型態學指的是透過觀察 金融商品歷史價格走勢圖形，並依出現特定型態後的價格表現，作為分析未來趨勢的工具之一，我們稱之為「型態學」。如果這項邏輯是正確可行的，那麼我們就可以透過回測的方式，來驗證並建立我們的交易策略
這個型態策略作為 波段留倉 或是 隔日沖策略 皆有不錯的表現
多單進場方式 ~ 即是利用 MACD低檔背離 掛單突破進場。
空單進場方式 ~ 利用價格序列型態搭配KD指標 市價進場
#include <Trade\Trade.mqh>
#include <MagicMT5_函數庫V1.mqh>
ENUM_TIMEFRAMES 時間週期 = PERIOD_M15;
int OnInit()
{
LoadEA = TimeCurrent();
return(INIT_SUCCEEDED);
}
void OnTick()
{
if(AccountInfoDouble(ACCOUNT_BALANCE) <= 資金風控)
{
Alert("********** 資金不足 *************");
return;
}
BarNumber = iBarShift(Symbol(),時間週期,LoadEA);
BarSinceExit = BarNumber-CloseOrderNo ;
if((BarNumber == 1 && BarNumber != JudgeNo))
{
多單進場單號 = Buy_at_MARKET(Symbol(),Lots,0,0,"1st_K",MagicNumber) ;
LX_CloseByTicket(多單進場單號,Lots) ;
CloseOrderNo = iBarShift(Symbol(),時間週期,LoadEA);
FastSma = MathMin(LenA1, LenB1);
SlowSma = MathMax(LenA1, LenB1);
}
if(BarNumber != JudgeNo)
{
換K棒();
//時間濾網
允許交易時段 = (getTM_hour(TimeCurrent()) >= 12 || getTM_hour(TimeCurrent()) < 4) ;
}
Ask=SymbolInfoDouble(Symbol(),SYMBOL_ASK);
Bid=SymbolInfoDouble(Symbol(),SYMBOL_BID);
AccountBalance=AccountInfoDouble(ACCOUNT_BALANCE);
Tickvalue=SymbolInfoDouble(Symbol(),SYMBOL_TRADE_TICK_VALUE);
SP = NormalizeDouble(MathAbs(Ask-Bid),Digits()) ;
//+------------------------------------------------------------------+
//|計算交易手數
//+------------------------------------------------------------------+
if(Lots_AutoCal == true)
{
Lots = get_dynamic_lot_size(Lots_Even,Symbol(),RiskPercent,AccountBalance,SL) ;
Lots = MathMin(0.3,MathMax(0.01,Lots)) ;
}
if(允許交易時段 == true)
{
//+------------------------------------------------------------------+
//|多單進場 MACD 低檔背離
//+------------------------------------------------------------------+
LE_Cond = (MACD_LDiv_01()) ;
if(LE_Cond == true)
{
if(多單部位() == 0 && 空單部位() == 0 && BarNumber != OrderBarNo)
{
買入價格 = NormalizeDouble(DH + Range[2]*0.5,Digits()) ;
//距離上筆出場經過一根K棒 且當日未進場
if(BarSinceExit > 1 && EntriesToday(MagicNumber,Symbol()) < 1)
{
// 空手+掛單突破買入
if(Close[1] < 買入價格)
{
多單進場單號 = Buy_at_STOP(Symbol(),MagicNumber,買入價格,Lots,TP,SL,"BUY STOP",3600) ;
OrderBarNo = iBarShift(Symbol(),時間週期,LoadEA);
}
} // end of BarSinceExit > 1
} // end of 空手且不同根K棒() == true
} // end of LE_Cond == true
//+------------------------------------------------------------------+
//|空單進場 連三高且收盤最低 且K值小於 50
//+------------------------------------------------------------------+
SE_Cond = (High3Bar_LClose() && a_KA2[1] < 50) ;
if(SE_Cond == true)
{
if(多單部位() == 0 && 空單部位() == 0 && BarNumber != OrderBarNo)
{
賣出價格 = NormalizeDouble(((LowD[1]+LowD[2])*0.5,Digits());
//距離上筆出場經過一根K棒 且當日未進場
if(BarSinceExit > 1 && EntriesToday(MagicNumber,Symbol()) < 1)
{
// 空手+市價賣出
空單進場單號 = Short_at_MARKET(Symbol(),Lots,TP,SL,"Short Market",MagicNumber) ;
OrderBarNo = iBarShift(Symbol(),時間週期,LoadEA);
} //end of BarSinceExit > 1
} // end of 空手且不同根K棒() == true
} // end of SE_Cond == true
} //end of 允許交易時段 == true
if(當沖 == true)
{
if(多單部位() > 0 || 空單部位() > 0)
{
當沖平倉();
}
}
if(多單部位() > 0)
{
//+------------------------------------------------------------------+
//| Buy Exit Method 多單 依浮動盈虧位置平倉
//+------------------------------------------------------------------+
多單進場價格 = LE_EntryPrice(MagicNumber,多單進場單號);
多單停利價格 = NormalizeDouble(多單進場價格 + TP * Point(),Digits()) ;
多單停損價格 = NormalizeDouble(多單進場價格 - SL * Point(),Digits()) ;
bool LXcond61,LXcond62 ;
double LE_WinPoint ;
多單最高價 = iHigh(Symbol(),時間週期, iHighest(Symbol(),時間週期,MODE_HIGH,LE_BarsSinceEntry(MagicNumber,多單進場單號,時間週期),1));
LE_WinPoint = 多單最高價-多單進場價格 ;
多單停利價格 = NormalizeDouble(多單進場價格 + (TP+Day5Range*0.618) * Point(),Digits()) ;
if((LE_WinPoint/Point()) <= (SL*Point()*1.5))
多單停損價格 = NormalizeDouble(多單進場價格-SL*Point(),Digits());
if((LE_WinPoint/Point()) > (SL*Point()*1.5) && (LE_WinPoint/Point()) <= (TP*Point()))
多單停損價格 = NormalizeDouble(多單最高價-SL*Point()/2,Digits());
if((LE_WinPoint/Point()) > (TP*Point()))
多單停損價格 = NormalizeDouble(多單最高價-LE_WinPoint/2,Digits());
LXcond61 = (多單進場價格 < 多單停利價格 && Close[1] <= 多單停利價格 && Bid > 多單停利價格) ;
LXcond62 = (多單進場價格 > 多單停損價格 && Close[1] >= 多單停損價格 && Bid < 多單停損價格) ;
LX_Cond = (LXcond61 == true || LXcond62 == true) ;
//---------------------------------------------------------多單出場
if(LX_Cond == true && BarNumber != CloseOrderNo && BarNumber != OrderBarNo && LE_BarsSinceEntry(MagicNumber,多單進場單號,時間週期) > 0)
{
LX_CloseByTicket(多單進場單號,Lots) ;
if(多單部位() == 0)
{
CloseOrderNo = iBarShift(Symbol(),時間週期,LoadEA) ;
}
}
} // end of 多單部位() > 0
if(空單部位() > 0)
{
//+------------------------------------------------------------------+
//| Short Exit Method 空單 以布林通道上下界平倉
//+------------------------------------------------------------------+
bool SXcond31,SXcond32 ;
空單停利價格 = NormalizeDouble(MathMin(a_BBDN[1],a_BBDN[2]),Digits()) ;
空單停損價格 = NormalizeDouble(MathMin((空單進場價格 + SL * Point()),MathMax(a_BBUP[1],a_BBUP[2])),Digits());
SXcond31 = (空單進場價格 > 空單停利價格 && Close[1] >= 空單停利價格 && Ask < 空單停利價格) ;
SXcond32 = (空單進場價格 < 空單停損價格 && Close[1] <= 空單停損價格 && Bid > 空單停損價格) ;
SX_Cond = (SXcond31 == true || SXcond32 == true) ;
//---------------------------------------------------------空單出場
if(SX_Cond == true && BarNumber != CloseOrderNo && SE_BarsSinceEntry(MagicNumber,空單進場單號,時間週期) > 0)
{
SX_CloseByTicket(空單進場單號,Lots) ;
if(空單部位() == 0)
{
CloseOrderNo = iBarShift(Symbol(),時間週期,LoadEA) ;
}
}
} // end of 空單部位() > 0
JudgeNo = iBarShift(Symbol(),時間週期,LoadEA);
} //end of onTick
//+------------------------------------------------------------------+
//| 自訂函數庫 |
//+------------------------------------------------------------------+
int 多單部位()
{
int count;
count = get_TradeCounts(Symbol(), MagicNumber,POSITION_TYPE_BUY) ;
return count ;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int 空單部位()
{
int count;
count = get_TradeCounts(Symbol(), MagicNumber,POSITION_TYPE_SELL) ;
return count ;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void 換K棒()
{
// 新K棒刪除所有掛單
if(total_pending_order_count(Symbol(), MagicNumber,-1) != 0)
{
delete_pending_orders_all(Symbol(), MagicNumber, -1, 0x0000ff);
}
Set_OHLC_Bar_Series();
Get_OHLC_Bar(10) ;
Set_OHLC_Day_Series();
Get_OHLC_Day(10) ;
set_BarInfo();
set_BBAND();
set_MACD();
set_RSI();
set_KD() ;
FloatDayHL();
Day5Range = ((HighD[1] - LowD[1])+(HighD[2] - LowD[2])+(HighD[3] - LowD[3])+(HighD[4] - LowD[4])+(HighD[5] - LowD[5]))/5;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void 當沖平倉()
{
if(getTM_hour(TimeCurrent()) == 當沖出場時間)
{
if(多單部位() > 0 && BarNumber != CloseOrderNo)
