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HAN_Z-Score.mq4
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HAN_Z-Score.mq4
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//+------------------------------------------------------------------+
//| HAN_Z-Score |
//| Copyright © 2013-2022, EarnForex.com |
//| https://www.earnforex.com/ |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2013-2022, EarnForex"
#property link "https://www.earnforex.com/metatrader-expert-advisors/Heiken-Ashi-Naive/"
#property version "1.03"
#property strict
#include <stdlib.mqh>
#property description "Uses Heiken Ashi candles."
#property description "Buy: Bullish HA candle, no lower wick, body longer than prev. body, prev. candle bullish."
#property description "Sell: Bearish HA candle, no upper wick, body longer than prev. body, prev. candle bearish."
#property description "Exit buy: Bearish HA candle, current candle has no upper wick, previous also bearish."
#property description "Exit sell: Bullish HA candle, current candle has no lower wick, previous also bullish."
#property description "You can choose either direct trading (buy on bullish) or inverted (sell on bullish)."
// Main:
input bool Inverted = true; // Inversion: If true, sells on Bullish signals, buys on Bearish.
// Money management:
input double Lots = 0.1; // Lots: Basic lot size
input bool MM = false; // MM: If true - ATR-based position sizing
input int ATR_Period = 20;
input double ATR_Multiplier = 1;
input double Risk = 2; // Risk: Risk tolerance in percentage points
input double FixedBalance = 0; // FixedBalance: If >= 0, will use it instead of actual balance.
input double MoneyRisk = 0; // MoneyRisk: Risk tolerance in base currency
input bool UseMoneyInsteadOfPercentage = false;
input bool UseEquityInsteadOfBalance = false;
// Miscellaneous:
input string OrderCommentary = "HAN";
input int Slippage = 100; // Slippage: Tolerated slippage in points
input int Magic = 1520122013; // Magic: Order magic number
input bool Mute = false; // No output about virtual trading
input string FileName = "HAN_vt.dat";
// Global variables:
// Common:
int LastBars = 0;
bool HaveLongPosition;
bool HaveShortPosition;
double StopLoss; // Not actual stop-loss - just a potential loss of MM estimation.
// Trade virtualization for Z-Score optimization:
bool TradeBlock = false; // Blocks real trading, allowing virtual.
int VirtualDirection;
bool VirtualOpen = false;
double VirtualOP; // Open price for virtual position.
int BlockTicket = -1; // The order ticket, after which real trading was blocked.
int fh; // File handle for saving and loading virtual trading data.
void OnInit()
{
LoadFile();
fh = FileOpen(FileName, FILE_WRITE | FILE_BIN);
}
void OnTick()
{
if ((!IsTradeAllowed()) || (IsTradeContextBusy()) || (!IsConnected()) || ((!MarketInfo(Symbol(), MODE_TRADEALLOWED)) && (!IsTesting()))) return;
// Trade only if new bar has arrived.
if (LastBars != Bars) LastBars = Bars;
else return;
if (MM)
{
// Getting the potential loss value based on current ATR.
StopLoss = iATR(NULL, 0, ATR_Period, 1) * ATR_Multiplier;
}
// Close conditions.
bool BearishClose = false;
bool BullishClose = false;
// Signals.
bool Bullish = false;
bool Bearish = false;
// Heiken Ashi indicator values.
double HAOpenLatest, HAOpenPrevious, HACloseLatest, HAClosePrevious, HAHighLatest, HALowLatest;
HAOpenLatest = iCustom(NULL, 0, "Heiken Ashi", 2, 1);
HAOpenPrevious = iCustom(NULL, 0, "Heiken Ashi", 2, 2);
HACloseLatest = iCustom(NULL, 0, "Heiken Ashi", 3, 1);
HAClosePrevious = iCustom(NULL, 0, "Heiken Ashi", 3, 2);
if (HAOpenLatest >= HACloseLatest) HAHighLatest = iCustom(NULL, 0, "Heiken Ashi", 0, 1);
else HAHighLatest = iCustom(NULL, 0, "Heiken Ashi", 1, 1);
if (HAOpenLatest >= HACloseLatest) HALowLatest = iCustom(NULL, 0, "Heiken Ashi", 1, 1);
else HALowLatest = iCustom(NULL, 0, "Heiken Ashi", 0, 1);
// Close signals.
