Visualize virtual profit of indicator based trade signals

mql40/experts/ZigZag EA.mq4

@@ -6,8 +6,8 @@
  *
  * Requirements
  * ------------
- *  • "mql40/experts/ZigZag EA"                (this EA)
- *  • "mql40/indicators/ZigZag"                (the MetaQuotes indicator can't be used)
+ *  • "mql40/experts/ZigZag EA"                (this file)
+ *  • "mql40/indicators/ZigZag"                (the MetaQuotes version can't be used)
  *  • "mql40/scripts/Config"
  *  • "mql40/scripts/Chart.ToggleOpenOrders"
  *  • "mql40/scripts/Chart.ToggleTradeHistory"
@@ -292,7 +292,7 @@ bool onCommand(string cmd, string params, int keys) {
          case STATUS_WAITING:
          case STATUS_STOPPED:
             double signal[] = {0,0,0};
-            signal[SIG_OP] = ifInt(GetZigZagTrend(0) > 0, SIG_OP_LONG, SIG_OP_SHORT);
+            signal[SIG_OP] = ifInt(GetZigZagDirection(0) > 0, SIG_OP_LONG, SIG_OP_SHORT);
             log("onCommand(1)  "+ instance.name +" "+ DoubleQuoteStr(fullCmd), NO_ERROR, LOG_INFO);
             return(StartTrading(signal));
       }
@@ -405,7 +405,8 @@ bool GetDonchianChannel(int bar, double &upperBand, double &lowerBand) {
 
 
 /**
- * Whether a new ZigZag reversal occurred.
+ * Whether a new ZigZag reversal occurred. Returns the same result for the same tick.
+ * Multiple reversals can occur in a single bar. The function returns a new signal for every new reversal (if any).
  *
  * @param  _Out_ double signal[] - array receiving signal details
  *
@@ -414,9 +415,8 @@ bool GetDonchianChannel(int bar, double &upperBand, double &lowerBand) {
 bool IsZigZagSignal(double &signal[]) {
    if (last_error != NULL) return(false);
 
-   static int lastTick, lastSigType, lastSigOp, lastSigBar, lastSigBarOp;
-   static double lastSigPrice, reversalPrice;
-   int trend, reversalOffset;
+   static int lastTick, lastSigType, lastSigOp;
+   static double lastSigPrice;
 
    if (Ticks == lastTick) {
       signal[SIG_TYPE ] = lastSigType;
@@ -428,26 +428,27 @@ bool IsZigZagSignal(double &signal[]) {
       signal[SIG_PRICE] = 0;
       signal[SIG_OP   ] = 0;
 
-      if (!GetZigZagData(0, trend, reversalOffset, reversalPrice)) return(!logError("IsZigZagSignal(1)->GetZigZagData(0) => FALSE", ERR_RUNTIME_ERROR));
-      int absTrend = MathAbs(trend);
-      bool isReversal = false;
-      if      (absTrend == reversalOffset)     isReversal = true;             // regular reversal
-      else if (absTrend==1 && !reversalOffset) isReversal = true;             // reversal after double crossing
+      static int lastBarTime, lastBarReversalType;
+      static bool lastBarIsReversal;
 
-      if (isReversal) {
-         if (trend > 0) int sigOp = SIG_OP_CLOSE_SHORT|SIG_OP_LONG;
-         else               sigOp = SIG_OP_CLOSE_LONG|SIG_OP_SHORT;
+      int reversalType;
+      double reversalPrice;
+      bool isReversal = IsZigZagReversalBar(0, reversalType, reversalPrice);
 
