/////////////////////////////////////////////////////// // // SaherElm IT Center XTest MQL5 Expert Advisor // ------------------------------------------------- // Name: XBackTester // Description: a Backtest Tools Strategy Tester // // Maintainer: // ------------ // Hadi Khazaee Asl (hadi_khazaee_asl@yahoo.com) // //////////////////////////////////////////////////////x // // Global Properties ... #property copyright "Copyright 2023, SaherElm IT Center" #property link "https://saherelm.ir" #property version "1.00" #property description "SaherElm XBackTester" #property icon "../Images/SaherElm_Logo_Color.ico" #property strict // #define ShortName "XBackTester" // // Imports ... #include "../Classes/x-saherelm.x-backtester.expert.class.mq5" #include "../XFIMAEA/Classes/x-saherelm.xfima.signaller.class.mq5" // // Definitions ... // // Inputs ... // // Common ... input group "Common"; input long eaMagicNumber = 78692110; // Magic Number input int eaSlippage = 10; // Slippgae input string eaLogSuffix = ""; // Log Suffix // // Volume ... input group "Volume"; input ENUM_X_VOLUME_SELECT_TYPE eaVolumeSelect = X_VOLUME_CONSTANT; // Volume Applying Type input double eaStaticVoluem = 0.0; // Static Volume input double eaDynamicVolumeStepBalance = 0.0; // Step of Balance for Increase Volume input double eaDynamicVolumeStepVolume = X_MIN_VOLUME; // Step of Volume Increasing input double eaConstantRiskBalance = 0.0; // Constant Risk Balance per Trade input double eaConstantPercent = 1; // Constant Percent of Balance Per Trade input double eaConstantBalance = 1000.0; // Constant Balance for Calculations // // Alert ... // Here we Provider All Requirements for // Configuring Alert Provider ... input group "Alert"; input bool eaEnableAlerts = true; // Enable Alerts input bool eaLogAlerts = true; // Log Alerts input bool eaMailAlerts = false; // Mail Alerts input bool eaPushAlerts = false; // Push Alerts input bool eaTerminalAlerts = false; // Terminal Alerts // // Configurations ... input group "Configuration"; input bool eaProcessAllTicks = false; // Process All Ticks input double eaSignallerR2R = 2.0; // Risk To Reward Ratio input double eaSignallerVolume = 0.01; // Default Volume input double eaSignallerRiskInPoint = 50; // Default Risk In Point // // Indicator Inputs ... // input group "Calculation"; // // Short ... input ENUM_X_PERIOD_METHOD scMethod = X_PERIOD_AUTO; // How to Find Short Period input ENUM_TIMEFRAMES scPeriod = NULL; // Short Period // // Medium ... input ENUM_X_PERIOD_METHOD mcMethod = X_PERIOD_AUTO; // How to Find Medium Period input ENUM_TIMEFRAMES mcPeriod = NULL; // Medium Period // // Long ... input ENUM_X_PERIOD_METHOD lcMethod = X_PERIOD_AUTO; // How to Find Long Period input ENUM_TIMEFRAMES lcPeriod = NULL; // Long Period // // Hind ... input ENUM_X_PERIOD_METHOD hcMethod = X_PERIOD_AUTO; // How to Find Hind Period input ENUM_TIMEFRAMES hcPeriod = NULL; // Hind Period // // PV ... input ENUM_SERIESMODE upperMode = MODE_HIGH; // Peak Method input ENUM_SERIESMODE lowerMode = MODE_LOW; // Vale Method // // Others ... input ENUM_X_FIBO_LEVELS fiboUpperZoneLevel = X_FIBO_LEVEL_382; // Upper Zone Level input ENUM_X_FIBO_LEVELS fiboMiddleZoneLevel = X_FIBO_LEVEL_500; // Middle Zone Level input ENUM_X_FIBO_LEVELS fiboLowerZoneLevel = X_FIBO_LEVEL_618; // Lower Zone Level input double sarStep = 0.02; // SAR Step input double sarMax = 0.2; // SAR Maximum input ENUM_MA_METHOD maMethod = MODE_EMA; // MA Method input ENUM_APPLIED_PRICE maAppliedTo = PRICE_CLOSE; // MA Applied To input int maFastLength = 7; // Fast MA Length input int maSlowLength = 20; // Slow MA Length input int maBondLength = 7; // MA Bond Length input int zigzagDepth = 12; // ZigZag Depth input int zigzagDeviation = 5; // ZigZag Deviation input int zigzagBackStep = 3; // ZigZag Back Step input ENUM_X_PRICE zigzagUppersMode = X_PRICE_HIGH; // ZigZag High Detect Mode input ENUM_X_PRICE zigzagLowersMode = X_PRICE_LOW; // ZigZag Low Detect Mode input bool hkIgnoreShadows = true; // HK Remove noises input int hkSmoothingLength = 21; // HK Smoothing Length input ENUM_X_MA_METHOD hkSmoothingMode = X_MA_MODE_EMA; // HK Smoothing Method // input group "Bar Timer"; input int barTimeFontSize = 10; // Font Size input string barTimeFont = "Arial"; // Font input color barTimeColor = clrYellow; // Text Color input ENUM_BASE_CORNER barTimeCorner = CORNER_RIGHT_LOWER; // Text Position // // Presentation ... input group "Presentation"; input bool showPV = true; // Show PV input bool showHK = true; // Show HK input bool showSAR = true; // Show Sar input bool showBars = true; // Show Bars input bool showMAFast = true; // Show MA Fast input bool showMASlow = true; // Show MA Slow input bool showMABond = true; // Show MA Bond input bool showHKBond = true; // Show HK Bond input bool showBarTime = true; // Show Bar Time input bool showZigZag = true; // Show ZigZag input bool showFiboZone = true; // Show Fibo Zone // input int startCalculationForLastBars = 1500; // Calculate Last n Bars // input int sarArrowCode = 159; // Parabolic Sar Arrow Code input int peakArrowCode = 159; // Peaks Arrow Code input int valeArrowCode = 159; // Vales Arrow Code // // Define Local Variables ... // // Requirements ... string eaLogTag; // EA Log Prefix ... XCBackTesterEA *eaExpert; // EA Expert ... // // Registered Signallers ... XCXFIMAStrategy1Signaller *fima1Signaller; // XFIMA1 Signaller ... // // XFIMAMarketStructure marketStructure; // POI Analysis Result ... // XFIMAPatternDetectorConfig detectorConfig; // POI Detector Config ... // XFIMAMarketStructureDrawerConfig marketStructureDrawerConfig; // POI Drawer Config ... // // Drawer and eaDraws ... CArrayObj eaDraws; // Drawn Objects ... CArrayObj *marketStructureObjects; // Market Structure Objects ... // XBarTracker eaBarTracker; // EA Bar Traker ... // // Registered Handlers ... int eaCTHandler = INVALID_HANDLE; // Candle Timer Handler ... int eaCCHandler = INVALID_HANDLE; // Candle Cleaner Handler ... // bool eaIsNewBar; // Check New Bar ... // ENUM_CHART_MODE eaBarMode = CHART_CANDLES; // color eaBarUpColor = clrLime; color eaBarDownColor = clrRed; color eaBarLineColor = clrLime; color eaBarBearishColor = clrRed; color eaBarBullishColor = clrLime; color eaBarVolumesColor = clrGreen; // // Define Indicators Here ... // // Event Handlers ... // // Initialization ... int OnInit() { // // Preparing Tags ... string eaTag = (IsValid(eaLogSuffix) ? eaLogSuffix + "_" : "") + ShortName; // // Validate Inputs and Required Parameters // for EA to Works fine ... if (!ValidateInputs()) { return