//+------------------------------------------------------------------+ //| sqDynamicBreakoutBox.mq4 //| by Squalou, 2011.07.05 //+------------------------------------------------------------------+ #property copyright "by Squalou, 2011.07.05" #property link "http://www.forexfactory.com/showthread.php?t=302007" #define VERSION "v1.13_R1" #define DATE "2011.09.22" /*+------------------------------------------------------------------+ * sqDynamicBreakoutBox.mq4, by Squalou, 2011.07.05: * - draws Dynamic Breakout Boxes based on consolidation areas; * - consolidation areas are defined by a minimum period of time during which * the Range of PA remained below a minimum Range value; * - Inputs: * - BoxLength and BoxTimeFrame: define the minimum duration of the congestion areas * Better than specifying a number of bars, because this will not independ * on the chart's timeframe; * - BoxRange: the Box Range in pips; * - AutoBoxRange (true/false), AutoBoxRangeDailyATRperiod(=30) and AutoBoxRangeDailyATRfactor(=0.25): * to automatically determine a the Box size based on Daily ATR, rather than a fixed size. * - BoxBufferPips: draws the Yellow and Magenta "breakout" lines at this distance from the actual Box; * * This indicator was inspired by a thread opened by "forexhard" on ForexFactory. * http://www.forexfactory.com/showthread.php?t=302007 * Thank you forexhard for this! * * - History: * * - v1.13 R1 (2011.09.22): * With AutoBoxRange=true: * Box continue fixed. Box Range changed when new Day starts because of change in ATR value. * Also Box change values when variable "_period" no longer rise. "i+_period-1" points then to the wrong bar. * In display_stats() Division by Zero 'num_buy' and 'num_sell' avoided. * - v1.13 (2011.09.20): * MAJOR changes in collecting statistical data: * - the indicator now simulates "trades" taken from the trade signals, and cumulates the "best result" for each "trade", * not just the best-buy/best-sell per session/box; * An "open trade session" is "closed" when trade would hit the SL, * but the actual "pip count" taken for this trade is its best positive extension (best swing before the SL is hit); * A new box forming also closes any open "trade session". * Only ONE trade is taken at any time, even when multiple consecutive signals appear for the same direction; * The stats summary now displays the total number of TRADES taken, the cumulated best "pip count", and the average "best pip count" per trade; * * - added "MaxBreakoutTradesPerBox" input (default=1); * this is the maximum number of "trades" taken and shown for each CZ Box session; * Any additional signal past this number of trades is ignored until a new box forms; * Defaults to 1: only 1 trade per Box is counted, then wait for the next CZ box. * Set it to a very high number (999 for instandce) to count and show all breakout trades; * Set it to 0 to disable trades plotting and counting -- this will also disable statistical results, though. * * - added "SL" input (default=1.000); * this is a factor of the Box size, or a fixed-pips amount if greater than "TP_is_pips_above"; * The SL is converted to a pip count, then applied to the trade open price; * * - v1.12 (2011.09.09): * Now that the CZ Box stretches until the breakout occurs, it will also stretch until it reaches its maximum allowed height; * Therefore the box edges and TP levels will CHANGE in these conditions. * Buy/sell signals could wrongly trigger when the previous 2 candles would close on OPPOSITE sides of the box (consecutive up and down long candles); * Fixed possible zero devide error when BoxBufferPips=0; * Cosmetic changes: * the signal arrows are now placed at the left of the entry candle, and point to the exact entry price; * BO and BOCont lines adjusted to where they should be starting/ending; * * - v1.11 (2011.09.08): * CZ boxes now stretch until PA breaks out of the BO; the Box size label now also shows the length of the Box (e.g "36p x 26" for 26 bars); * Buy/Sell signal arrows are printed when MinBarsClosedOutsideBO bars have closed outside the BO levels; * added "ShowTPLevelsOnLastBoxOnly" input; * last Fibs now extend beyond the current last candle * price labels on last box made bigger; controled by "BreakoutPriceWidth" input; * added "ShowDisplayPanel" input; * fixed DaysBack=0 case (was limiting to about 578 days max) * changed default colors to a "blueish" palette; * * - v1.10 (2011.08.25): * added "MinBarsClosedOutsideBO" input: number of bars to close outside the BO levels to signal trades; 0 means "enter immediately on Breakout" * added email and alarm options: "SignalMail" and "SignalAlert"; * added cosmetic inputs: "TP_is_pips_above", "BreakoutBoxFontSize", "SwingLabelsFontSize", "BreakoutPriceColor", "BreakoutBoxContPriceColor"; * change: TP levels should be calculated based on the Box itself, NOT counting the bufferpips; * CAUTION: FIXED TP pips are counted based on the BUY/SELL ENTRY LEVELS, * whereas TPs based on FACTORS are calculated from the BOX EDGE LEVELS independently from the BoxBufferPips input; * Therefore, changing BoxBufferPips will only affect FIXED PIPS TP levels. * fix: TP9 was not showing; * * - v1.9 (2011.08.22): * added "ShowTPLevels" input to allow hiding them; * changed the display panel a bit; * changed default settings: * DaysBack is set to 100(days) to limit the cpu load; * all TP levels are now set to the last fib