MQL5交易策略自动化（第十六部分）：基于结构突破（BoS）价格行为的午夜区间突破策略
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概述
在前一篇文章（第15部分）中，我们通过密码（Cypher）谐波形态交易策略，实现了对市场反转行情的捕捉。而在本篇第16部分中，我们将聚焦于在MetaQuotes Language 5（MQL5）中自动化实现午夜区间突破结合BoS策略，开发一款能够识别午夜至凌晨6点价格区间、检测BoS并执行交易的智能交易系统（EA）。我们将涵盖以下主题：
到本文结尾时，您将拥有一款功能完备的MQL5程序——该程序可视化关键价格水平、确认突破信号，并依据预设风险参数执行交易。让我们开始吧！
理解午夜区间突破结合BOS策略
午夜区间突破结合BOS策略的核心逻辑是：利用午夜至凌晨6点形成的低波动区间（以最高价和最低价作为突破边界），同时通过BOS确认交易信号的有效性。BOS通过识别价格突破关键摆动高点（看涨信号）或摆动低点（看跌信号）来捕捉趋势反转，从而过滤虚假突破，确保交易方向与市场契机一致。该策略尤其适用于市场时段转换期（如伦敦开盘时段），或您关注的任何其他时段。不过，使用时需注意时区对齐，并在重大新闻事件期间谨慎操作，以避免价格剧烈波动导致的止损触发。
我们将实现一款MQL5的EA，其功能包括：计算午夜至凌晨6点的价格区间；在设定时间窗口内监测突破；在指定时间框架（通常为5、10或15分钟，用户可动态选择输入参数）上通过BOS确认突破。系统将根据区间范围设置止损和止盈水平，在图表上可视化关键水平，提升操作透明度，并且严格实施风险管理，确保策略在不同市场环境下保持稳健的表现。简言之，这就是我们的核心思路。
在MQL5中的实现
要在MQL5中创建该程序，请打开MetaEditor，进入导航器，找到“指标”文件夹，点击“新建”选项卡，并按照提示创建文件。文件创建完成后，在编码环境中，我们需要声明一些将在整个程序中使用到的全局变量。
//+------------------------------------------------------------------+ //| Midnight Range Break of Structure Breakout.mq5 | //| Copyright 2025, Allan Munene Mutiiria. | //| https://t.me/Forex_Algo_Trader | //+------------------------------------------------------------------+ #property copyright "Copyright 2025, Allan Munene Mutiiria." #property link "https://t.me/Forex_Algo_Trader" #property version "1.00" #include <Trade/Trade.mqh> //--- Include the Trade library for handling trade operations CTrade obj_Trade; //--- Create an instance of the CTrade class for trade execution double maximum_price = -DBL_MAX; //--- Initialize the maximum price variable to negative infinity double minimum_price = DBL_MAX; //--- Initialize the minimum price variable to positive infinity datetime maximum_time, minimum_time; //--- Declare variables to store the times of maximum and minimum prices bool isHaveDailyRange_Prices = false; //--- Initialize flag to indicate if daily range prices are calculated bool isHaveRangeBreak = false; //--- Initialize flag to indicate if a range breakout has occurred bool isTakenTrade = false; //--- Initialize flag to indicate if a trade is taken for the current day #define RECTANGLE_PREFIX "RANGE RECTANGLE " //--- Define a prefix for rectangle object names #define UPPER_LINE_PREFIX "UPPER LINE " //--- Define a prefix for upper line object names #define LOWER_LINE_PREFIX "LOWER LINE " //--- Define a prefix for lower line object names // bos input ENUM_TIMEFRAMES timeframe_bos = PERIOD_M5; // Input the timeframe for Break of Structure (BoS) analysis
这里，我们开始通过搭建程序的基础组件来实现该策略。我们引入<Trade/Trade.mqh>库以支持交易操作，并实例化"CTrade"类为"obj_Trade"对象，该对象将负责执行交易指令（例如：以指定参数开立多头或空头头寸）。
我们定义了多个全局变量，用于跟踪策略所需的关键数据。其中，"maximum_price"和"minimum_price"变量分别初始化为-DBL_MAX和DBL_MAX，用于存储午夜至凌晨6点区间内的最高价和最低价，从而确定该区间的边界。"maximum_time"和"minimum_time"变量为日期时间型，用于记录上述极值价格出现的具体时间，这样对于在图表上可视化区间范围至关重要。此外，我们还使用布尔标识变量："isHaveDailyRange_Prices"指示是否已计算出当日区间价格；"isHaveRangeBreak"跟踪是否已发生突破；"isTakenTrade"确保每日仅执行一笔交易，避免过度交易。
为便于图表可视化，我们定义用于对象命名的常量：将"RECTANGLE_PREFIX"设为"RANGE RECTANGLE"（区间矩形）；将"UPPER_LINE_PREFIX"设为 "UPPER LINE"（上边界线）；将"LOWER_LINE_PREFIX"设为 "LOWER LINE"（下边界线）。这些前缀确保图表中的矩形和线条对象具有唯一名称，从而清晰地标记区间范围及突破水平，使策略操作一目了然。此外，我们引入了一个用户输入参数 "timeframe_bos"，默认值为PERIOD_M5（5分钟周期），允许交易者指定用于BOS分析的时间框架（如5分钟图），以检测摆动高点和低点。至此，前期准备已就绪。接下来，我们需要定义两个函数，以实现在新交易日和新K线出现时控制交易实例。
//+------------------------------------------------------------------+ //| Function to check for a new bar | //+------------------------------------------------------------------+ bool isNewBar(){ //--- Define a function to detect a new bar on the current timeframe static int prevBars = 0; //--- Store the previous number of bars int currBars = iBars(_Symbol,_Period); //--- Get the current number of bars if (prevBars==currBars) return (false); //--- Return false if no new bar has formed prevBars = currBars; //--- Update the previous bar count return (true); //--- Return true if a new bar has formed } //+------------------------------------------------------------------+ //| Function to check for a new day | //+------------------------------------------------------------------+ bool isNewDay(){ //--- Define a function to detect a new trading day bool newDay = false; //--- Initialize the new day flag MqlDateTime Str_DateTime; //--- Declare a structure to hold date and time information TimeToStruct(TimeCurrent(),Str_DateTime); //--- Convert the current time to the structure static int prevDay = 0; //--- Store the previous day's date int currDay = Str_DateTime.day; //--- Get the current day's date if (prevDay == currDay){ //--- Check if the current day is the same as the previous day newDay = false; //--- Set the flag to false (no new day) } else if (prevDay != currDay){ //--- Check if a new day has started Print("WE HAVE A NEW DAY WITH DATE ",currDay); //--- Log the new day prevDay = currDay; //--- Update the previous day newDay = true; //--- Set the flag to true (new day) } return (newDay); //--- Return the new day status }
