//+------------------------------------------------------------------+

//| GrailExpertMAV1.0.mq4 |
//| Copyright © 2006, systrad5 |
//| 17/09/06 |
//| Feedback or comments welcome at systrad5@yahoo.com |
//+------------------------------------------------------------------+
// You may get profitable experts in backtests if orders are
// filled and exited in the same bar. This is usually an error due
// to the limitations of backtesting on data with longer timeframes
// than the trading strategy.
// Backtest results will always be unreliable if an order is
// filled and exited on the same bar unless the entry is on the
// open or the exit on the close. This is because it is impossible
// to tell the price action within the bar. A backtest will make an
// estimation of what happened during the bar. At times the
// estimation may result in a fill at a price that is estimated to
// occur before the exit but in realty occured after. This can
// result in fills at impossible prices, especially when the market
// moves quickly in one direction. Some strategies will
// inadvertently exploit these impossible prices to produce
// impossible results.
// You can end up with an expert that appears to be extremely
// profitable in backtests but will lose a bundle in real trading
// (well I think it will), as the attached expert will. Try it on
// EURUSD 1H timeframe.
// The only way to have reliable backtests off bar data is to
// either enter on the open or exit on the close. It is certain
// when these two points happened so the order of the price action
// will always be correct. It also makes it certain that the expert
// does not inadvertenlty open and close an order on the same bar
// (such as with a Stop Loss Exit).
// As you can guess I wouldn't recommend this expert be used for
// real....

#define MAGICGRAIL 20050917

//---- input parameters
extern double TakeProfit = 20.0;
extern double StopLoss = 50.0;
extern double Lots = 0.1;
extern int HLPeriod = 6;
extern int MAPeriod = 14;
extern int MASlope = 2;
extern int TgtThreshold = 5;
//---- Globals & Buffers
double Threshold, HEntry = 0, LEntry = 0, PrevHigh, PrevLow, Spread;
double MA1,MA2;
int MADir;
datetime prevtime = 0; //Used to determine opening bar
//+------------------------------------------------------------------+
//| Start function |
//+------------------------------------------------------------------+
void start()
{
int Dir;
Threshold = TgtThreshold * Point;
//---- Calc Buffers
if(prevtime == Time[0])
{
// IntraBar Tick
 // Determine if H[0] or L[0] over previous
if(Low[0] < PrevLow)
{
LEntry = Low[0] + Threshold + (TakeProfit * Point);
Spread = PrevHigh - Low[0];
if (Spread < (2 * Threshold) + (TakeProfit * Point)) LEntry = 0;
}
//----
if(High[0] > PrevHigh)
{
HEntry = High[0] - Threshold - (TakeProfit * Point);
Spread = High[0] - PrevLow;
if(Spread < (2 * Threshold) + (TakeProfit * Point))
HEntry = 0;
}
// Check to see if price has broken entry barrier
Dir = 0;
//----
if(Ask < HEntry && HEntry != 0 && MADir ==1)
Dir = 1;
//----
if(Bid > LEntry && LEntry != 0 && MADir ==-1)
Dir = -1;
}
else
{
// Calc MA
MA1 = iMA(NULL, 0, MAPeriod, 0, MODE_EMA, PRICE_TYPICAL, 1);
MA2 = iMA(NULL, 0, MAPeriod, 0, MODE_EMA, PRICE_TYPICAL, 2);
if(MA1 > MA2 + (MASlope*Point))
MADir = 1;
else
{
if (MA1 < MA2 - (MASlope*Point))
MADir = -1;
else
MADir = 0;
}
// Find High & Low of previous x Bars
PrevHigh = High[Highest(NULL, 0, MODE_HIGH, HLPeriod, 1)];
PrevLow = Low[Lowest(NULL, 0, MODE_LOW, HLPeriod, 1)];
if(HEntry + Threshold + (TakeProfit * Point) > PrevHigh)
HEntry = 0;
if(LEntry - Threshold - (TakeProfit * Point) < PrevLow)
LEntry = 0;
}
//---- calculate open orders by current symbol
if(CalculateCurrentOrders(Symbol()) == 0)
CheckForOpen(Dir);
else
{
HEntry = 0;
LEntry = 0;
}
//----- reset time
prevtime = Time[0];
//----
}
//+------------------------------------------------------------------+
//| Calculate open positions |
//+------------------------------------------------------------------+
int CalculateCurrentOrders(string symbol)
{
int buys = 0, sells = 0;
//----
for(int i = 0; i < OrdersTotal(); i++)
{
if(OrderSelect(i, SELECT_BY_POS, MODE_TRADES) == false)
break;
if(OrderSymbol() == Symbol() && OrderMagicNumber() == MAGICGRAIL)
{
if(OrderType() == OP_BUY)
buys++;
if(OrderType() == OP_SELL)
sells++;
}
}
//---- return orders volume
if(buys > 0)
return(buys);
else
return(-sells);
}
//+------------------------------------------------------------------+
//| Check for open order conditions |
//+------------------------------------------------------------------+
void CheckForOpen(int Dir)
{
int ticket;

//---- sell conditions

if(Dir == -1)
{
ticket = OrderSend(Symbol(), OP_SELL, Lots, Bid, 0, Bid + StopLoss*Point,
Bid - TakeProfit*Point, "Grail 1.0: Sell", MAGICGRAIL, 0,
Red);
if(ticket < 1)
Print("Error opening SELL order : ", GetLastError());
return;
}
//---- buy conditions
if(Dir == 1)
{
ticket = OrderSend(Symbol(), OP_BUY, Lots, Ask, 0, Ask - StopLoss*Point,
Ask + TakeProfit*Point, "Grail 1.0: Buy", MAGICGRAIL, 0,
Blue);
if(ticket<1) Print("Error opening BUY order : ", GetLastError());
return;
}
//----
}
//+------------------------------------------------------------------+