/*-----------------------------+
| |
| Shared by www.Aptrafx.com |
| |
+------------------------------*/
//+------------------------------------------------------------------+
//| TSD_MR_Trade_OsMA_WPR_0_30.mq4 |
//| Copyright ® 2005 Mindaugas |
//| TSD Trade version 0.30 |
//| |
//| o TSD idea and realization by Bob O'Brien / Barcode |
//| o TSD rewritten to MQL4 and enhanced by Mindaugas |
//| o Enhanced comments by Mike aka FxMt |
//| o Trailing Stop based on ATR by Loren Gordon |
//+------------------------------------------------------------------+
#property copyright "Copyright ® 2005 Mindaugas"
#include <stdlib.mqh>
#define DIRECTION_MACD 1
#define DIRECTION_OSMA 2
#define FILTER_WPR 1
#define FILTER_FORCE 2
// Whether to put new orders or only track old ones
extern bool NewTrades = true;
// Modify expert's behaviour for backtesting purposes
bool BackTesting = false;
// which indicators to use
int DirectionMode = DIRECTION_OSMA, FilterMode = FILTER_WPR;
// trading periods
int PeriodDirection = PERIOD_W1, PeriodTrade = PERIOD_D1, PeriodTrailing = PERIOD_H4, CandlesTrailing = 3;
// currency pairs to trade
string pairs[] = { "AUDUSD", "EURCHF", "EURGBP", "EURJPY", "EURUSD", "GBPCHF", "GBPJPY", "GBPUSD",
"USDCAD", "USDCHF", "USDJPY" };
// parameters for MACD and OsMA
int DirectionFastEMA = 12, DirectionSlowEMA = 26, DirectionSignal = 9;
// parameters for iWPR and iForce indicators
int WilliamsP = 24, WilliamsL = -75, WilliamsH = -25;
int ForceP = 2;
int MagicNumber = 2005072001;
bool TrailingStop = true;
int TakeProfit = 100, Slippage = 5;
// MM parameters
double Risk = 0.00, Lots = 0.1, MinimalLot = 0.1;
int LotDigits = 1, LotSize = 100000;
string TradeSymbol, CommentHeader, CommentsPairs[];
int Pair = -1, SDigits;
double Spread, SPoint, STS, StopLevel;
datetime LastTrade = 0;
//+------------------------------------------------------------------+
int init() {
string DirInd, FilterInd;
if ( BackTesting ) { if ( ArrayResize(pairs,1) != 0 ) pairs[0] = Symbol(); }
else {
ArrayCopy (CommentsPairs, pairs);
if ( DirectionMode == DIRECTION_MACD ) DirInd = "MACD";
else if ( DirectionMode == DIRECTION_OSMA ) DirInd = "OsMA";
if ( FilterMode == FILTER_WPR ) FilterInd = "WPR("+WilliamsP+","+WilliamsL+","+WilliamsH+")";
else if ( FilterMode == FILTER_FORCE ) FilterInd = "Force("+ForceP+")";
CommentHeader = ("\nTSD Trade P("+PeriodDirection+","+PeriodTrade+","+PeriodTrailing+","+CandlesTrailing+")"+
" "+DirInd+"("+DirectionFastEMA+","+DirectionSlowEMA+","+DirectionSignal+")"+
" "+FilterInd+"\n");
}
return(0);
}
//+------------------------------------------------------------------+
int deinit() { return(0); }
//+------------------------------------------------------------------+
int start() {
int TradesThisSymbol, Direction;
int i, ticket;
bool okSell, okBuy;
double PriceOpen, Buy_Sl, Buy_Tp, LotMM;
string ValueComment;
Pair = (Pair+1) % ArraySize(pairs);
TradeSymbol = pairs[Pair];
if ( MarketInfo (TradeSymbol, MODE_SPREAD) < 1 ) {
Alert ("No data for the pair: ", TradeSymbol, ". Please review and fix pairs variable.");
return(0);
}
TradesThisSymbol = TotalTradesThisSymbol (TradeSymbol);
SPoint = MarketInfo (TradeSymbol, MODE_POINT);
Spread = MarketInfo (TradeSymbol, MODE_SPREAD) * SPoint;
SDigits = MarketInfo (TradeSymbol, MODE_DIGITS);
StopLevel = MarketInfo (TradeSymbol, MODE_STOPLEVEL) * SPoint + 1*SPoint;
STS = iATR (TradeSymbol, PeriodTrailing, PeriodDirection*3/PeriodTrailing, 1) + Spread + 1*SPoint;
Direction = Direction (TradeSymbol, PeriodDirection, DirectionMode);
ValueComment = Filter(TradeSymbol, PeriodTrade, FilterMode, okBuy, okSell);
CommentAll (Direction, ValueComment);
