就是愛現 ~ 程式交易: MT5 外匯商品交易策略開發 [07]

參考文章 (CCI) 順勢指標

Commodity Channel Index (CCI) 順勢指標是由美國股市分析家 Donald Lambert 所創，由 CCI 的英文名稱己清楚說明，它最早是用於期貨市場，後在股票市場也被廣泛使用。CCI 假設期貨價格是有一定的週期性，把價格與股價平均區間的偏離程度以正負值在圖表上展示。
多單進場方式 ~ 利用 CCI值大於上通道且CCI值上升 市價進場做多。
空單進場方式 ~ 利用 CCI值小於下通道且CCI值下降 市價進場做空。

#include <Trade\Trade.mqh>
#include <MagicMT5_函數庫V1.mqh>
ENUM_TIMEFRAMES 時間週期 = PERIOD_H4 ;
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);
}
if(BarNumber != JudgeNo)
{
換K棒();
//時間濾網
允許交易時段 = (getTM_hour(TimeCurrent()) >= 6 && getTM_hour(TimeCurrent()) < 22) ;
}
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 CCI值大於上通道且CCI值上升
//+------------------------------------------------------------------+
LE_Cond = (a_CCI[1] > HighBand*3 && a_CCI[1] > a_CCI[2]) ;
if(LE_Cond == true)
{
if(多單部位() == 0 && 空單部位() == 0 && BarNumber != OrderBarNo)
{
//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+市價買入
多單進場單號 = Buy_at_MARKET(Symbol(),Lots,TP,SL,"BUY 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 LE_Cond == true
//+------------------------------------------------------------------+
//|空單進場 CCI值小於下通道且CCI值下降
//+------------------------------------------------------------------+
SE_Cond = (a_CCI[1] < LowBand * -3 && a_CCI[1] < a_CCI[2]) ;
if(SE_Cond == true)
{
if(多單部位() == 0 && 空單部位() == 0 && BarNumber != OrderBarNo)
{
//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(隔日沖 == true && getTM_hour(TimeCurrent()) == 隔日沖出場時間)
{
if(多單部位() > 0 || 空單部位() > 0)
{
隔日沖平倉();
}
}
if(多單部位() > 0)
{
//+------------------------------------------------------------------+
//| Buy Exit Method 多單  以布林通道界線平倉
//+------------------------------------------------------------------+
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 LXcond31,LXcond32 ;
多單停利價格 = NormalizeDouble(MathMax(a_BBUP[1],a_BBUP[2]),Digits()) ;
多單停損價格 = NormalizeDouble(MathMax((多單進場價格 - SL * Point()),MathMin(a_BBDN[1],a_BBDN[2])),Digits());
LXcond31 = (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) ;
LXcond32 = (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 = (LXcond31 == true || LXcond32 == 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 空單以一目均衡表雲層界線平倉
//+------------------------------------------------------------------+
空單進場價格 = SE_EntryPrice(MagicNumber,空單進場單號);
空單停利價格 = NormalizeDouble(空單進場價格 - TP * Point(),Digits()) ;
空單停損價格 = NormalizeDouble(空單進場價格 + SL * Point(),Digits()) ;
bool SXcond51,SXcond52 ;
空單停利價格 = NormalizeDouble(MathMin(a_ICHI_SA[1], a_ICHI_SB[1]) - Range[1] * 2,Digits());
空單停損價格 = NormalizeDouble(MathMin((空單進場價格 + SL * Point()),MathMax(a_ICHI_SA[1], a_ICHI_SB[1]) + Range[1] * 2),Digits());
SXcond51 = (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) ;
SXcond52 = (空單進場價格 < 空單停損價格 && Close[1] <= 空單停損價格 && Ask > 空單停損價格) ;
SX_Cond = (SXcond51 == true || SXcond52 == 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(); //保留
Set_OHLC_Day_Series(); //保留
Get_OHLC_Bar(10) ; //保留
Get_OHLC_Day(10) ; //保留
set_BarInfo(); //保留
set_BBAND();
set_CCI();
set_ICHIMOKU();
}
//+--------------------------------------------------------+
//| 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) ;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void 隔日沖平倉()
{
if(getTM_hour(TimeCurrent()) == 隔日沖出場時間)
{
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) ;
}
}
//+------------------------------------------------------------------+
//| 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 CCI 通道值
//+------------------------------------------------------------------+
double a_CCI[] ;
void set_CCI()
{
int h_CCI ;
h_CCI = iCCI(Symbol(),時間週期,LenB1,PRICE_CLOSE);
ArraySetAsSeries(a_CCI, true);
get_IndexData(h_CCI,0,0,5,a_CCI) ;
}
//+------------------------------------------------------------------+
//|   計算一目均衡表值
//+------------------------------------------------------------------+
double a_ICHI_B[],a_ICHI_C[],a_ICHI_SA[],a_ICHI_SB[],a_ICHI_LC[] ;
void set_ICHIMOKU()
{
int h_ICHI_C,h_ICHI_B,h_ICHI_SA,h_ICHI_SB,h_ICHI_LC ;
h_ICHI_C = iIchimoku(Symbol(),時間週期,9,26,52);
ArraySetAsSeries(a_ICHI_C, true);
h_ICHI_B = iIchimoku(Symbol(),時間週期,9,26,52);
ArraySetAsSeries(a_ICHI_B, true);
h_ICHI_SA = iIchimoku(Symbol(),時間週期,9,26,52);
ArraySetAsSeries(a_ICHI_SA, true);
h_ICHI_SB = iIchimoku(Symbol(),時間週期,9,26,52);
ArraySetAsSeries(a_ICHI_SB, true);
h_ICHI_LC = iIchimoku(Symbol(),時間週期,9,26,52);
ArraySetAsSeries(a_ICHI_LC, true);
get_IndexData(h_ICHI_C,0,0,5,a_ICHI_C) ;
get_IndexData(h_ICHI_B,1,0,5,a_ICHI_B) ;
get_IndexData(h_ICHI_SA,2,0,5,a_ICHI_SA) ;
get_IndexData(h_ICHI_SB,3,0,5,a_ICHI_SB) ;
get_IndexData(h_ICHI_LC,4,0,5,a_ICHI_LC) ;
}

//+------------------------------------------------------------------+
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
隔日沖

CCI不是以零軸來分界多空；CCI 率先引進了過濾線的使用，數據的+100/-100為兩條過濾線, 在這兩條過濾線之內歸類為盤整盤, 而行情超過了上下線, 則是偏激的多頭與空頭趨勢行情

2025年6月2日星期一

MT5 外匯商品交易策略開發 [07]

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2025年6月2日 星期一

MT5 外匯商品 交易策略開發 [07]

沒有留言:

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2025年6月2日星期一

MT5 外匯商品交易策略開發 [07]