-         if (Time[0]!=lastSigBar || sigOp!=lastSigBarOp) {
+      if (isReversal) {
+         bool isNewReversal = (Time[0] != lastBarTime || !lastBarIsReversal || reversalType != lastBarReversalType);
+         if (isNewReversal) {
             signal[SIG_TYPE ] = SIG_TYPE_ZIGZAG;
             signal[SIG_PRICE] = reversalPrice;
-            signal[SIG_OP   ] = sigOp;
-
-            if (IsLogNotice()) logNotice("IsZigZagSignal(2)  "+ instance.name +" "+ ifString(sigOp & SIG_OP_LONG, "long", "short") +" reversal at "+ NumberToStr(reversalPrice, PriceFormat) +" (market: "+ NumberToStr(_Bid, PriceFormat) +"/"+ NumberToStr(_Ask, PriceFormat) +")");
-            lastSigBar   = Time[0];
-            lastSigBarOp = sigOp;
+            if (reversalType == MODE_UPPER) signal[SIG_OP] = SIG_OP_CLOSE_SHORT|SIG_OP_LONG;
+            else                            signal[SIG_OP] = SIG_OP_CLOSE_LONG|SIG_OP_SHORT;
+            if (IsLogNotice()) logNotice("IsZigZagSignal(1)  "+ instance.name +" "+ ifString(reversalType == MODE_UPPER, "long", "short") +" reversal at "+ NumberToStr(reversalPrice, PriceFormat) +" (market: "+ NumberToStr(_Bid, PriceFormat) +"/"+ NumberToStr(_Ask, PriceFormat) +")");
          }
       }
+      lastBarTime         = Time[0];
+      lastBarIsReversal   = isReversal;
+      lastBarReversalType = reversalType;
+
       lastTick     = Ticks;
       lastSigType  = signal[SIG_TYPE ];
       lastSigPrice = signal[SIG_PRICE];
@@ -458,40 +459,80 @@ bool IsZigZagSignal(double &signal[]) {
 
 
 /**
- * Get ZigZag buffer values at the specified bar offset. The returned values correspond to the documented indicator buffers.
+ * Whether the specified bar is a ZigZag reversal bar. Not whether the current tick triggered a reversal.
+ * Multiple reversals can occur in a single bar. The function returns the data of the last reversal (if any).
  *
- * @param  _In_  int    bar            - bar offset
- * @param  _Out_ int    trend          - MODE_TREND: combined buffers MODE_KNOWN_TREND + MODE_UNKNOWN_TREND
- * @param  _Out_ int    reversalOffset - MODE_REVERSAL: bar offset of most recent ZigZag reversal to previous ZigZag semaphore
- * @param  _Out_ double reversalPrice  - MODE_UPPER_CROSS|MODE_LOWER_CROSS: reversal price if the bar denotes a ZigZag reversal; 0 otherwise
+ * @param  _In_  int    bar           - bar offset
+ * @param  _Out_ int    reversalType  - type of the reversal: MODE_UPPER | MODE_LOWER
+ * @param  _Out_ double reversalPrice - reversal price
  *
- * @return bool - success status
+ * @return bool
  */
-bool GetZigZagData(int bar, int &trend, int &reversalOffset, double &reversalPrice) {
+bool IsZigZagReversalBar(int bar, int &reversalType, double &reversalPrice) {             // TODO: 56% of the EA's total runtime is spent in this function
+   reversalType = NULL;
+   reversalPrice = NULL;
+
+   int combinedTrend = icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_COMBINED_TREND, bar);   // 85% of the local time here
 
-   // TODO: 56% of the EA's total runtime is spent in this function
+   int trend = combinedTrend & 0xFFFF;                            // extract LOWORD and manually sign-extend,
+   if ((trend & 0x8000) != 0) trend |= 0xFFFF0000;                // i.e. convert int to signed short
 
-   trend          = MathRound(icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_TREND,    bar));          // 88% of the local time
-   reversalOffset = MathRound(icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_REVERSAL, bar));          // 6% of the local time
+   int unknownTrend = (combinedTrend >> 16) & 0xFFFF;             // extract HIWORD and manually sign-extend,
+   if ((unknownTrend & 0x8000) != 0) unknownTrend |= 0xFFFF0000;  // i.e. convert int to signed short
+   if (unknownTrend < 0) return(!catch("IsZigZagReversalBar(1)  unexpected bar="+ bar +" "+ TimeToStr(Time[bar]) +"  trend=0  unknownTrend="+ unknownTrend, ERR_ILLEGAL_STATE));
 