这里，我们实现"isNewBar"和"isNewDay"函数，使MQL5中的午夜区间突破结合BOS策略与市场时间同步。在"isNewBar"函数中，我们通过静态变量"prevBars"结合iBars(_Symbol,_Period)函数记录K线数量，当新K线形成时返回true，触发价格更新逻辑。在"isNewDay"函数中，我们利用MqlDateTime结构体、 TimeToStruct (TimeCurrent)函数及静态变量"prevDay"检测新交易日。如果当前日期"currDay"发生变化，重置区间计算并通过Print函数记录日志。借助以上函数，我们可直接在OnTick事件处理器中定义策略逻辑。
//+------------------------------------------------------------------+ //| Expert tick function | //+------------------------------------------------------------------+ void OnTick(){ //--- static datetime midnight = iTime(_Symbol,PERIOD_D1,0); //--- Store the current day's midnight time static datetime sixAM = midnight + 6 * 3600; //--- Calculate 6 AM time by adding 6 hours to midnight static datetime scanBarTime = sixAM + 1 * PeriodSeconds(_Period); //--- Set the time of the next bar after 6 AM for scanning static double midnight_price = iClose(_Symbol,PERIOD_D1,0); //--- Store the closing price at midnight static datetime validBreakTime_start = scanBarTime; //--- Set the start time for valid breakout detection static datetime validBreakTime_end = midnight + (6+5) * 3600; //--- Set the end time for valid breakouts to 11 AM if (isNewDay()){ //--- Check if a new trading day has started midnight = iTime(_Symbol,PERIOD_D1,0); //--- Update midnight time for the new day sixAM = midnight + 6 * 3600; //--- Recalculate 6 AM time for the new day scanBarTime = sixAM + 1 * PeriodSeconds(_Period); //--- Update the scan bar time to the next bar after 6 AM midnight_price = iClose(_Symbol,PERIOD_D1,0); //--- Update the midnight closing price Print("Midnight price = ",midnight_price,", Time = ",midnight); //--- Log the midnight price and time validBreakTime_start = scanBarTime; //--- Reset the start time for valid breakouts validBreakTime_end = midnight + (6+5) * 3600; //--- Reset the end time for valid breakouts to 11 AM maximum_price = -DBL_MAX; //--- Reset the maximum price to negative infinity minimum_price = DBL_MAX; //--- Reset the minimum price to positive infinity isHaveDailyRange_Prices = false; //--- Reset the flag indicating daily range calculation isHaveRangeBreak = false; //--- Reset the flag indicating a range breakout isTakenTrade = false; //--- Reset the flag indicating a trade is taken } }
这里，我们在OnTick函数中开发策略的核心逻辑——该函数是程序的主事件处理器，会在每个价格tick到来时执行。我们初始化静态变量以跟踪关键时间点：使用 iTime(_Symbol, PERIOD_D1, 0) 将“midnight”作为当日零点时间；在"midnight"的基础上增加6小时（21,600秒）计算“sixAM”；通过PeriodSeconds (_Period)确定6点后的下一根K线时间"scanBarTime"；通过iClose函数获取零点收盘价并保存为“midnight_price”。我们还定义：将"validBreakTime_start"设置为"scanBarTime"，将"validBreakTime_end"设置为上午11点（零点加11小时），确保突破信号仅在该时段内有效。
当"isNewDay"函数检测到新交易日开始时，我们会更新这些时间变量以反映当日最新数据，确保区间计算始终基于当前交易日。通过iTime和iClose函数重置"midnight"、"sixAM"、"scanBarTime"和"midnight_price"，使用Print函数记录零点时间细节，以便调试。另外，我们重置"validBreakTime_start"和"validBreakTime_end"，定义新突破有效时间窗口，将"maximum_price"重置为-DBL_MAX、"minimum_price"重置为DBL_MAX，并且将布尔标识"isHaveDailyRange_Prices"、"isHaveRangeBreak"和"isTakenTrade"设为false，确保EA能重新计算午夜至6点的价格区间，持续监测新突破信号。至此，我们已经完成时间范围的计算逻辑验证。
if (isNewBar()){ //--- Check if a new bar has formed on the current timeframe datetime currentBarTime = iTime(_Symbol,_Period,0); //--- Get the time of the current bar if (currentBarTime == scanBarTime && !isHaveDailyRange_Prices){ //--- Check if it's time to scan for daily range and range is not yet calculated Print("WE HAVE ENOUGH BARS DATA FOR DOCUMENTATION. MAKE THE EXTRACTION"); //--- Log that the scan for daily range is starting int total_bars = int((sixAM - midnight)/PeriodSeconds(_Period))+1; //--- Calculate the number of bars from midnight to 6 AM Print("Total Bars for scan = ",total_bars); //--- Log the total number of bars to scan int highest_price_bar_index = -1; //--- Initialize the index of the bar with the highest price int lowest_price_bar_index = -1; //--- Initialize the index of the bar with the lowest price for (int i=1; i<=total_bars ; i++){ //--- Loop through each bar from midnight to 6 AM double open_i = open(i); //--- Get the open price of the i-th bar double close_i = close(i); //--- Get the close price of the i-th bar double highest_price_i = (open_i > close_i) ? open_i : close_i; //--- Determine the highest price (open or close) of the bar double lowest_price_i = (open_i < close_i) ? open_i : close_i; //--- Determine the lowest price (open or close) of the bar if (highest_price_i > maximum_price){ //--- Check if the bar's highest price exceeds the current maximum maximum_price = highest_price_i; //--- Update the maximum price highest_price_bar_index = i; //--- Store the bar index of the maximum price maximum_time = time(i); //--- Store the time of the maximum price } if (lowest_price_i < minimum_price){ //--- Check if the bar's lowest price is below the current minimum minimum_price = lowest_price_i; //--- Update the minimum price lowest_price_bar_index = i; //--- Store the bar index of the minimum price minimum_time = time(i); //--- Store the time of the minimum price } } Print("Maximum Price = ",maximum_price,", Bar index = ",highest_price_bar_index,", Time = ",maximum_time); //--- Log the maximum price, its bar index, and time Print("Minimum Price = ",minimum_price,", Bar index = ",lowest_price_bar_index,", Time = ",minimum_time); //--- Log the minimum price, its bar index, and time isHaveDailyRange_Prices = true; //--- Set the flag to indicate that the daily range is calculated } }
