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
1 input double TakeProfit =1000; 2 input double Lots =0.1; 3 input double TrailingStop =150; 4 input double MACDOpenLevel =5; 5 input double MACDCloseLevel=3; 6 input int MATrendPeriod =60; 7 input int MATrendPeriodFast =26; 8 input double MaximumRisk =0.08; 9 input double DecreaseFactor=3; 10 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。
1 //+------------------------------------------------------------------+ 2 //| Calculate optimal lot size | 3 //+------------------------------------------------------------------+ 4 double LotsOptimized() 5 { 6 double lot=Lots; 7 int orders=HistoryTotal(); // history orders total 8 int losses=0; // number of losses orders without a break 9 Print("value of Lots:",lot); 10 //--- select lot size 11 lot=NormalizeDouble(AccountFreeMargin()*MaximumRisk/1000.0,1); 12 //--- calcuulate number of losses orders without a break 13 if(DecreaseFactor>0) 14 { 15 for(int i=orders-1;i>=0;i--) 16 { 17 if(OrderSelect(i,SELECT_BY_POS,MODE_HISTORY)==false) 18 { 19 Print("Error in history!"); 20 break; 21 } 22 if(OrderSymbol()!=Symbol() || OrderType()>OP_SELL) 23 continue; 24 //--- 25 if(OrderProfit()>0) break; 26 if(OrderProfit()<0) losses++; 27 } 28 if(losses>1) 29 lot=NormalizeDouble(lot-lot*losses/DecreaseFactor,1); 30 } 31 //--- return lot size 32 if(lot<0.1) lot=0.1; 33 Print("lot:",lot); 34 return(lot); 35 }
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。
1 //判断从第i个行情之前的一段时间内存在盘整行情 2 //盘整行情的定义：行情波动不大 3 bool hasConsolidation(int i) 4 { double macd; 5 int count,j; 6 for(j=0;j<2*CheckPeriod;j++) 7 { 8 macd=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,i+j); 9 if(MathAbs(macd)<=(MACDOpenLevel*Point)) 10 { 11 count=count+1; 12 if(count>=CheckPeriod) 13 { 14 Print("isConsolidation:",2*CheckPeriod,"个周期内有连续半数以上波动过小"); 15 return true; 16 } 17 }else{ 18 count = 0; 19 } 20 } 21 return false; 22 }
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。
1 //检查一小时内是否有金叉 2 bool CheckForGoldInHour() 3 { 4 double MacdCurrent,MacdPre,SignalCurrent,SignalPre; 5 for(int i=0;i<CheckPeriod;i++) 6 { 7 MacdCurrent=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,i); 8 MacdPre=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,i+1); 9 SignalCurrent=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,i); 10 SignalPre=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,i+1); 11 12 //在0轴下的金叉 13 if(CheckForGold(MacdCurrent,MacdPre,SignalCurrent,SignalPre)) 14 return true; 15 } 16 17 return false; 18 } 19 20 bool CheckForDeathInHour() 21 { 22 double MacdCurrent,MacdPre,SignalCurrent,SignalPre; 23 for(int i=0;i<CheckPeriod;i++) 24 { 25 MacdCurrent=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,i); 26 MacdPre=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,i+1); 27 SignalCurrent=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,i); 28 SignalPre=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,i+1); 29 30 //在0轴上的死叉. 31 if(CheckForDeath(MacdCurrent,MacdPre,SignalCurrent,SignalPre)) 32 return true; 33 } 34 35 return false; 36 } 37 38 bool CheckForGold(double MacdCurrent,double MacdPrevious,double SignalCurrent,double SignalPrevious) 39 { 40 if(MacdCurrent<0 && MacdCurrent>SignalCurrent && MacdPrevious<SignalPrevious && 41 MathAbs(MacdCurrent)>(MACDOpenLevel*Point)) 42 { 43 Print("在0轴下的金叉"); 44 return true; 45 } 46 47 return false; 48 } 49 50 bool CheckForDeath(double MacdCurrent,double MacdPrevious,double SignalCurrent,double SignalPrevious) 51 { 52 if(MacdCurrent>0 && MacdCurrent<SignalCurrent && MacdPrevious>SignalPrevious && 53 MacdCurrent>(MACDOpenLevel*Point)) 54 { 55 Print("在0轴上的死叉"); 56 return true; 57 } 58 59 return false; 60 }
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。
