-- Id: 5756 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=12889 --+------------------------------------------------------------------+ --| 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("Three MA/Price/ATR Strategy") strategy:description("") strategy:setTag("Version", "1.1") 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") strategy.parameters:addString("TF", "Fast MA time frame", "", "m5") strategy.parameters:setFlag("TF", core.FLAG_PERIODS) strategy.parameters:addGroup("1. MA Calculation") strategy.parameters:addInteger("MA1", "Period", "", 34) strategy.parameters:addString("Price1", "Price Source", "", "close") strategy.parameters:addStringAlternative("Price1", "OPEN", "", "open") strategy.parameters:addStringAlternative("Price1", "HIGH", "", "high") strategy.parameters:addStringAlternative("Price1", "LOW", "", "low") strategy.parameters:addStringAlternative("Price1", "CLOSE", "", "close") strategy.parameters:addStringAlternative("Price1", "MEDIAN", "", "median") strategy.parameters:addStringAlternative("Price1", "TYPICAL", "", "typical") strategy.parameters:addStringAlternative("Price1", "WEIGHTED", "", "weighted") strategy.parameters:addString("Type1", "Method", "Method", "MVA") strategy.parameters:addStringAlternative("Type1", "MVA", "MVA", "MVA") strategy.parameters:addStringAlternative("Type1", "EMA", "EMA", "EMA") strategy.parameters:addStringAlternative("Type1", "LWMA", "LWMA", "LWMA") strategy.parameters:addStringAlternative("Type1", "TMA", "TMA", "TMA") strategy.parameters:addStringAlternative("Type1", "SMMA", "SMMA", "SMMA") strategy.parameters:addStringAlternative("Type1", "KAMA", "KAMA", "KAMA") strategy.parameters:addStringAlternative("Type1", "WMA", "WMA", "WMA") strategy.parameters:addStringAlternative("Type1", "VIDYA", "VIDYA", "VIDYA") strategy.parameters:addGroup("2. MA Calculation") strategy.parameters:addInteger("MA2", "Period", "", 70) strategy.parameters:addString("Price2", "Price Source", "", "close") strategy.parameters:addStringAlternative("Price2", "OPEN", "", "open") strategy.parameters:addStringAlternative("Price2", "HIGH", "", "high") strategy.parameters:addStringAlternative("Price2", "LOW", "", "low") strategy.parameters:addStringAlternative("Price2", "CLOSE", "", "close") strategy.parameters:addStringAlternative("Price2", "MEDIAN", "", "median") strategy.parameters:addStringAlternative("Price2", "TYPICAL", "", "typical") strategy.parameters:addStringAlternative("Price2", "WEIGHTED", "", "weighted") strategy.parameters:addString("Type2", "Method", "Method", "MVA") strategy.parameters:addStringAlternative("Type2", "MVA", "MVA", "MVA") strategy.parameters:addStringAlternative("Type2", "EMA", "EMA", "EMA") strategy.parameters:addStringAlternative("Type2", "LWMA", "LWMA", "LWMA") strategy.parameters:addStringAlternative("Type2", "TMA", "TMA", "TMA") strategy.parameters:addStringAlternative("Type2", "SMMA", "SMMA", "SMMA") strategy.parameters:addStringAlternative("Type2", "KAMA", "KAMA", "KAMA") strategy.parameters:addStringAlternative("Type2", "WMA", "WMA", "WMA") strategy.parameters:addStringAlternative("Type2", "VIDYA", "VIDYA", "VIDYA") strategy.parameters:addGroup("3. MA Calculation") strategy.parameters:addInteger("MA3", "Period", "", 100) strategy.parameters:addString("Price3", "Price Source", "", "close") strategy.parameters:addStringAlternative("Price3", "OPEN", "", "open") strategy.parameters:addStringAlternative("Price3", "HIGH", "", "high") strategy.parameters:addStringAlternative("Price3", "LOW", "", "low") strategy.parameters:addStringAlternative("Price3", "CLOSE", "", "close") strategy.parameters:addStringAlternative("Price3", "MEDIAN", "", "median") strategy.parameters:addStringAlternative("Price3", "TYPICAL", "", "typical") strategy.parameters:addStringAlternative("Price3", "WEIGHTED", "", "weighted") strategy.parameters:addString("Type3", "Method", "Method", "MVA") strategy.parameters:addStringAlternative("Type3", "MVA", "MVA", "MVA") strategy.parameters:addStringAlternative("Type3", "EMA", "EMA", "EMA") strategy.parameters:addStringAlternative("Type3", "LWMA", "LWMA", "LWMA") strategy.parameters:addStringAlternative("Type3", "TMA", "TMA", "TMA") strategy.parameters:addStringAlternative("Type3", "SMMA", "SMMA", "SMMA") strategy.parameters:addStringAlternative("Type3", "KAMA", "KAMA", "KAMA") strategy.parameters:addStringAlternative("Type3", "WMA", "WMA", "WMA") strategy.parameters:addStringAlternative("Type3", "VIDYA", "VIDYA", "VIDYA") strategy.parameters:addGroup("ATR