基于大众交易系统和交易机器人优化点金术的Expert Advisor(续)
Nikolay Kositsin | 17 三月, 2016
简介
我收到上一篇文章的一位读者的提议，对回测过程稍加自动化，以实现同时获得所有优化结果的可能性。此外，手动改变测试周期不是很方便，该过程也应该自动化。这个想法非常棒。而且，MQL4 完全可以实现。所以，我将从问题的解决方法开始讲述。
回测自动化
要完成该任务我们需要：
1.在所需的 Expert Advisor 标头下面写入一行，内容如下：
//+==================================================================+ //| Custom BackTesting function | //+==================================================================+ #include <IsBackTestingTime.mqh>
使用该指令，将 IsBackTestingTime() 函数加入 EA 代码。不要忘记将 IsBackTestingTime.mqh 文件放入 INCLUDE 文件夹。该函数：
bool IsBackTestingTime()
{
} 用于定义时间周期，在该时间内进行回测优化或回测。在该时间周期内，函数始终返回‘真’，在其他时间则返回‘假’。除了这个函数，通过以下指令将外部 EA 变量添加到 EA 代码：
//---- Declaration of external variables for backtesting extern datetime Start_Time = D'2007.01.01'; // start time of zero optimization extern int Opt_Period = 3; // optimization period in months, if less than zero, parameters are in days extern int Test_Period = 2; // testing period in months extern int Period_Shift = 1; // step of optimization period shift in months extern int Opt_Number = 0; // optimization number
希望这些变量的含义对于读了我上一篇文章的人都很清楚，这里就不再解释。
2.在 EA 代码前的开始函数程序块设置调用 IsBackTestingTime() 函数的最简单的通用代码，根据回测优化的数量将 EA 运行限制在特定的时间范围。
//----+ Execution of backtesting conditions if (!IsBackTestingTime()) return(0);
它的示意图如下：
//+==================================================================+ //| Exp_BackTest.mq4 | //| Copyright © 2008, Nikolay Kositsin | //| Khabarovsk, farria@mail.redcom.ru | //+==================================================================+ #property copyright "Copyright © 2008, Nikolay Kositsin" #property link "farria@mail.redcom.ru" //+==================================================================+ //| Custom BackTesting function | //+==================================================================+ #include <IsBackTestingTime.mqh> //---- INPUT PARAMETERS OF THE EA //---- GLOBAL VARIABLES OF THE EA //+==================================================================+ //| USER-DEFINED FUNCTIONS OF THE EA | //+==================================================================+ //+==================================================================+ //| Custom Expert initialization function | //+==================================================================+ int init() { //----+ +------------------------------------------------------------+ //---- CODE FOR THE EA INITIALIZATION //----+ +------------------------------------------------------------+ //---- end of initialization return(0); } //+==================================================================+ //| Custom Expert iteration function | //+==================================================================+ int start() { //----+ Execution of backtesting conditions if (!IsBackTestingTime()) return(0); //----+ +---------------------------------------------------------+ //----+ CODE OF THE EA ALGORITHM //----+ +---------------------------------------------------------+ //----+ return(0); } //+------------------------------------------------------------------+
如果你对现成 EA 示例上的详细问题解决方案感兴趣，查看 EA 代码 Exp_5_1.mq4，源于上一篇文章中的 Exp_5.mq4，经修改后用于回测。实际上，与简单的 Expert Advisor 相比，这种 EA 的优化没有多大不同。但是，我认为除了 Opt_Number 变量外，回测变量应该进行优化，不过你可能有不同的看法。
重要的是记住：在测试优化后，我们得到的不是优化期间的结果，而是在其之后（右侧边界之外）的结果。使用遗传算法在一次运行内进行所有的回测优化并非最好的决定，在没有优化输入变量 Opt_Number 的情况下，单独深入分析每个回测优化更加有趣。
但即使在这种情况下，这种方法也促进了对 EA 行为的理解。应该记住，外部变量 Opt_Number 的值可以从零变化到某个最大值，该最大值可以使用以下方式定义：从执行所有回测优化的总周期（月数）减去回测优化周期的月数（Opt_Period）和减去回测周期（Test_Period）。获得的值加一。如果 Period_Shift 等于一，获得的结果将是 Opt_Number 变量的最大值。
