IndiaDiscreteModelMaker.mq4

//+------------------------------------------------------------------+
//|                                              New_Model_Maker.mq4 |
//|                        Copyright 2017, MetaQuotes Software Corp. |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2017, MetaQuotes Software Corp."
#property link      "https://www.mql5.com"
#property version   "1.00"
#property strict

//------------------------------------------------------------------------------------------
//Notes:
//India is copied from Golf. It does the same thing to golf as hotel did to foxtrot which is
//it drops OpenBars parameter and instead uses longcond and shortcond exclusively for
//opening and closing long and short trades. Basically when longcond==shortcond no open
//trades, else when longcond=1 and shortcond=0 go long and vice versa.
//
//------------------------------------------------------------------------------------------






extern int Long_Back_1;
extern int Long_Back_2;
extern int Short_Back_1;
extern int Short_Back_2;
extern int Open_Bars;//empty variable kept for analysis with python


extern double prof_factr_thresh = 0;
extern double recov_factr_thresh = 0;
extern double sharpe_thresh = 0;
extern double score_thresh = 0;
extern int num_trades_thresh = 1;//Magic
extern int split_datetime = 0;
extern bool write_to_file = false;
extern int file_name_prefix = 0;
extern int score_type = 0;
extern double Lots = 0.01;
extern bool get_random_results = false;
extern bool only_positive_results = false;


int ticket;
int Magic = num_trades_thresh;
bool LongCond = false;
bool ShortCond = false;
bool ExitLongCond = false;
bool ExitShortCond = false;

bool first_pass = true;
bool first_fore_pass = false;
bool fore = false;
datetime cur_time = TimeLocal();
datetime split = split_datetime;


void OnTick(){
   cur_time = TimeCurrent();
   if(TimeMonth(cur_time)>=TimeMonth(split)&&TimeDay(cur_time)>=TimeDay(split)&&fore==false){
      first_fore_pass = true;
      Alert("first fore pass!");
      fore = true;
   }
   
   bool New_Bar = Find_New_Bar();
      
   if(New_Bar&&!first_pass&&((Long_Back_1!=Long_Back_2)||(Short_Back_1!=Short_Back_2))){
      
      
      LongCond = false;
      ShortCond = false;
      
      if(Open[Long_Back_1] > Open[Long_Back_2]){
         LongCond = true;
      }
      
      if(Open[Short_Back_1] > Open[Short_Back_2]){
         ShortCond = true;
      }
      
      if(LongCond&&!ShortCond&&!CheckOpenOrders()){
         ticket = OrderSend(Symbol(),OP_BUY,Lots,Ask,10,NULL,NULL,"Bought Here",Magic,0,0);
      }
      
      if(!LongCond&&ShortCond&&!CheckOpenOrders()){
         ticket = OrderSend(Symbol(),OP_SELL,Lots,Bid,10,NULL,NULL,"Short Here",Magic,0,0);
      }
      
      bool lovely = OrderSelect(ticket, SELECT_BY_TICKET);
      int type = OrderType();//0 = BUY ORDER, 1 = SELL ORDER
      
      
      if(CheckOpenOrders()&&(LongCond==ShortCond||first_fore_pass)){
         if(type==0){bool closer = OrderClose(ticket,Lots,Bid,10,0);}
         if(type==1){bool closer = OrderClose(ticket,Lots,Ask,10,0);}
      }
      
   }
   
   if(first_pass){first_pass=false;}
   if(first_fore_pass){first_fore_pass=false;}
}



bool CheckOpenOrders(){
   for( int i = 0 ; i < OrdersTotal() ; i++ ) {
      bool a = OrderSelect( i, SELECT_BY_POS, MODE_TRADES );
      if( OrderSymbol() == Symbol() && OrderMagicNumber() == Magic ) 
         return(true);
   }
   return(false);
}

// Identify new bars
bool Find_New_Bar(){
   static datetime New_Time = 0;
   bool New_Bar_local = false;
   if (New_Time!= Time[0]){
      New_Time = Time[0];
      New_Bar_local = true;
      }
   return(New_Bar_local);
}




int firstftrade = 0;
/*
int pass = 0;
double profit = 0;
double gross_profit = 0;
double gross_loss = 0;
double num_trades = 0;
double num_long_trades = 0;
double num_short_trades = 0;
double profit_factor = 0;
double expected_payoff = 0;
double drawdown_dol = 0;
double drawdown_pct = 0;
double recovery_factor = 0;
double sharpe = 0;
double sortino = 0;

double score0 = 0;
double score1 = 0;
double score2 = 0;
double score3 = 0;
double score4 = 0;
double score5 = 0;
double score6 = 0;
double score7 = 0;
double score8 = 0;
double score9 = 0;
double score10 = 0;
double score11 = 0;
double score12 = 0;
double score13 = 0;
double score14 = 0;
double score15 = 0;
double score16 = 0;
double score17 = 0;

