Need help to automate these MQL5 Indicators

• 08/17/2018 at 11:49 AM #78443
  Nicolas

  indis 3/ and 4/ successfully converted, the code is attached to this post. Example attached: above oscillator is RSI and below is RSX.

  Next is 5/ FDI, to check the differences between MT5 and PRT version already available.

  

  Nicolas

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  08/17/2018 at 11:53 AM #78446
  juanj

  Awesome Nicolas!

  I will start coding the strategy using the existing Fractal Dimension Index! And then just swop it out with the new version if you find you need to update it.

  

  juanj

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  08/17/2018 at 12:07 PM #78450
  Nicolas

  Here is the updated version of FDI. Please use this one. The difference came from the applied price for the calculation.

  

  Nicolas

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  08/17/2018 at 12:37 PM #78457
  juanj

  Okay, made some cosmetic changes and now we have a perfect match to the MetaTrader Setup!

  Now for the fun part, coding the strategy along with it’s rules!

  Will hopefully have it ready later tonight…

  1 user thanked author for this post.

  AlgoAlex

  

  juanj

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  08/17/2018 at 1:01 PM #78460
  Nicolas

  Good luck! 😆

  

  Nicolas

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  08/17/2018 at 9:42 PM #78506
  juanj

  Update! I’m 90% there and so far so good. Just need to build in this exception to rule 5:

  If we are below the 200MA and below or in the cloud (and also above Tenkan-Sen and Kijun-Sen) and condition 1-2 is validated but we have a strong close above the Bollinger Band with a Bollinger W-Bottom structure taken out, take a long position and use the 200MA as the target. Use a close below Tenkan-Sen as a stop. The opposite would apply for short positions.

  Getting late so might have to continue tomorrow.

  1 user thanked author for this post.

  AlgoAlex

  

  juanj

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  08/18/2018 at 8:52 PM #78573
  juanj

  Firstly apologies for the delay, I had a couple of other matters requiring my attention.

  So I finished coding the strategy and then proceeded to test it on different markets and timeframes (Sticking to the 4Hr TimeFrame).

  The first issue I encountered was that of price being quoted differently between different forex pairs and indexes.

  I overcame this by creating a variable that can be optimized per market called ‘DigitFactor’ in Line 5

  Secondly, I have found that the FastEMA must also be optimized for different markets for a value of either 6, 7 or 8

  Other than the above optimization is technically not required, but I will experiment with optimizing the Default parameters of the three Ehlers indicators.

