Attachments: Updated EA, Backtesting, common mistakes and some working code

Updated EA, Backtesting, common mistakes and some working code

#1
First Post: Nov 20, 2008 4:49am Nov 20, 2008 4:49am

adamp
| Joined Jul 2008 | Status: Trader | 59 Posts

Introduction

This thread could be of interest for those of you, who want to start or have already started developing their own custom Expert Advisor. This is not an "MetaTrader 4 MQL Expert Advisor Tutorial" or something like that, but could be of help for beginners, prevents from making some mistakes and provide working code for some of the most common functions.

A few months ago I have written my first, very simple EA just for learning purposes and I have posted it in this thread. I tried to keep it as simple as possible and have provided many comments to make it easier for beginners to follow the strategy of my EA and how I implemented it.

During the last weeks I read a lot about chart analysis, intermarket analysis and price forecasting with neural networks. Beside that, I have developed some libraries that contain often needed functionality like moneymanagement, ordermanagement, error handling and error logging. And I also learned a lot about backtesting, validation and curve fitting problems.

Common backtesting mistake I did in the beginning

And that's already the point that wasn't really smart with my last approach:
I have optimized the EA for a given period and then backtested the EA for the same period. Don't do that!
And if you do - don't take this results and believe that you have found the ultimate Holy-Grail-EA

We want to develop an EA that does not only create nice equity curves for our optimized period ("curve fitting"), but also for the future.

Better approach

Image we want to write an EA that uses the daily chart as timeframe and we have the following time series data available:

|--- 2003 ---|--- 2004 ---|--- 2005 ---|--- 2006 ---|--- 2007 ---|--- 2008 ---|

We now do backtesting and optimization of the EA. That means we determine those moving averages, risk%, trailing stop size (or whatever variables we use in our EA) that results in the highest balance (lowest drawdown, expected payoff...).

If we do this for the whole period 2003 to 2008, we can get a very nice curve, but we have no idea how the EA would perform in 2009. A possible solution good be the that we devide the time series data into two parts: one for optimization and one part for validation/testing:

|--- 2003 ---|--- 2004 ---|--- 2005 ---|--- 2006 ---|--- 2007 ---|--- 2008 ---|
|
|-------------- OPTIMIZE -------------|--- TEST ---|

Now we would an optimization for 2003 - 2005 and use this values for testing in 2006. If we still get good results, then our EA would have been successful in the future, though we tested it for the past. Because the EA has not been optimized for the year 2006.

We can repeat this for the next years and try to find those settings, that produced good results for all or most periods.

I don't know which period you should choose for optimization and which for testing. This is trial and error and also depends on the timeframe you choose to let your EA work on.

Getting better modelling quality

The more data you have, the better (means more exactly) the backtesting results will be. Here's a way of how to improve the modelling quality:

In the options menu of MetaTrader 4 (press Ctrl+O) select the tab "Charts" and set this values for "Max bars in history" and "Max bars in chart": 2147483647 - click ok.

Next, open the History Center in MT4 (press F2), select the currency pair in the symbol list on the left and select the lowest timeframe, 1 minute (double click it). Press "Download" and answer "OK" when you get the warning.

It can take a few minutes until all historic value have been downloaded. I have ~3.5 Mio 1-Minute candles, that's the last 10 years in minutes! Should be enough...

You can do this with every timeframe and currency, or use the included script "period_converter", that comes with MT4.

Here's a more detailed explanation: http://www.earnforex.com/blog/2008/0...storical-data/

#2
Nov 20, 2008 4:59am Nov 20, 2008 4:59am

adamp
| Joined Jul 2008 | Status: Trader | 59 Posts

Next, I will provide you with some libraries that I have written and that help me not to rewrite every little bit I often need.

Order management

I save all open orders in an array (only those orders that the EA has opened of cource) so that I could see how many orders are opened in total.

And I have written a little function that simplifies opening of a position.

PHP Code

//+------------------------------------------------------------------+
//|                                                       common.mq4 |
//|                                   Copyright © 2008, Adam Parusel |
//|                                                http://esolvix.de |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2008, Adam Parusel"
#property link      "http://esolvix.de"

#define MAGICNUMBER  29031985

// Maximum of allowed slipage for order execution
#define SLIPAGE      5

// Save all open orders in this array
int      Ticket[];

/**
 * Count open positions for a given currency and save our orders in the ticket-array.
 * We cannot simply return ArraySize(Ticket), because some orders could already
 * have been stopped out.
 */
int countOpenOrders()
{
   return (updateOrderManager());
}


/**
 * Opens a new position and returns the error code
 *
 * @param   pair        currency pair, use "EURUSD" or Symbol()
 * @param   command     "SELL" or "SELL" - don't use OP_BUY or OP_SELL
 * @param   lot         size of order in lot
 * @param   stoploss    stoploss
 * @param   takeprofit  takeprofit
 *
 */
int newMarketOrder(string pair, string command, double lot, double stoploss, double takeprofit)
{
   // Buy command send
   if (command == "BUY" || command == "buy")
   {
      return (OrderSend(pair,OP_BUY,lot,Ask,SLIPAGE,stoploss,takeprofit,"",MAGICNUMBER,0,Green));
   }
   // Sell command send
   else if (command == "SELL" || command == "sell")
   {
      return (OrderSend(pair,OP_SELL,lot,Bid,SLIPAGE,stoploss,takeprofit,"",MAGICNUMBER,0,Red));
   }
   else return (-2);
}


/**
 * Updates all informations about the currently opened orders.
 * Especially looks through all orders if they are still active or
 * maybe have been stopped out by stop losses and saves their ticket
 * number in Ticket array.
 **/
int updateOrderManager()
{
   int count=0;
   
   // Resize ticket array to zero
   ArrayResize(Ticket,0);

   // Go through all orders
   for(int i=0;i<OrdersTotal();i++)
   {
      // We're only interested in trades that are in the trading pool
      // Closed or canceled orders are not interesting for us
      if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false)
         break;
      
      // Count positions that were opened by our EA
      if((OrderMagicNumber()==MAGICNUMBER))
      {
         // Resize ticket array and save ticket
         ArrayResize(Ticket,count+1);
         Ticket[count] = OrderTicket();

         count++;         
      }
   }   

   // Return open positions
   return(count);
}

Explanation

Ticket[] - stores all ticket numbers of the EAs current opened orders

updateOrderManager() - should be called every tick or before you want to use Ticket[], because it could have been that an order has been closed/stopped out. This functions updates the Ticket[] array

countOpenOrders() - counts the number of open orders, simply a byproduct of the previous mentioned function

newMarketOrder(string pair, string command, double lot, double stoploss, double takeprofit) - makes it easier for me to open a new order. Pair can be "EURUSD" for example or use Symbol() to use the current symbol of the attached chart. Command is either "BUY" or "SELL", lot, stoploss and takeprofit are self explanatory. The slipage is defined at the beginning of the code, only market orders are possible. But it's no problem to write a function newPendingOrder.

#3
Edited 5:37am Nov 20, 2008 5:24am | Edited 5:37am

adamp
| Joined Jul 2008 | Status: Trader | 59 Posts

This is a very simple library that can be used to calculate the current free and used margin, equity, balance and profit. More important is the function to calculate the optimal lot size for a given risk and stop loss.

