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Stg_Oscillator_Cross_Zero.mqh
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Stg_Oscillator_Cross_Zero.mqh
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/**
* @file
* Implements Oscillator Cross Zero strategy based on selected oscillator-type zero-crossable indicators.
*/
// Enums.
enum ENUM_STG_OSCILLATOR_CROSS_ZERO_TYPE {
STG_OSCILLATOR_CROSS_ZERO_TYPE_0_NONE = 0, // (None)
STG_OSCILLATOR_CROSS_ZERO_TYPE_MACD, // MACD
STG_OSCILLATOR_CROSS_ZERO_TYPE_RVI, // RVI: Relative Vigor Index
};
// User input params.
INPUT_GROUP("Oscillator Cross Zero strategy: main strategy params");
INPUT ENUM_STG_OSCILLATOR_CROSS_ZERO_TYPE Oscillator_Cross_Zero_Type =
STG_OSCILLATOR_CROSS_ZERO_TYPE_RVI; // Oscillator type
INPUT_GROUP("Oscillator Cross Zero strategy: strategy params");
INPUT float Oscillator_Cross_Zero_LotSize = 0; // Lot size
INPUT int Oscillator_Cross_Zero_SignalOpenMethod = 0; // Signal open method
INPUT float Oscillator_Cross_Zero_SignalOpenLevel = 0.1f; // Signal open level
INPUT int Oscillator_Cross_Zero_SignalOpenFilterMethod = 32; // Signal open filter method
INPUT int Oscillator_Cross_Zero_SignalOpenFilterTime = 3; // Signal open filter time (0-31)
INPUT int Oscillator_Cross_Zero_SignalOpenBoostMethod = 0; // Signal open boost method
INPUT int Oscillator_Cross_Zero_SignalCloseMethod = 0; // Signal close method
INPUT int Oscillator_Cross_Zero_SignalCloseFilter = 32; // Signal close filter (-127-127)
INPUT float Oscillator_Cross_Zero_SignalCloseLevel = 0.1f; // Signal close level
INPUT int Oscillator_Cross_Zero_PriceStopMethod = 0; // Price limit method
INPUT float Oscillator_Cross_Zero_PriceStopLevel = 2; // Price limit level
INPUT int Oscillator_Cross_Zero_TickFilterMethod = 32; // Tick filter method (0-255)
INPUT float Oscillator_Cross_Zero_MaxSpread = 4.0; // Max spread to trade (in pips)
INPUT short Oscillator_Cross_Zero_Shift = 0; // Shift
INPUT float Oscillator_Cross_Zero_OrderCloseLoss = 80; // Order close loss
INPUT float Oscillator_Cross_Zero_OrderCloseProfit = 80; // Order close profit
INPUT int Oscillator_Cross_Zero_OrderCloseTime = -30; // Order close time in mins (>0) or bars (<0)
INPUT_GROUP("Oscillator strategy: MACD indicator params");
INPUT ENUM_SIGNAL_LINE Oscillator_Cross_Zero_Indi_MACD_Line_Signal = LINE_SIGNAL; // Signal line
INPUT int Oscillator_Cross_Zero_Indi_MACD_Period_Fast = 6; // Period Fast
INPUT int Oscillator_Cross_Zero_Indi_MACD_Period_Slow = 34; // Period Slow
INPUT int Oscillator_Cross_Zero_Indi_MACD_Period_Signal = 10; // Period Signal
INPUT ENUM_APPLIED_PRICE Oscillator_Cross_Zero_Indi_MACD_Applied_Price = PRICE_OPEN; // Applied Price
INPUT int Oscillator_Cross_Zero_Indi_MACD_Shift = 0; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE Oscillator_Cross_Zero_Indi_MACD_SourceType = IDATA_BUILTIN; // Source type
INPUT_GROUP("Oscillator strategy: RVI indicator params");
INPUT ENUM_SIGNAL_LINE Oscillator_Cross_Zero_Indi_RVI_Line_Signal = LINE_SIGNAL; // Fast line
INPUT unsigned int Oscillator_Cross_Zero_Indi_RVI_Period = 12; // Averaging period
INPUT int Oscillator_Cross_Zero_Indi_RVI_Shift = 0; // Shift
INPUT ENUM_IDATA_SOURCE_TYPE Oscillator_Cross_Zero_Indi_RVI_SourceType = IDATA_BUILTIN; // Source type
// Structs.