// Bullish HA candle, current has no lower wick, previous also bullish.
if ((HAOpenLatest < HACloseLatest) && (HALowLatest == HAOpenLatest) && (HAOpenPrevious < HAClosePrevious))
{
if (Inverted) BullishClose = true;
else BearishClose = true;
}
// Bearish HA candle, current has no upper wick, previous also bearish.
else if ((HAOpenLatest > HACloseLatest) && (HAHighLatest == HAOpenLatest) && (HAOpenPrevious > HAClosePrevious))
{
if (Inverted) BearishClose = true;
else BullishClose = true;
}
// First entry condition
// Bullish HA candle, and body is longer than previous body, previous also bullish, current has no lower wick.
if ((HAOpenLatest < HACloseLatest) && (HACloseLatest - HAOpenLatest > MathAbs(HAClosePrevious - HAOpenPrevious)) && (HAOpenPrevious < HAClosePrevious) && (HALowLatest == HAOpenLatest))
{
if (Inverted)
{
Bullish = false;
Bearish = true;
}
else
{
Bullish = true;
Bearish = false;
}
}
// Second entry condition
// Bearish HA candle, and body is longer than previous body, previous also bearish, current has no upper wick.
else if ((HAOpenLatest > HACloseLatest) && (HAOpenLatest - HACloseLatest > MathAbs(HAClosePrevious - HAOpenPrevious)) && (HAOpenPrevious > HAClosePrevious) && (HAHighLatest == HAOpenLatest))
{
if (Inverted)
{
Bullish = true;
Bearish = false;
}
else
{
Bullish = false;
Bearish = true;
}
}
else
{
Bullish = false;
Bearish = false;
}
GetPositionStates();
if ((HaveShortPosition) && (BearishClose)) ClosePrevious();
if ((HaveLongPosition) && (BullishClose)) ClosePrevious();
// Virtual trading - blocking trading following a profitable trade.
// Positive Z-Score means that losers are likely to be followed by winners and vice versa.
if (!TradeBlock)
{
int tickets[];
int nTickets = GetHistoryOrderByCloseTime(tickets);
if (nTickets > 0)
{
if (!OrderSelect(tickets[0], SELECT_BY_TICKET))
{
int e = GetLastError();
Print("OrderSelect Error: ", e);
return;
}
if ((OrderProfit() > 0) && (OrderTicket() != BlockTicket))
{
TradeBlock = true;
BlockTicket = OrderTicket();
SaveFile();
if (!Mute) Print("Real trading blocked on: ", tickets[0], " ", OrderOpenPrice(), " ", OrderProfit());
}
}
}
if (Bullish)
{
if (!HaveLongPosition) fBuy();
}
else if (Bearish)
{
if (!HaveShortPosition) fSell();
}
return;
}
//+------------------------------------------------------------------+
//| Check what position is currently open. |
//+------------------------------------------------------------------+
void GetPositionStates()
{
if (TradeBlock) // Virtual Check
{
if (VirtualOpen)
{
if (VirtualDirection == OP_BUY)
{
HaveLongPosition = true;
HaveShortPosition = false;
}
else if (VirtualDirection == OP_SELL)
{
HaveLongPosition = false;
HaveShortPosition = true;
}
}
else
{
HaveLongPosition = false;
HaveShortPosition = false;
}
return;
}
int total = OrdersTotal();
for (int cnt = 0; cnt < total; cnt++)
{
if (OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES) == false) continue;
if (OrderMagicNumber() != Magic) continue;
if (OrderSymbol() != Symbol()) continue;
if (OrderType() == OP_BUY)
{
HaveLongPosition = true;
HaveShortPosition = false;
return;
}
else if (OrderType() == OP_SELL)
{
HaveLongPosition = false;
HaveShortPosition = true;
return;
}
}
HaveLongPosition = false;
HaveShortPosition = false;
}
//+------------------------------------------------------------------+
//| Buy |
//+------------------------------------------------------------------+
void fBuy()
{
RefreshRates();
if (TradeBlock) // Virtual Buy
{
VirtualDirection = OP_BUY;
VirtualOpen = true;
VirtualOP = Ask;
