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网格和马丁格尔：它们是什么？如何使用它们？·进阶篇

第 2/3 篇

本章目录

马丁格尔的递归手数方程
手搓一个最简网格EA看回测真相
网格边界与挂单铺设的代码骨架
网格平仓判定与调度落点

马丁格尔的递归手数方程

马丁格尔的核心逻辑和网格相似：不预测方向，只靠加倍手数把亏损周期填平。某一笔订单亏损后，下一笔手数相对已亏头寸总和放大 n 倍；一旦获利，周期结束、手数重置为初始值。关键约束是：周期内最后一笔盈利单的利润必须覆盖前面所有亏损单的损失。用账户货币（非点数）表达为 Pr = L[Nl+Np] * TP[Nl+Np] * TickSize，已亏部分 Ls = Sum(1,Nl)(L[i]*SL[i]) * TickSize。手数靠递归得出：L[1]=StartLot，从 i=2 起 L[i] = (K * Sum(1,i-1)(L[j]*SL[j])) / TP[i]，其中 K 是周期利润系数。原文未计点差佣金隔夜息，但方程本身可直接改。外汇与贵金属属高风险品种，马丁格尔在实盘里随时可能因存款不足以完成周期而爆仓，上述方程仅用于 MT5 回测验证，不代表任何盈利保证。

MQL5 / C++

L[class="num">1]=StartLot
for(class="num">2, Nl ) L[i]=(K*Sum(class="num">1, i-class="num">1 )(L[j]*SL[j]))/TP[i]

◍ 手搓一个最简网格EA看回测真相

先在模板里挂上 MT5 自带的 PositionInfo 和 Trade 两个类，编译不会报错，省去自己写底层仓位管理的麻烦。网格的核心输入就这几项：通道半宽 MaxChannelSizePoints=500 点、最小平仓波动 MinMoveToClose=100 点、网格步长 GridStepPoints=20 点、回算 BarsI=999 根 K 线、非对称系数 KClose=3.5。手数走最简固定 0.01，滑点上限 15 点，Magic 编号 679034 用于隔离本 EA 的订单。 EA 重启时要能恢复上一会话的网格状态，否则异常断开后网格参数就丢了。RestoreGrid() 先给 Time/High/Low 数组按 BarsI 扩维，再一次性把历史高低和时间的序列拷进来，最后用 PositionSelect 按 Magic 匹配持仓、把开仓时间读回 GridStartTime。回测结论很直接：趋势段网格吃得挺香，但横盘损耗把利润吐光，最终净值为负——点差吃掉了边际收益，且一次『网格不够宽』的极端波动就能击穿此前所有盈利。外汇与贵金属属高风险品种，这类裸网格在实盘中断电或滑点扩大时可能直接爆仓，仅适合用极小仓位在策略测试器里验证逻辑。

MQL5 / C++

class="macro">#include <Trade\PositionInfo.mqh>
class="macro">#include <Trade\Trade.mqh>
CPositionInfo  m_position=CPositionInfo();class=class="str">"cmt">// trade position object
CTrade         m_trade=CTrade();          class=class="str">"cmt">// trading object
class=class="str">"cmt">///grid variables
input class="type">int MaxChannelSizePoints=class="num">500;class=class="str">"cmt">//Max Of a+d
input class="type">int MinMoveToClose=class="num">100;class=class="str">"cmt">//Mininum Move
input class="type">int GridStepPoints=class="num">20;class=class="str">"cmt">//Grid Step In Points
input class="type">int BarsI=class="num">999;class=class="str">"cmt">//Bars To Start Calculate
input class="type">class="kw">double KClose=class="num">3.5;class=class="str">"cmt">//Asymmetry
class=class="str">"cmt">///
class=class="str">"cmt">////////minimum trading implementation
input class="type">int SlippageMaxOpen=class="num">15; class=class="str">"cmt">//Slippage For Open In Points
input class="type">class="kw">double Lot=class="num">0.01;class=class="str">"cmt">//Lot
input class="type">int MagicC=class="num">679034;class=class="str">"cmt">//Magic
class=class="str">"cmt">/////////
class="type">void DimensionAllMQL5Values()class=class="str">"cmt">//////////////////////////////
  {
  ArrayResize(Time,BarsI,class="num">0);
  ArrayResize(High,BarsI,class="num">0);
  ArrayResize(Low,BarsI,class="num">0);
  }
class="type">void CalcAllMQL5Values()class=class="str">"cmt">///////////////////////////////////
  {
  ArraySetAsSeries(High,false);
  ArraySetAsSeries(Low,false);
  ArraySetAsSeries(Time,false);
  CopyHigh(_Symbol,_Period,class="num">0,BarsI,High);
  CopyLow(_Symbol,_Period,class="num">0,BarsI,Low);
  CopyTime(_Symbol,_Period,class="num">0,BarsI,Time);
  ArraySetAsSeries(High,true);
  ArraySetAsSeries(Low,true);
  ArraySetAsSeries(Time,true);
  }
class="type">void RestoreGrid()class=class="str">"cmt">//recover the grid if the robot is restarted
  {
  DimensionAllMQL5Values();
  CalcAllMQL5Values();
  class="type">bool ord=PositionSelect(Symbol());
  if ( ord && class="type">int(PositionGetInteger(POSITION_MAGIC)) == MagicC )
    {
    GridStartTime=class="type">class="kw">datetime(PositionGetInteger(POSITION_TIME));

「网格边界与挂单铺设的代码骨架」

这段逻辑把网格的起始价和上下边界绑定到已有持仓的开仓价上。先通过 PositionGetDouble 取出 POSITION_PRICE_OPEN 转成 double 赋给 GridStartPrice，再把 GridUpPrice 和 GridDownPrice 都初始化成同一个值，相当于以当前仓位为原点拉出通道。随后用 for 循环扫 BarsI 根 K 线：只要某根 High 突破 GridUpPrice 就刷新上边界，Low 跌破 GridDownPrice 就刷新下边界；一旦 Time[i] 早于 GridStartTime 就 break，避免回看超过网格构建时刻的历史。扫完把 bCanUpdate 置 true、bTryedAlready 置 false，标志网格进入可更新状态。 CreateNewGrid 才是真正铺挂单的地方。它先取 SymbolInfoTick 拿最新报价，GridStartPrice 直接吃 LastTick.bid，然后以 GridStepPoints*_Point 为步长，在 ask 之上到 MaxChannelSizePoints*_Point 区间内 while 循环挂 BuyStop，在 bid 之下对称挂 SellStop——步长和通道半宽都是点值整数，改这两个参数就能直接改变网格密度。 UpdateGrid 只做一件事： tick 刷新时把 bid 与上下边界比较并扩边；ClosePosition 按 MagicC 过滤同品种仓位后凭 ticket 平仓；CleanLimitOrders 则遍历 OrdersTotal 逐个 OrderDelete。外汇与贵金属杠杆高，网格马丁类逻辑在单边行情中可能快速放大回撤，参数未经回测勿直接上实盘。

MQL5 / C++

GridStartPrice=class="type">class="kw">double(PositionGetDouble(POSITION_PRICE_OPEN));
GridUpPrice=GridStartPrice;
GridDownPrice=GridStartPrice;

for(class="type">int i=class="num">0;i<BarsI;i++)
  {
  if ( High[i] > GridUpPrice ) GridUpPrice=High[i];
  if ( Low[i] < GridDownPrice ) GridDownPrice=Low[i];
  if ( Time[i] < GridStartTime ) break;
  }
bCanUpdate=true;
bTryedAlready=false;
  }
 }
class="type">class="kw">datetime GridStartTime;class=class="str">"cmt">//grid construction time
class="type">class="kw">double GridStartPrice;class=class="str">"cmt">//grid starting price
class="type">class="kw">double GridUpPrice;class=class="str">"cmt">//upper price within the corridor
class="type">class="kw">double GridDownPrice;class=class="str">"cmt">//lower price within the corridor
class="type">bool bCanUpdate;class=class="str">"cmt">//whether it is possible to update the grid
class="type">bool bTryedAlready;class=class="str">"cmt">//whether there was an attempt to close a position
class="type">void CreateNewGrid()class=class="str">"cmt">//create a new grid
  {
  SymbolInfoTick(Symbol(),LastTick);
  GridStartTime=TimeCurrent();
  GridStartPrice=LastTick.bid;
  GridUpPrice=GridStartPrice;
  GridDownPrice=GridStartPrice;

  class="type">class="kw">double SummUp=LastTick.ask+class="type">class="kw">double(GridStepPoints)*_Point;
  class="type">class="kw">double SummDown=LastTick.bid-class="type">class="kw">double(GridStepPoints)*_Point;

  while ( SummUp <= LastTick.ask+class="type">class="kw">double(MaxChannelSizePoints)*_Point )
    {
    m_trade.BuyStop(Lot,SummUp,Symbol());
    SummUp+=class="type">class="kw">double(GridStepPoints)*_Point;
    }

  while ( SummDown >= LastTick.bid-class="type">class="kw">double(MaxChannelSizePoints)*_Point )
    {
    m_trade.SellStop(Lot,SummDown,Symbol());
    SummDown-=class="type">class="kw">double(GridStepPoints)*_Point;
    }
  }
class="type">void UpdateGrid()class=class="str">"cmt">//update the grid parameters
  {
  SymbolInfoTick(Symbol(),LastTick);
  if ( LastTick.bid > GridUpPrice ) GridUpPrice=LastTick.bid;
  if ( LastTick.bid < GridDownPrice ) GridDownPrice=LastTick.bid;
  }
class="type">void ClosePosition()class=class="str">"cmt">//close a position by a symbol
  {
  class="type">bool ord;
  ord=PositionSelect(Symbol());
  if ( ord && class="type">int(PositionGetInteger(POSITION_MAGIC)) == MagicC  )
    {
    if(m_position.SelectByIndex(class="num">0)) m_trade.PositionClose(m_position.Ticket());
    }
  }
class="type">void CleanLimitOrders()class=class="str">"cmt">//clear limit orders
  {
  class="type">int orders=OrdersTotal();
  for(class="type">int i=class="num">0;i<orders;i++)
    {
    class="type">ulong ticket=OrderGetTicket(i);
    if(ticket!=class="num">0)
      {
      m_trade.OrderDelete(ticket);
      }
    }
  }

网格平仓判定与调度落点

网格策略的退出逻辑集中在 bCanClose() 这个函数里。它先区分单向网格与双向网格：当起始价等于上轨或下轨时，只要求对应一侧离起始价的点数差不小于 MinMoveToClose 即触发平仓；双向情况下还要看上下两侧距离的比值是否越过 KClose，且触发侧点数差同样满足 MinMoveToClose。被注释掉的那段通道突破逻辑（MaxChannelSizePoints）说明作者曾考虑用绝对通道宽度强平，但当前版本已弃用，实盘里不会生效。 Trade() 把更新网格、平仓、清限价单、重建网格串成状态机：有仓且 bCanClose() 为真就平掉并标记 bTryedAlready；若已尝试过则硬平；无仓且不允许更新时清单并重开新网格。外汇与贵金属杠杆高，这套状态切换若参数 MinMoveToClose、KClose 设错，可能在震荡中频繁重建网格放大回撤。 OnInit 里 RestoreGrid() 负责断线重连后恢复网格，OnTick 每笔报价直接调 Trade()。开 MT5 把下面代码挂到回测，重点观察 bCanClose 里 KClose 从 1.5 调到 2.0 时平仓次数是否明显下降。

MQL5 / C++

class="type">bool bCanClose()class=class="str">"cmt">//closure condition
  {
  if ( GridStartPrice == GridUpPrice && (GridStartPrice-GridDownPrice)/_Point >= MinMoveToClose ) class="kw">return true;
  if ( GridStartPrice == GridDownPrice && (GridUpPrice-GridStartPrice)/_Point >= MinMoveToClose ) class="kw">return true;
  
  if ( GridStartPrice != GridUpPrice && GridStartPrice != GridDownPrice
  && (GridStartPrice-GridDownPrice)/(GridUpPrice-GridStartPrice) >= KClose
  && (GridStartPrice-GridDownPrice)/_Point >= MinMoveToClose ) class="kw">return true;
  if ( GridStartPrice != GridDownPrice && GridStartPrice != GridUpPrice
  && (GridUpPrice-GridStartPrice)/(GridStartPrice-GridDownPrice) >= KClose
  && (GridUpPrice-GridStartPrice)/_Point >= MinMoveToClose ) class="kw">return true;
  
  class=class="str">"cmt">/*
  if ( GridUpPrice >= GridStartPrice+MaxChannelSizePoints*_Point
  class=class="str">"cmt">//|| GridDownPrice <= GridStartPrice-MaxChannelSizePoints*_Point ) class="kw">return true;
  */
  class="kw">return false;
  }
class="type">void Trade()class=class="str">"cmt">//the main function where all actions are performed
  {
  class="type">bool ord=PositionSelect(Symbol());
  
  if ( bCanUpdate ) UpdateGrid();
  
  if ( ord && bCanClose() )class=class="str">"cmt">//if there is a position and the closing condition is met
    {
    ClosePosition();
    CleanLimitOrders();
    bCanUpdate=false;
    bTryedAlready=true;
    }
  if ( bTryedAlready ) ClosePosition();
    
  if ( !bCanUpdate && !ord )
    {
    CleanLimitOrders();
    CreateNewGrid();
    bCanUpdate=true;
    bTryedAlready=false;
    }
  }
class="type">int OnInit()
  {
  m_trade.SetExpertMagicNumber(MagicC);class=class="str">"cmt">//set the magic number for positions
  RestoreGrid();class=class="str">"cmt">//restore the grid if present
  class="kw">return(INIT_SUCCEEDED);
  }
class="type">void OnTick()
  {
  Trade();
  }