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Stg_MA_Cross_Pivot.mqh
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/**
* @file
* Strategy based on the moving average price indicators implementing daily pivot cross signal.
*/
enum ENUM_STG_MA_CROSS_PIVOT_TYPE {
STG_MA_CROSS_PIVOT_TYPE_0_NONE = 0, // (None)
STG_MA_CROSS_PIVOT_TYPE_AMA, // AMA: Adaptive Moving Average
STG_MA_CROSS_PIVOT_TYPE_DEMA, // DEMA: Double Exponential Moving Average
STG_MA_CROSS_PIVOT_TYPE_FRAMA, // FrAMA: Fractal Adaptive Moving Average
STG_MA_CROSS_PIVOT_TYPE_ICHIMOKU, // Ichimoku
STG_MA_CROSS_PIVOT_TYPE_MA, // MA: Moving Average
STG_MA_CROSS_PIVOT_TYPE_PRICE_CHANNEL, // Price Channel
STG_MA_CROSS_PIVOT_TYPE_SAR, // SAR: Parabolic Stop and Reverse
STG_MA_CROSS_PIVOT_TYPE_TEMA, // TEMA: Triple Exponential Moving Average
STG_MA_CROSS_PIVOT_TYPE_VIDYA, // VIDYA: Variable Index Dynamic Average
};
// User params.
INPUT_GROUP("MA Cross Pivot strategy: main strategy params");
INPUT ENUM_STG_MA_CROSS_PIVOT_TYPE MA_Cross_Pivot_Type = STG_MA_CROSS_PIVOT_TYPE_DEMA; // Indicator MA type
INPUT_GROUP("MA Cross Pivot strategy: strategy params");
INPUT float MA_Cross_Pivot_LotSize = 0; // Lot size
INPUT int MA_Cross_Pivot_SignalOpenMethod = 1; // Signal open method (-3-3)
INPUT float MA_Cross_Pivot_SignalOpenLevel = 0.0f; // Signal open level
INPUT int MA_Cross_Pivot_SignalOpenFilterMethod = 32; // Signal open filter method
INPUT int MA_Cross_Pivot_SignalOpenFilterTime = 3; // Signal open filter time
INPUT int MA_Cross_Pivot_SignalOpenBoostMethod = 0; // Signal open boost method
INPUT int MA_Cross_Pivot_SignalCloseMethod = 1; // Signal close method (-3-3)
INPUT int MA_Cross_Pivot_SignalCloseFilter = 0; // Signal close filter (-127-127)
INPUT float MA_Cross_Pivot_SignalCloseLevel = 0.0f; // Signal close level
INPUT int MA_Cross_Pivot_PriceStopMethod = 1; // Price stop method (0-127)
INPUT float MA_Cross_Pivot_PriceStopLevel = 2; // Price stop level
INPUT int MA_Cross_Pivot_TickFilterMethod = 32; // Tick filter method
INPUT float MA_Cross_Pivot_MaxSpread = 4.0; // Max spread to trade (pips)
INPUT short MA_Cross_Pivot_Shift = 0; // Shift
INPUT float MA_Cross_Pivot_OrderCloseLoss = 80; // Order close loss
INPUT float MA_Cross_Pivot_OrderCloseProfit = 80; // Order close profit
INPUT int MA_Cross_Pivot_OrderCloseTime = -30; // Order close time in mins (>0) or bars (<0)
INPUT_GROUP("MA Cross Pivot strategy: AMA indicator params");
INPUT int MA_Cross_Pivot_Indi_AMA_InpPeriodAMA = 20; // AMA period
INPUT int MA_Cross_Pivot_Indi_AMA_InpFastPeriodEMA = 4; // Fast EMA period
INPUT int MA_Cross_Pivot_Indi_AMA_InpSlowPeriodEMA = 30; // Slow EMA period
INPUT int MA_Cross_Pivot_Indi_AMA_InpShiftAMA = 4; // AMA shift