当有新K线形成时（通过"isNewBar"函数检测），我们计算午夜至凌晨6点的价格区，使用iTime(_Symbol,_Period, 0)获取当前K线时间，存储于"currentBarTime"中。如果"currentBarTime"等于"scanBarTime"且"isHaveDailyRange_Prices"为false，则通过Print记录区间扫描启动；使用PeriodSeconds (_Period) 计算"total_bars" ，循环遍历K线，使用"open"和"close"函数找出最高/最低价格，并更新"maximum_price"、"minimum_price"、"maximum_time"、"minimum_time"及其索引。记录结果后将"isHaveDailyRange_Prices"设为true，即可启用突破监控。
为简化代码，此处直接调用预定义函数获取价格数据，具体如下：
//+------------------------------------------------------------------+ //| Helper functions for price and time data | //+------------------------------------------------------------------+ double open(int index){return (iOpen(_Symbol,_Period,index));} //--- Return the open price of the specified bar index on the current timeframe double high(int index){return (iHigh(_Symbol,_Period,index));} //--- Return the high price of the specified bar index on the current timeframe double low(int index){return (iLow(_Symbol,_Period,index));} //--- Return the low price of the specified bar index on the current timeframe double close(int index){return (iClose(_Symbol,_Period,index));} //--- Return the close price of the specified bar index on the current timeframe datetime time(int index){return (iTime(_Symbol,_Period,index));} //--- Return the time of the specified bar index on the current timeframe double high(int index,ENUM_TIMEFRAMES tf_bos){return (iHigh(_Symbol,tf_bos,index));} //--- Return the high price of the specified bar index on the BoS timeframe double low(int index,ENUM_TIMEFRAMES tf_bos){return (iLow(_Symbol,tf_bos,index));} //--- Return the low price of the specified bar index on the BoS timeframe datetime time(int index,ENUM_TIMEFRAMES tf_bos){return (iTime(_Symbol,tf_bos,index));} //--- Return the time of the specified bar index on the BoS timeframe
我们通过定义辅助函数来高效获取价格和时间数据，分别定义"open"、"high"、"low"、"close"、"time"函数，各接收一个"index"参数，分别调用"iOpen"、iHigh、"iLow"、"iClose"、iTime，传入"_Symbol"与 _Period，返回指定K线索引对应的开盘价、最高价、最低价、收盘价或K线时间。
此外，我们还重载"high"、"low"和"time"函数，使其接受ENUM_TIMEFRAMES参数"tf_bos"，以便通过"iHigh"、"iLow"和"iTime"，配合_Symbol与"tf_bos"，获取用于BOS时间框架的最高价、最低价或K线时间。定义好区间后，让我们在图表上将其可视化。为此，我们还需定义一些附加的辅助函数。
//+------------------------------------------------------------------+ //| Function to create a rectangle object | //+------------------------------------------------------------------+ void create_Rectangle(string objName,datetime time1,double price1, datetime time2,double price2,color clr){ //--- Define a function to draw a rectangle on the chart if (ObjectFind(0,objName) < 0){ //--- Check if the rectangle object does not already exist ObjectCreate(0,objName,OBJ_RECTANGLE,0,time1,price1,time2,price2); //--- Create a rectangle object with specified coordinates ObjectSetInteger(0,objName,OBJPROP_TIME,0,time1); //--- Set the first time coordinate of the rectangle ObjectSetDouble(0,objName,OBJPROP_PRICE,0,price1); //--- Set the first price coordinate of the rectangle ObjectSetInteger(0,objName,OBJPROP_TIME,1,time2); //--- Set the second time coordinate of the rectangle ObjectSetDouble(0,objName,OBJPROP_PRICE,1,price2); //--- Set the second price coordinate of the rectangle ObjectSetInteger(0,objName,OBJPROP_FILL,true); //--- Enable filling the rectangle with color ObjectSetInteger(0,objName,OBJPROP_COLOR,clr); //--- Set the color of the rectangle ObjectSetInteger(0,objName,OBJPROP_BACK,false); //--- Ensure the rectangle is drawn in the foreground ChartRedraw(0); //--- Redraw the chart to display the rectangle } } //+------------------------------------------------------------------+ //| Function to create a line object with text | //+------------------------------------------------------------------+ void create_Line(string objName,datetime time1,double price1, datetime time2,double price2,int width,color clr,string text){ //--- Define a function to draw a trend line with text if (ObjectFind(0,objName) < 0){ //--- Check if the line object does not already exist ObjectCreate(0,objName,OBJ_TREND,0,time1,price1,time2,price2); //--- Create a trend line object with specified coordinates ObjectSetInteger(0,objName,OBJPROP_TIME,0,time1); //--- Set the