factors proposed by Mer; * the minimum value for a TP level to be taken as a pip number is 20 (was 10); * optimized cpu load; * * - v1.8 (2011.07.25): * added drawing of "Fib levels" for up to 9 TP targets on each side of the CZ Breakout areas; * new inputs: TP1..TP9 values: when <10, they are taken as a factor of the "Breakout Extent" (=Box extent + BufferPips), else they are in pips; * * - v1.7c (2011.07.22): more cosmetics... new inputs: "SwingLabelsColor","Fonts"; * - v1.7b (2011.07.21): * more cosmetics... added a "box continuation rectangle" on each Box (selectable color with BreakoutBoxContColor), * and price labels at the right of the last box continuation rectangle; * * - v1.7a (2011.07.20): * - added various cosmetic inputs (StatsColor,StatsBGColor,StatsCorner,BoxVerticalLineDelimiter,BoxVerticalLineColor); * added a "background" to the Stats area; * * - v1.6 (2011.07.20): * - Display each Box size in pips; * * - v1.5 (2011.07.12): * - added "AutoBoxRange" (true/false), "AutoBoxRangeDailyATRperiod"(=30) and "AutoBoxRangeDailyATRfactor"(=0.25) inputs: * when true, will use AutoBoxRangeDailyATRfactor*daily_ATR_value as the BoxRange value; * * - v1.4 (2011.07.11): * - added saving of statistical data into a CSV file saved in (mt4)/experts/files folder; * the CSV file name is on the typical model "EURUSD-sqDynamicBreakoutBox(4x60min,30p).csv" * Controlled by "CreateStatisticsFile"(true/false) input; * * - v1.3 (2011.07.08): * - added statistical data on maximum Buy/Sell expenctancy for each "Session"; * max Buys and Sells for each Session are indicated on the chart itself, * the total and average maximum pips are displayed in the upper right corner; * * - v1.2 (2011.07.07): * - added drawing of vertical lines marking the bar on which the Box initially formed; * This helps locate the Boxes compared on other indicator windows. * * - v1.1 (2011.07.06): * - added "BoxBufferPips" input, draws the Yellow and Magenta lines at this buffer away from the formed Box; * These are your real breakout lines; * * - v1.0 (2011.07.05): initial version; * //+------------------------------------------------------------------+ */ #property indicator_chart_window #property indicator_buffers 6 #property indicator_color1 C'0,200,200' // Breakout Box High Line #property indicator_width1 2 #property indicator_color2 C'0,200,200' // Breakout Box Low Line #property indicator_width2 2 #property indicator_color3 C'0,200,200' // Breakout Box High Line Continuation #property indicator_color4 C'0,200,200' // Breakout Box Low Line Continuation #property indicator_color5 Lime // BUY Arrow #property indicator_color6 OrangeRed // SELL Arrow #property indicator_width5 2 #property indicator_width6 2 //+------------------------------------------------------------------+ //---- input parameters extern int BoxLength = 22; extern int BoxTimeFrame = 15; extern int BoxRange = 30; // fixed box range, when AutoBoxRange is false extern bool AutoBoxRange = true;// when true, will use AutoBoxRangeDailyATRfactor*daily_ATR_value as the BoxRange value; extern int AutoBoxRangeDailyATRperiod = 30; extern double AutoBoxRangeDailyATRfactor = 0.20; extern int BoxBufferPips = 5; // add this amount to the Box Yellow and Magenta lines extern int DaysBack = 100; // calendar days back; 0=full history // CAUTION when setting DaysBack to 0: with large history data, this is likely to lock-up MT4 for a few dozen seconds per chart! extern int MinBarsClosedOutsideBO = 2; // number of bars to close outside the BO levels to signal trades; 0 means "enter immediately on Breakout" extern int MaxBreakoutTradesPerBox = 1; // maximum number of "trades" shown for each Box; 0 to ignore signals (no stats!), 999 or more to show+count all; // TPs and SL levels "fib lines" settings: // when a TP is >=20, it is considered as FIXED PIPs, <20 is a factor of the box size (EXCLUDING bufferpips); extern bool ShowTPLevels = true; // false will hide the TP levels extern bool ShowTPLevelsOnLastBoxOnly = true; // to limit the TP levels to the last Box only extern double TP1 = 0.618; extern double TP2 = 1.382; extern double TP3 = 2.618; extern double TP4 = 4.236; extern double TP5 = 5.854; extern double TP6 = 7.472; extern double TP7 = 9.090; extern double TP8 = 11.708; extern double TP9 = 14.326; extern color TPLevelColor = Gray; extern double TP_is_pips_above = 20; // any TP input above this value is considered as a FIXED PIP value, below is a FACTOR of the box size (including bufferpips); extern double SL = 1.000; // SL Factor, or fixed pips if greater than "TP_is_pips_above"; extern bool SignalMail = false; extern bool SignalAlert = false; input bool SignalPush = false; extern bool CreateStatisticsFile = false; // cosmetics inputs extern int BuySignalArrowCode = 2; extern color BuySignalArrowColor = Yellow; extern int BuySignalArrowWidth = 3; extern int SellSignalArrowCode = 2; extern color SellSignalArrowColor = Red; extern int SellSignalArrowWidth = 3; extern int BreakoutBoxFontSize = 12; extern color BreakoutBoxColor = C'0,170,170'; extern color BreakoutBoxContColor = DarkSlateGray; extern bool BreakoutBoxContFullColored = true; // true will draw a full rectangle rather than an "empty" rectangle extern color BreakoutBoxContPriceColor = DarkSlateGray; extern color BreakoutPriceColor = C'0,170,170'; extern int BreakoutPriceWidth = 2; extern bool ShowDisplayPanel = true; // false