MultiCharts Fuzzy Logic Library (MFLL)
Extended from C/C++ library of FFLL, MFLL allows you to apply fuzzy control engine for your trading strategy design in MultiCharts. You will write Fuzzy Control Language (FCL) with PL/EL during strategy development.
How to use MFLL?
Go to Installation folder, then follow the instructions as below:
- Download
MFLLAPI.dllandMFLL_MC.pla - Put .dll in
C:\Program Files\TS Support\MultiCharts64 - Click
.plato import PL/EL-wrapped APIs for use - Done. Get started with MFLL.
You also can download the source codes and compile MFLLAPI.dll yourself to be compatiable with your MultiCharts.
Write FCL Directly in PL/EL
Multi-API Formation
vars: fcl("");
fcl = Text(
"FUNCTION_BLOCK", NewLine,
NewLine,
"VAR_INPUT", NewLine,
"RSI REAL; (* RANGE(0 .. 100) *)", NewLine,
"Bias REAL; (* RANGE(-100 .. 100) *)", NewLine,
"END_VAR", NewLine,
NewLine,
"VAR_OUTPUT", NewLine,
"Action REAL; (* RANGE(-2 .. 2) *)", NewLine,
"END_VAR", NewLine,
NewLine,
"FUZZIFY RSI", NewLine,
"TERM Small := (0, 0) (0, 1) (50, 0) ;", NewLine,
"TERM Middle := (10, 0) (50, 1) (70, 0) ;", NewLine,
"TERM Large := (30, 0) (100, 1) (100, 0) ;", NewLine,
"END_FUZZIFY", NewLine,
NewLine,
"FUZZIFY Bias", NewLine,
"TERM Negative := (-100, 0) (-100, 1) (50, 0) ;", NewLine,
"TERM Zero := (-80, 0) (-35, 1) (5, 1) (50, 0) ;", NewLine,
"TERM Positive := (-50, 0) (100, 1) (100, 0) ;", NewLine,
"END_FUZZIFY", NewLine,
NewLine,
"FUZZIFY Action", NewLine,
"TERM Short := -1 ;", NewLine,
"TERM Neutral := 0 ;", NewLine,
"TERM Long := 1 ;", NewLine,
"END_FUZZIFY", NewLine,
NewLine,
"DEFUZZIFY valve", NewLine,
"METHOD: MoM;", NewLine,
"END_DEFUZZIFY", NewLine,
NewLine,
"RULEBLOCK first", NewLine,
"AND:MIN;", NewLine,
"ACCUM:MAX;", NewLine,
"RULE 0: IF Large AND Positive THEN Long;", NewLine,
"RULE 1: IF Large AND Zero THEN Long;", NewLine,
"RULE 2: IF Large AND Negative THEN Long ;", NewLine,
"RULE 3: IF Middle AND Positive THEN Long ;", NewLine,
"RULE 4: IF Middle AND Zero THEN Long ;", NewLine,
"RULE 5: IF Middle AND Negative THEN Short ;", NewLine,
"RULE 6: IF Small AND Positive THEN Neutral;", NewLine,
"RULE 7: IF Small AND Zero THEN Short ;", NewLine,
"RULE 8: IF Small AND Negative THEN Short ;", NewLine,
"END_RULEBLOCK", NewLine,
NewLine,
"END_FUNCTION_BLOCK", NewLine
);
{ Configure Fuzzy Control Engine }
vars: model(-1), child(-1);
if model = -1 then begin
model = MFLLNewModel();
MFLLLoadFCLString(model, fcl);
child = MFLLNewChild(model);
end;
MFLLSetValue(model,child,0, RSI(C,14)); // input RSI indicator (built-in)
MFLLSetValue(model,child,1, Bias(C,30)); // input Bias indicator (custom)
{ Trading Signal }
vars: Action(0);
Action = MFLLGetOutputValue(model,child);
if MP <> 1 and Action = 1 then buy ("fuzzy-LE") next bar at market;
if MP <>-1 and Action =-1 then sellshort ("fuzzy-SE") next bar at market;
if Action = 0 then begin
if MP > 0 then sell ("fuzzy-LX") next bar at market;
if MP < 0 then buytocover ("fuzzy-SX") next bar at market;
end;Single-API Formation
vars: fcl("");
fcl = Text(
"FUNCTION_BLOCK", NewLine,
NewLine,
"VAR_INPUT", NewLine,
"RSI REAL; (* RANGE(0 .. 100) *)", NewLine,
"Bias REAL; (* RANGE(-100 .. 100) *)", NewLine,
"END_VAR", NewLine,
NewLine,
"VAR_OUTPUT", NewLine,
"Action REAL; (* RANGE(-2 .. 2) *)", NewLine,
"END_VAR", NewLine,
NewLine,
"FUZZIFY RSI", NewLine,
"TERM Small := (0, 0) (0, 1) (50, 0) ;", NewLine,
"TERM Middle := (10, 0) (50, 1) (70, 0) ;", NewLine,
"TERM Large := (30, 0) (100, 1) (100, 0) ;", NewLine,
"END_FUZZIFY", NewLine,
NewLine,
"FUZZIFY Bias", NewLine,
"TERM Negative := (-100, 0) (-100, 1) (50, 0) ;", NewLine,
"TERM Zero := (-80, 0) (-35, 1) (5, 1) (50, 0) ;", NewLine,
"TERM Positive := (-50, 0) (100, 1) (100, 0) ;", NewLine,
"END_FUZZIFY", NewLine,
NewLine,
"FUZZIFY Action", NewLine,
"TERM Short := -1 ;", NewLine,
"TERM Neutral := 0 ;", NewLine,
"TERM Long := 1 ;", NewLine,
"END_FUZZIFY", NewLine,
NewLine,
"DEFUZZIFY valve", NewLine,
"METHOD: MoM;", NewLine,
"END_DEFUZZIFY", NewLine,
NewLine,
"RULEBLOCK first", NewLine,
"AND:MIN;", NewLine,
"ACCUM:MAX;", NewLine,
"RULE 0: IF Large AND Positive THEN Long;", NewLine,
"RULE 1: IF Large AND Zero THEN Long;", NewLine,
"RULE 2: IF Large AND Negative THEN Long ;", NewLine,
"RULE 3: IF Middle AND Positive THEN Long ;", NewLine,
"RULE 4: IF Middle AND Zero THEN Long ;", NewLine,
"RULE 5: IF Middle AND Negative THEN Short ;", NewLine,
"RULE 6: IF Small AND Positive THEN Neutral;", NewLine,
"RULE 7: IF Small AND Zero THEN Short ;", NewLine,
"RULE 8: IF Small AND Negative THEN Short ;", NewLine,
"END_RULEBLOCK", NewLine,
NewLine,
"END_FUNCTION_BLOCK", NewLine
);
Array: double FuzzyInputs[2](0.0);
FuzzyInputs[0] = RSI(C,14); // input RSI indicator (built-in)
FuzzyInputs[1] = Bias(C,30); // input Bias indicator (custom)
{ Trading Signal }
vars: Action(0);
Action = MFLLFuzzyInference(fcl, FuzzyInputs);
if MP <> 1 and Action = 1 then buy ("fuzzy-LE") next bar at market;
if MP <>-1 and Action =-1 then sellshort ("fuzzy-SE") next bar at market;
if Action = 0 then begin
if MP > 0 then sell ("fuzzy-LX") next bar at market;
if MP < 0 then buytocover ("fuzzy-SX") next bar at market;
end;
Load FCL file into PL/EL
Multi-API Formation
{ Configure Fuzzy Control Engine }
vars: model(-1), child(-1);
if model = -1 then begin
model = MFLLNewModel();
MFLLLoadFCLFile(model, "PATH\TO\FCL_FILE");
child = MFLLNewChild(model);
end;
MFLLSetValue(model,child,0, RSI(C,14)); // input RSI indicator (built-in)
MFLLSetValue(model,child,1, Bias(C,30)); // input Bias indicator (custom)
{ Trading Signal }
vars: Action(0);
Action = MFLLGetOutputValue(model,child);
if MP <> 1 and Action = 1 then buy ("fuzzy-LE") next bar at market;
if MP <>-1 and Action =-1 then sellshort ("fuzzy-SE") next bar at market;
if Action = 0 then begin
if MP > 0 then sell ("fuzzy-LX") next bar at market;
if MP < 0 then buytocover ("fuzzy-SX") next bar at market;
end;Single-API Formation
Array: double FuzzyInputs[2](0.0);
FuzzyInputs[0] = RSI(C,14); // input RSI indicator (built-in)
FuzzyInputs[1] = Bias(C,30); // input Bias indicator (custom)
{ Trading Signal }
vars: Action(0);
Action = MFLLFuzzyInferenceByFile("PATH\TO\FCL_FILE", FuzzyInputs);
if MP <> 1 and Action = 1 then buy ("fuzzy-LE") next bar at market;
if MP <>-1 and Action =-1 then sellshort ("fuzzy-SE") next bar at market;
if Action = 0 then begin
if MP > 0 then sell ("fuzzy-LX") next bar at market;
if MP < 0 then buytocover ("fuzzy-SX") next bar at market;
end;see Examples folder to find an example of rsi-and-bias.fcl for FCL_FILE that's just a text file written in FCL.
Copyright
© 2019-present Ming-Kai Jiau.