first time coordinate of the line ObjectSetDouble(0,objName,OBJPROP_PRICE,0,price1); //--- Set the first price coordinate of the line ObjectSetInteger(0,objName,OBJPROP_TIME,1,time2); //--- Set the second time coordinate of the line ObjectSetDouble(0,objName,OBJPROP_PRICE,1,price2); //--- Set the second price coordinate of the line ObjectSetInteger(0,objName,OBJPROP_WIDTH,width); //--- Set the width of the line ObjectSetInteger(0,objName,OBJPROP_COLOR,clr); //--- Set the color of the line ObjectSetInteger(0,objName,OBJPROP_BACK,false); //--- Ensure the line is drawn in the foreground long scale = 0; //--- Initialize a variable to store the chart scale if(!ChartGetInteger(0,CHART_SCALE,0,scale)){ //--- Attempt to get the chart scale Print("UNABLE TO GET THE CHART SCALE. DEFAULT OF ",scale," IS CONSIDERED"); //--- Log if the chart scale cannot be retrieved } int fontsize = 11; //--- Set the default font size for the text if (scale==0){fontsize=5;} //--- Adjust font size for minimized chart scale else if (scale==1){fontsize=6;} //--- Adjust font size for scale 1 else if (scale==2){fontsize=7;} //--- Adjust font size for scale 2 else if (scale==3){fontsize=9;} //--- Adjust font size for scale 3 else if (scale==4){fontsize=11;} //--- Adjust font size for scale 4 else if (scale==5){fontsize=13;} //--- Adjust font size for maximized chart scale string txt = " Right Price"; //--- Define the text suffix for the price label string objNameDescr = objName + txt; //--- Create a unique name for the text object ObjectCreate(0,objNameDescr,OBJ_TEXT,0,time2,price2); //--- Create a text object at the line's end ObjectSetInteger(0,objNameDescr,OBJPROP_COLOR,clr); //--- Set the color of the text ObjectSetInteger(0,objNameDescr,OBJPROP_FONTSIZE,fontsize); //--- Set the font size of the text ObjectSetInteger(0,objNameDescr,OBJPROP_ANCHOR,ANCHOR_LEFT); //--- Set the text anchor to the left ObjectSetString(0,objNameDescr,OBJPROP_TEXT," "+text); //--- Set the text content (price value) ObjectSetString(0,objNameDescr,OBJPROP_FONT,"Calibri"); //--- Set the font type to Calibri ChartRedraw(0); //--- Redraw the chart to display the line and text } }
为了可视化价格区间，我们定义两个函数。在"create_Rectangle"函数中，我们通过绘制填充矩形来表示零点至凌晨6点的价格区间，支持自定义参数s "objName"、"time1"、"price1"、"time2"、"price2"和"clr"。我们首先通过ObjectFind函数检测图表（ID为0）中是否已存在同名对象，以避免重复绘制。
如果对象不存在，我们使用ObjectCreate创建矩形，类型为OBJ_RECTANGLE，并通过ObjectSetInteger设置OBJPROP_TIME、ObjectSetDouble设置"OBJPROP_PRICE"来定义坐标。随后用"ObjectSetInteger"开启"OBJPROP_FILL"填充，设置矩形颜色，并将"OBJPROP_BACK"设置为false确保其显示在前端，最后调用ChartRedraw更新图表。
在"create_Line"函数中，我们绘制一条带描述文本的趋势线，用于标记区间边界，参数包括"objName"、"time1"、"price1"、"time2"、"price2"、"width"、"clr"和"text"。先用"ObjectFind"确认线条不存在，再用"ObjectCreate"创建 OBJ_TREND 对象，并通过"ObjectSetInteger"与"ObjectSetDouble"设置坐标、线宽和颜色。为确保文本可读，我们用"ChartGetInteger"获取图表比例（失败时用"Print"记录），并据此动态调整字体大小（5-13）。
我们使用"ObjectCreate"创建名为"objNameDescr"的文本对象，类型为"OBJ_TEXT"，并通过"ObjectSetInteger"设置颜色、字体大小和左对齐锚点，再通过ObjectSetString设置字体为 "Calibri" 和价格文本，最后使用 "ChartRedraw"重绘图表。借助这些函数，我们即可在定义区间时调用。
create_Rectangle(RECTANGLE_PREFIX+TimeToString(maximum_time),maximum_time,maximum_price,minimum_time,minimum_price,clrBlue); //--- Draw a rectangle to mark the daily range create_Line(UPPER_LINE_PREFIX+TimeToString(midnight),midnight,maximum_price,sixAM,maximum_price,3,clrBlack,DoubleToString(maximum_price,_Digits)); //--- Draw the upper line for the range create_Line(LOWER_LINE_PREFIX+TimeToString(midnight),midnight,minimum_price,sixAM,minimum_price,3,clrRed,DoubleToString(minimum_price,_Digits)); //--- Draw the lower line for the range
我们通过调用"create_Rectangle"完成零点至凌晨6点价格区间的可视化：参数为"RECTANGLE_PREFIX+TimeToString(maximum_time)"、"maximum_time"、"maximum_price"、"minimum_time"、"minimum_price"和"clrBlue"，绘制标记区间的矩形。随后，我们两次调用"create_Line"：上轨线相关"UPPER_LINE_PREFIX+TimeToString(midnight)"、"midnight"、"maximum_price"、"sixAM"、线宽3、"clrBlack"、DoubleToString(maximum_price,_Digits)；下轨线 相关"LOWER_LINE_PREFIX"、"minimum_price"、"clrRed"，其余参数对应匹配。当前结果如下：
由图可见，我们已经成功可视化价格区间。接下来需要实现的功能是：在预设的时间范围内监测价格突破，并同步在图表上可视化。为此，我们需要编写一个自定义函数，专门用于在图表上绘制突破标识。
//+------------------------------------------------------------------+ //| Function to draw a breakpoint marker | //+------------------------------------------------------------------+ void drawBreakPoint(string objName,datetime time,double price,int arrCode, color clr,int direction){ //--- Define a function to draw a breakpoint marker if (ObjectFind(0,objName) < 0){ //--- Check if the breakpoint object does not already exist ObjectCreate(0,objName,OBJ_ARROW,0,time,price); //--- Create an arrow object at the specified time and price ObjectSetInteger(0,objName,OBJPROP_ARROWCODE,arrCode); //--- Set the arrow code for the marker ObjectSetInteger(0,objName,OBJPROP_COLOR,clr); //--- Set the color of the arrow