LX_CloseByTicket(多單進場單號,Lots) ;
if(空單部位() > 0 && BarNumber != CloseOrderNo)
SX_CloseByTicket(空單進場單號,Lots) ;
CloseOrderNo = iBarShift(Symbol(),時間週期,LoadEA) ;
}
}
//+--------------------------------------------------------+
//| 設定 開高低收 陣列序列
//+--------------------------------------------------------+
//********BarPrice Array variables
double Open[], High[], Low[], Close[],Range[],Body[],UPshadow[],DNshadow[] ;
double OpenD[], HighD[], LowD[], CloseD[] ;
//+------------------------------------------------------------------+
//|
//+------------------------------------------------------------------+
void Set_OHLC_Bar_Series()
{
ArraySetAsSeries(Open,true);
ArraySetAsSeries(High,true);
ArraySetAsSeries(Low,true);
ArraySetAsSeries(Close,true);
}
//+------------------------------------------------------------------+
//|
//+------------------------------------------------------------------+
void Get_OHLC_Bar(int argCount)
{
get_OpenData(Symbol(),時間週期,argCount,Open) ;
get_HighData(Symbol(),時間週期,argCount,High) ;
get_LowData(Symbol(),時間週期,argCount,Low) ;
get_CloseData(Symbol(),時間週期,argCount,Close) ;
}
//+------------------------------------------------------------------+
//|
//+------------------------------------------------------------------+
void set_BarInfo()
{
ArrayResize(Range,ArraySize(Open)) ;
ArraySetAsSeries(Range,true) ;
ArrayResize(Body,ArraySize(Open)) ;
ArraySetAsSeries(Body,true) ;
ArrayResize(UPshadow,ArraySize(Open)) ;
ArraySetAsSeries(UPshadow,true) ;
ArrayResize(DNshadow,ArraySize(Open)) ;
ArraySetAsSeries(DNshadow,true) ;
for(int i = 0; i < ArraySize(Open)-1; i=i+1)
{
Range[i] = High[i]-Low[i];
Body[i] = MathAbs(Close[i]-Open[i]);
UPshadow[i] = High[i]-MathMax(Close[i],Open[i]);
DNshadow[i] = MathMin(Close[i],Open[i])-Low[i];
}
}
//+------------------------------------------------------------------+
//|
//+------------------------------------------------------------------+
void Set_OHLC_Day_Series()
{
ArraySetAsSeries(OpenD,true);
ArraySetAsSeries(HighD,true);
ArraySetAsSeries(LowD,true);
ArraySetAsSeries(CloseD,true);
}
//+------------------------------------------------------------------+
//|
//+------------------------------------------------------------------+
void Get_OHLC_Day(int argCount)
{
get_OpenData(Symbol(),PERIOD_D1,argCount,OpenD) ;
get_HighData(Symbol(),PERIOD_D1,argCount,HighD) ;
get_LowData(Symbol(),PERIOD_D1,argCount,LowD) ;
get_CloseData(Symbol(),PERIOD_D1,argCount,CloseD) ;
}
//+------------------------------------------------------------------+
//| 指標及通道計算
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
//| 計算 布林通道值
//+------------------------------------------------------------------+
double a_BBUP[],a_BBDN[] ;
void set_BBAND()
{
int BBLen,h_BBUP,h_BBDN ;
BBLen = MathMax(LenA2,LenB2) ;
h_BBUP = iBands(Symbol(),時間週期,BBLen,0,2,PRICE_CLOSE);
ArraySetAsSeries(a_BBUP, true);
h_BBDN = iBands(Symbol(),時間週期,BBLen,0,2,PRICE_CLOSE);
ArraySetAsSeries(a_BBDN, true);
get_IndexData(h_BBUP,1,0,10,a_BBUP) ;
get_IndexData(h_BBDN,2,0,10,a_BBDN) ;
}
//+------------------------------------------------------------------+
//| 計算 MACD 值
//+------------------------------------------------------------------+
double a_DIF[], a_MACD[], a_OSC[] ;
