观察均线赢利能力 MAProfit

//[i] 观察均线赢利能力 MAProfit

#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1 Aqua
#property indicator_color2 Yellow

#import "speak.dll"
void gRate(int rate);
void gVolume(int rate);
void gPitch(int rate);
void gSpeak(string text);
#import

#define SIGNAL_NONE 0
#define SIGNAL_SHORT 1
#define SIGNAL_LONG 2

extern bool bOptimize= true; // True: Find the best single MA by optimizing(switch time frame to re-optimize)
extern bool bOptimizeIntersect= true; // True: optimize for minimum intersections, otherwise optimize for max profit
extern int PeriodMA= 400; // If you do not want to optimize, you can define a period
extern int Method= 0; // Method for MA 0= Simple, 1= Expotential, 2= Smoothed, 3= Linear weighted
extern bool DrawTringles= true; // Draws triangles for the simulated trading
extern int MinMA= 5; // Minimum test for optimizing
extern int MaxMA= 500; // Maximum test for optimizing
extern int StepMA= 1; // Step during optimizion, 1 tests every MA, 10 tests every 10th etc.
extern int CountOptimize= 300; // Number of candles for optimizing
extern int RepaintBars= 3000; // Number of candles on which we draw triangles and calculate the win/loss
extern bool Alarm= true; // Make a visible alert on new signal
extern bool bSpeak= true; // Speak the alert with gspeak

string AlertShort= "alert.wav";
string AlertLong= "alert.wav";

bool bNeedOptimize;
int ColorLongTrade= MediumSpringGreen;
int ColorShortTrade= Red;
int ColorBadTrade= Violet;
bool bAlertViaAlert= true;
datetime lastSignalTime= 0;
datetime firstTradeCandle; // we trade 300 candles but at all calls it should be the same candle

int Method1= MODE_SMA;
int Method2= MODE_SMA;
int Price1= PRICE_MEDIAN;
int Price2= PRICE_HIGH;
int Price3= PRICE_LOW;

double ExtMapBuffer[]; // Fast MA curve
double ExtMapBuffer2[]; // Fast MA curve
int OldPeriod; // The period, we check for changes and re-init ourself
int 规定点差;
int cBars; // Saved number of bars in order to see if new bar
string OldSymbol; // If symbol canges, we re-initialize
string rsiMessage; // Last Message RSI Oversold/Overbought

int MaxObj= 0;
int yesterday, today; // index of yesterday and today

double gTradeOpen[],
gTradeMin[],
gTradeMax[];
int gTradeCmd[],
gTradeStart[],
gTradeEnd[],
gTradeID;

int gStartShort,
gEndShort,
gStartLong,
gEndLong;

//------------------初始化---------------------+

bool bInit;
int init()
{
OldPeriod= -1;
OldSymbol= "";
bNeedOptimize= true;
lastSignalTime= 0 ;

SetIndexStyle(0, DRAW_LINE);
SetIndexStyle(1, DRAW_LINE);
SetIndexBuffer(0, ExtMapBuffer);
SetIndexBuffer(1, ExtMapBuffer2);

IndicatorShortName("Cross Moving Average");
SetIndexLabel(0, "Fast Moving Average");
makelabel("profit", 0, 20, "Profit Total", White);
makelabel("profityesterday", 300, 20, "Profit Total", White);
makelabel("signal", 500, 20, "Signal", White);
makelabel("message", 600, 20, "Message", White);
makelabel("message2", 600, 40, "Message", White);
makelabel("hint", 400, 0, "MAProfit(C) Thomas Quester", White);
makelabel("hint2", 600, 0, "look at source code for description", White);
cBars= 0;
ArrayResize(gTradeOpen, 500);
ArrayResize(gTradeMin, 500);
ArrayResize(gTradeMax, 500);
ArrayResize(gTradeCmd, 500);
ArrayResize(gTradeStart, 500);
ArrayResize(gTradeEnd, 500);
SendVars();
firstTradeCandle= 0;