// Defines struct with default user strategy values.
struct Stg_Oscillator_Cross_Zero_Params_Defaults : StgParams {
uint line_signal;
Stg_Oscillator_Cross_Zero_Params_Defaults()
: StgParams(::Oscillator_Cross_Zero_SignalOpenMethod, ::Oscillator_Cross_Zero_SignalOpenFilterMethod,
::Oscillator_Cross_Zero_SignalOpenLevel, ::Oscillator_Cross_Zero_SignalOpenBoostMethod,
::Oscillator_Cross_Zero_SignalCloseMethod, ::Oscillator_Cross_Zero_SignalCloseFilter,
::Oscillator_Cross_Zero_SignalCloseLevel, ::Oscillator_Cross_Zero_PriceStopMethod,
::Oscillator_Cross_Zero_PriceStopLevel, ::Oscillator_Cross_Zero_TickFilterMethod,
::Oscillator_Cross_Zero_MaxSpread, ::Oscillator_Cross_Zero_Shift),
line_signal(0) {
Set(STRAT_PARAM_LS, Oscillator_Cross_Zero_LotSize);
Set(STRAT_PARAM_OCL, Oscillator_Cross_Zero_OrderCloseLoss);
Set(STRAT_PARAM_OCP, Oscillator_Cross_Zero_OrderCloseProfit);
Set(STRAT_PARAM_OCT, Oscillator_Cross_Zero_OrderCloseTime);
Set(STRAT_PARAM_SOFT, Oscillator_Cross_Zero_SignalOpenFilterTime);
}
// Getters.
uint GetLineSignal() { return line_signal; }
// Setters.
void SetLineSignal(uint _value) { line_signal = _value; }
};
class Stg_Oscillator_Cross_Zero : public Strategy {
protected:
Stg_Oscillator_Cross_Zero_Params_Defaults ssparams;
public:
Stg_Oscillator_Cross_Zero(StgParams &_sparams, TradeParams &_tparams, ChartParams &_cparams, string _name = "")
: Strategy(_sparams, _tparams, _cparams, _name) {}
static Stg_Oscillator_Cross_Zero *Init(ENUM_TIMEFRAMES _tf = NULL, EA *_ea = NULL) {
// Initialize strategy initial values.
Stg_Oscillator_Cross_Zero_Params_Defaults stg_oscillator_cross_zero_defaults;
StgParams _stg_params(stg_oscillator_cross_zero_defaults);
// Initialize Strategy instance.
ChartParams _cparams(_tf, _Symbol);
TradeParams _tparams;
Stg_Oscillator_Cross_Zero *_strat =
new Stg_Oscillator_Cross_Zero(_stg_params, _tparams, _cparams, "Oscillator_Cross_Zero");
_strat.ssparams = stg_oscillator_cross_zero_defaults;
return _strat;
}
/**
* Validate oscillator's entry.
*/
bool IsValidEntry(IndicatorBase *_indi, int _shift = 0) {
bool _result = true;
switch (Oscillator_Cross_Zero_Type) {
case STG_OSCILLATOR_CROSS_ZERO_TYPE_MACD:
_result &= dynamic_cast<Indi_MACD *>(_indi).GetFlag(INDI_ENTRY_FLAG_IS_VALID, _shift) &&
dynamic_cast<Indi_MACD *>(_indi).GetFlag(INDI_ENTRY_FLAG_IS_VALID, _shift + 1);
break;
case STG_OSCILLATOR_CROSS_ZERO_TYPE_RVI:
_result &= dynamic_cast<Indi_RVI *>(_indi).GetFlag(INDI_ENTRY_FLAG_IS_VALID, _shift) &&
dynamic_cast<Indi_RVI *>(_indi).GetFlag(INDI_ENTRY_FLAG_IS_VALID, _shift + 1);
break;
default:
break;
}
return _result;
}
/**
* Event on strategy's init.