ObjectSetInteger(0,objName,OBJPROP_FONTSIZE,12); //--- Set the font size for the arrow if (direction > 0) ObjectSetInteger(0,objName,OBJPROP_ANCHOR,ANCHOR_TOP); //--- Set the anchor to top for upward breaks if (direction < 0) ObjectSetInteger(0,objName,OBJPROP_ANCHOR,ANCHOR_BOTTOM); //--- Set the anchor to bottom for downward breaks string txt = " Break"; //--- Define the text suffix for the breakpoint label string objNameDescr = objName + txt; //--- Create a unique name for the text object ObjectCreate(0,objNameDescr,OBJ_TEXT,0,time,price); //--- Create a text object at the breakpoint ObjectSetInteger(0,objNameDescr,OBJPROP_COLOR,clr); //--- Set the color of the text ObjectSetInteger(0,objNameDescr,OBJPROP_FONTSIZE,12); //--- Set the font size of the text if (direction > 0) { //--- Check if the breakout is upward ObjectSetInteger(0,objNameDescr,OBJPROP_ANCHOR,ANCHOR_LEFT_UPPER); //--- Set the text anchor to left upper ObjectSetString(0,objNameDescr,OBJPROP_TEXT, " " + txt); //--- Set the text content } if (direction < 0) { //--- Check if the breakout is downward ObjectSetInteger(0,objNameDescr,OBJPROP_ANCHOR,ANCHOR_LEFT_LOWER); //--- Set the text anchor to left lower ObjectSetString(0,objNameDescr,OBJPROP_TEXT, " " + txt); //--- Set the text content } } ChartRedraw(0); //--- Redraw the chart to display the breakpoint }
这里，我们定义"drawBreakPoint"函数，用于在图表上直观地标记突破点。先通过ObjectFind检查对象是否存在，如果不存在，则使用参数"objName"、"time"、"price"、"arrCode"、"clr"和"direction"，并调用ObjectCreate创建类型为OBJ_ARROW箭头对象，通过 "ObjectSetInteger"设置箭头样式、颜色和固定字体大小12，并且根据"direction"将锚点设置为"ANCHOR_TOP"或"ANCHOR_BOTTOM"。
我们再用"ObjectCreate"与"OBJ_TEXT"创建文本标签"Break"，命名为"objNameDescr"，通过"ObjectSetInteger"与ObjectSetString设置颜色、字体大小，并依据方向选择锚点ANCHOR_LEFT_UPPER或ANCHOR_LEFT_LOWER。最后，调用"ChartRedraw"显示这些标记，确保突破点清晰可见。现在即可用此函数在图表上标注突破位。
double barClose = close(1); //--- Get the closing price of the previous bar datetime barTime = time(1); //--- Get the time of the previous bar if (barClose > maximum_price && isHaveDailyRange_Prices && !isHaveRangeBreak && barTime >= validBreakTime_start && barTime <= validBreakTime_end ){ //--- Check for a breakout above the maximum price within the valid time window Print("CLOSE Price broke the HIGH range. ",barClose," > ",maximum_price); //--- Log the breakout above the high range isHaveRangeBreak = true; //--- Set the flag to indicate a range breakout has occurred drawBreakPoint(TimeToString(barTime),barTime,barClose,234,clrBlack,-1); //--- Draw a breakpoint marker for the high breakout } else if (barClose < minimum_price && isHaveDailyRange_Prices && !isHaveRangeBreak && barTime >= validBreakTime_start && barTime <= validBreakTime_end ){ //--- Check for a breakout below the minimum price within the valid time window Print("CLOSE Price broke the LOW range. ",barClose," < ",minimum_price); //--- Log the breakout below the low range isHaveRangeBreak = true; //--- Set the flag to indicate a range breakout has occurred drawBreakPoint(TimeToString(barTime),barTime,barClose,233,clrBlue,1); //--- Draw a breakpoint marker for the low breakout }
为检测并可视化有效突破，我们先通过"close(1)"获取前一根K线的收盘价到"barClose"，并用"time(1)"获取其时间到"barTime"。如果同时满足"barClose"大于"maximum_price"，"isHaveDailyRange_Prices"为true，"isHaveRangeBreak"为false，并且"barTime"在"validBreakTime_start"与"validBreakTime_end"之间，我们通过"Print"记录高位突破信息，设置"isHaveRangeBreak"为true，并且调用"drawBreakPoint"，参数为"TimeToString(barTime)"、"barClose", 箭头代码234、"clrBlack"和-1。
如果"barClose"小于"minimum_price"且其他条件相同，我们则记录低位突破，设置"isHaveRangeBreak"，并调用"drawBreakPoint"，箭头代码233、"clrBlue"和1。这样即可在图表上标注有效突破。我们使用MQL5预定义的箭头233和234，如下所示，您也可以换成自己喜欢的箭头样式。
程序运行后，输出结果如下：
由图可见，我们能够精准识别并可视化价格突破信号。接下来需要完成的任务是定义趋势结构转变和突破中断的判定逻辑。为此，我们需要编写一个函数，用于在图表上绘制已识别的关键拐点。
//+------------------------------------------------------------------+ //| Function to draw a swing point marker | //+------------------------------------------------------------------+ void drawSwingPoint(string objName,datetime time,double price,int arrCode, color clr,int direction){ //--- Define a function to draw a swing point marker if (ObjectFind(0,objName) < 0){ //--- Check if the swing point object does not already exist ObjectCreate(0,objName,OBJ_ARROW,0,time,price); //--- Create an arrow object at the specified time and price ObjectSetInteger(0,objName,OBJPROP_ARROWCODE,arrCode); //--- Set the arrow code for the marker ObjectSetInteger(0,objName,OBJPROP_COLOR,clr); //--- Set the color of the arrow ObjectSetInteger(0,objName,OBJPROP_FONTSIZE,10); //--- Set the font size for the arrow if (direction > 0) {ObjectSetInteger(0,objName,OBJPROP_ANCHOR,ANCHOR_TOP);} //--- Set the anchor to top for swing lows if (direction < 0) {ObjectSetInteger(0,objName,OBJPROP_ANCHOR,ANCHOR_BOTTOM);} //--- Set the anchor to bottom for swing highs string text = "BoS"; //--- Define the text label