzamento de m<EFBFBD>dia
};

class Filters
{
public:
   string symbol;
   FILTER_TYPES myfilter;
   double FTPreMin,FTLiqFrac;
   int FTPeriod;//,FTVolPAtr1,FTVolPAtr2;
   ENUM_TIMEFRAMES FTTimeframe;
   string FTLiqSymbolref;

   Filters(void)
   {
      myfilter=FTNone;
      symbol=Symbol();
      FTPreMin=4;
      FTLiqFrac=0.95;
      FTPeriod=30;
      FTTimeframe=PERIOD_D1;
      FTLiqSymbolref="IBOV";
   }
   void operator=(const Filters &r)
   {
      myfilter=r.myfilter;
      symbol=r.symbol;
      FTPreMin=r.FTPreMin;
      FTLiqFrac=r.FTLiqFrac;
      FTPeriod=r.FTPeriod;
      FTTimeframe=r.FTTimeframe;
      FTLiqSymbolref=r.FTLiqSymbolref;
   }
   bool Filter(ENUM_OP_TYPES OpType)
   {
      bool ret=false;//false=nofilter;true=block
      switch(myfilter)
      {
         case FTNone:break;
         case FTLiq://liquidez relativa ao ibov
         {
            if (Bars(symbol,FTTimeframe,TimeLocal()-FTPeriod*24*3600,TimeLocal())<
               FTLiqFrac*Bars(FTLiqSymbolref,FTTimeframe,TimeLocal()-FTPeriod*24*3600,TimeLocal()))
                  return (true);
            break;
         }
         case FTPre:
         {
            MqlRates rt[];
            if(CopyRates(symbol,PERIOD_D1,0,1,rt)==1)
               if (rt[0].close<FTPreMin) return(true);
            break;
         }
         case FTRent:
         {
            MqlRates rt[];
            if(CopyRates(symbol,FTTimeframe,0,FTPeriod,rt)==FTPeriod)
            {
               double slope,r2,sharp,mvol,mtick;
               MSQ(rt,slope,r2,sharp,mvol,mtick,FTPeriod);
               slope=MathPow(1.0+slope,250)-1.0;
               slope*=r2;            
               if (slope<0) return (true);
            }
            break;
         }
         case FTHiVol://filtra alta volatilidade
         {
            if(Atr(symbol,13,FTTimeframe)>Atr(symbol,55,FTTimeframe)) return(true);//Alta volatilidade
            break;
         }
         case FTLowVol://filtra baixa volatilidade
         {
            if(Atr(symbol,13,FTTimeframe)<Atr(symbol,55,FTTimeframe)) return(true);//Alta volatilidade
            break;
         }
         case FTCross://filtra por cruzamento de m<EFBFBD>dia
         {
            double Avg50=Avg(symbol,50,PERIOD_D1),Avg100=Avg(symbol,100,PERIOD_D1);
            if ((OpType==Buy)&&(Avg50<=Avg100)) return(true);
            if ((OpType==Sell)&&(Avg50>=Avg100)) return(true);
            break;
         }
      }
      return(ret);
   }
};