區間突破策略

常聽到的是突破／跌破8:45~9:00就進場做多／空，我寫了一個可以突破任意時間前的高低才進場的EA，測了一下好像10點以後才進場比較好。不過參考就好，因為MT4的回測資料品質爛死惹（只能測到最近2個月的5分K）。

摩台指2/18~4/21，一天只進場一次

#property copyright   "2016, Bill Chen"

input double Lots = 0.1;    
input int hands  = 1;
extern int theMagicNum = 3732;

extern double startTime = 8.75;
extern double sendTime = 9;
extern double endTime = 13.5;

input string str4= "Timeframes 1,5,15,30,60,...";
input int    MATrendPeriod = 15;  

double takeProfit, highest15, lowest15;
datetime lastBarTime;
int flag = 0;

void OnTick(void){
   int    cnt,ticket,total, symbolOrders;    
   double curTime = (Hour()+12)%24 + Minute()/60.0;

   if(Month()==11 || Month()==12 || Month()==1 || Month()==2) curTime++;
   if(Bars<100){
      Print("bars less than 100");  
      return;
   }

   total=OrdersTotal();
   symbolOrders = 0;
 
   if(curTime==sendTime){
      int kbarnum = (sendTime-startTime)/0.083;
      highest15 = iHigh(NULL,MATrendPeriod,iHighest(NULL,MATrendPeriod,MODE_HIGH,kbarnum,0));
      lowest15 = iLow(NULL,MATrendPeriod,iLowest(NULL,MATrendPeriod,MODE_LOW,kbarnum,0));
      takeProfit = highest15 - lowest15;
      flag = 0;
   }

   for(cnt=0; cnt<total; cnt++){  
    if(!OrderSelect(cnt,SELECT_BY_POS,MODE_TRADES))   continue;
    if(OrderType()<=OP_SELL && OrderSymbol()==Symbol() && OrderMagicNumber()==theMagicNum)   symbolOrders++;  
  }
     
      //------send orders  starts -------
       if( symbolOrders < hands && (curTime>=sendTime && curTime<=endTime-0.05) && flag==0){
          if(AccountFreeMargin() < (1000*Lots)){  
             Print("We have no money. Free Margin = ",AccountFreeMargin());
             return;
          }
                                       
               if(iClose(NULL,MATrendPeriod,0) > highest15){    
              ticket = OrderSend(Symbol(), OP_BUY, Lots, Ask,3, 0, 0,"AMAtrading v.0.1.3", theMagicNum,0,Green);  flag=1;            
                     if(ticket>0){  
                        if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES)){ Print("BUY order opened : ",OrderOpenPrice());  
                        }else   Print("Error opening BUY order : ",GetLastError());
                        return;
                     }
        }else if(iClose(NULL,MATrendPeriod,0) < lowest15){   //v.0.1.2
                     ticket=OrderSend(Symbol(),OP_SELL,Lots,Bid,3, 0, 0,"AMAtrading v.0.1.3", theMagicNum,0,Red);  flag=1;
                     if(ticket>0){  
                        if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES)){ Print("SELL order opened : ",OrderOpenPrice());
                        }else   Print("Error opening SELL order : ",GetLastError());  
                        return;
                     }
               }
             
        }//------send orders  ends -------

    //-----orders handle starts-------  
   for(cnt=0;cnt<total;cnt++){  
      if(!OrderSelect(cnt,SELECT_BY_POS,MODE_TRADES))   continue;  
      if(OrderType()<=OP_SELL && OrderSymbol()==Symbol()  && OrderMagicNumber()==theMagicNum){
         if(OrderType()==OP_BUY){
     if(iClose(NULL,MATrendPeriod,0)<OrderOpenPrice()-takeProfit/2 || (Bid-OrderOpenPrice())>takeProfit*2 || curTime>=endTime){
     if(!OrderClose(OrderTicket(),OrderLots(),Bid,3,Violet))    Print("OrderClose error ",GetLastError());
               return;
     }
        }else{
       if(iClose(NULL,MATrendPeriod,0)>OrderOpenPrice()+takeProfit/2 || (OrderOpenPrice()-Ask)>takeProfit*2 || curTime>=endTime ){
     if(!OrderClose(OrderTicket(),OrderLots(),Ask,3,Violet))    Print("OrderClose error ",GetLastError());
               return;
              }
          }
      }
    }//-----orders handle ends-------

  }

Escalator Trading System

策略來自：http://www.bituzi.com/2014/03/EscalatorTradingSystem.html

簡單說就是，昨天是黑K，而今天是紅K，而且收盤又大於8MA和40MA，則明天高於這兩根的高點做多； 若昨天紅K，今天黑K，收盤又小於8MA和40MA，明天低於兩根的低點放空。
這兩根1黑1紅的K棒，看起來就像一邊上一邊下的電扶梯。

input double Lots          = 0.1;    
input int hands  = 1;
input int theMagicNum = 334;

extern string str1 = "Timeframe Setting";
input int timeFrame = 5;

double stopLoss,takeProfit;

void OnTick(void){

 int    cnt,ticket,total, symbolOrders;

   if(Bars<100){
      Print("bars less than 100");
      return;
   }

   total=OrdersTotal();
   symbolOrders = 0;

   for(cnt=0; cnt<total; cnt++){
    if(!OrderSelect(cnt,SELECT_BY_POS,MODE_TRADES))   continue;
    if(OrderType()<=OP_SELL && OrderSymbol()==Symbol() && OrderMagicNumber()==theMagicNum)   symbolOrders++;  
   }  
      //------send orders  starts -------
       if( symbolOrders < hands ){
          if(AccountFreeMargin() < (1000*Lots)){  
             Print("We have no money. Free Margin = ",AccountFreeMargin());
             return;
          }

          if(canBuy() && iClose(NULL,timeFrame,0)>=(High[iHighest(NULL,timeFrame,MODE_HIGH,2,1)]+1*Point)){
  ticket = OrderSend(Symbol(), OP_BUY, Lots, Ask,3, 0, 0,"EscalatorTradingSystem.v.0.1", theMagicNum,0,Green);
  stopLoss = High[iHighest(NULL,timeFrame,MODE_HIGH,2,1)]+1*Point-(Low[iLowest(NULL,timeFrame,MODE_LOW,2,1)]-1*Point);
  takeProfit = stopLoss*2;

            if(ticket>0){  
               if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES))    Print("BUY order opened : ",OrderOpenPrice());
            }else   Print("Error opening BUY order : ",GetLastError());
               return;          
   }else if(canSell() && iClose(NULL,timeFrame,0)<=(Low[iLowest(NULL,timeFrame,MODE_LOW,2,1)]-1*Point)){
              ticket=OrderSend(Symbol(),OP_SELL,Lots,Bid,3, 0, 0,"AMAtrading.v.0.3", theMagicNum,0,Red);
              stopLoss = High[iHighest(NULL,timeFrame,MODE_HIGH,2,1)]+1*Point-(Low[iLowest(NULL,timeFrame,MODE_LOW,2,1)]-1*Point);
           takeProfit = stopLoss*2;
               
                if(ticket>0){
                  if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES))    Print("SELL order opened : ",OrderOpenPrice());
                }else   Print("Error opening SELL order : ",GetLastError());  
              return;
           }
        }//------send orders  ends -------



    //-----orders handle starts-------  
   for(cnt=0;cnt<total;cnt++){  
      if(!OrderSelect(cnt,SELECT_BY_POS,MODE_TRADES))   continue;
      if(OrderType()<=OP_SELL && OrderSymbol()==Symbol()  && OrderMagicNumber()==theMagicNum ){
         if(OrderType()==OP_BUY){
if((Bid-OrderOpenPrice())>takeProfit || (OrderOpenPrice()-Ask)>stopLoss ){
if(!OrderClose(OrderTicket(),OrderLots(),Bid,3,Violet))    Print("OrderClose error ",GetLastError());
                    return;
}
        }else{
   if((OrderOpenPrice()-Ask)>takeProfit || (Bid-OrderOpenPrice())>stopLoss ){
if(!OrderClose(OrderTicket(),OrderLots(),Ask,3,Violet))    Print("OrderClose error ",GetLastError());
                      return;
              }
          }
      }
    }//-----orders handle ends-------
  }


bool canBuy(){
   double kRange1 = iHigh(NULL,timeFrame,1)-iLow(NULL,timeFrame,1),
          kRange2 = iHigh(NULL,timeFrame,2)-iLow(NULL,timeFrame,2);
       
   if(iClose(NULL,timeFrame,2)<=iLow(NULL,timeFrame,2)+kRange2*0.25 &&
      iClose(NULL,timeFrame,1)>=iHigh(NULL,timeFrame,1)-kRange1*0.25){
      if(iClose(NULL,timeFrame,1)>iMA(NULL,timeFrame,8,0,MODE_SMA,PRICE_CLOSE,0) &&
         iClose(NULL,timeFrame,1)>iMA(NULL,timeFrame,40,0,MODE_SMA,PRICE_CLOSE,0))
            return true;
      else return false;
   }else return false;
}

bool canSell(){
   double kRange1 = iHigh(NULL,timeFrame,1)-iLow(NULL,timeFrame,1),
          kRange2 = iHigh(NULL,timeFrame,2)-iLow(NULL,timeFrame,2);
       
   if(iClose(NULL,timeFrame,1)<=iLow(NULL,timeFrame,1)+kRange1*0.25 &&
      iClose(NULL,timeFrame,2)>=iHigh(NULL,timeFrame,2)-kRange2*0.25){
      if(iClose(NULL,timeFrame,1)<iMA(NULL,timeFrame,8,0,MODE_SMA,PRICE_CLOSE,0) &&
         iClose(NULL,timeFrame,1)<iMA(NULL,timeFrame,40,0,MODE_SMA,PRICE_CLOSE,0))
            return true;
      else return false;
   }else return false;
}

2013.3 to 2016.4 摩台指日K