SpiNNaker v0.50b

//+------------------------------------------------------------------+
//|                                             SpiNNaker v0.50b.mq4 |
//|                                       Copyright © 2009 Tom Balfe |
//|                   http://www.forex-tsd.com/members/nittany1.html |
//|                                         redcarsarasota@yahoo.com |
//|                                                                  |
//| This is an Neural Network expert advisor that is fed data        |
//| from the stochastics and ADX indicators. It is a single          |
//| layer perceptron which needs to be trained manually to adjust    |
//| the weights.                                                     | 
//|                                                                  |
//| This EA is multi-timeframe in that it uses data from both the    |
//| 5m and 15m timeframes to feed into the input neurodes.           |
//|                                                                  |
//| There are six units in the neural network: four input            |
//| units (stochastics 5m, stochastics 15m, adx 5m, adx 15m) and     |
//| two output units (buy, sell). There are 8 adjustable weights     |
//| that need to be adjusted by optimization.                        |
//|                                                                  |
//| If you are going to use this EA on separate currency pairs at    |
//| the same time please change the MagicNumber to something unique  |
//| for each currency pair.                                          |
//|                                                                  |
//| Also optimize the weights and indicator settings for each        |
//| currency pair.                                                   |
//+------------------------------------------------------------------+

//+------------------------------------------------------------------+
//| RESEARCH                                                         |
//| Here are a list of websites that I used for learning about       |
//| neural networks.                                                 |
//|                                                                  |
//| http://www.benbest.com/computer/nn.html                          |
//| http://www.ai-junkie.com/ann/evolved/nnt1.html                   |
//| http://www.ibm.com/developerworks/library/l-neural/              |
//|                                                                  |
//| There were others but I lost track of all my URLs.               |
//+------------------------------------------------------------------+
 
#property copyright "Copyright © 2009 Tom Balfe"
#property link      "mailto:redcarsarasota@yahoo.com"
#property link      "http://www.forex-tsd.com/members/nittany1.html"
#property link      "http://www.myspace.com/tomsarasota"

bool      BUY   = false;    // initialize output units to false
bool      SELL  = false;    // we don't want trades by mistake 

double    bTemp=0,sTemp=0;  // place to hold buy signal before putting it through
                            // threshold function

int       s5m_t=0,s15m_t=0,a5m_t=0,a15m_t=0;  // place to hold indicator signals for perceptron
                                              // calculations


//+------------------------------------------------------------------+
//| USER ADJUSTABLE STUFF                                            |
//+------------------------------------------------------------------+

extern  string  TopOfSetting          = "=== SpiNNaker v0.50b EA ===";
extern  int     MagicNumber           = 322112;

extern  string  Order_Settings        = "=== Order Settings ===";
extern  double  StaticLots            = 0.01;
extern  int     Slippage              = 5;
extern  int     TP                    = 15;
extern  int     SL                    = 25;

//--- only change the values during backtesting/optimization
//--- do *not* change the signs (neg/pos) or you'll bust the neural network
//--- for example, try backtest/optimize of 0.1 to 0.9 in 0.1 step, or
//--- -0.1 to -0.9 in 0.1 step

extern  string  NN_Weights            = "=== NN Weights ===";
extern  double  w1b                   = 0.5;      // 5 min stoch weight for buy
extern  double  w1s                   = -0.5;     // 5 min stoch weight for sell
extern  double  w2b                   = 0.5;      // 15 min stoch weight for buy
extern  double  w2s                   = -0.5;     // 15 min stoch weight for sell
extern  double  w3b                   = 0.5;      // 5 min ADX weight for buy
extern  double  w3s                   = -0.5;     // 5 min ADX weight for sell
extern  double  w4b                   = 0.5;      // 15 min ADX weight for buy
extern  double  w4s                   = -0.5;     // 15 min ADX weight for sell

extern  string  NN_Threshold          = "== NN Threshold ===";
extern  double  ThresholdBUY          = 1.50;
extern  double  ThresholdSELL         = 1.50;           

extern  string  Stoch_Settings        = "=== Stochastic Settings ===";
extern  int     PercentK_m5           = 8;
extern  int     PercentD_m5           = 3;
extern  int     Slowing_m5            = 3;

extern  int     PercentK_m15          = 8;
extern  int     PercentD_m15          = 3;
extern  int     Slowing_m15           = 3;

extern  string  ADX_Settings          = "=== ADX Settings ===";
extern  int     ADXTrend              = 20;

extern  string  MM_Settings           = "=== Money Management ===";
extern  bool    UseMM                 = false;
extern  int     PercentAtRisk         = 3;

//+------------------------------------------------------------------+
//| DON'T CHANGE BELOW HERE                                          |
//+------------------------------------------------------------------+
//| Program initializes and deinitializes here.                      |
//+------------------------------------------------------------------+
string        EAComment   = "SpiNNaker v0.50b EA";
string        EATitle     = "SPINNAKER v0.50b EA © 2009 TOM BALFE";
int           OpenOrders  = 1;
datetime      PreviousBar;

int init()
  {
  ObjectCreate("Title",OBJ_LABEL,0,0,0);
  ObjectSet("Title",OBJPROP_XDISTANCE,325);
  ObjectSet("Title",OBJPROP_YDISTANCE,2);
  ObjectSetText("Title",EATitle,9,"Lucida Sans Regular",PaleTurquoise);

  return(0);
  }

int deinit()
  {
    if (TotalOpenOrders() > 0)
    {
    CloseAll();
    } 
  
  ObjectsDeleteAll();
  ObjectDelete("Title");
    
  return(0);
  }

int start()
  {
  //--- INDICATORS
  //--- Stochastics M5
  double sMain_m5     = iStochastic(NULL,5,PercentK_m5,PercentD_m5,Slowing_m5,MODE_SMA,0,MODE_MAIN,0);
  double sSignal_m5   = iStochastic(NULL,5,PercentK_m5,PercentD_m5,Slowing_m5,MODE_SMA,0,MODE_SIGNAL,0);
  
  //--- Stochastics M15
  double sMain_m15    = iStochastic(NULL,15,PercentK_m15,PercentD_m15,Slowing_m15,MODE_SMA,0,MODE_MAIN,0);
  double sSignal_m15  = iStochastic(NULL,15,PercentK_m15,PercentD_m15,Slowing_m15,MODE_SMA,0,MODE_SIGNAL,0);
  
  //--- M5 ADX data
  double adx_m5       = iADX(NULL,5,14,PRICE_CLOSE,0,0); // ADX 5 min
  double di_p_m5      = iADX(NULL,5,14,PRICE_CLOSE,1,0); // DI+ 5 min 
  double di_m_m5      = iADX(NULL,5,14,PRICE_CLOSE,2,0); // DI- 5 min
  
  //--- M15 ADX data
  double adx_m15      = iADX(NULL,15,14,PRICE_CLOSE,0,0); // ADX 15 min
  double di_p_m15     = iADX(NULL,15,14,PRICE_CLOSE,1,0); // DI+ 15 min 
  double di_m_m15     = iADX(NULL,15,14,PRICE_CLOSE,2,0); // DI- 15 min
  
  //--- INDICATORS TURNED INTO SIGNALS
  //--- feed indicator data to give signals for each timeframe
  if (sMain_m5>sSignal_m5) { s5m_t = 1; }     // stoch 5m  s5m_t
    else if (sMain_m5<sSignal_m5) { s5m_t = -1; }
      else { s5m_t = 0; }
  
  if (sMain_m15>sSignal_m15) { s15m_t = 1; }  // stoch 15m  s15m_t
    else if (sMain_m15<sSignal_m15) { s15m_t = -1; }
      else { s15m_t = 0; }
  
  if ((adx_m5>ADXTrend)&&(di_p_m5>di_m_m5)) { a5m_t = 1; }  // adx 5m   a5m_t
    else if ((adx_m5>ADXTrend)&&(di_p_m5<di_m_m5)) { a5m_t = -1; }
      else { a5m_t = 0; }    
      
  if ((adx_m15>ADXTrend)&&(di_p_m15>di_m_m15)) { a15m_t = 1; } // adx 15m  a15m_t
    else if ((adx_m15>ADXTrend)&&(di_p_m15<di_m_m15)) { a15m_t = -1; } 
      else { a15m_t = 0; }
  
  //--- NEURAL NETWORK STUFF  
  //--- buy perceptron first, order: 5m stoch, 15m stoch, 5m adx, 15m adx    
  bTemp = ((s5m_t*w1b) + (s15m_t*w2b) + (a5m_t*w3b) + (a15m_t*w4b));
  //--- sell perceptron next, order: 5m stoch, 15m stoch, 5m adx, 15m adx
  sTemp = ((s5m_t*w1s) + (s15m_t*w2s) + (a5m_t*w3s) + (a15m_t*w4s));
  
  //--- buy threshold function
  if (bTemp>ThresholdBUY) {
    BUY = true; }
     
  //--- sell threshold function
  if (sTemp>ThresholdSELL) {
    SELL = true; }
  
  //--- ORDER MANAGEMENT
  //--- look for closes first, if none are found, open one if conditions are right
  if (NewBar() == true) {
  //---------------- check indicators and look for a CLOSE ---//
    if (TotalOpenOrders() == OpenOrders)
    {
      if (OrderType() == OP_BUY) {      //--- look for close of open buy positions
        if (BUY == false) { CloseAll(); }
      }
    
      if (OrderType() == OP_SELL) {     //--- look for close of open sell positions
        if (SELL == false) { CloseAll(); }
      }
    }
  
    //---------------- check indicators and look for a ORDER ENTRY ---//
    if (TotalOpenOrders() < OpenOrders)
    {
      //-- BUY
      if (BUY == true) {
        OrderSend(Symbol(),OP_BUY,LotSize(),Ask,Slippage,Ask-SL*Point,Ask+TP*Point,EAComment,MagicNumber,0,Lime);  
      }
    
      //-- SELL
      if (SELL == true) {
        OrderSend(Symbol(),OP_SELL,LotSize(),Bid,Slippage,Bid+SL*Point,Ask-TP*Point,EAComment,MagicNumber,0,Red);
      }
    }
  }
  ShowInfo();
    
  return(0);
  }

//+------------------------------------------------------------------+
//| COMMON FUNCTIONS                                                 |
//+------------------------------------------------------------------+
//| The expert will call these from the main loop.                   |
//+------------------------------------------------------------------+

//+-----------------------------------------------------+
//|           new bar                                   |
//+-----------------------------------------------------+
bool NewBar()
{
  if(PreviousBar<Time[0])
  {
    PreviousBar = Time[0];
    return(true);
  }
  else
  {
    return(false);
  }
  return(false);  
}

//+-----------------------------------------------------+
//|           calculate lot size                        |
//+-----------------------------------------------------+
double LotSize()
{
  if (UseMM == true) 
    { double Lots = MathCeil(AccountFreeMargin() *  PercentAtRisk / 1000) / 100; }
  
  else { Lots = StaticLots; }
  
  return(Lots);  
}

//+-----------------------------------------------------+
//|           close all                                 |
//+-----------------------------------------------------+
//| Finds any open orders & closes them                 |
//+-----------------------------------------------------+
void CloseAll()
{
  int total = OrdersTotal();
  for(int i=total-1;i>=0;i--)
  {
    OrderSelect(i, SELECT_BY_POS);
    int type = OrderType();
    
    if (OrderSymbol()==Symbol() && (OrderMagicNumber() == MagicNumber))  
    {
      //-- Close open BUYs
      if (type == OP_BUY) OrderClose(OrderTicket(),OrderLots(),MarketInfo(OrderSymbol(),MODE_BID),Slippage,CornflowerBlue);
      //-- Close open SELLS
      if (type == OP_SELL) OrderClose(OrderTicket(),OrderLots(),MarketInfo(OrderSymbol(),MODE_ASK),Slippage,CornflowerBlue);
    }
  }
  return;
}

//+-----------------------------------------------------+
//|           calculate open orders                     |
//+-----------------------------------------------------+
int TotalOpenOrders()
{
  int j = 0;
  j=OrdersTotal();
  int TotalOpenOrders = 0;
   
  if(j==0) { return (0); }
  
  else
  {
    for(;j>=0;j--)
      {
      RefreshRates();
      OrderSelect(j,SELECT_BY_POS);
      if(OrderMagicNumber()==MagicNumber)
      {
        TotalOpenOrders++;
      }
    }
  }
  return(TotalOpenOrders);
}

//+-----------------------------------------------------+
//|           show summary panel on chart               |
//+-----------------------------------------------------+
void ShowInfo()
{
  Comment("...::: SpiNNaker v0.50b :::...\n",
          "Copyright © 2009 Tom Balfe\n",
          "Currency Pair: ", Symbol(),"\n",
          "Price:  ",NormalizeDouble(Bid,4),"\n",
          "Date: ",Month(),"-",Day(),"-",Year()," Server Time: ",Hour(),":",Minute(),":",Seconds(),"\n",
          "Minimum Lot Size: ",MarketInfo(Symbol(),MODE_MINLOT));
  return(0);
}