  //Strategy: Advanced Trend trader //Author: Juan Jacobs (www.FXautomate.com) Defparam cumulateorders = False possize = 1 DigitFactor = 6 //should be optimed between 1 and 10 to cater for different market types i.e. forex or indexes PointFactor = EXP(DigitFactor*LOG(10))*0.0001 //Components MA200 = Average[200,0](close) BollUp = BollingerUp[20](close) BollDown = BollingerDown[20](close) FastEMA = Average[6,1](close)//can be optimized between 6 and 8 SlowEMA = Average[13,1](close) TS = (highest[9](high)+lowest[9](low))/2 //Tenkan-Sen KS = (highest[26](high)+lowest[26](low))/2 //Kijun-Sen SA = (TS+KS)/2 //Senkou-Span A (projected 26 periods forward) SB = (highest[52](high)+lowest[52](low))/2 //Senkou-Span B (projected 26 periods forward) LevelUp1, LevelDown1, LevelMid1, IFTRSI1 = CALL "PRC_InverseFisherTrans_RSI_1"[10, 1, 9, 50, 100, 0](close) LevelUp2, LevelDown2, LevelMid2, IFTRSI2 = CALL "PRC_InverseFisherTrans_RSI_2"[32, 0, 9, 50, 80, 20](close) FractalDim, FractalLevel = CALL "PRC_Ehlers_FDI"[30, 1.4](close) LimitTrendTrades = 1 //Limits number of trades per trend change If (FastEMA[1] < SlowEMA[1] and FastEMA > SlowEMA) or ((FastEMA[1] > SlowEMA[1] and FastEMA < SlowEMA)) or (FastEMA[2] < SlowEMA[2] and FastEMA[1] = SlowEMA[1] and FastEMA > SlowEMA) or ((FastEMA[2] > SlowEMA[2] and FastEMA[1] = SlowEMA[1] and FastEMA < SlowEMA)) Then TrendTrades = 0 StrongTrend = 0 TSPB = 1 //TenkanSen pullback Required by Default If (FastEMA > SlowEMA and IFTRSI1 > IFTRSI1[1] and IFTRSI1 < LevelMid1 and IFTRSI2 <= LevelDown2) or (FastEMA < SlowEMA and IFTRSI1 < IFTRSI1[1] and IFTRSI1 > LevelMid1 and IFTRSI2 >= LevelUp2) Then StrongTrend = 1 EndIf EndIf If onmarket[1] = 0 and onmarket = 1 Then LE = 0 SE = 0 TrendTrades = TrendTrades + 1 EndIf EMARangeLim = 0 For i = 1 to 20 Do If Round(FastEMA[i]*PointFactor) = round(SlowEMA[i]*PointFactor) Then EMARangeLim = EMARangeLim + 1 EndIf Next //Rules If onmarket = 0 and FastEMA > SlowEMA and TrendTrades < LimitTrendTrades and EMARangeLim < 1 Then //Up Trend SEC = 0 //Special Exit Conditions Indicator If close < MA200 and close < max(SA[26],SB[26]) and close < TS and close < KS and IFTRSI1 > IFTRSI1[1] and BollUp > highest[50](close)[1] Then Buy possize contract at BollUp stop//market SEC = 2 ElsIf StrongTrend = 1 and IFTRSI1 > IFTRSI1[1] and IFTRSI1 < LevelMid1 and IFTRSI2 <= LevelDown2 Then //Perfect Long Indicator Setup If close > MA200 and close > max(SA[26],SB[26]) and SA > SB and SA > SA[26] and close > KS and close < KS and FractalDim >= FractalLevel and abs(open-close) < abs(open[1]-close[1])*5 Then Buy possize contract at market ElsIf close < min(SA[26],SB[26]) and close > TS and close > KS Then Buy possize contract at market If close > MA200 Then SEC = 1 Else SEC = 2 EndIf EndIf ElsIf IFTRSI1 > IFTRSI1[1] and (IFTRSI2 > LevelDown2 or FractalDim < FractalLevel) Then //Weak Long Signal If TSPB = 1 and close < TS Then TSPB = 0 EndIf If TSPB = 0 and IFTRSI2 < LevelUp2 and low - max((min(open,close)-low),(high-max(open,close))) > KS Then Buy possize contract at market EndIf EndIf ElsIf onmarket = 0 and FastEMA < SlowEMA and TrendTrades < LimitTrendTrades and EMARangeLim < 1 Then //Downtrend SEC = 0 //Special Exit Conditions Indicator If close > MA200 and close > min(SA[26],SB[26]) and close < TS and close < KS and IFTRSI1 < IFTRSI1[1] and BollDown < lowest[50](close)[1] Then Sellshort possize contract at BollDown Stop// market SEC = 2 ElsIf StrongTrend = 1 and IFTRSI1 < IFTRSI1[1] and