INIT_PARAMETERS_INCORRECT; } // // Initialize Timer ... if (!InitTimer()) { return INIT_FAILED; } // // Configure EA Expert Class ... eaExpert = new XCBackTesterEA(); // // Symbol / Period ... eaExpert.symbol = _Symbol; eaExpert.period = _Period; // // Common ... eaExpert.eaMagicNumber = eaMagicNumber; eaExpert.eaSlippage = eaSlippage; eaExpert.eaLogSuffix = eaTag; // // Volume ... eaExpert.eaVolumeSelect = eaVolumeSelect; eaExpert.eaStaticVoluem = eaStaticVoluem; eaExpert.eaDynamicVolumeStepBalance = eaDynamicVolumeStepBalance; eaExpert.eaDynamicVolumeStepVolume = eaDynamicVolumeStepVolume; eaExpert.eaConstantRiskBalance = eaConstantRiskBalance; eaExpert.eaConstantPercent = eaConstantPercent; eaExpert.eaConstantBalance = eaConstantBalance; // // Alert ... eaExpert.eaEnableAlerts = eaEnableAlerts; eaExpert.eaLogAlerts = eaLogAlerts; eaExpert.eaMailAlerts = eaMailAlerts; eaExpert.eaPushAlerts = eaPushAlerts; eaExpert.eaTerminalAlerts = eaTerminalAlerts; // // Attach Event Handlers ... eaExpert.AddOnDealsChangedEventHandler(OnDealsChanged); eaExpert.AddOnStopLossEventHandler(OnStopLossTriggered); eaExpert.AddOnOrdersChangedEventHandler(OnOrdersChanged); eaExpert.AddOnSignalExecutedEventHandler(OnSignalExecuted); eaExpert.AddOnTakeProfitEventHandler(OnTakeProfitTriggered); eaExpert.AddOnModifyPositionEventHandler(OnPositionModified); eaExpert.AddOnPositionsChangedEventHandler(OnPositionsChanged); eaExpert.AddOnTradeStateChangedEventHandler(OnTradeStateChanged); eaExpert.AddOnForceClosePositionEventHandler(OnPositionForceClosed); eaExpert.AddOnPartialClosePositionEventHandler(OnPositionPartialClosed); // // Configure Other Requirements ... eaExpert.allowedTPSLStep = 10; eaExpert.minAllowedRiskInPoint = 20; eaExpert.volume = eaSignallerVolume; eaExpert.riskToRewardRatio = eaSignallerR2R; eaExpert.riskInPoint = eaSignallerRiskInPoint; // // Try to Initialize eaExpert ... bool isInited = eaExpert.HandleOnInit(); if (!isInited) { // Print(ShortName, ": Initialization Failed ..."); return INIT_FAILED; } // // Here Instantiate Signaller Class ... // // Preparing Indicator Inputs ... XFIMAInputs fimaInputs; // // This is Default Configuration ... fimaInputs.Default(); fimaInputs.Hide(); // // Here we Attach Inputs to Indicator ... fimaInputs.scMethod = scMethod; fimaInputs.scPeriod = scPeriod; fimaInputs.mcMethod = mcMethod; fimaInputs.mcPeriod = mcPeriod; fimaInputs.lcMethod = lcMethod; fimaInputs.lcPeriod = lcPeriod; fimaInputs.hcMethod = hcMethod; fimaInputs.hcPeriod = hcPeriod; fimaInputs.upperMode = upperMode; fimaInputs.lowerMode = lowerMode; fimaInputs.fiboUpperZoneLevel = fiboUpperZoneLevel; fimaInputs.fiboMiddleZoneLevel = fiboMiddleZoneLevel; fimaInputs.fiboLowerZoneLevel = fiboLowerZoneLevel; fimaInputs.sarStep = sarStep; fimaInputs.sarMax = sarMax; fimaInputs.maMethod = maMethod; fimaInputs.maAppliedTo = maAppliedTo; fimaInputs.maFastLength = maFastLength; fimaInputs.maSlowLength = maSlowLength; fimaInputs.maBondLength = maBondLength; fimaInputs.zigzagDepth = zigzagDepth; fimaInputs.zigzagDeviation = zigzagDeviation; fimaInputs.zigzagBackStep = zigzagBackStep; fimaInputs.zigzagUppersMode = zigzagUppersMode; fimaInputs.zigzagLowersMode = zigzagLowersMode; fimaInputs.hkIgnoreShadows = hkIgnoreShadows; fimaInputs.hkSmoothingLength = hkSmoothingLength; fimaInputs.hkSmoothingMode = hkSmoothingMode; fimaInputs.showPV = showPV; fimaInputs.showHK = showHK; fimaInputs.showSAR = showSAR; fimaInputs.showMAFast = showMAFast; fimaInputs.showMASlow = showMASlow; fimaInputs.showMABond = showMABond; fimaInputs.showHKBond = showHKBond; fimaInputs.showZigZag = showZigZag; fimaInputs.showFiboZone = showFiboZone; fimaInputs.startCalculationForLastBars = startCalculationForLastBars; fimaInputs.sarArrowCode = sarArrowCode; fimaInputs.peakArrowCode = peakArrowCode; fimaInputs.valeArrowCode = valeArrowCode; // // Instantiate Signaller ... // // XFIMA1 Signaller ... fima1Signaller = new XCXFIMAStrategy1Signaller( _Symbol, _Period, fimaInputs, eaProcessAllTicks, // Process All Ticks ... eaSignallerR2R, // Signaller Risk to Reward Ratio ... eaSignallerRiskInPoint, // Default Risk In Points ... eaSignallerVolume // Defaul Volume ... ); fima1Signaller.slAdditionDistance = 15; fima1Signaller.AddOnSignalEventHandler(OnSignalTriggered); // isInited = fima1Signaller.IsValid(); if (!isInited) { // Print(ShortName, ": Initialization Failed ..."); return INIT_FAILED; } // // Initialize Candle Timer Handler ... eaCTHandler = iCustom( _Symbol, _Period, "x-saherelm.x121.xct", // // Inputs ... barTimeFontSize, // Font Size ... barTimeFont, // Font ... barTimeColor, // Text Color ... barTimeCorner, // Text Position ... // // Presentation ... "", showBarTime // Show Candle Time // ); isInited = eaCTHandler != INVALID_HANDLE; if (!isInited) { // Print(ShortName, ": Initialization Failed ..."); return INIT_FAILED; } // // Initialize Candle Cleaner Handler ... eaCCHandler = iCustom( _Symbol, _Period, "x-saherelm.x121.xcc", // // Inputs ... // // Chart Style ... "", eaBarMode, // Mode eaBarUpColor, // Up Color eaBarDownColor, // Down Color eaBarLineColor, // Line mode and Doji candlestick Color eaBarBullishColor, // Bearish Color eaBarBearishColor, // Bullish Color eaBarVolumesColor, // Volumes Color // // Presentation ... "", showBars // Show Candles // ); isInited = eaCCHandler != INVALID_HANDLE; if (!isInited) { // Print(ShortName, ": Initialization Failed ..."); return INIT_FAILED; } // // Initialize Bar Tracker ... isInited = eaBarTracker.Init( _Symbol, _Period // ); if (!isInited) { // Print(ShortName, ": Initialization Failed ..."); return INIT_FAILED; } // // Configure XFIMA POI Detector / Drawer ... // detectorConfig.Default(); // detectorConfig.FullDetect(); // marketStructureDrawerConfig.FullDraw(); // Print(ShortName, ": Initialized Successfully ..."); return INIT_SUCCEEDED; } // // DeInitialization ... void OnDeinit(const int reason) { // // REASON_PROGRAM 0 The EA has stopped working calling the ExpertRemove() function // REASON_REMOVE 1 Program removed from a chart // REASON_RECOMPILE 2 Program recompiled // REASON_CHARTCHANGE 3 A symbol or a chart period is changed // REASON_CHARTCLOSE 4 Chart closed // REASON_PARAMETERS 5 Inputs changed by a user // REASON_ACCOUNT 6 Another account has been activated or reconnection to the trade server has occurred due to changes in the account settings // REASON_TEMPLATE 7 Another chart template applied // REASON_INITFAILED 8 The OnInit() handler returned a non-zero value // REASON_CLOSE 9 Terminal closed // // Destroy Timer ... eaExpert.HandleOnDeInit(); // // De Init Indicator ... IndicatorRelease(eaCTHandler); // eaBarTracker.Clean(); // delete fima1Signaller; ZeroMemory(fima1Signaller); // delete eaExpert; ZeroMemory(eaExpert); } // // On Tick Handler ... void OnTick() { // eaIsNewBar = eaBarTracker.IsNewBar(); bool canProcess = eaProcessAllTicks ? true : eaIsNewBar; // eaExpert.HandleOnTick(); // if (!canProcess) { return; } // // Bar Index ... int barIndex = 0; // // Signallers Calling OnTick ... fima1Signaller.OnTick(barIndex); } // // Handle On Trade Event ... void OnTrade() { eaExpert.HandleOnTrade(); } // // On Timer ... void OnTimer() { eaExpert.HandleOnTimer(); } // // Chart Event Handler ... void OnChartEvent( const int id, const long &lparam, const double &dparam, const string &sparam // ) { eaExpert.HandleOnChartEvent(id, lparam, dparam, sparam); } // // Custom Functions ... /** * Validate all Inputs of Expert Adviser ... * * @return ( bool ) */ bool ValidateInputs() { // bool result = false; // string errMessage = ""; // bool isCommonValid = ( // eaSlippage > 0 && eaMagicNumber > 0 && // // Indicator Inputs ... // // MA ... maFastLength >= 2 && maSlowLength >= 2 && maSlowLength > maFastLength && // // SAR ... sarMax > 0 && sarStep > 0 && sarMax > sarStep && // // CYCLES ... (IsValid(scMethod, scPeriod) && IsValid(mcMethod, mcPeriod) && IsValid(lcMethod, lcPeriod) && IsValid(hcMethod, hcPeriod)) && // // ZIGZAG ... zigzagDepth > 0 && zigzagDeviation > 0 && zigzagBackStep > 0 && // // Validate Upper Mode Detection ... IsXValid(zigzagUppersMode) && // // Validate Lower Mode Detection ... IsXValid(zigzagLowersMode) // ); if (!isCommonValid) { // errMessage += "common configurations error;" + "\n"; } // result = // // Common ... isCommonValid && // // Otere ... true // ; // if (!result) { // // Since here Logger not Initiallized, we Use Raw Print Command ... Print(ShortName + " Errors: \n", errMessage); } // return result; } /** * Initialize Timer ... * * @return ( bool ) */ bool InitTimer() { // bool result = false; // // TODO: Initialize Timer if necessary ... // result = EventSetTimer(1); // result = EventSetMillisecondTimer(100); result = true; // return result; } /** * Destroy Timer ... */ void DestroyTimer() { // // TODO: Use This ... // EventKillTimer(); } /** * Trigger OnSignal Event ... * * @param signal: XSignal */ void OnSignalTriggered(XSignal &signal) { // // // // Draw Signal on Chart ... // XCSignalObject *iSignalObj; // bool has = fima1Signaller.poiDrawer.DrawSignal( // signal, // iSignalObj, // 7 // // ); // eaExpert.HandleOnSignalTriggered(signal); } /** * Trigger OnSignal Executed Event ... * * @param signal: XSignal */ void OnSignalExecuted(XSignal &signal) { eaExpert.HandleOnSignalExecuted(signal); } /** * Check For Guard ... * * @param guards: XGuard, reference Collection to holds result ... * @param positions: XPosition, refrence collection to Provides Positions ... * @param barIndex: int, Specified Bar index ... * * @return ( int ) */ int CheckForGuard( XGuard &guards[], XPosition &positions[], int barIndex = 0 // ) { // int result = fima1Signaller.CheckForGuard( guards, positions, barIndex // ); // return result; } // // Trade Event Handlers ... /** * Handle StopLoss Triggered Positions ... * * @param deal: XDeal instance ... */ void OnStopLossTriggered(const XDeal &deal) { // eaExpert.HandleOnStopLossTriggered(deal); // HandleBalanceReport(); HandleWinTrade(deal.positionId, deal.profit); HandleLoseTrade(deal.positionId, deal.profit); } /** * Handle Take Profit Triggered Positions ... * * @param deal: XDeal instance ... */ void OnTakeProfitTriggered(const XDeal &deal) { // eaExpert.HandleOnTakeProfitTriggered(deal); // HandleBalanceReport(); HandleWinTrade(deal.positionId, deal.profit); } /** * Handle Force Close a Position ... * * @param ticket: ULONG ... * @param position: XPosition instance ... * @param comment: String ... */ void OnPositionForceClosed( const ulong ticket, const XPosition &position, const string comment // ) { // eaExpert.HandleOnPositionForceClosed( ticket, position, comment // ); // HandleBalanceReport(); HandleWinTrade(ticket, position.profit); HandleLoseTrade(ticket, position.profit); } /** * Handle Deals Changes ... * * @param count: Integer, Number of Changes ... */ void OnDealsChanged(int count) { eaExpert.HandleOnDealsChanged(count); } /** * Handle Orders Changes ... * * @param count: Integer, Number of Changes ... */ void OnOrdersChanged(int count) { eaExpert.HandleOnOrdersChanged(count); } /** * Handle Positions Changes ... * * @param count: Integer, Number of Changes ... */ void OnPositionsChanged(int count) { eaExpert.HandleOnPositionsChanged(count); } /** * Handle Position Modified ... * * @param ticket: ulong, Position Ticket ... * @param profit: double, Position Profit ... * @param comment: string, Comment ... */ void OnPositionModified( const ulong ticket, const double profit, const string comment // ) { // eaExpert.HandleOnPositionModified( ticket, profit, comment // ); } /** * Handle Position Partial Closed ... * * @param ticket: ulong, Position Ticket ... * @param profit: double, Position Profit ... * @param comment: string, Comment ... */ void OnPositionPartialClosed( const ulong ticket, const double profit, const string comment // ) { // eaExpert.HandleOnPositionPartialClosed( ticket, profit, comment // ); } /** * Handle Trade State Changed ... * * @param state: XOnTradeHandlerState instance ... */ void OnTradeStateChanged(const XOnTradeHandlerState &state) { eaExpert.HandleOnTradeStateChanged(state); } /** * Test Resting Signals ... * * @param ticket: ulong, Position Ticket ... * @param profit: double, Position Profit ... */ void HandleLoseTrade( ulong ticket = 0, double profit = 0 // ) { // // Check Position Loose ... bool has = ticket > 0 && profit < 0; if (!has) { return; } // // NOTE: Here we Can Add Restrictions on Signaller based on our Requirements ... // restingSignals: Specified Number of Signals which must to Ignore ... // restUntil: Specified DateTime to Ignore all Signals before it Expiration ... // restingDelay: Specified Bars Delay to Ignore all Signals before it passed ... // // Increase Resting Signals of Signallers ... fima1Signaller.LoseTrade(); } /** * Handle Win Trade ... * * @param ticket: ulong, Position Ticket ... * @param profit: double, Position Profit ... */ void HandleWinTrade( ulong ticket = 0, double profit = 0 // ) { // bool has = ticket > 0 && profit > 0; if (!has) { return; } // fima1Signaller.WinTrade(); } /** * Handle Balance Report ... */ void HandleBalanceReport() { // string message = eaExpert.eaTrader.mAccount.GetBalanceReportMessage(); eaExpert.eaAlert.SendAlert(message); } //