About Testing MultiCurrencies and Time Frames in Strategy Tester

Ziad El 2018.07.08 10:11

I have read in the documentation that it is possible to test many currencies (and timeframes?) in MQL5 strategy tester, but could not find a clear and simple example...

So I made minimum changes to an EA that comes along with MT5: Moving Averages.mq5, to include a scanning algorithms...

Well it does goes to testing, but shows just one Symbol (as highlighted in the following picutre):

"My" code is:

//+------------------------------------------------------------------+
//|                                              Moving Averages.mq5 |
//|                   Copyright 2009-2017, MetaQuotes Software Corp. |
//|                                              http://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2009-2017, MetaQuotes Software Corp."
#property link      "http://www.mql5.com"
#property version   "1.00"

#include <Trade\Trade.mqh>

input double MaximumRisk      = 0.02;   // Maximum Risk in percentage
input double DecreaseFactor   = 3;      // Descrease factor
input int    MovingPeriod     = 12;     // Moving Average period
input int    MovingShift      = 6;      // Moving Average shift
//---
int    ExtHandle=0;
bool   IsHedge=true;   // No worry: Will be determined automatically!
CTrade ExtTrade;

string          ThisP  = _Symbol;
ENUM_TIMEFRAMES ThisT  = _Period;

//+------------------------------------------------- [Multi Filling]-+   
string AllPair[] = { 
 "AUDCAD", "AUDCHF", "AUDJPY", "AUDNZD", "AUDUSD", "CADCHF", "CHFJPY", 
 "EURAUD", "EURCAD", "EURCHF", "EURGBP", "EURJPY", "EURNZD", "EURUSD", 
 "GBPAUD", "GBPCAD", "GBPCHF", "GBPJPY", "GBPNZD", "GBPUSD", "NZDJPY", 
 "NZDUSD", "USDCAD", "USDCHF", "USDJPY"}; 
ENUM_TIMEFRAMES AllTime[] = {PERIOD_M15, PERIOD_M30, PERIOD_H1};               
int p = ArraySize(AllPair); 
int t = ArraySize(AllTime);

#define MA_MAGIC 1234501
//+------------------------------------------------------------------+
//| Calculate optimal lot size                                       |
//+------------------------------------------------------------------+
double TradeSizeOptimized(string P)
{
double price=0.0;
double margin=0.0;
//--- select lot size
if(!SymbolInfoDouble(P,SYMBOL_ASK,price))                 return(0.0);
if(!OrderCalcMargin(ORDER_TYPE_BUY,P,1.0,price,margin))
                                                          return(0.0);
if(margin<=0.0)                                           return(0.0);
double lot = NormalizeDouble(AccountInfoDouble(ACCOUNT_MARGIN_FREE)  * 
             MaximumRisk/margin,2);  // Simply free margin x 0.01 risk
if(DecreaseFactor>0) //---    calc number of consecutive losing orders
{
 HistorySelect(0,TimeCurrent());    //--- select history for access
 int    orders=HistoryDealsTotal(); // total history deals
 int    losses=0;                   // nb of consecutive losing orders
 for(int i=orders-1;i>=0;i--)       // looping the total history deals
 {
  ulong ticket=HistoryDealGetTicket(i);
  if(ticket==0)
  {
   Print("HistoryDealGetTicket failed, no trade history");
   break;
  }
   if(HistoryDealGetString(ticket,DEAL_SYMBOL)!=P)//check symbol
    continue;                     // Filter to Keep Our Magic number :
   if(HistoryDealGetInteger(ticket,DEAL_MAGIC)!=MA_MAGIC)
     continue;                    // Increase consecutive losing   nb:
   double profit=HistoryDealGetDouble(ticket,DEAL_PROFIT);
    if(profit>0.0) break;
    if(profit<0.0) losses++;
 } // So teh lot size is 'punished' by taking out third of losses...
 if(losses>1)  lot = NormalizeDouble(lot-lot*losses/DecreaseFactor,1);
}
//--- normalize and check limits
double stepvol = SymbolInfoDouble(P,SYMBOL_VOLUME_STEP);
           lot = stepvol*NormalizeDouble(lot/stepvol,0); //rounding...
double minvol  = SymbolInfoDouble(P,SYMBOL_VOLUME_MIN);
 if(lot<minvol) lot=minvol;
double maxvol  = SymbolInfoDouble(P,SYMBOL_VOLUME_MAX);
 if(lot>maxvol) lot=maxvol;
return(lot); //--- return trading volume
}
//+------------------------------------------------------------------+
//| Check for open position conditions                               |
//+------------------------------------------------------------------+
void CheckForOpen(string P, ENUM_TIMEFRAMES T)
{
MqlRates rt[2];       //--- go trading only for first ticks of new bar
if(CopyRates(P,T,0,2,rt)!=2)
{Print("CopyRates of ",P," failed, no history");              return;}
if(rt[1].tick_volume>1)                                       return ;
double   ma[1];                       //--- get current Moving Average 
if(CopyBuffer(ExtHandle,0,0,1,ma)!=1)     
 { Print("CopyBuffer from iMA failed, no data");              return;}
//--- check signals
ENUM_ORDER_TYPE signal=WRONG_VALUE;
if(rt[0].open>ma[0] &&rt[0].close<ma[0]) signal=ORDER_TYPE_SELL;//sell
else
 {if(rt[0].open<ma[0] &&rt[0].close>ma[0]) signal=ORDER_TYPE_BUY;//buy 
 }
//--- additional checking
if(signal!=WRONG_VALUE)
 {if(TerminalInfoInteger(TERMINAL_TRADE_ALLOWED) &&
     Bars(P,T)>100)
  ExtTrade.PositionOpen(P,signal,TradeSizeOptimized(P),
  SymbolInfoDouble(P,
  signal==ORDER_TYPE_SELL ? SYMBOL_BID:SYMBOL_ASK),0,0);             }
}
//+------------------------------------------------------------------+
//| Check for close position conditions                              |
//+------------------------------------------------------------------+
void CheckForClose(string P, ENUM_TIMEFRAMES T)
{
MqlRates rt[2];       //--- go trading only for first ticks of new bar
if(CopyRates(P,T,0,2,rt)!=2)
{Print("CopyRates of ",P," failed, no history");              return;}
if(rt[1].tick_volume>1)                                        return;
double   ma[1];                       //--- get current Moving Average 
if(CopyBuffer(ExtHandle,0,0,1,ma)!=1)     
{Print("CopyBuffer from iMA failed, no data");                return;}
bool signal=false; //--- positions already selected before
long type=PositionGetInteger(POSITION_TYPE);
if(type==(long)POSITION_TYPE_BUY && rt[0].open>ma[0] 
                                 && rt[0].close<ma[0])    signal=true;
if(type==(long)POSITION_TYPE_SELL && rt[0].open<ma[0] 
                                  && rt[0].close>ma[0])   signal=true;
if(signal)                                  //--- additional checking
{
 if(TerminalInfoInteger(TERMINAL_TRADE_ALLOWED) 
   && Bars(P,T)>100)    ExtTrade.PositionClose(P,3);
}
}
//+------------------------------------------------------------------+
//| Position select depending on netting or hedging                  |
//+------------------------------------------------------------------+
bool SelectPosition(string P)
{
bool answer=false;
if(IsHedge)                      //--- check position in Hedging mode
{
 uint total=PositionsTotal();
 for(uint i=0; i<total; i++)
 {
  string P_Poç = PositionGetSymbol(i);
  if(P==P_Poç && MA_MAGIC==PositionGetInteger(POSITION_MAGIC))
  {
   answer=true;         // So you may continue selecting the ticket...
   break;
  }
 }
}
else                              //--- check position in Netting mode
{
 if(!PositionSelect(P))
  return(false);
 else 
 return(PositionGetInteger(POSITION_MAGIC)==MA_MAGIC);  
}