IFTRSI1 > LevelMid1 and IFTRSI2 >= LevelUp2 Then //Perfect Short Indicator Setup If close < MA200 and close < min(SA[26],SB[26]) and SA < SB and SA < SA[26] and close < KS and FractalDim <= FractalLevel and abs(open-close) < abs(open[1]-close[1])*5 Then Sellshort possize contract at market ElsIf close > max(SA[26],SB[26]) and close < TS and close < KS Then Sellshort possize contract at market If close < MA200 Then SEC = 1 Else SEC = 2 EndIf EndIf ElsIf IFTRSI1 < IFTRSI1[1] and (IFTRSI2 < LevelUp2 or FractalDim > FractalLevel) Then //Weak Short Signal If TSPB = 1 and close > TS Then TSPB = 0 EndIf If TSPB = 0 and IFTRSI2 > LevelDown2 and high + max((high - max(open,close)),(min(open,close)-low)) < KS Then Sellshort possize contract at market EndIf EndIf EndIf //Conditional Exits If longonmarket and SEC = 1 and close < TS and (close < min(SA[26],SB[26]) or (close > min(SA[26],SB[26]) and (IFTRSI1 < IFTRSI1[1] or IFTRSI2 > LevelMid2))) Then Sell at market ElsIf longonmarket and SEC = 2 and (close < TS or high >= MA200) Then Sell at market ElsIf shortonmarket and SEC = 1 and close > TS and (close > max(SA[26],SB[26]) or (close < max(SA[26],SB[26]) and (IFTRSI1 > IFTRSI1[1] or IFTRSI2 < LevelMid2))) Then Exitshort at market ElsIf shortonmarket and SEC = 2 and (close > TS or high <= MA200) Then Exitshort at market EndIf If longonmarket and LE = 0 and IFTRSI2 > LevelUp2 and IFTRSI1 < IFTRSI1[1] and (close < TS or close <= max(highest[2](open)[1],highest[2](close)[1])) Then Sell at market ElsIf longonmarket and LE = 0 and IFTRSI2 > LevelUp2 Then LE = 1 ElsIf longonmarket and LE = 1 and IFTRSI2 < LevelUp2 Then LE = 0 ElsIf longonmarket and LE = 1 and IFTRSI1 < IFTRSI1[1] and (close < TS or close <= max(highest[2](open)[1],highest[2](close)[1])) Then Sell at market ElsIf longonmarket and LE = 1 and IFTRSI1 < IFTRSI1[1] Then LE = 2 ElsIf longonmarket and LE = 2 and IFTRSI1 > IFTRSI1[1] and close > TS Then LE = 1 ElsIf longonmarket and LE = 2 and (close < TS or close <= max(highest[2](open)[1],highest[2](close)[1]) or FractalDim < FractalLevel) Then Sell at market ElsIf shortonmarket and SE = 0 and IFTRSI2 < LevelDown2 and IFTRSI1 > IFTRSI1[1] and (close > TS or close >= min(lowest[2](open)[1],lowest[2](close)[1])) Then Exitshort at market ElsIf shortonmarket and SE = 0 and IFTRSI2 < LevelDown2 Then SE = 1 ElsIf shortonmarket and SE = 1 and IFTRSI2 > LevelDown2 Then SE = 0 ElsIf shortonmarket and SE = 1 and IFTRSI1 > IFTRSI1[1] and (close > TS or close >= min(lowest[2](open)[1],lowest[2](close)[1]) or FractalDim > FractalLevel) Then Exitshort at market ElsIf shortonmarket and SE = 1 and IFTRSI1 > IFTRSI1[1] Then SE = 2 ElsIf shortonmarket and SE = 2 and IFTRSI1 < IFTRSI1[1] and close < TS Then SE = 1 ElsIf shortonmarket and SE = 2 and (close > TS or close >= min(lowest[2](open)[1],lowest[2](close)[1]) or FractalDim > FractalLevel) Then Exitshort at market EndIf //Immediate Exits If longonmarket and ((close < KS and IFTRSI1 < IFTRSI1[1] and IFTRSI1 > LevelDown1) or (LE >= 1 and IFTRSI1 < IFTRSI1[1] and close < TS and IFTRSI1 > LevelDown1 and FractalDim < FractalLevel)) Then Sell at market ElsIf shortonmarket and ((close > KS and IFTRSI1 > IFTRSI1[1] and IFTRSI1 < LevelUp1) or (SE >= 1 and IFTRSI1 > IFTRSI1[1] and close > TS and IFTRSI1 < LevelUp1 and FractalDim > FractalLevel)) Then Exitshort at market EndIf //Graph LE coloured(0,0,255) as "LE" //Graph SE coloured(255,0,0) as "SE" //Graph SEC as "SEC" //Graph TSPB as "TSPB"

