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标题: 手工单自动止损 + 追踪止损 + 能量衰竭平仓（源码） [打印本页]

作者: 量化魔方 时间: 昨天 15:55
标题: 手工单自动止损 + 追踪止损 + 能量衰竭平仓（源码）
//+------------------------------------------------------------------+
//|                               ManualProtection_EnergyExit.mq5 |
//|       手工单自动止损 + 追踪止损 + 能量衰竭平仓                |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025"
#property link    ""
#property version "1.10"

#include <Trade\Trade.mqh>

//+------------------------------------------------------------------+
//| 输入参数                                                       |
//+------------------------------------------------------------------+
input group "══════════ 手工单保护 ══════════"
input bool    InpAutoStopManual = true; // 自动设置止损 (固定350点)
input bool    InpUseTrailing    = true; // 启用追踪止损
input bool    InpUseATRTrailing = true; // ATR动态距离 (否则固定点数)
input double InpTrailingATRMult  = 1.5; // 追踪止损ATR倍数
input int    InpFixedTrailing = 350; // 固定追踪点数
input int    InpTrailingStep    = 80;    // 最小移动步长(点)
input int    InpATRPeriod       = 14;    // ATR计算周期

input group "══════════ 能量衰竭平仓 ══════════"
input bool    InpUseEnergyExit = true; // 启用能量衰竭平仓
input int    RegPeriod          = 20;    // 线性回归周期
input double InpMinSlopeATR    = 0.02; // 最小标准化斜率 (基准阈值)
input int    InpATRPercentileWin = 100; // ATR百分位窗口(根K线)
input double InpChanWidthUp    = 0.9; // 通道宽（仅用于判断波动率状态）
input double InpChanWidthDn    = 2.1;

//+------------------------------------------------------------------+
//| 全局变量                                                       |
//+------------------------------------------------------------------+
CTrade m_tradeManual;    // 修改/平仓手工单 (无魔术号)
int    atrHandle;       // ATR指标句柄

//+------------------------------------------------------------------+
//| 线性回归                                                       |
//+------------------------------------------------------------------+
bool CalcLinearRegression(const double &y[], int period, int startIdx,
                        double &a, double &b)
  {
if(period <= 0 || startIdx < 0)
   { a = 0; b = 0; return false; }

double sumX = 0, sumY = 0, sumXY = 0, sumX2 = 0;
for(int i = 0; i < period; i++)
   {
   int idx = startIdx + i;
   double x = i;
   double v = y[idx];
   sumX  += x;
   sumY  += v;
   sumXY += x * v;
   sumX2 += x * x;
   }

double n    = (double)period;
double denom = n * sumX2 - sumX * sumX;
if(MathAbs(denom) < 1e-10)
   {
   a = 0;
   b = sumY / n;
   }
else
   {
   a = (n * sumXY - sumX * sumY) / denom;
   b = (sumY - a * sumX) / n;
   }
return true;
  }

//+------------------------------------------------------------------+
//| ATR 百分位计算                                                 |
//+------------------------------------------------------------------+
double CalcATRPercentile(int lookback)
  {
if(lookback < 5) return 50.0;
double atr[];
ArraySetAsSeries(atr, true);
if(CopyBuffer(atrHandle, 0, 0, lookback, atr) < lookback)
   return 50.0;

double current = atr[0];
int lessCnt = 0;
for(int i = 1; i < lookback; i++)
   if(atr[i] < current) lessCnt++;
return 100.0 * (double)lessCnt / (double)(lookback - 1);
  }

//+------------------------------------------------------------------+
//| 波动率状态 (低 / 正常 / 高)                                     |
//+------------------------------------------------------------------+
enum ENUM_VOL_REGIME
  {
VOL_LOW = 0,
VOL_NORMAL = 1,
VOL_HIGH = 2
  };

ENUM_VOL_REGIME GetVolRegime()
  {
double pct = CalcATRPercentile(InpATRPercentileWin);
if(pct < 25.0) return VOL_LOW;
if(pct > 75.0) return VOL_HIGH;
return VOL_NORMAL;
  }

//+------------------------------------------------------------------+
//| 计算通道 (用于获取标准化斜率)                                  |
//+------------------------------------------------------------------+
bool CalcChannel(double &normSlope)
  {
int need = MathMax(RegPeriod + 5, InpATRPercentileWin + 5);
double close[], atr[];
ArraySetAsSeries(close, true);
ArraySetAsSeries(atr, true);
if(CopyClose(_Symbol, _Period, 0, need, close) < need) return false;
if(CopyBuffer(atrHandle, 0, 0, need, atr) < need)    return false;

double slope, intercept;
if(!CalcLinearRegression(close, RegPeriod, 0, slope, intercept))
   return false;

normSlope = (atr[0] > 0) ? slope / atr[0] : 0;
return true;
  }

//+------------------------------------------------------------------+
//| 能量衰竭平仓 (所有手工单)                                        |
//+------------------------------------------------------------------+
void CheckEnergyExhaustion()
  {
if(!InpUseEnergyExit) return;
if(PositionsTotal() == 0) return;

double normSlope;
if(!CalcChannel(normSlope)) return;

double slopeAbs = MathAbs(normSlope);
ENUM_VOL_REGIME regime = GetVolRegime();
bool exit = false;

switch(regime)
   {
   case VOL_LOW: if(slopeAbs < InpMinSlopeATR * 0.5) exit = true; break;
   case VOL_NORMAL: if(slopeAbs < InpMinSlopeATR * 0.3) exit = true; break;
   case VOL_HIGH: if(slopeAbs < InpMinSlopeATR * 0.2) exit = true; break;
   }

if(!exit) return;

// 平掉所有手工单
for(int i = PositionsTotal() - 1; i >= 0; i--)
   {
   ulong ticket = PositionGetTicket(i);
   if(!PositionSelectByTicket(ticket)) continue;
   if(PositionGetString(POSITION_SYMBOL) != _Symbol) continue;

   double profit = PositionGetDouble(POSITION_PROFIT);
   if(m_tradeManual.PositionClose(_Symbol))
      PrintFormat("能量衰竭平仓(持仓 %I64u): 盈亏=%.2f  波动=%s  斜率=%.4f",
                  ticket, profit, (regime==0?"低"

regime==1?"正常":"高")), normSlope);
   }
  }

//+------------------------------------------------------------------+
//| 手工单自动止损 (固定350点)                                        |
//+------------------------------------------------------------------+
void AutoSetStopForManualPositions()
  {
if(!InpAutoStopManual) return;

for(int i = PositionsTotal() - 1; i >= 0; i--)
   {
   ulong ticket = PositionGetTicket(i);
   if(!PositionSelectByTicket(ticket)) continue;
   if(PositionGetString(POSITION_SYMBOL) != _Symbol) continue;

   double sl = PositionGetDouble(POSITION_SL);
   if(sl == 0)
      {
      long type    = PositionGetInteger(POSITION_TYPE);
      double openPrice = PositionGetDouble(POSITION_PRICE_OPEN);
      double tp       = PositionGetDouble(POSITION_TP);
      double slDist = 350 * _Point;
      double newSl    = (type == POSITION_TYPE_BUY) ?
                        NormalizeDouble(openPrice - slDist, _Digits) :
                        NormalizeDouble(openPrice + slDist, _Digits);
      if(m_tradeManual.PositionModify(_Symbol, newSl, tp))
         PrintFormat("手工单 %I64u 自动设置止损 %.5f", ticket, newSl);
      }
   }
  }

//+------------------------------------------------------------------+
//| 手工单追踪止损                                                 |
//+------------------------------------------------------------------+
void TrailingStop()
  {
if(!InpUseTrailing) return;

double atr[1];
if(InpUseATRTrailing)
   {
   ArraySetAsSeries(atr, true);
   if(CopyBuffer(atrHandle, 0, 0, 1, atr) != 1) return;
   }

for(int i = PositionsTotal() - 1; i >= 0; i--)
   {
   ulong ticket = PositionGetTicket(i);
   if(!PositionSelectByTicket(ticket)) continue;
   if(PositionGetString(POSITION_SYMBOL) != _Symbol) continue;

   double trailingDist = InpUseATRTrailing ?
                        InpTrailingATRMult * atr[0] :
                        InpFixedTrailing * _Point;
   double minStep = InpTrailingStep * _Point;

   double sl = PositionGetDouble(POSITION_SL);
   double tp = PositionGetDouble(POSITION_TP);
   long type = PositionGetInteger(POSITION_TYPE);
   double bid  = SymbolInfoDouble(_Symbol, SYMBOL_BID);
   double ask  = SymbolInfoDouble(_Symbol, SYMBOL_ASK);

   if(type == POSITION_TYPE_BUY)
      {
      double newSl = NormalizeDouble(bid - trailingDist, _Digits);
      if(newSl > sl + minStep)
         if(m_tradeManual.PositionModify(_Symbol, newSl, tp))
            PrintFormat("追踪止损上调(持仓 %I64u): %.5f", ticket, newSl);
      }
   else
      {
      double newSl = NormalizeDouble(ask + trailingDist, _Digits);
      if(newSl < sl - minStep)
         if(m_tradeManual.PositionModify(_Symbol, newSl, tp))
            PrintFormat("追踪止损下调(持仓 %I64u): %.5f", ticket, newSl);
      }
   }
  }

//+------------------------------------------------------------------+
//| Expert initialization function                                  |
//+------------------------------------------------------------------+
int OnInit()
  {
m_tradeManual.SetExpertMagicNumber(0);
m_tradeManual.SetDeviationInPoints(30);
m_tradeManual.SetTypeFilling(ORDER_FILLING_FOK);

atrHandle = iATR(_Symbol, _Period, InpATRPeriod);
if(atrHandle == INVALID_HANDLE)
   {
   Print("ATR指标句柄创建失败");
   return INIT_FAILED;
   }

Print("手工单保护EA v1.10 (止损+追踪+能量衰竭)");
return INIT_SUCCEEDED;
  }

//+------------------------------------------------------------------+
//| Expert deinitialization function                               |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
  {
if(atrHandle != INVALID_HANDLE)
   IndicatorRelease(atrHandle);
Print("手工单保护EA卸载");
  }

//+------------------------------------------------------------------+
//| Expert tick function                                           |
//+------------------------------------------------------------------+
void OnTick()
  {
AutoSetStopForManualPositions(); // 补止损
TrailingStop();                   // 追踪
CheckEnergyExhaustion();          // 能量衰竭平仓
  }
//+------------------------------------------------------------------+

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