/*-----------------------------+ | | | Shared by www.Aptrafx.com | | | +------------------------------*/ //+-----------------------------------------------------------------------------+ //| Firebird v0.60 - 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 double Percent = 0.3; extern int TradeOnFriday =1; // >0 trades on friday extern int MAtype=1;//0=close, 1=HL extern int slip = 100;//exits only extern double Lots = 0.1; extern int TakeProfit = 30; 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 double Stopper=0; double KeepStopLoss=0; double KeepAverage; double dummy; double spread=0; double CurrentPipStep; int OrderWatcher=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; } //----------------------- int Direction=0;//1=long, 11=avoid long, 2=short, 22=avoid short if (Day()!=5 || TradeOnFriday >0) { int cnt=0, total,OpenTradesOnSymbol=0; total=OrdersTotal(); for (cnt=total;cnt>0;cnt--) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if(OrderSymbol()==Symbol()) // check for symbol { double LastPrice=OrderOpenPrice(); break; } } for(cnt=0;cnt<total;cnt++) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if (OrderType()==OP_SELL || OrderType()==OP_BUY && OrderSymbol()==Symbol() ) OpenTradesOnSymbol++; } // OrderSelect(total, SELECT_BY_POS, MODE_TRADES); ///////////////////////////////////////////////////////////////////////////////////////// // BACKTESTER FIX: DO NOT PLACE AN ORDER IF WE JUST CLOSED // AN ORDER WITHIN Period() MINUTES AGO ///////////////////////////////////////////////////////////////////////////////////////// double MagicNumber=0; 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) ) { 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; if(MAtype==0) { if((iMA(NULL,0,MA_length,0,MODE_SMA,PRICE_OPEN,0)*(1+Percent/100))<Bid && Direction!=22 && (Bid>=(LastPrice+(CurrentPipStep*Point))||OpenTradesOnSymbol==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,0,MA_length,0,MODE_SMA,PRICE_OPEN,0)*(1-Percent/100))>Ask && Direction!=11 && (Ask<=(LastPrice-(CurrentPipStep*Point))||OpenTradesOnSymbol==0)) // Go LONG -> Only buy if >= 30 pips below previous position entry // if((iMA(NULL,0,MA_length,0,MODE_SMA,PRICE_OPEN,0)*(1-Percent/100))>Ask && (Ask<=(LastPrice-( PipStep*Point))||total==0)) { OrderSend(Symbol(),OP_BUY,Lots,Ask,slip,Ask-(Stoploss*Point),Ask+(TakeProfit*Point),0,0,Blue); OrderWatcher=1; Direction=1; } } //----------------------- ENTER POSITION BASED ON HIGH/LOW if(MAtype==1) { if((iMA(NULL,0,MA_length,0,MODE_SMA,PRICE_HIGH,0)*(1+Percent/100))<Bid && Direction!=22 && (Bid>=(LastPrice+(CurrentPipStep*Point))||OpenTradesOnSymbol==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,0,MA_length,0,MODE_SMA,PRICE_LOW,0)*(1-Percent/100))>Ask && Direction!=11 && (Ask<=(LastPrice-(CurrentPipStep*Point))||OpenTradesOnSymbol==0)) // Go LONG -> Only buy if >= 30 pips below previous position entry // if((iMA(NULL,0,MA_length,0,MODE_SMA,PRICE_LOW,0)*(1-Percent/100))>Ask && (Ask<=(LastPrice-(PipStep*Point))||total==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; if(OpenTradesOnSymbol>1 && OrderWatcher==1) { for(cnt=0;cnt<total;cnt++) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if(OrderSymbol()==Symbol()) // check for symbol { AveragePrice=AveragePrice+OrderOpenPrice(); } } AveragePrice=AveragePrice/OpenTradesOnSymbol; } //----------------------- RECALCULATE STOPLOSS & PROFIT TARGET BASED ON AVERAGE OPENING PRICE total=OrdersTotal(); for(cnt=0;cnt<total;cnt++) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if(OrderType()==OP_BUY && OrderWatcher==1 && OpenTradesOnSymbol>1 && OrderSymbol()==Symbol()) // Calculate profit/stop target for long { PriceTarget=AveragePrice+(TakeProfit*Point); Stopper=AveragePrice-(((Stoploss*Point)/OpenTradesOnSymbol)); break; } if(OrderType()==OP_SELL && OrderWatcher==1 && OpenTradesOnSymbol>1 && OrderSymbol()==Symbol()) // Calculate profit/stop target for short { PriceTarget=AveragePrice-(TakeProfit*Point); Stopper=AveragePrice+(((Stoploss*Point)/OpenTradesOnSymbol)); break; } } //----------------------- IF NEEDED CHANGE ALL OPEN ORDERS TO THE NEWLY CALCULATED PROFIT TARGET if(OrderWatcher==1 && OpenTradesOnSymbol>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()) // check for symbol { OrderModify(OrderTicket(),0,Stopper,PriceTarget,0,Yellow);// set all positions to averaged levels } } } //----------------------- 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 (OpenTradesOnSymbol>0) { total=OrdersTotal(); for(cnt=0;cnt<total;cnt++) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); KeepStopLoss=OrderStopLoss(); KeepAverage=AveragePrice; if(OrderType()==OP_BUY) Direction=1;//long else Direction=2;//short break; } } 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; } } } //----------------------- 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: