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2011.01.07 15:03
Experts

MQL5 Wizard - Trade Signals Based on Price Crossover with Moving Average Indicator - expert for MetaTrader 5

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signalma.mqh (12.33 KB)view

MQL5 Wizard allows to create the code of Expert Advisors automatically. See Creating Ready-Made Expert Advisors in MQL5 Wizard for the details.

Here we will consider the strategy based on price crossover with Moving Average indicator. The strategy called "Signals based on price crossover with MA" (when creating EA automatically in MQL5 Wizard).

The trade signals:

  • Buy: upward crossover of price with Moving Average.
  • Sell: downward crossover of price with Moving Average.
  • The checking of MA increase/decrease is used to filter false signals.

This strategy is implemented in CSignalMA class of the Trading Strategy classes of MQL5 Standard Library (located in MQL5\Include\Expert\Signal\SignalMA.mqh).

Figure 1. Trade signals based on price crossover with Moving Average

Figure 1. Trade signals based on price crossover with Moving Average

Trade Signals

The trading strategy is implemented in CSignalMA class, it has some protected methods to simplify access to indicators and price values:

double  MA(int ind)          // returns the value of moving average of the bar
double  Open(int ind)        // returns the opening price of the bar
double  Close(int ind)       // returns the closing price of the bar
double  StateMA(int ind)     // returns positive value if average increases and negative if decreases
double  StateOpen(int ind)   // returns the difference between the opening price and moving average 
double  StateClose(int ind)  // returns the difference between the closing price and moving average
The price and indicator values of the 0th (uncompleted) bar may change, so it's necessary to perform the checking of trade conditions using the completed (formed) bars data.

1. Open long position

Conditions to open long position (price crossover with MA and checking of MA increase):

  • Open(1)<MA(1): opening price is lower than moving average;
  • Close(1)>MA(1): closing price is higher than moving average;
  • MA(1)>MA(2): check increase of moving average (to filter false signals).
//+------------------------------------------------------------------+
//| Checks conditions to open long position (buy)                    |
//+------------------------------------------------------------------+
bool CSignalMA::CheckOpenLong(double& price,double& sl,double& tp,datetime& expiration)
  {
   price=0.0;
   sl   =0.0;
   tp   =0.0;
//--- price has crossed upward the MA and MA increases
   return(StateOpen(1)<0 && StateClose(1)>0 && StateMA(1)>0);
  }

2. Close long position

Conditions to close long position (price crossover with MA and checking of MA decrease):

  • Open(1)>MA(1): opening price is higher than moving average;
  • Close(1)<MA(1): closing price is lower than moving average;
  • MA(1)<MA(2): check decrease of moving average (to filter false signals).
//+------------------------------------------------------------------+
//| Checks conditions to close long position                         |
//+------------------------------------------------------------------+
bool CSignalMA::CheckCloseLong(double& price)
  {
   price=0.0;
//--- price has crossed moving average downward and moving average decreases
  return(StateOpen(1)>0 && StateClose(1)<0 && StateMA(1)<0);
  }


3. Open short position

The conditions to open short position are the same as long position closing conditions.

//+------------------------------------------------------------------+
//| Checks conditions to open short position (sell)                  |
//+------------------------------------------------------------------+
bool CSignalMA::CheckOpenShort(double& price,double& sl,double& tp,datetime& expiration)
  {
   price=0.0;
   sl   =0.0;
   tp   =0.0;
//--- price has crossed moving average upward and moving average decreases 
   return(StateOpen(1)>0 && StateClose(1)<0 && StateMA(1)<0);
  }


4. Close short position

The conditions to close short position are the same as long position opening conditions.

//+------------------------------------------------------------------+
//| Checks conditions to close short position                        |
//+------------------------------------------------------------------+
bool CSignalMA::CheckCloseShort(double& price)
  {
   price=0.0;
//--- price has crossed moving average upward and moving average increases
   return(StateOpen(1)<0 && StateClose(1)>0 && StateMA(1)>0);
  }
//+------------------------------------------------------------------+

Creating Expert Advisor using MQL5 Wizard

To create a trading robot based on the strategy you need to choose the signal properties as "Signals based on price crossover with MA" in "Creating Ready-Made Expert Advisors" option of MQL5 Wizard:

Figure 2. Choose "Signals based on price crossover with MA" in MQL5 Wizard

Figure 2. Choose "Signals based on price crossover with MA" in MQL5 Wizard

The next you have to specify the needed trailing stop algorithm and money and risk management system. The code of Expert Advisor will be created automatically, you can compile it and test in Strategy Tester of MetaTrader 5 client terminal.


Testing Results

Let's consider backtesting of the Expert Advisor on historical data (EURUSD H1, custom period: 1.1.2010-05.01.2011, MA_period=12, MA_Shift=0).

In creation of Expert Advisor we used the fixed volume (Trading Fixed Lot, 0.1), Trailing Stop algorithm is not used (Trailing not used).

Crossover with Moving Average

Figure 3. Historical backtesting results of the Expert Advisor, based on price crossover with MA

Attachments: The SignalMA.mqh with CSignalMA class (included in MQL5 Standard Library) is located at MQL5\Include\Expert\Signal folder. The file crossoverma.mq5 contains the code of the Expert Advisor, created using MQL5 Wizard.

Translated from Russian by MetaQuotes Software Corp.
Original code: https://www.mql5.com/ru/code/248

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