--+------------------------------------------------------------------+ --| Copyright © 2016, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --+------------------------------------------------------------------+ function Init() strategy:name("Volty Channel Stop Trade Strategy"); strategy:description("The strategy trades using Volty Channel Stop indicator"); strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound, ShowAlert"); strategy.parameters:addGroup("Volty Channel Stop Parameters"); strategy.parameters:addInteger("MA_N", "Moving Average Period", "", 1); strategy.parameters:addString("MA_M", "Moving Average Method", "The methods marked by an asterisk (*) require the appropriate strategys to be loaded.", "MVA"); strategy.parameters:addStringAlternative("MA_M", "MVA", "", "MVA"); strategy.parameters:addStringAlternative("MA_M", "EMA", "", "EMA"); strategy.parameters:addStringAlternative("MA_M", "LWMA", "", "LWMA"); strategy.parameters:addStringAlternative("MA_M", "SMMA*", "", "SMMA"); strategy.parameters:addStringAlternative("MA_M", "Vidya (1995)*", "", "VIDYA"); strategy.parameters:addStringAlternative("MA_M", "Vidya (1992)*", "", "VIDYA92"); strategy.parameters:addStringAlternative("MA_M", "Wilders*", "", "WMA"); strategy.parameters:addInteger("ATR_N", "ATR period", "", 10); strategy.parameters:addDouble("VF", "Volatility's Factor or Multiplier", "", 4); strategy.parameters:addInteger("OF", "Offset factor", "", 0); strategy.parameters:addString("P", "Price", "The price to the strategy apply to", "C"); strategy.parameters:addStringAlternative("P", "Open", "", "O"); strategy.parameters:addStringAlternative("P", "High", "", "H"); strategy.parameters:addStringAlternative("P", "Low", "", "L"); strategy.parameters:addStringAlternative("P", "Close", "", "C"); strategy.parameters:addStringAlternative("P", "Median", "", "M"); strategy.parameters:addStringAlternative("P", "Typical", "", "T"); strategy.parameters:addStringAlternative("P", "Weighted", "", "W"); strategy.parameters:addBoolean("HiLoE", "Use High/Low envelope", "", false); strategy.parameters:addBoolean("HiLoB", "Hi/Lo Break", "", true); strategy.parameters:addString("TF", "Time Frame", "", "m15"); strategy.parameters:setFlag("TF", core.FLAG_PERIODS); strategy.parameters:addGroup("Confirmation Parameters"); strategy.parameters:addBoolean("ConfirmSignal", "Use MVA to confirm signal", "", false); strategy.parameters:addInteger("CMA_N", "Moving Average Period", "", 100); strategy.parameters:addInteger("CMA_L", "Moving Average Look back periods", "", 1); strategy.parameters:addString("CMA_M", "Moving Average Method", "The methods marked by an asterisk (*) require the appropriate strategys to be loaded.", "MVA"); strategy.parameters:addStringAlternative("CMA_M", "MVA", "", "MVA"); strategy.parameters:addStringAlternative("CMA_M", "EMA", "", "EMA"); strategy.parameters:addStringAlternative("CMA_M", "LWMA", "", "LWMA"); strategy.parameters:addStringAlternative("CMA_M", "SMMA*", "", "SMMA"); strategy.parameters:addStringAlternative("CMA_M", "Vidya (1995)*", "", "VIDYA"); strategy.parameters:addStringAlternative("CMA_M", "Vidya (1992)*", "", "VIDYA92"); strategy.parameters:addStringAlternative("CMA_M", "Wilders*", "", "WMA"); strategy.parameters:addString("CTF", "Time Frame", "", "H1"); strategy.parameters:setFlag("CTF", core.FLAG_PERIODS); strategy.parameters:addGroup("Method and Schedule"); strategy.parameters:addString("CheckStyle", "Check method", "", "Bar"); strategy.parameters:addStringAlternative("CheckStyle", "On Recently Closed Bar", "", "Bar"); strategy.parameters:addStringAlternative("CheckStyle", "On Alive Bar", "", "Tick"); strategy.parameters:addBoolean("UseSchedule", "Trade in the specified period only", "", false); strategy.parameters:addInteger("StartHour", "Period Hour (24H, EST/EDT)", "", 3, 0, 24); strategy.parameters:addInteger("EndHour", "End Hour (24H, EST/EDT)", "", 14, 0, 24); 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("Account", "Account to trade on", "", ""); strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT); strategy.parameters:addInteger("Amount", "Trade Amount in Lots", "", 1, 1, 100); 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("IndicatorAsStop", "Use Indicator Value as additional stop", "", false); strategy.parameters:addBoolean("ExitNonConf", "Exit from position on non-confirmed signals", "", false); strategy.parameters:addGroup("Alert Parameters"); strategy.parameters:addBoolean("ShowAlert", "Show Alert", "", 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", "", false); strategy.parameters:addGroup("Email Parameters"); strategy.parameters:addBoolean("SendEmail", "Send email", "", false); strategy.parameters:addString("Email", "Email address", "", ""); strategy.parameters:setFlag("Email", core.FLAG_EMAIL); end local Email; local ShowAlert; local SoundFile; local RecurrentSound; local AllowTrade; local Offer; local CanClose; local Account; local Amount; local SetLimit; local Limit; local SetStop; local Stop; local TrailingStop; local IndicatorAsStop; local ExitNonConf; local CheckBar; local ConfirmSignal; local CMA_L; local CMA; local ticksource = nil; local barsource = nil; local confirmsource = nil; local indicator = nil; local UseSchedule; local StartHour; local EndHour; function Prepare(onlyName) local SendEmail = instance.parameters.SendEmail; if SendEmail then Email = instance.parameters.Email; else Email = nil; end assert(not(SendEmail) or (SendEmail and Email ~= ""), "Email address must be specified"); assert(instance.parameters.TF ~= "t1", "The time frame must not be tick"); assert(not(instance.parameters.PlaySound) or (instance.parameters.PlaySound and instance.parameters.SoundFile ~= ""), "Sound file must be chosen"); assert(core.indicators:findIndicator("VOLTYCHANNEL_STOP") ~= nil, "Please download and install VoltyChannel_Stop indicator!"); assert(core.indicators:findIndicator(instance.parameters.MA_M) ~= nil, "Please download and install " .. instance.parameters.MA_M .. " moving average indicator!"); ShowAlert = instance.parameters.ShowAlert; if instance.parameters.PlaySound then SoundFile = instance.parameters.SoundFile; RecurrentSound = instance.parameters.RecurrentSound; else SoundFile = nil; RecurrentSound = false; end local name; name = profile:id() .. "(" .. "VOLTY(" .. instance.bid:name() .. "." .. instance.parameters.TF .. "," .. instance.parameters.MA_N .. "," .. instance.parameters.MA_M .. "," .. instance.parameters.ATR_N .. "," .. instance.parameters.VF .. "," .. instance.parameters.OF .. "," .. instance.parameters.P .. ")" ConfirmSignal = instance.parameters.ConfirmSignal; if ConfirmSignal then assert(core.indicators:findIndicator(instance.parameters.CMA_M) ~= nil, "Please download and install " .. instance.parameters.CMA_M .. " moving average indicator!"); CMA_L = instance.parameters.CMA_L; name = name .. ",CONFIRM BY " .. instance.parameters.CMA_M .. "(" .. instance.bid:name() .. "." .. instance.parameters.CTF .. "," .. instance.parameters.CMA_N .. ") " .. CMA_L .. " bars ago"; end AllowTrade = instance.parameters.AllowTrade; if AllowTrade then Account = instance.parameters.Account; Amount = instance.parameters.Amount * 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 * instance.bid:pipSize(); SetStop = instance.parameters.SetStop; Stop = instance.parameters.Stop * instance.bid:pipSize(); TrailingStop = instance.parameters.TrailingStop; IndicatorAsStop = instance.parameters.IndicatorAsStop; ExitNonConf = instance.parameters.ExitNonConf; if (SetLimit or SetStop) and not(CanClose) then assert(false, "Stop and limit orders cannot be used by FIFO account"); end name = name .. ",trade)"; else name = name .. ",signal)"; end UseSchedule = instance.parameters.UseSchedule; if UseSchedule then StartHour = instance.parameters.StartHour; EndHour = instance.parameters.EndHour; assert(StartHour < EndHour, "Start hour must be less than the end hour"); end instance:name(name); if onlyName then return ; end if instance.parameters.CheckStyle == "Tick" then CheckBar = false; else CheckBar = true; end if not(CheckBar) then ticksource = ExtSubscribe(1, nil, "t1", true, "tick"); end barsource = ExtSubscribe(2, nil, instance.parameters.TF, true, "bar"); local iprofile = core.indicators:findIndicator("VOLTYCHANNEL_STOP"); local iparams = iprofile:parameters(); iparams:setInteger("MA_N", instance.parameters:getInteger("MA_N")); iparams:setString("MA_M", instance.parameters:getString("MA_M")); iparams:setInteger("ATR_N", instance.parameters:getInteger("ATR_N")); iparams:setDouble("VF", instance.parameters:getDouble("VF")); iparams:setInteger("OF", instance.parameters:getInteger("OF")); iparams:setString("P", instance.parameters:getString("P")); iparams:setBoolean("HiLoE", instance.parameters:getBoolean("HiLoE")); iparams:setBoolean("HiLoB", instance.parameters:getBoolean("HiLoB")); indicator = iprofile:createInstance(barsource, iparams); if ConfirmSignal then if instance.parameters.TF == instance.parameters.CTF then confirmsource = barsource.close; else confirmsource = ExtSubscribe(3, nil, instance.parameters.CTF, true, "close"); end CMA = core.indicators:create(instance.parameters.CMA_M, confirmsource, instance.parameters.CMA_N); CMA_L = instance.parameters.CMA_L; end end local loaded = false; local lastsignal = -1; local lastsignal_serial = -1; function ExtUpdate(id, source, period) if id == 1 and not(CheckBar) and loaded then CheckBar = true; ExtUpdate(2, barsource, barsource:size() - 1); CheckBar = false; elseif not(loaded) and id == 2 then core.host:trace("loaded"); loaded = true; elseif id == 2 and period > 1 and CheckBar then if UseSchedule then local currhour = math.floor(instance.bid:date(NOW) * 24 + 0.005) % 24; if currhour < StartHour or currhour >= EndHour then return ; end end indicator:update(core.UpdateLast); -- check whether the signal appears if not(indicator.DnBuffer:hasData(period - 1)) and indicator.DnBuffer:hasData(period) then if ConfirmSignal then local period1 = confirmsource:size() - 1; CMA:update(core.UpdateLast); if (CMA.DATA:first() >= (period1 - CMA_L)) or (CMA.DATA[period1 - CMA_L] < CMA.DATA[period1]) then if lastsignal == 1 and lastsignal_serial == source:serial(period) then return; end lastsignal = 1; lastsignal_serial = source:serial(period); terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "Enter Short is not confimed", instance.bid:date(NOW)); if SoundFile ~= nil then terminal:alertSound(SoundFile, false); end if ExitNonConf then exit("B"); end return ; end end if lastsignal == 2 and lastsignal_serial == source:serial(period) then return; end lastsignal = 2; lastsignal_serial = source:serial(period); -- switch to short if ShowAlert then terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "Enter Short", instance.bid:date(NOW)); end if SoundFile ~= nil then terminal:alertSound(SoundFile, RecurrentSound); end if Email ~= nil then terminal:alertEmail(Email, "Open Short Position", "Volty Channel Stop Open Short Position") end exit("B"); enter("S"); elseif not(indicator.UpBuffer:hasData(period - 1)) and indicator.UpBuffer:hasData(period) then if ConfirmSignal then local period1 = confirmsource:size() - 1; CMA:update(core.UpdateLast); if (CMA.DATA:first() >= (period1 - CMA_L)) or (CMA.DATA[period1 - CMA_L] > CMA.DATA[period1]) then if lastsignal == 3 and lastsignal_serial == source:serial(period) then return; end lastsignal = 3; lastsignal_serial = source:serial(period); terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "Enter Long is not confimed", instance.bid:date(NOW)); if SoundFile ~= nil then terminal:alertSound(SoundFile, false); end if ExitNonConf then exit("S"); end return ; end end if lastsignal == 4 and lastsignal_serial == source:serial(period) then return; end lastsignal = 4; lastsignal_serial = source:serial(period); -- switch to long if ShowAlert then terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], "Enter Long", instance.bid:date(NOW)); end if SoundFile ~= nil then terminal:alertSound(SoundFile, RecurrentSound); end if Email ~= nil then terminal:alertEmail (Email, "Open Long Position ", "Volty Channel Stop Open Long Position") end exit("S"); enter("B"); elseif indicator.DnBuffer:hasData(period) and source.close[period] > indicator.DnBuffer[period] and IndicatorAsStop then if lastsignal == 5 and lastsignal_serial == source:serial(period) then return; end lastsignal = 5; lastsignal_serial = source:serial(period); exit("S"); elseif indicator.UpBuffer:hasData(period) and source.close[period] < indicator.DnBuffer[period] and IndicatorAsStop then if lastsignal == 6 and lastsignal_serial == source:serial(period) then return; end lastsignal = 6; lastsignal_serial = source:serial(period); exit("B"); end end end -- enter into the specified direction function enter(BuySell) if not(AllowTrade) then return ; end local enum, row, valuemap, success, msg; -- check whether we have at least one trade on the specified account -- in the specified direction for the specified instrument local count = 0; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); while count == 0 and row ~= nil do if row.AccountID == Account and row.OfferID == Offer and row.BS == BuySell then count = count + 1; end row = enum:next(); end -- do not enter if position in the -- specified direction already exists if count > 0 then return ; end local valuemap, success, msg; valuemap = core.valuemap(); valuemap.OrderType = "OM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.Quantity = Amount; valuemap.BuySell = BuySell; valuemap.PegTypeStop = "M"; if SetLimit then -- set limit order if BuySell == "B" then valuemap.RateLimit = instance.ask[NOW] + Limit; else valuemap.RateLimit = instance.bid[NOW] - Limit; end end if SetStop then -- set limit order if BuySell == "B" then valuemap.RateStop = instance.ask[NOW] - Stop; else valuemap.RateStop = instance.bid[NOW] + Stop; end if TrailingStop then valuemap.TrailStepStop = 1; end end success, msg = terminal:execute(100, 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)); end end -- exit from the specified direction function exit(BuySell) if not(AllowTrade) then return ; end local enum, row, valuemap, success, msg; -- check whether we have at least one trade on the specified account -- in the specified direction for the specified instrument local count = 0; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); while count == 0 and row ~= nil do if row.AccountID == Account and row.OfferID == Offer and row.BS == BuySell then count = count + 1; end row = enum:next(); end if count > 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], "Close order failed" .. msg, instance.bid:date(instance.bid:size() - 1)); end end end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");