//+-----------------------------------------------------------------------------+ //| Firebird v0.63H03 - 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 // Swissly modified Timeframe for SafeArea to originally planned 15M //----------------------- USER INPUT extern int MA_length = 10; extern int MA_timeframe = 15; // hdb did I add this ? lol extern int MAtype = 0; //0=close, 1=HL extern double Percent = 0.05; extern int TradeOnFriday = 1; // >0 trades on friday extern int slip = 100; //exits only extern double Lots = 0.2; // modified by Renato extern int TakeProfit = 18; extern int Stoploss = 42; // total loss on all open positions in pips // modified by Renato extern double TrailingStop = 30; extern int MaxOpenOrders = 10; extern double MinMarginLevel = 250; // Below this Minimum Margin Level percent % trading stops extern int TradeFrom1 = 0; // Place trades "From" - "Until" extern int TradeUntil1 = 24; extern int TradeFrom2 = 0; extern int TradeUntil2 = 0; extern int TradeFrom3 = 0; extern int TradeUntil3 = 10; extern int TradeFrom4 = 0; extern int TradeUntil4 = 0; extern double SafeArea = 40; // 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 bool Use_V63D_Divergence = false; // 0 - Use original method for divergence, 1 - use in iFXAnalyzer extern int PipStep = 40; //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 DVLimit = 10; // included by Renato extern int PipsGoal = 500; // included by Renato extern int PipsLoss = 500; // included by Renato extern int GMT = 0; // InterbankFX // included by Renato Changed back to 0 by MrPip extern int DST = 0; // 0=Standard 1=Daylight Saving // included by Renato extern int OpeningHour = 0; // included by Renato extern int ClosingHour = 24; // included by Renato extern int writelog = 0; 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; 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 v63H03"; // 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 // MrPip adds int MagicNumber; // Made a global variable to aid in modularizing expert code int Direction; //1=long, 11=avoid long, 2=short, 22=avoid short double LastPrice; double PriceTarget; double AveragePrice; //----------------------- INITIALISATION ROUTINE int init() { LogWrite(Symbol()+",M"+Period()); } //----------------------- MAIN PROGRAM LOOP int start() { int flag, retval, total, myTotal; LogWrite(TimeToStr(CurTime())+" - "+"Bid="+Bid); MagicNumber=MagicfromSymbol(); 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 Print("Account equity = ",AccountEquity()); //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); //----------------------- 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); //----------------------- Direction=0; //1=long, 11=avoid long, 2=short, 22=avoid short if (Day()!=5 || TradeOnFriday >0) { total=OrdersTotal(); myTotal = MyOrdersTotal(); LogWrite("OrdersTotal="+total); LogWrite("MyOrdersTotal="+myTotal); if(myTotal==0) OpeningDay=DayOfYear(); // modified by Renato if (myTotal > 0) LastPrice = GetPreviousOpenPrice(); else LogWrite("LastPrice="+LastPrice); flag = CheckJustClosedOrder(); if(flag!=1) { //----------------------- PREVIOUS OPEN PRICE OrderWatcher=0; LastPrice = GetPreviousOpenPrice(); LogWrite("LastPrice="+LastPrice); // Ron added divergence check if(MathAbs(diverge)<=DivergenceLimit) { if ( Hour()<OpeningHour+GMT+DST || Hour()>ClosingHour+GMT+DST ) Comment("bad hours."); else { // included by Renato //----------------------- ENTER POSITION BASED ON OPEN if(MAtype==0) { retval = EnterPositionBasedOnOpen(); if (retval == 1) // Opened Short position { OrderWatcher=1; Direction=2; } if (retval == 2) // Opened Long Position { OrderWatcher=1; Direction=1; } } // end of MAtype==0 //----------------------- ENTER POSITION BASED ON HIGH/LOW if(MAtype==1) { retval = EnterPositionBasedOnHL(); if (retval == 1) { OrderWatcher=1; Direction=2; } if (retval == 2) { OrderWatcher=1; Direction=1; } } // end of MAtype==1 } // end of Trading hours ok included by Renato } // end of Divergence < limit included by Ron } // end of flag test //----------------------- CALCULATE AVERAGE OPENING PRICE myTotal = MyOrdersTotal(); if (myTotal>0 && OrderWatcher==1) { AveragePrice = CalculateAverageOpeningPrice(myTotal); Comment("AveragePrice: ",AveragePrice," myTotal: ",myTotal); // modified by Renato } if(OrderWatcher==1 && myTotal>1) // check if average has really changed { ChangeOpenOrders(false, myTotal, AveragePrice); } //----------------------- KEEP TRACK OF STOPLOSS TO AVOID RUNAWAY MARKETS if (myTotal > 0) KeepTrackOfStopLoss(AveragePrice); } // end of Trading days } // end of main program loop //----------------------- SUB PROGRAMS AND FUNCTIONS double GetPreviousOpenPrice() { int cnt; double LstPrice; for(cnt=OrdersTotal()-1;cnt>=0;cnt--){ OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber()==MagicNumber) && (OrderComment()==GetCommentForOrder()) ) // hdb - only symbol and magic // modified by Renato { LstPrice=OrderOpenPrice(); break; } } return(LstPrice); } // end of GetPreviousOpenPrice ///////////////////////////////////////////////////////////////////////////////////////// // BACKTESTER FIX: DO NOT PLACE AN ORDER IF WE JUST CLOSED // AN ORDER WITHIN Period() MINUTES AGO ///////////////////////////////////////////////////////////////////////////////////////// int CheckJustClosedOrder() { int cnt; 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; } } } } return(flag); } // end of CheckJustClosedOrder //----------------------- ENTER POSITION BASED ON OPEN int EnterPositionBasedOnOpen() { int ret; bool dealok=false; bool dealsave; int h=TimeHour(LocalTime()); int m=TimeMinute(LocalTime()); double myMA = iMA(NULL,MA_timeframe,MA_length,0,MODE_SMA,PRICE_OPEN,0); double RVI = iRVI(NULL,0,10,MODE_MAIN,0)-iRVI(NULL,0,10,MODE_MAIN,1); // included by Renato double Safe1 = iBullsPower(NULL,PERIOD_M15,20,6,0)+iBearsPower(NULL,PERIOD_M15,20,6,0); // modified by Swissly if(Point==0.01) Safe1=Safe1*100; if(Point==0.0001) Safe1=Safe1*10000; dealsave = ((Safe1>-SafeArea) && (Safe1<SafeArea)); if(MyOrdersTotal()<MaxOpenOrders && AccountEquity()/(AccountMargin()+0.0001)>(MinMarginLevel/100)) { if(((h >= TradeFrom1) && (h <= (TradeUntil1-1)))||((h >= TradeFrom2) && (h <= (TradeUntil2-1)))||((h >= TradeFrom3) && (h <= (TradeUntil3-1)))||((h >= TradeFrom4) && (h <= (TradeUntil4-1)))) { if(dealsave) { Comment("== Trades enabled ==","== Safe to trade =="); dealok=true; } else Comment("== Trades enabled ==","== Not safe to trade =="); } else Comment("== Trades disabled =="); // 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 && dealok) // modified by Renato { OrderSend(Symbol(),OP_SELL,Lots,Bid,slip,Bid+(Stoploss*Point),Bid-(TakeProfit*Point),GetCommentForOrder(),MagicNumber,0,clOpenSell); // modified by Renato ret = 1; } // Go LONG -> Only buy if >= 30 pips below previous position entry if((myMA*(1-Percent/100))>Ask && Direction!