MT4平台上mql4实现的基于macd指标的智能交易EA

提示：扫一扫查出行
【扫一扫了解最新限行尾号】
复制提示

屌丝命苦，拼爹拼不过，拼后台没有，技术宅一枚，情商有问题，不会见人说人话见鬼说鬼话，所以在国庆熬着混着，工作也没啥大起色，想想就郁闷，难不成一辈子就只能这样了？

苦思冥想，想得一条路，那就是程序化交易--现在程序化交易正有越来越火的趋势，国外已经程序化了很久，国内各大交易所也正在半掩半遮的开展，卷商、私人公司陆陆续续都在开展，心水啊，想着先研究研究，熟了之后也是碗饭啊，不行就靠着给人写策略也能吃口饭不至于饿死吧，想想还有点小鸡冻啊。

说干就干啊，原来做过外汇的模拟盘，用过MT4软件，软件自带MQL4语言，程序化已经支持的非常好了，还带有例子，还有高大上的名字叫EA，于是咱也高大上了一把，这年头都得将B格嘛。另外，选择外汇是因为外汇受认为操控的可能性比较小，外汇交易每天几万亿美元，不是个人能左右的了的。外汇里面，EUR/USD又是流通量最大的，所以就选择这个汇对。

废话了一大堆，直接在例子上改，开始是基于均线的MASample，运行了几个礼拜，不是很好，又在MACDSample上改了改，运行了个把月，基本上盈亏平衡，也算是个好开端吧。下面就是我该的macdSample的代码。

MQL4是一个类似c的语言，很多都可以按照c的逻辑来写。我定义的一些全局变量

input double TakeProfit =1000;
input double Lots =0.1;
input double TrailingStop =150;
input double MACDOpenLevel =5;
input double MACDCloseLevel=3;
input int MATrendPeriod =60;
input int MATrendPeriodFast =26;
input double MaximumRisk =0.08;
input double DecreaseFactor=3;
input int CheckPeriod = 36;

根据历史盈亏状况改变下单数量的函数，思路是：在最大下单数量的基础上*风险系数，如果有损失，损失次数/3,直到最小下单数量。不过最近也没用这个函数，主要是函数总是在几次损失后下最小的数量单子，但是行情总是在几次震荡才启动，所以总是错失良机，现在基本上都是下固定数量。

//+------------------------------------------------------------------+
//| Calculate optimal lot size |
//+------------------------------------------------------------------+
double LotsOptimized()
{
double lot=Lots;
int orders=HistoryTotal(); // history orders total
int losses=0; // number of losses orders without a break
Print("value of Lots:",lot);
//--- select lot size
lot=NormalizeDouble(AccountFreeMargin()*MaximumRisk/1000.0,1);
//--- calcuulate number of losses orders without a break
if(DecreaseFactor>0)
{
for(int i=orders-1;i>=0;i--)
{
if(OrderSelect(i,SELECT_BY_POS,MODE_HISTORY)==false)
{
Print("Error in history!");
break;
}
if(OrderSymbol()!=Symbol() || OrderType()>OP_SELL)
continue;
//---
if(OrderProfit()>0) break;
if(OrderProfit()<0) losses++;
}
if(losses>1)
lot=NormalizeDouble(lot-lot*losses/DecreaseFactor,1);
}
//--- return lot size
if(lot<0.1) lot=0.1;
Print("lot:",lot);
return(lot);
}

下面的函数是判断盘整行情的，主要是因为往往美国收市后，整个市场就波动很小了，等待第二天才会开始新一轮行情。

//判断从第i个行情之前的一段时间内存在盘整行情
//盘整行情的定义：行情波动不大
bool hasConsolidation(int i)
{ double macd;
int count,j;
for(j=0;j<2*CheckPeriod;j++)
{
macd=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,i+j);
if(MathAbs(macd)<=(MACDOpenLevel*Point))
{
count=count+1;
if(count>=CheckPeriod)
{
Print("isConsolidation:",2*CheckPeriod,"个周期内有连续半数以上波动过小");
return true;
}
}else{
count = 0;
}
}
return false;
}

MACD的基础理论来了，金叉和死叉的应用（关于MACD以及金叉死叉，这里不解释，请各位自行百度或者知乎），我这里判断一段时间内是否有金叉或者死叉，太长时间也没啥意义，我主要是基于5分钟线做日内交易。

//检查一小时内是否有金叉
bool CheckForGoldInHour()
{
double MacdCurrent,MacdPre,SignalCurrent,SignalPre;
for(int i=0;i<CheckPeriod;i++)
{
MacdCurrent=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,i);
MacdPre=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,i+1);
SignalCurrent=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,i);
SignalPre=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,i+1); //在0轴下的金叉
if(CheckForGold(MacdCurrent,MacdPre,SignalCurrent,SignalPre))
return true;
} return false;
} bool CheckForDeathInHour()
{
double MacdCurrent,MacdPre,SignalCurrent,SignalPre;
for(int i=0;i<CheckPeriod;i++)
{
MacdCurrent=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,i);
MacdPre=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,i+1);
SignalCurrent=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,i);
SignalPre=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,i+1); //在0轴上的死叉.
if(CheckForDeath(MacdCurrent,MacdPre,SignalCurrent,SignalPre))
return true;
} return false;
} bool CheckForGold(double MacdCurrent,double MacdPrevious,double SignalCurrent,double SignalPrevious)
{
if(MacdCurrent<0 && MacdCurrent>SignalCurrent && MacdPrevious<SignalPrevious &&
MathAbs(MacdCurrent)>(MACDOpenLevel*Point))
{
Print("在0轴下的金叉");
return true;
} return false;
} bool CheckForDeath(double MacdCurrent,double MacdPrevious,double SignalCurrent,double SignalPrevious)
{
if(MacdCurrent>0 && MacdCurrent<SignalCurrent && MacdPrevious>SignalPrevious &&
MacdCurrent>(MACDOpenLevel*Point))
{
Print("在0轴上的死叉");
return true;
} return false;
}

所有的策略最后都归结到一点，你是看多还是看空，看多，平掉空单，开多单，看空，平掉多单，开空单，简单的逻辑。

double Macd0,Macd1,Macd2;
double Signal0,Signal1,Signal2;
double Ma0,Ma1,Ma2;
double highLevel; // 看前三个macd值和signal,都是向上的，并且均线向上
bool CheckForLong()
{
Macd0=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,0);
Macd1=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,1);
Macd2=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,2); Signal0=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,0);
Signal1=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,1);
Signal2=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,2); if(Macd1>=Macd0 || Macd2>=Macd1 || Signal1>=Signal0 || Signal2>=Signal1)
{
Print("CheckForLong:macd或者signal不是向上");
return false;
} highLevel = (Macd0+Macd1+Macd2-Signal0-Signal1-Signal2)/3; if(highLevel<MACDOpenLevel*Point)//Macd0<=(Signal0+MACDOpenLevel*Point) || Macd1<=(Signal1+MACDOpenLevel*Point) || Macd2<=(Signal2+MACDOpenLevel*Point))
{
Print("CheckForLong:macd不满足开仓必须高于信号足够的量");
Print("相差",highLevel/Point,"个Point");
return false;
} //均线变动比较慢，暂时取两个
Ma0=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,0);
Ma1=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,1);
//Ma2=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,2);
if(Ma0<Ma1)// || Ma1<Ma2)
{
Print("CheckForLong:均线向下，没有向上");
return false;
} if(!CheckForGoldInHour())
{
Print("CheckForLong:有效时间内没有检测到0轴下的金叉");
if(hasConsolidation(0))
{
Print("CheckForLong:检测到盘整行情，现在已经确定走势，可以开仓。");
return true;
}
return false;
} //if(Macd0>Macd1 && Macd1>Macd2 && Signal0>Signal1 && Signal1>Signal2 &&
// Macd0>(Signal0+MACDOpenLevel*Point) && Macd1>(Signal1+MACDOpenLevel*Point) && Macd2>(Signal2+MACDOpenLevel*Point)
// && Ma0>Ma1)
//{
//检查一小时内有金叉
// if(CheckForGoldInHour())
// return true;
//} //Print("CheckForLong:long");
return true;
}

