//+------------------------------------------------------------------+ //| Bollin_EA_08.mq4 | //| 2012.05.25 amenbo | //+------------------------------------------------------------------+ #define Magic_ID 1930 extern double Lots=1; extern int max_position=1;//最大保有ポジション数 // 損益設定 //「@A」は最適化の実施後での設定値 extern double profit=0.60; extern double loss=0.70; extern double profit_2=0.60; extern double loss_2=0.50; // @Bollinの幅 extern int period_bollin=40; extern double IKA=0.4; extern double IZYOU=0.2; // Aフィルター設定 extern int shortPeriod_buy=50; extern int mediumPeriod_buy=120; extern double short_buy=-0.0044; extern double long_buy=-0.0006; //　　・・sell専用 extern int shortPeriod_sell=35; extern int mediumPeriod_sell=180; extern double short_sell=0.0044; extern double long_sell=0.0006; //----------------------------- //　Bトレンド判断 extern int trendPeriod=300;//70 extern double _up=-0.00024;//-0.0004 extern double _down=0.00024; extern double div_=0.04; //===================================== static datetime lastbar; datetime in_time,out_time; int barsTotal; //売買シグナル判定用の配列データ double EMA_[10]; double Bol_hi[10]; double Bol_lo[10]; double Price_01[10000]; double Trend_[10000]; ////////////////////////// int init() { // lastbar=Time[1]; barsTotal = Bars; in_time=Time[20]; // return(0); } int deinit() { return(0); } /////////////////////////////////////// int start() { if(Bars<100 || IsTradeAllowed()==false) return; //　NewBarかチェック if(IsNewBar() && (Bars>barsTotal)) { barsTotal=Bars; //＜ポジションが在る場合の処理＞ if(OrdersTotal()>=1) { for(int i=0;i=(300*Period()*60); if(OrderType()==OP_BUY) { double kachi_buy_price=OrderOpenPrice()+profit; double make_buy_price=OrderOpenPrice()-loss; // bool kachi_buy=(Bid>=kachi_buy_price); bool make_buy=(Bid<=make_buy_price); // if(kachi_buy || make_buy || ikisugi) { OrderClose(OrderTicket(),Lots,Bid,0,Blue); continue; } } if(OrderType()==OP_SELL) { double kachi_sell_price=OrderOpenPrice()-profit; double make_sell_price=OrderOpenPrice()+loss; // bool kachi_sell=(Ask<=kachi_sell_price); bool make_sell=(Ask>=make_sell_price); // if(kachi_sell || make_sell || ikisugi) { OrderClose(OrderTicket(),Lots,Ask,0,Blue); continue; } } } } }//end_of_if(OrdersTotal()>=1) //＜新規ポジションの設定と方針＞ //アップトレンドでは⇒buyINのみ実施（順張り） //ダウントレンドでは⇒sellINのみ実施（順張り） //レンジ相場では ⇒buyとsell（逆張り？― //if(OrdersTotal()<=max_position) if(OrdersTotal()==0) { //判断用の配列を準備 ArraySetAsSeries(Bol_hi,true); ArraySetAsSeries(Bol_lo,true); // for(int j=0;j<=6;j++) { Bol_hi[j]=iBands(NULL,0,period_bollin,2,0,PRICE_OPEN,MODE_UPPER,j); //2_σ Bol_lo[j]=iBands(NULL,0,period_bollin,2,0,PRICE_OPEN,MODE_LOWER,j); //2_σ } //判断用の共通指標を準備 bool Subtract=((IZYOU<(Bol_hi[0]-Bol_lo[0])) && ((Bol_hi[0]-Bol_lo[0])=(19*Period()*60)); bool TREND_UP=((slope_kaiki(0,trendPeriod))<=(_up)) && (call_hensa(0,trendPeriod)<=div_); bool TREND_DOWN=((slope_kaiki(0,trendPeriod))>=(_down)) && (call_hensa(0,trendPeriod)<=div_); ////if(TREND_UP) ////{ //USDJPYの上昇相場（円安） //買い条件は整ったか bool cross_up_1=((High[1]>Bol_hi[1]) && (Open[0]>Bol_hi[0])); bool cross_up_2=((Open[3]Bol_hi[2]) && (High[1]>Bol_hi[1]) && (Open[0]>Bol_hi[0])); //Filter；本当に買いか double slope_s_buy=slope_kaiki(0,shortPeriod_buy); double slope_m_buy=slope_kaiki(0,mediumPeriod_buy); bool SLOPE_BUY=((slope_s_buy<=short_buy) && (slope_m_buy<=long_buy)); // if(((cross_up || cross_up_rapid) && SLOPE_BUY) && Subtract && hanareta) { OrderSend(Symbol(),OP_BUY,Lots,Ask,0,0,0,"my_Buy_order",Magic_ID,Green); in_time=Time[0]; } ////} else