-   if (trend > 0) reversalPrice = icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_UPPER_CROSS, bar);    // 6% of the local time
-   else           reversalPrice = icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_LOWER_CROSS, bar);
-   return(!last_error && trend);
+   if (!unknownTrend) {
+      int reversalOffset = icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_REVERSAL_OFFSET, bar);
+
+      if (Abs(trend) == reversalOffset) {
+         int semBar = bar + reversalOffset;                       // last semaphore bar before the reversal
+         double semaphoreClose = icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_SEMAPHORE_CLOSE, semBar);
+         if (!semaphoreClose) return(!catch("IsZigZagReversalBar(2)  unexpected bar="+ semBar +" "+ TimeToStr(Time[semBar]) +"  trend=0  unknownTrend="+ unknownTrend +"  semaphoreClose=0", ERR_ILLEGAL_STATE));
+
+         if (semaphoreClose > High[bar]-HalfPoint) {
+            reversalType  = MODE_LOWER;
+            reversalPrice = icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_LOWER_CROSS, bar);
+         }
+         else {
+            reversalType  = MODE_UPPER;
+            reversalPrice = icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_UPPER_CROSS, bar);
+         }
+         return(true);
+      }
+   }
+   return(false);
 }
 
 
 /**
- * Get the length of the ZigZag trend at the specified bar offset.
+ * Get the direction of the ZigZag leg at the specified bar.
  *
  * @param  int bar - bar offset
  *
- * @return int - trend length or NULL (0) in case of errors
+ * @return int - a positive value for an upward leg and a negative value for a downward leg,
+ *               or NULL (0) in case of errors
  */
-int GetZigZagTrend(int bar) {
-   int trend, iNull;
-   double dNull;
-   if (!GetZigZagData(bar, trend, iNull, dNull)) return(NULL);
-   return(trend % 100000);
+int GetZigZagDirection(int bar) {
+   int combinedTrend = icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_COMBINED_TREND, bar);
+
+   int trend = combinedTrend & 0xFFFF;                               // extract LOWORD and manually sign-extend,
+   if ((trend & 0x8000) != 0) trend |= 0xFFFF0000;                   // i.e. convert int to signed short
+
+   if (!trend) {
+      int unknownTrend = (combinedTrend >> 16) & 0xFFFF;             // extract HIWORD and manually sign-extend,
+      if ((unknownTrend & 0x8000) != 0) unknownTrend |= 0xFFFF0000;  // i.e. convert int to signed short
+      if (unknownTrend < 0) return(!catch("GetZigZagDirection(1)  unexpected bar="+ bar +" "+ TimeToStr(Time[bar]) +"  trend=0  unknownTrend="+ unknownTrend, ERR_ILLEGAL_STATE));
+
+      int semBar = bar + unknownTrend;
+      double semaphoreClose = icZigZag(NULL, ZigZag.Periods, ZigZag.MODE_SEMAPHORE_CLOSE, semBar);
+      if (!semaphoreClose) return(!catch("GetZigZagDirection(2)  unexpected bar="+ semBar +" "+ TimeToStr(Time[semBar]) +"  trend=0  unknownTrend="+ unknownTrend +"  semaphoreClose=0", ERR_ILLEGAL_STATE));
+
+      if (semaphoreClose > High[semBar]-HalfPoint) {
+         return(1);
+      }
+      return(-1);
+   }
+   return(trend);
 }
 
 

mql40/include/rsf/MT4Expander.mqh

@@ -1,8 +1,9 @@
 /**
  * MT4Expander import declarations
  *
- * Note: MQL4.0 supports up to 512 arrays per MQL module (in MQL4.5/MQL5 this limit was removed). To prevent hitting that
- *       limit all imports with array parameters are disabled in this file. Import needed functions per program to use them.
+ * Note: MQL4.0 supports a maximum of 512 array declarations per MQL module. In MQL4.5 and later, this restriction has been
+ *       removed. To prevent this limit from being reached, all imports with array parameters have been disabled in this file.
+ *       Import needed functions with array parameters manually to use them.
  */
 #import "rsfMT4Expander.dll"
 
@@ -24,7 +25,7 @@
    bool     IsUIThread(int threadId);
    bool     LoadMqlProgramA(int hChart, int programType, string programName);
    int      MT4InternalMsg();
-   bool     ReopenAlertDialog(int sound);
+   bool     ReopenAlertDialog(int sound);                                                 // see notes at the top of the file
    //int    SyncMainContext_init  (int ec[], int programType, string programName, int uninitReason, int initFlags, int deinitFlags, string symbol, int timeframe, int digits, double point, int isTesting, int isVisualMode, int isOptimization, int recorder, int lpSec, int hChart, int droppedOnChart, int droppedOnPosX, int droppedOnPosY, string accountServer, int accountNumber);
    //int    SyncMainContext_start (int ec[], double rates[][], int bars, int changedBars, int ticks, datetime tickTime, int isVirtual, double bid, double ask);
    //int    SyncMainContext_deinit(int ec[], int uninitReason);
@@ -53,8 +54,8 @@
    bool     DeleteIniKeyA(string fileName, string section, string key);
    bool     DeleteIniSectionA(string fileName, string section);
    bool     EmptyIniSectionA(string fileName, string section);
-   //int    GetIniKeysA(string fileName, string section, int buffer[], int bufferSize);
-   //int    GetIniSectionsA(string fileName, int buffer[], int bufferSize);
+   //int    GetIniKeysA(string fileName, string section, int buffer[], int bufferSize);   // see notes at the top of the file
+   //int    GetIniSectionsA(string fileName, int buffer[], int bufferSize);               // see notes at the top of the file
    string   GetIniStringA(string fileName, string section, string key, string defaultValue);
    string   GetIniStringRawA(string fileName, string section, string key, string defaultValue);
    bool     IsGlobalConfigKeyA(string section, string key);
@@ -92,12 +93,12 @@
    int      GetBoolsAddress  (bool   values[]);
    int      GetIntsAddress   (int    values[]);
    int      GetDoublesAddress(double values[]);
-   int      GetStringAddress (string value   );                // Warning: GetStringAddress() must be used with string array elements only.
-   int      GetStringsAddress(string values[]);                //  Simple strings are passed to DLLs as copies and immediately destroyed
-   string   GetStringA(int address);                           //  after the call. Accessing such an address may cause a terminal crash.
+   int      GetStringAddress (string value   );       // Warning: GetStringAddress() must be used with string array elements only.
+   int      GetStringsAddress(string values[]);       // Simple strings are passed to DLLs as copies and immediately destroyed
+   string   GetStringA(int address);                  // after the call. Accessing such an address may cause a terminal crash.
    bool     MemCompare(int lpBufferA, int lpBufferB, int size);
 
-   // array functions
+   // array functions (see notes at the top of the file)
    //bool   InitializeBOOLArray  (bool   &values[], int size, int    initValue, int from, int count);
    //bool   InitializeBoolArray  (bool   &values[], int size, bool   initValue, int from, int count);
    //bool   InitializeCharArray  (char   &values[], int size, char   initValue, int from, int count);
@@ -117,9 +118,9 @@
    //bool   ShiftDoubleIndicatorBuffer(double &buffer[], int size, int count, double emptyValue);
 
    // string functions
-   //string MD5Hash(int buffer[], int size);
+   //string MD5Hash(int buffer[], int size);                // see notes at the top of the file
    string   MD5HashA(string str);
-   //bool   SortMqlStringsA(string values[], int size);
+   //bool   SortMqlStringsA(string values[], int size);     // see notes at the top of the file
    bool     StrCompare(string s1, string s2);
    bool     StrEndsWith(string str, string suffix);
    bool     StrEndsWithI(string str, string suffix);

mql40/include/rsf/api.mqh

@@ -629,7 +629,7 @@ bool     ChartMarker.OrderSent_A(int ticket, int digits, color markerColor);;
 bool     ChartMarker.OrderSent_B(int ticket, int digits, color markerColor, int type, double lots, string symbol, datetime openTime, double openPrice, double stopLoss, double takeProfit, string comment);;
 bool     ChartMarker.PositionClosed_A(int ticket, int digits, color markerColor);;
 bool     ChartMarker.PositionClosed_B(int ticket, int digits, color markerColor, int type, double lots, string symbol, datetime openTime, double openPrice, datetime closeTime, double closePrice);;
-int      CreateRawSymbol(string name, string description, string group, int digits, string baseCurrency, string marginCurrency, string directory="");;
+int      CreateRawSymbol(string name, string description, string group, int digits, string baseCurrency, string marginCurrency, string hstDirectory = "");;
 string   CreateTempFile(string path, string prefix="");;
 int      DecreasePeriod(int period=0);;
 bool     DeletePendingOrders(color markerColor=CLR_NONE);;
@@ -670,7 +670,7 @@ string   IntegerToBinaryStr(int integer);;
 string   IntegerToHexStr(int integer);;
 bool     IntInArray(int &haystack[], int needle);;
 string   IntsToStr(int &array[], string separator);;
-bool     IsRawSymbol(string symbol, string directory="");;
+bool     IsRawSymbol(string symbol, string hstDirectory = "");;
 bool     IsReverseIndexedBoolArray(bool &array[]);;
 bool     IsReverseIndexedDoubleArray(double &array[]);;
 bool     IsReverseIndexedIntArray(int &array[]);;

mql40/include/rsf/core/expert.recorder.mqh

@@ -349,7 +349,7 @@ bool Recorder_start() {
    | v419 HST_BUFFER_TICKS=On  |            |           |              |             |             |              |  15.486 t/s  |  14.286 t/s  |
    +---------------------------+------------+-----------+--------------+-------------+-------------+--------------+--------------+--------------+
    */
-   int size=ArraySize(metric.hSet), flags=NULL;
+   int size = ArraySize(metric.hSet), flags = NULL;
    if (__isTesting) flags = HST_BUFFER_TICKS;
    double value;
    bool success = true;

mql40/include/rsf/functions/ManageDoubleIndicatorBuffer.mqh

@@ -2,7 +2,7 @@
  * Manage a double array as additional indicator buffer, i.e. automatically resize it and shift the content according to
  * incoming new bar data.
  *
- * In MQL4 the terminal manages a maximum of 8 indicator buffers. Additional buffers can be used but must be managed by the
+ * In MQL4.0 the terminal manages a maximum of 8 indicator buffers. Additional buffers can be used but must be managed by the
  * framework. Such buffers are for internal calculations only, they can't be drawn on the chart or accessed via iCustom().
  *
  * @param  int    id                    - buffer index

mql40/include/rsf/functions/iBarShiftNext.mqh

@@ -27,11 +27,13 @@ int iBarShiftNext(string symbol/*=NULL*/, int period/*=NULL*/, datetime time, in
 
    int bar = iBarShift(symbol, period, time, true);
    int error = GetLastError();
-   if (error!=NO_ERROR) /*&&*/ if (error!=ERS_HISTORY_UPDATE)
+   if (error!=NO_ERROR) /*&&*/ if (error!=ERS_HISTORY_UPDATE) {
       return(_EMPTY_VALUE(catch("iBarShiftNext(2)->iBarShift("+ symbol +","+ PeriodDescription(period) +") => "+ bar, error)));
+   }
 
-   if (bar != -1)
+   if (bar != -1) {
       return(bar);
+   }
 
    // exact war TRUE und bar==-1: keine abdeckende Bar gefunden
    // Datenreihe holen