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  //Strategy: Advanced Trend trader //Author: Juan Jacobs (www.FXautomate.com)   Defparam cumulateorders = False   possize = 1   DigitFactor = 6 //should be optimed between 1 and 10 to cater for different market types i.e. forex or indexes PointFactor = EXP(DigitFactor*LOG(10))*0.0001   //Components   MA200 = Average[200,0](close) BollUp = BollingerUp[20](close) BollDown = BollingerDown[20](close) FastEMA = Average[6,1](close)//can be optimized between 6 and 8 SlowEMA = Average[13,1](close)   TS = (highest[9](high)+lowest[9](low))/2 //Tenkan-Sen KS = (highest[26](high)+lowest[26](low))/2 //Kijun-Sen SA = (TS+KS)/2 //Senkou-Span A (projected 26 periods forward) SB = (highest[52](high)+lowest[52](low))/2 //Senkou-Span B (projected 26 periods forward)   LevelUp1, LevelDown1, LevelMid1, IFTRSI1 = CALL "PRC_InverseFisherTrans_RSI_1"[10, 1, 9, 50, 100, 0](close) LevelUp2, LevelDown2, LevelMid2, IFTRSI2 = CALL "PRC_InverseFisherTrans_RSI_2"[32, 0, 9, 50, 80, 20](close) FractalDim, FractalLevel = CALL "PRC_Ehlers_FDI"[30, 1.4](close)   LimitTrendTrades = 1 //Limits number of trades per trend change   If (FastEMA[1] < SlowEMA[1] and FastEMA > SlowEMA) or ((FastEMA[1] > SlowEMA[1] and FastEMA < SlowEMA)) or (FastEMA[2] < SlowEMA[2] and FastEMA[1] = SlowEMA[1] and FastEMA > SlowEMA) or ((FastEMA[2] > SlowEMA[2] and FastEMA[1] = SlowEMA[1] and FastEMA < SlowEMA)) Then TrendTrades = 0 StrongTrend = 0 TSPB = 1 //TenkanSen pullback Required by Default If (FastEMA > SlowEMA and IFTRSI1 > IFTRSI1[1] and IFTRSI1 < LevelMid1 and IFTRSI2 <= LevelDown2) or (FastEMA < SlowEMA and IFTRSI1 < IFTRSI1[1] and IFTRSI1 > LevelMid1 and IFTRSI2 >= LevelUp2) Then StrongTrend = 1 EndIf EndIf   If onmarket[1] = 0 and onmarket = 1 Then LE = 0 SE = 0 TrendTrades = TrendTrades + 1 EndIf   EMARangeLim = 0 For i = 1 to 20 Do If Round(FastEMA[i]*PointFactor) = round(SlowEMA[i]*PointFactor) Then EMARangeLim = EMARangeLim + 1 EndIf Next   //Rules   If onmarket = 0 and FastEMA > SlowEMA and TrendTrades < LimitTrendTrades and EMARangeLim < 1 Then //Up Trend   SEC = 0 //Special Exit Conditions Indicator   If close < MA200 and close < max(SA[26],SB[26]) and close < TS and close < KS and IFTRSI1 > IFTRSI1[1] and BollUp > highest[50](close)[1] Then Buy possize contract at BollUp stop//market SEC = 2 ElsIf StrongTrend = 1 and IFTRSI1 > IFTRSI1[1] and IFTRSI1 < LevelMid1 and IFTRSI2 <= LevelDown2 Then //Perfect Long Indicator Setup If close > MA200 and close > max(SA[26],SB[26]) and SA > SB and SA > SA[26] and close > KS and close < KS and FractalDim >= FractalLevel and abs(open-close) < abs(open[1]-close[1])*5 Then Buy possize contract at market ElsIf close < min(SA[26],SB[26]) and close > TS and close > KS Then Buy possize contract at market If close > MA200 Then SEC = 1 Else SEC = 2 EndIf EndIf ElsIf IFTRSI1 > IFTRSI1[1] and (IFTRSI2 > LevelDown2 or FractalDim < FractalLevel) Then //Weak Long Signal If TSPB = 1 and close < TS Then TSPB = 0 EndIf   If TSPB = 0 and IFTRSI2 < LevelUp2 and low - max((min(open,close)-low),(high-max(open,close))) > KS Then Buy possize contract at market EndIf EndIf   ElsIf onmarket = 0 and FastEMA < SlowEMA and TrendTrades < LimitTrendTrades and EMARangeLim < 1 Then //Downtrend   SEC = 0 //Special Exit Conditions Indicator   If close > MA200 and close > min(SA[26],SB[26]) and close < TS and close < KS and IFTRSI1 < IFTRSI1[1] and BollDown < lowest[50](close)[1] Then Sellshort possize contract at BollDown Stop// market SEC = 2 ElsIf