-- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=70230 --+------------------------------------------------------------------+ --| Copyright © 2020, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --| https://AppliedMachineLearning.systems | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --| Patreon: https://goo.gl/GdXWeN | --+------------------------------------------------------------------+ local RSIOMA = 10; local Ma_RSIOMA = 14; function AddAverages(id, name, default) strategy.parameters:addString(id, name, "", default); strategy.parameters:addStringAlternative(id, "MVA", "", "MVA"); strategy.parameters:addStringAlternative(id, "EMA", "", "EMA"); strategy.parameters:addStringAlternative(id, "Wilder", "", "Wilder"); strategy.parameters:addStringAlternative(id, "LWMA", "", "LWMA"); strategy.parameters:addStringAlternative(id, "SineWMA", "", "SineWMA"); strategy.parameters:addStringAlternative(id, "TriMA", "", "TriMA"); strategy.parameters:addStringAlternative(id, "LSMA", "", "LSMA"); strategy.parameters:addStringAlternative(id, "SMMA", "", "SMMA"); strategy.parameters:addStringAlternative(id, "HMA", "", "HMA"); strategy.parameters:addStringAlternative(id, "ZeroLagEMA", "", "ZeroLagEMA"); strategy.parameters:addStringAlternative(id, "DEMA", "", "DEMA"); strategy.parameters:addStringAlternative(id, "T3", "", "T3"); strategy.parameters:addStringAlternative(id, "ITrend", "", "ITrend"); strategy.parameters:addStringAlternative(id, "Median", "", "Median"); strategy.parameters:addStringAlternative(id, "GeoMean", "", "GeoMean"); strategy.parameters:addStringAlternative(id, "REMA", "", "REMA"); strategy.parameters:addStringAlternative(id, "ILRS", "", "ILRS"); strategy.parameters:addStringAlternative(id, "IE/2", "", "IE/2"); strategy.parameters:addStringAlternative(id, "TriMAgen", "", "TriMAgen"); strategy.parameters:addStringAlternative(id, "JSmooth", "", "JSmooth"); strategy.parameters:addStringAlternative(id, "KAMA", "", "KAMA"); strategy.parameters:addStringAlternative(id, "ARSI", "", "ARSI"); strategy.parameters:addStringAlternative(id, "VIDYA", "", "VIDYA"); strategy.parameters:addStringAlternative(id, "HPF", "", "HPF"); strategy.parameters:addStringAlternative(id, "VAMA", "", "VAMA"); strategy.parameters:addStringAlternative(id, "Regression", "", "REGRESSION"); end function CreateAverages(period, method, source) if method == "MVA" or method == "EMA" or method == "ARSI" or method == "KAMA" or method == "LWMA" or method == "SMMA" or method == "VIDYA" or method == "REGRESSION" then --assert(core.indicators:findIndicator(method) ~= nil, method .. " indicator must be installed"); return core.indicators:create(method, source, period); end assert(core.indicators:findIndicator("AVERAGES") ~= nil, "Please, download and install AVERAGES indicator"); return core.indicators:create("AVERAGES", source, method, period); end -- START OF USER DEFINED SECTION local STRATEGY_NAME = "Strategy"; function CreateParameters() strategy.parameters:addInteger("ma_period", "MA Period", "", 14); AddAverages("ma_method", "MA Method", "MVA"); strategy.parameters:addInteger("stoch_k", "Periods for %K", "", 10, 2, 1000); strategy.parameters:addInteger("stoch_sd", "%D slowing periods", "", 5, 2, 1000); strategy.parameters:addInteger("stoch_d", "Periods for %D", "", 5, 2, 1000); strategy.parameters:addString("tf1", "Confirmation Timeframe 1", "", "H1"); strategy.parameters:setFlag("tf1", core.FLAG_PERIODS); strategy.parameters:addString("tf2", "Confirmation Timeframe 2", "", "D1"); strategy.parameters:setFlag("tf2", core.FLAG_PERIODS); end local ma, ssd, atr_stop, atr_limit, stop_mult, limit_mult, confirmation_source1, confirmation_source2, MABuffer1, RSIBuffer1, marsioma1; local