MT4 STRATEGY EURUSD; M15
MT4 STRATEGY EURUSD; M15
{"entryLots":1,"stopLoss":96,"takeProfit":0,"useStopLoss":true,"useTakeProfit":false,"isTrailingStop":true},"openFilters":[{"name":"Candle Color","listIndexes":[0,0,0,0,0],"numValues":[30,1,0,0,0,0]}],"closeFilters":[{"name":"Bollinger Bands","listIndexes":[3,3,0,0,0],"numValues":[16,2.39,0,0,0,0]}]} */
//+------------------------------------------------------------------+
/*STRATEGY MARKET MetaTrader-Demo; EURUSD; M15 */
/*STRATEGY CODE {"properties":{"entryLots":1,"stopLoss":96,"takeProfit":0,"useStopLoss":true,"useTakeProfit":false,"isTrailingStop":true},"openFilters":[{"name":"Candle Color","listIndexes":[0,0,0,0,0],"numValues":[30,1,0,0,0,0]}],"closeFilters":[{"name":"Bollinger Bands","listIndexes":[3,3,0,0,0],"numValues":[16,2.39,0,0,0,0]}]} */
//+------------------------------------------------------------------+
//
static input string StrategyProperties__ = "------------"; // ------ Expert Properties ------
static input double Entry_Amount = 1.00; // Entry lots
input int Stop_Loss = 96; // Stop Loss (pips)
input int Take_Profit = 0; // Take Profit (pips)
static input string Ind0 = "------------";// ----- Candle Color -----
input int Ind0Param0 = 30; // Min body height [pips]
input int Ind0Param1 = 1; // Consecutive candles
static input string Ind1 = "------------";// ----- Bollinger Bands -----
input int Ind1Param0 = 16; // Period
input double Ind1Param1 = 2.39; // Deviation
static input string ExpertSettings__ = "------------"; // ------ Expert Settings ------
static input int Magic_Number = 96147472; // Magic Number
#define TRADE_RETRY_COUNT 4
#define TRADE_RETRY_WAIT 100
#define OP_FLAT -1
// Session time is set in seconds from 00:00
int sessionSundayOpen = 0; // 00:00
int sessionSundayClose = 86400; // 24:00
int sessionMondayThursdayOpen = 0; // 00:00
int sessionMondayThursdayClose = 86400; // 24:00
int sessionFridayOpen = 0; // 00:00
int sessionFridayClose = 86400; // 24:00
bool sessionIgnoreSunday = false;
bool sessionCloseAtSessionClose = false;
bool sessionCloseAtFridayClose = false;
const double sigma = 0.000001;
double posType = OP_FLAT;
int posTicket = 0;
double posLots = 0;
double posStopLoss = 0;
double posTakeProfit = 0;
datetime barTime;
int digits;
double pip;
double stopLevel;
bool isTrailingStop=true;
bool setProtectionSeparately=false;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int OnInit()
{
barTime = Time[0];
digits = (int) MarketInfo(_Symbol, MODE_DIGITS);
pip = GetPipValue(digits);
stopLevel = MarketInfo(_Symbol, MODE_STOPLEVEL);
isTrailingStop = isTrailingStop && Stop_Loss > 0;
const ENUM_INIT_RETCODE initRetcode = ValidateInit();
return (initRetcode);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void OnTick()
{
if(Time[0]>barTime)
{
barTime=Time[0];
OnBar();
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void OnBar()
{
UpdatePosition();
if(posType!=OP_FLAT && IsForceSessionClose())
{
ClosePosition();
return;
}
if(IsOutOfSession())
return;
if(posType!=OP_FLAT)
{
ManageClose();
UpdatePosition();
}
if(posType!=OP_FLAT && isTrailingStop)
{
double trailingStop=GetTrailingStop();
ManageTrailingStop(trailingStop);
UpdatePosition();
}
if(posType==OP_FLAT)
{
ManageOpen();
UpdatePosition();
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void UpdatePosition()