StrongTrend = 1 and IFTRSI1 < IFTRSI1[1] and IFTRSI1 > LevelMid1 and IFTRSI2 >= LevelUp2 Then //Perfect Short Indicator Setup If close < MA200 and close < min(SA[26],SB[26]) and SA < SB and SA < SA[26] and close < KS and FractalDim <= FractalLevel and abs(open-close) < abs(open[1]-close[1])*5 Then Sellshort possize contract at market ElsIf close > max(SA[26],SB[26]) and close < TS and close < KS Then Sellshort possize contract at market If close < MA200 Then SEC = 1 Else SEC = 2 EndIf EndIf ElsIf IFTRSI1 < IFTRSI1[1] and (IFTRSI2 < LevelUp2 or FractalDim > FractalLevel) Then //Weak Short Signal If TSPB = 1 and close > TS Then TSPB = 0 EndIf   If TSPB = 0 and IFTRSI2 > LevelDown2 and high + max((high - max(open,close)),(min(open,close)-low)) < KS Then Sellshort possize contract at market EndIf EndIf EndIf   //Conditional Exits   If longonmarket and SEC = 1 and close < TS and (close < min(SA[26],SB[26]) or (close > min(SA[26],SB[26]) and (IFTRSI1 < IFTRSI1[1] or IFTRSI2 > LevelMid2))) Then Sell at market ElsIf longonmarket and SEC = 2 and (close < TS or high >= MA200) Then Sell at market ElsIf shortonmarket and SEC = 1 and close > TS and (close > max(SA[26],SB[26]) or (close < max(SA[26],SB[26]) and (IFTRSI1 > IFTRSI1[1] or IFTRSI2 < LevelMid2))) Then Exitshort at market ElsIf shortonmarket and SEC = 2 and (close > TS or high <= MA200) Then Exitshort at market EndIf   If longonmarket and LE = 0 and IFTRSI2 > LevelUp2 and IFTRSI1 < IFTRSI1[1] and (close < TS or close <= max(highest[2](open)[1],highest[2](close)[1])) Then Sell at market ElsIf longonmarket and LE = 0 and IFTRSI2 > LevelUp2 Then LE = 1 ElsIf longonmarket and LE = 1 and IFTRSI2 < LevelUp2 Then LE = 0 ElsIf longonmarket and LE = 1 and IFTRSI1 < IFTRSI1[1] and (close < TS or close <= max(highest[2](open)[1],highest[2](close)[1])) Then Sell at market ElsIf longonmarket and LE = 1 and IFTRSI1 < IFTRSI1[1] Then LE = 2 ElsIf longonmarket and LE = 2 and IFTRSI1 > IFTRSI1[1] and close > TS Then LE = 1 ElsIf longonmarket and LE = 2 and (close < TS or close <= max(highest[2](open)[1],highest[2](close)[1]) or FractalDim < FractalLevel) Then Sell at market ElsIf shortonmarket and SE = 0 and IFTRSI2 < LevelDown2 and IFTRSI1 > IFTRSI1[1] and (close > TS or close >= min(lowest[2](open)[1],lowest[2](close)[1])) Then Exitshort at market ElsIf shortonmarket and SE = 0 and IFTRSI2 < LevelDown2 Then SE = 1 ElsIf shortonmarket and SE = 1 and IFTRSI2 > LevelDown2 Then SE = 0 ElsIf shortonmarket and SE = 1 and IFTRSI1 > IFTRSI1[1] and (close > TS or close >= min(lowest[2](open)[1],lowest[2](close)[1]) or FractalDim > FractalLevel) Then Exitshort at market ElsIf shortonmarket and SE = 1 and IFTRSI1 > IFTRSI1[1] Then SE = 2 ElsIf shortonmarket and SE = 2 and IFTRSI1 < IFTRSI1[1] and close < TS Then SE = 1 ElsIf shortonmarket and SE = 2 and (close > TS or close >= min(lowest[2](open)[1],lowest[2](close)[1]) or FractalDim > FractalLevel) Then Exitshort at market EndIf   //Immediate Exits If longonmarket and ((close < KS and IFTRSI1 < IFTRSI1[1] and IFTRSI1 > LevelDown1) or (LE >= 1 and IFTRSI1 < IFTRSI1[1] and close < TS and IFTRSI1 > LevelDown1 and FractalDim < FractalLevel)) Then Sell at market ElsIf shortonmarket and ((close > KS and IFTRSI1 > IFTRSI1[1] and IFTRSI1 < LevelUp1) or (SE >= 1 and IFTRSI1 > IFTRSI1[1] and close > TS and IFTRSI1 < LevelUp1 and FractalDim > FractalLevel)) Then Exitshort at market EndIf   //Graph LE coloured(0,0,255) as "LE" //Graph SE coloured(255,0,0) as "SE" //Graph SEC as "SEC" //Graph TSPB as "TSPB"