confirmation_ma1, confirmation_ma2; function CreateEntryIndicators(source) stop_mult = instance.parameters.stop_mult; limit_mult = instance.parameters.limit_mult; ma = CreateAverages(instance.parameters.ma_period, instance.parameters.ma_method, source); ssd = core.indicators:create("SSD", source, instance.parameters.stoch_k, instance.parameters.stoch_sd, instance.parameters.stoch_d); if instance.parameters.use_stop then atr_stop = core.indicators:create("ATR", source, instance.parameters.stop_pips); end if instance.parameters.use_limit then atr_limit = core.indicators:create("ATR", source, instance.parameters.limit_pips); end confirmation_source1 = ExtSubscribe(4, nil, instance.parameters.tf1, instance.parameters.type, "bar"); confirmation_source2 = ExtSubscribe(5, nil, instance.parameters.tf2, instance.parameters.type, "bar"); confirmation_ma1 = CreateAverages(instance.parameters.ma_period, instance.parameters.ma_method, confirmation_source1) confirmation_ma2 = CreateAverages(instance.parameters.ma_period, instance.parameters.ma_method, confirmation_source2); MABuffer1 = core.indicators:create("LWMA", source, RSIOMA); RSIBuffer1 = core.indicators:create("RSI", MABuffer1.DATA, RSIOMA); marsioma1 = core.indicators:create("MVA", RSIBuffer1.DATA, Ma_RSIOMA); end function UpdateIndicators() confirmation_ma1:update(core.UpdateLast); confirmation_ma2:update(core.UpdateLast); ma:update(core.UpdateLast); ssd:update(core.UpdateLast); MABuffer1:update(core.UpdateLast); RSIBuffer1:update(core.UpdateLast); marsioma1:update(core.UpdateLast); if atr_stop ~= nil then atr_stop:update(core.UpdateLast); end if atr_limit ~= nil then atr_limit:update(core.UpdateLast); end end function OnNewBar(source, period) end function IsEntryLong(source, period) if not ssd.D:hasData(period - 1) or not ma.DATA:hasData(period) then return false; end return source.close[period] > ma.DATA[period] and core.crossesOver(ssd.K, ssd.D, period) and source.close[period] > source.open[period - 1] and confirmation_ma1.DATA[NOW] < source.close[period] and confirmation_ma2.DATA[NOW] < source.close[period] and core.crossesUnder(RSIBuffer1.DATA, marsioma1.DATA, period) end function IsEntryShort(source, period) if not ssd.D:hasData(period - 1) or not ma.DATA:hasData(period) then return false; end return source.close[period] < ma.DATA[period] and core.crossesUnder(ssd.K, ssd.D, period) and source.close[period] < source.open[period - 1] and confirmation_ma1.DATA[NOW] > source.close[period] and confirmation_ma2.DATA[NOW] > source.close[period] and core.crossesOver(RSIBuffer1.DATA, marsioma1.DATA, period) end function IsExitLong(source, period) return false; end function IsExitShort(source, period) return false; end -- END OF USER DEFINED SECTION function Init() strategy:name(STRATEGY_NAME); strategy:description(""); strategy:type(core.Both); strategy:setTag("NonOptimizableParameters", "StartTime,StopTime,ToTime,signaler_ToTime,signaler_show_alert,signaler_play_soundsignaler_sound_file,signaler_recurrent_sound,signaler_send_email,signaler_email,signaler_show_popup,signaler_debug_alert,use_advanced_alert,advanced_alert_key"); strategy.parameters:addGroup("Algorithm Parameters") CreateParameters(); strategy.parameters:addGroup("Trading Parameters") strategy.parameters:addBoolean("type", "Price Type", "", true); strategy.parameters:setFlag("type", core.FLAG_BIDASK); strategy.parameters:addString("timeframe", "Timeframe", "", "m1"); strategy.parameters:setFlag("timeframe", core.FLAG_PERIODS); strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", false); strategy.parameters:setFlag("AllowTrade", core.FLAG_ALLOW_TRADE); strategy.parameters:addString("AllowedSide", "Allowed side", "Allowed side for trading or signaling, can