Calculation") strategy.parameters:addInteger("ATR", "Period", "", 14) strategy.parameters:addDouble("Multiplier", "Multiplier", "", 2) 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 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( "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", "", true) 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 ATR, Multiplier local Indicator = {} local Short = {} local Source local Direction local first local Price1, Price2, Price3 local Type1, Type2, Type3 local MA1, MA2, MA3 local OpenTime, CloseTime, ExitTime, ValidInterval, UseMandatoryClosing local ToTime -- function Prepare(nameOnly) Price1 = instance.parameters.Price1 Price2 = instance.parameters.Price2 Price3 = instance.parameters.Price3 Type1 = instance.parameters.Type1 Type2 = instance.parameters.Type2 Type3 = instance.parameters.Type3 MA1 = instance.parameters.MA1 MA2 = instance.parameters.MA2 MA3 = instance.parameters.MA3 Multiplier = instance.parameters.Multiplier ATR = instance.parameters.ATR -- NG: replace string comparison everytime in future. Direction = instance.parameters.Direction == "direct" Indicator["ATR"] = nil Indicator["MA1"] = nil Indicator["MA2"] = nil Indicator["MA3"] = nil -- NG: check TF1/TF2 instead of TF assert(instance.parameters.TF ~= "t1", "The time frame must not be tick") local name name = profile:id() .. "( " .. instance.bid:name() local i name = name .. ", " .. MA1 .. ", " .. MA2 .. ", " .. MA3 .. ", " .. ATR .. ", " .. Multiplier name = name .. " )" instance:name(name) PrepareTrading() if nameOnly then return end Source = ExtSubscribe(1, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "bar") Indicator["ATR"] = core.indicators:create("ATR", Source, ATR) Short["ATR"] = Indicator["ATR"]:getStream(0) assert(core.indicators:findIndicator(Type1) ~= nil, Type1 .. " indicator must be installed"); Indicator["MA1"] = core.indicators:create(Type1, Source[Price1], MA1) Short["MA1"] = Indicator["MA1"]:getStream(0) assert(core.indicators:findIndicator(Type2) ~= nil, Type2 .. " indicator must be installed"); Indicator["MA2"] = core.indicators:create(Type2, Source[Price2], MA2) Short["MA2"] = Indicator["MA2"]:getStream(0) assert(core.indicators:findIndicator(Type3) ~= nil, Type3 .. " indicator must be installed"); Indicator["MA3"] = core.indicators:create(Type3, Source[Price3], MA3) Short["MA3"] = Indicator["MA3"]:getStream(0) first = math.max(Short["ATR"]:first(), Short["MA1"]:first(), Short["MA2"]:first(), Short["MA3"]: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 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 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 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 (now >= OpenTime and now <= CloseTime) then return end Indicator["ATR"]:update(core.UpdateLast) Indicator["MA1"]:update(core.UpdateLast) Indicator["MA2"]:update(core.UpdateLast) Indicator["MA3"]:update(core.UpdateLast) if period < first + 1 then return end if Short["MA1"][period] > Short["MA2"][period] and Short["MA2"][period] > Short["MA3"][period] and Short["MA1"][period] - Short["MA2"][period] > Short["ATR"][period] * Multiplier and core.crossesOver(Source.close, Short["MA1"], period) then if Direction then BUY() else SELL() end elseif Short["MA1"][period] < Short["MA2"][period] and Short["MA2"][period] < Short["MA3"][period] and Short["MA2"][period] - Short["MA1"][period] > Short["ATR"][period] * Multiplier and core.crossesUnder(Source.close, Short["MA1"], period) then if Direction then SELL() else BUY() end end if core.crossesUnder(Source.close, Short["MA2"], period) 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 end if core.crossesOver(Source.close, Short["MA2"], period) 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, use_net) if not (AllowTrade) then return true end if use_net == true then 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(101, 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 else local enum = core.host:findTable("trades"):enumerator(); local row = enum:next(); while row ~= nil do if row.BS == BuySell and row.OfferID == Offer then local valuemap = core.valuemap(); valuemap.BuySell = row.BS == "B" and "S" or "B"; valuemap.OrderType = "CM"; valuemap.OfferID = row.OfferID; valuemap.AcctID = row.AccountID; valuemap.TradeID = row.TradeID; valuemap.Quantity = row.Lot; local success, msg = terminal:execute(101, valuemap); end row = enum: next(); end end return false end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua")