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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:

  1. Download MFLLAPI.dll and MFLL_MC.pla
  2. Put .dll in C:\Program Files\TS Support\MultiCharts64
  3. Click .pla to import PL/EL-wrapped APIs for use
  4. 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.

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Use fuzzy logic control with PL/EL in MultiCharts

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