be Sell, Buy or Both", "Both"); strategy.parameters:addStringAlternative("AllowedSide", "Both", "", "Both"); strategy.parameters:addStringAlternative("AllowedSide", "Buy", "", "Buy"); strategy.parameters:addStringAlternative("AllowedSide", "Sell", "", "Sell"); strategy.parameters:addString("entry_execution_type", "Execution Type", "Once per bar close or on every tick", "Live"); strategy.parameters:addStringAlternative("entry_execution_type", "End of Turn", "", "EndOfTurn"); strategy.parameters:addStringAlternative("entry_execution_type", "Live", "", "Live"); strategy.parameters:addString("Account", "Account to trade on", "", ""); strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT); strategy.parameters:addString("amount_type", "Amount Units", "", "lots"); strategy.parameters:addStringAlternative("amount_type", "Lots", "", "lots"); strategy.parameters:addStringAlternative("amount_type", "% of equity", "", "equity"); strategy.parameters:addDouble("Amount", "Trade Amount", "", 1, 1, 1000000); strategy.parameters:addGroup("Money Management"); strategy.parameters:addBoolean("use_stop", "Set Stop", "", false); strategy.parameters:addInteger("stop_pips", "Stop, period of ATR", "", 10); strategy.parameters:addDouble("stop_mult", "Stop multiplicator", "", 1.0); strategy.parameters:addBoolean("use_trailing", "Trailing stop order", "", false); strategy.parameters:addInteger("trailing", "Trailing in pips", "Use 1 for dynamic and 10 or greater for the fixed trailing", 1); strategy.parameters:addBoolean("use_limit", "Set Limit", "", false); strategy.parameters:addInteger("limit_pips", "Limit, period of ATR", "", 20); strategy.parameters:addDouble("limit_mult", "Limit multiplicator", "", 1.0); strategy.parameters:addBoolean("use_position_limit", "Use Position limit", "", true); strategy.parameters:addInteger("position_limit", "Limit", "", 1); strategy.parameters:addBoolean("close_on_opposite", "Close on opposite", "", true); strategy.parameters:addString("custom_id", "Custom ID", "", STRATEGY_NAME); strategy.parameters:addGroup("Trading time"); strategy.parameters:addString("StartTime", "Start Time for Trading", "", "00:00:00"); strategy.parameters:addString("StopTime", "Stop Time for Trading", "", "24:00:00"); strategy.parameters:addBoolean("use_mandatory_closing", "Use Mandatory Closing", "", false); strategy.parameters:addString("mandatory_closing_exit_time", "Mandatory Closing Time", "", "23:59:59"); strategy.parameters:addInteger("mandatory_closing_valid_interval", "Valid Interval for Operation, in second", "", 60); strategy.parameters:addGroup("Alerts"); strategy.parameters:addInteger("signaler_ToTime", "Convert the date to", "", 6) strategy.parameters:addIntegerAlternative("signaler_ToTime", "EST", "", 1) strategy.parameters:addIntegerAlternative("signaler_ToTime", "UTC", "", 2) strategy.parameters:addIntegerAlternative("signaler_ToTime", "Local", "", 3) strategy.parameters:addIntegerAlternative("signaler_ToTime", "Server", "", 4) strategy.parameters:addIntegerAlternative("signaler_ToTime", "Financial", "", 5) strategy.parameters:addIntegerAlternative("signaler_ToTime", "Display", "", 6) strategy.parameters:addBoolean("signaler_show_alert", "Show Alert", "", true); strategy.parameters:addBoolean("signaler_play_sound", "Play Sound", "", false); strategy.parameters:addFile("signaler_sound_file", "Sound File", "", ""); strategy.parameters:setFlag("signaler_sound_file", core.FLAG_SOUND); strategy.parameters:addBoolean("signaler_recurrent_sound", "Recurrent Sound", "", true); strategy.parameters:addBoolean("signaler_send_email", "Send Email", "", false); strategy.parameters:addString("signaler_email", "Email", "", ""); strategy.parameters:setFlag("signaler_email", core.FLAG_EMAIL); end