基于两条移动线交叉的交易系统
这种交易系统的变体非常普遍。现在我们来分析奠定这种策略的算法。对于做多头寸，输入的算法如下：
对于做空头寸，则如下：
可以使用在指标中定义平均线的具有不同参数的两条相同移动线。假设定义 MovA 移动平均线的参数始终小于 MovB 移动平均线的同一参数。这样，在该交易系统中，MovA 是快速移动线，MovB 是慢速线。下面是基于两条 JMA 移动线的交易系统的实现变体：
//+==================================================================+ //| Exp_6.mq4 | //| Copyright © 2007, Nikolay Kositsin | //| Khabarovsk, farria@mail.redcom.ru | //+==================================================================+ #property copyright "Copyright © 2007, Nikolay Kositsin" #property link "farria@mail.redcom.ru" //----+ +-------------------------------------------------------------------------------+ //---- EA INPUT PARAMETERS FOR BUY TRADES extern bool Test_Up = true;//filter of trade calculations direction extern int Timeframe_Up = 240; extern double Money_Management_Up = 0.1; extern int LengthA_Up = 4; // smoothing depth of the quick moving extern int PhaseA_Up = 100; // parameter changing in the range //-100 ... +100, influences the quality of transient process of quick moving extern int IPCA_Up = 0;/* Selecting prices, on which the indicator will be calculated by the quick moving (0-CLOSE, 1-OPEN, 2-HIGH, 3-LOW, 4-MEDIAN, 5-TYPICAL, 6-WEIGHTED, 7-Heiken Ashi Close, 8-SIMPL, 9-TRENDFOLLOW, 10-0.5*TRENDFOLLOW, 11-Heiken Ashi Low, 12-Heiken Ashi High, 13-Heiken Ashi Open, 14-Heiken Ashi Close.) */ extern int LengthB_Up = 4; // smoothing depth increment of slow moving to quick one extern int PhaseB_Up = 100; // parameter changing in the range //-100 ... +100, influences the quality of transient process of slow moving; extern int IPCB_Up = 0;/* Selecting prices, on which the indicator will be calculated by the slow moving (0-CLOSE, 1-OPEN, 2-HIGH, 3-LOW, 4-MEDIAN, 5-TYPICAL, 6-WEIGHTED, 7-Heiken Ashi Close, 8-SIMPL, 9-TRENDFOLLOW, 10-0.5*TRENDFOLLOW, 11-Heiken Ashi Low, 12-Heiken Ashi High, 13-Heiken Ashi Open, 14-Heiken Ashi Close.) */ extern int STOPLOSS_Up = 50; // stop loss extern int TAKEPROFIT_Up = 100; // take profit extern bool ClosePos_Up = true; // forced position closing allowed //----+ +-------------------------------------------------------------------------------+ //---- EA INPUT PARAMETERS FOR SELL TRADES extern bool Test_Dn = true;//filter of trade calculations direction extern int Timeframe_Dn = 240; extern double Money_Management_Dn = 0.1; extern int LengthA_Dn = 4; // smoothing depth of the quick moving extern int PhaseA_Dn = 100; // parameter changing in the range // -100 ... +100, influences the quality of transient process of quick moving; extern int IPCA_Dn = 0;/* Selecting prices, on which the indicator will be calculated by the quick moving (0-CLOSE, 1-OPEN, 2-HIGH, 3-LOW, 4-MEDIAN, 5-TYPICAL, 6-WEIGHTED, 7-Heiken Ashi Close, 8-SIMPL, 9-TRENDFOLLOW, 10-0.5*TRENDFOLLOW, 11-Heiken Ashi Low, 12-Heiken Ashi High, 13-Heiken Ashi Open, 14-Heiken Ashi Close.) */ extern int LengthB_Dn = 4; // smoothing depth increment of slow moving to quick one extern int PhaseB_Dn = 100; // parameter changing in the range // -100 ... +100, influences the quality of transient process of slow moving; extern int IPCB_Dn = 0;/* Selecting prices, on which the indicator will be calculated by the slow moving(0-CLOSE, 1-OPEN, 2-HIGH, 3-LOW, 4-MEDIAN, 5-TYPICAL, 6-WEIGHTED, 7-Heiken Ashi Close, 8-SIMPL, 9-TRENDFOLLOW, 10-0.5*TRENDFOLLOW, 11-Heiken Ashi Low, 12-Heiken Ashi High, 13-Heiken Ashi Open, 14-Heiken Ashi Close.) */ extern int STOPLOSS_Dn = 50; // stop loss extern int TAKEPROFIT_Dn = 100; // take profit extern bool