double bprofit = 0;
double bgross_profit = 0;
double bgross_loss = 0;
double bnum_trades = 0;
double bnum_long_trades = 0;
double bnum_short_trades = 0;
double bprofit_factor = 0;
double bexpected_payoff = 0;
double bdrawdown_dol = 0;
double bdrawdown_pct = 0;
double brecovery_factor = 0;
double bsharpe = 0;
double bsortino = 0;
double bscore0 = 0;
double bscore1 = 0;
double bscore2 = 0;
double bscore3 = 0;
double bscore4 = 0;
double bscore5 = 0;
double bscore6 = 0;
double bscore7 = 0;
double bscore8 = 0;
double bscore9 = 0;
double bscore10 = 0;
double bscore11 = 0;
double bscore12 = 0;
double bscore13 = 0;
double bscore14 = 0;
double bscore15 = 0;
double bscore16 = 0;
double bscore17 = 0;

double fprofit = 0;
double fgross_profit = 0;
double fgross_loss = 0;
double fnum_trades = 0;
double fnum_long_trades = 0;
double fnum_short_trades = 0;
double fprofit_factor = 0;
double fexpected_payoff = 0;
double fdrawdown_dol = 0;
double fdrawdown_pct = 0;
double frecovery_factor = 0;
double fsharpe = 0;
double fsortino = 0;
double fscore0 = 0;
double fscore1 = 0;
double fscore2 = 0;
double fscore3 = 0;
double fscore4 = 0;
double fscore5 = 0;
double fscore6 = 0;
double fscore7 = 0;
double fscore8 = 0;
double fscore9 = 0;
double fscore10 = 0;
double fscore11 = 0;
double fscore12 = 0;
double fscore13 = 0;
double fscore14 = 0;
double fscore15 = 0;
double fscore16 = 0;
double fscore17 = 0;*/

double whole_counter = 0;
double bcounter = 0;
double fcounter = 0;

string holder  = "";
string btrades = "";
string ftrades = "";

double OnTester(){
   
   //Get first forward trade
   
   bool found = false;
   
   for(int i = 0; i < OrdersHistoryTotal(); i++){
      bool res = OrderSelect(i,SELECT_BY_POS,MODE_HISTORY);
      if(OrderOpenTime()>split_datetime){
         firstftrade = i-1;
         i=OrdersHistoryTotal();
         found = true;
      }
   }
   if(!found){firstftrade = OrdersHistoryTotal()-1;}
   
   
   //backtest stuff      
   double res49 = get_performance_stats(firstftrade, "back",// bsharpe, bsortino,
                                       // bprofit, bgross_profit, bgross_loss,
                                       // bdrawdown_dol, bdrawdown_pct,
                                       // bnum_long_trades, bnum_short_trades, bnum_trades);
                                       btrades, holder);
   
   if(write_to_file==false){
      if(get_random_results){return(0);}
      else{return(0);}
   }
   
   //foretest stuff
   double res66 = get_performance_stats(firstftrade, "fore",// fsharpe, fsortino, 
                                       // fprofit, fgross_profit, fgross_loss,
                                       // fdrawdown_dol,fdrawdown_pct,
                                       // fnum_long_trades, fnum_short_trades,fnum_trades);
                                       holder, ftrades);
   
   //if(1==1){//!only_positive_results || (only_positive_results && bprofit>0)){
   //profit_factor>=prof_factr_thresh
      //&&recovery_factor>=recov_factr_thresh
      //&&sharpe>=sharpe_thresh
      //&&num_trades>=num_trades_thresh){
      
      //Write to ffffile
      int b = 0;
      
      string file_name = string(file_name_prefix)+"_"+string(Symbol())+".csv";
      b = FileOpen(file_name,FILE_CSV|FILE_READ|FILE_WRITE,",");
      if(b==-1){
         Alert("File didn't open");
         Alert("Error code: ",GetLastError());
      }
      else{
         FileSeek(b,0,SEEK_END);
         FileWrite(b,
                   btrades,ftrades,
                   Long_Back_1,Long_Back_2,Short_Back_1,Short_Back_2,0
                   );
         FileClose(b);
         Alert("Written to File");
         }
      //}
   if(get_random_results){return(0);}
      else{return(0);}