这里面加入了均线的判断，macd本质上就是依据两条不同步调（比如我选择的26日均线和60日均线）的均线，如果快的均线离慢均线越来越近，则代表行情可能结束。但是在实际情况中，经常会是，快均线在超过慢均线快速上涨之后，慢慢回落到慢均线，等于慢均线快接近的时候，又快速拉升，慢均线就像支撑线。但是如果仅仅就macd的理论，行情在两均线靠近时就已经要反转了，而这往往是错误的判断。所以macd往往要配合均线。我这里采用26日均线来判断趋势，对于看涨函数，只有在均线是向上的时候才会开仓。同理，下面的short判断也是要看均线向下才开仓。

bool CheckForShort()
{
Macd0=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,0);
Macd1=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,1);
Macd2=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,2);

Signal0=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,0);
Signal1=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,1);
Signal2=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,2);

//Ma2=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,1);

if(Macd0>=Macd1 || Macd1>=Macd2 || Signal0>=Signal1 || Signal1>=Signal2)
{
Print("CheckForShort:macd或者signal不是向下");
return false;
}

highLevel = (Signal0+Signal1+Signal2-Macd0-Macd1-Macd2)/3;

if(highLevel<MACDOpenLevel*Point)//Signal0<=(Macd0+MACDOpenLevel*Point) || Signal1<=(Macd1+MACDOpenLevel*Point) || Signal2<=(Macd2+MACDOpenLevel*Point))
{
Print("CheckForShort:macd不满足开仓必须低于信号足够的数量");
Print("相差",highLevel/Point,"个Point");
return false;
}

//均线变动比较慢
Ma0=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,0);
Ma1=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,1);
//Ma2=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,2);
if(Ma0>Ma1) //|| Ma1>Ma2)
{
Print("CheckForShort:均线向上，没有向下");
return false;
}

if(!CheckForDeathInHour())
{
Print("CheckForShort:有效时间内没有检测到0轴上的死叉");
if(hasConsolidation(0))
{
Print("CheckForShort:检测到盘整行情，现在已经确定走势，可以开仓。");
return true;
}
return false;
}

//if(Macd0<Macd1 && Macd1<Macd2 && Signal0<Signal1 && Signal1<Signal2 &&
// Signal0>(Macd0+MACDOpenLevel*Point) && Signal1>(Macd1+MACDOpenLevel*Point) && Signal2>(Macd2+MACDOpenLevel*Point)
// && Ma0<Ma1)
//{
//检查一小时内有金叉
// if(CheckForDeathInHour())
// return true;
//}

//Print("CheckForShort:not short");
return true;
}

下面就是ontick函数，相当于c语言的main函数，主要是根据多空的判断来开仓和平仓，还有就是移动止损，有点复杂，但是其实也就是一句话的事，就是采用60日均线来作为移动止损点，默认止损是120点，之后取120点和60日均线的大值（要有足够的行情波动空间）。

//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void OnTick(void)
{
//double MacdCurrent,MacdPrevious;
//double SignalCurrent,SignalPrevious;
double MaCurrent;
int cnt,ticket,total;
double stopLost;
//---
// initial data checks
// it is important to make sure that the expert works with a normal
// chart and the user did not make any mistakes setting external
// variables (Lots, StopLoss, TakeProfit,
// TrailingStop) in our case, we check TakeProfit
// on a chart of less than 100 bars
//---
if(Bars<100)
{
Print("bars less than 100");
return;
}
if(TakeProfit<10)
{
Print("TakeProfit less than 10");
return;
}
//--- to simplify the coding and speed up access data are put into internal variables
//MacdCurrent=iMACD(NULL,0,26,60,9,PRICE_CLOSE,MODE_MAIN,0);
//MacdPrevious=iMACD(NULL,0,26,60,9,PRICE_CLOSE,MODE_MAIN,1);
//SignalCurrent=iMACD(NULL,0,26,60,9,PRICE_CLOSE,MODE_SIGNAL,0);
//SignalPrevious=iMACD(NULL,0,26,60,9,PRICE_CLOSE,MODE_SIGNAL,1);
MaCurrent=iMA(NULL,0,MATrendPeriod*2,0,MODE_EMA,PRICE_CLOSE,0);
//MaPrevious=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,1); //Print("Ask:",Ask," Bid:",Bid," diff point:",(Bid-Ask)/Point); total=OrdersTotal();
if(total<1)
{
//--- no opened orders identified
if(AccountFreeMargin()<(1000*Lots))
{
Print("We have no money. Free Margin = ",AccountFreeMargin());
return;
}
//--- check for long position (BUY) possibility
if(CheckForLong())
{
ticket=OrderSend(Symbol(),OP_BUY,10,Ask,3,0,Ask+TakeProfit*Point,"macd sample",16384,0,Green);
if(ticket>0)
{
if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES))
Print("BUY order opened : ",OrderOpenPrice());
}
else
Print("Error opening BUY order : ",GetLastError());
return;
}
//--- check for short position (SELL) possibility
if(CheckForShort()) //&& MaCurrent<MaPrevious)
{
ticket=OrderSend(Symbol(),OP_SELL,10,Bid,3,0,Bid-TakeProfit*Point,"macd sample",16384,0,Red);
if(ticket>0)
{
if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES))
Print("SELL order opened : ",OrderOpenPrice());
}
else
Print("Error opening SELL order : ",GetLastError());
}
//--- exit from the "no opened orders" block
return;
}
//--- it is important to enter the market correctly, but it is more important to exit it correctly...
for(cnt=0;cnt<total;cnt++)
{
if(!OrderSelect(cnt,SELECT_BY_POS,MODE_TRADES))
continue;
if(OrderType()<=OP_SELL && // check for opened position
OrderSymbol()==Symbol()) // check for symbol
{
//--- long position is opened
if(OrderType()==OP_BUY)
{
//--- should it be closed?
if(CheckForShort())
{
//--- close order and exit
if(!OrderClose(OrderTicket(),OrderLots(),Bid,3,Violet))
Print("OrderClose error ",GetLastError());
return;
}
//--- check for trailing stop
if(TrailingStop>0)
{
if(Bid-OrderOpenPrice()>Point*TrailingStop)
{
if(OrderStopLoss()<Bid-Point*TrailingStop)
{
//当前卖价减去TrailingStop作为移动止损线
stopLost = Bid-Point*TrailingStop;
//如果移动止损值高于均线，以均线为止损线。
if(stopLost>MaCurrent)
{
stopLost = MaCurrent;
} //--- modify order and exit
if(!OrderModify(OrderTicket(),OrderOpenPrice(),stopLost,OrderTakeProfit(),0,Green))
Print("OrderModify error ",GetLastError());
return;
}
} if(Bid<OrderOpenPrice())
{ if((OrderOpenPrice()-Bid)>Point*TrailingStop)
{
if(!OrderClose(OrderTicket(),OrderLots(),Bid,3,Violet))
Print("OrderClose error ",GetLastError());
return;
} if((OrderStopLoss()<OrderOpenPrice()-Point*TrailingStop)||(OrderStopLoss()==0))
{
//--- modify order and exit
if(!OrderModify(OrderTicket(),OrderOpenPrice(),OrderOpenPrice()-Point*TrailingStop,OrderTakeProfit(),0,Green))
Print("OrderModify error ",GetLastError());
return;
}
} }
}
else // go to short position
{
//--- should it be closed?
if(CheckForLong())
{
//--- close order and exit
if(!OrderClose(OrderTicket(),OrderLots(),Ask,3,Violet))
Print("OrderClose error ",GetLastError());
return;
}
//--- check for trailing stop
if(TrailingStop>0)
{
if((OrderOpenPrice()-Ask)>(Point*TrailingStop))
{
if((OrderStopLoss()>(Ask+Point*TrailingStop)) || (OrderStopLoss()==0))
{ stopLost = Ask+Point*TrailingStop;
if(Ask+Point*TrailingStop<MaCurrent)
{
stopLost = MaCurrent;
} //--- modify order and exit
if(!OrderModify(OrderTicket(),OrderOpenPrice(),stopLost,OrderTakeProfit(),0,Red))
Print("OrderModify error ",GetLastError());
return;
}
} if(OrderOpenPrice()<Ask)
{
if((Ask-OrderOpenPrice())>Point*TrailingStop)
{
if(!OrderClose(OrderTicket(),OrderLots(),Ask,3,Violet))
Print("OrderClose error ",GetLastError());
return;
}
if((OrderStopLoss()>(OrderOpenPrice()+Point*TrailingStop)) || (OrderStopLoss()==0))
{
//--- modify order and exit
if(!OrderModify(OrderTicket(),OrderOpenPrice(),OrderOpenPrice()+Point*TrailingStop,OrderTakeProfit(),0,Red))
Print("OrderModify error ",GetLastError());
}
return;
}
}
}
}
}
//---
}