MT4平台上mql4实现的基于macd指标的智能交易EA

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;
                   }
               }
            }
         }
      }
 //---
   }

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