if ( ! IsTradeAllowed() ) return(0);
///////////////////////////////////////////////////////////////////////////////
// Place new orders and modify pending ones only on the beginning of new bar
///////////////////////////////////////////////////////////////////////////////
if ( NewBar() ) {
/////////////////////////////////////////////////
// Place new order
/////////////////////////////////////////////////
if ( TradesThisSymbol < 1 && NewTrades ) {
ticket = 0;
LotMM = CalcMM_TSDTrade (Direction);
if ( LotMM < 0 ) return(0);
if ( Direction == 1 && okBuy ) {
MarkTrade();
Print ("TSD BuyStop: ", TradeSymbol, " ", LotMM, " ", CalcOpenBuy(), " ", CalcSlBuy(), " ", CalcTpBuy(),
", ", MarketInfo(TradeSymbol, MODE_ASK), " ", ValueComment);
ticket = OrderSend (TradeSymbol, OP_BUYSTOP, LotMM, CalcOpenBuy(), Slippage, CalcSlBuy(), CalcTpBuy(),
"TSD BuyStop", MagicNumber, 0);
}
if ( Direction == -1 && okSell ) {
MarkTrade();
Print ("TSD SellStop: ", TradeSymbol, " ", LotMM, " ", CalcOpenSell(), " ", CalcSlSell(), " ", CalcTpSell(),
", ", MarketInfo(TradeSymbol, MODE_BID), " ", ValueComment);
ticket = OrderSend (TradeSymbol, OP_SELLSTOP, LotMM, CalcOpenSell(), Slippage, CalcSlSell(), CalcTpSell(),
"TSD SellStop", MagicNumber, 0);
}
if ( ticket == -1 ) ReportError ();
if ( ticket != 0 ) return(0);
} // End of TradesThisSymbol < 1 && NewTrades
/////////////////////////////////////////////////
// Pending Order Management
/////////////////////////////////////////////////
for (i = 0; i < OrdersTotal(); i++) {
if ( OrderSelect (i, SELECT_BY_POS) == false ) continue;
if ( OrderSymbol() != TradeSymbol || OrderMagicNumber() != MagicNumber) continue;
if ( OrderType () == OP_BUYSTOP ) {
if ( Direction != 1 ) {
MarkTrade();
OrderDelete ( OrderTicket() );
return(0);
}
if ( ComparePrices (CalcOpenBuy(), OrderOpenPrice()) != 0 ||
ComparePrices (CalcSlBuy(), OrderStopLoss()) != 0 ) {
MarkTrade();
Print ("TSD modify BuyStop: ", TradeSymbol, " ", CalcOpenBuy(), " ", CalcSlBuy(), " ", CalcTpBuy(),
", ", MarketInfo(TradeSymbol, MODE_ASK));
OrderModify (OrderTicket(), CalcOpenBuy(), CalcSlBuy(), CalcTpBuy(), 0);
return(0);
}
}
if ( OrderType () == OP_SELLSTOP ) {
if ( Direction != -1 ) {
MarkTrade();
OrderDelete ( OrderTicket() );
return(0);
}
if ( ComparePrices (CalcOpenSell(), OrderOpenPrice()) != 0 ||
ComparePrices (CalcSlSell(), OrderStopLoss()) != 0 ) {
MarkTrade();
Print ("TSD modify SellStop: ", TradeSymbol, " ", CalcOpenSell(), " ", CalcSlSell(), " ", CalcTpSell(),
", ", MarketInfo(TradeSymbol, MODE_BID));
OrderModify (OrderTicket(), CalcOpenSell(), CalcSlSell(), CalcTpSell(), 0);
return(0);
}
}
} // End of Pending Order Management
} // End of NewBar()
/////////////////////////////////////////////////
// Stop Loss Management
/////////////////////////////////////////////////
if ( TrailingStop ) {
for (i = 0; i < OrdersTotal(); i++) {
if ( OrderSelect (i, SELECT_BY_POS) == false ) continue;
if ( OrderSymbol() != TradeSymbol || OrderMagicNumber() != MagicNumber) continue;
if ( TrailStop (i, STS) ) return(0);
}
}
return(0);
}
//+------------------------------------------------------------------+
double CalcOpenBuy () { return (MathMax (iHigh(TradeSymbol, PeriodTrade, 1) + 1*SPoint + Spread,
MarketInfo(TradeSymbol, MODE_ASK) + StopLevel)); }
double CalcOpenSell () { return (MathMin (iLow(TradeSymbol, PeriodTrade, 1) - 1*SPoint,
MarketInfo(TradeSymbol, MODE_BID) - StopLevel)); }
double CalcSlBuy () { return (iLow (TradeSymbol, PeriodTrade, 1) - 1*SPoint); }
double CalcSlSell () { return (iHigh(TradeSymbol, PeriodTrade, 1) + 1*SPoint + Spread); }
double CalcTpBuy () {
double PriceOpen = CalcOpenBuy(), SL = CalcSlBuy();
