-- Id: 4955 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=7955 --+------------------------------------------------------------------+ --| Copyright © 2018, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --| BitCoin Cash: 1BEtS465S3Su438Kc58h2sqvVvHK9Mijtg | --| Ethereum : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --| LiteCoin : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------+ function Init() --The strategy profile initialization strategy:name("Multi Time Frame Stochastic Strategy"); strategy:description(""); -- NG: optimizer/backtester hint strategy:setTag("NonOptimizableParameters", "ShowAlert,PlaySound,SoundFile,RecurrentSound,SendMail,Email"); strategy.parameters:addGroup("Price"); strategy.parameters:addString("Type", "Price Type", "", "Bid"); strategy.parameters:addStringAlternative("Type", "Bid", "", "Bid"); strategy.parameters:addStringAlternative("Type", "Ask", "", "Ask"); Parameters(1, "m5", 80, 20 ); Parameters(2, "m15" , 80, 20); Parameters(3, "H1" , 80, 20 ); Parameters(4, "H4" , 80, 20 ); strategy.parameters:addGroup("Strategy Parameters"); strategy.parameters:addString("Direction", "Type of signal", "", "direct"); strategy.parameters:addStringAlternative("Direction", "direct", "", "direct"); strategy.parameters:addStringAlternative("Direction", "reverse", "", "reverse"); CreateTradingParameters(); strategy.parameters:addGroup("Time Parameters"); strategy.parameters:addInteger("ToTime", "Convert the date to", "", 6); strategy.parameters:addIntegerAlternative("ToTime", "EST", "", 1); strategy.parameters:addIntegerAlternative("ToTime", "UTC", "", 2); strategy.parameters:addIntegerAlternative("ToTime", "Local", "", 3); strategy.parameters:addIntegerAlternative("ToTime", "Server", "", 4); strategy.parameters:addIntegerAlternative("ToTime", "Financial", "", 5); strategy.parameters:addIntegerAlternative("ToTime", "Display", "", 6); 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("UseMandatoryClosing", "Use Mandatory Closing", "", false); strategy.parameters:addString("ExitTime", "Mandatory Closing Time", "", "23:59:00"); strategy.parameters:addInteger("ValidInterval", "Valid interval for operation in second", "", 60); end function Parameters(id, frame, B, S ) strategy.parameters:addGroup(id ..". Time Frame"); strategy.parameters:addString("TF" .. id, "Time frame" , "", frame); strategy.parameters:setFlag("TF" .. id, core.FLAG_PERIODS); strategy.parameters:addGroup("Stochastic Calculation"); strategy.parameters:addInteger("K" .. id, "K Period", "", 5, 2, 1000); strategy.parameters:addInteger("SD" .. id, "D Slowing Period", "", 3, 2, 1000); strategy.parameters:addInteger("D" .. id, "D Period", "", 3, 2, 1000); strategy.parameters:addDouble("B" .. id, "Overbought Level", "", B, 0, 100); strategy.parameters:addDouble("S" .. id, "Oversold Level", "", S, 0, 100); strategy.parameters:addString("MVAT_K" .. id, "Smoothing Type for % K", "", "MVA"); strategy.parameters:addStringAlternative("MVAT_K" .. id, "MVA", "", "MVA"); strategy.parameters:addStringAlternative("MVAT_K" .. id, "EMA", "", "EMA"); strategy.parameters:addStringAlternative("MVAT_K" .. id, "MT", "", "MT"); strategy.parameters:addString("MVAT_D".. id, "Smoothing Type for % D", "", "MVA"); strategy.parameters:addStringAlternative("MVAT_D" .. id, "MVA","", "MVA"); strategy.parameters:addStringAlternative("MVAT_D" .. id, "EMA", "", "EMA"); end function CreateTradingParameters() strategy.parameters:addGroup("Trading Parameters"); strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", false); -- NG: optimizer/backtester hint 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:addBoolean("AllowMultiple", "Allow Multiple", "", false); strategy.parameters:addString("Account", "Account to trade on", "", ""); strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT); strategy.parameters:addInteger("Amount", "Trade Amount in Lots", "", 1, 1, 1000000); strategy.parameters:addBoolean("SetLimit", "Set Limit Orders", "", false); strategy.parameters:addInteger("Limit", "Limit Order in pips", "", 30, 1, 10000); strategy.parameters:addBoolean("SetStop", "Set Stop Orders", "", false); strategy.parameters:addInteger("Stop", "Stop Order in pips", "", 30, 1, 10000); strategy.parameters:addBoolean("TrailingStop", "Trailing stop order", "", false); strategy.parameters:addGroup("Alerts"); strategy.parameters:addBoolean("ShowAlert", "ShowAlert", "", true); strategy.parameters:addBoolean("PlaySound", "Play Sound", "", false); strategy.parameters:addFile("SoundFile", "Sound File", "", ""); strategy.parameters:setFlag("SoundFile", core.FLAG_SOUND); strategy.parameters:addBoolean("RecurrentSound", "Recurrent Sound", "", true); strategy.parameters:addBoolean("SendEmail", "Send Email", "", false); strategy.parameters:addString("Email", "Email", "", ""); strategy.parameters:setFlag("Email", core.FLAG_EMAIL); end local Source; local SoundFile = nil; local RecurrentSound = false; local ALLOWEDSIDE; local AllowMultiple; local AllowTrade; local Offer; local CanClose; local Account; local Amount; local SetLimit; local Limit; local SetStop; local Stop; local TrailingStop; local ShowAlert; local Email; local SendEmail; local BaseSize; local Indicator={}; local Short={}; local Source={}; local Direction; local TF={}; local PERIOD={}; local K={}; local SD={}; local D={}; local MVAT_K={}; local MVAT_D={}; local B={}; local S={}; local OpenTime, CloseTime, ExitTime,ValidInterval,UseMandatoryClosing; local ToTime; -- function Prepare(nameOnly) local name = profile:id() .. "(" .. instance.bid:name() .. ")"; instance:name(name); if (nameOnly) then return; end -- NG: replace string comparison everytime in future. Direction = instance.parameters.Direction == "direct"; Indicator[1] = nil; Indicator[2] = nil; Indicator[3] = nil; Indicator[4] = nil; OpenLevel = instance.parameters.OpenLevel; CloseLevel = instance.parameters.CloseLevel; local i; for i = 1, 4, 1 do TF[i]= instance.parameters:getString("TF" .. i); K[i] = instance.parameters:getInteger("K" .. i); SD[i] = instance.parameters:getInteger("SD" .. i); D[i] = instance.parameters:getInteger("D" .. i); MVAT_K[i] = instance.parameters:getString("MVAT_K" .. i); MVAT_D[i] = instance.parameters:getString("MVAT_D" .. i); B[i] = instance.parameters:getDouble("B" .. i); S[i] = instance.parameters:getDouble("S" .. i); assert(TF[i] ~= "t1", i ..". The time frame must not be tick"); end PrepareTrading(); for i = 1, 4, 1 do Source[i] = ExtSubscribe(i, nil, TF[i], instance.parameters.Type == "Bid", "bar"); Indicator[i] = core.indicators:create("STOCHASTIC", Source[i], K[i], SD[i], D[i],MVAT_K[i] , MVAT_D[i] ); Short[10+i] = Indicator[i]:getStream(0); Short[20+i] = Indicator[i]:getStream(1); end ToTime= instance.parameters.ToTime; ValidInterval = instance.parameters.ValidInterval; UseMandatoryClosing = instance.parameters.UseMandatoryClosing; 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 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"); ExitTime, valid = ParseTime(instance.parameters.ExitTime); assert(valid, "Time " .. instance.parameters.ExitTime .. " is invalid"); if UseMandatoryClosing then core.host:execute("setTimer", 100, math.max(ValidInterval / 2, 1)); end end function PrepareTrading() AllowMultiple = instance.parameters.AllowMultiple; ALLOWEDSIDE = instance.parameters.ALLOWEDSIDE; local PlaySound = instance.parameters.PlaySound; if PlaySound then SoundFile = instance.parameters.SoundFile; else SoundFile = nil; end assert(not(PlaySound) or (PlaySound and SoundFile ~= ""), "Sound file must be chosen"); ShowAlert = instance.parameters.ShowAlert; RecurrentSound = instance.parameters.RecurrentSound; SendEmail = instance.parameters.SendEmail; if SendEmail then Email = instance.parameters.Email; else Email = nil; end assert(not(SendEmail) or (SendEmail and Email ~= ""), "E-mail address must be specified"); AllowTrade = instance.parameters.AllowTrade; if AllowTrade then Account = instance.parameters.Account; Amount = instance.parameters.Amount; BaseSize = core.host:execute("getTradingProperty", "baseUnitSize", instance.bid:instrument(), Account); Offer = core.host:findTable("offers"):find("Instrument", instance.bid:instrument()).OfferID; CanClose = core.host:execute("getTradingProperty", "canCreateMarketClose", instance.bid:instrument(), Account); SetLimit = instance.parameters.SetLimit; Limit = instance.parameters.Limit; SetStop = instance.parameters.SetStop; Stop = instance.parameters.Stop; TrailingStop = instance.parameters.TrailingStop; end end function ReleaseInstance() core.host:execute ("killTimer", 100); end -- NG: create a function to parse time 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 now >= openTime and now <= closeTime; end if openTime > closeTime then return now > openTime or now < closeTime; end return now == openTime; end function ExtUpdate(id, source, period) -- The method called every time when a new bid or ask price appears. if AllowTrade then if not(checkReady("trades")) or not(checkReady("orders")) then return ; end end -- NG: part related to exit is moved to the timer -- ... -- NG: creating of the indicators is moved to prepare -- ... if id ~= 1 then return; end now = core.host:execute("getServerTime"); now= core.host:execute ("convertTime", core.TZ_EST, ToTime, now); -- get only time now = now - math.floor(now); if not InRange(now, OpenTime, CloseTime) then return ; end local i; for i = 1, 4, 1 do Indicator[i]:update(core.UpdateLast); end -- NG: condition to check the presense of the data is changed to proper -- crossover functions if Short[10 +1]:size()<= Short[10+1]:first()+2 or Short[10+ 2]:size() <= Short[10+2]:first()+2 or Short[10+3]:size() <= Short[10+3]:first() +2 or Short[10+4]:size() <= Short[10+4]:first() +2 or Short[20 +1]:size() <= Short[20+1]:first()+2 or Short[20+ 2]:size() <= Short[20+2]:first() +2 or Short[20+3]:size() <= Short[20+3]:first()+2 or Short[20+4]:size() <= Short[20+4]:first()+2 then return ; end -- NG: 1) different time frame may have different dimensions -- 2) bar strategies must check cross at the closed bar -- not the recently closed bar --Bullish trade when: --1. Stochastic k>d in H4 and k< over bought level {80}{and} --2. Stochastic k>d in H1 and k< over bought level {80}{and} --3. Stochastic k>d in m15 and kstochastic D of h4{and}-- --5. Stochastic D of m15 >stochastic D of h1{and}-- --6. Stochastic D of m5 cross oversold level {20}-- --Bearish trade when: --1. Stochastic k over sold level{20} --2. stochastic kover sold level{20} --3. stochastic kover sold level{20} --4. stochastic d of h1 < stochastic d of h4 -- --5. stochastic d of m15 < stochastic d of h1 -- --6. Stochastic D of m5 cross under over bought level{80}-- --if core.crossesOver( Short[20+1],S[1] , Short[20+1]:size()-2 ) if Short[20+1] [Short[20+1]:size()-2 ] > S[1] and Short[20+2] [Short[20+2]:size()-2]>Short[20+3] [Short[20+3]:size()-2] and Short[20+3] [Short[20+3]:size()-2]>Short[20+4] [Short[20+4]:size()-2] and Short[10+2] [Short[10+2]:size()-2]>Short[20+2] [Short[20+2]:size()-2] and Short[10+3] [Short[10+3]:size()-2]> Short[20+3] [Short[20+3]:size()-2] and Short[10+4] [Short[10+4]:size()-2]> Short[20+4] [Short[20+4]:size()-2] and Short[10+2] [Short[10+2]:size()-2]> B[2] and Short[10+3] [Short[10+3]:size()-2]> B[3] and Short[10+4] [Short[10+4]:size()-2]> B[4] then if Direction then BUY(); else SELL(); end --elseif core.crossesUnder( Short[20+1] ,B[1] , Short[20+1]:size()-2) elseif Short[20+1] [Short[20+1]:size()-2 ] < B[1] and Short[20+2] [Short[20+2]:size()-2] < Short[20+3] [Short[20+3]:size()-2] and Short[20+3] [Short[20+3]:size()-2] < Short[20+4] [Short[20+4]:size()-2] and Short[10+2] [Short[10+2]:size()-2] S[2] and Short[10+3] [Short[10+3]:size()-2] > S[3] and Short[10+4] [Short[10+4]:size()-2] > S[4] then if Direction then SELL(); else BUY(); end end -- Exit long when: --1. stochastic d of m5 cross under overbought level{80} or-- --2. stochastic d of h1 cross under stochastic d fo h4 --3. stochastic d of m15 cross under stochastic d fo h1 --4. stochastic k cross under d in m15-- --5. stochastic k cross under d in h1-- --6. stochastic k cross under d in h4-- --exit short when: --1. stochastic d of m5 cross over overbought level {20}-- --2. stochastic d of h1 cross over stochastic d of h4 --3. stochastic d of m15 cross over stochastic d of h1 --4. stochastic k cross over d in m15-- --5. stochastic k cross over d in h1-- --6. stochastic k cross over d in h4-- if core.crossesUnder( Short[10+2], Short[20+2] ,Short[10+2]:size()-2 , Short[20+2]:size()-2) or core.crossesUnder( Short[10+3], Short[20+3] , Short[10+3]:size()-2 , Short[20+3]:size()-2) or core.crossesUnder( Short[10+4], Short[20+4] , Short[10+4]:size()-2 , Short[20+4]:size()-2) or core.crossesUnder( Short[10+1], S[1], Short[10+1]:size()-2) or Short[10+2] [Short[10+2]:size()-2] < Short[10+3] [Short[10+3]:size()-2] or Short[10+3] [Short[10+3]:size()-2] < Short[10+4] [Short[10+4]:size()-2] then if Direction then if haveTrades("B") then exit("B"); Signal ("Close Long"); end else if haveTrades("S") then exit("S"); Signal ("Close Short"); end end elseif core.crossesOver( Short[10+2], Short[20+2] , Short[10+2]:size()-2, Short[20+2]:size()-2) or core.crossesOver( Short[10+3], Short[20+3] , Short[10+3]:size()-2, Short[20+3]:size()-2) or core.crossesOver( Short[10+4], Short[20+4] , Short[10+4]:size()-2 ,Short[20+4]:size()-2) or core.crossesOver( Short[10+1], B[1], Short[10+1]:size()-2) or Short[10+2] [Short[10+2]:size()-2] > Short[10+3] [Short[10+3]:size()-2] or Short[10+3] [Short[10+3]:size()-2] > Short[10+4] [Short[10+4]:size()-2] then if Direction then if haveTrades("S") then exit("S"); Signal ("Close Short"); end else if haveTrades("B") then exit("B"); Signal ("Close Long"); end end end end -- NG: Introduce async function for timer/monitoring for the order results function ExtAsyncOperationFinished(cookie, success, message) if cookie == 100 then -- timer if UseMandatoryClosing and AllowTrade then now = core.host:execute("getServerTime"); now= core.host:execute ("convertTime", core.TZ_EST, ToTime, now); -- get only time now = now - math.floor(now); -- check whether the time is in the exit time period if now >= ExitTime and now < ExitTime +(ValidInterval / 86400.0) then if not checkReady("trades") then return ; end if haveTrades("B") then exit("B"); Signal ("Close Long"); end if haveTrades("S") then exit("S"); Signal ("Close Short"); end end end elseif cookie == 200 and not success then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed" .. message, instance.bid:date(instance.bid:size() - 1)); elseif cookie == 201 and not success then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed" .. message, instance.bid:date(instance.bid:size() - 1)); end end --===========================================================================-- -- TRADING UTILITY FUNCTIONS -- --============================================================================-- function BUY() if AllowTrade then if haveTrades("B") and not AllowMultiple then if haveTrades("S") then exit("S"); Signal ("Close Short"); end return; end if ALLOWEDSIDE == "Sell" then if haveTrades("S") then exit("S"); Signal ("Close Short"); end return; end if haveTrades("S") then exit("S"); Signal ("Close Short"); end enter("B"); Signal ("Open Long"); elseif ShowAlert then Signal ("Up Trend"); end end function SELL() if AllowTrade then if haveTrades("S") and not AllowMultiple then if haveTrades("B") then exit("B"); Signal ("Close Long"); end return; end if ALLOWEDSIDE == "Buy" then if haveTrades("B") then exit("B"); Signal ("Close Long"); end return; end if haveTrades("B") then exit("B"); Signal ("Close Long"); end enter("S"); Signal ("Open Short"); else Signal ("Down Trend"); end end function Signal(Label) if ShowAlert then terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], Label, instance.bid:date(NOW)); end if SoundFile ~= nil then terminal:alertSound(SoundFile, RecurrentSound); end if Email ~= nil then terminal:alertEmail(Email, Label, profile:id() .. "(" .. instance.bid:instrument() .. ")" .. instance.bid[NOW]..", " .. Label..", " .. instance.bid:date(NOW)); end end function checkReady(table) return core.host:execute("isTableFilled", table); end function tradesCount(BuySell) local enum, row; local count = 0; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); -- NG: to get the true count we must NOT stop when count is not a zero or -- the function will return 1 or 0 only and will work as "haveTrades" -- while count == 0 and row ~= nil do while row ~= nil do if row.AccountID == Account and row.OfferID == Offer and (row.BS == BuySell or BuySell == nil) then count = count + 1; end row = enum:next(); end return count; end function haveTrades(BuySell) local enum, row; local found = false; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); while (not found) and (row ~= nil) do if row.AccountID == Account and row.OfferID == Offer and (row.BS == BuySell or BuySell == nil) then found = true; end row = enum:next(); end return found; end -- enter into the specified direction function enter(BuySell) if not(AllowTrade) then return true; end -- do not enter if position in the -- specified direction already exists if tradesCount(BuySell) > 0 and not AllowMultiple then return true; end local valuemap, success, msg; valuemap = core.valuemap(); valuemap.OrderType = "OM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.Quantity = Amount * BaseSize; valuemap.BuySell = BuySell; -- add stop/limit valuemap.PegTypeStop = "O"; if SetStop then if BuySell == "B" then valuemap.PegPriceOffsetPipsStop = -Stop; else valuemap.PegPriceOffsetPipsStop = Stop; end end if TrailingStop then valuemap.TrailStepStop = 1; end valuemap.PegTypeLimit = "O"; if SetLimit then if BuySell == "B" then valuemap.PegPriceOffsetPipsLimit = Limit; else valuemap.PegPriceOffsetPipsLimit = -Limit; end end if (not CanClose) then valuemap.EntryLimitStop = "Y"; end success, msg = terminal:execute(200, valuemap); if not(success) then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed" .. msg, instance.bid:date(instance.bid:size() - 1)); return false; end return true; end -- exit from the specified direction function exit(BuySell) if not(AllowTrade) then return true; end local valuemap, success, msg; if tradesCount(BuySell) > 0 then valuemap = core.valuemap(); -- switch the direction since the order must be in oppsite direction if BuySell == "B" then BuySell = "S"; else BuySell = "B"; end valuemap.OrderType = "CM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.NetQtyFlag = "Y"; valuemap.BuySell = BuySell; success, msg = terminal:execute(201, valuemap); if not(success) then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed" .. msg, instance.bid:date(instance.bid:size() - 1)); return false; end return true; end return false; end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");