bInit= true;

return(0);
}

//------------------反初始化---------------------+

int deinit()
{
DeleteObjects();
DelVars();
return(0);
}

//------------------主函数---------------------+

int start()
{
int 已计= IndicatorCounted();
规定点差= MarketInfo(Symbol(), MODE_SPREAD);

int i; // some running integer
int start;
int objid; // the number of triangles
string name; // name of triangle
double d; // some double
double maPeriod; // moving average Period
double profit= 0; // profit of "trade" as difference between open and close
double open; // the open price
int day; // the day
datetime opentime; // the time of open trade
int openid; // the index of open trade
int signal, s; // active and new singal
double totalProfit; // total profit

double totalProfitYesterday; // total profit yesterday
bool newBar;
string speak;
string alert;
double ma, price, maHigh;

if(bNeedOptimize)
Optimize();
bNeedOptimize= false;

speak= "*";
alert= "*";
//SpeakRSI();
signal= SIGNAL_NONE;
if(Bars!=cBars)
newBar= true;
else
newBar= false;
cBars= Bars;

//if(Period()!=OldPeriod || Symbol()!=OldSymbol)
if(bInit){
OldPeriod= Period();
OldSymbol= Symbol();
Print("Symbol Changed, last Speak time set to ", TimeToStr(lastSignalTime));
}
objid= 0;
//--删除旧物件
if(newBar)
DeleteObjects();

//--when starts today?
CalcDays();
totalProfit= 0;
totalProfitYesterday= 0;

if(lastSignalTime==0)
lastSignalTime= Time[0];
ObjectCreate("today", OBJ_VLINE, 0, Time[today], 0);
ObjectCreate("yesterday", OBJ_VLINE, 0, Time[yesterday], 0);

start= Bars;
if(start>RepaintBars)
start= RepaintBars;
if(RepaintBars!=0)
if(start>RepaintBars)
start= RepaintBars;
ma= iMA(NULL, NULL, PeriodMA, 0, Method, PRICE_MEDIAN, start);


// find first bar to start trading

int tradeStart= RepaintBars;
if(firstTradeCandle==0){
if(Bars>RepaintBars){
firstTradeCandle= Time[RepaintBars];
tradeStart= RepaintBars;
}
else{
firstTradeCandle= Time[Bars];
tradeStart= Bars;
}
}
else{
for(i= 0;i<Bars;i++){
if(Time[i]==firstTradeCandle){
tradeStart= i;
break;
}
}
}
//Print("TradeStart= ", tradeStart, " Trade Start Time= ", TimeToStr(firstTradeCandle));
int good= 0;
int fails= 0;
int totalWin= 0;
for(i=Bars; i>=0; i--){
ma= iMA(NULL, NULL, PeriodMA, 0, Method, PRICE_LOW, i);
maHigh= iMA(NULL, NULL, PeriodMA, 0, Method, PRICE_HIGH, i);
ExtMapBuffer[i]= ma;
ExtMapBuffer2[i]= maHigh;

if(i<tradeStart){
price= (High[i]+Low[i])/2;
s= signal;

{
if(Low[i]<ma)
s= SIGNAL_SHORT;
if(High[i]>maHigh)
s= SIGNAL_LONG;
}
if(s!=signal){
if(s==SIGNAL_SHORT){
if(Time[i]>lastSignalTime && bSpeak){
Print("Speak time ", TimeToStr(Time[i]));
lastSignalTime= Time[i];
alert= AlertShort;
speak= "New signal at "+PairName(Symbol())+ " "+SpeakTime()+". signal is short. ";
SetText("signal", "Short");
}
}

if(s==SIGNAL_LONG){
if(Time[i]>lastSignalTime && bSpeak){
Print("Speak time ", TimeToStr(Time[i]));
lastSignalTime= Time[i];
alert= AlertLong;
speak= "New signal at "+PairName(Symbol()) + " " + SpeakTime()+". Signal is long. ";
SetText("signal", "Long");
}
}

profit= 0;
if(signal==SIGNAL_SHORT){
profit= open-Close[i];
profit /= Point;
profit -= 规定点差;
}
if(signal==SIGNAL_LONG){
profit= Close[i]-open;
profit /= Point;
profit -= 规定点差;
}
totalWin+= profit;
if(profit<0)
fails++;
if(profit>0)
good++;

if(signal!=SIGNAL_NONE){
objid++;
DrawTriangle(objid, signal, opentime, Open[openid], Time[i], Close[i], profit);
}