if ( TakeProfit == 0 ) return(0);
return (PriceOpen + MathMax(TakeProfit*SPoint, (PriceOpen - SL)*2));
}
double CalcTpSell () {
double PriceOpen = CalcOpenSell(), SL = CalcSlSell();
if ( TakeProfit == 0 ) return(0);
return (PriceOpen - MathMax(TakeProfit*SPoint, (SL - PriceOpen)*2));
}
//+------------------------------------------------------------------+
bool TrailStop (int i, double TrailingStop) {
double StopLoss;
if ( OrderType() == OP_BUY ) {
if ( MarketInfo (TradeSymbol, MODE_BID) < OrderOpenPrice()+TrailingStop ) return(false);
StopLoss = iLow(TradeSymbol, PeriodTrailing, Lowest (TradeSymbol, PeriodTrailing, MODE_LOW, CandlesTrailing+1, 0)) - 1*SPoint;
StopLoss = MathMin (MarketInfo (TradeSymbol, MODE_BID)-TrailingStop, StopLoss);
if ( ComparePrices (StopLoss, OrderStopLoss() + 2*SPoint) == 1 ) {
MarkTrade();
Print ("TSD trailstop Buy: ", TradeSymbol, " ", StopLoss, ", ", MarketInfo(TradeSymbol, MODE_ASK));
OrderModify (OrderTicket(), OrderOpenPrice(), StopLoss, OrderTakeProfit(), 0);
return(true);
}
}
if ( OrderType() == OP_SELL ) {
if ( MarketInfo (TradeSymbol, MODE_ASK) > OrderOpenPrice()-TrailingStop ) return(false);
StopLoss = iHigh(TradeSymbol, PeriodTrailing, Highest (TradeSymbol, PeriodTrailing, MODE_HIGH, CandlesTrailing+1, 0)) + 1*SPoint
+ Spread;
StopLoss = MathMax (MarketInfo (TradeSymbol, MODE_ASK)+TrailingStop, StopLoss);
if ( ComparePrices (StopLoss, OrderStopLoss() - 2*SPoint) == -1 ) {
MarkTrade();
Print ("TSD trailstop Sell: ", TradeSymbol, " ", StopLoss, ", ", MarketInfo(TradeSymbol, MODE_BID));
OrderModify (OrderTicket(), OrderOpenPrice(), StopLoss, OrderTakeProfit(), 0);
return(true);
}
}
return(false);
}
//+------------------------------------------------------------------+
int Direction (string TradeSymbol, int PeriodDirection, int Mode) {
double Previous, Previous2;
if (Mode == DIRECTION_MACD ) {
Previous = iMACD (TradeSymbol, PeriodDirection, DirectionFastEMA, DirectionSlowEMA, DirectionSignal,
PRICE_CLOSE, MODE_MAIN, 1);
Previous2 = iMACD (TradeSymbol, PeriodDirection, DirectionFastEMA, DirectionSlowEMA, DirectionSignal,
PRICE_CLOSE, MODE_MAIN, 2);
}
else if (Mode == DIRECTION_OSMA) {
Previous = iOsMA (TradeSymbol, PeriodDirection, DirectionFastEMA, DirectionSlowEMA, DirectionSignal,
PRICE_CLOSE, 1);
Previous2 = iOsMA (TradeSymbol, PeriodDirection, DirectionFastEMA, DirectionSlowEMA, DirectionSignal,
PRICE_CLOSE, 2);
}
if ( Previous > Previous2 )
return(1);
if ( Previous < Previous2 )
return(-1);
return(0);
}
//+------------------------------------------------------------------+
string Filter (string TradeSymbol, int PeriodTrade, int Mode, bool &okBuy, bool &okSell) {
double Value;
okBuy = false; okSell = false;
if (Mode == FILTER_WPR) {
Value = iWPR(TradeSymbol, PeriodTrade, WilliamsP, 1);
if (Value < WilliamsH) okBuy = true;
if (Value > WilliamsL) okSell = true;
return ("iWPR: " + DoubleToStr(Value, 2));
}
else if (Mode == FILTER_FORCE) {
Value = iForce (TradeSymbol, PeriodTrade, ForceP, MODE_EMA, PRICE_CLOSE, 1);
if (Value < 0) okBuy = true;
if (Value > 0) okSell = true;
return ("iForce: " + DoubleToStr(Value, 2));
}
}
//+------------------------------------------------------------------+
double CalcMM_TSDTrade (int Direction) {
if ( Direction == 1 )
return ( CalcMM (TradeSymbol, (CalcOpenBuy()-CalcSlBuy())/SPoint) );
else if ( Direction == -1 )
return ( CalcMM (TradeSymbol, (CalcSlSell()-CalcOpenSell())/SPoint) );
}
//+------------------------------------------------------------------+
double CalcMM (string TradeSymbol, int StopLoss) {
double LotsMM = Lots;
if ( Risk > 0 )
LotsMM = MathMax ( MinimalLot, AccountBalance() * Risk / (StopLoss * PipCost(TradeSymbol)) );