}

double get_performance_stats(int firstftrade_, string bf,// double& shsharpe, double& ssortino,
                             //double& pprofit, double& ggross_profit, double& ggross_loss,
                             //double& dd, double& dd_pct, double& nnum_long_trades, double& nnum_short_trades,
                             //double& counterr, 
                             string& bback_trades, string& ffore_trades){
   
   int num_orders = 0;
   int strt = 0;
   int end = 0;
   
   string back_trades = "";
   string fore_trades = "";
   
   if(bf=="fore"){
      strt = OrdersHistoryTotal()-1;
      end = firstftrade_;
      num_orders = OrdersHistoryTotal()-firstftrade_-1;
      
      for(int i = strt; i > end; i--){
         bool yttrr = OrderSelect(i,SELECT_BY_POS,MODE_HISTORY);
         string trade_profit = DoubleToStr(OrderProfit(),2);
         StringAdd(trade_profit," ");
         StringAdd(fore_trades,trade_profit);
      }
   }
   else if(bf=="back"){
      strt = firstftrade_;
      end = -1;
      num_orders = firstftrade_ + 1;
      
      for(int i = strt; i > end; i--){
         bool yttrr = OrderSelect(i,SELECT_BY_POS,MODE_HISTORY);
         string trade_profit = DoubleToStr(OrderProfit(),2);
         StringAdd(trade_profit," ");
         StringAdd(back_trades,trade_profit);
      }
   }
   else if(bf=="none"){
      strt = OrdersHistoryTotal()-1;
      end = -1;
      num_orders = OrdersHistoryTotal();
   }
   else{
      return(-1);
   }
   
   bback_trades = back_trades;
   ffore_trades = fore_trades;
   
   /*
   
   
   
   double local_drawdown = 0;
   double max_drawdown = 0;
   double max_drawdown_pct = 0;
   double high_bal = TesterStatistics(STAT_INITIAL_DEPOSIT);
   double local_low_bal = TesterStatistics(STAT_INITIAL_DEPOSIT);
   double curr_bal = TesterStatistics(STAT_INITIAL_DEPOSIT);
   
   for(int i = strt; i > end; --i){
      bool ddres = OrderSelect(i,SELECT_BY_POS,MODE_HISTORY);
      curr_bal += OrderProfit();
      if(curr_bal > high_bal){
         high_bal = curr_bal;
         local_low_bal = curr_bal;
      }
      if(curr_bal < local_low_bal){
         local_low_bal = curr_bal;
      }
      local_drawdown = high_bal - local_low_bal;
      if(local_drawdown > max_drawdown){
         max_drawdown = local_drawdown;
         max_drawdown_pct = max_drawdown/high_bal*100;
      }
   }
   
   dd = max_drawdown;
   dd_pct = max_drawdown_pct;
   
   
   double sum = 0;
   double pos_sum = 0;
   double neg_sum = 0;
   int num_neg_orders = 0;
   
   int num_long_orders = 0;
   int num_short_orders = 0;
   
   int order_type = -1;
   
   int counter = 0;
   
   for(int i = strt; i > end; --i){
      counter++;
      bool res = OrderSelect(i,SELECT_BY_POS,MODE_HISTORY);
      order_type = OrderType();//0 ==> BUY ORDER, 1 ==> SELL ORDER (LONG, SHORT)
      sum += OrderProfit();
      if(OrderProfit()<=0){
         neg_sum += OrderProfit();
         num_neg_orders++;
      }
      else{
         pos_sum+=OrderProfit();
      }
      if(order_type==0){//long order!
         num_long_orders++;
      }
      else if(order_type==1){//short order
         num_short_orders++; 
      }
      else{return(-2);}
   }
   counterr = counter;
   pprofit = sum;
   ggross_profit = pos_sum;
   ggross_loss = neg_sum;
   
   nnum_long_trades = num_long_orders;
   nnum_short_trades = num_short_orders;
   
   double mean = 0;
   double neg_mean = 0;
   if(num_orders!=0){mean = sum/num_orders;}
   if(num_neg_orders!=0){neg_mean = neg_sum/num_neg_orders;}
   
   double sum2_shar = 0;
   double sum2_sort = 0;
   for(int i = strt; i > end; --i){
      bool res = OrderSelect(i,SELECT_BY_POS,MODE_HISTORY);
      sum2_shar += MathPow(OrderProfit() - mean,2);
      if(OrderProfit()<=0){
         sum2_sort += MathPow(OrderProfit() - neg_mean,2);
      }
   }
   
   double var = 0;
   double neg_var = 0;
   if((num_orders-1)!=0){var = sum2_shar/(num_orders-1);}
   if((num_neg_orders-1)!=0){neg_var = sum2_sort/(num_neg_orders-1);}
   
   
   double std = (MathPow(var,0.5));
   double neg_std = (MathPow(neg_var,0.5));//(sum2,0.5)/(num_orders - 1);
   
   if(std!=0){shsharpe = mean/std;}
   if(neg_std!=0){ssortino = mean/neg_std;}
   
   if(neg_var<=0.0001&&mean>0){
      ssortino=num_orders*2;
   }
   if(var<=0.0001&&mean>0){
      shsharpe=num_orders*2;
   }
   */
   return(1);
}