//ExtMapBuffer2[i]= profit;
if(i<=today)
totalProfit+= profit;
if(i<=yesterday && i>today)
totalProfitYesterday+= profit;
opentime= Time[i];
openid= i;
signal= s;
open= Open[i];
}
profit= 0;
}
}
//--terminate open "trade"

if(signal!=SIGNAL_NONE){
i= 0;
if(signal==SIGNAL_SHORT){
profit= open-Close[i];
profit /= Point;
profit -= 规定点差;
SetText("signal", "Short");
}

if(signal==SIGNAL_LONG){
profit= Close[i]-open;
profit /= Point;
profit -= 规定点差;
SetText("signal", "Long");
}

//ExtMapBuffer2[i]= profit;
totalProfit += profit;
totalWin += profit;
if(profit<0)
fails++;
if(profit>0)
good++;

objid++;
DrawTriangle(objid, signal, opentime, Open[openid], Time[i], Close[i], profit);
}

i= totalProfit;
SetText("profit", "Profit totay with MA "+PeriodMA+" is "+i+" Pips");
SetText("message2", "Total Profit= "+totalWin+" Fails= "+fails+" Wins= "+good);
if(totalWin < 0)
ObjectSet("message2", OBJPROP_COLOR, Red);
else
ObjectSet("message2", OBJPROP_COLOR, GreenYellow);
i= totalProfitYesterday;
SetText("profityesterday", "Profit yesterday is "+i+" Pips");

MaxObj= objid+1;
bInit= false;

if(alert!="*")
Alert(alert);
if(speak!="*")
LoudAlert(speak);

return(0);
}

//---------------------------------------+

void SendVars()
{
string sym= Symbol()+Period();
GlobalVariableSet(sym+"PeriodMA", PeriodMA);
GlobalVariableSet(sym+"Method", Method);
}

//---------------------------------------+

void GetVars()
{
string sym= Symbol()+Period();
PeriodMA= GlobalVariableGet(sym+"PeriodMA");

Method= GlobalVariableGet(sym+"Method");
}

//---------------------------------------+

void DelVars()
{
string sym= Symbol()+Period();
GlobalVariableDel(sym+"PeriodMA");

GlobalVariableDel(sym+"Method");
}


//---------------------------------------+

void LoudAlert(string s)
{
if(bAlertViaAlert)
Alert(s);
Print(s);
if(bSpeak)
gSpeak(s); // uncomment this for speak
}

//---------------------------------------+

string FormatNumber(string s)
{
int c;
while(true){
c= StringGetChar(s, StringLen(s)-1);
if(c!='.' && c!='0')
break;
s= StringSubstr(s, 0, StringLen(s)-1);
}
return(s);
}

//---------------------------------------+

string LongName(string s)
{
if(s=="EUR") s= "Euro ";
if(s=="USD") s= "US Dollar ";
if(s=="JPY") s= "Japanese Yen";
if(s=="CAD") s= "Canadian Dollar";
if(s=="AUD") s= "Australian Dollar";
if(s=="NZD") s= "New Zeeland Dollar";
if(s=="CHF") s= "Swiss Francs";
return(s);
}

//---------------------------------------+

string PairName(string s)
{
string a, b;
a= StringSubstr(s, 0, 3);
b= StringSubstr(s, 3, 3);
a= LongName(a);
if(StringLen(a)>3)
a= a + " to ";
b= LongName(b);
return(a+b);
}