if ( AccountFreeMargin() < LotsMM * LotSize/AccountLeverage() ) {
Alert("Not enough money to open trade. Free Margin = ", AccountFreeMargin(),
". Number of Lots in trade = ", LotsMM);
return(-1);
}
return (NormalizeDouble (LotsMM, LotDigits));
}
//+------------------------------------------------------------------+
double PipCost (string TradeSymbol) {
double Cost;
if ( TradeSymbol == "AUDUSD" ) Cost = 20;
else if ( TradeSymbol == "EURCHF" ) Cost = 10/ MarketInfo("USDCHF",MODE_BID);
else if ( TradeSymbol == "EURGBP" ) Cost = 10/ MarketInfo("GBPUSD",MODE_BID);
else if ( TradeSymbol == "EURJPY" ) Cost = 1000/MarketInfo("USDJPY",MODE_BID);
else if ( TradeSymbol == "EURUSD" ) Cost = 10;
else if ( TradeSymbol == "GBPCHF" ) Cost = PipCost("GBPUSD") / MarketInfo("USDCHF",MODE_BID);
else if ( TradeSymbol == "GBPJPY" ) Cost = PipCost("GBPUSD")*100 / MarketInfo("USDJPY",MODE_BID);
else if ( TradeSymbol == "GBPUSD" ) Cost = 7;
else if ( TradeSymbol == "USDCAD" ) Cost = 10/ MarketInfo("USDCAD",MODE_BID);
else if ( TradeSymbol == "USDCHF" ) Cost = 10/ MarketInfo("USDCHF",MODE_BID);
else if ( TradeSymbol == "USDJPY" ) Cost = 1000/MarketInfo("USDJPY",MODE_BID);
else Cost = 10;
return(Cost);
}
//+------------------------------------------------------------------+
int TotalTradesThisSymbol (string TradeSymbol) {
int i, TradesThisSymbol = 0;
for (i = 0; i < OrdersTotal(); i++)
if ( OrderSelect (i, SELECT_BY_POS) )
if ( OrderSymbol() == TradeSymbol && OrderMagicNumber() == MagicNumber )
TradesThisSymbol++;
return (TradesThisSymbol);
}
//+------------------------------------------------------------------+
void ReportError () {
int err = GetLastError();
Print("Error(",err,"): ", ErrorDescription(err));
}
//+------------------------------------------------------------------+
void MarkTrade () {
LastTrade = CurTime();
}
//+------------------------------------------------------------------+
int ComparePrices (double Price1, double Price2) {
double p1 = NormalizeDouble (Price1, SDigits), p2 = NormalizeDouble (Price2, SDigits);
if ( p1 > p2 ) return(1);
if ( p1 < p2 ) return(-1);
return(0);
}
//+------------------------------------------------------------------+
bool NewBar () {
static datetime PairTime[0];
static int PairNewBar[0];
if ( ArraySize(PairTime) != ArraySize(pairs) ) {
ArrayResize (PairTime, ArraySize(pairs) ); ArrayInitialize (PairTime, 0);
ArrayResize (PairNewBar, ArraySize(pairs) ); ArrayInitialize (PairNewBar, 0);
}
if ( PairNewBar[Pair] < 2 ) {
PairNewBar[Pair]++;
return(true);
}
if ( PairTime[Pair] != iTime (TradeSymbol, PeriodTrade, 0 ) ) {
PairTime[Pair] = iTime (TradeSymbol, PeriodTrade, 0 );
PairNewBar[Pair] = 0;
}
return(false);
}
//+------------------------------------------------------------------+
void CommentAll (int Direction, string ValueComment) {
string Comments = "";
int i, next = (Pair+1) % ArraySize(pairs);
CommentsPairs[Pair] = TradeSymbol + ": " + " Dir("+Direction+") " + ValueComment +
" TS(" + DoubleToStr (STS/SPoint, 0) + ")";
CommentsPairs[next] = ">" + CommentsPairs[next];
for (i=0; i < ArraySize(CommentsPairs); i++)
Comments = Comments + "\n" + CommentsPairs[i];
Comment (CommentHeader, Comments);
}
Sample
Analysis
Market Information Used:
Series array that contains the highest prices of each bar
Series array that contains the lowest prices of each bar
Series array that contains open time of each bar
Indicator Curves created:
Indicators Used:
Larry William percent range indicator
Custom Indicators Used:
Order Management characteristics:
Checks for the total of open orders
Other Features:
It issuies visual alerts to the screen