will hide the Stats display panel extern color StatsColor = C'0,220,220'; extern color StatsBGColor = Teal; extern int StatsCorner = 1; // 0=upper-left, 1=upper-right, 2=lower-left, 3=lower-right extern bool BoxVerticalLineDelimiter = false; // false to remove vertival Box delimiter lines; extern color BoxVerticalLineColor = DarkSlateGray; extern int SwingLabelsFontSize = 12; extern color SwingLabelsColor = DarkOrange; extern string Fonts = "Arial"; extern int debug = 0; //+------------------------------------------------------------------+ //---- buffers double highBO[],lowBO[]; double highBOcont[],lowBOcont[]; double periodForMinRange[]; double BuySignal[],SellSignal[]; int _period,_minP,_maxP,_prevP; double _Range,upperBox,lowerBox; datetime current_box_forming_time,current_box_1st_bar_time; string prefix, s1; string strBoxRange; int BarsBack,lasttime; bool force_full_redraw; double pip; int pipMult,pipMultTab[]={1,10,1,10,1,10,100}; // multiplier to convert pips to Points; double TP[10],TPInput[10],TP_pips[10],BuyTP[10],SellTP[10]; double BoxHighValue,BoxLowValue,BoxExtent,highBOvalue,lowBOvalue,BOExtent; double SLInput,SL_pips; //+------------------------------------------------------------------+ int init() //+------------------------------------------------------------------+ { pipMult = pipMultTab[Digits]; pip = Point * pipMult; prefix = "sqDynBO"+BoxLength+" "+BoxTimeFrame+" "+BoxRange; RemoveObjects(prefix); strBoxRange = "FIXED "+DoubleToStr(BoxRange,0)+"p"; if (AutoBoxRange == true) strBoxRange = "ADR"+DoubleToStr(AutoBoxRangeDailyATRperiod,0)+"x"+DoubleToStr(AutoBoxRangeDailyATRfactor,2); _Range = BoxRange * pip; // convert pips to price range if (BoxTimeFrame==0) BoxTimeFrame=Period(); _period = BoxLength * BoxTimeFrame/Period(); _minP = _period; _prevP = _period; IndicatorShortName(WindowExpertName()+" "+VERSION+"("+BoxLength+"x"+BoxTimeFrame+"min,"+strBoxRange+")"); IndicatorBuffers(7); int b=-1; b++;SetIndexBuffer(b,highBO); SetIndexLabel(b,"Breakout Box High"); b++;SetIndexBuffer(b,lowBO); SetIndexLabel(b,"Breakout Box Low"); b++;SetIndexBuffer(b,highBOcont); SetIndexLabel(b,"Breakout Box High Continued"); b++;SetIndexBuffer(b,lowBOcont); SetIndexLabel(b,"Breakout Box Low Continued"); b++;SetIndexBuffer(b,BuySignal); SetIndexLabel(b,"Buy Signal"); SetIndexStyle(b,DRAW_ARROW); SetIndexArrow(b,232); b++;SetIndexBuffer(b,SellSignal); SetIndexLabel(b,"Sell Signal"); SetIndexStyle(b,DRAW_ARROW); SetIndexArrow(b,232); b++;SetIndexBuffer(b,periodForMinRange); SetIndexLabel(b,"periodForMinRange"); current_box_forming_time = 0; current_box_1st_bar_time = 0; if (DaysBack==0) DaysBack=9999; BarsBack = iBarShift(NULL,0,iTime(NULL,PERIOD_D1,0) - DaysBack*PERIOD_D1*60); lasttime=0; if (CreateStatisticsFile) delete_CSV(); force_full_redraw=true; //save input Factors; TPInput[1] = TP1; TPInput[2] = TP2; TPInput[3] = TP3; TPInput[4] = TP4; TPInput[5] = TP5; TPInput[6] = TP6; TPInput[7] = TP7; TPInput[8] = TP8; TPInput[9] = TP9; TPInput[0] = SL; SLInput = SL; return(0); } //+------------------------------------------------------------------+ void OnDeinit(const int reason) //+------------------------------------------------------------------+ { RemoveObjects(prefix); force_full_redraw=true; } //+------------------------------------------------------------------+ int start() //+------------------------------------------------------------------+ { double upper,lower,best_buy,best_sell; int jj; int i, limit, counted_bars=IndicatorCounted(); if (force_full_redraw) { force_full_redraw=false; lasttime=0; counted_bars=0; ArrayInitialize(highBO,EMPTY_VALUE); ArrayInitialize(lowBO,EMPTY_VALUE); ArrayInitialize(highBOcont,EMPTY_VALUE); ArrayInitialize(lowBOcont,EMPTY_VALUE); ArrayInitialize(BuySignal,EMPTY_VALUE); ArrayInitialize(SellSignal,EMPTY_VALUE); } if (lasttime==Time[0]) return(0); //once per Bar lasttime=Time[0]; limit = MathMax(MathMin(BarsBack,Bars-counted_bars-1),1); for (i=limit; i>0; i--) { if (AutoBoxRange == true) {// determine the BoxRange dynamically using the Daily ATR; _Range = AutoBoxRangeDailyATRfactor * iATR(NULL,PERIOD_D1,AutoBoxRangeDailyATRperiod,iBarShift(NULL,PERIOD_D1,iTime(NULL,0,i),true)+1); } // get the period over which PA Range remained below BoxRange _period = GetPeriodForMinRange(i, _minP, 999, _Range, periodForMinRange[i+1]); periodForMinRange[i] = _period; upper = High[iHighest(NULL, 0, MODE_HIGH, _period, i)]; lower = Low [iLowest (NULL, 0, MODE_LOW, _period, i)]; // continue the previous Box high/low lines highBOcont[i] = highBOcont[i+1]; lowBOcont[i] = lowBOcont[i+1]; //draw a Dynamic Breakout Box when Price Range remains below BoxRange during more than BoxLength if (_period > _minP) { // Price range remained below BoxRange longer than BoxLength: // draw a new Breakout Box, or extend the Box if one is already drawing calc_TP_levels(); if (highBO[i+1]==EMPTY_VALUE && lowBO[i+1]==EMPTY_VALUE) { // no Box was forming: // start a new Box ONLY if a the previous Box is older than BoxLength if (highBO[i+_minP]==EMPTY_VALUE && lowBO[i+_minP]==EMPTY_VALUE) { // we can draw a new Box now // save some stats about the potential win/loss during the last "Box Session" get_session_swing_hi_and_lo(Time[i+1], current_box_forming_time, highBOvalue, lowBOvalue, best_buy, best_sell); // save the best result in the database //if (CreateStatisticsFile) save_stats_in_CSV(Time[i+1], current_box_forming_time, best_buy, best_sell, (highBOvalue-lowBOvalue)/pip); // limit the Box Range to BoxRange; // snap the Box to the extreme that is opposite of the first(oldest) candle of the Box if (High[i+_period-1]==upper) upper = NormalizeDouble(lower+_Range,Digits); if (Low[i+_period-1]==lower) lower = NormalizeDouble(upper-_Range,Digits); upperBox = upper; lowerBox = lower; // draw High and Low Yellow lines starting from the beginning of the Box for (jj = i+_minP-1; jj>=i; jj--) { highBO[jj] = upper + BoxBufferPips * pip; lowBO[jj] = lower - BoxBufferPips * pip; } // make the "Box Continuation lines" look discontinued highBOcont[i+1] = EMPTY_VALUE; lowBOcont[i+1] = EMPTY_VALUE; highBOcont[i] = upper + BoxBufferPips * pip; lowBOcont[i] = lower - BoxBufferPips * pip; current_box_forming_time = Time[i]; // remember Box starting candle; current_box_1st_bar_time = Time[i+_minP-1]; // remember time of Box 1st bar; // draw a Box where it started to form: drawBox(prefix+"trueBox"+TimeToStr(current_box_1st_bar_time), current_box_1st_bar_time, upper, current_box_forming_time, lower, BreakoutBoxColor, 0, STYLE_SOLID, true, ""); drawLbl(prefix+"infoBox"+TimeToStr(current_box_1st_bar_time), DoubleToStr((upper-lower)/pip,0)+"p x "+DoubleToStr(iBarShift(NULL,0,current_box_1st_bar_time)-iBarShift(NULL,0,current_box_forming_time)+1,0), current_box_1st_bar_time+(current_box_forming_time-current_box_1st_bar_time)/2, lower - BoxBufferPips * pip, BreakoutBoxFontSize, Fonts, BreakoutBoxColor, 3); s1=StringConcatenate(WindowExpertName(),": ",StringSubstr(Symbol(),0,6)," ",Period()," New Box"); if (SignalMail) {SendMail(s1,StringConcatenate(StringSubstr(Symbol(),0,6)," ",Period(),": New Box has formed at ",TimeToStr(iTime(Symbol(),Period(),0))));} if (SignalAlert) {Alert(s1,StringConcatenate(StringSubstr(Symbol(),0,6)," ",Period(),": New Box has formed at ",TimeToStr(iTime(Symbol(),Period(),0))));} if (SignalPush) SendNotification(s1); if (BoxVerticalLineDelimiter) drawVLine(prefix+"V"+TimeToStr(current_box_1st_bar_time), current_box_forming_time, BoxVerticalLineColor); } } else { // a Box was already forming: // extend it ONLY IF price did not break out already if (Low[i] >= lowBO[i+1] && High[i] <= highBO[i+1]) { // price is still inside the Box limits: extend the forming Box // draw High and Low Yellow lines starting from the beginning of the Box for (jj = iBarShift(NULL,0,current_box_1st_bar_time); jj>=i; jj--) { highBO[jj] = upperBox + BoxBufferPips * pip; lowBO[jj] = lowerBox - BoxBufferPips * pip; } // make the "Box Continuation lines" look discontinued highBOcont[i+1] = EMPTY_VALUE; lowBOcont[i+1] = EMPTY_VALUE; highBOcont[i] = upperBox + BoxBufferPips * pip; lowBOcont[i] = lowerBox - BoxBufferPips * pip; current_box_forming_time = Time[i]; // update Box "forming" candle; // extend the Box: drawBox(prefix+"trueBox"+TimeToStr(current_box_1st_bar_time), current_box_1st_bar_time, upperBox, current_box_forming_time, lowerBox, BreakoutBoxColor, 0, STYLE_SOLID, true, ""); drawLbl(prefix+"infoBox"+TimeToStr(current_box_1st_bar_time), DoubleToStr((upperBox-lowerBox)/pip,0)+"p x "+DoubleToStr(iBarShift(NULL,0,current_box_1st_bar_time)-iBarShift(NULL,0,current_box_forming_time)+1,0), current_box_1st_bar_time+(current_box_forming_time-current_box_1st_bar_time)/2, lowerBox - BoxBufferPips * pip, BreakoutBoxFontSize, Fonts, BreakoutBoxColor, 3); if (BoxVerticalLineDelimiter) drawVLine(prefix+"V"+TimeToStr(current_box_1st_bar_time), current_box_forming_time, BoxVerticalLineColor); } else { // Price has broken out of the forming Box: stop the forming Box highBO[i] = EMPTY_VALUE; lowBO[i] = EMPTY_VALUE; } } } // draw a "box continuation rectangle" to show the Box limits during the whole "Session" highBOvalue = highBO[iBarShift(NULL,0,current_box_forming_time)]; lowBOvalue = lowBO[iBarShift(NULL,0,current_box_forming_time)]; BOExtent = highBOvalue-lowBOvalue; BoxHighValue = highBOvalue - BoxBufferPips * pip; BoxLowValue = lowBOvalue + BoxBufferPips * pip; BoxExtent = BoxHighValue-BoxLowValue; drawBox(prefix+"BoxCont"+TimeToStr(current_box_1st_bar_time), current_box_forming_time, BoxHighValue, Time[i], BoxLowValue, BreakoutBoxContColor, 0, STYLE_SOLID, BreakoutBoxContFullColored, ""); if (ShowTPLevels && !ShowTPLevelsOnLastBoxOnly) { draw_fibs(current_box_1st_bar_time,current_box_forming_time,Time[i]); } manage_signals(i); } if (ShowTPLevels && ShowTPLevelsOnLastBoxOnly) { calc_TP_levels(); draw_fibs(current_box_1st_bar_time,current_box_forming_time,Time[0]); } // put price labels at the right of the LAST Box and Breakout levels: (won't "pollute" the chart too much...) drawOrderArrow(prefix+"BoxHLbl", Time[0], highBOvalue, SYMBOL_RIGHTPRICE, BreakoutPriceColor, BreakoutPriceWidth); drawOrderArrow(prefix+"BoxLLbl", Time[0], lowBOvalue, SYMBOL_RIGHTPRICE, BreakoutPriceColor, BreakoutPriceWidth); if (BoxBufferPips!