/*-----------------------------+ | | | Shared by www.Aptrafx.com | | | +------------------------------*/ //+-----------------------------------------------------------------------------+ //| Firebird v0.63 - 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 // Credits fly to: // Vooch for the backtesting fix. // Hugues Du Bois for the multi currency code. // Jackie Griffin for some debugging. // Many people in the MT forum for testing and feedback // Ron added [2006 03 08 (Mar 08)] // maxDrawDown and maxOrders to track DD and number of open orders // Divergence to protect from trends //----------------------- USER INPUT extern int MA_length = 10; extern int MA_timeframe = 30; // hdb did I add this ? lol extern int MAtype = 0;//0=close, 1=HL extern double Percent = 0.1; extern int TradeOnFriday = 1; // >0 trades on friday extern int slip = 100;//exits only extern double Lots = 0.01; // modified by Renato extern int TakeProfit = 30; extern int Stoploss = 500;// total loss on all open positions in pips // modified by Renato //extern double TrailingStop = 5; // Ron added for iFXAnalyzer extern int Fast_Period=23; extern int Fast_Price = PRICE_OPEN; extern int Slow_Period=84; extern int Slow_Price = PRICE_OPEN; extern double DivergenceLimit=0.002; 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; // Ron Adds int maxDD=0; int maxOO=0; extern int DVLimit = 10; // included by Renato extern int PipsGoal = 500; // included by Renato extern int PipsLoss = 500; // included by Renato color clOpenBuy = DodgerBlue; // included by Renato color clModiBuy = DodgerBlue; // included by Renato color clCloseBuy = DodgerBlue; // included by Renato color clOpenSell = Red; // included by Renato color clModiSell = Red; // included by Renato color clCloseSell = Red; // included by Renato color clDelete = White; // included by Renato string Name_Expert = "Firebird v63D"; // included by Renato string NameFileSound = "expert.wav"; // included by Renato int MODE_DIV=0; // included by Renato int MODE_SLOPE=1; // included by Renato int MODE_ACEL=2; // included by Renato extern int GMT = 2; // InterbankFX // included by Renato extern int DST = 0; // 0=Standard 1=Daylight Saving // included by Renato extern int OpeningHour = 0; // included by Renato extern int ClosingHour = 23; // included by Renato extern int writelog = 0; int init() { LogWrite(Symbol()+",M"+Period()); } //----------------------- MAIN PROGRAM LOOP int start() { LogWrite(TimeToStr(CurTime())+" - "+"Bid="+Bid); int MagicNumber=MagicfromSymbol(); Comment(MagicNumber); switch(MagicNumber) {// included by Renato case 26910: // EURUSD,M30 // optmized 06/03/20 MA_length=18; // George's setting MA_timeframe=30; MAtype=0; Percent=0.15; // George's setting TradeOnFriday=1; slip=100; Lots=0.05; TakeProfit=30; // George's setting Stoploss=300; PipStep=5; IncreasementType=0.0; DVLimit = 8; // included by Renato OpeningHour = 6; // included by Renato ClosingHour = 14; // included by Renato break; case 25803: // GBPUSD,M30 MA_length=18; MA_timeframe=30; MAtype=0; Percent=0.25; TradeOnFriday=1; slip=100; Lots=0.05; TakeProfit=30; Stoploss=100; PipStep=5; IncreasementType=0.0; DVLimit = 8; // included by Renato OpeningHour = 7; // included by Renato ClosingHour = 15; // included by Renato break; case 26715: // EURCHF,M30 // optmized 06/03/20 MA_length=18; MA_timeframe=30; MAtype=0; Percent=0.1; TradeOnFriday=1; slip=100; Lots=0.05; TakeProfit=10; Stoploss=300; PipStep=7; IncreasementType=0.0; DVLimit = 6; // included by Renato OpeningHour = 6; // included by Renato ClosingHour = 14; // included by Renato break; /*case : // USDCHF,M30 DVLimit = 8; // included by Renato OpeningHour = 6; // included by Renato ClosingHour = 14; // included by Renato break;*/ /*case : // USDJPY,M30 DVLimit = 8; // included by Renato OpeningHour = 23; // included by Renato ClosingHour = 7; // included by Renato break;*/ /*case : // USDAUD,M30 DVLimit = 8; // included by Renato OpeningHour = 23; // included by Renato ClosingHour = 6; // included by Renato break;*/ /*default: if (!