=11 && (Ask<=(LastPrice-(CurrentPipStep*Point)) || MyOrdersTotal()==0) && RVI>0 && dealok) // modified by Renato { OrderSend(Symbol(),OP_BUY,Lots,Ask,slip,Ask-(Stoploss*Point),Ask+(TakeProfit*Point),GetCommentForOrder(),MagicNumber,0,clOpenBuy); // modified by Renato ret = 2; } //=============== TRAILING STOP ROUTINE int cnt, total; total=OrdersTotal(); for(cnt=0;cnt<total;cnt++) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber()==MagicNumber) && (OrderComment()==GetCommentForOrder()) ) { if(OrderType() == OP_BUY) { if(TrailingStop > 0) { if((Bid-OrderOpenPrice()) > (Point*TrailingStop)) { if((OrderStopLoss()) < (Bid-Point*TrailingStop)) { OrderModify(OrderTicket(),OrderOpenPrice(),Bid-(Point*5),OrderTakeProfit(),0,GreenYellow); return(0); } } } } if(OrderType() == OP_SELL) { if(TrailingStop > 0) { if(OrderOpenPrice()-Ask>Point*TrailingStop) { if(OrderStopLoss()>Ask+Point*TrailingStop) { OrderModify(OrderTicket(),OrderOpenPrice(),Ask+(Point*5),OrderTakeProfit(),0,Red); return(0); } } } } } } return(ret); } } // end of EnterPositionBasedOnOpen //----------------------- ENTER POSITION BASED ON HIGH/LOW int EnterPositionBasedOnHL() { if(MyOrdersTotal()<MaxOpenOrders && AccountEquity()/(AccountMargin()+0.0001)>(MinMarginLevel/100)) { int ret; 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 ret = 1; } 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 ret = 2; } return(ret); } } // end of EnterPositionBasedOnHL //----------------------- CALCULATE AVERAGE OPENING PRICE double CalculateAverageOpeningPrice(int myTot) { int cnt; double AvePrice; AvePrice=0; for(cnt=OrdersTotal() - 1;cnt>=0;cnt--) { OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); if ( (OrderSymbol()==Symbol()) && (OrderMagicNumber()==MagicNumber) && (OrderComment()==GetCommentForOrder()) ) // hdb - only symbol and magic // modified by Renato AvePrice=AvePrice+OrderOpenPrice(); } AvePrice=AvePrice/MathMax(myTot,1); // hdb myTotal return(AvePrice); } // end of CalculateAverageOpeningPrice //----------------------- RECALCULATE STOPLOSS & PROFIT TARGET BASED ON AVERAGE OPENING PRICE //----------------------- IF NEEDED CHANGE ALL OPEN ORDERS TO THE NEWLY CALCULATED PROFIT TARGET void ChangeOpenOrders(bool ChangeIt, int myTot, double AvePrice) { int cnt, total; 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 ) // Calculate profit/stop target for long // modified by Renato { PriceTarget=AvePrice+(TakeProfit*Point); Stopper=AvePrice-(((Stoploss*Point)/myTot)); } if(OrderType()==OP_SELL ) // Calculate profit/stop target for short // modified by Renato { PriceTarget=AvePrice-(TakeProfit*Point); Stopper=AvePrice+(((Stoploss*Point)/myTot)); } if (ChangeIt) OrderModify(OrderTicket(),0,Stopper,PriceTarget,0,Yellow);//set all positions to averaged levels } } } // end of ChangeOpenOrders //----------------------- 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. void KeepTrackOfStopLoss(double AvePrice) { int myOrderType, total, cnt; myOrderType = -1; // hdb 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(); myOrderType = OrderType(); // hdb - keep order type } } KeepAverage=AvePrice; 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; } } // end of KeepTrackOfStopLoss 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); } // end of MagicfromSymbol // 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); if (Use_V63D_Divergence) { dv2=((maF1-maS1)-(maF2-maS2)); } else { dv2=maF2-maS2; } return(dv1-dv2); } // end of divergence 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); } // end of LossCheck 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"); } // end of LogFileName 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); } } // end of LogWrite 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); } // end of MyOrdersTotal string GetCommentForOrder() { return(Name_Expert); } // included by Renato double GetSizeLot() { return(Lots);} // 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:
Moving average indicator
Relative Vigor index
Bears Power indicator
Bulls Power 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:
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