=0) { // put price labels at Box edges levels drawOrderArrow(prefix+"BoxContHLbl", Time[0], BoxHighValue, SYMBOL_RIGHTPRICE, BreakoutBoxContPriceColor, BreakoutPriceWidth); drawOrderArrow(prefix+"BoxContLLbl", Time[0], BoxLowValue, SYMBOL_RIGHTPRICE, BreakoutBoxContPriceColor, BreakoutPriceWidth); } // update stats for the last "session" get_session_swing_hi_and_lo(Time[i+1], current_box_forming_time, highBOvalue, lowBOvalue, best_buy, best_sell); if (CreateStatisticsFile) CreateStatisticsFile = false; // do only once; display_stats(); manage_signals(0); return(0); } //-------------------------------------------------------------------------------------- void calc_TP_levels() //-------------------------------------------------------------------------------------- { int i; //restore input Factors; for (i=1; i=TP_is_pips_above, it is considered as FIXED PIPs rather than a Factor of the box size; // FIXED TP pips are counted based on the BUY/SELL ENTRY LEVELS, // whereas TPs based on FACTORS are calculated from the BOX EDGE LEVELS independently from the BoxBufferPips input; if (TP[i] < TP_is_pips_above) { // TP level is a FACTOR of the Box size low = BoxLowValue; high = low + BoxExtent; TP_pips[i] = BoxExtent/pip*TP[i] - BoxBufferPips; } else { // TP is a FIXED amount of pips from the the BUY/SELL ENTRY level low = lowBOvalue; high = low + BOExtent; TP_pips[i] = TP[i]; TP[i] = (TP_pips[i]+BoxBufferPips)*pip/BoxExtent; } BuyTP[i] = NormalizeDouble(high + TP_pips[i]*pip,Digits); SellTP[i] = NormalizeDouble(low - TP_pips[i]*pip,Digits); } //-------------------------------------------------------------------------------------- void draw_fibs(datetime id, datetime box_forming_time, datetime current_time) //-------------------------------------------------------------------------------------- { if(BoxExtent==0) return; datetime fib_time2 = iTime(NULL,0,iBarShift(NULL,0,box_forming_time)+(iBarShift(NULL,0,current_time)-iBarShift(NULL,0,box_forming_time))/10); // Fibs extend to 10*(time2-time1) if (current_time >= Time[0]) fib_time2 += Period()*60; // allow last Fibs to extend beyond the current last candle // draw "fib" lines for entry+stop+TP levels: string objname = prefix+"Fibo-" + id; ObjectDelete(objname); { ObjectCreate(objname,OBJ_FIBO,0,box_forming_time,BoxLowValue,fib_time2,BoxHighValue); ObjectSet(objname,OBJPROP_RAY,false); ObjectSet(objname,OBJPROP_LEVELCOLOR,TPLevelColor); ObjectSet(objname,OBJPROP_FIBOLEVELS,32); ObjectSet(objname,OBJPROP_LEVELSTYLE,STYLE_SOLID); TP[0] = BoxBufferPips*pip/BoxExtent; // this is the Buy/Sell entry level _SetFibLevel(objname,0,-TP[0],""); _SetFibLevel(objname,1,1+TP[0],""); for (int i=1; i<=9; i++) { if (TP[i]!=0) { _SetFibLevel(objname,2*i, -TP[i], ""); _SetFibLevel(objname,2*i+1,1+TP[i],""); } } } /* else { // already exists: just move the right end to the "current_time" position ObjectMove(objname, 1, fib_time2,BoxHighValue); } */ } //+------------------------------------------------------------------+ void _SetFibLevel(string objname, int level, double value, string description) //+------------------------------------------------------------------+ { ObjectSet(objname,OBJPROP_FIRSTLEVEL+level,value); ObjectSetFiboDescription(objname,level,description); } //+------------------------------------------------------------------+ int GetPeriodForMinRange(int shift, int MinP, int MaxP, double MinRange, int prevP) //+------------------------------------------------------------------+ { int P; //double range; // calc P so that the Price Range (=Hi-Lo) remains in a "reasonably large value" over the P P=prevP; // start with previous P if (PMaxP) P=MaxP; if (_get_range(P,shift) > MinRange) {//range is OK for this P value: try shorter P values for (; P>=MinP; P--) { if (_get_range(P,shift) <= MinRange) return(P+1);//previous P value was the limit } return(P); } //try higher P values for (P=prevP+1; P MinRange) return(P); } return(MaxP); } double _get_range(int period, int shift) { return(High[iHighest(NULL,0,MODE_HIGH,period,shift)] - Low[iLowest(NULL,0,MODE_LOW,period,shift)]); } /* //-------------------------------------------------------------------------------------- void __get_session_swing_hi_and_lo(datetime current_time, datetime box_forming_time, double high_breakout_value, double low_breakout_value, double &best_buy, double &best_sell) //-------------------------------------------------------------------------------------- { // save some stats about the potential win/loss during the last "Box Session" int i,highest_bar,lowest_bar,period; double highest_price,lowest_price; if (box_forming_time == 0) return; // no box formed yet: no statistics int box_forming_shift = iBarShift(NULL,0,box_forming_time); int current_shift = iBarShift(NULL,0,current_time); period = box_forming_shift - current_shift + 1; highest_bar = iHighest(NULL,0,MODE_HIGH,period,current_shift); highest_price = High[highest_bar]; best_buy = 0; if (highest_price > high_breakout_value) { // PA did breakout the top of the box: BUY was triggered best_buy = (highest_price - high_breakout_value) / pip; // mark the absolute best Buy extension on the chart //drawOrderArrow(prefix+TimeToStr(Time[highest_bar])+"SwingHigh:"+DoubleToStr(best_buy,0)+"p", Time[highest_bar], highest_price, SYMBOL_CHECKSIGN, SwingLabelsColor); drawLbl(prefix+"SwingHigh"+TimeToStr(box_forming_time), DoubleToStr(best_buy,0)+"p", Time[highest_bar], highest_price+10*pip, SwingLabelsFontSize, Fonts, SwingLabelsColor, 3); } lowest_bar = iLowest(NULL,0,MODE_LOW,period,current_shift); lowest_price = Low[lowest_bar]; best_sell = 0; if (lowest_price < low_breakout_value) { // PA did breakout the bottom of the box: SELL was triggered best_sell = (low_breakout_value - lowest_price) / pip; // mark the absolute best Sell extension on the chart //drawOrderArrow(prefix+TimeToStr(Time[lowest_bar])+"SwingLow:"+DoubleToStr(best_sell,0)+"p", Time[lowest_bar], lowest_price, SYMBOL_CHECKSIGN, SwingLabelsColor); drawLbl(prefix+"SwingLow"+TimeToStr(box_forming_time), DoubleToStr(best_sell,0)+"p", Time[lowest_bar], lowest_price, SwingLabelsFontSize, Fonts, SwingLabelsColor, 3); } } */ //-------------------------------------------------------------------------------------- void get_session_swing_hi_and_lo(datetime current_time, datetime box_forming_time, double high_breakout_value, double low_breakout_value, double &best_buy, double &best_sell) //-------------------------------------------------------------------------------------- { // save some stats about the potential win/loss during the last "Box Session" if (box_forming_time == 0) return; // no box formed yet: no statistics int i,highest_bar,lowest_bar; double highest_price,lowest_price,trade_open_price,trade_SL; int trade_type,trade_open_bar,num_trades; string id; int box_forming_shift = iBarShift(NULL,0,box_forming_time); int current_shift = iBarShift(NULL,0,current_time); trade_open_bar = -1; trade_open_price = 0; trade_type = -1; num_trades = 0; for (i=box_forming_shift; i>=current_shift; i--) { // go thru each bar of the session // get best BUY/SELL swing from last trade signal; switch (trade_type) { case OP_BUY: // a BUY trade is open: check if it hit the SL = opposite CZ side highest_bar = iHighest(NULL,0,MODE_HIGH,trade_open_bar-i+1,i); highest_price = High[highest_bar]; lowest_bar = iLowest(NULL,0,MODE_LOW,trade_open_bar-i+1,i); lowest_price = Low[lowest_bar]; best_buy = (highest_price - trade_open_price) / pip; drawLbl(prefix+"SwingHigh"+TimeToStr(Time[trade_open_bar]), DoubleToStr(best_buy,0)+"p", Time[highest_bar], highest_price+10*pip, SwingLabelsFontSize, Fonts, SwingLabelsColor, 3); drawTrendLine(prefix+"TLSwingHigh"+TimeToStr(Time[trade_open_bar]), Time[trade_open_bar], trade_open_price, Time[highest_bar], highest_price, SwingLabelsColor, STYLE_DOT, 0); drawOrderArrow(prefix+"EndSwingHigh"+TimeToStr(Time[trade_open_bar]), Time[highest_bar], highest_price, 3, SwingLabelsColor, 2); if(debug>0)Print(TimeToStr(Time[i])+" highest="+DoubleToStr(highest_price,Digits)); if (lowest_price <= trade_SL) { // SL was hit at opposite CZ side: "close" the trade trade_type = -1; if(debug>0)Print("BUY closed"); // save the result in CSV if (CreateStatisticsFile) save_stats_in_CSV(Time[i], box_forming_time, best_buy, 0, (highBOvalue-lowBOvalue)/pip); if (MinBarsClosedOutsideBO==0) { // we just closed a trade, but a new trade opens on this same bar as soon as price breaks out of the CZ Box, // so we want to make sure to take the new trade signal: run the "trade engine" on this bar again i++; } } break; case OP_SELL: // a SELL trade is open: check if it hit the SL = opposite CZ side highest_bar = iHighest(NULL,0,MODE_HIGH,trade_open_bar-i+1,i); highest_price = High[highest_bar]; lowest_bar = iLowest(NULL,0,MODE_LOW,trade_open_bar-i+1,i); lowest_price = Low[lowest_bar]; best_sell = (trade_open_price - lowest_price) / pip; drawLbl(prefix+"SwingLow"+TimeToStr(Time[trade_open_bar]), DoubleToStr(best_sell,0)+"p", Time[lowest_bar], lowest_price, SwingLabelsFontSize, Fonts, SwingLabelsColor, 3); drawTrendLine(prefix+"TLSwingLow"+TimeToStr(Time[trade_open_bar]), Time[trade_open_bar], trade_open_price, Time[lowest_bar], lowest_price, SwingLabelsColor, STYLE_DOT, 0); drawOrderArrow(prefix+"EndSwingLow"+TimeToStr(Time[trade_open_bar]), Time[lowest_bar], lowest_price, 3, SwingLabelsColor, 2); if(debug>0)Print(TimeToStr(Time[i])+" lowest="+DoubleToStr(lowest_price,Digits)); if (highest_price >= trade_SL) { // SL was hit at opposite CZ side: "close" the trade trade_type = -1; if(debug>0)Print("SELL closed"); // save the result in CSV if (CreateStatisticsFile) save_stats_in_CSV(Time[i], box_forming_time, 0, best_sell, (highBOvalue-lowBOvalue)/pip); if (MinBarsClosedOutsideBO==0) { // we just closed a trade, but a new trade opens on this same bar as soon as price breaks out of the CZ Box, // so we want to make sure to take the new trade signal: run the "trade engine" on this bar again i++; } } break; default: // no trade open: check for new trade opening signal if (num_trades == MaxBreakoutTradesPerBox) break; // don't take more trades than expected until the next Box forms id = prefix+"BUY"+TimeToStr(Time[i]); if (ObjectFind(id)!=-1) { trade_type = OP_BUY; // a BUY trade signal appeared on this candle trade_open_price = ObjectGet(id,OBJPROP_PRICE1); trade_open_bar = i; //trade_SL = low_breakout_value; trade_SL = trade_open_price - SL_pips*pip; num_trades++; if(debug>0)Print(id+" at "+DoubleToStr(trade_open_price,Digits)); } id = prefix+"SELL"+TimeToStr(Time[i]); if (ObjectFind(id)!