//---------------------------------------+

string SpeakTime()
{
int p;
string s;
p= Period();
switch(p){
case 30: s= "half hour"; break;
case 60: s= "One hour"; break;
case 120: s= "Two horus"; break;
case 240: s= "Four hours"; break;
case 1440: s= "One day"; break;
case 10080: s= "One week"; break;
case 43200: s= "One month"; break;
default: s= p+" Minutes";
}
return(s);
}

//---------------------------------------+


int trades;
double wins, losses;

double CalcProfit(int bars, int mode1, int price1, int mode2, int price2, int price3, int periodMA)
{
double ma; // moving average small and long value
double profit= 0; // profit of "trade" as difference between open and close
double totalProfit;
int i, gOpenTime, openid;
double d, open, price, min, max;
int s, signal;
signal= SIGNAL_NONE;
totalProfit= 0;
open= 0;
gTradeID= -1;

for(i=bars; i>=0; i--){
ma= iMA(NULL, NULL, periodMA, 0, mode1, price1, i);
s= signal;
price= (High[i]+Low[i])/2;
if(ma < price) s= SIGNAL_SHORT;
if(ma>price) s= SIGNAL_LONG;
// calc min/max

if(signal!=SIGNAL_NONE){
if(price<min)
min= price;
if(price>max)
max= price;
}
if(s!=signal){
if(gTradeID>=0){
gTradeMin[gTradeID]= min;
gTradeMax[gTradeID]= max;
gTradeEnd[gTradeID]= i;
gTradeCmd[gTradeID]= s;
}
gTradeID++;
gTradeOpen[gTradeID]= price;
gTradeStart[gTradeID]= i;
gTradeEnd[gTradeID]= 0;
min= 99999;
max= -9999;
profit= 0;
if(signal==SIGNAL_SHORT){
profit= open-price;
profit /= Point;
profit -= 规定点差;
totalProfit += profit;
}

if(signal==SIGNAL_LONG){
profit= price-open;
profit /= Point;
profit -= 规定点差;
totalProfit += profit;
}

gOpenTime= Time[i];
openid= i;
signal= s;
open= price;
}
}


if(signal!=SIGNAL_NONE){
profit= 0;
i= 0;
if(signal==SIGNAL_SHORT){
profit= open-Open[i];
profit /= Point;
profit -= 规定点差;
totalProfit += profit;
}

if(signal==SIGNAL_LONG) {
profit= Open[i]-open;
profit /= Point;
profit -= 规定点差;
totalProfit += profit;
}
}
return(totalProfit);
}

//---------------------------------------+

void Optimize()
{
if(bOptimize) {
if(bOptimizeIntersect)
OptimizeIntersects();
else
OptimizeAll();
}
else
SetText("message", "Optimizing is disabled");
}

//---------------------------------------+

void OptimizeIntersects()
{
int i, s, intersects, minInterSects;
double ma;
minInterSects= 9999;
for(s= MinMA; s<= MaxMA;s+= StepMA){
intersects= 0;
for(i= CountOptimize;i>=0;i--){
ma= iMA(NULL, NULL, s, 0, Method, PRICE_MEDIAN, i);
if(ma>=Low[i] && ma <= High[i])
intersects++;}
if(intersects < minInterSects){
minInterSects= intersects;
PeriodMA= s;
}
}
SetText("message", "BestMA= "+PeriodMA+" Intersects= "+minInterSects);
}

//---------------------------------------+

void OptimizeAll()
{
double profit, maxProfit;
int s, l, a;
int bestMA;
bestMA= 0;

maxProfit= -9999;
for(s= MinMA; s<=MaxMA; s+=StepMA){
//a= s*130;
//a /= 100;
profit= CalcProfit(CountOptimize, Method, PRICE_MEDIAN, Method, PRICE_HIGH, PRICE_LOW, s);

if(profit>maxProfit && profit!=0){
bestMA= s;
maxProfit= profit;
}
}
Method1= Method;
Method2= Method;
Price1= PRICE_MEDIAN;
Price2= PRICE_HIGH;
Price3= PRICE_LOW;
PeriodMA= bestMA;
SetText("message", "BestMA= "+PeriodMA+" Profit= "+maxProfit);