return(answer); //--- result for Hedging mode (above not returned yet)
}
//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit(void)
{
//Prepare trade class to control positions if hedging mode is active
// first determine automatically if we are in hedging account        :
IsHedge=((ENUM_ACCOUNT_MARGIN_MODE)AccountInfoInteger(
          ACCOUNT_MARGIN_MODE)==ACCOUNT_MARGIN_MODE_RETAIL_HEDGING)  ;
ExtTrade.SetExpertMagicNumber(MA_MAGIC)                              ;
ExtTrade.SetMarginMode()                                             ; 
ExtTrade.SetTypeFillingBySymbol(Symbol())                            ;
   
//--- Moving Average indicator
ExtHandle=iMA(ThisP,ThisT,MovingPeriod,MovingShift,MODE_SMA,
             PRICE_CLOSE);
if(ExtHandle==INVALID_HANDLE)
{
 printf("Error creating MA indicator");
 return(INIT_FAILED);
}
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick(void)
{
for(int i=0; i<p; i++) 
 for(int j=0; j<t; j++) 
{
  ThisP  = AllPair[j]                                                ;                               
  ThisT  = AllTime[t]                                                ;   
 if(SelectPosition(ThisP))  
  CheckForClose(ThisP,ThisT)                                         ;
 else                   
  CheckForOpen(ThisP,ThisT)                                          ; 
} 
}
//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
  {
  }
//+------------------------------------------------------------------+

Alain Verleyen 2018.07.08 11:04 #1

Ziad El:

I have read in the documentation that it is possible to test many currencies (and timeframes?) in MQL5 strategy tester, but could not find a clear and simple example...

So I made minimum changes to an EA that comes along with MT5: Moving Averages.mq5, to include a scanning algorithms...

Well it does goes to testing, but shows just one Symbol (as highlighted in the following picutre):

"My" code is:

Don't know how you get a result with this code, it contains a critical error :

for(int i=0; i<p; i++) 
 for(int j=0; j<t; j++) 
{
  ThisP  = AllPair[j]                                                ;                               
  ThisT  = AllTime[t]                                                ;

Your MA handle is initialized on chart symbol only.

Beside that, your way to check for a new bar is incorrect.

EA shows 6 errors How can i get/select FOREX - Trends, forecasts

Ziad El 2018.07.08 13:43 #2

Thank you Mr. Varleyen

Yes it was a bad typo as I was copy pasting from code to code...

I corrected the loop parameters (not in hurry now to solve the New Bar issue) and definitely saw improvements:

As seen in this picture, the Back test analyzed all the currencies, however traded only in three of them, with a big preference for the first chart pair (EURUSD)

Is this normal? or is it something related to my code?

New metatrader 4 compatible Issue with stoploss and Open Order immediately after

New comment