=-1) { trade_type = OP_SELL; // a SELL trade signal appeared on this candle trade_open_price = ObjectGet(id,OBJPROP_PRICE1); trade_open_bar = i; //trade_SL = high_breakout_value; trade_SL = trade_open_price + SL_pips*pip; num_trades++; if(debug>0)Print(id+" at "+DoubleToStr(trade_open_price,Digits)); } break; } } } //-------------------------------------------------------------------------------------- void display_stats() //-------------------------------------------------------------------------------------- { // Compute the average BestBuy and BestSell expectation per Session double sum_buy=0,sum_sell=0,result; int i,num_buy=0,num_sell=0,num_boxes=0; string o; for (i = ObjectsTotal(EMPTY); i >= 0; i--) { o = ObjectName(i); if (StringFind(o, prefix+"SwingHigh", 0) > -1) { result = StrToInteger(StringSubstr(ObjectDescription(o),0,StringLen(ObjectDescription(o))-1)); if (result>0) { sum_buy += result; num_buy++; } } if (StringFind(o, prefix+"SwingLow", 0) > -1) { result = StrToInteger(StringSubstr(ObjectDescription(o),0,StringLen(ObjectDescription(o))-1)); if (result>0) { sum_sell +=result; num_sell++; } } if (StringFind(o, prefix+"trueBox", 0) > -1) { num_boxes++; if(debug>0)Print(num_boxes,":",o); } } double num_weeks = (Time[0]-Time[BarsBack]) / (3600*24*7); if (num_weeks==0) num_weeks=1; // Display the total number of Buys and Sells, total maximum pips, and average pips per session if (ShowDisplayPanel == true) { int y=0,dy=20,x=10; y+=dy;drawFixedLbl(prefix+"infoBox", "Box="+BoxLength+"x"+tf_to_string(BoxTimeFrame)+"/"+strBoxRange, StatsCorner, x, y, 10, "Arial", StatsColor, false); drawFixedLbl(prefix+"numBoxbg"+y, "gggggggg", StatsCorner, x-5, y-5, 16, "Webdings", StatsBGColor, true); y+=dy;drawFixedLbl(prefix+"numBox", DoubleToStr(num_boxes,0)+" Boxes ("+DoubleToStr(num_boxes/num_weeks,1)+" per Week)", StatsCorner, x, y, 10, "Arial", StatsColor, false); drawFixedLbl(prefix+"numBoxbg"+y, "gggggggg", StatsCorner, x-5, y-5, 16, "Webdings", StatsBGColor, true); if(num_buy > 0) { y+=dy;drawFixedLbl(prefix+"ttB", DoubleToStr(num_buy,0)+" Buys="+DoubleToStr(sum_buy,0)+"p,Avg="+DoubleToStr(sum_buy/num_buy,0)+"p", StatsCorner, x, y, 10, "Arial", StatsColor, false); drawFixedLbl(prefix+"numBoxbg"+y, "gggggggg", StatsCorner, x-5, y-5, 16, "Webdings", StatsBGColor, true); } if(num_sell > 0) { y+=dy;drawFixedLbl(prefix+"ttS", DoubleToStr(num_sell,0)+" Sells="+DoubleToStr(sum_sell,0)+"p,Avg="+DoubleToStr(sum_sell/num_sell,0)+"p", StatsCorner, x, y, 10, "Arial", StatsColor, false); drawFixedLbl(prefix+"numBoxbg"+y, "gggggggg", StatsCorner, x-5, y-5, 16, "Webdings", StatsBGColor, true); } } } //-------------------------------------------------------------------------------------- void save_stats_in_CSV(datetime current_time, datetime box_forming_time, double best_buy, double best_sell, int box_range) //-------------------------------------------------------------------------------------- { // save the best results in a CSV file string filename = Symbol()+"-"+WindowExpertName()+"-"+AccountServer()+"-"+Period()+"("+BoxLength+"x"+BoxTimeFrame+"min,"+strBoxRange+"p)"+".CSV"; int f; f=FileOpen(filename, FILE_CSV|FILE_READ|FILE_WRITE, ";"); FileSeek(f, 0, SEEK_END); if(f>0) { FileWrite(f ,WindowExpertName() ,BoxLength ,BoxTimeFrame ,box_range ,"BO session=" ,TimeToStr(box_forming_time) ,TimeToStr(current_time) ,"BestBuy=" ,DoubleToStr(best_buy,0) ,"p" ,"BestSell=" ,DoubleToStr(best_sell,0) ,"p" ); FileClose(f); } } //-------------------------------------------------------------------------------------- void delete_CSV() //-------------------------------------------------------------------------------------- { string filename = Symbol()+"-"+WindowExpertName()+"-"+AccountServer()+"-"+Period()+"("+BoxLength+"x"+BoxTimeFrame+"min,"+strBoxRange+"p)"+".CSV"; int f; f=FileOpen(filename, FILE_CSV|FILE_WRITE, ";"); FileClose(f); } //-------------------------------------------------------------------------------------- void manage_signals(int shift) //-------------------------------------------------------------------------------------- { int trigger_direction=-1; double trigger_price; // Trading Signal Alerts: a minimum number of bars should have closed outside of the BO area // MinBarsClosedOutsideBO set to 0 means we can start the sequence as soon as the breakout occurs if (MinBarsClosedOutsideBO==0) { // special case: we want to trigger the trade as soon as price break out of the CZ Box if (High[shift+1] < highBOvalue && High[shift] >= highBOvalue) { trigger_direction = OP_BUY; trigger_price = highBOvalue; } if (Low[shift+1] > lowBOvalue && Low[shift] <= lowBOvalue) { trigger_direction = OP_SELL; trigger_price = lowBOvalue; } } else if (bars_closed_outside_BO(shift) == MinBarsClosedOutsideBO) { if (Open[shift] >= highBOvalue) { trigger_direction = OP_BUY; trigger_price = Open[shift]; } if (Open[shift] <= lowBOvalue) { trigger_direction = OP_SELL; trigger_price = Open[shift]; } } string id; if (trigger_direction == OP_BUY) { //BuySignal[shift+1] = Close[shift+1]; // make the arrow point to the close price of the latest closed bar id = prefix+"BUY"+TimeToStr(Time[shift]); if (ObjectFind(id)==-1) { // no trigger yet on this candle drawOrderArrow(id, Time[shift], trigger_price, BuySignalArrowCode, BuySignalArrowColor, 2); if (shift==0) send_trading_signal(OP_BUY,Ask); } } if (trigger_direction == OP_SELL) { //SellSignal[shift+1] = Close[shift+1]; // make the arrow point to the close price of the latest closed bar id = prefix+"SELL"+TimeToStr(Time[shift]); if (ObjectFind(id)==-1) { // no trigger yet on this candle drawOrderArrow(id, Time[shift], trigger_price, SellSignalArrowCode, SellSignalArrowColor, 2); if (shift==0) send_trading_signal(OP_SELL,Bid); } } } string op_str[6] = { "BUY","SELL","BUYLIMIT","SELLLIMIT","BUYSTOP","SELLSTOP"}; //+------------------------------------------------------------------+ void send_trading_signal(int type, double price) //+------------------------------------------------------------------+ { string message = WindowExpertName()+":"+Symbol()+" "+op_str[type]+" Signal"; if (SignalMail) SendMail(message, Symbol()+":"+op_str[type]+" @ "+DoubleToStr(price,Digits)); //if (SignalAlert) Alert(message); } //+------------------------------------------------------------------+ int bars_closed_outside_BO(int shift) //+------------------------------------------------------------------+ { int cnt=0,side=-1; // count past bars until finding the one on which the breakout occured for (int i=shift+1; i= highBOvalue && side!