MT4 to lite-C - lite-C Forums

Posted By: PriNova

MT4 to lite-C - 11/06/12 12:52

Hello Zorro's

another issue i have is, that i'm using a profitable MT4 EA and converted it into lite-c. But the results are far from similar.

this is the MT$ EA:

Code:

extern double     Lots=0.1;
extern int        Symb.magic=9001,
                  nORD.Buy = 5,     // max buy orders
                  nORD.Sell = 5;    // max sell orders
//----
double   PRC.Buy,
         PRC.Sell;
int      ord.ticket,
         nORDER,
         ORD.Buy,
         ORD.Sell,
         max.ORD = 1,               // max orders at one bar
         Slippage=10;
string   Name_Expert="Simple KISS";
bool     Signal.Bars,
         ORD.Close.Buy,
         ORD.Close.Sell,
         Signal.Buy,
         Signal.Sell;
//+------------------------------------------------------------------------------------+
int init()                                                                             {
   Signal.Bars=Bars;
   ORD.Close.Buy=true; 
   ORD.Close.Sell=true;
   return(0);
}
//+------------------------------------------------------------------------------------+
void deinit()                                                                          {
   Comment("");
}
//+------------------------------------------------------------------------------------+
int start()                                                                            {
   if(AccountBalance()<1000) return(0);
   Signal.Sell=false;   
   Signal.Buy=false;
   if(OrdersTotal()==0)                                                                {
      Signal.Bars=Bars;
      ORD.Close.Buy=true; 
      ORD.Close.Sell=true;
      ORD.Buy=0;
      ORD.Sell=0;
   }
   nORDER=OrdersTotal();
   //+---------------------------------------------------------------------------------+
   //   BUY Signals
   //+---------------------------------------------------------------------------------+
   if(true
      && High[0]<iLow(NULL,0,1)
      && ORD.Buy<nORD.Buy
   //.........................................Filters...................................
      && true              // empty filter: passes all signals
      )                                                                                {
   //----
      Signal.Buy=true; 
   }
   //+---------------------------------------------------------------------------------+
   //   SELL Signals
   //+---------------------------------------------------------------------------------+
   if(true
      && Low[0]>iHigh(NULL,0,1)
      && ORD.Sell<nORD.Sell
   //.........................................Filters...................................
      && true              // empty filter: passes all signals
      )                                                                                {
   //----
      Signal.Sell=true; 
   }
   //+---------------------------------------------------------------------------------+
   if(ORD.Close.Buy==false)   StopBuy(Symb.magic);    // close orders
   if(ORD.Close.Sell==false)  StopSell(Symb.magic);   // close orders
   //+---------------------------------------------------------------------------------+
   // Trade: open several orders inside one bar
   //+---------------------------------------------------------------------------------+
   if (nORDER<max.ORD)                                                                 {
      if (Signal.Buy)                                                                  {
         OpenBuy(Symb.magic);
         return(0);
      }
      if (Signal.Sell)                                                                 {
         OpenSell(Symb.magic);
         return(0);
      }
   }
   //+---------------------------------------------------------------------------------+
   // Trade: Open one order inside one bar
   //+---------------------------------------------------------------------------------+
   if (nORDER>=max.ORD)                                                                {
      if (Signal.Buy && Signal.Bars<Bars)                                              {
         OpenBuy(Symb.magic);
         return(0);
      }
      if (Signal.Sell && Signal.Bars<Bars)                                             {
         OpenSell(Symb.magic);
         return(0);
      }
   }
   return (0);
}
//+------------------------------------------------------------------------------------+
void OpenBuy(int Symbol.magic)                                                         { 
   ORD.Close.Buy=true;
   ORD.Close.Sell=false;
   if(ORD.Buy>=1 && Ask>PRC.Buy-5*Point) return(0);
   ord.ticket=OrderSend
      (Symbol(),OP_BUY,Lots,Ask,Slippage,0,0,Name_Expert,Symbol.magic,0,Blue); 
   if(ord.ticket<0)                                                                    {
      Print("Ticket ",ord.ticket," Error",GetLastError());
      return(0);
   }
   PRC.Buy=Ask;
   Signal.Bars=Bars;
   ORD.Buy++;
   ORD.Sell=0;
} 
//+------------------------------------------------------------------------------------+
void OpenSell(int Symbol.magic)                                                        { 
   ORD.Close.Sell=true;
   ORD.Close.Buy=false;
   if(ORD.Sell>=1 && Bid<PRC.Sell+5*Point) return(0);
   ord.ticket=OrderSend
      (Symbol(),OP_SELL,Lots,Bid,Slippage,0,0,Name_Expert,Symbol.magic,0,Red); 
   if(ord.ticket<0)                                                                    {
      Print("Ticket ",ord.ticket," Error",GetLastError());
      return(0);
   }
   PRC.Sell=Bid;
   Signal.Bars=Bars;
   ORD.Sell++;
   ORD.Buy=0;
} 
//+------------------------------------------------------------------------------------+
void StopBuy(int Symbol.magic)                                                         {
   for (int i=0; i<OrdersTotal(); i++)                                                 { 
      if (OrderSelect(i, SELECT_BY_POS, MODE_TRADES))                                  { 
          if (OrderSymbol()==Symbol() && OrderMagicNumber()==Symbol.magic)             {    
            if (OrderType()==OP_BUY)                                                   { 
               OrderClose(OrderTicket(), OrderLots(), Bid, Slippage, Blue); 
            }
         } 
      } 
   }
}
//+------------------------------------------------------------------------------------+
void StopSell(int Symbol.magic)                                                        {
   for (int i=0; i<OrdersTotal(); i++)                                                 { 
      if (OrderSelect(i, SELECT_BY_POS, MODE_TRADES))                                  { 
         if (OrderSymbol()==Symbol() && OrderMagicNumber()==Symbol.magic)              {    
            if (OrderType()==OP_SELL)                                                  { 
               OrderClose(OrderTicket(), OrderLots(), Ask, Slippage, Red); 
            }
         } 
      } 
   }
}
//+------------------------------------------------------------------------------------+

