Puga/PugaFiles/RangerNew.mqh

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
#include <Arrays\ArrayDouble.mqh>
class Ranger
  {
private:
   int               counter;
   datetime          start, vWapStart;
   string            symbol;
   ENUM_TIMEFRAMES   tf;
   CArrayDouble      pr, md, rs;
   double            vWap, stopLoss, takeProfit, close[];

   //?@545;5=85 480?07>=>2 8A?>;L7CO <0:4
   int               RangeCheck()
     {
      //%M=4;K 8 ?>43>B>2:0
      int macd_handle = iMACD(symbol,tf,12,26,9,PRICE_CLOSE);
      double macd[], sig[];
      ArraySetAsSeries(macd, true);
      ArraySetAsSeries(sig, true);
      //UPD 3 7=0G5=8O 2 1CD5@5 =5>1E>48<K GB> 1K 871560BL ?5@5@8A>2:8, ?CB5< A42830 =0 2-1 8=45:A 2<5AB> 1-0
      CopyBuffer(macd_handle,0,0,3,macd);
      CopyBuffer(macd_handle,1,0,3,sig);
      if((macd[2] > 0 && macd[1] < 0) || (macd[2] < 0 && macd[1] > 0))
        {
         start = TimeCurrent();
        }
      else
         if
         (start != TimeCurrent() && ((macd[1] > 0 && sig[2] < macd[2] && sig[1] > macd[1]) || (macd[1] < 0 && sig[2] > macd[2] && sig[1] < macd[1])))
           {
            counter = Bars(symbol,tf,start,TimeCurrent());
            start = TimeCurrent();
           }
      return ((counter > 2 && macd[1] < 0) ? counter+1 : (counter > 2 && macd[1] > 0) ? -counter-1 : NULL);
     };

   //0?>;=5=85 <0AA82>2 M:AB@5<C<0<8
   // 07>1@0BLAO A 70?>;=5=85< 40==K<8, :>AO:8 A> A42830<8 ?@8ACBAB2CNB//done for now??
   void              Arranger()//!1>@ 8 C?>@O4>G820=85 40==KE 4;O ?>A;54CNI8E ?@>F54C@
     {
      int range = MathAbs(RangeCheck());
      if(range-2 > 0 && range < 10000)
        {
         //Volume tests
         MqlRates candle[];
         MqlRates daily[];
         long   volArray[];
         vector volume;
         ArraySetAsSeries(volArray, true);
         ArraySetAsSeries(candle, true);
         ArraySetAsSeries(daily,true);
         CopyRates(symbol,tf,1,range,candle);
         CopyRates(symbol,PERIOD_D1,0,1,daily);
         int totalBars = Bars(symbol,tf,daily[0].time,TimeCurrent());
         double avgVol = (double)daily[0].tick_volume/totalBars;
         //Print("Daily Avg Vol: ", avgVol);
         //CopyTickVolume(symbol,tf,candle[range-1].time,candle[1].time,volArray);
         ArrayResize(volArray,range);
         for(int i=0; i<ArraySize(candle); i++)
           {
            volArray[i] = candle[i].tick_volume;
           }
         //ArrayReverse(volArray,0,WHOLE_ARRAY);//GB> 1K >1J5<K A>>B25BAB2>20;8 A25G5, B8:8 :>B>@>9 A:>?8@>20=K
         volume.Assign(volArray);
         if((volume.Sum()/volume.Size())/avgVol < 1.5)
           {
            pr.Shutdown();
            md.Shutdown();
            rs.Shutdown();
            vWapStart = NULL;
            return;
           }
         //Print("Volume Test OK: ", (volume.Sum()/volume.Size())/avgVol);

         //If tests OK -> %M=4;K 8 ?>43>B>2:0
         int macd_handle = iMACD(symbol,tf,12,26,9,PRICE_CLOSE);
         int rsi_handle = iRSI(symbol,tf,14,PRICE_CLOSE);
         double price[], macd[], rsi[];

         ArraySetAsSeries(price, true);
         ArraySetAsSeries(macd, true);
         ArraySetAsSeries(rsi, true);

         //>;CG5=85 ?>A;54=59 :;>78=K
         CopyClose(symbol,tf,0,1,close);

         //0?>;=5=85 <0AA82>2 8=48:0B>@>2
         CopyBuffer(macd_handle,0,0,range,macd);
         CopyBuffer(rsi_handle,0,0,range,rsi);

         //@>25@:0 :0:>9 87 M:AB@5<C<>2 8A?>;L7>20BL, 70?>;=5=85 <0AA820 price
         if(macd[0] < 0)
           {
            ArrayResize(price,range);
            for(int i=0; i<ArraySize(candle); i++)
              {
               price[i] = candle[i].low;
              }
            vWapStart = vWapStart == NULL ? candle[ArraySize(candle)-1].time : vWapStart;
            pr.Add(price[ArrayMinimum(price,0,WHOLE_ARRAY)]);
            md.Add(macd[ArrayMinimum(macd,0,WHOLE_ARRAY)]);
            rs.Add(rsi[ArrayMinimum(rsi,0,WHOLE_ARRAY)]);
            counter = 0;
            start = TimeCurrent();
           }
         else
           {
            ArrayResize(price,range);
            for(int i=0; i<ArraySize(candle); i++)
              {
               price[i] = candle[i].high;
              }
            vWapStart = vWapStart == NULL ? candle[ArraySize(candle)-1].time : vWapStart;
            pr.Add(price[ArrayMaximum(price,0,WHOLE_ARRAY)]);
            md.Add(macd[ArrayMaximum(macd,0,WHOLE_ARRAY)]);
            rs.Add(rsi[ArrayMaximum(rsi,0,WHOLE_ARRAY)]);
            counter = 0;
            start = TimeCurrent();
           }

         //$8;LB@ ?>A;54>20B5;L=>AB8 4>102;5=89 7=0G5=89(- 70 -, + 70 +)
         if(md.Total() > 0 && ((md.At(0) > 0 && md.At(md.Total()-1) < 0) || (md.At(0) < 0 && md.At(md.Total()-1) > 0)))
           {
            pr.Shutdown();
            md.Shutdown();
            rs.Shutdown();
            vWapStart = NULL;
            return;
           }
        }
     };

public:
   double              Rrange(string currentSymbol, ENUM_TIMEFRAMES currentTF, int rangesToSignal)
     {
      //>=AB@C:B>@ 4;O 40;L=59H59 ?5@540G8 2 Arranger
      //>@01>B0BL ?@>25@:C =0 A?@54. @8 1>;LH>< A@54=5<(?) A?@545(?) 83=>@8BL 2E>4 F5;8:><
      symbol = currentSymbol;
      tf = currentTF;
      double signal = 0;

      Arranger();

      //$>@<8@>20=85 25:B>@>2 ?@8 CA;>288 4>AB0B>G=>3> :>;8G5AB20 7=0G5=89, 8=0G5 2KE>4
      if(pr.Total() == rangesToSignal && md.Total() == rangesToSignal && rs.Total() == rangesToSignal)
        {
         if((md.At(rangesToSignal-2) > 0 && md.At(rangesToSignal-1) > 0) || (md.At(rangesToSignal-2) < 0 && md.At(rangesToSignal-1) < 0))
           {
            int bb_handle = iBands(symbol,PERIOD_M30,20,0,2,PRICE_CLOSE);
            double upper[], mid[], lower[];
            ArraySetAsSeries(upper,true);
            ArraySetAsSeries(mid,true);
            ArraySetAsSeries(lower,true);

            CopyBuffer(bb_handle,1,0,3,upper);
            CopyBuffer(bb_handle,0,0,3,mid);
            CopyBuffer(bb_handle,2,0,3,lower);

            if(md.At(rangesToSignal-1) > 0 && (close[0] > upper[0] || close[0] < mid[0]))
              {
               pr.Shutdown();
               md.Shutdown();
               rs.Shutdown();
               vWapStart = NULL;
               //Print("BB range check false");
               return 0;
              }
            else
               if(md.At(rangesToSignal-1) < 0 && (close[0] < lower[0] || close[0] > mid[0]))
                 {
                  pr.Shutdown();
                  md.Shutdown();
                  rs.Shutdown();
                  vWapStart = NULL;
                  //Print("BB range check false");
                  return 0;
                 }

            vector priceRange, mdRange, rsRange;
            priceRange.Init(rangesToSignal);
            mdRange.Init(rangesToSignal);
            rsRange.Init(rangesToSignal);

            //0?>;=5=85 25:B>@>2 4;O >?@545;5=8O :>@5;OF88
            for(int i=0; i<rangesToSignal; i++)
              {
               priceRange[i] = pr.At(i);
               mdRange[i] = md.At(i);
               rsRange[i] = rs.At(i);
              }
            double mdCorr = priceRange.CorrCoef(mdRange);
            double rsCorr = priceRange.CorrCoef(rsRange);

            signal = (MathAbs(mdCorr)+MathAbs(rsCorr))/2;

            //G8AB:0 =5 =C6=KE C65 ;8AB>2, A MB>3> <><5=B0 =0G8=05BAO @01>B0 A 25:B>@0<8
            pr.Shutdown();
            md.Shutdown();
            rs.Shutdown();

            //;>: @01>BK A 40==K<8
            if(mdRange[rangesToSignal-1] < 0 && (mdCorr < 0 || rsCorr < 0))
              {
//               //>4:;NG05< VWAP ***
//               int vWapBars = Bars(symbol,tf,vWapStart,TimeCurrent());
//               MqlRates candle[];
//               double price[];
//               long volumeArray[];
//               vector wap, volume;
//
//               ArraySetAsSeries(candle, true);
//               ArraySetAsSeries(price, true);
//               ArraySetAsSeries(volumeArray, true);
//               ArrayResize(volumeArray,vWapBars);
//               ArrayResize(price,vWapBars);
//
//               CopyRates(symbol,tf,0,vWapBars,candle);
//               for(int i=0; i<ArraySize(candle); i++)
//                 {
//                  volumeArray[i] = candle[i].tick_volume;
//                 }
//               for(int i=0; i<ArraySize(candle); i++)
//                 {
//                  price[i] = candle[i].low;
//                 }
//
//               wap.Assign(price);
//               volume.Assign(volumeArray);
//
//               //VWAP formula
//               for(ulong i=0; i<wap.Size(); i++)
//                 {
//                  wap[i] = wap[i]*volume[i];
//                 }
//               vWap = wap.Sum()/volume.Sum();
//               //Print(vWap);
               stopLoss = priceRange.Min()*0.9985;
//               //Print("StopLoss: ", stopLoss);
//               takeProfit = close[0]*1.002;// + (close[0] - stopLoss)*1.5;
//               //Print("TakeProfit: ", takeProfit);
//               //***
               return signal;
              }
            else
               if(mdRange[rangesToSignal-1] > 0 && (mdCorr < 0 || rsCorr < 0))
                 {
//                  //>4:;NG05< VWAP ***
//                  int vWapBars = Bars(symbol,tf,vWapStart,TimeCurrent());
//                  MqlRates candle[];
//                  double price[];
//                  long volumeArray[];
//                  vector wap, volume;
//
//                  ArraySetAsSeries(candle, true);
//                  ArraySetAsSeries(price, true);
//                  ArraySetAsSeries(volumeArray, true);
//                  ArrayResize(volumeArray,vWapBars);
//                  ArrayResize(price,vWapBars);
//
//                  CopyRates(symbol,tf,0,vWapBars,candle);
//                  for(int i=0; i<ArraySize(candle); i++)
//                    {
//                     volumeArray[i] = candle[i].tick_volume;
//                    }
//                  for(int i=0; i<ArraySize(candle); i++)
//                    {
//                     price[i] = candle[i].high;
//                    }
//
//                  wap.Assign(price);
//                  volume.Assign(volumeArray);
//                  
//                  //VWAP formula
//                  for(ulong i=0; i<wap.Size(); i++)
//                    {
//                     wap[i] = wap[i]*volume[i];
//                    }
//                  vWap = wap.Sum()/volume.Sum();
//                  //Print(vWap);
                  stopLoss = priceRange.Max()*1.0015;
//                  //Print("StopLoss: ", stopLoss);
//                  takeProfit = close[0]*0.998;// - (stopLoss - close[0])*1.5;
//                  //Print("TakeProfit: ", takeProfit);
//                  //***
                  return -signal;
                 }
           }
         else
           {
            pr.Shutdown();
            md.Shutdown();
            rs.Shutdown();
            vWapStart = NULL;
            return 0;
           }
        }
      return 0;
     };

   double            getSL() {return stopLoss;}
   double            getTP() {return takeProfit;}
   double            getVWAP() {return vWap;}

  };
//+------------------------------------------------------------------+

//+------------------------------------------------------------------+