=OP_SELL) { side = OP_BUY; continue; // this bar closed outside the BO area: try previous bars } if (Close[i] <= lowBOvalue && side!=OP_BUY) { side = OP_SELL; continue; // this bar closed outside the BO area: try previous bars } // this bar closed either INSIDE the BO area, or on the OTHER SIDE: return the counted number of successive bars that closed outside the BO area return(cnt); } return(cnt); } //-------------------------------------------------------------------------------------- void drawFixedLbl(string objname, string s, int Corner, int DX, int DY, int FSize, string Font, color c, bool bg) //-------------------------------------------------------------------------------------- { if (ObjectFind(objname) < 0) ObjectCreate(objname, OBJ_LABEL, 0, 0, 0); ObjectSet(objname, OBJPROP_CORNER, Corner); ObjectSet(objname, OBJPROP_XDISTANCE, DX); ObjectSet(objname, OBJPROP_YDISTANCE, DY); ObjectSet(objname,OBJPROP_BACK, bg); ObjectSetText(objname, s, FSize, Font, c); } // drawFixedLbl //-------------------------------------------------------------------------------------- void drawLbl(string objname, string s, int LTime, double LPrice, int FSize, string Font, color c, int width) //-------------------------------------------------------------------------------------- { if (ObjectFind(objname) < 0) { ObjectCreate(objname, OBJ_TEXT, 0, LTime, LPrice); } else { if (ObjectType(objname) == OBJ_TEXT) { ObjectSet(objname, OBJPROP_TIME1, LTime); ObjectSet(objname, OBJPROP_PRICE1, LPrice); } } ObjectSet(objname, OBJPROP_FONTSIZE, FSize); ObjectSetText(objname, s, FSize, Font, c); } /* drawLbl*/ //+------------------------------------------------------------------ void drawOrderArrow(string name, datetime t, double price, int arrowcode, color c, int width=1) //+------------------------------------------------------------------ { if (ObjectFind(name) < 0) ObjectCreate(name, OBJ_ARROW, 0, t, price); else ObjectMove(name, 0, t, price); ObjectSet(name, OBJPROP_ARROWCODE, arrowcode); ObjectSet(name, OBJPROP_COLOR, c); ObjectSet(name, OBJPROP_WIDTH, width); } //-------------------------------------------------------------------------------------- void drawBox (string objname, datetime tStart, double vStart, datetime tEnd, double vEnd, color c, int width, int style, bool bg, string comment) //-------------------------------------------------------------------------------------- { if (ObjectFind(objname) == -1) { ObjectCreate(objname, OBJ_RECTANGLE, 0, tStart,vStart,tEnd,vEnd); } else { ObjectSet(objname, OBJPROP_TIME1, tStart); ObjectSet(objname, OBJPROP_TIME2, tEnd); ObjectSet(objname, OBJPROP_PRICE1, vStart); ObjectSet(objname, OBJPROP_PRICE2, vEnd); } ObjectSet(objname,OBJPROP_COLOR, c); ObjectSet(objname, OBJPROP_BACK, bg); ObjectSet(objname, OBJPROP_WIDTH, width); ObjectSet(objname, OBJPROP_STYLE, style); //ObjectSetText(objname, comment); } /* drawBox */ //+------------------------------------------------------------------ void drawVLine(string objname, int time, color c, int style=STYLE_SOLID, int width=0, int win=0) //+------------------------------------------------------------------ { if (ObjectFind(objname) == -1) { ObjectCreate(objname, OBJ_VLINE, win, time, 0); } else { ObjectSet(objname, OBJPROP_TIME1, time); } ObjectSet(objname, OBJPROP_COLOR, c); ObjectSet(objname, OBJPROP_STYLE, style); ObjectSet(objname, OBJPROP_WIDTH, width); } //+------------------------------------------------------------------ void drawTrendLine(string objname, int t1, double p1, int t2, double p2, color c, int style=STYLE_SOLID, int width=0) //+------------------------------------------------------------------ { if (ObjectFind(objname) == -1) { ObjectCreate(objname, OBJ_TREND, 0, t1,p1, t2,p2); } else { ObjectSet(objname, OBJPROP_TIME1, t1); ObjectSet(objname, OBJPROP_TIME2, t2); ObjectSet(objname, OBJPROP_PRICE1, p1); ObjectSet(objname, OBJPROP_PRICE2, p2); } ObjectSet(objname, OBJPROP_RAY, false); ObjectSet(objname, OBJPROP_COLOR, c); ObjectSet(objname, OBJPROP_STYLE, style); ObjectSet(objname, OBJPROP_WIDTH, width); } //+------------------------------------------------------------------- string tf_to_string(int tf) //+------------------------------------------------------------------- { switch(tf) { case PERIOD_M1: return("M1"); case PERIOD_M5: return("M5"); case PERIOD_M15: return("M15"); case PERIOD_M30: return("M3"); case PERIOD_H1: return("H1"); case PERIOD_H4: return("H4"); case PERIOD_D1: return("D1"); case PERIOD_W1: return("W1"); case PERIOD_MN1: return("MN1"); default: return("?"); } } //-------------------------------------------------------------------------------------- void RemoveObjects(string pre) //-------------------------------------------------------------------------------------- { int i; string objname; for (i = ObjectsTotal(); i >= 0; i--) { objname = ObjectName(i); if (StringFind(objname, pre, 0) > -1) ObjectDelete(objname); } } /* RemoveObjects*/ //+------------------------------------------------------------------+