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MQL5 Wizard - Trade Signals Based on Three Moving Averages - expert for MetaTrader 5

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4502
Rating:
votes: 22
Published:
2011.01.10 10:41
Updated:
2016.11.22 07:32
signal3ema.mqh (12.94 KB)view
threeema.mq5 (6.19 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 trend strategy, based on three moving averages. The strategy called "Signals based on three EMA". To determine the trend, it uses three exponentially smoothed moving averages: FastEMA, MediumEMA and SlowEMA.

Trade signals:

  • Buy signal: FastEMA>MediumEMA>SlowEMA (upward trend).
  • Sell signal: FastEMA<MediumEMA<SlowEMA (downward trend).

This strategy is implemented in CSignal3EMA class (the signal3ema.mqh must be placed to terminal_data_folder\MQL5\Include\Expert\Signal\Signal3EMA.mqh).

Figure 1. Trade signals, based on three moving averages

Figure 1. Trade signals, based on three moving averages

Trade Signals

The trading strategy is implemented in CSignal3EMA class, it has some protected methods to simplify access to values of three moving averages (Fast, Medium, Slow):

double  FastEMA(int ind)      // returns the value of Fast EMA of the bar
double  MediumEMA(int ind)    // returns the value of Medium EMA of the bar
double  SlowEMA(int ind)      // returns the value of Slow EMA of the bar
The 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

The upward trend is determined by following condition: FastEMA>MediumEMA>SlowEMA:

  • FastEMA(1)>MediumEMA(1): Fast EMA is higher than Medium EMA (last completed bar);
  • MediumEMA(2)>SlowEMA(1): Medium EMA is higher than Slow EMA (last completed bar);
//+------------------------------------------------------------------+
//| Checks conditions to open long position (buy)                    |
//+------------------------------------------------------------------+
bool CSignal3EMA::CheckOpenLong(double& price,double& sl,double& tp,datetime& expiration)
  {
   double medium=MediumEMA(1);
//---
   price=0.0;
   sl   =m_symbol.Ask()-m_stop_loss*m_adjusted_point;
   tp   =m_symbol.Ask()+m_take_profit*m_adjusted_point;
//--- checking for upward trend (on the last completed bar): FastEMA(1)>MediumEMA(1)>SlowEMA(1)
    return(FastEMA(1)>medium && medium>SlowEMA(1));
  }


2. Close long position

The downward trend is determined by following condition: FastEMA<MediumEMA<SlowEMA:

  • FastEMA(1)<MediumEMA(1): Fast EMA is lower than Medium EMA (last completed bar);
  • MediumEMA(2)<SlowEMA(1): Medium EMA is lower than Slow EMA (last completed bar);
//+------------------------------------------------------------------+
//| Checks conditions to close long position                         |
//+------------------------------------------------------------------+
bool CSignal3EMA::CheckCloseLong(double& price)
  {
   double medium=MediumEMA(1);
//---
   price=0.0;
//--- checking for downward trend (on the last completed bar): FastEMA(1)<MediumEMA(1)<SlowEMA(1)
   return(FastEMA(1)<medium && medium<SlowEMA(1));
  }
You may improve the closing of long position: it isn't necessary to wait for the downward trend, you may close long positions when flat, which can be determined by following conditions: FastEMA<MediumEMA>SlowEMA.


3. Open short position

//+------------------------------------------------------------------+
//| Checks conditions to open short position (sell)                  |
//+------------------------------------------------------------------+
bool CSignal3EMA::CheckOpenShort(double& price,double& sl,double& tp,datetime& expiration)
  {
   double medium=MediumEMA(1);
//---
   price=0.0;
   sl   =m_symbol.Bid()+m_stop_loss*m_adjusted_point;
   tp   =m_symbol.Bid()-m_take_profit*m_adjusted_point;
//--- checking for downward trend (on the last completed bar): FastEMA(1)<MediumEMA(1)<SlowEMA(1)
   return(FastEMA(1)<medium && medium<SlowEMA(1));

  }

4. Close short position

//+------------------------------------------------------------------+
//| Checks conditions to close short position                        |
//+------------------------------------------------------------------+
bool CSignal3EMA::CheckCloseShort(double& price)
  {
   double medium=MediumEMA(1);
//---
   price=0.0;
//--- checking for upward trend (on the last completed bar): FastEMA(1)>MediumEMA(1)>SlowEMA(1)
   return(FastEMA(1)>medium && medium>SlowEMA(1));
  }

You may improve the closing of short position: it isn't necessary to wait for the upward trend, you may close short positions when flat, which can be determined by following conditions: FastEMA>MediumEMA<SlowEMA.


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 three EMA" in "Creating Ready-Made Expert Advisors" option of MQL5 Wizard:

Figure 2. Choose "Signals based on three EMA" in MQL5 Wizard

Figure 2. Choose "Signals based on three EMA" 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, testing period: 1.1.2010-05.01.2011,  FastPeriod=5, MediumPeriod=12, SlowPeriod=24, StopLoss=400, TakeProfit=900).

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

Figure 3. Historical backtesting results of the Expert Advisor, based on three EMA

Figure 3. Historical backtesting results of the Expert Advisor, based on three EMA

Attachments: The Signal3EMA.mqh with CSignal3EMA class must be placed to terminal_data_folder\MQL5\Include\Expert\Signal.

The threeema.mq5 file 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/250

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