市佔率穩居首位的外匯交易平台，是由俄羅斯Metaquotes 軟體公司所開發的MetaTrader 4 (MT4）平台，並於2010年推出了MetaTrader 5（MT5）平台，MQL5（MetaQuotes Language 5）是一種強大的編程語言，專為撰寫交易策略、技術指標、腳本和功能庫等自動化交易系統而設計。MQL5 提供了大量預先定義的功能和服務，幫助開發者快速構建複雜的交易機器人（EA）、自定義指標和腳本。讓交易策略的自動化成為可能。無論是專業的交易者還是有志於自動化交易系統開發的程序員，MQL5 都提供了必要的工具和資源，以支持他們的工作。
以往部落格文章主要內容在於應用 MultiCharts 平台開發交易策略，2025開始會應用MT5平台 開發一些外匯商品的交易策略，也期盼在量化交易的推廣上有所助益
PS: 策略寫法是單向持單 (會先平掉反向單 再進場)
#include <Trade\Trade.mqh>
#include <MagicMT5_函數庫V1.mqh>
ENUM_TIMEFRAMES 時間週期 = PERIOD_M20;
//+------------------------------------------------------------------+
//|
//+------------------------------------------------------------------+
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); //取得回測區間的 K棒數
BarSinceExit = BarNumber-CloseOrderNo ; // 用來取得距離前一筆交易出場後的K棒數量
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();
允許交易時段 = (getTM_hour(TimeCurrent()) >= 10 || getTM_hour(TimeCurrent()) < 2);
}
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()) ;
//+------------------------------------------------------------------+
//|動態計算交易手數
//+------------------------------------------------------------------+
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
//+------------------------------------------------------------------+
LE_Cond = (_3GreatThanBBUp()) ;
if(LE_Cond == true)
{
if(空單部位() > 0 && BarNumber != OrderBarNo)
sell_order_close_all(Symbol(), MagicNumber, ORDER_TYPE_SELL); // 空單先全部平倉
if(多單部位() == 0 && BarNumber != OrderBarNo)
{
買入價格 = NormalizeDouble(Highest_OHLC(Symbol(),PERIOD_D1,MODE_OPEN,HBar) + Range[1]*0.5,Digits()) ;
// 空手+市價單
if(BarSinceExit > 1)
{
多單進場單號 = Buy_at_MARKET(Symbol(),Lots,TP,SL,"BUY MARKET",MagicNumber) ;
OrderBarNo = iBarShift(Symbol(),時間週期,LoadEA);
}
}
}
//+------------------------------------------------------------------+
//|空單進場
//+------------------------------------------------------------------+
SE_Cond = (DayBlack3Bar_LClose() && a_RSIA[1] > 50) ;
if(SE_Cond == true)
{
if(多單部位() > 0 && BarNumber != OrderBarNo)
buy_order_close_all(Symbol(), MagicNumber, ORDER_TYPE_BUY);
if(空單部位() == 0 && BarNumber != OrderBarNo)
{
賣出價格 = NormalizeDouble(Lowest_OHLC(Symbol(),PERIOD_D1,MODE_LOW,LBar) - Range[1]*0.5,Digits());
// 空手+掛單賣出
if(BarSinceExit > 1)
{
if(Close[1] > 賣出價格)
{
空單進場單號 = Short_at_STOP(Symbol(),MagicNumber,賣出價格,Lots,TP,SL,"Short STOP",3600) ;
OrderBarNo = iBarShift(Symbol(),時間週期,LoadEA);
}
}
}
}
}
//+------------------------------------------------------------------+
//| 多單平倉
//+------------------------------------------------------------------+
if(多單部位() > 0)
{
多單進場價格 = LE_EntryPrice(MagicNumber,多單進場單號);
多單停利價格 = 多單進場價格 + TP * Point() ;
多單停損價格 = 多單進場價格 - SL * Point() ;
LX_Cond = ((Close[1] <= 多單停利價格 && Bid > 多單停利價格) || (Close[1] >= 多單停損價格 && Bid < 多單停損價格)) ;
//---------------------------------------------------------多單出場
if(LX_Cond == true && BarNumber != CloseOrderNo)
{
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
//+------------------------------------------------------------------+
//| 空單平倉
//+------------------------------------------------------------------+
if(空單部位() > 0)
{
空單進場價格 = SE_EntryPrice(MagicNumber,空單進場單號);
bool SXcond51,SXcond52 ;
空單停利價格 = MathMin(a_ICHI_SA[1], a_ICHI_SB[1]) - Range[1] * 2;
空單停損價格 = MathMax(a_ICHI_SA[1], a_ICHI_SB[1]) + Range[1] * 2;
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)
{
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 ;
}
//+------------------------------------------------------------------+
//| 新K棒取值 |
//+------------------------------------------------------------------+
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();
Set_OHLC_Day_Series();
Get_OHLC_Bar(10) ;
Get_OHLC_Day(10) ;
set_BarInfo();
set_BBAND();
set_RSI();
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[] ;
//+------------------------------------------------------------------+
//| 陣列序列設定 |
//+------------------------------------------------------------------+
void Set_OHLC_Bar_Series()
{
ArraySetAsSeries(Open,true);
ArraySetAsSeries(High,true);
ArraySetAsSeries(Low,true);
ArraySetAsSeries(Close,true);
}
//+------------------------------------------------------------------+
//| K棒 開高低收 |
//+------------------------------------------------------------------+
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) ;
}
//+------------------------------------------------------------------+
//| 陣列序列設定 |
//+------------------------------------------------------------------+
void Set_OHLC_Day_Series()
{
ArraySetAsSeries(OpenD,true);
ArraySetAsSeries(HighD,true);
ArraySetAsSeries(LowD,true);
ArraySetAsSeries(CloseD,true);
}
//+------------------------------------------------------------------+
//| 取得日K 開高低收 |
//+------------------------------------------------------------------+
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) ;
}
//+------------------------------------------------------------------+
//| 計算K棒 振幅 實體 上影線 下影線
//+------------------------------------------------------------------+
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];
}
}
//+------------------------------------------------------------------+
//| 計算布林通道
//+------------------------------------------------------------------+
bool UpBreak,DnBreak,Shrink ;
double a_BBUP[],a_BBDN[] ;
void set_BBAND()
{
int BBLen,h_BBUP,h_BBDN ;
bool ShrinkUp,ShrinkDn ;
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) ;
UpBreak = (High[1] > a_BBUP[1]) && (High[2] > a_BBUP[2]) ;
DnBreak = Low[1]< a_BBDN[1] && Low[2] < a_BBDN[2] ;
ShrinkUp = a_BBUP[1] > a_BBUP[2] && a_BBUP[2] > a_BBUP[3] && a_BBUP[5] > a_BBUP[4] && a_BBUP[4] > a_BBUP[3] ;
ShrinkDn = a_BBDN[1] < a_BBDN[2] && a_BBDN[2] < a_BBDN[3] && a_BBDN[5] < a_BBDN[4] && a_BBDN[4] < a_BBDN[3] ;
Shrink = ShrinkUp || ShrinkDn ;
}
//+------------------------------------------------------------------+
//| 計算 RSI 值
//+------------------------------------------------------------------+
double a_RSIA[],a_RSIB[] ;
void set_RSI()
{
int h_RSIA,h_RSIB ;
h_RSIA = iRSI(Symbol(),時間週期,LenA1,PRICE_CLOSE) ;
ArraySetAsSeries(a_RSIA,true) ;
get_IndexData(h_RSIA,0,0,5,a_RSIA) ;
h_RSIB = iRSI(Symbol(),時間週期,LenB1,PRICE_CLOSE) ;
ArraySetAsSeries(a_RSIB,true) ;
get_IndexData(h_RSIB,0,0,5,a_RSIB) ;
}
//+------------------------------------------------------------------+
//| 計算一目均衡表區間價格
//+------------------------------------------------------------------+
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,0,0,5,a_ICHI_B) ;
get_IndexData(h_ICHI_SA,0,0,5,a_ICHI_SA) ;
get_IndexData(h_ICHI_SB,0,0,5,a_ICHI_SB) ;
get_IndexData(h_ICHI_LC,0,0,5,a_ICHI_LC) ;
}
//+------------------------------------------------------------------+
//| 日K連三黑 且 收盤近三根低
//+------------------------------------------------------------------+
bool DayBlack3Bar_LClose()
{
int j = 0;
for(int i = 1; i <= 3; i=i+1)
{
if(CloseD[i] < OpenD[i])
{
j = j + 1;
}
}
if((j == 3 && Close[1] <= MathMin(Close[2], Close[3])))
{
return true;
}
return false;
}
//+------------------------------------------------------------------+
//| 連三根收盤價大於 布林通道上界
//+------------------------------------------------------------------+
bool _3GreatThanBBUp()
{
int j = 0;
for(int i = 1; i <= 3; i=i+1)
{
if(Close[i] > a_BBUP[i])
{
j = j + 1;
}
}
if(j == 3)
{
return true;
}
return false;
}
交易商品 XAUUSDXXX 樣本內區間 2019/1/1 ~2022/12/31 交易手數 固定 0.1手
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