  Below is two examples both configured exactly the same (FastEMA = 6), USDJPY (Spread: 0.8) and US Crude (Spread: 5)

   

  

  juanj

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  08/19/2018 at 8:34 PM #78610
  juanj

  So after another day of testing and coding, I made some more enhancements to the above.

  I added additional criteria to identify weak signals and I also replaced the second Indicator with Ehlers latest Sinewave indicator and I also replaced the Fractal Dimension Indicator with Ehlers Hurst Coefficient.

  Thank you Nicolas for all your help!

  I won’t be posting every iteration of this strategy, but if you are interested you are welcome to contact me.

  

  juanj

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  01/15/2019 at 11:22 AM #88662
  juanj

  So perhaps just an update on this strategy:

  I have been keeping an eye on it since my last post (5months ago) and the edge so far appears to remain valid. Attached are the results for USDJPY and US Crude for comparison against the previous ones. I have submitted the strategy including the changes I made on 19/08/18 to the library for approval.

  

  juanj

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  01/15/2019 at 2:17 PM #88680
  Nicolas

  @juanj

  Thanks a lot, the strategy is now available in the library  (and with a nice and complete description thanks to you) here: Advanced Trend Trader

  Good job! I appreciate a lot.

  

  Nicolas

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  01/15/2019 at 7:04 PM #88715
  juanj

  Thanks, Nicolas, I appreciate the kind words, the automated PRT version of this strategy would not have been possible without your help

  

  juanj

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  01/16/2019 at 6:43 AM #88732
  Mags67

  Dear Juanj,

  I read this thread a couple of times and have difficulties finding the code for the indicators that your final version of the “Advanced Trend Trader” -strategy uses. Can you pls single out the codes for the indicators in a reply? Thanks!

  //Mags

  

  Mags67

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  01/16/2019 at 8:47 AM #88741
  juanj

  Hi Mags, my apologies. We decided to log separate requests for each of the indicators:

  • https://www.prorealcode.com/topic/ehler-fractal-dimension-conversion-code-mq5-to-prt/
  • https://www.prorealcode.com/topic/ehlers-inverse-fisher-transform-of-rsi-conversion-code-mq5-to-prt/
  • https://www.prorealcode.com/topic/ehlers-inverse-fisher-transform-conversion-code-mq5-to-prt/

  When you install the ITF of the Advanced Trend Trader strategy (found in the library) you will also automatically have the following indicators installed:

  • Ehlers Even Better Sinewave (used in place of the Ehlers Inverse Fisher Transform of RSI)
  • Ehlers Hurst Coefficient (used in place of the Ehler Fractal Dimension)

  

  juanj

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  01/16/2019 at 4:49 PM #88836
  Mags67

  Great, thanks a lot!

  

  Mags67

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  01/16/2019 at 6:39 PM #88848
  Mags67

  Hi again Juanj!

  I actually have need for some more clarification.

  The last two indicators you refer to – Ehlers Even Better Sinewave and Ehlers Hurst Coefficient do not seem to be quoted here in ProRealCode? Maybe these are your own developments, but if they are ok to share please do!

  

  Mags67

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