FVG结合ATR形成的策略

wangjia

//+------------------------------------------------------------------+
//|                                              FVG_ATR_Strategy.mq5 |
//| Combines Fair Value Gap (FVG) theory with ATR for trading signals |
//+------------------------------------------------------------------+
#property copyright "Your Name"
#property link      "https://www.example.com"
#property version   "1.00"

//--- Input Parameters
input double RiskPercent = 1.0;         // Risk per trade (% of account equity)
input int ATR_Period = 14;              // ATR Period
input double ATR_SL_Multiplier = 1.5;   // ATR multiplier for Stop Loss
input double ATR_TP_Multiplier = 3.0;   // ATR multiplier for Take Profit
input int SMA_Period = 200;             // SMA Period for trend filter
input int MaxFVGs = 10;                 // Maximum FVGs to track
input int Lookback = 50;                // Lookback period for FVG detection

//--- Global Variables
struct FVG {
   double high;       // High of FVG zone
   double low;        // Low of FVG zone
   bool isBullish;    // True for bullish FVG, false for bearish
   bool active;       // True if FVG is still valid
};

FVG fvgArray[];       // Array to store FVGs
int fvgCount = 0;     // Current number of FVGs
double atrValue;      // Current ATR value
double smaValue;      // Current SMA value

//--- Handles for Indicators
int atrHandle;
int smaHandle;

//+------------------------------------------------------------------+
//| Expert initialization function                                     |
//+------------------------------------------------------------------+
int OnInit()
{
   // Initialize array for FVGs
   ArrayResize(fvgArray, MaxFVGs);
   for(int i = 0; i < MaxFVGs; i++)
   {
      fvgArray.high = 0.0;
      fvgArray.low = 0.0;
      fvgArray.isBullish = false;
      fvgArray.active = false;
   }

   // Create indicator handles
   atrHandle = iATR(_Symbol, _Period, ATR_Period);
   smaHandle = iMA(_Symbol, _Period, SMA_Period, 0, MODE_SMA, PRICE_CLOSE);

   if(atrHandle == INVALID_HANDLE || smaHandle == INVALID_HANDLE)
   {
      Print("Failed to create indicator handle");
      return(INIT_FAILED);
   }

   return(INIT_SUCCEEDED);
}

//+------------------------------------------------------------------+
//| Expert deinitialization function                                   |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
   IndicatorRelease(atrHandle);
   IndicatorRelease(smaHandle);
}

//+------------------------------------------------------------------+
//| Expert tick function                                              |
//+------------------------------------------------------------------+
void OnTick()
{
   // Update indicators
   double atrBuffer[];
   double smaBuffer[];
   ArraySetAsSeries(atrBuffer, true);
   ArraySetAsSeries(smaBuffer, true);

   CopyBuffer(atrHandle, 0, 0, 1, atrBuffer);
   CopyBuffer(smaHandle, 0, 0, 1, smaBuffer);

   atrValue = atrBuffer[0];
   smaValue = smaBuffer[0];

   // Get current price
   MqlTick tick;
   SymbolInfoTick(_Symbol, tick);
   double currentPrice = tick.bid;

   // Detect new FVGs
   DetectFVGs();

   // Check for trading signals
   CheckTradingSignals(currentPrice);
}

//+------------------------------------------------------------------+
//| Detect Fair Value Gaps                                            |
//+------------------------------------------------------------------+
void DetectFVGs()
{
   // Get candle data
   double high[], low[], close[];
   ArraySetAsSeries(high, true);
   ArraySetAsSeries(low, true);
   ArraySetAsSeries(close, true);

   CopyHigh(_Symbol, _Period, 0, Lookback, high);
   CopyLow(_Symbol, _Period, 0, Lookback, low);
   CopyClose(_Symbol, _Period, 0, Lookback, close);

   // Reset active FVGs
   for(int i = 0; i < fvgCount; i++)
      fvgArray.active = false;

   fvgCount = 0;

   // Look for FVGs (3-candle pattern)
   for(int i = 2; i < Lookback - 1 && fvgCount < MaxFVGs; i++)
   {
      // Bullish FVG: low of middle candle > high of previous and next candles
      if(low > high[i+1] && low > high[i-1])
      {
         fvgArray[fvgCount].high = low;
         fvgArray[fvgCount].low = MathMax(high[i+1], high[i-1]);
         fvgArray[fvgCount].isBullish = true;
         fvgArray[fvgCount].active = true;
         fvgCount++;
      }
      // Bearish FVG: high of middle candle < low of previous and next candles
      else if(high < low[i+1] && high < low[i-1])
      {
         fvgArray[fvgCount].high = MathMin(low[i+1], low[i-1]);
         fvgArray[fvgCount].low = high;
         fvgArray[fvgCount].isBullish = false;
         fvgArray[fvgCount].active = true;
         fvgCount++;
      }
   }
}

//+------------------------------------------------------------------+
//| Check for trading signals                                         |
//+------------------------------------------------------------------+
void CheckTradingSignals(double currentPrice)
{
   // Check if any position is open
   if(PositionSelect(_Symbol)) return;

   // Check trend direction
   bool isBullishTrend = currentPrice > smaValue;
   bool isBearishTrend = currentPrice < smaValue;

   // Iterate through FVGs
   for(int i = 0; i < fvgCount; i++)
   {
      if(!fvgArray.active) continue;

      // Bullish FVG entry
      if(fvgArray.isBullish && isBullishTrend)
      {
         if(currentPrice >= fvgArray.low && currentPrice <= fvgArray.high)
         {
            double sl = currentPrice - atrValue * ATR_SL_Multiplier;
            double tp = currentPrice + atrValue * ATR_TP_Multiplier;
            double lotSize = CalculateLotSize(sl, currentPrice);

            trade.Buy(lotSize, _Symbol, currentPrice, sl, tp, "Bullish FVG Entry");
            fvgArray.active = false; // Deactivate FVG after entry
            break;
         }
      }
      // Bearish FVG entry
      else if(!fvgArray.isBullish && isBearishTrend)
      {
         if(currentPrice <= fvgArray.high && currentPrice >= fvgArray.low)
         {
            double sl = currentPrice + atrValue * ATR_SL_Multiplier;
            double tp = currentPrice - atrValue * ATR_TP_Multiplier;
            double lotSize = CalculateLotSize(currentPrice, sl);

            trade.Sell(lotSize, _Symbol, currentPrice, sl, tp, "Bearish FVG Entry");
            fvgArray.active = false; // Deactivate FVG after entry
            break;
         }
      }
   }
}

//+------------------------------------------------------------------+
//| Calculate lot size based on risk                                   |
//+------------------------------------------------------------------+
double CalculateLotSize(double entryPrice, double stopLossPrice)
{
   double accountEquity = AccountInfoDouble(ACCOUNT_EQUITY);
   double riskAmount = accountEquity * RiskPercent / 100.0;
   double pointSize = SymbolInfoDouble(_Symbol, SYMBOL_POINT);
   double tickSize = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_TICK_SIZE);
   double tickValue = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_TICK_VALUE);

   // Calculate pip value
   double pipValue = MathAbs(entryPrice - stopLossPrice) / pointSize;
   double lotSize = riskAmount / (pipValue * tickValue);

   // Normalize lot size
   double minLot = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_MIN);
   double maxLot = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_MAX);
   double lotStep = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_STEP);

   lotSize = MathRound(lotSize / lotStep) * lotStep;
   lotSize = MathMax(minLot, MathMin(maxLot, lotSize));

   return lotSize;
}

//+------------------------------------------------------------------+
//| Trade object for executing trades                                 |
//+------------------------------------------------------------------+
#include <Trade\Trade.mqh>
CTrade trade;

//+------------------------------------------------------------------+
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