forex-scalping.com

Code: Select all

//+------------------------------------------------------------------+
//|                                             VWAP_MACD_Scalper.mq4|
//|                          VWAP + MACD On-Chart Arrow Scalping Tool|
//+------------------------------------------------------------------+
#property copyright "Free Open Source"
#property link      ""
#property version   "1.00"
#property indicator_chart_window
#property indicator_buffers 3
#property indicator_color1  clrBlue
#property indicator_color2  clrLime
#property indicator_color3  clrRed
#property indicator_width1  1
#property indicator_width2  2
#property indicator_width3  2

//--- Input Parameters
input int      InpFastEMA   = 6;          // MACD Fast EMA
input int      InpSlowEMA   = 13;         // MACD Slow EMA
input int      InpSignalSMA = 5;          // MACD Signal SMA
input ENUM_APPLIED_PRICE InpPrice = PRICE_CLOSE; // MACD Applied Price

//--- Indicator Buffers
double         VwapBuffer[];
double         BuyArrowBuffer[];
double         SellArrowBuffer[];

//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit()
{
    SetIndexBuffer(0, VwapBuffer);
    SetIndexStyle(0, DRAW_LINE);
    SetIndexLabel(0, "Daily VWAP");
    
    SetIndexBuffer(1, BuyArrowBuffer);
    SetIndexStyle(1, DRAW_ARROW);
    SetIndexArrow(1, 233); // Up arrow
    SetIndexLabel(1, "Buy Signal");
    SetIndexEmptyValue(1, 0.0);
    
    SetIndexBuffer(2, SellArrowBuffer);
    SetIndexStyle(2, DRAW_ARROW);
    SetIndexArrow(2, 234); // Down arrow
    SetIndexLabel(2, "Sell Signal");
    SetIndexEmptyValue(2, 0.0);
    
    return(INIT_SUCCEEDED);
}

//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
                const int prev_calculated,
                const datetime &time[],
                const double &open[],
                const double &high[],
                const double &low[],
                const double &close[],
                const long &tick_volume[],
                const long &volume[],
                const int &spread[])
{
    if(rates_total < InpSlowEMA) return(0);
    
    int limit = rates_total - prev_calculated;
    if(prev_calculated > 0) limit++;
    else limit = rates_total - 1;
    
    double cumVolume = 0;
    double cumTypPriceVol = 0;
    int currentDay = -1;
    
    // Calculate from oldest to newest
    for(int i = limit; i >= 0; i--)
    {
        int barDay = TimeDay(time[i]);
        
        // Reset VWAP at the start of a new daily session
        if(barDay != currentDay)
        {
            cumVolume = 0;
            cumTypPriceVol = 0;
            currentDay = barDay;
        }
        
        double typPrice = (high[i] + low[i] + close[i]) / 3.0;
        double vol = (double)tick_volume[i];
        if(vol == 0) vol = 1; // Prevent division by zero
        
        cumVolume += vol;
        cumTypPriceVol += typPrice * vol;
        
        VwapBuffer[i] = cumTypPriceVol / cumVolume;
        
        // Clear previous signals
        BuyArrowBuffer[i] = 0.0;
        SellArrowBuffer[i] = 0.0;
        
        // Evaluate MACD Crossover on completed bars (avoid intrabar repainting)
        if(i < rates_total - 1)
        {
            double macdCurrent  = iMACD(NULL, 0, InpFastEMA, InpSlowEMA, InpSignalSMA, InpPrice, MODE_MAIN, i);
            double sigCurrent   = iMACD(NULL, 0, InpFastEMA, InpSlowEMA, InpSignalSMA, InpPrice, MODE_SIGNAL, i);
            double macdPrevious = iMACD(NULL, 0, InpFastEMA, InpSlowEMA, InpSignalSMA, InpPrice, MODE_MAIN, i+1);
            double sigPrevious  = iMACD(NULL, 0, InpFastEMA, InpSlowEMA, InpSignalSMA, InpPrice, MODE_SIGNAL, i+1);
            