*/
void OnInit() {
// Initialize indicators.
switch (Oscillator_Cross_Zero_Type) {
case STG_OSCILLATOR_CROSS_ZERO_TYPE_MACD: // MACD
{
IndiMACDParams _indi_params(
::Oscillator_Cross_Zero_Indi_MACD_Period_Fast, ::Oscillator_Cross_Zero_Indi_MACD_Period_Slow,
::Oscillator_Cross_Zero_Indi_MACD_Period_Signal, ::Oscillator_Cross_Zero_Indi_MACD_Applied_Price,
::Oscillator_Cross_Zero_Indi_MACD_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_MACD(_indi_params, ::Oscillator_Cross_Zero_Indi_MACD_SourceType), ::Oscillator_Cross_Zero_Type);
ssparams.SetLineSignal((uint)Oscillator_Cross_Zero_Indi_MACD_Line_Signal);
break;
}
case STG_OSCILLATOR_CROSS_ZERO_TYPE_RVI: // RVI
{
IndiRVIParams _indi_params(::Oscillator_Cross_Zero_Indi_RVI_Period, ::Oscillator_Cross_Zero_Indi_RVI_Shift);
_indi_params.SetTf(Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF));
SetIndicator(new Indi_RVI(_indi_params, ::Oscillator_Cross_Zero_Indi_RVI_SourceType), ::Oscillator_Cross_Zero_Type);
ssparams.SetLineSignal((uint)Oscillator_Cross_Zero_Indi_RVI_Line_Signal);
break;
}
case STG_OSCILLATOR_CROSS_ZERO_TYPE_0_NONE: // (None)
default:
break;
}
}
/**
* Check strategy's opening signal.
*/
bool SignalOpen(ENUM_ORDER_TYPE _cmd, int _method, float _level = 0.0f, int _shift = 0) {
IndicatorData *_indi = GetIndicator(::Oscillator_Cross_Zero_Type);
// uint _ishift = _indi.GetShift(); // @todo
bool _result = Oscillator_Cross_Zero_Type != STG_OSCILLATOR_CROSS_ZERO_TYPE_0_NONE && IsValidEntry(_indi, _shift);
if (!_result) {
// Returns false when indicator data is not valid.
return false;
}
int _mode_signal = (int)ssparams.GetLineSignal();
double _value1 = _indi[_shift][_mode_signal];
double _value2 = _indi[_shift + 1][_mode_signal] < 0;
;
switch (_cmd) {
case ORDER_TYPE_BUY:
// Buy signal.
_result &= _indi[_shift][_mode_signal] > 0;
_result &= _indi[_shift + 1][_mode_signal] < 0;
_result &= _indi.IsIncreasing(1, _mode_signal, _shift);
_result &= Math::ChangeInPct(_indi[_shift + 1][_mode_signal], _indi[_shift][_mode_signal], true) > _level;
if (_result && _method != 0) {
_result &= _indi[_shift + 3][_mode_signal] < 0;
if (METHOD(_method, 1))
_result &=
fmax4(_indi[_shift][_mode_signal], _indi[_shift + 1][_mode_signal], _indi[_shift + 2][_mode_signal],
_indi[_shift + 3][_mode_signal]) == _indi[_shift][_mode_signal];
}
break;
case ORDER_TYPE_SELL:
// Sell signal.
_result &= _indi[_shift][_mode_signal] < 0;
_result &= _indi[_shift + 1][_mode_signal] > 0;
_result &= _indi.IsDecreasing(1, _mode_signal, _shift);
_result &= Math::ChangeInPct(_indi[_shift + 1][_mode_signal], _indi[_shift][_mode_signal], true) < _level;
if (_result && _method != 0) {
if (METHOD(_method, 0)) _result &= _indi[_shift + 3][_mode_signal] > 0;
if (METHOD(_method, 1))
_result &=
fmin4(_indi[_shift][_mode_signal], _indi[_shift + 1][_mode_signal], _indi[_shift + 2][_mode_signal],
_indi[_shift + 3][_mode_signal]) == _indi[_shift][_mode_signal];
}
break;
}
return _result;
}
};