ClosePos_Dn = true; // forced position closing allowed //----+ +-------------------------------------------------------------------------------+ //---- Integer variables for the minimum of calculation bars int MinBar_Up, MinBar_Dn; //+==================================================================+ //| Custom Expert functions | //+==================================================================+ #include <Lite_EXPERT1.mqh> //+==================================================================+ //| Custom Expert initialization function | //+==================================================================+ int init() { //---- Checking the correctness of Timeframe_Up variable value if (Timeframe_Up != 1) if (Timeframe_Up != 5) if (Timeframe_Up != 15) if (Timeframe_Up != 30) if (Timeframe_Up != 60) if (Timeframe_Up != 240) if (Timeframe_Up != 1440) Print(StringConcatenate("Parameter Timeframe_Up cannot ", "be equal to ", Timeframe_Up, "!!!")); //---- Checking the correctness of Timeframe_Dn variable value if (Timeframe_Dn != 1) if (Timeframe_Dn != 5) if (Timeframe_Dn != 15) if (Timeframe_Dn != 30) if (Timeframe_Dn != 60) if (Timeframe_Dn != 240) if (Timeframe_Dn != 1440) Print(StringConcatenate("Parameter Timeframe_Dn cannot ", "be equal to ", Timeframe_Dn, "!!!")); //---- Initialization of variables MinBar_Up = 4 + 30; MinBar_Dn = 4 + 30; //---- end of initialization return(0); } //+==================================================================+ //| expert deinitialization function | //+==================================================================+ int deinit() { //----+ //---- End of EA deinitialization return(0); //----+ } //+==================================================================+ //| Custom Expert iteration function | //+==================================================================+ int start() { //----+ Declaring local variables int bar; double MovA[2], MovB[2]; //----+ Declaring static variables static int LastBars_Up, LastBars_Dn; static bool BUY_Sign, BUY_Stop, SELL_Sign, SELL_Stop; //----++ CODE FOR LONG POSITIONS if (Test_Up) { int IBARS_Up = iBars(NULL, Timeframe_Up); if (IBARS_Up >= MinBar_Up) { if (LastBars_Up != IBARS_Up) { //----+ Initialization of variables BUY_Sign = false; BUY_Stop = false; LastBars_Up = IBARS_Up; //----+ CALCULATING INDICATOR VALUES AND UPLOADING THEM TO BUFFERS for(bar = 1; bar < 3; bar++) MovA[bar - 1] = iCustom(NULL, Timeframe_Up, "JJMA", LengthA_Up, PhaseA_Up, 0, IPCA_Up, 0, bar); for(bar = 1; bar < 3; bar++) MovB[bar - 1] = iCustom(NULL, Timeframe_Up, "JJMA", LengthA_Up + LengthB_Up, PhaseB_Up, 0, IPCB_Up, 0, bar); //----+ DEFINING SIGNALS FOR TRADES if ( MovA[1] < MovB[1]) if ( MovA[0] > MovB[0]) BUY_Sign = true; if ( MovA[0] > MovB[0]) BUY_Stop = true; } //----+ EXECUTION OF TRADES if (!OpenBuyOrder1(BUY_Sign, 1, Money_Management_Up, STOPLOSS_Up, TAKEPROFIT_Up)) return(-1); if (ClosePos_Up) if (!CloseOrder1(BUY_Stop, 1)) return(-1); } } //----++ CODE FOR SHORT POSITIONS if (Test_Dn) { int IBARS_Dn = iBars(NULL, Timeframe_Dn); if (IBARS_Dn >= MinBar_Dn) { if (LastBars_Dn != IBARS_Dn) { //----+ Initialization of variables SELL_Sign = false; SELL_Stop = false; LastBars_Dn = IBARS_Dn; //----+ CALCULATING INDICATOR VALUES AND UPLOADING THEM TO BUFFERS for(bar = 1; bar < 3; bar++) MovA[bar - 1] = iCustom(NULL, Timeframe_Dn, "JJMA", LengthA_Dn, PhaseA_Dn, 0, IPCA_Dn, 0, bar); for(bar = 1; bar < 3; bar++) MovB[bar - 1] = iCustom(NULL, Timeframe_Dn, "JJMA", LengthA_Dn + LengthB_Dn, PhaseB_Dn, 0, IPCB_Dn, 0, bar); //----+ DEFINING SIGNALS FOR TRADES if ( MovA[1] > MovB[1]) if ( MovA[0] < MovB[0]) SELL_Sign = true; if ( MovA[0] < MovB[0]) SELL_Stop = true; } //----+ EXECUTION OF TRADES if (!OpenSellOrder1(SELL_Sign, 2, Money_Management_Dn, STOPLOSS_Dn, TAKEPROFIT_Dn)) return(-1); if (ClosePos_Dn) if (!CloseOrder1(SELL_Stop, 2)) return(-1); } } //----+ return(0); } //+------------------------------------------------------------------+
基于两个震荡指标交叉的交易系统
这种交易策略不仅可以使用移动线，还可以使用震荡指标，但对于后者，根据上一篇文章所写，最好设置挂单，而不是在收到信号后立即进入市场。可以使用 NACD 图表作为生动的示例。
要设置 BuyLimit 挂单，算法如下：
下面是用于 SellLimit 类型订单的算法：
该 EA 的代码跟之前 EA 的代码类似：
//+==================================================================+ //| Exp_7.mq4 | //| Copyright © 2007, Nikolay Kositsin | //| Khabarovsk, farria@mail.redcom.ru | //+==================================================================+ #property copyright "Copyright © 2007, Nikolay Kositsin" #property link "farria@mail.redcom.ru" //----+ +---------------------------------------------------------------------------+ //---- EA INPUT PARAMETERS FOR BUY TRADES extern bool Test_Up = true; //filter of trade calculations direction extern int Timeframe_Up = 240; extern double Money_Management_Up = 0.1; extern int FST_period_Up = 12; // period of the quick moving extern int SLO_period_Up = 22; // period increment of slow moving to quick one extern int SIGN_period_Up = 8; // period of the signal line extern int Price_Up = 0; // selecting prices, upon which MACD is calculated extern int STOPLOSS_Up = 50; // stop loss extern int TAKEPROFIT_Up = 100; // take profit extern int PriceLevel_Up =40; // difference between the current price and // price of pending order triggering extern bool ClosePos_Up = true; // forced position closing allowed //----+ +---------------------------------------------------------------------------+ //---- EA INPUT PARAMETERS FOR SELL TRADES extern bool Test_Dn = true; //filter of trade calculations direction extern int Timeframe_Dn = 240; extern double Money_Management_Dn = 0.1; extern int FST_period_Dn = 12; // period of the quick moving extern int SLO_period_Dn = 22; // period increment of slow moving to quick one extern int SIGN_period_Dn = 8; // period of the signal line extern int Price_Dn = 0; // selecting prices, upon which MACD is calculated extern int STOPLOSS_Dn = 50; // stop loss extern int TAKEPROFIT_Dn = 100; // take profit extern int PriceLevel_Dn =40; // difference between the current price and // price of pending order triggering extern bool ClosePos_Dn = true; // forced position closing allowed //----+ +---------------------------------------------------------------------------+ //---- Integer variables for the minimum of calculation bars int MinBar_Up, MinBar_Dn; //+==================================================================+ //| Custom Expert functions | //+==================================================================+ #include <Lite_EXPERT1.mqh> //+==================================================================+ //| Custom Expert initialization function | //+==================================================================+ int init() { //---- Checking the correctness of Timeframe_Up variable value if (Timeframe_Up != 1) if (Timeframe_Up != 5) if (Timeframe_Up != 15) if (Timeframe_Up != 30) if (Timeframe_Up != 60) if (Timeframe_Up != 240) if (Timeframe_Up != 1440) Print(StringConcatenate("Parameter Timeframe_Up cannot ", "be equal to ", Timeframe_Up, "!!!")); //---- Checking the correctness of Timeframe_Dn variable value if (Timeframe_Dn != 1) if (Timeframe_Dn != 5) if (Timeframe_Dn != 15) if (Timeframe_Dn != 30) if (Timeframe_Dn != 60) if (Timeframe_Dn != 240) if (Timeframe_Dn != 1440) Print(StringConcatenate("Parameter Timeframe_Dn cannot ", "be equal to ", Timeframe_Dn, "!!!")); //---- Initialization of variables MinBar_Up = 4 + FST_period_Up + SLO_period_Up + SIGN_period_Up; MinBar_Dn = 4 + FST_period_Dn + SLO_period_Dn + SIGN_period_Dn; //---- end of initialization return(0); } //+==================================================================+ //| expert deinitialization function | //+==================================================================+ int deinit() { //----+ //---- End of the EA deinitialization return(0); //----+ } //+==================================================================+ //| Custom Expert iteration function | //+==================================================================+ int start() { //----+ Declaring local variables int bar; double MovA[2], MovB[2]; //----+ Declaring static variables static int LastBars_Up, LastBars_Dn; static datetime StopTime_Up, StopTime_Dn; static bool BUY_Sign, BUY_Stop, SELL_Sign, SELL_Stop; //----++ CODE FOR LONG POSITIONS if (Test_Up) { int IBARS_Up = iBars(NULL, Timeframe_Up); if (IBARS_Up >= MinBar_Up) { if (LastBars_Up != IBARS_Up) { //----+ Initialization of variables BUY_Sign = false; BUY_Stop = false; LastBars_Up = IBARS_Up; StopTime_Up = iTime(NULL, Timeframe_Up, 0) + 60 * Timeframe_Up; //----+ CALCULATING INDICATOR VALUES AND UPLOADING THEM TO BUFFERS for(bar = 1; bar < 3; bar++) MovA[bar - 1] = iMACD(NULL, Timeframe_Up, FST_period_Up, FST_period_Up + SLO_period_Up, SIGN_period_Up, Price_Up, 0, bar); for(bar = 1; bar < 3; bar++) MovB[bar - 1] = iMACD(NULL, Timeframe_Up, FST_period_Up, FST_period_Up + SLO_period_Up, SIGN_period_Up, Price_Up, 1, bar); //----+ DEFINING SIGNALS FOR TRADES if ( MovA[1] < MovB[1]) if ( MovA[0] > MovB[0]) BUY_Sign = true; if ( MovA[0] > MovB[0]) BUY_Stop = true; } //----+ EXECUTION OF TRADES if (!OpenBuyLimitOrder1(BUY_Sign, 1, Money_Management_Up, STOPLOSS_Up, TAKEPROFIT_Up, PriceLevel_Up, StopTime_Up)) return(-1); if (ClosePos_Up) if (!CloseOrder1(BUY_Stop, 1)) return(-1); } } //----++ CODE FOR SHORT POSITIONS if (Test_Dn) { int IBARS_Dn = iBars(NULL, Timeframe_Dn); if (IBARS_Dn >= MinBar_Dn) { if (LastBars_Dn != IBARS_Dn) { //----+ Initialization of variables SELL_Sign = false; SELL_Stop = false; LastBars_Dn = IBARS_Dn; StopTime_Dn = iTime(NULL, Timeframe_Dn, 0) + 60 * Timeframe_Dn; //----+ CALCULATING INDICATOR VALUES AND UPLOADING THEM TO BUFFERS for(bar = 1; bar < 3; bar++) MovA[bar - 1] = iMACD(NULL, Timeframe_Dn, FST_period_Dn, FST_period_Dn + SLO_period_Dn, SIGN_period_Dn, Price_Dn, 0, bar); for(bar = 1; bar < 3; bar++) MovB[bar - 1] = iMACD(NULL, Timeframe_Dn, FST_period_Dn, FST_period_Dn + SLO_period_Dn, SIGN_period_Dn, Price_Dn, 1, bar); //----+ DEFINING SIGNALS FOR TRADES if ( MovA[1] > MovB[1]) if ( MovA[0] < MovB[0]) SELL_Sign = true; if ( MovA[0] < MovB[0]) SELL_Stop = true; } //----+ EXECUTION OF TRADES if (!OpenSellLimitOrder1(SELL_Sign, 2, Money_Management_Dn, STOPLOSS_Dn, TAKEPROFIT_Dn, PriceLevel_Dn, StopTime_Dn)) return(-1); if (ClosePos_Dn) if (!CloseOrder1(SELL_Stop, 2)) return(-1); } } //----+ return(0); } //+------------------------------------------------------------------+
总结
另一篇文章也已完成。在 Expert Advisor 中基于绝对不同的指标变体实现了另一个交易系统。希望本文能够对 EA 编程新手有用，以进一步培养将正确形式化的算法转化为 Expert Advisor 可用和绝对有效的代码。