            // Long Condition: Price > VWAP and MACD crosses above Signal
            if(close[i] > VwapBuffer[i] && macdPrevious <= sigPrevious && macdCurrent > sigCurrent)
            {
                BuyArrowBuffer[i] = low[i] - (10 * Point);
            }
            // Short Condition: Price < VWAP and MACD crosses below Signal
            else if(close[i] < VwapBuffer[i] && macdPrevious >= sigPrevious && macdCurrent < sigCurrent)
            {
                SellArrowBuffer[i] = high[i] + (10 * Point);
            }
        }
    }
    
    return(rates_total);
}

Code: Select all

//+------------------------------------------------------------------+
//|                                             VWAP_MACD_Scalper.mq5|
//|                          VWAP + MACD On-Chart Arrow Scalping Tool|
//+------------------------------------------------------------------+
#property copyright "Free Open Source"
#property link      ""
#property version   "1.00"
#property indicator_chart_window
#property indicator_buffers 3
#property indicator_plots   3

//--- Plot 1: VWAP Line
#property indicator_label1  "Daily VWAP"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrDodgerBlue
#property indicator_style1  STYLE_SOLID
#property indicator_width1  1

//--- Plot 2: Buy Arrow
#property indicator_label2  "Buy Signal"
#property indicator_type2   DRAW_ARROW
#property indicator_color2  clrLime
#property indicator_width2  2

//--- Plot 3: Sell Arrow
#property indicator_label3  "Sell Signal"
#property indicator_type3   DRAW_ARROW
#property indicator_color3  clrRed
#property indicator_width3  2

//--- Input Parameters
input int      InpFastEMA   = 6;          // MACD Fast EMA
input int      InpSlowEMA   = 13;         // MACD Slow EMA
input int      InpSignalSMA = 5;          // MACD Signal SMA
input ENUM_APPLIED_PRICE InpPrice = PRICE_CLOSE; // Applied Price

//--- Indicator Buffers
double         VwapBuffer[];
double         BuyArrowBuffer[];
double         SellArrowBuffer[];

//--- Global Variables
int            g_macdHandle;

//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit()
{
    SetIndexBuffer(0, VwapBuffer, INDICATOR_DATA);
    SetIndexBuffer(1, BuyArrowBuffer, INDICATOR_DATA);
    SetIndexBuffer(2, SellArrowBuffer, INDICATOR_DATA);
    
    PlotIndexSetInteger(1, PLOT_ARROW, 233);
    PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, 0.0);
    
    PlotIndexSetInteger(2, PLOT_ARROW, 234);
    PlotIndexSetDouble(2, PLOT_EMPTY_VALUE, 0.0);
    
    g_macdHandle = iMACD(_Symbol, _Period, InpFastEMA, InpSlowEMA, InpSignalSMA, InpPrice);
    if(g_macdHandle == INVALID_HANDLE)
    {
        Print("Failed to create MACD handle.");
        return(INIT_FAILED);
    }
    
    return(INIT_SUCCEEDED);
}

//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
                const int prev_calculated,
                const datetime &time[],
                const double &open[],
                const double &high[],
                const double &low[],
                const double &close[],
                const long &tick_volume[],
                const long &volume[],
                const int &spread[])
{
    if(rates_total < InpSlowEMA) return(0);
    
    int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
    
    double macdMain[], macdSignal[];
    ArraySetAsSeries(macdMain, false);
    ArraySetAsSeries(macdSignal, false);
    
    if(CopyBuffer(g_macdHandle, 0, 0, rates_total, macdMain) <= 0) return(0);
    if(CopyBuffer(g_macdHandle, 1, 0, rates_total, macdSignal) <= 0) return(0);
    
    static double cumVolume = 0;
    static double cumTypPriceVol = 0;
    static int currentDay = -1;
    
    for(int i = start; i < rates_total; i++)
    {
        MqlDateTime dt;
        TimeToStruct(time[i], dt);
        
        if(dt.day != currentDay)
        {
            cumVolume = 0;
            cumTypPriceVol = 0;
            currentDay = dt.day;
        }
        
        double typPrice = (high[i] + low[i] + close[i]) / 3.0;
        double vol = (volume[i] > 0) ? (double)volume[i] : (double)tick_volume[i];
        if(vol == 0) vol = 1.0;
        
        cumVolume += vol;
        cumTypPriceVol += typPrice * vol;
        
        VwapBuffer[i] = cumTypPriceVol / cumVolume;
        