if(TREND_DOWN) ////{ ///+ //USDJPYの下降相場（円高） //売り条件は整ったか bool cross_down_1=((Low[1]Bol_lo[3]) && (Open[2]>Bol_lo[2])); bool cross_down_3=((Open[4]>Bol_lo[4]) && (Open[3]>Bol_lo[3])); bool cross_down_4=((Open[5]>Bol_lo[5]) && (Open[4]>Bol_lo[4])); bool cross_down_5=((Open[6]>Bol_lo[6]) && (Open[5]>Bol_lo[5])); bool cross_down=(cross_down_1 && (cross_down_2 || cross_down_3 || cross_down_4 || cross_down_5)); //条件の補足 bool cross_down_rapid=((Low[2]=short_sell) && (slope_m_sell>=long_sell); // if(((cross_down || cross_down_rapid) && SLOPE_SELL) && Subtract && hanareta) { OrderSend(Symbol(),OP_SELL,Lots,Bid,0,0,0,"my_Sell_order",Magic_ID,Red); in_time=Time[0]; } //*/ ////} else if(TREND_UP==false && TREND_DOWN==false) ////{ //レンジ相場 //内容は検討中です ////} }//end_of_if(OrdersTotal()<=max_position) } else { //［５分足］内で起こる急変に対応する処理を記載する //　バックテストでは確認が困難な部分 if(OrdersTotal()>=1) { for(int ii=0;ii=i_kachi_buy_price); bool i_make_buy=(Bid<=i_make_buy_price); // if(i_kachi_buy || i_make_buy) { OrderClose(OrderTicket(),Lots,Bid,0,Blue); continue; } } if(OrderType()==OP_SELL) { double i_kachi_sell_price=OrderOpenPrice()-profit_2; double i_make_sell_price=OrderOpenPrice()+loss_2; // bool i_kachi_sell=(Ask<=i_kachi_sell_price); bool i_make_sell=(Ask>=i_make_sell_price); // if(i_kachi_sell || i_make_sell) { OrderClose(OrderTicket(),Lots,Ask,0,Blue); continue; } } } } }//end_of_if(OrdersTotal()>=1) } return(0); } /////////////////////////　以下は関数類　/////////////////////////////////////// bool IsNewBar() { datetime curbar = Time[0]; // Open time of current bar if (lastbar!=curbar) { lastbar=curbar; return (true); } return(false); } //------------------------------------------ double slope_kaiki(int start_s,int period_s) { ArraySetAsSeries(Price_01,true); Price_01[0]=Open[0]; for(int j_=(start_s+1);j_<=((start_s+1)+(2*period_s));j_++) { Price_01[j_]=(1.0/4.0)*(Open[j_]+High[j_]+Low[j_]+Close[j_]); } double slope=kaiki_sen(Price_01,start_s,period_s,0); // return(slope); } // double call_hensa(int start_h,int period_h) { double koubai_M=kaiki_sen(Price_01,start_h,period_h,0); double seppen_M=kaiki_sen(Price_01,start_h,period_h,1); // double ooM=0; double sigma=0; for(int pM=start_h;pM<=(start_h+period_h);pM++) { Trend_[pM]=koubai_M*ooM+seppen_M; ooM=ooM+1; // double div_=(Price_01[pM]-Trend_[pM])*(Price_01[pM]-Trend_[pM]); sigma=sigma+div_; } double div=sigma/100;//100足あたりの値 //Print内容は、logファイルにも記録されるので、バックテスト時に異常解析の邪魔になる // Print("勾配は＝　 ",koubai_M); // Print("回帰線からの偏差＝　",div); // Comment("勾配は＝ ",koubai_M,":回帰線からの偏差＝　",div); //--- return(div); } //------------------------------------------ //回帰直線の傾き、切辺を返す double kaiki_sen(double& price_[],int start_,int period_,int what_) { double X_av=0.0,X_i=0.0; double Y_av=0.0,Y_i=0.0; double i_D; // ArraySetAsSeries(price_,true); //まず、平均値を求める for(int i=start_;i<=(start_+period_);i++) { i_D=i*1.0; X_i=X_i+i_D; Y_i=Y_i+price_[i]; } X_av=(X_i/(period_+1)); //X_av=(start_+(start_+period_))/period_; Y_av=(Y_i/(period_+1)); //加算 double bunshi=0.0,bunbo=0.0; double koubai_=0.0,seppen_=0.0; double j_D; // for(int j=start_;j<=(start_+period_);j++) { j_D=j*1.0; bunshi=bunshi+(j_D-X_av)*(price_[j]-Y_av); bunbo=bunbo+(j_D-X_av)*(j_D-X_av); } koubai_=bunshi/bunbo; //////seppen_=Y_av-(koubai_*X_av);//良い値が出ない seppen_=price_[start_]; // if(what_==0) return(koubai_); if(what_==1) return(seppen_); // } //****************************************************************************