(IsTesting() || IsDemo())) Alert("This advisor is suited for the EURUSD,M30 or GBPUSD,M30 charts only"); return(0); break; */} //Comment("Percent=",Percent); // included by Renato double PriceTarget; double AveragePrice; int OpeningDay; if ( DayOfWeek()==6 && Hour()>=20 ) { Comment("weekend"); return(0); } // included by Renato if ( !(IsTesting() || IsDemo()) ) { if (LossCheck()) { Alert("excessive loss!"); PlaySound("alert.wav"); return(0); }} // included by Renato //Ron Adds double diverge; if(AccountBalance()-AccountEquity() > maxDD) maxDD=AccountBalance()-AccountEquity(); if(MyOrdersTotal()>maxOO) maxOO=OrdersTotal(); //modified by Renato diverge=divergence(Fast_Period,Slow_Period,Fast_Price,Slow_Price,0); Comment("maxDrawDown=",maxDD," maxOrdersOpen=",maxOO," Current Divergence = ",diverge); //----------------------- CALCULATE THE NEW PIPSTEP CurrentPipStep=PipStep; if(IncreasementType>0) { CurrentPipStep=MathSqrt(MyOrdersTotal())*PipStep; // modified by Renato CurrentPipStep=MathPow(MyOrdersTotal(),IncreasementType)*PipStep; // modified by Renato } LogWrite("CurrentPipStep="+CurrentPipStep); //----------------------- int Direction=0;//1=long, 11=avoid long, 2=short, 22=avoid short if (Day()!=5 || TradeOnFriday >0) { int cnt=0, total; int myTotal =0; // hdb total=OrdersTotal(); LogWrite("OrdersTotal="+OrdersTotal()); LogWrite("MyOrdersTotal="+MyOrdersTotal()); if(MyOrdersTotal()==0) OpeningDay=DayOfYear(); // modified by Renato for(cnt=0;cnt<total;cnt++) { if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber()==MagicNumber) && (OrderComment()==GetCommentForOrder()) ) // hdb - only symbol and magic // modified by Renato { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); double LastPrice=OrderOpenPrice(); myTotal = myTotal +1; // hdb - count of relevant trades } } // OrderSelect(total, SELECT_BY_POS, MODE_TRADES); // removed hdb LogWrite("LastPrice="+LastPrice); ///////////////////////////////////////////////////////////////////////////////////////// // 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) && (OrderComment()==GetCommentForOrder()) ) // hdb - only symbol and magic // modified by Renato { 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) { //----------------------- PREVIOUS OPEN PRICE OrderWatcher=0; total=OrdersTotal(); for(cnt=(total-1);cnt>=0;cnt--){ OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); // Print("ordersymbol = ", OrderSymbol(), " OrderOpenPrice= ", DoubleToStr(OrderOpenPrice(), 10)); if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber()==MagicNumber) && (OrderComment()==GetCommentForOrder()) ) // hdb - only symbol and magic // modified by Renato { LastPrice=OrderOpenPrice(); // Comment("LastPrice= ",DoubleToStr(LastPrice, 10)); // Print("cnt= ", cnt, " ordersymbol = ", OrderSymbol(), " OrderOpenPrice= ", DoubleToStr(OrderOpenPrice(), 10), " lastprice= ",DoubleToStr(LastPrice, 10 )); break; } } LogWrite("LastPrice="+LastPrice); //Print("ordersymbol = ", OrderSymbol(), " OrderOpenPrice= ", DoubleToStr(OrderOpenPrice(), 10), " lastprice= ",DoubleToStr(LastPrice, 10 )); // Ron added divergence check if(MathAbs(diverge)<=DivergenceLimit) { if ( Hour()<OpeningHour+GMT+DST || Hour()>ClosingHour+GMT+DST ) Comment("bad hours."); else { // included by Renato /*if ( (iCustom(NULL,0,"iFXAnalyser",MODE_DIV,0)>DVLimit*Point && iCustom(NULL,0,"iFXAnalyser",MODE_SLOPE,0)>0 ) || (iCustom(NULL,0,"iFXAnalyser",MODE_DIV,0)<-DVLimit*Point && iCustom(NULL,0,"iFXAnalyser",MODE_SLOPE,0)<0 ) ) { Comment("trending market!");} else {// included by Renato*/ double RVI=iRVI(NULL,0,10,MODE_MAIN,0)-iRVI(NULL,0,10,MODE_MAIN,1); // included by Renato //----------------------- ENTER POSITION BASED ON OPEN if(MAtype==0) { double myMA =iMA(NULL,MA_timeframe,MA_length,0,MODE_SMA,PRICE_OPEN,0); // Print(" Top, Bid ",myMA*(1+Percent/100)," ",Bid); // if((myMA*(1+Percent/100))<Bid) Print(" Top, Bid ",myMA*(1+Percent/100)," ",Bid); // Go SHORT -> Only sell if >= 30 pips above previous position entry if( (myMA*(1+Percent/100))<Bid && Direction!=22 && (Bid>=(LastPrice+(CurrentPipStep*Point)) || MyOrdersTotal()==0) && RVI<0 ) // modified by Renato { OrderSend(Symbol(),OP_SELL,Lots,Bid,slip,Bid+(Stoploss*Point),Bid-(TakeProfit*Point),GetCommentForOrder(),MagicNumber,0,clOpenSell); // modified by Renato OrderWatcher=1; Direction=2; } if((myMA*(1-Percent/100))>Ask && Direction!=11 && (Ask<=(LastPrice-(CurrentPipStep*Point)) || MyOrdersTotal()==0) && RVI>0 ) // Go LONG -> Only buy if >= 30 pips below previous position entry // modified by Renato { OrderSend(Symbol(),OP_BUY,Lots,Ask,slip,Ask-(Stoploss*Point),Ask+(TakeProfit*Point),GetCommentForOrder(),MagicNumber,0,clOpenBuy); // modified by Renato 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)) || MyOrdersTotal()==0)) // Go SHORT -> Only sell if >= 30 pips above previous position entry // modified by Renato { OrderSend(Symbol(),OP_SELL,Lots,Bid,slip,Bid+(Stoploss*Point),Bid-(TakeProfit*Point),GetCommentForOrder(),MagicNumber,0,clOpenSell); // modified by Renato 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)) || MyOrdersTotal()==0)) // Go LONG -> Only buy if >= 30 pips below previous position entry // modified by Renato { OrderSend(Symbol(),OP_BUY,Lots,Ask,slip,Ask-(Stoploss*Point),Ask+(TakeProfit*Point),GetCommentForOrder(),MagicNumber,0,clOpenBuy); // modified by Renato OrderWatcher=1; Direction=1; } } } // included by Renato } // included by Ron } // end of flag test //----------------------- CALCULATE AVERAGE OPENING PRICE total=OrdersTotal(); AveragePrice=0; int myOrderType = -1; // hdb myTotal = 0; // hdb - count of relevant trades if (MyOrdersTotal()>1 && OrderWatcher==1) { for(cnt=0;cnt<total;cnt++) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber()==MagicNumber) && (OrderComment()==GetCommentForOrder()) ) // hdb - only symbol and magic // modified by Renato { AveragePrice=AveragePrice+OrderOpenPrice(); // myOrderType = OrderType(); // hdb - keep order type myTotal = myTotal+1; // hdb - count of relevant trades } } AveragePrice=AveragePrice/MathMax(myTotal,1); // hdb myTotal Comment("AveragePrice: ",AveragePrice," myTotal: ",myTotal); // modified by Renato } //----------------------- 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)); } */ // Comment("AveragePrice= ", AveragePrice); //----------------------- 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) && (OrderComment()==GetCommentForOrder()) ) // hdb - only symbol and magic // modified by Renato { if(OrderType()==OP_BUY && OrderWatcher==1 && myTotal>1) // Calculate profit/stop target for long // modified by Renato { PriceTarget=AveragePrice+(TakeProfit*Point); Stopper=AveragePrice-(((Stoploss*Point)/myTotal)); } if(OrderType()==OP_SELL && OrderWatcher==1 && myTotal>1) // Calculate profit/stop target for short // modified by Renato { PriceTarget=AveragePrice-(TakeProfit*Point); Stopper=AveragePrice+(((Stoploss*Point)/myTotal)); } // 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 (MyOrdersTotal()>0) // modified by Renato { 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) && (OrderComment()==GetCommentForOrder()) ) // hdb - only symbol and magic // modified by Renato { 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; } } } // Ron added for divergence filter double divergence(int F_Period, int S_Period, int F_Price, int S_Price, int mypos) { int i; double maF1, maF2, maS1, maS2; double dv1, dv2; maF1=iMA(Symbol(),0,F_Period,0,MODE_SMA,F_Price,mypos); maS1=iMA(Symbol(),0,S_Period,0,MODE_SMA,S_Price,mypos); dv1=(maF1-maS1); maF2=iMA(Symbol(),0,F_Period,0,MODE_SMA,F_Price,mypos+1); maS2=iMA(Symbol(),0,S_Period,0,MODE_SMA,S_Price,mypos+1); dv2=((maF1-maS1)-(maF2-maS2)); return(dv1-dv2); } int MagicfromSymbol() { // included by Renato int MagicNumber=0; for (int i=0; i<5; i++) { MagicNumber=MagicNumber*3+StringGetChar(Symbol(),i); } MagicNumber=MagicNumber*3+Period(); return(MagicNumber); } void CloseTheseTrades() { // included by Renato for (int i=0; i<OrdersTotal(); i++) { if (OrderSelect(i, SELECT_BY_POS, MODE_TRADES)) { if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber()==MagicfromSymbol()) && (OrderComment()==GetCommentForOrder()) ) { if (OrderType()==OP_BUY) OrderClose(OrderTicket(),OrderLots(),Bid,GetSlippage(),clCloseBuy); if (OrderType()==OP_SELL) OrderClose(OrderTicket(),OrderLots(),Ask,GetSlippage(),clCloseSell); if (OrderType()==OP_SELLSTOP || OrderType()==OP_SELLLIMIT || OrderType()==OP_BUYSTOP || OrderType()==OP_BUYLIMIT) OrderDelete(OrderTicket()); } } } } void CloseLoosingTrades() { // included by Renato for (int i=0; i<OrdersTotal(); i++) { if (OrderSelect(i, SELECT_BY_POS, MODE_TRADES)) { if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber()==MagicfromSymbol()) && (OrderComment()==GetCommentForOrder()) ) { if (OrderType()==OP_BUY) if ( iCustom(NULL,240,"iFXAnalyser",MODE_DIV,0)<-DVLimit*Point ) OrderClose(OrderTicket(),OrderLots(),Bid,GetSlippage(),clCloseBuy); if (OrderType()==OP_SELL) if ( iCustom(NULL,240,"iFXAnalyser",MODE_DIV,0)>DVLimit*Point ) OrderClose(OrderTicket(),OrderLots(),Ask,GetSlippage(),clCloseSell); } } } } bool GoalCheck() { // included by Renato int handle = FileOpen(LogFileName(),FILE_CSV|FILE_READ,";"); if (handle>0) { int lsteqty = FileReadNumber(handle); FileClose(handle); } else lsteqty = 0; if (lsteqty==0) { handle = FileOpen(LogFileName(),FILE_CSV|FILE_WRITE,";"); FileWrite(handle,AccountEquity()); FileClose(handle); } else if (AccountEquity()-lsteqty>=PipsGoal*GetSizeLot()) return(True); else return(False); } bool LossCheck() { // included by Renato int handle = FileOpen(LogFileName(),FILE_CSV|FILE_READ,";"); if (handle>0) { int lsteqty = FileReadNumber(handle); FileClose(handle); } else lsteqty = 0; if (lsteqty==0) { handle = FileOpen(LogFileName(),FILE_CSV|FILE_WRITE,";"); FileWrite(handle,AccountEquity()); FileClose(handle); } if (lsteqty-AccountEquity()>=PipsLoss*GetSizeLot()) return(True); else return(False); } string LogFileName() { // included by Renato string stryear = DoubleToStr(Year(),0); string strmonth = DoubleToStr(Month(),0); if (StringLen(strmonth)<2) strmonth = "0"+strmonth; string strday = DoubleToStr(Day(),0); if (StringLen(strday)<2) strday = "0"+strday; return(stryear+strmonth+strday+".log"); } void LogWrite(string content) { if (writelog==1) { int handle = FileOpen(Name_Expert+".log",FILE_CSV|FILE_WRITE,";"); FileSeek(handle,0,SEEK_END); FileWrite(handle,content); FileFlush(handle); FileClose(handle); } } int MyOrdersTotal() { // included by Renato int Mytotal=0; for (int i=0; i<OrdersTotal(); i++) { if (OrderSelect(i, SELECT_BY_POS, MODE_TRADES)) if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber()==MagicfromSymbol()) && (OrderComment()==GetCommentForOrder()) ) Mytotal++; } return(Mytotal); } string GetCommentForOrder() { return(Name_Expert); } // included by Renato double GetSizeLot() { return(Lots);} // included by Renato double GetSlippage() { return((Ask-Bid)/Point); } // included by Renato //----------------------- 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:
Relative Vigor index
Moving average indicator
Custom Indicators Used:
iFXAnalyser
Order Management characteristics:
Checks for the total of open orders
It automatically opens orders when conditions are reached
It Closes Orders by itself
Other Features:
It issuies visual alerts to the screen
It plays sound alerts
Uses files from the file system
It reads information from a file
It writes information to file