NINJATRADERの先物自動売買システム例
Suggested/Required Capital:
Suggested Capital is a calculated value which uses the system''s worse historical drawdown and volatilty to target a future drawdown less than -33%. No guarantee can be made that the system will not lose significantly more than 33% of the suggested capital amount.
Required Capital is the amount which must be in the account in order to activate the system for live trading, and is based on the contract''s margin plus the worst historical session loss for the system.
BTCUSDのStrategyを作ってみようか。
Stratgy No1
Open a long position at Bar Open when RVI(Period 13, Level0) Rises, close a long position at Bar Open when Bulls Power(Period 41, Level 0) Rises
Open a short position at Bar Open when RVI(Period 13, Level0) falls, Close a short position at Bar Open when Bulls Power(Period 41, Level 0) falls.
Stop Loss 16 pips
//
#property strict
static input string StrategyProperties__ = "------------"; // ------ Expert Properties ------
static input double Entry_Amount = 1.00; // Entry lots
input int Stop_Loss = 16; // Stop Loss (pips)
input int Take_Profit = 0; // Take Profit (pips)
static input string Ind0 = "------------";// ----- RVI -----
input int Ind0Param0 = 13; // Period
input double Ind0Param1 = 0.00; // Level
static input string Ind1 = "------------";// ----- Bulls Power -----
input int Ind1Param0 = 41; // Period
input double Ind1Param1 = 0.0000; // Level
static input string ExpertSettings__ = "------------"; // ------ Expert Settings ------
static input int Magic_Number = 14665700; // 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=false;
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()
{
double ind0val1 = iRVI(NULL,0,Ind0Param0,MODE_MAIN,1);
double ind0val2 = iRVI(NULL,0,Ind0Param0,MODE_MAIN,2);
bool ind0long = ind0val1 > ind0val2 + sigma;
bool ind0short = ind0val1 < ind0val2 - sigma;
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 ind1val1 = iBullsPower(NULL,0,Ind1Param0,PRICE_CLOSE,1);
double ind1val2 = iBullsPower(NULL,0,Ind1Param0,PRICE_CLOSE,2);
bool ind1long = ind1val1 > ind1val2 + sigma;
bool ind1short = ind1val1 < ind1val2 - 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 Alpari-Demo; XAUUSD; M15 */
/*STRATEGY CODE {"properties":{"entryLots":1,"stopLoss":16,"takeProfit":0,"useStopLoss":true,"useTakeProfit":false,"isTrailingStop":false},"openFilters":[{"name":"RVI","listIndexes":[0,0,0,0,0],"numValues":[13,0,0,0,0,0]}],"closeFilters":[{"name":"Bulls Power","listIndexes":[0,0,0,0,0],"numValues":[41,0,0,0,0,0]}]} */
Strategy No2
Open a long position at Bar Open when Bullish Candle Opened (Min Body Height(Pips 15,Consecutive candles1 ), close a long position at Bar Open when Moving Average of Oscillator(OsMA) (Apply to Close, Fast EMA 20, Slow EMA 32, MACD SMA 9, Level0) Open a short position at Bar Open when Bullish Candle Opened (Min Body Height(Pips 15,Consecutive candles1 ), close a long position at Bar Open when Moving Average of Oscillator(OsMA) (Apply to Close, Fast EMA 20, Slow EMA 32, MACD SMA 9, Level0)
//
#property strict
static input string StrategyProperties__ = "------------"; // ------ Expert Properties ------
static input double Entry_Amount = 1.00; // Entry lots
input int Stop_Loss = 0; // Stop Loss (pips)
input int Take_Profit = 0; // Take Profit (pips)
static input string Ind0 = "------------";// ----- Candle Color -----
input int Ind0Param0 = 15; // Min body height [pips]
input int Ind0Param1 = 1; // Consecutive candles
static input string Ind1 = "------------";// ----- Moving Average of Oscillator -----
input int Ind1Param0 = 20; // Fast EMA
input int Ind1Param1 = 32; // Slow EMA
input int Ind1Param2 = 9; // MACD SMA
input double Ind1Param3 = 0.0000; // Level
static input string ExpertSettings__ = "------------"; // ------ Expert Settings ------
static input int Magic_Number = 22990071; // 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=false;
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 ind1val1 = iOsMA(NULL,0,Ind1Param0,Ind1Param1,Ind1Param2,PRICE_CLOSE,1);
double ind1val2 = iOsMA(NULL,0,Ind1Param0,Ind1Param1,Ind1Param2,PRICE_CLOSE,2);
bool ind1long = ind1val1 < ind1val2 - sigma;
bool ind1short = ind1val1 > ind1val2 + 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 Alpari-Demo; XAUUSD; M15 */
/*STRATEGY CODE {"properties":{"entryLots":1,"stopLoss":100,"takeProfit":100,"useStopLoss":false,"useTakeProfit":false,"isTrailingStop":false},"openFilters":[{"name":"Candle Color","listIndexes":[0,0,0,0,0],"numValues":[15,1,0,0,0,0]}],"closeFilters":[{"name":"Moving Average of Oscillator","listIndexes":[1,3,0,0,0],"numValues":[20,32,9,0,0,0]}]} */
最適化に必要なBarの数
最適化に必要なBarの数は長すぎてもよくないし、短すぎてもよくないとのこと。目安は以下の通り。最適化をする時には細い数字でパラメータを調整してもオーバーオプティマイゼーションになるから避けるようにとのこと。
NinjatraderからCoinBaseのデータを取得しMT４に読み込ませた。
NinjatraderからBitMexのデータが取得できないので、CoinBaseのBTCUSDの１分足のデータを取得し、MT4にアップロードし、EA Studioに読み込ませた。ようやくEAのジェネレーションに。15分足のストラテジーを作成させる。
2018年以降のデータでシミュレーション
続きは明日。
NinjaTraderでBitMexのヒストリカルデータを取得してみたい。
NinjaTraderをダウンロードしてみよう。
BitMexのAdd-onをインストール github.com
Ninjartraderのヒストリカルデータメニューから2017年からのデータをダウンロードします。
ついにデータが取得できました。
Mt4のヒストリーセンターからデータをインポートします。
MT4にデータを取り込めました。
period converterを使って他の時間足のデータも生成します。時間がえらくかかるのですが、大丈夫でしょうか？
うまくいかないので、Period Converterというスクリプトを使います。
「Period multiplier factor」に「15」「30」「60」「240」「1440」を設定して、それぞれの時間足のデータも作成。 このサイトも参考に。
MT4 ヒストリカルデータ（過去データ）のインポート・設定手順 - ただいまFX自動売買中
なんかうまくいかないと思ったら、数日分しか取得できない。BitMexに聞いてみます。今日は断念。
