/*-----------------------------+ | | | Shared by www.Aptrafx.com | | | +------------------------------*/ //+-----------------------------------------------------------------------------+ //| Firebird v0.65 - MA envelope exhaustion system | //+-----------------------------------------------------------------------------+ #property copyright "Copyright © 2005, TraderSeven" #property link "TraderSeven@gmx.net" // \\|// +-+-+-+-+-+-+-+-+-+-+-+ \\|// // ( o o ) |T|r|a|d|e|r|S|e|v|e|n| ( o o ) // ~~~~oOOo~(_)~oOOo~~~~ +-+-+-+-+-+-+-+-+-+-+-+ ~~~~oOOo~(_)~oOOo~~~~ // Firebird calculates a 10 day SMA and then shifts it up and down 2% to for a channel. // For the calculation of this SMA either close (more trades) or H+L (safer trades) is used. // When the price breaks a band a postion in the opposite of the current trend is taken. // If the position goes against us we simply open an extra position to average. // 50% of the trades last a day. 45% 2-6 days 5% longer or just fail. // //01010100 01110010 01100001 01100100 01100101 01110010 01010011 01100101 01110110 01100101 01101110 //----------------------- USER INPUT extern int MA_length = 10; extern int MA_timeframe = 0; // hdb did I add this ? lol extern int MAtype=0;//0=close, 1=HL extern double Percent = 0.3; extern int TradeOnFriday =1; // >0 trades on friday extern int slip = 100;//exits only extern double Lots = 0.1; extern int TakeProfit = 120; extern int Stoploss = 200;// total loss on all open positions in pips //extern double TrailingStop = 5; extern int PipStep = 30;//if position goes this amount of pips against you add another. extern double IncreasementType =0;//0=just add every PipStep, >0 =OrdersToal()^x *Pipstep extern int MagicNumber=12345; extern bool UseTrailingStop=true; extern int TrailingStop=15; double slBUY=0, slSEL=0, sl=0; double p; double Stopper=0; double KeepStopLoss=0; double KeepAverage; double dummy; double spread=0; double CurrentPipStep; int OrderWatcher=0; int myTotal=0; // hdb int cnt=0; int total=0; double LastPrice=0; //----------------------- MAIN PROGRAM LOOP int start() { double PriceTarget; double AveragePrice; int OpeningDay; //----------------------- CALCULATE THE NEW PIPSTEP CurrentPipStep=PipStep; if(IncreasementType>0) { CurrentPipStep=MathSqrt(OrdersTotal())*PipStep; CurrentPipStep=MathPow(OrdersTotal(),IncreasementType)*PipStep; } ///////////////////////////////////////////////////////////////////////////////////////// // BACKTESTER FIX: DO NOT PLACE AN ORDER IF WE JUST CLOSED // AN ORDER WITHIN Period() MINUTES AGO ///////////////////////////////////////////////////////////////////////////////////////// datetime orderclosetime; string rightnow; int rightnow2; int TheHistoryTotal=HistoryTotal(); int difference; int flag=0; for(cnt=0;cnt<TheHistoryTotal;cnt++) { if(OrderSelect(cnt,SELECT_BY_POS,MODE_HISTORY)==true) { if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber() == MagicNumber) ) // hdb - only symbol and magic { orderclosetime=OrderCloseTime(); rightnow=Year()+"-"+Month()+"-"+Day()+" "+Hour()+":"+Minute()+":"+Seconds(); rightnow2=StrToTime(rightnow); difference=rightnow2-orderclosetime; if(Period()*60*2>difference) { // At least 2 periods away! flag=1; // Throw a flag break; } } } } ///////////////////////////////////////////////////////////////////////////////////////// if(flag!=1) { //----------------------- ENTER POSITION BASED ON OPEN OrderWatcher=0; myTotal=0; int Direction=0; //1=long, 11=avoid long, 2=short, 22=avoid short if (Day()!=5 || TradeOnFriday >0) { total=OrdersTotal(); for(cnt=(total-1);cnt>=0;cnt--){ OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if ((OrderSymbol()==Symbol()) && (OrderMagicNumber() == MagicNumber)) // hdb - only symbol and magic { LastPrice=OrderOpenPrice(); myTotal = myTotal +1; Comment("LastPrice= ",DoubleToStr(LastPrice, 10)); break; } } } if (myTotal==0) OpeningDay=DayOfYear(); if(MAtype==0) { double myMA =iMA(NULL,MA_timeframe,MA_length,0,MODE_SMA,PRICE_OPEN,0); /* Print(" Top, Bid, total ",DoubleToStr(myMA*(1+Percent/100),10)," ",DoubleToStr(Bid,10)," ", total); Print(" Bottom, Ask ",DoubleToStr(myMA*(1-Percent/100),10)," ",DoubleToStr(Ask,10)," "); Print("Direction= ", Direction); Print("LastPrice= ", DoubleToStr(LastPrice,10), " CurrentPipStep*Point = ", DoubleToStr(CurrentPipStep*Point,10)); Print("Total= ", total, " myTotal= ", myTotal); */ if((myMA*(1+Percent/100))<Bid && Direction!=22 && (Bid>=(LastPrice+(CurrentPipStep*Point)) || myTotal==0) ) // Go SHORT -> Only sell if >= 30 pips above previous position entry { OrderSend(Symbol(),OP_SELL,Lots,Bid,slip,Bid+(Stoploss*Point),Bid-(TakeProfit*Point),"",MagicNumber,0,Red); OrderWatcher=1; Direction=2; } if((myMA*(1-Percent/100))>Ask && Direction!=11 && (Ask<=(LastPrice-(CurrentPipStep*Point))|| myTotal==0)) // Go LONG -> Only buy if >= 30 pips below previous position entry { OrderSend(Symbol(),OP_BUY,Lots,Ask,slip,Ask-(Stoploss*Point),Ask+(TakeProfit*Point),"",MagicNumber,0,Blue); OrderWatcher=1; Direction=1; } } //----------------------- ENTER POSITION BASED ON HIGH/LOW if(MAtype==1) { if((iMA(NULL,MA_timeframe,MA_length,0,MODE_SMA,PRICE_HIGH,0)*(1+Percent/100))<Bid && Direction!=22 && (Bid>=(LastPrice+(CurrentPipStep*Point))|| myTotal==0)) // Go SHORT -> Only sell if >= 30 pips above previous position entry { OrderSend(Symbol(),OP_SELL,Lots,Bid,slip,Bid+(Stoploss*Point),Bid-(TakeProfit*Point),0,0,Red); OrderWatcher=1; Direction=2; } if((iMA(NULL,MA_timeframe,MA_length,0,MODE_SMA,PRICE_LOW,0)*(1-Percent/100))>Ask && Direction!=11 && (Ask<=(LastPrice-(CurrentPipStep*Point))|| myTotal==0)) // Go LONG -> Only buy if >= 30 pips below previous position entry { OrderSend(Symbol(),OP_BUY,Lots,Ask,slip,Ask-(Stoploss*Point),Ask+(TakeProfit*Point),0,0,Blue); OrderWatcher=1; Direction=1; } } } // end of flag test //----------------------- CALCULATE AVERAGE OPENING PRICE total=OrdersTotal(); AveragePrice=0; int myOrderType = -1; // hdb myTotal = 0; // hdb - count of relevant trades //Print("total= ", total, " OrderWatcher= ", OrderWatcher); if(total>1 && OrderWatcher==1) //Comment("yyyyyyyyyy"); { for(cnt=0;cnt<total;cnt++) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber() == MagicNumber) ) // hdb - only symbol and magic { AveragePrice=AveragePrice+OrderOpenPrice(); myOrderType = OrderType(); // hdb - keep order type myTotal = myTotal +1; // Print("myTotal= ", myTotal, " myOrderType= ", myOrderType); // hdb - count of relevant trades } } AveragePrice=AveragePrice/MathMax(myTotal,1); // hdb myTotal } //----------------------- RECALCULATE STOPLOSS & PROFIT TARGET BASED ON AVERAGE OPENING PRICE // OrderSelect(0, SELECT_BY_POS, MODE_TRADES); // hdb removed if(myOrderType==OP_BUY && OrderWatcher==1 && myTotal>1) // Calculate profit/stop target for long { PriceTarget=AveragePrice+(TakeProfit*Point); Stopper=AveragePrice-(((Stoploss*Point)/myTotal)); } if(myOrderType==OP_SELL && OrderWatcher==1 && myTotal>1) // Calculate profit/stop target for short { PriceTarget=AveragePrice-(TakeProfit*Point); Stopper=AveragePrice+(((Stoploss*Point)/myTotal)); } //----------------------- IF NEEDED CHANGE ALL OPEN ORDERS TO THE NEWLY CALCULATED PROFIT TARGET if(OrderWatcher==1 && myTotal>1)// check if average has really changed { total=OrdersTotal(); for(cnt=0;cnt<total;cnt++) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber() == MagicNumber)) // hdb - only symbol and magic { OrderModify(OrderTicket(),0,Stopper,PriceTarget,0,Yellow);// set all positions to averaged levels } } } //Comment("PriceTarget: ",PriceTarget," AveragePrice: ",AveragePrice," Total: ",total); //----------------------- KEEP TRACK OF STOPLOSS TO AVOID RUNAWAY MARKETS // Sometimes the market keeps trending so strongly the system never reaches it's target. // This means huge drawdown. After stopping out it falls in the same trap over and over. // The code below avoids this by only accepting a signal in teh opposite direction after a SL was hit. // After that all signals are taken again. Luckily this seems to happen rarely. if (OrdersTotal()>0) { myOrderType = -1; // hdb myTotal = 0; // hdb - count of relevant trades total=OrdersTotal(); for(cnt=0;cnt<total;cnt++) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber() == MagicNumber) ) // hdb - only symbol and magic { KeepStopLoss=OrderStopLoss(); AveragePrice=AveragePrice+OrderOpenPrice(); myTotal = myTotal +1; // hdb - count of relevant trades myOrderType = OrderType(); // hdb - keep order type } } AveragePrice=AveragePrice/MathMax(myTotal,1); // hdb myTotal KeepAverage=AveragePrice; Direction =0; if(myOrderType==OP_BUY) { Direction=1; } //long else { if (myOrderType==OP_SELL) Direction=2; }//short } if(KeepStopLoss!=0) { spread=MathAbs(KeepAverage-KeepStopLoss)/2; dummy=(Bid+Ask)/2; if (KeepStopLoss<(dummy+spread) && KeepStopLoss>(dummy-spread)) { // a stoploss was hit if(Direction==1) Direction=11;// no more longs if(Direction==2) Direction=22;// no more shorts } KeepStopLoss=0; } /* Trailing stop code */ if (UseTrailingStop) { p=Point(); for (cnt=0;cnt<OrdersTotal();cnt++) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if( (OrderSymbol()==Symbol()) && (OrderMagicNumber() == MagicNumber) ) { if(OrderType()==OP_BUY) { if ( Bid - OrderOpenPrice() > (TrailingStop*p) ) { slBUY=OrderStopLoss(); sl = Bid-(TrailingStop*p); if (slBUY < sl) { Print ("TSD trailstop Buy: ", Symbol(), " ", sl, ", ", Bid); OrderModify (OrderTicket(), OrderOpenPrice(), sl, OrderTakeProfit(), 0); } } // if BUY } else if(OrderType()==OP_SELL) { if (OrderOpenPrice()-Ask > (TrailingStop*p) ) { slSEL=OrderStopLoss(); sl = Ask+(TrailingStop*p); if (slSEL > sl) { Print ("TSD trailstop Sell: ", Symbol(), " ", sl, ", ", Ask); OrderModify (OrderTicket(), OrderOpenPrice(), sl, OrderTakeProfit(), 0); } } } //if SELL } // if(OrderSymbol) } // for } //if TS } //----------------------- TO DO LIST // 1st days profit target is the 30 pip line *not* 30 pips below average as usually. -----> Day() // Trailing stop -> trailing or S/R or pivot target // Realistic stop loss // Avoid overly big positions // EUR/USD 30 pips / use same value as CurrentPipStep // GBP/CHF 50 pips / use same value as CurrentPipStep // USD/CAD 35 pips / use same value as CurrentPipStep //----------------------- OBSERVATIONS // GBPUSD not suited for this system due to not reversing exhaustions. Maybe use other types of MA // EURGBP often sharp reversals-> good for trailing stops? // EURJPY deep pockets needed.
Sample
Analysis
Market Information Used:
Indicator Curves created:
Indicators Used:
Moving average indicator
Custom Indicators Used:
Order Management characteristics:
Checks for the total of open orders
It automatically opens orders when conditions are reached
It can change open orders parameters, due to possible stepping strategy
Other Features: