-- Id: 15382 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=63107 --+------------------------------------------------------------------+ --| 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 | --+------------------------------------------------------------------+ --| Patreon : https://goo.gl/GdXWeN | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --| BitCoin Cash: 1BEtS465S3Su438Kc58h2sqvVvHK9Mijtg | --| Ethereum : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --| LiteCoin : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------+ function Init() --The strategy profile initialization strategy:name("Multiple Indicator Strategy") strategy:description("") strategy:setTag("Version", "2"); strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound, ShowAlert") strategy.parameters:addGroup("Price") strategy.parameters:addString("Type", "Price Type", "", "Bid") strategy.parameters:addStringAlternative("Type", "Bid", "", "Bid") strategy.parameters:addStringAlternative("Type", "Ask", "", "Ask") strategy.parameters:addString("TF", "Time frame", "", "H1") strategy.parameters:setFlag("TF", core.FLAG_PERIODS) strategy.parameters:addGroup("RLW Calculation") strategy.parameters:addInteger("RLW_Period", "RLW Period", "", 14) strategy.parameters:addGroup("Bollinger Band Bandwidth Calculation") strategy.parameters:addDouble("BB_N", "Number of periods", "Number of periods", 20.0) strategy.parameters:addDouble("BB_Dev", "Number of standard deviations", "Number of standard deviations", 2.0) strategy.parameters:addGroup("STOCH RSI Calculation") strategy.parameters:addInteger("N1", "Number of periods for RSI", "", 14, 1, 200) strategy.parameters:addInteger("K1", "%K Stochastic Periods", "", 14, 1, 200) strategy.parameters:addInteger("KS1", "%K Slowing Periods", "", 5, 1, 200) strategy.parameters:addInteger("D1", "%D Slowing Stochastic Periods", "", 3, 1, 200) strategy.parameters:addGroup("Aroon Calculation") strategy.parameters:addInteger("APeriod", "Aroon Period", "", 14, 1, 200) strategy.parameters:addGroup("Stochastic Calculation") strategy.parameters:addInteger( "Stochastic_K", "Number of periods for %K", "The number of periods for %K.", 5, 2, 1000 ) strategy.parameters:addInteger( "Stochastic_SD", "%D slowing periods", "The number of periods for slow %D.", 3, 2, 1000 ) strategy.parameters:addInteger( "Stochastic_D", "Number of periods for %D", "The number of periods for %D.", 3, 2, 1000 ) strategy.parameters:addString( "Stochastic_MVAT_K", "Smoothing type for %K", "The type of smoothing algorithm for %K.", "MVA" ) strategy.parameters:addStringAlternative("Stochastic_MVAT_K", "MVA", "MVA", "MVA") strategy.parameters:addStringAlternative("Stochastic_MVAT_K", "EMA", "EMA", "EMA") strategy.parameters:addStringAlternative("Stochastic_MVAT_K", "MetaTrader", "The MetaTrader algorithm.", "MT") strategy.parameters:addStringAlternative("Stochastic_MVAT_K", "LWMA", "", "LWMA") strategy.parameters:addStringAlternative("Stochastic_MVAT_K", "KAMA", "", "KAMA") strategy.parameters:addStringAlternative("Stochastic_MVAT_K", "SMMA", "", "SMMA") strategy.parameters:addStringAlternative("Stochastic_MVAT_K", "TMA", "", "TMA") strategy.parameters:addStringAlternative("Stochastic_MVAT_K", "VIDYA", "", "VIDYA") strategy.parameters:addStringAlternative("Stochastic_MVAT_K", "WMA", "", "WMA") strategy.parameters:addString( "Stochastic_MVAT_D", "Smoothing type for %D", "The type of smoothing algorithm for %D.", "MVA" ) strategy.parameters:addStringAlternative("Stochastic_MVAT_D", "MVA", "MVA", "MVA") strategy.parameters:addStringAlternative("Stochastic_MVAT_D", "EMA", "EMA", "EMA") strategy.parameters:addStringAlternative("Stochastic_MVAT_D", "LWMA", "", "LWMA") strategy.parameters:addStringAlternative("Stochastic_MVAT_D", "KAMA", "", "KAMA") strategy.parameters:addStringAlternative("Stochastic_MVAT_D", "SMMA", "", "SMMA") strategy.parameters:addStringAlternative("Stochastic_MVAT_D", "TMA", "", "TMA") strategy.parameters:addStringAlternative("Stochastic_MVAT_D", "VIDYA", "", "VIDYA") strategy.parameters:addStringAlternative("Stochastic_MVAT_D", "WMA", "", "WMA") strategy.parameters:addGroup("Stochastic Fast Calculation") strategy.parameters:addInteger("Fast_K", "K Period", "", 14, 2, 1000) strategy.parameters:addInteger("Fast_D", "D Period", "", 3, 2, 1000) CreateTradingParameters() end function CreateTradingParameters() strategy.parameters:addGroup("Trading Parameters") strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", false) strategy.parameters:setFlag("AllowTrade", core.FLAG_ALLOW_TRADE) strategy.parameters:addString("ExecutionType", "End of Turn / Live", "", "End of Turn") strategy.parameters:addStringAlternative("ExecutionType", "End of Turn", "", "End of Turn") strategy.parameters:addStringAlternative("ExecutionType", "Live", "", "Live") strategy.parameters:addBoolean("CloseOnOpposite", "Close On Opposite", "", true) strategy.parameters:addString( "CustomID", "Custom Identifier", "The identifier that can be used to distinguish strategy instances", "MIS" ) strategy.parameters:addInteger( "MaxNumberOfPositionInAnyDirection", "Max Number Of Open Position In Any Direction", "", 2, 1, 100 ) strategy.parameters:addInteger("MaxNumberOfPosition", "Max Number Of Position In One Direction", "", 1, 1, 100) 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("Direction", "Type of Signal / Trade", "", "direct") strategy.parameters:addStringAlternative("Direction", "Direct", "", "direct") strategy.parameters:addStringAlternative("Direction", "Reverse", "", "reverse") 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:addBoolean("Exit", "Use Optional Exit", "", 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) 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 local Source, TickSource local MaxNumberOfPositionInAnyDirection, MaxNumberOfPosition local SoundFile = nil local RecurrentSound = false local ALLOWEDSIDE 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 ExecutionType local CloseOnOpposite local first local RLW_Period, RLW local BB, BB_N, BB_Dev local N1, K1, KS1, D1, STOCHRSI1 local AROON, APeriod local Short = {} local Direction local CustomID local Stochastic_K, Stochastic_SD, Stochastic_D, Stochastic_MVAT_K, Stochastic_MVAT_D, Stochastic local Fast_K, Fast_D, Stochastic_Fast local OpenTime, CloseTime, ExitTime local ValidInterval, UseMandatoryClosing local ToTime -- function Prepare(nameOnly) CustomID = instance.parameters.CustomID ExecutionType = instance.parameters.ExecutionType CloseOnOpposite = instance.parameters.CloseOnOpposite MaxNumberOfPositionInAnyDirection = instance.parameters.MaxNumberOfPositionInAnyDirection MaxNumberOfPosition = instance.parameters.MaxNumberOfPosition Direction = instance.parameters.Direction == "direct" RLW_Period = instance.parameters.RLW_Period BB_N = instance.parameters.BB_N BB_Dev = instance.parameters.BB_Dev N1 = instance.parameters.N1 K1 = instance.parameters.K1 KS1 = instance.parameters.KS1 D1 = instance.parameters.D1 APeriod = instance.parameters.APeriod Stochastic_K = instance.parameters.Stochastic_K Stochastic_SD = instance.parameters.Stochastic_SD Stochastic_D = instance.parameters.Stochastic_D Stochastic_MVAT_K = instance.parameters.Stochastic_MVAT_K Stochastic_MVAT_D = instance.parameters.Stochastic_MVAT_D Fast_D = instance.parameters.Fast_D Fast_K = instance.parameters.Fast_K assert(instance.parameters.TF ~= "t1", "The time frame must not be tick") local name name = profile:id() .. "( " .. instance.bid:name() .. "," .. CustomID .. " )" instance:name(name) PrepareTrading() if nameOnly then return end assert( core.indicators:findIndicator("BB-BANDWIDTH") ~= nil, "Please, download and install BB-BANDWIDTH.lua indicator" ) assert(core.indicators:findIndicator("STOCHRSI") ~= nil, "Please, download and install STOCHRSI.lua indicator") if ExecutionType == "Live" then TickSource = ExtSubscribe(1, nil, "t1", instance.parameters.Type == "Bid", "close") end Source = ExtSubscribe(2, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "bar") RLW = core.indicators:create("RLW", Source, RLW_Period) BB = core.indicators:create("BB-BANDWIDTH", Source.close, true, BB_N, BB_Dev) STOCHRSI1 = core.indicators:create("STOCHRSI", Source.close, N1, K1, KS1, D1) AROON = core.indicators:create("AROON", Source.close, APeriod) Stochastic = core.indicators:create( "STOCHASTIC", Source, Stochastic_K, Stochastic_SD, Stochastic_D, Stochastic_MVAT_K, Stochastic_MVAT_D ) Stochastic_Fast = core.indicators:create("SFK", Source, Fast_K, Fast_D) first = math.max( RLW.DATA:first(), BB.DATA:first(), STOCHRSI1.D:first(), AROON.DATA:first(), Stochastic.D:first(), Stochastic_Fast.D:first() ) 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 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 PrepareTrading() 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 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 local Last local LAST local ONE function ExtUpdate(id, source, period) -- The method called every time when a new bid or ask price appears. 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 if AllowTrade then if not (checkReady("trades")) or not (checkReady("orders")) then return end end if ExecutionType == "Live" and id == 1 then period = core.findDate(Source.close, TickSource:date(period), false) end if ExecutionType == "Live" then if ONE == Source:serial(period) then return end if id == 2 then return end else if id ~= 2 then return end end -- update indicators. RLW:update(core.UpdateLast) BB:update(core.UpdateLast) STOCHRSI1:update(core.UpdateLast) AROON:update(core.UpdateLast) Stochastic:update(core.UpdateLast) Stochastic_Fast:update(core.UpdateLast) if period < first then return end -- only buy if we have a fast cross over slow and the price is above the moving averages. if RLW.DATA[period] > -5 and STOCHRSI1.K[period] == 100 and STOCHRSI1.D[period] >= 95 and AROON.UP[period] == 100 and AROON.DOWN[period] <= 50 and (BB.DATA[period] / Source:pipSize()) >= 50 and Stochastic.DATA[period] >= 65 and Stochastic_Fast.K[period] >= 90 and Stochastic_Fast.D[period] >= 90 then if Direction then SELL(period) else BUY(period) end ONE = Source:serial(period) elseif RLW.DATA[period] < -95 and STOCHRSI1.K[period] == 0 and STOCHRSI1.D[period] <= 10 and AROON.UP[period] <= 50 and AROON.DOWN[period] == 100 and (BB.DATA[period] / Source:pipSize()) >= 50 and Stochastic.DATA[period] <= 35 and Stochastic_Fast.K[period] <= 10 and Stochastic_Fast.D[period] <= 10 then if Direction then BUY(period) else SELL(period) end ONE = Source:serial(period) 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 exitSpecific("B") Signal("Close Long") end if haveTrades("S") then exitSpecific("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(period) if AllowTrade then if CloseOnOpposite and haveTrades("S") then -- close on opposite signal exitSpecific("S") Signal("Close Short") end if ALLOWEDSIDE == "Sell" then -- we are not allowed buys. return end enter("B", period) else Signal("Buy Signal") end end function SELL(period) if AllowTrade then if CloseOnOpposite and haveTrades("B") then -- close on opposite signal exitSpecific("B") Signal("Close Long") end if ALLOWEDSIDE == "Buy" then -- we are not allowed sells. return end enter("S", period) else Signal("Sell Signal") 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) local rc if Account == "TESTACC_ID" then -- run under debugger/simulator rc = true else rc = core.host:execute("isTableFilled", table) end return rc end function tradesCount(BuySell) local enum, row local count = 0 enum = core.host:findTable("trades"):enumerator() row = enum:next() while row ~= nil do if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID 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 (row ~= nil) do if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then found = true break end row = enum:next() end return found end -- enter into the specified direction function enter(BuySell, period) -- do not enter if position in the specified direction already exists if tradesCount(BuySell) >= MaxNumberOfPosition or ((tradesCount(nil)) >= MaxNumberOfPositionInAnyDirection) then return true end -- send the alert after the checks to see if we can trade. if (BuySell == "S") then Signal("Sell Signal") else Signal("Buy Signal") end return MarketOrder(BuySell, period) end -- enter into the specified direction function MarketOrder(BuySell, period) local valuemap, success, msg valuemap = core.valuemap() valuemap.Command = "CreateOrder" valuemap.OrderType = "OM" valuemap.OfferID = Offer valuemap.AcctID = Account valuemap.Quantity = Amount * BaseSize valuemap.BuySell = BuySell valuemap.CustomID = CustomID -- add stop/limit valuemap.PegTypeStop = "O" local Limit = (BB.DATA[period] / Source:pipSize()) * 1.25 local Stop = (BB.DATA[period] / Source:pipSize()) * 0.75 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 trade using the direction as a key function exitSpecific(BuySell) -- we have to loop through to exit all trades in each direction instead -- of using the net qty flag because we may be running multiple strategies on the same account. local enum, row local found = false enum = core.host:findTable("trades"):enumerator() row = enum:next() while (not found) and (row ~= nil) do -- for every trade for this instance. if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then exitTrade(row) end row = enum:next() end end -- exit from the specified direction function exitTrade(tradeRow) if not (AllowTrade) then return true end local valuemap, success, msg valuemap = core.valuemap() -- switch the direction since the order must be in oppsite direction if tradeRow.BS == "B" then BuySell = "S" else BuySell = "B" end valuemap.OrderType = "CM" valuemap.OfferID = Offer valuemap.AcctID = Account if (CanClose) then -- Non-FIFO can close each trade independantly. valuemap.TradeID = tradeRow.TradeID valuemap.Quantity = tradeRow.Lot else -- FIFO. valuemap.NetQtyFlag = "Y" -- this forces all trades to close in the opposite direction. end valuemap.BuySell = BuySell valuemap.CustomID = CustomID success, msg = terminal:execute(201, valuemap) if not (success) then terminal:alertMessage( instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed" .. msg, instance.bid:date(instance.bid:size() - 1) ) return false end return true end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua")