//+-----------------------------------------------------------------------------+ //| Firebird v0.63 - MA envelope exhaustion system | //+-----------------------------------------------------------------------------+ #property copyright "Copyright © 2005, TraderSeven" #property link "TraderSeven@gmx.net" // Ron added [2006 03 08 (Mar 08)] // maxDrawDown and maxOrders to track DD and number of open orders // Divergence to protect from trends // \\|// +-+-+-+-+-+-+-+-+-+-+-+ \\|// // ( o o ) |T|r|a|d|e|r|S|e|v|e|n| ( o o ) // ~~~~oOOo~(_)~oOOo~~~~ +-+-+-+-+-+-+-+-+-+-+-+ ~~~~oOOo~(_)~oOOo~~~~ // Firebird calculates a 10 day SMA and then shifts it up and down 2% to for a channel. // For the calculation of this SMA either close (more trades) or H+L (safer trades) is used. // When the price breaks a band a postion in the opposite of the current trend is taken. // If the position goes against us we simply open an extra position to average. // 50% of the trades last a day. 45% 2-6 days 5% longer or just fail. // //01010100 01110010 01100001 01100100 01100101 01110010 01010011 01100101 01110110 01100101 01101110 // Credits fly to: // Vooch for the backtesting fix. // Hugues Du Bois for the multi currency code. // Jackie Griffin for some debugging. // Many people in the MT forum for testing and feedback //----------------------- USER INPUT extern int MA_length = 20; extern int MA_timeframe = 30; // hdb did I add this ? lol extern int MAtype=1;//0=close, 1=HL extern double Percent = 0.148; extern int TradeOnFriday =1; // >0 trades on friday extern int slip = 100;//exits only extern double Lots = 0.3; extern int TakeProfit = 73; extern int Stoploss = 90;// total loss on all open positions in pips // Ron added for iFXAnalyzer extern int Fast_Period=10; extern int Fast_Price = PRICE_OPEN; extern int Slow_Period=100; extern int Slow_Price = PRICE_OPEN; extern double DivergenceLimit=0.0033; double diverge; // if(pos==0) // { // tickcount++; // iFileHandle = FileOpen("iDivergence", FILE_CSV|FILE_WRITE, ","); // FileSeek(iFileHandle, 0, SEEK_END); // FileWrite(iFileHandle, tickcount," ",maF1-maS1); // FileFlush(iFileHandle); // FileClose(iFileHandle); // } //extern double TrailingStop = 5; extern int PipStep = 9; //if position goes this amount of pips against you add another. extern double IncreasementType =0; //0=just add every PipStep, >0 =OrdersToal()^x *Pipstep extern int MagicNumber=12345; double Stopper=0; double KeepStopLoss=0; double KeepAverage; double dummy; double spread=0; double CurrentPipStep; int OrderWatcher=0; // Ron Adds int maxDD=0; int maxOO=0; //----------------------- MAIN PROGRAM LOOP int start() { double PriceTarget; double AveragePrice; int OpeningDay; //Ron Added if(AccountBalance()-AccountEquity() > maxDD) maxDD=AccountBalance()-AccountEquity(); if(OrdersTotal()>maxOO) maxOO=OrdersTotal(); diverge=divergence(Fast_Period,Slow_Period,Fast_Price,Slow_Price,0); Comment("maxDrawDown=",maxDD," maxOrdersOpen=",maxOO," Current Divergence = ",diverge); //----------------------- CALCULATE THE NEW PIPSTEP CurrentPipStep=PipStep; if(IncreasementType>0) { CurrentPipStep=MathSqrt(OrdersTotal())*PipStep; CurrentPipStep=MathPow(OrdersTotal(),IncreasementType)*PipStep; } //----------------------- int Direction=0;//1=long, 11=avoid long, 2=short, 22=avoid short if (Day()!=5 || TradeOnFriday >0) { int cnt=0, total; int myTotal =0; // hdb total=OrdersTotal(); if(total==0) OpeningDay=DayOfYear(); for(cnt=0;cntdifference) { // At least 2 periods away! flag=1; // Throw a flag break; } } } } ///////////////////////////////////////////////////////////////////////////////////////// if(flag!=1) { //----------------------- PREVIOUS OPEN PRICE OrderWatcher=0; total=OrdersTotal(); for(cnt=(total-1);cnt>=0;cnt--){ OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES); // Print("ordersymbol = ", OrderSymbol(), " OrderOpenPrice= ", DoubleToStr(OrderOpenPrice(), 10)); if ( OrderSymbol()==Symbol()) // && (OrderMagicNumber()==MagicNumber) ) // hdb - only symbol and magic { LastPrice=OrderOpenPrice(); Comment("LastPrice= ",DoubleToStr(LastPrice, 10)); // Print("cnt= ", cnt, " ordersymbol = ", OrderSymbol(), " OrderOpenPrice= ", DoubleToStr(OrderOpenPrice(), 10), " lastprice= ",DoubleToStr(LastPrice, 10 )); break; } } //Print("ordersymbol = ", OrderSymbol(), " OrderOpenPrice= ", DoubleToStr(OrderOpenPrice(), 10), " lastprice= ",DoubleToStr(LastPrice, 10 )); //----------------------- ENTER POSITION BASED ON OPEN if(MAtype==0) { double myMA =iMA(NULL,MA_timeframe,MA_length,0,MODE_SMA,PRICE_OPEN,0); // Print(" Top, Bid ",myMA*(1+Percent/100)," ",Bid); // if((myMA*(1+Percent/100)) Only sell if >= 30 pips above previous position entry if((myMA*(1+Percent/100))=(LastPrice+(CurrentPipStep*Point))||total==0)) { // Ron added divergence check if(diverge>=(DivergenceLimit*(-1)) && diverge<=DivergenceLimit) { OrderSend(Symbol(),OP_SELL,Lots,Bid,slip,Bid+(Stoploss*Point),Bid-(TakeProfit*Point),0,0,Red); OrderWatcher=1; Direction=2; } } // Go LONG -> Only buy if >= 30 pips below previous position entry if((myMA*(1-Percent/100))>Ask && Direction!=11 && (Ask<=(LastPrice-(CurrentPipStep*Point))||total==0)) { // Ron added divergence check if(diverge>=(DivergenceLimit*(-1)) && diverge<=DivergenceLimit) { OrderSend(Symbol(),OP_BUY,Lots,Ask,slip,Ask-(Stoploss*Point),Ask+(TakeProfit*Point),0,0,Blue); OrderWatcher=1; Direction=1; } } } //----------------------- ENTER POSITION BASED ON HIGH/LOW if(MAtype==1) { if((iMA(NULL,MA_timeframe,MA_length,0,MODE_SMA,PRICE_HIGH,0)*(1+Percent/100))=(LastPrice+(CurrentPipStep*Point))||total==0)) // Go SHORT -> Only sell if >= 30 pips above previous position entry { // Ron added divergence check if(diverge>=(DivergenceLimit*(-1)) && diverge<=DivergenceLimit) { OrderSend(Symbol(),OP_SELL,Lots,Bid,slip,Bid+(Stoploss*Point),Bid-(TakeProfit*Point),0,0,Red); OrderWatcher=1; Direction=2; } } if((iMA(NULL,MA_timeframe,MA_length,0,MODE_SMA,PRICE_LOW,0)*(1-Percent/100))>Ask && Direction!=11 && (Ask<=(LastPrice-(CurrentPipStep*Point))||total==0)) // Go LONG -> Only buy if >= 30 pips below previous position entry { // Ron added divergence check if(diverge>=(DivergenceLimit*(-1)) && diverge<=DivergenceLimit) { OrderSend(Symbol(),OP_BUY,Lots,Ask,slip,Ask-(Stoploss*Point),Ask+(TakeProfit*Point),0,0,Blue); OrderWatcher=1; Direction=1; } } } } // end of flag test //----------------------- CALCULATE AVERAGE OPENING PRICE total=OrdersTotal(); AveragePrice=0; int myOrderType = -1; // hdb myTotal = 0; // hdb - count of relevant trades if(total>1 && OrderWatcher==1) { for(cnt=0;cnt1) // Calculate profit/stop target for long { PriceTarget=AveragePrice+(TakeProfit*Point); Stopper=AveragePrice-(((Stoploss*Point)/myTotal)); } if(myOrderType==OP_SELL && OrderWatcher==1 && myTotal>1) // Calculate profit/stop target for short { PriceTarget=AveragePrice-(TakeProfit*Point); Stopper=AveragePrice+(((Stoploss*Point)/myTotal)); } Comment("AveragePrice", AveragePrice); //----------------------- IF NEEDED CHANGE ALL OPEN ORDERS TO THE NEWLY CALCULATED PROFIT TARGET //if(OrderWatcher==1 && myTotal>1)// check if average has really changed //if(OrderWatcher==1 && myTotal>1)// check if average has really changed // { total=OrdersTotal(); for(cnt=0;cnt0) { myOrderType = -1; // hdb myTotal = 0; // hdb - count of relevant trades total=OrdersTotal(); for(cnt=0;cnt(dummy-spread)) { // a stoploss was hit if(Direction==1) Direction=11;// no more longs if(Direction==2) Direction=22;// no more shorts } KeepStopLoss=0; } } } // Ron added for divergence filter double divergence(int F_Period, int S_Period, int F_Price, int S_Price, int mypos) { double maF1, maF2, maS1, maS2; double dv1, dv2; maF1=iMA(Symbol(),0,F_Period,0,MODE_SMA,F_Price,mypos); maS1=iMA(Symbol(),0,S_Period,0,MODE_SMA,S_Price,mypos); dv1=(maF1-maS1); maF2=iMA(Symbol(),0,F_Period,0,MODE_SMA,F_Price,mypos+1); maS2=iMA(Symbol(),0,S_Period,0,MODE_SMA,S_Price,mypos+1); dv2=((maF1-maS1)-(maF2-maS2)); return(dv1-dv2); } //----------------------- TO DO LIST // 1st days profit target is the 30 pip line *not* 30 pips below average as usually. -----> Day() // Trailing stop -> trailing or S/R or pivot target // Realistic stop loss // Avoid overly big positions // EUR/USD 30 pips / use same value as CurrentPipStep // GBP/CHF 50 pips / use same value as CurrentPipStep // USD/CAD 35 pips / use same value as CurrentPipStep //----------------------- OBSERVATIONS // GBPUSD not suited for this system due to not reversing exhaustions. Maybe use other types of MA // EURGBP often sharp reversals-> good for trailing stops? // EURJPY deep pockets needed.