INPUT int MA_Cross_Pivot_Indi_AMA_Shift = 0; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE MA_Cross_Pivot_Indi_AMA_SourceType = IDATA_BUILTIN; // Source type
INPUT_GROUP("MA Cross Pivot strategy: DEMA indicator params");
INPUT int MA_Cross_Pivot_Indi_DEMA_Period = 25; // Period
INPUT int MA_Cross_Pivot_Indi_DEMA_MA_Shift = 6; // MA Shift
INPUT ENUM_APPLIED_PRICE MA_Cross_Pivot_Indi_DEMA_Applied_Price = PRICE_TYPICAL; // Applied Price
INPUT int MA_Cross_Pivot_Indi_DEMA_Shift = 0; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE MA_Cross_Pivot_Indi_DEMA_SourceType = IDATA_BUILTIN; // Source type
INPUT_GROUP("MA Cross Pivot strategy: FrAMA indicator params");
INPUT int MA_Cross_Pivot_Indi_FrAMA_Period = 10; // Period
INPUT ENUM_APPLIED_PRICE MA_Cross_Pivot_Indi_FrAMA_Applied_Price = PRICE_MEDIAN; // Applied Price
INPUT int MA_Cross_Pivot_Indi_FrAMA_MA_Shift = 0; // MA Shift
INPUT int MA_Cross_Pivot_Indi_FrAMA_Shift = 0; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE MA_Cross_Pivot_Indi_FrAMA_SourceType = IDATA_BUILTIN; // Source type
INPUT_GROUP("MA Cross Pivot strategy: Ichimoku indicator params");
// INPUT ENUM_ICHIMOKU_LINE MA_Cross_Pivot_Indi_Ichimoku_MA_Line = LINE_TENKANSEN; // Ichimoku line for MA
INPUT int MA_Cross_Pivot_Indi_Ichimoku_Period_Tenkan_Sen = 30; // Period Tenkan Sen
INPUT int MA_Cross_Pivot_Indi_Ichimoku_Period_Kijun_Sen = 10; // Period Kijun Sen
INPUT int MA_Cross_Pivot_Indi_Ichimoku_Period_Senkou_Span_B = 30; // Period Senkou Span B
INPUT int MA_Cross_Pivot_Indi_Ichimoku_Shift = 1; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE MA_Cross_Pivot_Indi_Ichimoku_SourceType = IDATA_BUILTIN; // Source type
INPUT_GROUP("MA Cross Pivot strategy: MA indicator params");
INPUT int MA_Cross_Pivot_Indi_MA_Period = 26; // Period
INPUT int MA_Cross_Pivot_Indi_MA_MA_Shift = 0; // MA Shift
INPUT ENUM_MA_METHOD MA_Cross_Pivot_Indi_MA_Method = MODE_LWMA; // MA Method
INPUT ENUM_APPLIED_PRICE MA_Cross_Pivot_Indi_MA_Applied_Price = PRICE_WEIGHTED; // Applied Price
INPUT int MA_Cross_Pivot_Indi_MA_Shift = 0; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE MA_Cross_Pivot_Indi_MA_SourceType = IDATA_BUILTIN; // Source type
INPUT_GROUP("MA Cross Pivot strategy: Price Channel indicator params");
INPUT int MA_Cross_Pivot_Indi_PriceChannel_Period = 26; // Period
INPUT int MA_Cross_Pivot_Indi_PriceChannel_Shift = 0; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE MA_Cross_Pivot_Indi_PriceChannel_SourceType = IDATA_ICUSTOM; // Source type
INPUT_GROUP("MA Cross Pivot strategy: SAR indicator params");
INPUT float MA_Cross_Pivot_Indi_SAR_Step = 0.04f; // Step
INPUT float MA_Cross_Pivot_Indi_SAR_Maximum_Stop = 0.4f; // Maximum stop
INPUT int MA_Cross_Pivot_Indi_SAR_Shift = 0; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE MA_Cross_Pivot_Indi_SAR_SourceType = IDATA_ICUSTOM; // Source type
INPUT_GROUP("MA Cross Pivot strategy: TEMA indicator params");
INPUT int MA_Cross_Pivot_Indi_TEMA_Period = 10; // Period
INPUT int MA_Cross_Pivot_Indi_TEMA_MA_Shift = 0; // MA Shift
INPUT ENUM_APPLIED_PRICE MA_Cross_Pivot_Indi_TEMA_Applied_Price = PRICE_WEIGHTED; // Applied Price
INPUT int MA_Cross_Pivot_Indi_TEMA_Shift = 0; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE MA_Cross_Pivot_Indi_TEMA_SourceType = IDATA_BUILTIN; // Source type
INPUT_GROUP("MA Cross Pivot strategy: VIDYA indicator params");
INPUT int MA_Cross_Pivot_Indi_VIDYA_Period = 30; // Period
INPUT int MA_Cross_Pivot_Indi_VIDYA_MA_Period = 20; // MA Period
INPUT int MA_Cross_Pivot_Indi_VIDYA_MA_Shift = 1; // MA Shift
INPUT ENUM_APPLIED_PRICE MA_Cross_Pivot_Indi_VIDYA_Applied_Price = PRICE_WEIGHTED; // Applied Price
INPUT int MA_Cross_Pivot_Indi_VIDYA_Shift = 0; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE MA_Cross_Pivot_Indi_VIDYA_SourceType = IDATA_BUILTIN; // Source type
// Structs.
// Defines struct with default user strategy values.
struct Stg_MA_Cross_Pivot_Params_Defaults : StgParams {
Stg_MA_Cross_Pivot_Params_Defaults()
: StgParams(::MA_Cross_Pivot_SignalOpenMethod, ::MA_Cross_Pivot_SignalOpenFilterMethod,
::MA_Cross_Pivot_SignalOpenLevel, ::MA_Cross_Pivot_SignalOpenBoostMethod,
::MA_Cross_Pivot_SignalCloseMethod, ::MA_Cross_Pivot_SignalCloseFilter,
::MA_Cross_Pivot_SignalCloseLevel, ::MA_Cross_Pivot_PriceStopMethod, ::MA_Cross_Pivot_PriceStopLevel,
::MA_Cross_Pivot_TickFilterMethod, ::MA_Cross_Pivot_MaxSpread, ::MA_Cross_Pivot_Shift) {
Set(STRAT_PARAM_LS, ::MA_Cross_Pivot_LotSize);
Set(STRAT_PARAM_OCL, ::MA_Cross_Pivot_OrderCloseLoss);
Set(STRAT_PARAM_OCP, ::MA_Cross_Pivot_OrderCloseProfit);
Set(STRAT_PARAM_OCT, ::MA_Cross_Pivot_OrderCloseTime);
Set(STRAT_PARAM_SOFT, ::MA_Cross_Pivot_SignalOpenFilterTime);
}
};
class Stg_MA_Cross_Pivot : public Strategy {
protected:
Stg_MA_Cross_Pivot_Params_Defaults ssparams;
public:
Stg_MA_Cross_Pivot(StgParams &_sparams, TradeParams &_tparams, ChartParams &_cparams, string _name = "")
: Strategy(_sparams, _tparams, _cparams, _name) {}
static Stg_MA_Cross_Pivot *Init(ENUM_TIMEFRAMES _tf = NULL, EA *_ea = NULL) {
// Initialize strategy initial values.
Stg_MA_Cross_Pivot_Params_Defaults stg_ma_defaults;
StgParams _stg_params(stg_ma_defaults);
// Initialize Strategy instance.
ChartParams _cparams(_tf, _Symbol);
TradeParams _tparams;
Strategy *_strat = new Stg_MA_Cross_Pivot(_stg_params, _tparams, _cparams, "MA Pivot");
return _strat;
}
/**
* Event on strategy's init.
