Correlation strategy backtesting

**funyoo** · 11-05-2009 17:16

Here is a way to get the value of another pair in order to compare it with the current pair during the backtesting.

Register the wanted pair and timeframe chart in tester/files with the .csv format (for example GBPUSD15.csv).

Then in the code, after the extern parameters, add :

Code:

datetime time0;
datetime daterewritten;
string date;
string time;
double open;
double high;
double low;
double close;
double volume;

In the start function, add :

Code:

   int handle;
   string filename="GBPUSD15.csv";
   
   handle=FileOpen(filename,FILE_READ|FILE_CSV,",");
   if(handle==-1 || FileSize(handle)==0)return;

   if(handle<0){
      if(GetLastError()==4103){
         Alert("No file named ",filename);
      }
      else{
         Alert("Error while opening file ",filename);
         return;
      }
   }
   
   if(time0!=Time[0]){
      while(!FileIsEnding(handle)){
         if(Time[1]==daterewritten)break;
         date=FileReadString(handle,10);
         time=FileReadString(handle,5);
         open=FileReadNumber(handle);
         high=FileReadNumber(handle);
         low=FileReadNumber(handle);
         close=FileReadNumber(handle);
         volume=FileReadNumber(handle);
         daterewritten=StrToTime(date+" "+time);
      }
      time0=Time[0];
   }
   
   if(handle!=-1)FileClose(handle);

   Comment(
   "\ndate = "+date,
   "\ntime = "+time,
   "\nopen = "+DoubleToStr(open,5),
   "\nhigh = "+DoubleToStr(high,5),
   "\nlow = "+DoubleToStr(low,5),
   "\nclose = "+DoubleToStr(close,5),
   "\nvolume = "+DoubleToStr(volume,0),
   "\ndaterewritten = "+DoubleToStr(daterewritten,0),
   "\ncurrenttime = "+DoubleToStr(Time[1],0));

**Cyrillic** · 03-11-2010 16:39

Hello,
I try to do it like explained but i get the following error 'time' - variable already defined MetaTrader - Alpari UK\experts\Correlation Strategy EA v1.03.mq4 (70, 8), where do i go wrong? Also if i remove time from initial init and make it a new init, and try to load the the file it goes through to tester and i get
2010.03.11 11:38:43 2010.03.02 23:57 Correlation Strategy EA v1.03: invalid handle -1 in FileSize
Could someone please clarify this for me.

[QUOTE][CODE]//+----------------------------------------------------------------------------+
//| _Expert Advisor.mq4 |
//| Copyright © 2009-2010, TradingSystemForex.Com |
//| http://www.tradingsystemforex.com/ |
//| 01.18.2010 |
//+----------------------------------------------------------------------------+

#property copyright "Copyright © 2009-2010, TradingSystemForex.Com"
#property link "http://www.tradingsystemforex.com/"

//| Martingale is only for counter pairs like EURUSD and USDCHF

string comment="EA"; // comment to display in the order
extern bool automagic=true; // auto magic number
extern bool printprofit=false; // print profit to check the EA functionability
extern int magic=1234; // magic number required if you use different settings on a same pair, same timeframe

extern string moneymanagement="Money Management";

extern double lots=0.1; // lots size
extern bool autofactor=false; // lot factors autotomatically calculated based on 14 hourly atr
extern double lotfactor1=2; // manual lot factor 1
extern double lotfactor2=3; // manual lot factor 2
extern double minlot=0.01; // minimum lots size
extern double maxlot=50; // maximum lots size
extern int lotdigits=2; // lot digits, 1=0.1, 2=0.01
extern bool martingale=false; // martingale -
extern int martingalemode=0; // 0=buy sell sell - sell buy buy, 1=buy sell buy - sell buy sell
extern int delayminutes=30; // enable martingale delay minutes after the last trades
extern double multiplier=1.333; // multiplier for the martingale

extern string ordersmanagement="Order Management";

extern bool reversesignals=false; // reverse the signals, long if short, short if long
extern bool addpos=false; // add position if price goes against us
extern int pipstep=30; // negative difference between price and order open price
extern double target=20; // target in dollars
extern bool stoptradingaftertarget=false;// stop trading once target is reached
bool closeoncross=false; // close on opposite cross
bool closeifprofit=false; // close only if profit
extern bool timeout=false; // close "exit minutes" after order open time
extern double exitminutes=240; // exit minutes

extern string entrylogics="Entry Logics";

extern int entrymode=0; // 0=close-open, 1=gap, 2=direction, 3=price difference
extern string symbol1="EURUSD"; // symbol 1
extern string symbol2="USDCHF"; // symbol 2
extern string direction="EURCHF"; // symbol used for direction, if entrymode=2
extern int maperiod=10; // ma period for the direction
extern double difference=20; // difference in point to open trades, if entrymode=3
int shift=1; // bar to consider for the signalz