SaveFile();
if (!Mute) Print("Entered Virtual Long at ", VirtualOP, ".");
return;
}
int result = OrderSend(Symbol(), OP_BUY, LotsOptimized(), Ask, Slippage, 0, 0, OrderCommentary, Magic);
if (result == -1)
{
int e = GetLastError();
Print("OrderSend Error: ", e);
}
}
//+------------------------------------------------------------------+
//| Sell |
//+------------------------------------------------------------------+
void fSell()
{
RefreshRates();
if (TradeBlock) // Virtual Sell
{
VirtualDirection = OP_SELL;
VirtualOpen = true;
VirtualOP = Bid;
SaveFile();
if (!Mute) Print("Entered Virtual Short at ", VirtualOP, ".");
return;
}
int result = OrderSend(Symbol(), OP_SELL, LotsOptimized(), Bid, Slippage, 0, 0, OrderCommentary, Magic);
if (result == -1)
{
int e = GetLastError();
Print("OrderSend Error: ", e);
}
}
//+------------------------------------------------------------------+
//| Calculate position size depending on money management parameters.|
//+------------------------------------------------------------------+
double LotsOptimized()
{
if (!MM) return (Lots);
double Size, RiskMoney, PositionSize = 0;
if (AccountCurrency() == "") return(0);
if (FixedBalance > 0)
{
Size = FixedBalance;
}
else if (UseEquityInsteadOfBalance)
{
Size = AccountEquity();
}
else
{
Size = AccountBalance();
}
if (!UseMoneyInsteadOfPercentage) RiskMoney = Size * Risk / 100;
else RiskMoney = MoneyRisk;
double UnitCost = MarketInfo(Symbol(), MODE_TICKVALUE);
double TickSize = MarketInfo(Symbol(), MODE_TICKSIZE);
int LotStep_digits = CountDecimalPlaces(MarketInfo(Symbol(), MODE_LOTSTEP));
if ((StopLoss != 0) && (UnitCost != 0) && (TickSize != 0)) PositionSize = NormalizeDouble(RiskMoney / (StopLoss * UnitCost / TickSize), LotStep_digits);
if (PositionSize < MarketInfo(Symbol(), MODE_MINLOT)) PositionSize = MarketInfo(Symbol(), MODE_MINLOT);
else if (PositionSize > MarketInfo(Symbol(), MODE_MAXLOT)) PositionSize = MarketInfo(Symbol(), MODE_MAXLOT);
return(PositionSize);
}
//+------------------------------------------------------------------+
//| Close previous position. |
//+------------------------------------------------------------------+
void ClosePrevious()
{
if (TradeBlock) // Virtual Exit
{
if (VirtualOpen)
{
if (VirtualDirection == OP_BUY)
{
// We lost, so the virtual trading can be turned off.
if (Bid < VirtualOP) TradeBlock = false;
if (!Mute) Print("Closed Virtual Long at ", Bid, " with Open at ", VirtualOP);
}
else if (VirtualDirection == OP_SELL)
{
// We lost, so the virtual trading can be turned off.
if (Ask > VirtualOP) TradeBlock = false;
if (!Mute) Print("Closed Virtual Short at ", Ask, " with Open at ", VirtualOP);
}
VirtualDirection = -1;
VirtualOpen = false;
VirtualOP = 0;
SaveFile();
}
return;
}
int total = OrdersTotal();
for (int i = 0; i < total; i++)
{
if (!OrderSelect(i, SELECT_BY_POS)) continue;
if ((OrderSymbol() == Symbol()) && (OrderMagicNumber() == Magic))
{
if (OrderType() == OP_BUY)
{
RefreshRates();
if (!OrderClose(OrderTicket(), OrderLots(), Bid, Slippage))
{
int e = GetLastError();
Print("OrderClose Error: ", e);
}
}
else if (OrderType() == OP_SELL)
{
RefreshRates();
if (!OrderClose(OrderTicket(), OrderLots(), Ask, Slippage))
{
int e = GetLastError();
Print("OrderClose Error: ", e);
}
}
}
}
}
//+------------------------------------------------------------------+
//| Saves Virtual Trading data to a file. |
//+------------------------------------------------------------------+
void SaveFile()
{
// Need it to overwrite the data, not to append it each time we save.
FileSeek(fh, 0, SEEK_SET);
FileWriteInteger(fh, TradeBlock, CHAR_VALUE);
FileWriteInteger(fh, VirtualDirection, CHAR_VALUE);
FileWriteInteger(fh, VirtualOpen, CHAR_VALUE);
FileWriteDouble(fh, VirtualOP, DOUBLE_VALUE);
FileWriteInteger(fh, BlockTicket, LONG_VALUE);
}
//+------------------------------------------------------------------+
//| Loads Virtual Trading data from a file. |
//+------------------------------------------------------------------+
void LoadFile()
{
fh = FileOpen(FileName, FILE_READ | FILE_BIN);
if (fh < 0)
{
int err = GetLastError();
if (err == 4103) Print("No saved file to load.");
else Print(ErrorDescription(GetLastError()));
return;
}
TradeBlock = FileReadInteger(fh, CHAR_VALUE);
VirtualDirection = FileReadInteger(fh, CHAR_VALUE);
VirtualOpen = FileReadInteger(fh, CHAR_VALUE);
VirtualOP = FileReadDouble(fh, DOUBLE_VALUE);
BlockTicket = FileReadInteger(fh, LONG_VALUE);
Print("Loaded virtual trading data. TradeBlock = ", TradeBlock, " VirtualDirection = ", VirtualDirection, " VirtualOpen = ", VirtualOpen, " VirtualOP = ", VirtualOP, " BlockTicket = ", BlockTicket);
FileClose(fh);
}
//+------------------------------------------------------------------+
//| Order History Sorting Function by WHRoeder: |
//| http://www.mql4.com/users/WHRoeder |
//+------------------------------------------------------------------+
int GetHistoryOrderByCloseTime(int& tickets[], int dsc = 1)
{
/* http://forum.mql4.com/46182 zzuegg says history ordering "is not reliable
* (as said in the doc)" [not in doc] dabbler says "the order of entries is
* mysterious (by actual test)" */
int nOrders = 0;
datetime OCTs[];
for (int iPos = OrdersHistoryTotal() - 1; iPos >= 0; iPos--)
{
if ((OrderSelect(iPos, SELECT_BY_POS, MODE_HISTORY)) // Only orders w/
&& (OrderMagicNumber() == Magic) // my magic number
&& (OrderSymbol() == Symbol()) // and my pair.
&& (OrderType() <= OP_SELL) // Avoid cr/bal forum.mql4.com/32363#325360
)
{
int nextTkt = OrderTicket();
datetime nextOCT = OrderCloseTime();
nOrders++;
ArrayResize(tickets, nOrders);
ArrayResize(OCTs, nOrders);
// Insertn sort.
int iOrders;
for (iOrders = nOrders - 1; iOrders > 0; iOrders--)
{
datetime prevOCT = OCTs[iOrders - 1];
if ((prevOCT - nextOCT) * dsc >= 0) break;
int prevTkt = tickets[iOrders - 1];
tickets[iOrders] = prevTkt;
OCTs[iOrders] = prevOCT;
}
tickets[iOrders] = nextTkt;
OCTs[iOrders] = nextOCT; // Insert.
}
}
return(nOrders);
}
//+------------------------------------------------------------------+
//| Counts decimal places. |
//+------------------------------------------------------------------+
int CountDecimalPlaces(double number)
{
// 100 as maximum length of number.
for (int i = 0; i < 100; i++)
{
double pwr = MathPow(10, i);
if (MathRound(number * pwr) / pwr == number) return i;
}
return -1;
}
//+------------------------------------------------------------------+