*/
void OnInit() {
// Initialize indicators.
switch (::MA_Cross_Pivot_Type) {
case STG_MA_CROSS_PIVOT_TYPE_AMA: // AMA
{
IndiAMAParams _indi_params(::MA_Cross_Pivot_Indi_AMA_InpPeriodAMA, ::MA_Cross_Pivot_Indi_AMA_InpFastPeriodEMA,
::MA_Cross_Pivot_Indi_AMA_InpSlowPeriodEMA, ::MA_Cross_Pivot_Indi_AMA_InpShiftAMA,
PRICE_TYPICAL, ::MA_Cross_Pivot_Indi_AMA_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_AMA(_indi_params, ::MA_Cross_Pivot_Indi_AMA_SourceType), ::MA_Cross_Pivot_Type);
break;
}
case STG_MA_CROSS_PIVOT_TYPE_DEMA: // DEMA
{
IndiDEIndiMAParams _indi_params(::MA_Cross_Pivot_Indi_DEMA_Period, ::MA_Cross_Pivot_Indi_DEMA_MA_Shift,
::MA_Cross_Pivot_Indi_DEMA_Applied_Price, ::MA_Cross_Pivot_Indi_DEMA_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_DEMA(_indi_params, ::MA_Cross_Pivot_Indi_DEMA_SourceType), ::MA_Cross_Pivot_Type);
break;
}
case STG_MA_CROSS_PIVOT_TYPE_FRAMA: // FrAMA
{
IndiFrAIndiMAParams _indi_params(::MA_Cross_Pivot_Indi_FrAMA_Period, ::MA_Cross_Pivot_Indi_FrAMA_MA_Shift,
::MA_Cross_Pivot_Indi_FrAMA_Applied_Price, ::MA_Cross_Pivot_Indi_FrAMA_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_FrAMA(_indi_params, ::MA_Cross_Pivot_Indi_FrAMA_SourceType), ::MA_Cross_Pivot_Type);
break;
}
case STG_MA_CROSS_PIVOT_TYPE_ICHIMOKU: // Ichimoku
{
IndiIchimokuParams _indi_params(
::MA_Cross_Pivot_Indi_Ichimoku_Period_Tenkan_Sen, ::MA_Cross_Pivot_Indi_Ichimoku_Period_Kijun_Sen,
::MA_Cross_Pivot_Indi_Ichimoku_Period_Senkou_Span_B, ::MA_Cross_Pivot_Indi_Ichimoku_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_Ichimoku(_indi_params, ::MA_Cross_Pivot_Indi_Ichimoku_SourceType), ::MA_Cross_Pivot_Type);
break;
}
case STG_MA_CROSS_PIVOT_TYPE_MA: // MA
{
IndiMAParams _indi_params(::MA_Cross_Pivot_Indi_MA_Period, ::MA_Cross_Pivot_Indi_MA_MA_Shift,
::MA_Cross_Pivot_Indi_MA_Method, ::MA_Cross_Pivot_Indi_MA_Applied_Price,
::MA_Cross_Pivot_Indi_MA_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_MA(_indi_params, ::MA_Cross_Pivot_Indi_MA_SourceType), ::MA_Cross_Pivot_Type);
break;
}
case STG_MA_CROSS_PIVOT_TYPE_PRICE_CHANNEL: // Price Channel
{
IndiPriceChannelParams _indi_params(::MA_Cross_Pivot_Indi_PriceChannel_Period,
::MA_Cross_Pivot_Indi_PriceChannel_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_PriceChannel(_indi_params, ::MA_Cross_Pivot_Indi_PriceChannel_SourceType), ::MA_Cross_Pivot_Type);
break;
}
case STG_MA_CROSS_PIVOT_TYPE_SAR: // SAR
{
IndiSARParams _indi_params(::MA_Cross_Pivot_Indi_SAR_Step, ::MA_Cross_Pivot_Indi_SAR_Maximum_Stop,
::MA_Cross_Pivot_Indi_SAR_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_SAR(_indi_params, ::MA_Cross_Pivot_Indi_SAR_SourceType), ::MA_Cross_Pivot_Type);
break;
}
case STG_MA_CROSS_PIVOT_TYPE_TEMA: // TEMA
{
IndiTEMAParams _indi_params(::MA_Cross_Pivot_Indi_TEMA_Period, ::MA_Cross_Pivot_Indi_TEMA_MA_Shift,
::MA_Cross_Pivot_Indi_TEMA_Applied_Price, ::MA_Cross_Pivot_Indi_TEMA_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_TEMA(_indi_params, ::MA_Cross_Pivot_Indi_TEMA_SourceType), ::MA_Cross_Pivot_Type);
break;
}
case STG_MA_CROSS_PIVOT_TYPE_VIDYA: // VIDYA
{
IndiVIDYAParams _indi_params(::MA_Cross_Pivot_Indi_VIDYA_Period, ::MA_Cross_Pivot_Indi_VIDYA_MA_Period,
::MA_Cross_Pivot_Indi_VIDYA_MA_Shift, ::MA_Cross_Pivot_Indi_VIDYA_Applied_Price,
::MA_Cross_Pivot_Indi_VIDYA_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_VIDYA(_indi_params, ::MA_Cross_Pivot_Indi_VIDYA_SourceType), ::MA_Cross_Pivot_Type);
break;
}
case STG_MA_CROSS_PIVOT_TYPE_0_NONE: // (None)
default:
break;
}
}
/**
* Check strategy's opening signal.
*/
bool SignalOpen(ENUM_ORDER_TYPE _cmd, int _method = 0, float _level = 0.0f, int _shift = 0) {
Chart *_chart = trade.GetChart();
IndicatorData *_indi = GetIndicator(::MA_Cross_Pivot_Type);
// uint _ishift = _indi.GetParams().GetShift(); // @todo: Convert into Get().
// bool _result = _indi.GetFlag(INDI_ENTRY_FLAG_IS_VALID, _shift); // @fixme
uint _ishift = _shift;
bool _result = true;
if (!_result) {
// Returns false when indicator data is not valid.
return false;
}
// float _level_pips = (float)(_level * _chart.GetPipSize());
double _value1 = _indi[_ishift][0];
ChartEntry _ohlc_d1 = _chart.GetEntry(PERIOD_D1, _shift + 1, _chart.GetSymbol());
double _d1_pivot = _ohlc_d1.bar.ohlc.GetPivot();
switch (_cmd) {
case ORDER_TYPE_BUY:
// Buy signal.
_result &= _indi.IsIncreasing(1, 0, _ishift);
_result &= _indi[_shift][0] > _d1_pivot;
_result &= _indi[_shift + 1][0] < _d1_pivot;
//_result &= Math::ChangeInPct(_indi[_ishift + 1][0], _indi[_ishift][0], true) > _level;
if (_result && _method != 0) {
if (METHOD(_method, 0)) _result &= _indi[_ishift + 3][0] < _d1_pivot;
if (METHOD(_method, 1))
_result &= fmax4(_indi[_ishift][0], _indi[_ishift + 1][0], _indi[_ishift + 2][0], _indi[_ishift + 3][0]) ==
_indi[_ishift][0];
}
break;
case ORDER_TYPE_SELL:
// Sell signal.
_result &= _indi.IsDecreasing(1, 0, _ishift);
_result &= _indi[_shift][0] < _d1_pivot;
_result &= _indi[_shift + 1][0] > _d1_pivot;
//_result &= Math::ChangeInPct(_indi[_ishift + 1][0], _indi[_ishift][0], true) < _level;
if (_result && _method != 0) {
if (METHOD(_method, 0)) _result &= _indi[_ishift + 3][0] > _d1_pivot;
if (METHOD(_method, 1))
_result &= fmin4(_indi[_ishift][0], _indi[_ishift + 1][0], _indi[_ishift + 2][0], _indi[_ishift + 3][0]) ==
_indi[_ishift][0];
}
break;
}
return _result;
}
};