Money management

PHP Code

//+------------------------------------------------------------------+
//|                                                       common.mq4 |
//|                                   Copyright © 2008, Adam Parusel |
//|                                                http://esolvix.de |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2008, Adam Parusel"
#property link      "http://esolvix.de"

/**
 * External Variables
 */
extern   double   Risk        =  0.02;

double   balance              =  0.00;
double   equity               =  0.00;
double   marginFree           =  0.00;
double   marginUsed           =  0.00;
double   marginUsedPercent    =  0.00;
double   marginUsablePercent  =  0.00;
double   profitLossPercentage =  0.00;



/**
 * Calculate optimal lot size
 * If sl has been set, calculate lot size according to stop loss,
 * else use risk% of margin as lot size
 *
 * Parameter: sl, Stop Loss in Point-Value (e.g. 0.0050 = 50 pips)
 *
 */
double lotsOptimized(double stoploss)
{
   double lots;

   // Set risk in correct boundaries
   if (Risk < 0.001)
      Risk = 0.001;
   if (Risk > 0.50)
      Risk = 0.50;
   
   double leverage = MarketInfo(Symbol(),MODE_LOTSIZE) / MarketInfo(Symbol(),MODE_MARGINREQUIRED);
   
   // Calculate used margin according to risk if stop loss is too small
   if ((stoploss < MarketInfo(Symbol(),MODE_STOPLEVEL)) && (stoploss > 0))
   {
      lots = AccountEquity() * Risk * leverage / MarketInfo(Symbol(),MODE_LOTSIZE);
   }
   // Calculate lot, so that only Risk% of equity can be lost
   else
   {
      // Translate stoploss to pip values
      // if stoploss negative, make it positive
      if (stoploss < 0)
         stoploss = -stoploss / MarketInfo(Symbol(),MODE_POINT);
      else
         stoploss =stoploss / MarketInfo(Symbol(),MODE_POINT);
      
      // Calculate the value of one pip per lot
      double PipValuePerLot = MarketInfo(Symbol(),MODE_LOTSIZE) * MarketInfo(Symbol(),MODE_POINT);
      
      // Calculate the needed value per pip to risk correct amount of capital according to sl size
      double NeededPipValue = AccountEquity() * Risk / stoploss;
   
      // Calculate the optimal lot size   
      lots = NeededPipValue / PipValuePerLot;
   }
   
   // Check if lot size is in correct boundaries
   if (lots < MarketInfo(Symbol(),MODE_MINLOT))
      lots = MarketInfo(Symbol(),MODE_MINLOT);
   else if (lots > MarketInfo(Symbol(),MODE_MAXLOT))
      lots = MarketInfo(Symbol(),MODE_MAXLOT);
      
   return(lots);
}


/**
 * Recalculates current free, used margin and other values
 */
double updateMoneyManager()
{
   balance = AccountBalance();
   equity = AccountEquity();
   
   marginFree = AccountFreeMargin();
   marginUsed = equity - marginFree;
   
   marginUsedPercent = marginUsed / equity * 100;
   marginUsablePercent = marginFree / equity * 100;
   
   profitLossPercentage = AccountProfit() / balance * 100;
}

Explanation

updateMoneyManager() - recalculates the current free and used margin, saves equity, balance and profit in the variables.

lotsOptimized(double stoploss) - calculates the optimal lot size for an order under the given risk and stop loss. Risk is defined at the beginning of the file: 0.02 means: don't risk more than 2% of the total amount of the equity.

E.g.:

Account equity = $10.000
Risk = 0.02 = 2%
Stop loss at EURUSD is set to 0.0100 = 100 Pips

Results in:

We only risk 2% of $10.000 = $200
Pip value per lot: $100.000 x 0.0001= $10
Stop loss = 100 Pips, means that we want a pip value per lot of $200 / 100 = $2
This means a lot size of $2 / $10 = 0.2

If we get stopped out now with a 100 pip loss, we only loose $200 or 2%. Simple.

If no stop loss is given, then the size of the position will be calculated depending on the amount of equity, risk and leverage.

To do

This is by far not a finished money management library. It's only providing a basis that can and should be expanded. Some ideas:

Define a boundary of maximum invested capital in percent, like 2% per position AND not more then (e.g.) 10% - 20% invested alltogether
Save the balance, equity and profit curve in an array. Then use this data to see if the last trades have been profitable or not. Can be used for "panic mode" or to reduce risk when the last trades have produced losses
If you have a multi currency EA, then it could be usefull to also define how much you want to invest not only per position and in total, but also how much per market/currency. Like: 2% risk per order, 10% per market and 20% in total
...

#4
Nov 20, 2008 5:30am Nov 20, 2008 5:30am

adamp
| Joined Jul 2008 | Status: Trader | 59 Posts

Error Logging

This is a very simple logging library helpful for creating logs that can be written to the MT4 Terminal and saved to disk in an file.

PHP Code

//+------------------------------------------------------------------+
//|                                                       logger.mq4 |
//|                                   Copyright © 2008, Adam Parusel |
//|                                                http://esolvix.de |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2008, Adam Parusel"
#property link      "http://esolvix.de"

extern string  logFile        =  "log.txt";
extern bool    loggingActive  =  false;
extern bool    logToFile      =  false;


/**
 * Set the position of the log file
 *
 * @param file path and file name of our the log file
 */         
void setLogFile(string file)
{
   logFile = file;
}


/**
 * Enables logging to file on diskspace
 *
 */
void enableFileLogging()
{
   logToFile = true;
}


/**
 * Disables logging to file on diskspace
 *
 */
void disableFileLogging()
{
   logToFile = false;
}


/**
 * Enables logging
 *
 */
void enableLogging()
{
   loggingActive = true;
}


/**
 * Disables logging
 *
 */
void disableLogging()
{
   loggingActive = false;
}


/**
 * Prints the log to journal and saves log to file is selected
 *
 */
void printLog(string log)
{
   // Only print or save logs, if loging is activated
   if (loggingActive)
   {
      // If logging to file is selected, save log string to disk
      if (logToFile)
      {
         int handle = FileOpen(logFile, FILE_BIN | FILE_READ | FILE_WRITE, ';');
         if (handle < 1)
         {
            Print ("LOGGING: Error opening file!");
            return(0);
         }
         FileWriteString(handle, log, StringLen(log));
         FileClose(handle);
      }
      
      // Print out log string to journal
      Print(log);
   }
}

Explanation

I think those function should be all self explanatory. You can enable or disable logging functionality and seperately enable or disable logging to file. The log messages will only be written to the Terminal and not to disk.

printLog(string log) - Prints the string to the journal when logging is enabled and also to the file if logging to file is enabled

#5
Nov 20, 2008 5:33am Nov 20, 2008 5:33am

adamp
| Joined Jul 2008 | Status: Trader | 59 Posts

Error codes

I know there's the stderror.mqh coming with MetraTrader, but I have written my own version. That's because I can include my own error codes an messages very simply.

But for now, only stander MQL runtime errors and server errors are implemented.

PHP Code

//+------------------------------------------------------------------+
//|                                                   errorcodes.mq4 |
//|                                   Copyright © 2008, Adam Parusel |
//|                                                http://esolvix.de |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2008, Adam Parusel"
#property link      "http://esolvix.de"

//---- errors returned from trade server
#define ERR_NO_ERROR                                  0
#define ERR_NO_RESULT                                 1
#define ERR_COMMON_ERROR                              2
#define ERR_INVALID_TRADE_PARAMETERS                  3
#define ERR_SERVER_BUSY                               4
#define ERR_OLD_VERSION                               5
#define ERR_NO_CONNECTION                             6
#define ERR_NOT_ENOUGH_RIGHTS                         7
#define ERR_TOO_FREQUENT_REQUESTS                     8
#define ERR_MALFUNCTIONAL_TRADE                       9
#define ERR_ACCOUNT_DISABLED                         64
#define ERR_INVALID_ACCOUNT                          65
#define ERR_TRADE_TIMEOUT                           128
#define ERR_INVALID_PRICE                           129
#define ERR_INVALID_STOPS                           130
#define ERR_INVALID_TRADE_VOLUME                    131
#define ERR_MARKET_CLOSED                           132
#define ERR_TRADE_DISABLED                          133
#define ERR_NOT_ENOUGH_MONEY                        134
#define ERR_PRICE_CHANGED                           135
#define ERR_OFF_QUOTES                              136
#define ERR_BROKER_BUSY                             137
#define ERR_REQUOTE                                 138
#define ERR_ORDER_LOCKED                            139
#define ERR_LONG_POSITIONS_ONLY_ALLOWED             140
#define ERR_TOO_MANY_REQUESTS                       141
#define ERR_TRADE_MODIFY_DENIED                     145
#define ERR_TRADE_CONTEXT_BUSY                      146
#define ERR_TRADE_EXPIRATION_DENIED                 147
#define ERR_TRADE_TOO_MANY_ORDERS                   148
//---- mql4 run time errors
#define ERR_NO_MQLERROR                            4000
#define ERR_WRONG_FUNCTION_POINTER                 4001
#define ERR_ARRAY_INDEX_OUT_OF_RANGE               4002
#define ERR_NO_MEMORY_FOR_CALL_STACK               4003
#define ERR_RECURSIVE_STACK_OVERFLOW               4004
#define ERR_NOT_ENOUGH_STACK_FOR_PARAM             4005
#define ERR_NO_MEMORY_FOR_PARAM_STRING             4006
#define ERR_NO_MEMORY_FOR_TEMP_STRING              4007
#define ERR_NOT_INITIALIZED_STRING                 4008
#define ERR_NOT_INITIALIZED_ARRAYSTRING            4009
#define ERR_NO_MEMORY_FOR_ARRAYSTRING              4010
#define ERR_TOO_LONG_STRING                        4011
#define ERR_REMAINDER_FROM_ZERO_DIVIDE             4012
#define ERR_ZERO_DIVIDE                            4013
#define ERR_UNKNOWN_COMMAND                        4014
#define ERR_WRONG_JUMP                             4015
#define ERR_NOT_INITIALIZED_ARRAY                  4016
#define ERR_DLL_CALLS_NOT_ALLOWED                  4017
#define ERR_CANNOT_LOAD_LIBRARY                    4018
#define ERR_CANNOT_CALL_FUNCTION                   4019
#define ERR_EXTERNAL_CALLS_NOT_ALLOWED             4020
#define ERR_NO_MEMORY_FOR_RETURNED_STR             4021
#define ERR_SYSTEM_BUSY                            4022
#define ERR_INVALID_FUNCTION_PARAMSCNT             4050
#define ERR_INVALID_FUNCTION_PARAMVALUE            4051
#define ERR_STRING_FUNCTION_INTERNAL               4052
#define ERR_SOME_ARRAY_ERROR                       4053
#define ERR_INCORRECT_SERIESARRAY_USING            4054
#define ERR_CUSTOM_INDICATOR_ERROR                 4055
#define ERR_INCOMPATIBLE_ARRAYS                    4056
#define ERR_GLOBAL_VARIABLES_PROCESSING            4057
#define ERR_GLOBAL_VARIABLE_NOT_FOUND              4058
#define ERR_FUNC_NOT_ALLOWED_IN_TESTING            4059
#define ERR_FUNCTION_NOT_CONFIRMED                 4060
#define ERR_SEND_MAIL_ERROR                        4061
#define ERR_STRING_PARAMETER_EXPECTED              4062
#define ERR_INTEGER_PARAMETER_EXPECTED             4063
#define ERR_DOUBLE_PARAMETER_EXPECTED              4064
#define ERR_ARRAY_AS_PARAMETER_EXPECTED            4065
#define ERR_HISTORY_WILL_UPDATED                   4066
#define ERR_TRADE_ERROR                            4067
#define ERR_END_OF_FILE                            4099
#define ERR_SOME_FILE_ERROR                        4100
#define ERR_WRONG_FILE_NAME                        4101
#define ERR_TOO_MANY_OPENED_FILES                  4102
#define ERR_CANNOT_OPEN_FILE                       4103
#define ERR_INCOMPATIBLE_FILEACCESS                4104
#define ERR_NO_ORDER_SELECTED                      4105
#define ERR_UNKNOWN_SYMBOL                         4106
#define ERR_INVALID_PRICE_PARAM                    4107
#define ERR_INVALID_TICKET                         4108
#define ERR_TRADE_NOT_ALLOWED                      4109
#define ERR_LONGS_NOT_ALLOWED                      4110
#define ERR_SHORTS_NOT_ALLOWED                     4111
#define ERR_OBJECT_ALREADY_EXISTS                  4200
#define ERR_UNKNOWN_OBJECT_PROPERTY                4201
#define ERR_OBJECT_DOES_NOT_EXIST                  4202
#define ERR_UNKNOWN_OBJECT_TYPE                    4203
#define ERR_NO_OBJECT_NAME                         4204
#define ERR_OBJECT_COORDINATES_ERROR               4205
#define ERR_NO_SPECIFIED_SUBWINDOW                 4206
#define ERR_SOME_OBJECT_ERROR                      4207