{
posType = OP_FLAT;
posTicket = 0;
posLots = 0;
int total = OrdersTotal();
for(int pos=total-1; pos>=0; pos--)
{
if(OrderSelect(pos,SELECT_BY_POS) &&
OrderSymbol()==_Symbol &&
OrderMagicNumber()==Magic_Number)
{
posType = OrderType();
posLots = OrderLots();
posTicket = OrderTicket();
posStopLoss = OrderStopLoss();
posTakeProfit = OrderTakeProfit();
break;
}
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void ManageOpen()
{
bool ind0long = false;
bool ind0short = false;
{
int consecutiveBullish = 0;
int consecutiveBearish = 0;
double pipVal = pip * Ind0Param0;
for (int b = Ind0Param1 + 2; b > 0; b--)
{
consecutiveBullish = Close(b) - Open(b) >= pipVal ? consecutiveBullish + 1 : 0;
consecutiveBearish = Open(b) - Close(b) >= pipVal ? consecutiveBearish + 1 : 0;
}
ind0long = consecutiveBullish >= Ind0Param1;
ind0short = consecutiveBearish >= Ind0Param1;
}
const bool canOpenLong = ind0long;
const bool canOpenShort = ind0short;
if(canOpenLong && canOpenShort)
return;
if(canOpenLong)
OpenPosition(OP_BUY);
else if(canOpenShort)
OpenPosition(OP_SELL);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void ManageClose()
{
double ind1upBand1 = iBands(NULL,0,Ind1Param0,Ind1Param1,0,PRICE_CLOSE,MODE_UPPER,1);
double ind1dnBand1 = iBands(NULL,0,Ind1Param0,Ind1Param1,0,PRICE_CLOSE,MODE_LOWER,1);
double ind1upBand2 = iBands(NULL,0,Ind1Param0,Ind1Param1,0,PRICE_CLOSE,MODE_UPPER,2);
double ind1dnBand2 = iBands(NULL,0,Ind1Param0,Ind1Param1,0,PRICE_CLOSE,MODE_LOWER,2);
bool ind1long = Open[0] > ind1upBand1 + sigma && Open[1] < ind1upBand2 - sigma;
bool ind1short = Open[0] < ind1dnBand1 - sigma && Open[1] > ind1dnBand2 + sigma;
if(posType==OP_BUY && ind1long)
ClosePosition();
else if(posType==OP_SELL && ind1short)
ClosePosition();
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void OpenPosition(int command)
{
for(int attempt=0; attempt<TRADE_RETRY_COUNT; attempt++)
{
int ticket = 0;
int lastError = 0;
bool modified = false;
double stopLoss = GetStopLoss(command);
double takeProfit = GetTakeProfit(command);
string comment = IntegerToString(Magic_Number);
color arrowColor = command==OP_BUY ? clrGreen : clrRed;
if(IsTradeContextFree())
{
double price=MarketInfo(_Symbol,command==OP_BUY ? MODE_ASK : MODE_BID);
if(setProtectionSeparately)
{
ticket=OrderSend(_Symbol,command,Entry_Amount,price,10,0,0,comment,Magic_Number,0,arrowColor);
if(ticket>0 && (Stop_Loss>0 || Take_Profit>0))
{
modified=OrderModify(ticket,0,stopLoss,takeProfit,0,clrBlue);
}
}
else
{
ticket=OrderSend(_Symbol,command,Entry_Amount,price,10,stopLoss,takeProfit,comment,Magic_Number,0,arrowColor);
lastError=GetLastError();
if(ticket<=0 && lastError==130)
{
ticket=OrderSend(_Symbol,command,Entry_Amount,price,10,0,0,comment,Magic_Number,0,arrowColor);
if(ticket>0 && (Stop_Loss>0 || Take_Profit>0))
{
modified=OrderModify(ticket,0,stopLoss,takeProfit,0,clrBlue);
}
if(ticket>0 && modified)
{
setProtectionSeparately=true;
Print("Detected ECN type position protection.");
}
}
}
}
if(ticket>0)
break;
lastError=GetLastError();
if(lastError!=135 && lastError!=136 && lastError!=137 && lastError!=138)
break;
Sleep(TRADE_RETRY_WAIT);
Print("Open Position retry no: "+IntegerToString(attempt+2));
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void ClosePosition()
{
for(int attempt=0; attempt<TRADE_RETRY_COUNT; attempt++)