1 double Macd0,Macd1,Macd2; 2 double Signal0,Signal1,Signal2; 3 double Ma0,Ma1,Ma2; 4 double highLevel; 5 6 // 看前三个macd值和signal,都是向上的，并且均线向上 7 bool CheckForLong() 8 { 9 Macd0=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,0); 10 Macd1=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,1); 11 Macd2=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_MAIN,2); 12 13 14 Signal0=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,0); 15 Signal1=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,1); 16 Signal2=iMACD(NULL,0,MATrendPeriodFast,MATrendPeriod,9,PRICE_CLOSE,MODE_SIGNAL,2); 17 18 19 20 if(Macd1>=Macd0 || Macd2>=Macd1 || Signal1>=Signal0 || Signal2>=Signal1) 21 { 22 Print("CheckForLong:macd或者signal不是向上"); 23 return false; 24 } 25 26 highLevel = (Macd0+Macd1+Macd2-Signal0-Signal1-Signal2)/3; 27 28 if(highLevel<MACDOpenLevel*Point)//Macd0<=(Signal0+MACDOpenLevel*Point) || Macd1<=(Signal1+MACDOpenLevel*Point) || Macd2<=(Signal2+MACDOpenLevel*Point)) 29 { 30 Print("CheckForLong:macd不满足开仓必须高于信号足够的量"); 31 Print("相差",highLevel/Point,"个Point"); 32 return false; 33 } 34 35 //均线变动比较慢，暂时取两个 36 Ma0=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,0); 37 Ma1=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,1); 38 //Ma2=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,2); 39 if(Ma0<Ma1)// || Ma1<Ma2) 40 { 41 Print("CheckForLong:均线向下，没有向上"); 42 return false; 43 } 44 45 if(!CheckForGoldInHour()) 46 { 47 Print("CheckForLong:有效时间内没有检测到0轴下的金叉"); 48 if(hasConsolidation(0)) 49 { 50 Print("CheckForLong:检测到盘整行情，现在已经确定走势，可以开仓。"); 51 return true; 52 } 53 return false; 54 } 55 56 //if(Macd0>Macd1 && Macd1>Macd2 && Signal0>Signal1 && Signal1>Signal2 && 57 // Macd0>(Signal0+MACDOpenLevel*Point) && Macd1>(Signal1+MACDOpenLevel*Point) && Macd2>(Signal2+MACDOpenLevel*Point) 58 // && Ma0>Ma1) 59 //{ 60 //检查一小时内有金叉 61 // if(CheckForGoldInHour()) 62 // return true; 63 //} 64 65 //Print("CheckForLong:long"); 66 return true; 67 }
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）。
1 //+------------------------------------------------------------------+ 2 //| | 3 //+------------------------------------------------------------------+ 4 void OnTick(void) 5 { 6 //double MacdCurrent,MacdPrevious; 7 //double SignalCurrent,SignalPrevious; 8 double MaCurrent; 9 int cnt,ticket,total; 10 double stopLost; 11 //--- 12 // initial data checks 13 // it is important to make sure that the expert works with a normal 14 // chart and the user did not make any mistakes setting external 15 // variables (Lots, StopLoss, TakeProfit, 16 // TrailingStop) in our case, we check TakeProfit 17 // on a chart of less than 100 bars 18 //--- 19 if(Bars<100) 20 { 21 Print("bars less than 100"); 22 return; 23 } 24 if(TakeProfit<10) 25 { 26 Print("TakeProfit less than 10"); 27 return; 28 } 29 //--- to simplify the coding and speed up access data are put into internal variables 30 //MacdCurrent=iMACD(NULL,0,26,60,9,PRICE_CLOSE,MODE_MAIN,0); 31 //MacdPrevious=iMACD(NULL,0,26,60,9,PRICE_CLOSE,MODE_MAIN,1); 32 //SignalCurrent=iMACD(NULL,0,26,60,9,PRICE_CLOSE,MODE_SIGNAL,0); 33 //SignalPrevious=iMACD(NULL,0,26,60,9,PRICE_CLOSE,MODE_SIGNAL,1); 34 MaCurrent=iMA(NULL,0,MATrendPeriod*2,0,MODE_EMA,PRICE_CLOSE,0); 35 //MaPrevious=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,1); 36 37 //Print("Ask:",Ask," Bid:",Bid," diff point:",(Bid-Ask)/Point); 38 39 total=OrdersTotal(); 40 if(total<1) 41 { 42 //--- no opened orders identified 43 if(AccountFreeMargin()<(1000*Lots)) 44 { 45 Print("We have no money. Free Margin = ",AccountFreeMargin()); 46 return; 47 } 48 //--- check for long position (BUY) possibility 49 if(CheckForLong()) 50 { 51 ticket=OrderSend(Symbol(),OP_BUY,10,Ask,3,0,Ask+TakeProfit*Point,"macd sample",16384,0,Green); 52 if(ticket>0) 53 { 54 if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES)) 55 Print("BUY order opened : ",OrderOpenPrice()); 56 } 57 else 58 Print("Error opening BUY order : ",GetLastError()); 59 return; 60 } 61 //--- check for short position (SELL) possibility 62 if(CheckForShort()) //&& MaCurrent<MaPrevious) 63 { 64 ticket=OrderSend(Symbol(),OP_SELL,10,Bid,3,0,Bid-TakeProfit*Point,"macd sample",16384,0,Red); 65 if(ticket>0) 66 { 67 if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES)) 68 Print("SELL order opened : ",OrderOpenPrice()); 69 } 70 else 71 Print("Error opening SELL order : ",GetLastError()); 72 } 73 //--- exit from the "no opened orders" block 74 return; 75 } 76 //--- it is important to enter the market correctly, but it is more important to exit it correctly... 77 for(cnt=0;cnt<total;cnt++) 78 { 79 if(!OrderSelect(cnt,SELECT_BY_POS,MODE_TRADES)) 80 continue; 81 if(OrderType()<=OP_SELL && // check for opened position 82 OrderSymbol()==Symbol()) // check for symbol 83 { 84 //--- long position is opened 85 if(OrderType()==OP_BUY) 86 { 87 //--- should it be closed? 88 if(CheckForShort()) 89 { 90 //--- close order and exit 91 if(!OrderClose(OrderTicket(),OrderLots(),Bid,3,Violet)) 92 Print("OrderClose error ",GetLastError()); 93 return; 94 } 95 //--- check for trailing stop 96 if(TrailingStop>0) 97 { 98 if(Bid-OrderOpenPrice()>Point*TrailingStop) 99 { 100 if(OrderStopLoss()<Bid-Point*TrailingStop) 101 { 102 //当前卖价减去TrailingStop作为移动止损线 103 stopLost = Bid-Point*TrailingStop; 104 //如果移动止损值高于均线，以均线为止损线。 105 if(stopLost>MaCurrent) 106 { 107 stopLost = MaCurrent; 108 } 109 110 //--- modify order and exit 111 if(!OrderModify(OrderTicket(),OrderOpenPrice(),stopLost,OrderTakeProfit(),0,Green)) 112 Print("OrderModify error ",GetLastError()); 113 return; 114 } 115 } 116 117 if(Bid<OrderOpenPrice()) 118 { 119 120 if((OrderOpenPrice()-Bid)>Point*TrailingStop) 121 { 122 if(!OrderClose(OrderTicket(),OrderLots(),Bid,3,Violet)) 123 Print("OrderClose error ",GetLastError()); 124 return; 125 } 126 127 if((OrderStopLoss()<OrderOpenPrice()-Point*TrailingStop)||(OrderStopLoss()==0)) 128 { 129 //--- modify order and exit 130 if(!OrderModify(OrderTicket(),OrderOpenPrice(),OrderOpenPrice()-Point*TrailingStop,OrderTakeProfit(),0,Green)) 131 Print("OrderModify error ",GetLastError()); 132 return; 133 } 134 } 135 136 } 137 } 138 else // go to short position 139 { 140 //--- should it be closed? 141 if(CheckForLong()) 142 { 143 //--- close order and exit 144 if(!OrderClose(OrderTicket(),OrderLots(),Ask,3,Violet)) 145 Print("OrderClose error ",GetLastError()); 146 return; 147 } 148 //--- check for trailing stop 149 if(TrailingStop>0) 150 { 151 if((OrderOpenPrice()-Ask)>(Point*TrailingStop)) 152 { 153 if((OrderStopLoss()>(Ask+Point*TrailingStop)) || (OrderStopLoss()==0)) 154 { 155 156 stopLost = Ask+Point*TrailingStop; 157 if(Ask+Point*TrailingStop<MaCurrent) 158 { 159 stopLost = MaCurrent; 160 } 161 162 //--- modify order and exit 163 if(!OrderModify(OrderTicket(),OrderOpenPrice(),stopLost,OrderTakeProfit(),0,Red)) 164 Print("OrderModify error ",GetLastError()); 165 return; 166 } 167 } 168 169 if(OrderOpenPrice()<Ask) 170 { 171 if((Ask-OrderOpenPrice())>Point*TrailingStop) 172 { 173 if(!OrderClose(OrderTicket(),OrderLots(),Ask,3,Violet)) 174 Print("OrderClose error ",GetLastError()); 175 return; 176 } 177 if((OrderStopLoss()>(OrderOpenPrice()+Point*TrailingStop)) || (OrderStopLoss()==0)) 178 { 179 //--- modify order and exit 180 if(!OrderModify(OrderTicket(),OrderOpenPrice(),OrderOpenPrice()+Point*TrailingStop,OrderTakeProfit(),0,Red)) 181 Print("OrderModify error ",GetLastError()); 182 } 183 return; 184 } 185 } 186 } 187 } 188 } 189 //--- 190 }
昨天采用这套策略，抓到一个大行情，模拟盘赚了1万，实盘做的小，500美金的账号，每次下单0.01手，昨天一笔赚了10刀，把我昨天手动亏损的全赚回来了。
当时也是看模拟盘，模拟的不错，一激动入了金，结果发现，外汇还真不是好的发财门道。目前电脑做的比我好多了
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