SendVars();
}

//---------------------------------------+

void CalcDays()
{
int 日期;
int i;
日期= TimeDay(Time[0]);
for(i=0; i<Bars; i++){
if(TimeDay(Time[i])!=日期){
today= i-1;
break;
}
}
//--when starts yesterday
日期= TimeDay(Time[today+1]);
for(i=today+1; i<Bars; i++){
if(TimeDay(Time[i])!=日期){
yesterday= i-1;
break;
}
}
}

//---------------------------------------+

void DrawTriangle(int objid, int signal, datetime opentime, double openprice, datetime timenow, double pricenow, double profit)
{
string name;
int i;
if(DrawTringles){
//Print("signal= ", Sig2Str(signal), " open= ", openprice, " close= ", pricenow, " profit= ", profit);
name= "profit"+objid;
ObjectCreate(name, OBJ_TRIANGLE, 0, opentime, openprice, timenow, openprice, timenow, pricenow);
if(signal==SIGNAL_SHORT)
ObjectSet(name, OBJPROP_COLOR, ColorShortTrade);
else
ObjectSet(name, OBJPROP_COLOR, ColorLongTrade);
ObjectSet(name, OBJPROP_BACK, false);
if(profit<0){
ObjectSet(name, OBJPROP_WIDTH, 1);
}
else
ObjectSet(name, OBJPROP_WIDTH, 3);
}
name= "win"+objid;
i= profit;

ObjectCreate(name, OBJ_TEXT, 0, timenow, pricenow-20*Point);
ObjectSetText(name, i+" Pips", 8, "Tahoma", White);
}

//---------------------------------------+

void DeleteObjects()
{
int i;
string name;
for(i=0; i<500; i++){
name= "profit"+i;
ObjectDelete(name);
name= "win"+i;
ObjectDelete(name);
}
/*
for(i= 0;i<CountOptimize;i++)
{
name= "mas"+Time[i];
ObjectDelete(name);

name= "masO"+Time[i];
ObjectDelete(name);
name= "masC"+Time[i];
ObjectDelete(name);

name= "mal"+Time[i];
ObjectDelete(name);
}
*/
MaxObj= 0;
}

//---------------------------------------+

void makelabel(string lblname, int x, int y, string txt, color txtcolor)
{
ObjectCreate(lblname, OBJ_LABEL, 0, 0, 0);
ObjectSet(lblname, OBJPROP_CORNER, 0);
ObjectSetText(lblname, txt, 8, "Verdana", txtcolor);
ObjectSet(lblname, OBJPROP_XDISTANCE, x);
ObjectSet(lblname, OBJPROP_YDISTANCE, y);
}

//---------------------------------------+

void SetText(string name, string txt)
{
ObjectSetText(name, txt, 7, "Verdana", White);
}

//---------------------------------------+

void Rectangle(string name, datetime time, double price, int col)
{
string name1;
name1= name + Time[time];
ObjectCreate(name1, OBJ_RECTANGLE, 0, Time[time], price, Time[time+1], price+Point/2);
ObjectSet(name1, OBJPROP_COLOR, col);
}

//---------------------------------------+

void Rectangle2(string name, datetime time, datetime time2, double price, int col)
{
string name1;
name1= name + time;
ObjectCreate(name1, OBJ_RECTANGLE, 0, time, price, time2, price+Point/2);
ObjectSet(name1, OBJPROP_COLOR, col);
}

// creates a speakable text about other symbols

//---------------------------------------+

string Sig2Str(int signal)
{
string r= "undef";
switch(signal){
case SIGNAL_NONE: r= "none"; break;
case SIGNAL_LONG: r= "long"; break;
case SIGNAL_SHORT: r= "short"; break;
}
return(r);
}

//---------------------------------------+