local MAIN_SOURCE_ID = 1; local TICK_SOURCE_ID = 2; local MANDATORY_CLOSE_TIMER_ID = 3; local entry_source_id; local main_source; local base_size, offer_id, Account, Amount, amount_type, AllowTrade, close_on_opposite, custom_id, AllowedSide; local use_stop, stop_pips, use_limit, limit_pips, entry_execution_type, use_trailing, trailing, use_position_limit, position_limit; local _show_alert, _sound_file, _recurrent_sound, _email; local _ToTime, OpenTime, CloseTime; local use_mandatory_closing, exit_time; function Prepare(nameOnly) local name = profile:id() .. "(" .. instance.bid:name() .. ")"; instance:name(name); if nameOnly then return; end use_mandatory_closing = instance.parameters.use_mandatory_closing; use_position_limit = instance.parameters.use_position_limit; position_limit = instance.parameters.position_limit; use_trailing = instance.parameters.use_trailing; trailing = instance.parameters.trailing; AllowedSide = instance.parameters.AllowedSide; entry_execution_type = instance.parameters.entry_execution_type; limit_pips = instance.parameters.limit_pips; use_limit = instance.parameters.use_limit; use_stop = instance.parameters.use_stop; stop_pips = instance.parameters.stop_pips; AllowTrade = instance.parameters.AllowTrade; Account = instance.parameters.Account; Amount = instance.parameters.Amount; amount_type = instance.parameters.amount_type; close_on_opposite = instance.parameters.close_on_opposite; custom_id = instance.parameters.custom_id; main_source = ExtSubscribe(MAIN_SOURCE_ID, nil, instance.parameters.timeframe, instance.parameters.type, "bar") if entry_execution_type == "Live" then tick_source = ExtSubscribe(TICK_SOURCE_ID, nil, "t1", instance.parameters.type, "bar"); entry_source_id = TICK_SOURCE_ID; else entry_source_id = MAIN_SOURCE_ID; end CreateEntryIndicators(main_source); base_size = core.host:execute("getTradingProperty", "baseUnitSize", instance.bid:instrument(), Account); offer_id = core.host:findTable("offers"):find("Instrument", instance.bid:instrument()).OfferID; local valid; OpenTime, valid = ParseTime(instance.parameters.StartTime); assert(valid, "Time " .. instance.parameters.StartTime .. " is invalid"); CloseTime, valid = ParseTime(instance.parameters.StopTime); assert(valid, "Time " .. instance.parameters.StopTime .. " is invalid"); _ToTime = instance.parameters.signaler_ToTime if _ToTime == 1 then _ToTime = core.TZ_EST elseif _ToTime == 2 then _ToTime = core.TZ_UTC elseif _ToTime == 3 then _ToTime = core.TZ_LOCAL elseif _ToTime == 4 then _ToTime = core.TZ_SERVER elseif _ToTime == 5 then _ToTime = core.TZ_FINANCIAL elseif _ToTime == 6 then _ToTime = core.TZ_TS end if instance.parameters.signaler_play_sound then _sound_file = instance.parameters.signaler_sound_file; assert(_sound_file ~= "", "Sound file must be chosen"); end _show_alert = instance.parameters.signaler_show_alert; _recurrent_sound = instance.parameters.signaler_recurrent_sound; if instance.parameters.signaler_send_email then _email = instance.parameters.signaler_email; assert(_email ~= "", "E-mail address must be specified"); end if use_mandatory_closing then exit_time, valid = ParseTime(instance.parameters.mandatory_closing_exit_time); assert(valid, "Time " .. instance.parameters.mandatory_closing_exit_time .. " is invalid"); core.host:execute("setTimer", MANDATORY_CLOSE_TIMER_ID, math.max(instance.parameters.mandatory_closing_valid_interval / 2, 1)); end end function ParseTime(time) local pos = string.find(time, ":"); if pos == nil then return nil, false; end local h = tonumber(string.sub(time, 1, pos - 1)); time = string.sub(time, pos + 1); pos = string.find(time, ":"); if pos == nil then return nil, false; end local m = tonumber(string.sub(time, 