for Break of Structure string objName_Descr = objName + text; //--- Create a unique name for the text object ObjectCreate(0,objName_Descr,OBJ_TEXT,0,time,price); //--- Create a text object at the swing point ObjectSetInteger(0,objName_Descr,OBJPROP_COLOR,clr); //--- Set the color of the text ObjectSetInteger(0,objName_Descr,OBJPROP_FONTSIZE,10); //--- Set the font size of the text if (direction > 0) { //--- Check if the swing is a low ObjectSetString(0,objName_Descr,OBJPROP_TEXT," "+text); //--- Set the text content ObjectSetInteger(0,objName_Descr,OBJPROP_ANCHOR,ANCHOR_LEFT_UPPER); //--- Set the text anchor to left upper } if (direction < 0) { //--- Check if the swing is a high ObjectSetString(0,objName_Descr,OBJPROP_TEXT," "+text); //--- Set the text content ObjectSetInteger(0,objName_Descr,OBJPROP_ANCHOR,ANCHOR_LEFT_LOWER); //--- Set the text anchor to left lower } } ChartRedraw(0); //--- Redraw the chart to display the swing point }
我们通过实现"drawSwingPoint"函数来标记已识别的关键高低点。该函数使用这些参数："objName"、"time"、"price"、"arrCode"、"clr"和"direction"，我们先通过ObjectFind验证图表中是否已存在同名对象，确定不存在后，通过调用ObjectCreate并指定类型为 OBJ_ARROW绘制箭头，设置箭头样式、颜色及字体大小（如10），并根据"ANCHOR_TOP"（低点）和"ANCHOR_BOTTOM"（高点）锚定位置。我们还通过"ObjectCreate"创建"OBJ_TEXT"类型的文本标签"BoS"，通过"ObjectSetInteger"与"ObjectSetString"设置颜色、字体大小和锚点（ANCHOR_LEFT_UPPER或ANCHOR_LEFT_LOWER）。我们调用ChartRedraw来显示这些标记，突出关键的拐点。通过此函数，我们将继续构建拐点识别逻辑。
// bos logic if (isHaveDailyRange_Prices){ //--- Proceed with BoS logic only if the daily range is calculated static bool isNewBar_bos = false; //--- Initialize flag to indicate a new bar on the BoS timeframe int currBars = iBars(_Symbol,timeframe_bos); //--- Get the current number of bars on the BoS timeframe static int prevBars = currBars; //--- Store the previous number of bars for comparison if (prevBars == currBars){isNewBar_bos = false;} //--- Set flag to false if no new bar has formed else if (prevBars != currBars){isNewBar_bos = true; prevBars = currBars;} //--- Set flag to true and update prevBars if a new bar has formed const int length = 4; //--- Define the number of bars to check for swing high/low (must be > 2) int right_index, left_index; //--- Declare variables to store indices for bars to the right and left int curr_bar = length; //--- Set the current bar index for swing analysis bool isSwingHigh = true, isSwingLow = true; //--- Initialize flags to determine if the current bar is a swing high or low static double swing_H = -1.0, swing_L = -1.0; //--- Initialize variables to store the latest swing high and low prices if (isNewBar_bos){ //--- Check if a new bar has formed on the BoS timeframe for (int a=1; a<=length; a++){ //--- Loop through the specified number of bars to check for swings right_index = curr_bar - a; //--- Calculate the right-side bar index left_index = curr_bar + a; //--- Calculate the left-side bar index if ( (high(curr_bar,timeframe_bos) <= high(right_index,timeframe_bos)) || (high(curr_bar,timeframe_bos) < high(left_index,timeframe_bos)) ){ //--- Check if the current bar's high is not the highest isSwingHigh = false; //--- Set flag to false if the bar is not a swing high } if ( (low(curr_bar,timeframe_bos) >= low(right_index,timeframe_bos)) || (low(curr_bar,timeframe_bos) > low(left_index,timeframe_bos)) ){ //--- Check if the current bar's low is not the lowest isSwingLow = false; //--- Set flag to false if the bar is not a swing low } } if (isSwingHigh){ //--- Check if the current bar is a swing high swing_H = high(curr_bar,timeframe_bos); //--- Store the swing high price Print("WE DO HAVE A SWING HIGH @ BAR INDEX ",curr_bar," H: ",high(curr_bar,timeframe_bos)); //--- Log the swing high details drawSwingPoint(TimeToString(time(curr_bar,timeframe_bos)),time(curr_bar,timeframe_bos),high(curr_bar,timeframe_bos),77,clrBlue,-1); //--- Draw a marker for the swing high } if (isSwingLow){ //--- Check if the current bar is a swing low swing_L = low(curr_bar,timeframe_bos); //--- Store the swing low price Print("WE DO HAVE A SWING LOW @ BAR INDEX ",curr_bar," L: ",low(curr_bar,timeframe_bos)); //--- Log the swing low details drawSwingPoint(TimeToString(time(curr_bar,timeframe_bos)),time(curr_bar,timeframe_bos),low(curr_bar,timeframe_bos),77,clrRed,+1); //--- Draw a marker for the swing low } } }
一旦我们获取了日内价格（即已定义好日级价格区间），我们便用静态标识"isNewBar_bos"跟踪BOS时间框架的新K线，将当前iBars结合_Symbol和"timeframe_bos"获取的K线数与静态变量"prevBars"比较。如果出现新K线，则将"isNewBar_bos"设置为true并更新"prevBars"。
当"isNewBar_bos"为 true时，我们对索引为"curr_bar"（设置length = 4）的K线进行波段分析，用"right_index"与"left_index"分别检查其左右各"length"根K线，。通过"timeframe_bos"的"high"与"low"函数，比较当前K线的高/低是否分别为最高或最低，如果不符合则把"isSwingHigh"或"isSwingLow"设置为false。
如果"isSwingHigh"为true，则将价格存入"swing_H"，用"Print"记录，并调用"drawSwingPoint"，参数为"TimeToString"、K线时间、价格、箭头代码 77、"clrBlue"和-1；如果"isSwingLow"为true，则更新"swing_L"记录，并调用"drawSwingPoint"，参数为"clrRed"和+1。编译后，呈现如下效果：
由图可见，我们已标注出关键拐点。接下来需实现的功能是跟踪这些拐点的突破情况——即当价格有效突破拐点时，视为BOS。为了清晰可视化效果，我们需要编写以下自定义函数。
//+------------------------------------------------------------------+ //| Function to draw a break level line | //+------------------------------------------------------------------+ void drawBreakLevel(string objName,datetime time1,double price1, datetime time2,double price2,color clr,int direction){ //--- Define a function to draw a break level line if (ObjectFind(0,objName) < 0){ //--- Check if the break level object does not already exist ObjectCreate(0,objName,OBJ_ARROWED_LINE,0,time1,price1,time2,price2); //--- Create an arrowed line object ObjectSetInteger(0,objName,OBJPROP_TIME,0,time1); //--- Set the first time coordinate of the line ObjectSetDouble(0,objName,OBJPROP_PRICE,0,price1); //--- Set the first price coordinate of the line ObjectSetInteger(0,objName,OBJPROP_TIME,1,time2); //--- Set the second time coordinate of the line ObjectSetDouble(0,objName,OBJPROP_PRICE,1,price2); //--- Set the second price coordinate of the line ObjectSetInteger(0,objName,OBJPROP_COLOR,clr); //--- Set the color of the line ObjectSetInteger(0,objName,OBJPROP_WIDTH,2); //--- Set the width of the line string text = "Break"; //--- Define the text label for the break string objName_Descr = objName + text; //--- Create a unique name for the text object ObjectCreate(0,objName_Descr,OBJ_TEXT,0,time2,price2); //--- Create a text object at the line's end ObjectSetInteger(0,objName_Descr,OBJPROP_COLOR,clr); //--- Set the color of the text ObjectSetInteger(0,objName_Descr,OBJPROP_FONTSIZE,10); //--- Set the font size of the text if (direction > 0) { //--- Check if the break is upward ObjectSetString(0,objName_Descr,OBJPROP_TEXT,text+" "); //--- Set the text content ObjectSetInteger(0,objName_Descr,OBJPROP_ANCHOR,ANCHOR_RIGHT_UPPER); //--- Set the text anchor to right upper } if (direction < 0) { //--- Check if the break is downward ObjectSetString(0,objName_Descr,OBJPROP_TEXT,text+" "); //--- Set the text content ObjectSetInteger(0,objName_Descr,OBJPROP_ANCHOR,ANCHOR_RIGHT_LOWER); //--- Set the text anchor to right lower } } ChartRedraw(0); //--- Redraw the chart to display the break level }
我们已定义了"drawBreakLevel"函数，用于可视化BOS的关键价位。该函数的可视化逻辑与之前开发的标注函数类似，因此无需重复赘述具体实现细节。我们将调用此函数，以可视化支撑/阻力位。
double Ask = NormalizeDouble(SymbolInfoDouble(_Symbol,SYMBOL_ASK),_Digits); //--- Get and normalize the current Ask price double Bid = NormalizeDouble(SymbolInfoDouble(_Symbol,SYMBOL_BID),_Digits); //--- Get and normalize the current Bid price if (swing_H > 0 && Ask > swing_H){ //--- Check if the Ask price breaks above the swing high Print("$$$$$$$$$ BUY SIGNAL NOW. BREAK OF SWING HIGH"); //--- Log a buy signal due to swing high breakout int swing_H_index = 0; //--- Initialize the index of the swing high bar for (int i=0; i<=length*2+1000; i++){ //--- Loop through bars to find the swing high double high_sel = high(i,timeframe_bos); //--- Get the high price of the i-th bar if (high_sel == swing_H){ //--- Check if the high matches the swing high swing_H_index = i; //--- Store the bar index Print("BREAK HIGH FOUND @ BAR INDEX ",swing_H_index); //--- Log the swing high bar index break; //--- Exit the loop once found } } drawBreakLevel(TimeToString(time(0,timeframe_bos)),time(swing_H_index,timeframe_bos),high(swing_H_index,timeframe_bos), time(0,timeframe_bos),high(swing_H_index,timeframe_bos),clrBlue,-1); //--- Draw a line to mark the swing high breakout if (isTakenTrade == false){ //--- Check if no trade is taken yet obj_Trade.Buy(0.01,_Symbol,Ask,minimum_price,maximum_price); //--- Execute a buy trade with 0.01 lots, using minimum price as SL and maximum as TP isTakenTrade = true; //--- Set the flag to indicate a trade is taken } swing_H = -1.0; //--- Reset the swing high price return; //--- Exit the OnTick function to avoid further processing } if (swing_L > 0 && Bid < swing_L){ //--- Check if the Bid price breaks below the swing low Print("$$$$$$$$$ SELL SIGNAL NOW. BREAK OF SWING LOW"); //--- Log a sell signal due to swing low breakout int swing_L_index = 0; //--- Initialize the index of the swing low bar for (int i=0; i<=length*2+1000; i++){ //--- Loop through bars to find the swing low double low_sel = low(i,timeframe_bos); //--- Get the low price of the i-th bar if (low_sel == swing_L){ //--- Check if the low matches the swing low swing_L_index = i; //--- Store the bar index Print("BREAK LOW FOUND @ BAR INDEX ",swing_L_index); //--- Log the swing low bar index break; //--- Exit the loop once found } } drawBreakLevel(TimeToString(time(0,timeframe_bos)),time(swing_L_index,timeframe_bos),low(swing_L_index,timeframe_bos), time(0,timeframe_bos),low(swing_L_index,timeframe_bos),clrRed,+1); //--- Draw a line to mark the swing low breakout if (isTakenTrade == false){ //--- Check if no trade is taken yet obj_Trade.Sell(0.01,_Symbol,Bid,maximum_price,minimum_price); //--- Execute a sell trade with 0.01 lots, using maximum price as SL and minimum as TP isTakenTrade = true; //--- Set the flag to indicate a trade is taken } swing_L = -1.0; //--- Reset the swing low price return; //--- Exit the OnTick function to avoid further processing }
这里，当出现有效突破信号时，我们实现自动执行交易订单的逻辑。我们通过SymbolInfoDouble和NormalizeDouble结合_Symbol和 _Digits，对交易品种的卖出价和买入价进行标准化处理，确保精度符合交易规则。
如果当前检测到的"swing_H"为正值，且当前卖出价超出高点价位，我们使用"Print"记录突破事件，通过"high"数组和"timeframe_bos"找出该波段高点的索引，调用"drawBreakLevel"结合TimeToString和"time"，标记突破水平位，如果当前未持仓（"isTakenTrade"为false），则通过"obj_Trade.Buy"以0.01手开仓买入，并设置止损价位"minimum_price"与止盈价位"maximum_price"，将"isTakenTrade"标记为 true（防止重复开仓），并重置"swing_H"值（清除已突破的拐点）。
如果"swing_L"为正值且当前买入价跌破低点价位，我们则记录日志，通过"low"找到该波段低点索引，调用"drawBreakLevel"标记突破水平位，通过"obj_Trade.Sell"开仓卖出，并重置"swing_L"值（清除已突破的拐点）。我们在每次交易后均以"return"退出，确保精准的BOS交易。以下是输出结果：
我们现已能够针对确认有效的交易形态自动开仓。然而，如果出现突破行情但未发生在既定区间内的情况，也就是价格从区间边界外发起突破。我们需要等待价格重新回至区间内，方可认定该突破为有效信号。为实现这一逻辑，需提取区间的最高价与最低价，并以此构建更严格的筛选条件，从而避免虚假突破信号的干扰。
if (swing_H > 0 && Ask > swing_H && swing_H <= maximum_price && swing_H >= minimum_price){ //--- Check if the Ask price breaks above the swing high within the range Print("$$$$$$$$$ BUY SIGNAL NOW. BREAK OF SWING HIGH WITHIN RANGE"); //--- Log a buy signal due to swing high breakout int swing_H_index = 0; //--- Initialize the index of the swing high bar for (int i=0; i<=length*2+1000; i++){ //--- Loop through bars to find the swing high double high_sel = high(i,timeframe_bos); //--- Get the high price of the i-th bar if (high_sel == swing_H){ //--- Check if the high matches the swing high swing_H_index = i; //--- Store the bar index Print("BREAK HIGH FOUND @ BAR INDEX ",swing_H_index); //--- Log the swing high bar index break; //--- Exit the loop once found } } drawBreakLevel(TimeToString(time(0,timeframe_bos)),time(swing_H_index,timeframe_bos),high(swing_H_index,timeframe_bos), time(0,timeframe_bos),high(swing_H_index,timeframe_bos),clrBlue,-1); //--- Draw a line to mark the swing high breakout if (isTakenTrade == false){ //--- Check if no trade is taken yet obj_Trade.Buy(0.01,_Symbol,Ask,minimum_price,maximum_price); //--- Execute a buy trade with 0.01 lots, using minimum price as SL and maximum as TP isTakenTrade = true; //--- Set the flag to indicate a trade is taken } swing_H = -1.0; //--- Reset the swing high price return; //--- Exit the OnTick function to avoid further processing } if (swing_L > 0 && Bid < swing_L && swing_L <= maximum_price && swing_L >= minimum_price){ //--- Check if the Bid price breaks below the swing low within the range Print("$$$$$$$$$ SELL SIGNAL NOW. BREAK OF SWING LOW WITHIN RANGE"); //--- Log a sell signal due to swing low breakout int swing_L_index = 0; //--- Initialize the index of the swing low bar for (int i=0; i<=length*2+1000; i++){ //--- Loop through bars to find the swing low double low_sel = low(i,timeframe_bos); //--- Get the low price of the i-th bar if (low_sel == swing_L){ //--- Check if the low matches the swing low swing_L_index = i; //--- Store the bar index Print("BREAK LOW FOUND @ BAR INDEX ",swing_L_index); //--- Log the swing low bar index break; //--- Exit the loop once found } } drawBreakLevel(TimeToString(time(0,timeframe_bos)),time(swing_L_index,timeframe_bos),low(swing_L_index,timeframe_bos), time(0,timeframe_bos),low(swing_L_index,timeframe_bos),clrRed,+1); //--- Draw a line to mark the swing low breakout if (isTakenTrade == false){ //--- Check if no trade is taken yet obj_Trade.Sell(0.01,_Symbol,Bid,maximum_price,minimum_price); //--- Execute a sell trade with 0.01 lots, using maximum price as SL and maximum as TP isTakenTrade = true; //--- Set the flag to indicate a trade is taken } swing_L = -1.0; //--- Reset the swing low price return; //--- Exit the OnTick function to avoid further processing }
我们能够有效过滤虚假信号，并仅在确认有效的交易形态出现时开仓，从而成功实现了既定目标：识别、可视化并执行该策略。接下来需完成的工作是程序回测，相关内容将在下一章节详细阐述。
回测
经过全面回测后，我们得到以下结果：
回测图：
回测报告：
结论
综上所述，我们已成功开发了一款基于MQL5的EA，该系统实现了午夜区间突破结合BOS策略，通过当日关键拐点确认午夜区间内的突破信号，并自动执行交易。凭借精准的区间检测与可视化功能，您可以做进一步扩展，并定义更多策略，使其更加稳健，从而适应您的交易风格。
免责声明：本文仅用于教学目的。交易涉及重大财务风险，市场剧烈波动可能导致资金损失。在将此EA投入实盘交易前，务必进行全面回测并制定严谨的风险管理策略。
通过掌握这些技术，您可以提升算法交易能力，以更从容的姿态应对市场波动。祝您交易顺利！
本文由MetaQuotes Ltd译自英文
原文地址： https://www.mql5.com/en/articles/17876
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你好，艾伦。
我准备下载你的系统并开始测试。 有趣的是，策略测试报告 既没有确定交易货币对，也没有确定时间框架。 由于你说明了 AUUSD M15，我想这就是你使用的，我将开始测试。 你对使用其他货币对或时间框架有什么感觉吗？ 我怀疑这个 Ea 在亚洲交易货币对上可能会更好用，我说的对吗？
干杯，科达角
测试失败了，我尝试了澳元兑美元、澳元兑日元和美元兑日元，结果全部亏损，夏普比率为 -3.00 至 -5.00。除美元兑日元外，其他货币均立即转为负值，且再也没有恢复。 美元兑日元曾有过两次正收益，但最终转为负值，且再也没有恢复。
再见
工作出色。谢谢你，艾伦
当然，欢迎感谢您的反馈。
谢谢你，艾伦！ 你是最棒的