datetime t0,t1,tstart,tend,tfriday,tmonday,lastbuyopentime, lastsellopentime,time,prevtime,lastopentime1,lasto pentime2,lasttime,
buyhistopentime1,sellhistopentime1,buyhistopentime 2,sellhistopentime2,buyopentime1,sellopentime1,buy opentime2,sellopentime2;
int i,bc=-1,cnt,tpb,tps,tries=100,lastorder,buyorderprofit,s ellorderprofit,lotsize;
int nstarthour,nendhour,nfridayhour,nmondayhour,number ,ticket,number2,ticket2,gmtshift,tradetime,lasttyp e,total,delay;
string istarthour,istartminute,iendhour,iendminute,ifrida yhour,ifridayminute,imondayhour,imondayminute,isym bol1,isymbol2,status,ltype,signal;
double cb,sl,tp,ilots,lastbuylot,lastselllot,lastlot,last profit,mlots,win[14],sum[14],array[15],totalprofit,oldprofit;
double lastbuyopenprice,lastsellopenprice,lastbuyprofit,l astsellprofit,tradeprofit,factor1,factor2;
double stoploss=0,takeprofit=0,slippage=100;
bool closebasket=false,targetreached=false,stoptrading= false;

double pt,mt;
int dg;

datetime time0;
datetime daterewritten;
string date;
string time;
double open;
double high;
double low;
double close;
double volume;

int init(){

//+----------------------------------------------------------------------------+
//| First bar |
//+----------------------------------------------------------------------------+

prevtime=Time[0];

//+----------------------------------------------------------------------------+
//| Auto magic |
//+----------------------------------------------------------------------------+

if(automagic){
string s1cur1=StringSubstr(symbol1,0,3);
string s1cur2=StringSubstr(symbol1,3,3);
string s2cur1=StringSubstr(symbol2,0,3);
string s2cur2=StringSubstr(symbol2,3,3);
string strmagic1=0;
string strmagic2=0;
string strmagic3=0;
string strmagic4=0;

if(s1cur1=="EUR")strmagic1=1;if(s2cur1=="EUR")strm agic3=1;
if(s1cur1=="GBP")strmagic1=2;if(s2cur1=="GBP")strm agic3=2;
if(s1cur1=="USD")strmagic1=3;if(s2cur1=="USD")strm agic3=3;
if(s1cur1=="AUD")strmagic1=4;if(s2cur1=="AUD")strm agic3=4;
if(s1cur1=="CHF")strmagic1=5;if(s2cur1=="CHF")strm agic3=5;
if(s1cur1=="CAD")strmagic1=6;if(s2cur1=="CAD")strm agic3=6;
if(s1cur1=="JPY")strmagic1=7;if(s2cur1=="JPY")strm agic3=7;
if(s1cur1=="NZD")strmagic1=8;if(s2cur1=="NZD")strm agic3=8;
if(s1cur2=="EUR")strmagic2=1;if(s2cur2=="EUR")strm agic4=1;
if(s1cur2=="GBP")strmagic2=2;if(s2cur2=="GBP")strm agic4=2;
if(s1cur2=="USD")strmagic2=3;if(s2cur2=="USD")strm agic4=3;
if(s1cur2=="AUD")strmagic2=4;if(s2cur2=="AUD")strm agic4=4;
if(s1cur2=="CHF")strmagic2=5;if(s2cur2=="CHF")strm agic4=5;
if(s1cur2=="CAD")strmagic2=6;if(s2cur2=="CAD")strm agic4=6;
if(s1cur2=="JPY")strmagic2=7;if(s2cur2=="JPY")strm agic4=7;
if(s1cur2=="NZD")strmagic2=8;if(s2cur2=="NZD")strm agic4=8;

string strautomagic=StringConcatenate(strmagic1,strmagic2 ,strmagic3,strmagic4);
magic=StrToInteger(strautomagic);
}

//+----------------------------------------------------------------------------+
//| Factor |
//+----------------------------------------------------------------------------+

if(factor(symbol1)>factor(symbol2)){
factor1=1;
factor2=factor(symbol1)/factor(symbol2);
}
if(factor(symbol2)>factor(symbol1)){
factor1=factor(symbol2)/factor(symbol1);
factor2=1;
}
if(factor(symbol1)==factor(symbol2)){
factor1=1;
factor2=1;
}
t0=Time[0];
t1=Time[0];
dg=Digits;
if(dg==3 || dg==5){pt=Point*10;mt=10;}else{pt=Point;mt=1;}
if(minlot>=1){lotsize=100000;}
if(minlot<1){lotsize=10000;}
if(minlot<0.1){lotsize=1000;}
return(0);
}

int start(){

int handle;
string filename="USDCHF.csv";

handle=FileOpen(filename,FILE_READ|FILE_CSV,",");
if(handle==-1 || FileSize(handle)==0)return;

if(handle<0){
if(GetLastError()==4103){
Alert("No file named ",filename);
}
else{
Alert("Error while opening file ",filename);
return;
}
}

if(time0!=Time[0]){
while(!FileIsEnding(handle)){
if(Time[1]==daterewritten)break;
date=FileReadString(handle,10);
time=FileReadString(handle,5);
open=FileReadNumber(handle);
high=FileReadNumber(handle);
low=FileReadNumber(handle);
close=FileReadNumber(handle);
volume=FileReadNumber(handle);
daterewritten=StrToTime(date+" "+time);
}
time0=Time[0];
}

if(handle!=-1)FileClose(handle);

Comment(
"\ndate = "+date,
"\ntime = "+time,
"\nopen = "+DoubleToStr(open,5),
"\nhigh = "+DoubleToStr(high,5),
"\nlow = "+DoubleToStr(low,5),
"\nclose = "+DoubleToStr(close,5),
"\nvolume = "+DoubleToStr(volume,0),
"\ndaterewritten = "+DoubleToStr(daterewritten,0),
"\ncurrenttime = "+DoubleToStr(Time[1],0));
//+----------------------------------------------------------------------------+
/

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