1, pos - 1)); local s = tonumber(string.sub(time, pos + 1)); return (h / 24.0 + m / 1440.0 + s / 86400.0), -- time in ole format ((h >= 0 and h < 24 and m >= 0 and m < 60 and s >= 0 and s < 60) or (h == 24 and m == 0 and s == 0)); -- validity flag end function InRange(now, openTime, closeTime) if openTime == closeTime then return true; end if openTime < closeTime then return now >= openTime and now <= closeTime; end if openTime > closeTime then return now > openTime or now < closeTime; end return now == openTime; end local last_entry, last_exit, last_bar; function ExtUpdate(id, source, period) if use_mandatory_closing and core.host.Trading:getTradingProperty("isSimulation") then DoMandatoryClosing(); end if id ~= entry_source_id then return; end local entry_period; if entry_execution_type == "Live" then entry_period = main_source:size() - 1; else entry_period = period; end UpdateIndicators(); if last_bar == nil then last_bar = main_source:date(entry_period); elseif last_bar ~= main_source:date(entry_period) then last_bar = main_source:date(entry_period); OnNewBar(main_source, entry_period); end if IsExitLong(main_source, entry_period) and last_exit ~= main_source:date(NOW) then if AllowTrade then CloseTrades("B"); end Signal("Exit long", main_source); last_exit = main_source:date(NOW); end if IsExitShort(main_source, entry_period) and last_exit ~= main_source:date(NOW) then if AllowTrade then CloseTrades("S"); end Signal("Exit short", main_source); last_exit = main_source:date(NOW); end local now = core.host:execute("convertTime", core.TZ_EST, _ToTime, core.host:execute("getServerTime")); now = now - math.floor(now); if not InRange(now, OpenTime, CloseTime) then return; end if IsEntryLong(main_source, entry_period) and last_entry ~= main_source:date(NOW) and not PositionsLimitHit() then if AllowTrade then if close_on_opposite then CloseTrades("S"); end OpenTrade("B"); end Signal("Entry long", main_source); last_entry = main_source:date(NOW); end if IsEntryShort(main_source, entry_period) and last_entry ~= main_source:date(NOW) and not PositionsLimitHit() then if AllowTrade then if close_on_opposite then CloseTrades("B"); end OpenTrade("S"); end Signal("Entry short", main_source); last_entry = main_source:date(NOW); end end function DoMandatoryClosing() if not use_mandatory_closing then return; end local now = core.host:execute("convertTime", core.TZ_EST, _ToTime, core.host:execute("getServerTime")); now = now - math.floor(now); if InRange(now, exit_time, exit_time + (instance.parameters.mandatory_closing_valid_interval / 86400.0)) then CloseTrades("B"); CloseTrades("S"); DeleteOrders(); end end function PositionsLimitHit() if not use_position_limit then return false; end local enum = core.host:findTable("trades"):enumerator(); local row = enum:next(); local count = 0; while row ~= nil do if row.BS == side and row.Instrument == main_source:instrument() and (row.QTXT == custom_id or custom_id == "") then count = count + 1; end row = enum:next(); end local enum = core.host:findTable("orders"):enumerator(); local row = enum:next(); while row ~= nil do if row.BS == side and row.Instrument == main_source:instrument() and (row.QTXT == custom_id or custom_id == "") then count = count + 1; end row = enum:next(); end return count >= position_limit; end function DeleteOrders() local enum = core.host:findTable("orders"):enumerator() local row = enum:next() while row ~= nil do if row.AccountID == Account and row.Instrument == main_source:instrument() then local valuemap = core.valuemap() valuemap.Command = "DeleteOrder" valuemap.OrderID = row.OrderID success, msg = terminal:execute(4, valuemap) if not (success) then terminal:alertMessage( instance.bid:instrument(), instance.bid[NOW], "Failed