string ErrorDescription(int code)
{
   switch(code)
   {
      case ERR_NO_ERROR                               : Print("No error returned"); break;
      case ERR_NO_RESULT                              : Print("No error returned, but the result is unknown"); break;
      case ERR_COMMON_ERROR                           : Print("Common error"); break;
      case ERR_INVALID_TRADE_PARAMETERS               : Print("Invalid trade parameters"); break;
      case ERR_SERVER_BUSY                            : Print("Trade server is busy"); break;
      case ERR_OLD_VERSION                            : Print("Old version of the client terminal"); break;
      case ERR_NO_CONNECTION                          : Print("No connection with trade server"); break;
      case ERR_NOT_ENOUGH_RIGHTS                      : Print("Not enough rights"); break;
      case ERR_TOO_FREQUENT_REQUESTS                  : Print("Too frequent requests"); break;
      case ERR_MALFUNCTIONAL_TRADE                    : Print("Malfunctional trade operation"); break;
      case ERR_ACCOUNT_DISABLED                       : Print("Account disabled"); break;
      case ERR_INVALID_ACCOUNT                        : Print("Invalid account"); break;
      case ERR_TRADE_TIMEOUT                          : Print("Trade timeout"); break;
      case ERR_INVALID_PRICE                          : Print("Invalid price"); break;
      case ERR_INVALID_STOPS                          : Print("Invalid stops"); break;
      case ERR_INVALID_TRADE_VOLUME                   : Print("Invalid trade volume"); break;
      case ERR_MARKET_CLOSED                          : Print("Market is closed"); break;
      case ERR_TRADE_DISABLED                         : Print("Trade is disabled"); break;
      case ERR_NOT_ENOUGH_MONEY                       : Print("Not enough money"); break;
      case ERR_PRICE_CHANGED                          : Print("Price changed"); break;
      case ERR_OFF_QUOTES                             : Print("Off quotes"); break;
      case ERR_BROKER_BUSY                            : Print("Broker is busy"); break;
      case ERR_REQUOTE                                : Print("Requote"); break;
      case ERR_ORDER_LOCKED                           : Print("Order is locked"); break;
      case ERR_LONG_POSITIONS_ONLY_ALLOWED            : Print("Long positions only allowed"); break;
      case ERR_TOO_MANY_REQUESTS                      : Print("Too many requests"); break;
      case ERR_TRADE_MODIFY_DENIED                    : Print("Modification denied because order too close to market"); break;
      case ERR_TRADE_CONTEXT_BUSY                     : Print("Trade context is busy"); break;
      case ERR_TRADE_EXPIRATION_DENIED                : Print("Expirations are denied by broker"); break;
      case ERR_TRADE_TOO_MANY_ORDERS                  : Print("The amount of open and pending orders has reached the limit set by the broker."); break;
      case ERR_NO_MQLERROR                            : Print("No error"); break;
      case ERR_WRONG_FUNCTION_POINTER                 : Print("Wrong function pointer"); break;
      case ERR_ARRAY_INDEX_OUT_OF_RANGE               : Print("Array index is out of range"); break;
      case ERR_NO_MEMORY_FOR_CALL_STACK               : Print("No memory for function call stack"); break;
      case ERR_RECURSIVE_STACK_OVERFLOW               : Print("Recursive stack overflow"); break;
      case ERR_NOT_ENOUGH_STACK_FOR_PARAM             : Print("Not enough stack for parameter"); break;
      case ERR_NO_MEMORY_FOR_PARAM_STRING             : Print("No memory for parameter string"); break;
      case ERR_NO_MEMORY_FOR_TEMP_STRING              : Print("No memory for temp string"); break;
      case ERR_NOT_INITIALIZED_STRING                 : Print("Not initialized string"); break;
      case ERR_NOT_INITIALIZED_ARRAYSTRING            : Print("Not initialized string in array"); break;
      case ERR_NO_MEMORY_FOR_ARRAYSTRING              : Print("No memory for array string"); break;
      case ERR_TOO_LONG_STRING                        : Print("Too long string"); break;
      case ERR_REMAINDER_FROM_ZERO_DIVIDE             : Print("Remainder from zero divide"); break;
      case ERR_ZERO_DIVIDE                            : Print("Zero divide"); break;
      case ERR_UNKNOWN_COMMAND                        : Print("Unknown command"); break;
      case ERR_WRONG_JUMP                             : Print("Wrong jump (never generated error)"); break;
      case ERR_NOT_INITIALIZED_ARRAY                  : Print("Not initialized array"); break;
      case ERR_DLL_CALLS_NOT_ALLOWED                  : Print("DLL calls are not allowed"); break;
      case ERR_CANNOT_LOAD_LIBRARY                    : Print("Cannot load library"); break;
      case ERR_CANNOT_CALL_FUNCTION                   : Print("Cannot call function"); break;
      case ERR_EXTERNAL_CALLS_NOT_ALLOWED             : Print("Expert function calls are not allowed"); break;
      case ERR_NO_MEMORY_FOR_RETURNED_STR             : Print("Not enough memory for temp string returned from function"); break;
      case ERR_SYSTEM_BUSY                            : Print("System is busy (never generated error)"); break;
      case ERR_INVALID_FUNCTION_PARAMSCNT             : Print("Invalid function parameters count"); break;
      case ERR_INVALID_FUNCTION_PARAMVALUE            : Print("Invalid function parameter value"); break;
      case ERR_STRING_FUNCTION_INTERNAL               : Print("String function internal error"); break;
      case ERR_SOME_ARRAY_ERROR                       : Print("Some array error"); break;
      case ERR_INCORRECT_SERIESARRAY_USING            : Print("Incorrect series array using"); break;
      case ERR_CUSTOM_INDICATOR_ERROR                 : Print("Custom indicator error"); break;
      case ERR_INCOMPATIBLE_ARRAYS                    : Print("Arrays are incompatible"); break;
      case ERR_GLOBAL_VARIABLES_PROCESSING            : Print("Global variables processing error"); break;
      case ERR_GLOBAL_VARIABLE_NOT_FOUND              : Print("Global variable not found"); break;
      case ERR_FUNC_NOT_ALLOWED_IN_TESTING            : Print("Function is not allowed in testing mode"); break;
      case ERR_FUNCTION_NOT_CONFIRMED                 : Print("Function is not confirmed"); break;
      case ERR_SEND_MAIL_ERROR                        : Print("Send mail error"); break;
      case ERR_STRING_PARAMETER_EXPECTED              : Print("String parameter expected"); break;
      case ERR_INTEGER_PARAMETER_EXPECTED             : Print("Integer parameter expected"); break;
      case ERR_DOUBLE_PARAMETER_EXPECTED              : Print("Double parameter expected"); break;
      case ERR_ARRAY_AS_PARAMETER_EXPECTED            : Print("Array as parameter expected"); break;
      case ERR_HISTORY_WILL_UPDATED                   : Print("Requested history data in updating state"); break;
      case ERR_TRADE_ERROR                            : Print("Some error in trading function"); break;
      case ERR_END_OF_FILE                            : Print("End of file"); break;
      case ERR_SOME_FILE_ERROR                        : Print("Some file error"); break;
      case ERR_WRONG_FILE_NAME                        : Print("Wrong file name"); break;
      case ERR_TOO_MANY_OPENED_FILES                  : Print("Too many opened files"); break;
      case ERR_CANNOT_OPEN_FILE                       : Print("Cannot open file"); break;
      case ERR_INCOMPATIBLE_FILEACCESS                : Print("Incompatible access to a file"); break;
      case ERR_NO_ORDER_SELECTED                      : Print("No order selected"); break;
      case ERR_UNKNOWN_SYMBOL                         : Print("Unknown symbol"); break;
      case ERR_INVALID_PRICE_PARAM                    : Print("Invalid price"); break;
      case ERR_INVALID_TICKET                         : Print("Invalid ticket"); break;
      case ERR_TRADE_NOT_ALLOWED                      : Print("Trade is not allowed - Enable checkbox -Allow live trading- in the expert properties"); break;
      case ERR_LONGS_NOT_ALLOWED                      : Print("Longs are not allowed - Check the expert properties"); break;
      case ERR_SHORTS_NOT_ALLOWED                     : Print("Shorts are not allowed - Check the expert properties"); break;
      case ERR_OBJECT_ALREADY_EXISTS                  : Print("Object exists already"); break;
      case ERR_UNKNOWN_OBJECT_PROPERTY                : Print("Unknown object property"); break;
      case ERR_OBJECT_DOES_NOT_EXIST                  : Print("Object does not exist"); break;
      case ERR_UNKNOWN_OBJECT_TYPE                    : Print("Unknown object type"); break;
      case ERR_NO_OBJECT_NAME                         : Print("No object name"); break;
      case ERR_OBJECT_COORDINATES_ERROR               : Print("Object coordinates error"); break;
      case ERR_NO_SPECIFIED_SUBWINDOW                 : Print("No specified subwindow"); break;
      case ERR_SOME_OBJECT_ERROR                      : Print("Some error in object function"); break;
   }
}

Explanation

ErrorDescription(int code) - returns the error description for the specified code

#6
Nov 20, 2008 5:35am Nov 20, 2008 5:35am

adamp
| Joined Jul 2008 | Status: Trader | 59 Posts

Because I often use the code of most of this libraries, I have also written another include file so that I only have to include <common.mqh> to have all libraries included.

Inserted Code

//+------------------------------------------------------------------+
//|                                                       common.mq4 |
//|                                   Copyright © 2008, Adam Parusel |
//|                                                http://esolvix.de |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2008, Adam Parusel"
#property link      "http://esolvix.de"

#include       <errorcodes.mqh>
#include       <logging.mqh>
#include       <moneymanagement.mqh>
#include       <ordermanagement.mqh>

#7
Nov 20, 2008 6:03am Nov 20, 2008 6:03am

adamp
| Joined Jul 2008 | Status: Trader | 59 Posts

And here's another simple EA that uses some of the functions that have been provided in the previous posts.

Here's how it works. It uses 3 exponential moving averages - fast, medium and slow in daily/weekly charts. And only a few simple rules:

Buy when we are in bullish trend
Sell when we are in bearish trend

Bullish trend: fast MA is bigger than medium MA, medium MA is bigger than slow MA for the current weekly bar
Bearish trend: fast MA is lower than medium MA, medium MA is lower than slow MA for the current weekly bar

This should prevent us from selling, when we are in a bullish market and from buying while in bearish market.

Buy and sell signals are also generated with the same 3 moving averages:

Buy signal: medium MA crosses slow MA from below to above and fast MA is above medium MA in daily chart
Sell signal: medium MA crosses slow MA from above to below and fast MA is below medium MA in daily chart

If we are in an bullish trend, lookout for buy signals. And if we are in bearish trend, only watch for sell signals.

Beside that, this EA does use trailing stops to keep profits once they were made. And it's also possible to open more than one position at the same time (see #define MAXORDERS).

Here's the code:

PHP Code

//+------------------------------------------------------------------+
//| EA #2                                                            |
//| =====                                                            |
//| Created: 18.11.2008                                              |
//| Updated: 20.11.2008                                              |
//| Author : AdamP                                                   |
//+------------------------------------------------------------------+

#include       <common.mqh>

#define        MAXORDERS            5


/**
 * Technical Indicator Variables
 */
extern int     FastMA            =  8;
extern int     MediumMA          =  21;
extern int     SlowMA            =  55;
extern int     TrailStop         =  200;
extern int     InitialSL         =  200;


/**
 * Check for bullish market conditions
 */
bool isBullishMarket()
{
   double fast = iMA(Symbol(),PERIOD_W1,FastMA,0,MODE_EMA,PRICE_CLOSE,0);
   double medium = iMA(Symbol(),PERIOD_W1,MediumMA,0,MODE_EMA,PRICE_CLOSE,0);
   double slow = iMA(Symbol(),PERIOD_W1,SlowMA,0,MODE_EMA,PRICE_CLOSE,0);
   
   // Bullish: fast > medium > slow in WEEKLY chart
   if ((fast > medium) && (medium > slow))
   {
      return (true);
   }
   else
   {
      return (false);
   }
}


/**
 * Check for bearish market conditions
 */
bool isBearishMarket()
{
   double fast = iMA(Symbol(),PERIOD_W1,FastMA,0,MODE_EMA,PRICE_CLOSE,0);
   double medium = iMA(Symbol(),PERIOD_W1,MediumMA,0,MODE_EMA,PRICE_CLOSE,0);
   double slow = iMA(Symbol(),PERIOD_W1,SlowMA,0,MODE_EMA,PRICE_CLOSE,0);
   
   // Bullish: fast < medium < slow in WEEKLY chart
   if ((fast < medium) && (medium < slow))
   {
      return (true);
   }
   else
   {
      return (false);
   }
}


/**
 * Look out for a buy signal
 */
bool buySignalOccured()
{
   double currentFast = iMA(Symbol(),PERIOD_D1,FastMA,0,MODE_EMA,PRICE_CLOSE,0);
   double previousMedium = iMA(Symbol(),PERIOD_D1,MediumMA,0,MODE_EMA,PRICE_CLOSE,1);
   double currentMedium = iMA(Symbol(),PERIOD_D1,MediumMA,0,MODE_EMA,PRICE_CLOSE,0);
   double previousSlow = iMA(Symbol(),PERIOD_D1,SlowMA,0,MODE_EMA,PRICE_CLOSE,1);
   double currentSlow = iMA(Symbol(),PERIOD_D1,SlowMA,0,MODE_EMA,PRICE_CLOSE,0);
   
   if (currentFast > currentMedium)
   {
      if ((previousMedium < previousSlow) && (currentMedium > currentSlow))
         return (true);
   }
   return (false);
}


/**
 * Look out for a sell signal
 */
bool sellSignalOccured()
{
   double currentFast = iMA(Symbol(),PERIOD_D1,FastMA,0,MODE_EMA,PRICE_CLOSE,0);
   double previousMedium = iMA(Symbol(),PERIOD_D1,MediumMA,0,MODE_EMA,PRICE_CLOSE,1);
   double currentMedium = iMA(Symbol(),PERIOD_D1,MediumMA,0,MODE_EMA,PRICE_CLOSE,0);
   double previousSlow = iMA(Symbol(),PERIOD_D1,SlowMA,0,MODE_EMA,PRICE_CLOSE,1);
   double currentSlow = iMA(Symbol(),PERIOD_D1,SlowMA,0,MODE_EMA,PRICE_CLOSE,0);
   
   if (currentFast < currentMedium)
   {
      if ((previousMedium > previousSlow) && (currentMedium < currentSlow))
         return (true);
   }
   return (false);   
}


/**
 * Check conditions for sell or buy a position
 */
void checkForOpen()
{
   double lot;

   // Only trade on beginning of a new bar
   if (Volume[0] > 1) return;
   
   // Check for buy condition on selected pair
   if (isBullishMarket())
   {
      if (buySignalOccured())
      {
         lot = lotsOptimized(InitialSL*Point);
         newMarketOrder(Symbol(),"BUY",lot,Ask-InitialSL*Point,0);
      }
   }

   // Check for sell condition on selected pair
   if (isBearishMarket())
   {
      if (sellSignalOccured())
      {
         lot = lotsOptimized(InitialSL*Point);
         newMarketOrder(Symbol(),"SELL",lot,Bid+InitialSL*Point,0);
      }
   }
}


/**
 * Update trailing stops
 */
void updateTrailingStops()
{   
      double stoploss;
      
      // Iterate through each order and pick the ones that belong to our EA
      for(int j=0;j<OrdersTotal();j++)
      {
         if(OrderSelect(j,SELECT_BY_POS,MODE_TRADES)==false)
            break;
         
         if(OrderMagicNumber()!=MAGICNUMBER || OrderSymbol()!=Symbol())
            continue;
      
         if(OrderType()==OP_BUY)
         {
            // Is order already in profit zone?
            if (Ask-TrailStop*Point > OrderOpenPrice())
               // Is new loss above current orders stoploss?
               if (Ask-TrailStop*Point > OrderStopLoss())
                  OrderModify(OrderTicket(),OrderOpenPrice(),Ask-TrailStop*Point,0,0,Blue);
            continue;
         }
         if(OrderType()==OP_SELL)
         {
            // Is order already in profit zone?
            if (Bid+TrailStop*Point < OrderOpenPrice())
               // Is new loss below current orders stoploss?
               if (Bid+TrailStop*Point < OrderStopLoss())   
                  OrderModify(OrderTicket(),OrderOpenPrice(),Bid+TrailStop*Point,0,0,Blue);
            continue;
         }
      }
}



/**
 * Starting point of expert
 */
void start()
{      
   if (MediumMA <= FastMA)
      return;
   if (SlowMA <= MediumMA)
      return;
 
   // Update our order and money managers  
   updateMoneyManager();
   updateOrderManager();
     
   // Update trailing stops - we don't use a sell signal to close a position,
   // this could be implemented later. But trailing stops should give good results either
   updateTrailingStops();
   
   // Check for open a position
   if (countOpenOrders() < MAXORDERS)
      checkForOpen();
}

Here's the part which can be optimized:

PHP Code

extern int     FastMA            =  8;
extern int     MediumMA          =  21;
extern int     SlowMA            =  55;
extern int     TrailStop         =  200;
extern int     InitialSL         =  200;

FastMA, MediumMA and SlowMA are the periods for the exponential moving averages. InitialSL defines the initial stop loss that will be used when a new position is opened. TrailingStop defines the size of the trailing stop in pips.

Some possible improvements

This system is for learning purposes and should better not be used in live trading - you can optimize it and test it on a demo account if you want to.

It's to simple and there are many things that should be improved before using it on an live account like for example:

Better detection of overall market trend - a simple improvement would be to not use the same moving average periods for the daily and weekly chart
Open more positions when market moves in desired direction. Don't wait until another buy signal occurs, but open a new position if we are already in profit zone with the first order and chances are that there's no trend change in sight
Make use of better money- and risk management
...

#8
Nov 20, 2008 6:12am Nov 20, 2008 6:12am

adamp
| Joined Jul 2008 | Status: Trader | 59 Posts

Here are some pictures that illustrate how the EA determines if it's a bearish or bullish market trend and also showing how buy/sell signals are generated.

Attached Image(s) (click to enlarge)

Click to Enlarge

Name: bearish.gif
Size: 29 KB

Click to Enlarge

Name: bullish.gif
Size: 31 KB

Click to Enlarge

Name: sell.gif
Size: 30 KB

Click to Enlarge

Name: buy.gif
Size: 33 KB

#9
Nov 20, 2008 6:36am Nov 20, 2008 6:36am

adamp
| Joined Jul 2008 | Status: Trader | 59 Posts

Backtesting and Optimization

I have taken 2007 as backtesting period and used this values:

Currency: GBPJPY
Initial capital: $50.000
Risk: 2% per order

Among all of the results I got, I have choosen one with a good result (> $26.000 profit) and a drawdown of ~20%:

FastMA: 16
MediumMA: 28
SlowMA: 30
Initial Stoploss: 150 pip
Trailing Stop: 480 pip

Then I have used this values for backtesting it for 2008: >$40.000 profit

But this was a lucky one. Other configurations with different values performed from bad to really, really bad.

So there's still a lot to do:

improve risk- and money management
improve order management
need for better overall trend detection
develop better signals
add to profitable positions, allow to open more orders and don't wait for another signal but open when already great profits are made
cut looses quickly, don't use fixed initial stop but calculate it (using ATR for example)
better backtesting and optimization:
optimize for 2002 and backtest it for 2003. select some settings and backtest them also for 2004. get rid of settings that performed poor and backtest for 2005 with remaining settings and so on. until you have a good setup that performed well during a longer period

If you have any questions or improvements, let me know.
Any comment welcome!

Attached File(s)

ea_adamp.zip 8 KB | 1,003 downloads

3ma.mq4 6 KB | 794 downloads

common.mqh < 1 KB | 787 downloads

logging.mqh 2 KB | 753 downloads

ordermanagement.mqh 3 KB | 814 downloads

errorcodes.mqh 15 KB | 779 downloads

moneymanagement.mqh 3 KB | 829 downloads

#10
Edited 10:30am Nov 20, 2008 10:08am | Edited 10:30am

nvwine
Joined Feb 2005 | Status: Trader | 1,747 Posts

What a lot of work you have put in here. Thanks for you effort.

I don't have your programming skills. A couple comments:

This may be my fault because of incorrect installation.
The EA is sending an incorrect lot size. I was getting 131 errors so I put a couple of Print commands in the code to see what the lot size was. The Print commands are on the line before the 'newMarketOrder' lines.

Inserted Code

07:46:15 3ma: loaded successfully
07:46:15 3ma inputs: Risk=0.02; FastMA=16; MediumMA=28; SlowMA=30; TrailStop=480; InitialSL=150; 
07:47:02 2007.04.06 00:00  3ma GBPJPY,H4: Buy lots = 0.668
07:47:02 2007.04.06 00:00  3ma GBPJPY,H4: OrderSend error 131
07:47:02 2007.04.06 04:00  3ma GBPJPY,H4: Buy lots = 0.668
07:47:02 2007.04.06 04:00  3ma GBPJPY,H4: OrderSend error 131

Quoting adamp

Disliked

Next, open the History Center in MT4 (press F2), select the currency pair in the symbol list on the left and select the lowest timeframe, 1 minute (double click it). Press "Download" and answer "OK" when you get the warning.

It can take a few minutes until all historic value have been downloaded. I have ~3.5 Mio 1-Minute candles, that's the last 10 years in minutes! Should be enough...

You can do this with every timeframe and currency, or use the included script "period_converter", that comes with MT4.

Ignored

I don't think you need to download for each timeframe or use the 'period_converter' if the history data is downloaded through the history center. When I download 1 min for a currency pair with the history center all default time frames are filled and available when it finishes. The 'period_converter' would only be used for custom time frames.

If you import data that was externally downloaded (like Alpari) then the 'period_converter' must be used for any time frames other than 1min.

#11
Nov 24, 2008 9:24am Nov 24, 2008 9:24am

lohikeitto
| Joined Nov 2008 | Status: Trader | 41 Posts

Hi adamp,

I'm simply astonished when I read your "My First EA" thread.
Read API Yesterday, and post the first EA Today...
This is the capability of a real skilled programmer!

And as a trader, you are proceeding in right direction.
You have noticed general mistakes soon and are trying to correct them soon.
Your "to do" list is perfect also.

You are so capable enough to do most anything you want, but never forget to be simple.
This is a statement that is posted in other forex forum recently and I totally agree.

"I know many who are real PRO traders and they say K.I.S.S
Keep it simple system."

Most trading system that has too many parameters that can "adjust" to the market (it's what HAPPEND in the past) doesn't work well.
Keep your eye on risk management and how to exit the market, then you will be successfull.

The reasons why most traders will fail are

1) overtrade (risk too much at a time)
2) predict the future too much (especially by indicators) and underestimate randomness of the market
3) take profit too early and stop loss too late (both are related to the exit)
4) too complicated minded and just can't be consistent

Thank you for posting and Good luck.

---

P.S.

I've got a small present for you.
These are the codes to autodetect and correct a problem of the broker that has "one more digit".

For example, most brokers have 4 price digits for EURUSD. (example 1.2345)
But Alpari (I don't know whether there are another brokers or not) has 5 digits (example 1.23456)
For JPY cross, most brokers gives 123.45 and Alpari gives 123.456.

This causes an error when you use pips based integer value (stoploss or takeprofit etc.).
Worst of all, if you calculate lot size from pips based stoploss, It returns wrong lot size.
It will cause fatal malfunction for risk management.

It can be used like this. (Maybe you can do it more sophisticated and universal way)

example)

int DQADJ = DeciQuoteAdjuster();

// SL by pips
int SLpips = StopLoss*DQADJ;

// SL decision
double SL = Ask - StopLoss*DQADJ*Point;

// lot size decision
double RiskAmount = AccountFreeMargin() * (RiskRate/100);
double lot = RiskAmount / (PipValue*StopLoss*DQADJ);

*StopLoss is pips based integer.
*PipValue means P/L value for 1lot and 1pip.

//+------------------------------------------------------------------+
//| Deci Quote Adjuster |
//+------------------------------------------------------------------+
int DeciQuoteAdjuster()
{
int DeciQuoteADJ = 1;
int DIGITS = PriceDecimal();
if(DIGITS == 5 || DIGITS == 3 ) DeciQuoteADJ = 10;

return(DeciQuoteADJ); // return 1 or 10
}

//+------------------------------------------------------------------+
//| Price Decimal() |
//+------------------------------------------------------------------+
int PriceDecimal()
{
int Decimal = MarketInfo(Symbol(),MODE_DIGITS);
return(Decimal); // return price digits
}

#12
Nov 24, 2008 3:23pm Nov 24, 2008 3:23pm

codobro
| Joined Oct 2008 | Status: Trader | 81 Posts

nvwine,

You need to be sure the account can trade a lot size of 0.668 lots.

#13
Dec 3, 2008 2:54pm Dec 3, 2008 2:54pm

Kiwi06
| Joined Dec 2006 | Status: Trader | 171 Posts

Gidday Adam

Thanks for all the infomation.

I have installed all the files but still get an error well I think it's an error when I compile the 3MA

Function "ErrorDescription" is not referenced and will be removed from exp-file
Function "setLogFile" is not referenced and will be removed from exp-file
Function "enableFileLogging" is not referenced and will be removed from exp-file
Function "disableFileLogging" is not referenced and will be removed from exp-file
Function "enableLogging" is not referenced and will be removed from exp-file
Function "disableLogging" is not referenced and will be removed from exp-file
Function "printLog" is not referenced and will be removed from exp-file

The EA works but I'm not to sure what these are.

Any help would be great.

#14
Dec 3, 2008 8:15pm Dec 3, 2008 8:15pm

lohikeitto
| Joined Nov 2008 | Status: Trader | 41 Posts

Kiwi06,

Include files that adamp has written is a kind of general library.
It contains functions that he will use often.
It can be called when EA needs these functions.

"not referenced and will be removed from exp-file" means the EA just doesn't use these functions, so it's no problem.

#15
Dec 4, 2008 8:42am Dec 4, 2008 8:42am

Kiwi06
| Joined Dec 2006 | Status: Trader | 171 Posts

Hello I have been learing how to put all this together but have hit a bit of a wall.

I have taken an EA and added what adam have so kindly provided the EA open position and the trailing SL works but onl in the buy direction.

Where have i gone wrong.

Any help would be great.

Cheers

Kiwi

Attached File(s)

RndTradeSL.mq4 5 KB | 846 downloads

#16
Nov 18, 2009 1:50pm Nov 18, 2009 1:50pm

georgep
| Joined Nov 2009 | Status: Trader | 1 Post

Thank you for this brilliant trading lesson Adam! I'm backtesting various strategies and you gave me some pieces of advise that can push me a little bit forward :-) Great work!

#17
Jan 15, 2010 4:56pm Jan 15, 2010 4:56pm

josid
| Joined Jan 2010 | Status: Trader | 62 Posts

Great work Adamp. I know u do alot of PnF. How important do u think it is to adjust Box Sizes to timeframes? Im thinking, why not just use lower timeframes that gives us accurate data for all different box sizes?

I have some other questions about your point and figure indicator for MT4. I'll be glad if you could PM me. Thanks

#18
Apr 26, 2010 7:49am Apr 26, 2010 7:49am

NiceGuy
Joined Apr 2010 | Status: Trader | 971 Posts

Dear Adamp,

I am new to backtesting.

What I like to know more is

If we backtesting an EA which meant to be use on H1, should we test it with M1 based data?

Got a little confuse here, because when I was testing it with M1 (every Thick) the EA become a failure to profit EA. But when test it with M15 data and above it showed up a promising result. Like it supposed to.

And when I put it on a demo account for forward testing actually the EA was doing pretty good so far....

What I need to ask is which data should I use to optimize an H1 EA?

Please advise

Many Thanks

#19
Apr 26, 2010 9:08am Apr 26, 2010 9:08am

kaydara
| Joined Jan 2010 | Status: pip ... pip ... pip ... | 101 Posts

thanks for sharing the code.

I also have some utilities code in a library and i think i will use some from yours

#20
Last Post: Jul 23, 2012 10:21pm Jul 23, 2012 10:21pm

espintl
| Joined Jul 2012 | Status: Trader | 1 Post

Hi,

I wanted to test EA #2 but the file common.mqh is missing... where can I find it?

One more question. I am new to all this...
I use IMA function in the code as below...
It seems to me that the IMA call does not return current values
I want it to buy or sell when after the gold cross but it seems to do it elsewhere...
Am I missing something... Maybe someone wants to cooperate on the project?

//+------------------------------------------------------------------+
//| EA Own.mq4 |
//| JSB |
//| [email protected] |
//+------------------------------------------------------------------+
#define SIGNAL_NONE 0
#define SIGNAL_BUY 1
#define SIGNAL_SELL 2
#define SIGNAL_CLOSEBUY 3
#define SIGNAL_CLOSESELL 4
#property copyright "JSB"
#property link "[email protected]"

// Order details
extern int Slippage = 3; // How much slip can we accept
extern double Lots = 0.01; //
extern int MagicNumber = 0;
// Stops
extern bool UseStopLoss = False; // No stops for the Axitrader
extern int StopLoss = 30;
extern bool UseTakeProfit = False;
extern int TakeProfit = 60;
extern bool UseTrailingStop = True;
extern int TrailingStop = 30;
extern bool EachTickMode = True;
extern bool OrderNoLossProfit = True; // for axitrader
//
//+------------------------------------------------------------------+
//| expert initialization function |
//+------------------------------------------------------------------+
int init()
{
//----
// Ticks back
int BuyBackTicks = 2; // back ticks to check if time low < high to buy
int CloseBuyBackTicks = 0;
int SellBackTicks = 2; // back ticks to check if time low < high to buy
int CloseSellBackTicks = 0;
// MA
int MA_Low = 5;
int MA_High = 8;
//
int Current = 0; // Current Bar
int Order = 0;
int Ticket = 0;
int BarCount;
//
double StopLossLevel, TakeProfitLevel;
//

double BuyBackLow = iMA(NULL, 0, MA_Low, 0, MODE_EMA, PRICE_CLOSE, Current + BuyBackTicks);
double BuyBackHigh = iMA(NULL, 0, MA_High, 0, MODE_EMA, PRICE_CLOSE, Current + BuyBackTicks);
double BuyNowLow = iMA(NULL, 0, MA_Low, 0, MODE_EMA, PRICE_CLOSE, Current + 0);
double BuyNowHigh = iMA(NULL, 0, MA_High, 0, MODE_EMA, PRICE_CLOSE, Current + 0);

double SellBackLow = iMA(NULL, 0, MA_Low, 0, MODE_EMA, PRICE_CLOSE, Current + SellBackTicks);
double SellBackHigh = iMA(NULL, 0, MA_High, 0, MODE_EMA, PRICE_CLOSE, Current + SellBackTicks);
double SellNowLow = iMA(NULL, 0, MA_Low, 0, MODE_EMA, PRICE_CLOSE, Current + 0);
double SellNowHigh = iMA(NULL, 0, MA_High, 0, MODE_EMA, PRICE_CLOSE, Current + 0);

double CloseBuyBackLow = iMA(NULL, 0, MA_Low, 0, MODE_EMA, PRICE_CLOSE, Current + CloseBuyBackTicks);
double CloseBuyBackHigh = iMA(NULL, 0, MA_High, 0, MODE_EMA, PRICE_CLOSE, Current + CloseBuyBackTicks);
double CloseBuyNowLow = iMA(NULL, 0, MA_Low, 0, MODE_EMA, PRICE_CLOSE, Current + 0);
double CloseBuyNowHigh = iMA(NULL, 0, MA_High, 0, MODE_EMA, PRICE_CLOSE, Current + 0);

double CloseSellBackLow = iMA(NULL, 0, MA_Low, 0, MODE_EMA, PRICE_CLOSE, Current + CloseSellBackTicks);
double CloseSellBackHigh = iMA(NULL, 0, MA_High, 0, MODE_EMA, PRICE_CLOSE, Current + CloseSellBackTicks);
double CloseSellNowLow = iMA(NULL, 0, MA_Low, 0, MODE_EMA, PRICE_CLOSE, Current + 0);
double CloseSellNowHigh = iMA(NULL, 0, MA_High, 0, MODE_EMA, PRICE_CLOSE, Current + 0);
Alert("BuyBackLow, BuyBackHigh", BuyBackLow, " ",BuyBackHigh);
Alert("SellBackLow, SellBackHigh", SellBackLow," ", SellBackHigh);

//+------------------------------------------------------------------+
//| Variable End |
//+------------------------------------------------------------------+

//Check position
bool IsTrade = False;

for (int i = 0; i < OrdersTotal(); i ++) { // Go through the Total Number of OfOrders
OrderSelect(i, SELECT_BY_POS, MODE_TRADES); // Select order by position in the trading pool
// bool OrderSelect( int index, int select, int pool=MODE_TRADES)
// The function selects an order for further processing. It returns TRUE if the function succeeds.
// It returns FALSE if the function fails.
// To get the error information, one has to call the GetLastError() function.
// The pool parameter is ignored if the order is selected by the ticket number.
// The ticket number is a unique order identifier.
// To find out from what list the order has been selected, its close time must be analyzed.
// If the order close time equals to 0, the order is open or pending and taken from the terminal open positions list.
// One can distinguish an open position from a pending order by the order type.
// If the order close time does not equal to 0, the order is a closed order or a deleted pending order and
// was selected from the terminal history.
// They also differ from each other by their order types.
// Parameters:
// index - Order index or order ticket depending on the second parameter.
// select - Selecting flags. It can be any of the following values:
//SELECT_BY_POS - index in the order pool,
// SELECT_BY_TICKET - index is order ticket.
// pool - Optional order pool index. Used when the selected parameter is SELECT_BY_POS. It can be any of the following values:
// MODE_TRADES (default)- order selected from trading pool(opened and pending orders),
// MODE_HISTORY - order selected from history pool (closed and canceled order).
////////////////////// Closing existing orders
if (OrderType() == OP_SELL && OrderSymbol() == Symbol()) {
// Sell order found for currency pair same as chart
// close existing order if condition fulfilled(to be specified below)
/// Closing Strategy here
// if (CloseSellBackLow < CloseSellBackHigh && CloseSellNowLow > CloseSellNowHigh) Order = SIGNAL_CLOSESELL;
if (CloseSellBackLow < CloseSellBackHigh && CloseSellNowLow > CloseSellNowHigh)Order = SIGNAL_CLOSEBUY;
if (Order == SIGNAL_CLOSEBUY) { // more straTegy here
OrderClose(OrderTicket(), OrderLots(), Ask, Slippage, DarkOrange);
continue;
}

}
//Trailing stop
if(UseTrailingStop && TrailingStop > 0) {
if(Bid - OrderOpenPrice() > Point * TrailingStop) {
if(OrderStopLoss() < Bid - Point * TrailingStop) {
OrderModify(OrderTicket(), OrderOpenPrice(), Bid - Point * TrailingStop, OrderTakeProfit(), 0, MediumSeaGreen);
if (!EachTickMode) BarCount = Bars;
continue;
}
}
}
if (OrderType() == OP_BUY && OrderSymbol() == Symbol()) { // Sell order found for currency pair same as chart
// close existing order if condition fulfilled (to be specified below)
// Closing Strategy here
if (CloseSellBackLow < CloseSellBackHigh && CloseSellNowLow > CloseSellNowHigh) Order = SIGNAL_CLOSESELL;
if (Order == SIGNAL_CLOSESELL) { // more strategy here
OrderClose(OrderTicket(), OrderLots(), Bid, Slippage, MediumSeaGreen);
}

}
} // End of for loop
//
//
//
////////////////////// Buy and Sell //////////////////////////////////////////////////////
//
//
//
// BUY BUY BUY
//
//
// Found gold cross: Insert Buying Strategy
if (BuyBackLow < BuyBackHigh && BuyNowLow > BuyNowHigh) Order = SIGNAL_BUY;

if (Order == SIGNAL_BUY) { // more strategy here
if (AccountFreeMargin() < (1000 * Lots)) {
Alert("We have no money. Free Margin = ", AccountFreeMargin());
return(0);
}

StopLossLevel = FuncStopLossLevel(UseStopLoss,StopLoss);
TakeProfitLevel = FuncTakeProfitLevel(UseTakeProfit,TakeProfit);

Ticket = OrderSend(Symbol(), OP_BUY, Lots, Ask, Slippage, StopLossLevel, TakeProfitLevel, "Buy(#" + MagicNumber + ")", MagicNumber, 0, DodgerBlue);
Alert("Buying ticket ", Ticket,"Error code ", GetLastError() );
if(Ticket > 0) {
if (OrderSelect(Ticket, SELECT_BY_TICKET, MODE_TRADES)) {
Alert("BUY order opened : ", OrderOpenPrice());
if (OrderNoLossProfit) { // If order does not allow stoploss/takeprofit, continue with modify
if (StopLoss > 0 || TakeProfit >0) // xxx
OrderModify(OrderTicket(), OrderOpenPrice(), Ask + Point * StopLoss, Ask + TakeProfit * Point, 0, DarkOrange);
}
} else {
Alert("Error opening BUY order : ", GetLastError());
}
} //
}
//
//
//
//
// SELL SELL SELL
//
//
//
// Found gold cross: Insert Selling Strategy
if (SellBackLow > SellBackHigh && SellNowLow < SellNowHigh) Order = SIGNAL_SELL;
if (Order == SIGNAL_SELL) { // more strategy here
//Check free margin
if (AccountFreeMargin() < (1000 * Lots)) {
Alert("We have no money. Free Margin = ", AccountFreeMargin());
return(0);
}

if (UseStopLoss) StopLossLevel = Bid + StopLoss * Point; else StopLossLevel = 0.0;
if (UseTakeProfit) TakeProfitLevel = Bid - TakeProfit * Point; else TakeProfitLevel = 0.0;

Ticket = OrderSend(Symbol(), OP_SELL, Lots, Bid, Slippage, StopLossLevel, TakeProfitLevel, "Sell(#" + MagicNumber + ")", MagicNumber, 0, DeepPink);
if(Ticket > 0) { // Order placed
if (OrderSelect(Ticket, SELECT_BY_TICKET, MODE_TRADES)) {
Alert("SELL order opened : ", OrderOpenPrice());
// modify order with stoploss,take profit for axitrader xxx
if (OrderNoLossProfit) { // If order does not allow stoploss/takeprofit, continue with modify
if (StopLoss > 0 || TakeProfit >0)
OrderModify(OrderTicket(), OrderOpenPrice(), Ask + Point * StopLoss, Ask + TakeProfit * Point, 0, DarkOrange);
}
} else {
Alert("Error opening SELL order : ", GetLastError());
Alert("Selling Ticket ", Ticket,"Error code ", GetLastError());
}
}
}

//----
return(0);
}

double FuncStopLossLevel(bool UseStopLoss, double StopLoss){
double StopLossLevel;
if (UseStopLoss)
StopLossLevel = Ask - StopLoss * Point;
else StopLossLevel = 0.0;

return (StopLossLevel);
}
double FuncTakeProfitLevel(bool UseTakeProfit, double TakeProfit){
double TakeProfitLevel;
if (UseTakeProfit)
TakeProfitLevel = Ask - TakeProfit * Point;
else TakeProfitLevel = 0.0;

return (TakeProfitLevel);
}
//+------------------------------------------------------------------+
//| expert deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----

//----
return(0);
}
//+------------------------------------------------------------------+
//| expert start function |
//+------------------------------------------------------------------+
int start()
{
//----

//----
return(0);
}
//+------------------------------------------------------------------+

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Updated EA, Backtesting, common mistakes and some working code
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Updated EA, Backtesting, common mistakes and some working code