the entry-signal is very simple:

LONG: High[0] < Low[1]
SHORT: Low[0] > High[1]

exit if opposite signal occure.
Max open trades are 5 per direction

Simply spoken, go Long if, open of actual candle is higher then close of last candle and last candle has no High-Wick
and go short if open of actual candle is lower then close of last candle and last candle has no Low-Wick

Here is the lite-c code for this, but it opens only one trade and. why is this?
I heard that zorro is using Ask-Prices instead of Bid-Prices could this be the problem

Code:

function run()
{
	set(TICKS);
//	StartDate = 20100101;
	BarPeriod = 60;
	
	if( priceLow(0) > priceHigh(1) )
	{
		exitLong();
		if (numShort() <5)   enterShort();
	}
	if( priceHigh(0) < priceLow(1) )
	{
		exitShort();
		if (numLong() < 5) enterLong();
	}
	
}

Posted By: jcl

Re: MT4 to lite-C - 11/06/12 13:13

Zorro uses Ask prices, but that is just a convention and does not affect strategies.

Your system can never trade because High(0) can never be lower than Low(1) on hourly bars. Currencies are traded 24 hours, so you would only get trades with this system when you used price data with gaps or missing prices, and then the result is random. The price data that we deliver with Zorro reflects the 24 hours market and has no gaps.

The original idea of this system was possibly using the open and close hours of a certain stock exchange for determining High or Low. That would make sense, but only when trading once per day, not once per hour.

Posted By: PriNova

Re: MT4 to lite-C - 11/06/12 13:41

yes, it could.
High(0) is lower Low(1) if candle(1) has no low-wick so that Low(1)==Close(1) and the new candle Open(0) opens lower then the close of candle(1). this often happens with momentum-candles. they close without wick/shadow and opens lower/higher 1 Tick and rally/plunge with extended momentum

or with another expression: if (open(0) < close(1)) and (Low(1) == Close(1))

and as a retail-trader we have gaps between friday close and sunday open. this could sometimes in very volatile markets be 30 Pips and more.

does this mean from your answer, that close(1) == open(0) always?

Posted By: jcl

Re: MT4 to lite-C - 11/06/12 15:13

Originally Posted By: PriNova

does this mean from your answer, that close(1) == open(0) always?

Almost. Price quotes arrive in milliseconds and come from many different sources, so they are mostly uncorrelated. Thus any difference between close(1) and open(0) is negligible.

Still, when your script compared close(1) with open(0), it could theoretically generate some trades, which would be of course totally random. But you compare high(1) with low(0) in hour bars, and that occurrence has zero probability in real price data. It would mean that of the millions of price quotes that arrive in an hour, no single quote would be lower or higher than the close or open. That just does not happen.