delete order " .. row.OrderID .. ":" .. msg, instance.bid:date(NOW) ) end end row = enum:next() end end function CloseTrades(side) local enum = core.host:findTable("trades"):enumerator(); local row = enum:next(); while row ~= nil do if row.BS == side and row.Instrument == main_source:instrument() and (row.QTXT == custom_id or custom_id == "") then CloseTrade(row); end row = enum:next(); end end function ExtAsyncOperationFinished(cookie, success, message, message1, message2) if cookie == MANDATORY_CLOSE_TIMER_ID then DoMandatoryClosing(); end end function OpenTrade(side) if AllowedSide ~= "Both" then if AllowedSide == "Buy" and side == "S" then return; end if AllowedSide == "Sell" and side == "B" then return; end end local valuemap = core.valuemap(); valuemap.OrderType = "OM"; valuemap.OfferID = offer_id; valuemap.AcctID = Account; if amount_type == "lots" then valuemap.Quantity = Amount * base_size; else local equity = core.host:findTable("accounts"):find("AccountID", valuemap.AcctID).Equity; local used_equity = equity * Amount / 100.0; local emr = core.host:getTradingProperty("EMR", instance.bid:instrument(), valuemap.AcctID); valuemap.Quantity = math.floor(used_equity / emr) * base_size; end valuemap.BuySell = side; valuemap.CustomID = custom_id; if use_stop then valuemap.PegTypeStop = "O"; if side == "B" then valuemap.PegPriceOffsetPipsStop = -(atr_stop.DATA[NOW] / main_source:pipSize()) * stop_mult; else valuemap.PegPriceOffsetPipsStop = (atr_stop.DATA[NOW] / main_source:pipSize()) * stop_mult; end if use_trailing then valuemap.TrailStepStop = trailing; end end if use_limit then valuemap.PegTypeLimit = "O"; if side == "B" then valuemap.PegPriceOffsetPipsLimit = (atr_limit.DATA[NOW] / main_source:pipSize()) * limit_mult; else valuemap.PegPriceOffsetPipsLimit = -(atr_limit.DATA[NOW] / main_source:pipSize()) * limit_mult; end end local success, msg = terminal:execute(3, valuemap); end function CloseTrade(trade) local valuemap = core.valuemap(); valuemap.BuySell = trade.BS == "B" and "S" or "B"; valuemap.OrderType = "CM"; valuemap.OfferID = trade.OfferID; valuemap.AcctID = trade.AccountID; valuemap.TradeID = trade.TradeID; valuemap.Quantity = trade.Lot; local success, msg = terminal:execute(2, valuemap); end function FormatEmail(source, period, message) --format email subject local subject = message .. "(" .. source:instrument() .. ")"; --format email text local delim = "\013\010"; local signalDescr = "Signal: " .. (STRATEGY_NAME or ""); local symbolDescr = "Symbol: " .. source:instrument(); local messageDescr = "Message: " .. message; local ttime = core.dateToTable(core.host:execute("convertTime", core.TZ_EST, _ToTime, source:date(period))); local dateDescr = string.format("Time: %02i/%02i %02i:%02i", ttime.month, ttime.day, ttime.hour, ttime.min); local priceDescr = "Price: " .. source[period]; local text = "You have received this message because the following signal alert was received:" .. delim .. signalDescr .. delim .. symbolDescr .. delim .. messageDescr .. delim .. dateDescr .. delim .. priceDescr; return subject, text; end function Signal(message, source) if source == nil then if instance.source ~= nil then source = instance.source; elseif instance.bid ~= nil then source = instance.bid; else local pane = core.host.Window.CurrentPane; source = pane.Data:getStream(0); end end if _show_alert then terminal:alertMessage(source:instrument(), source[NOW], message, source:date(NOW)); end if _sound_file ~= nil then terminal:alertSound(_sound_file, _recurrent_sound); end if _email ~= nil then terminal:alertEmail(_email, profile:id().. " : " .. message, FormatEmail(source, NOW, message)); end end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");