        BuyArrowBuffer[i] = 0.0;
        SellArrowBuffer[i] = 0.0;
        
        if(i > 0)
        {
            double point = SymbolInfoDouble(_Symbol, SYMBOL_POINT);
            
            // Long Trigger
            if(close[i] > VwapBuffer[i] && macdMain[i-1] <= macdSignal[i-1] && macdMain[i] > macdSignal[i])
            {
                BuyArrowBuffer[i] = low[i] - (10 * point);
            }
            // Short Trigger
            else if(close[i] < VwapBuffer[i] && macdMain[i-1] >= macdSignal[i-1] && macdMain[i] < macdSignal[i])
            {
                SellArrowBuffer[i] = high[i] + (10 * point);
            }
        }
    }
    
    return(rates_total);
}

Code: Select all

using System;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;

namespace cAlgo
{
    [Indicator(IsOverlay = true, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class VwapMacdScalper : Indicator
    {
        [Parameter("Fast EMA", DefaultValue = 6, Group = "MACD Settings")]
        public int FastEma { get; set; }

        [Parameter("Slow EMA", DefaultValue = 13, Group = "MACD Settings")]
        public int SlowEma { get; set; }

        [Parameter("Signal SMA", DefaultValue = 5, Group = "MACD Settings")]
        public int SignalSma { get; set; }

        [Output("Daily VWAP", LineColor = "DodgerBlue", Thickness = 1, PlotType = PlotType.Line)]
        public IndicatorDataSeries VwapLine { get; set; }

        [Output("Buy Signal", LineColor = "Lime", PlotType = PlotType.Points, Thickness = 5)]
        public IndicatorDataSeries BuySignals { get; set; }

        [Output("Sell Signal", LineColor = "Red", PlotType = PlotType.Points, Thickness = 5)]
        public IndicatorDataSeries SellSignals { get; set; }

        private MacdCrossOver _macd;
        private double _cumVolume;
        private double _cumTypPriceVol;
        private int _currentDay = -1;

        protected override void OnStart()
        {
            // Initialize the built-in MACD Crossover indicator
            _macd = Indicators.MacdCrossOver(Bars.ClosePrices, FastEma, SlowEma, SignalSma);
        }

        public override void Calculate(int index)
        {
            if (index < SlowEma) return;

            // Check if a new daily session has started (in UTC)
            int barDay = Bars.OpenTimes[index].Day;
            if (barDay != _currentDay)
            {
                _cumVolume = 0;
                _cumTypPriceVol = 0;
                _currentDay = barDay;
            }

            // Calculate Typical Price and Volume
            double typicalPrice = (Bars.HighPrices[index] + Bars.LowPrices[index] + Bars.ClosePrices[index]) / 3.0;
            double volume = Bars.TickVolumes[index];
            if (volume == 0) volume = 1;

            _cumVolume += volume;
            _cumTypPriceVol += typicalPrice * volume;

            // Assign VWAP output
            VwapLine[index] = _cumTypPriceVol / _cumVolume;

            // Ensure we check previous bar crossover to prevent intrabar repainting
            if (index < 1) return;

            bool macdCrossedAbove = _macd.MACD[index] > _macd.Signal[index] && _macd.MACD[index - 1] <= _macd.Signal[index - 1];
            bool macdCrossedBelow = _macd.MACD[index] < _macd.Signal[index] && _macd.MACD[index - 1] >= _macd.Signal[index - 1];

            double pipSize = Symbol.PipSize;

            // Long Condition: Price above VWAP + MACD Bullish Cross
            if (Bars.ClosePrices[index] > VwapLine[index] && macdCrossedAbove)
            {
                BuySignals[index] = Bars.LowPrices[index] - (2 * pipSize);
                Chart.DrawIcon("BuyArrow_" + index, ChartIconType.UpArrow, index, BuySignals[index], Color.Lime);
            }
            // Short Condition: Price below VWAP + MACD Bearish Cross
            else if (Bars.ClosePrices[index] < VwapLine[index] && macdCrossedBelow)
            {
                SellSignals[index] = Bars.HighPrices[index] + (2 * pipSize);
                Chart.DrawIcon("SellArrow_" + index, ChartIconType.DownArrow, index, SellSignals[index], Color.Red);
            }
        }
    }
}