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);
  }
 
//---------------------------------------+