{
bool closed;
int lastError=0;
if(IsTradeContextFree())
{
double price=MarketInfo(_Symbol,posType==OP_BUY ? MODE_BID : MODE_ASK);
closed=OrderClose(posTicket,posLots,price,10,clrYellow);
lastError=GetLastError();
}
if(closed)
break;
if(lastError==4108)
break;
Sleep(TRADE_RETRY_WAIT);
Print("Close Position retry no: "+IntegerToString(attempt+2));
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void ModifyPosition()
{
for(int attempt=0; attempt<TRADE_RETRY_COUNT; attempt++)
{
bool modified;
int lastError=0;
if(IsTradeContextFree())
{
modified=OrderModify(posTicket,0,posStopLoss,posTakeProfit,0,clrBlue);
lastError=GetLastError();
}
if(modified)
break;
if(lastError==4108)
break;
Sleep(TRADE_RETRY_WAIT);
Print("Modify Position retry no: "+IntegerToString(attempt+2));
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double GetStopLoss(int command)
{
if(Stop_Loss==0)
return (0);
double delta = MathMax(pip*Stop_Loss, _Point*stopLevel);
double price = MarketInfo(_Symbol, command==OP_BUY ? MODE_BID : MODE_ASK);
double stopLoss = command==OP_BUY ? price-delta : price+delta;
return (NormalizeDouble(stopLoss, digits));
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double GetTakeProfit(int command)
{
if(Take_Profit==0)
return (0);
double delta = MathMax(pip*Take_Profit, _Point*stopLevel);
double price = MarketInfo(_Symbol, command==OP_BUY ? MODE_BID : MODE_ASK);
double takeProfit = command==OP_BUY ? price+delta : price-delta;
return (NormalizeDouble(takeProfit, digits));
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double GetTrailingStop()
{
double bid=MarketInfo(_Symbol,MODE_BID);
double ask=MarketInfo(_Symbol,MODE_ASK);
double stopLevelPoints=_Point*stopLevel;
double stopLossPoints=pip*Stop_Loss;
if(posType==OP_BUY)
{
double stopLossPrice=High[1]-stopLossPoints;
if(posStopLoss<stopLossPrice-pip)
{
if(stopLossPrice<bid)
{
if(stopLossPrice>=bid-stopLevelPoints)
return (bid - stopLevelPoints);
else
return (stopLossPrice);
}
else
{
return (bid);
}
}
}
else if(posType==OP_SELL)
{
double stopLossPrice=Low[1]+stopLossPoints;
if(posStopLoss>stopLossPrice+pip)
{
if(stopLossPrice>ask)
{
if(stopLossPrice<=ask+stopLevelPoints)
return (ask + stopLevelPoints);
else
return (stopLossPrice);
}
else
{
return (ask);
}
}
}
return (posStopLoss);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void ManageTrailingStop(double trailingStop)
{
double bid=MarketInfo(_Symbol,MODE_BID);
double ask=MarketInfo(_Symbol,MODE_ASK);
if(posType==OP_BUY && MathAbs(trailingStop-bid)<_Point)
{
ClosePosition();
}
else if(posType==OP_SELL && MathAbs(trailingStop-ask)<_Point)
{
ClosePosition();
}
else if(MathAbs(trailingStop-posStopLoss)>_Point)
{
posStopLoss=NormalizeDouble(trailingStop,digits);
ModifyPosition();
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
datetime Time(int bar)
{
return Time[bar];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Open(int bar)
{
return Open[bar];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double High(int bar)
{
return High[bar];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Low(int bar)
{
return Low[bar];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Close(int bar)
{
return Close[bar];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double GetPipValue(int digit)
{
if(digit==4 || digit==5)