void set_MACD()
{
int MacdLen, FastLen, SlowLen ;
int h_DIF,h_MACD ;
MacdLen = MathMax(LenA1,LenB1) ;
if(MacdLen > 15)
MacdLen = 15 ;
FastLen = (int)MathRound(MacdLen*1.33) ;
SlowLen = (int)MathRound(MacdLen*2.66) ;
h_DIF = iMACD(Symbol(),時間週期,FastLen,SlowLen,MacdLen,PRICE_WEIGHTED);
ArraySetAsSeries(a_DIF, true);
h_MACD = iMACD(Symbol(),時間週期,FastLen,SlowLen,MacdLen,PRICE_WEIGHTED);
ArraySetAsSeries(a_MACD, true);
get_IndexData(h_DIF,0,0,10,a_DIF) ;
get_IndexData(h_MACD,1,0,10,a_MACD) ;
ArraySetAsSeries(a_OSC, true);
ArrayResize(a_OSC,ArraySize(a_DIF)) ;
for(int i = 0;i < ArraySize(a_OSC); i++)
{
a_OSC[i] = a_DIF[i]-a_MACD[i] ;
}
}
//+------------------------------------------------------------------+
//| 計算 RSI 值
//+------------------------------------------------------------------+
double a_RSIA[] ;
void set_RSI()
{
int h_RSIA ;
h_RSIA = iRSI(Symbol(),時間週期,LenA1,PRICE_CLOSE) ;
ArraySetAsSeries(a_RSIA,true) ;
get_IndexData(h_RSIA,0,0,5,a_RSIA) ;
}
//+------------------------------------------------------------------+
//| 計算KD值
//+------------------------------------------------------------------+
int h_KA2,h_DA2 ;
double a_KA2[], a_DA2[], a_JA2[] ;
void set_KD()
{
h_KA2 = iStochastic(Symbol(),時間週期,LenA2,3,3,MODE_EMA,STO_LOWHIGH) ;
ArraySetAsSeries(a_KA2,true);
h_DA2 = iStochastic(Symbol(),時間週期,LenA2,3,3,MODE_EMA,STO_LOWHIGH) ;
ArraySetAsSeries(a_DA2,true);
get_IndexData(h_KA2,0,0,5,a_KA2) ;
get_IndexData(h_DA2,1,0,5,a_DA2) ;
ArraySetAsSeries(a_JA2, true);
ArrayResize(a_JA2,ArraySize(a_KA2)) ;
for(int i = 0;i < ArraySize(a_JA2); i++)
{
a_JA2[i] = a_DA2[i]*3-a_KA2[i]*2 ;
}
}
//+------------------------------------------------------------------+
//| 變動式區間高低通道
//+------------------------------------------------------------------+
double DH, DL, HLDay, DayBox33, DayBox67 ;
void FloatDayHL()
{
int DayLong, DayShort ;
DH = iHigh(Symbol(),PERIOD_D1,1);
DL = iLow(Symbol(),PERIOD_D1,1);
DayLong = (int)MathMod(NBarL,6)*2 + 3;
DayShort = (int)MathMod(NBarS,6)*2 + 3;
for(int i = 1; i <= DayLong; i=i+1)
{
if(iHigh(Symbol(),PERIOD_D1,i) > DH)
{
DH = iHigh(Symbol(),PERIOD_D1,i);
}
}
for(int j = 1; j <= DayShort; j=j+1)
{
if(iLow(Symbol(),PERIOD_D1,j) < DL)
{
DL = iLow(Symbol(),PERIOD_D1,j);
}
}
HLDay = DH - DL;
DayBox33 = DL + HLDay * 0.33;
DayBox67 = DL + HLDay * 0.67;
}
//+------------------------------------------------------------------+
//| 進出場條件
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
//| MACD 低檔背離
//+------------------------------------------------------------------+
bool MACD_LDiv_01()
{
if((ArrayMinimum(Low) !=0 && ArrayMinimum(Low) <= 2) && (ArrayMinimum(a_DIF) > 2) && (a_RSIA[1] > 30))
{
return true;
}
return false;
}
//+------------------------------------------------------------------+
//| 連三高且收盤最低 且K值小於 50
//+------------------------------------------------------------------+
bool High3Bar_LClose()
{
int j = 0;
for(int i = 1; i <= 3; i=i+1)
{
if(High[i] > High[i+1])
{
j = j + 1;
}
}
if(j == 3 && Close[1] < Open[1] && Close[1] < Low[2])
{
return true;
}
return false;
}
//+------------------------------------------------------------------+
交易商品 XAUUSD 樣本內區間 2019/1/1 ~2022/12/31 交易手數 固定 0.1手
波段留倉
沒有留言:
張貼留言