return (0.0001);
if(digit==2 || digit==3)
return (0.01);
if(digit==1)
return (0.1);
return (1);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool IsTradeContextFree()
{
if(IsTradeAllowed())
return (true);
uint startWait=GetTickCount();
Print("Trade context is busy! Waiting...");
while(true)
{
if(IsStopped())
return (false);
uint diff=GetTickCount()-startWait;
if(diff>30*1000)
{
Print("The waiting limit exceeded!");
return (false);
}
if(IsTradeAllowed())
{
RefreshRates();
return (true);
}
Sleep(TRADE_RETRY_WAIT);
}
return (true);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool IsOutOfSession()
{
MqlDateTime time0; TimeToStruct(Time[0],time0);
int weekDay = time0.day_of_week;
long timeFromMidnight = Time[0]%86400;
int periodLength = PeriodSeconds(_Period);
bool skipTrade = false;
if(weekDay==0)
{
if(sessionIgnoreSunday) return true;
int lastBarFix=sessionCloseAtSessionClose ? periodLength : 0;
skipTrade=timeFromMidnight<sessionSundayOpen || timeFromMidnight+lastBarFix>sessionSundayClose;
}
else if(weekDay<5)
{
int lastBarFix=sessionCloseAtSessionClose ? periodLength : 0;
skipTrade=timeFromMidnight<sessionMondayThursdayOpen || timeFromMidnight+lastBarFix>sessionMondayThursdayClose;
}
else
{
int lastBarFix=sessionCloseAtFridayClose || sessionCloseAtSessionClose ? periodLength : 0;
skipTrade=timeFromMidnight<sessionFridayOpen || timeFromMidnight+lastBarFix>sessionFridayClose;
}
return (skipTrade);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool IsForceSessionClose()
{
if(!sessionCloseAtFridayClose && !sessionCloseAtSessionClose)
return (false);
MqlDateTime time0; TimeToStruct(Time[0],time0);
int weekDay = time0.day_of_week;
long timeFromMidnight = Time[0]%86400;
int periodLength = PeriodSeconds(_Period);
int lastBarFix = sessionCloseAtSessionClose ? periodLength : 0;
bool forceExit=false;
if(weekDay==0)
{
forceExit=timeFromMidnight+lastBarFix>sessionSundayClose;
}
else if(weekDay<5)
{
forceExit=timeFromMidnight+lastBarFix>sessionMondayThursdayClose;
}
else
{
int fridayBarFix=sessionCloseAtFridayClose || sessionCloseAtSessionClose ? periodLength : 0;
forceExit=timeFromMidnight+fridayBarFix>sessionFridayClose;
}
return (forceExit);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
ENUM_INIT_RETCODE ValidateInit()
{
return (INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
/*STRATEGY MARKET MetaTrader-Demo; EURUSD; M15 */
/*STRATEGY CODE {"properties":{"entryLots":1,"stopLoss":96,"takeProfit":0,"useStopLoss":true,"useTakeProfit":false,"isTrailingStop":true},"openFilters":[{"name":"Candle Color","listIndexes":[0,0,0,0,0],"numValues":[30,1,0,0,0,0]}],"closeFilters":[{"name":"Bollinger Bands","listIndexes":[3,3,0,0,0],"numValues":[16,2.39,0,0,0,0]}]} */
'''
MT4のバックテストの際は遺伝的アルゴリズムの選択を。
Udemyの講座で勉強中。MT4のバックテストを行うときに、遺伝的アルゴリズムにチェックしてテストを実施すると、総当たりではなく、劣性のパターンは端折るので、計算が早く終わるらしい。４つのMT4で同時に実施すると違った結果が出てくるのでのが良いとの話も。
MT4でトレーリングストップを設定する場合のポイント
MT4でトレーリングストップを設定する場合のポイントとは？
提示レートが小数点以下２桁の場合 0.01
提示レートが小数点以下３桁の場合 0.001
提示レートが小数点以下４桁の場合 0.0001
提示レートが小数点以下５桁の場合 0.00001
裁量トレード。Bought GBPUSD 1.31417
裁量トレード。Bought GBPUSD 1.31417です。
買ってすぐに上昇したので、SLは買値の少し上、1.3142にセット、TPはAutochartistに従って、1.3187にセット。これで一安心。
しかし、結局、SLに引っかかって、微益に止まる。SLの設定って難しい。
QuantConnectにて自動売買にチャレンジ
最初のコーディングは以下のリンクを参考にして作成してみます。
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