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发表于 2008-5-25 07:05
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如何评估智能交易测试结果 [ en | ru ]
首先，我们来谈谈测试程序。在测试开始之前，测试的子系统加载智能交易，设定用户指定的先前参量并且调用init()函数。随后通过生成次序测试开始，并且每次都会调用 start()函数。当测试的次序耗尽，会调用 deinit()函数。这样，整个交易历史在测试期间产生测试数据。在此时这个智能交易的效率可以进行分析。
CalculateSummary函数提供以下测试结果计算，即，在策略测试的标准报告中给出数据。
void CalculateSummary(double initial_deposit) { int sequence=0, profitseqs=0, lossseqs=0; double sequential=0.0, prevprofit=EMPTY_VALUE, drawdownpercent, drawdown; double maxpeak=initial_deposit, minpeak=initial_deposit, balance=initial_deposit; int trades_total=HistoryTotal();//---- 初始化总结 InitializeSummaries(initial_deposit);//---- for(int i=0; i<trades_total; i++) { if(!OrderSelect(i,SELECT_BY_POS,MODE_HISTORY)) continue; int type=OrderType(); //---- 不考虑初始差额 if(i==0 && type==OP_BALANCE) continue; //---- 计算赢利 double profit=OrderProfit()+OrderCommission()+OrderSwap(); balance+=profit; //---- 检测借款 if(maxpeak<balance) { drawdown=maxpeak-minpeak; if(maxpeak!=0.0) { drawdownpercent=drawdown/maxpeak*100.0; if(RelDrawdownPercent<drawdownpercent) { RelDrawdownPercent=drawdownpercent; RelDrawdown=drawdown; } } if(MaxDrawdown<drawdown) { MaxDrawdown=drawdown; if(maxpeak!=0.0) MaxDrawdownPercent=MaxDrawdown/maxpeak*100.0; else MaxDrawdownPercent=100.0; } maxpeak=balance; minpeak=balance; } if(minpeak>balance) minpeak=balance; if(MaxLoss>balance) MaxLoss=balance; //---- 仅限市场定单 if(type!=OP_BUY && type!=OP_SELL) continue; SummaryProfit+=profit; SummaryTrades++; if(type==OP_BUY) LongTrades++; else ShortTrades++; //---- 亏损交易 if(profit<0) { LossTrades++; GrossLoss+=profit; if(MinProfit>profit) MinProfit=profit; //---- fortune changed if(prevprofit!=EMPTY_VALUE && prevprofit>=0) { if(ConProfitTrades1<sequence || (ConProfitTrades1==sequence && ConProfit2<sequential)) { ConProfitTrades1=sequence; ConProfit1=sequential; } if(ConProfit2<sequential || (ConProfit2==sequential && ConProfitTrades1<sequence)) { ConProfit2=sequential; ConProfitTrades2=sequence; } profitseqs++; AvgConWinners+=sequence; sequence=0; sequential=0.0; } } //---- 赢利交易(profit>=0) else { ProfitTrades++; if(type==OP_BUY) WinLongTrades++; if(type==OP_SELL) WinShortTrades++; GrossProfit+=profit; if(MaxProfit<profit) MaxProfit=profit; //---- fortune changed if(prevprofit!=EMPTY_VALUE && prevprofit<0) { if(ConLossTrades1<sequence || (ConLossTrades1==sequence && ConLoss2>sequential)) { ConLossTrades1=sequence; ConLoss1=sequential; } if(ConLoss2>sequential || (ConLoss2==sequential && ConLossTrades1<sequence)) { ConLoss2=sequential; ConLossTrades2=sequence; } lossseqs++; AvgConLosers+=sequence; sequence=0; sequential=0.0; } } sequence++; sequential+=profit; //---- prevprofit=profit; }//---- 最终借款检验 drawdown=maxpeak-minpeak; if(maxpeak!=0.0) { drawdownpercent=drawdown/maxpeak*100.0; if(RelDrawdownPercent<drawdownpercent) { RelDrawdownPercent=drawdownpercent; RelDrawdown=drawdown; } } if(MaxDrawdown<drawdown) { MaxDrawdown=drawdown; if(maxpeak!=0) MaxDrawdownPercent=MaxDrawdown/maxpeak*100.0; else MaxDrawdownPercent=100.0; }//---- 考虑最后交易 if(prevprofit!=EMPTY_VALUE) { profit=prevprofit; if(profit<0) { if(ConLossTrades1<sequence || (ConLossTrades1==sequence && ConLoss2>sequential)) { ConLossTrades1=sequence; ConLoss1=sequential; } if(ConLoss2>sequential || (ConLoss2==sequential && ConLossTrades1<sequence)) { ConLoss2=sequential; ConLossTrades2=sequence; } lossseqs++; AvgConLosers+=sequence; } else { if(ConProfitTrades1<sequence || (ConProfitTrades1==sequence && ConProfit2<sequential)) { ConProfitTrades1=sequence; ConProfit1=sequential; } if(ConProfit2<sequential || (ConProfit2==sequential && ConProfitTrades1<sequence)) { ConProfit2=sequential; ConProfitTrades2=sequence; } profitseqs++; AvgConWinners+=sequence; } }//---- 收集完毕 double dnum, profitkoef=0.0, losskoef=0.0, avgprofit=0.0, avgloss=0.0;//---- 连续盈利和亏损的平均数 dnum=AvgConWinners; if(profitseqs>0) AvgConWinners=dnum/profitseqs+0.5; dnum=AvgConLosers; if(lossseqs>0) AvgConLosers=dnum/lossseqs+0.5;//---- 绝对值 if(GrossLoss<0.0) GrossLoss*=-1.0; if(MinProfit<0.0) MinProfit*=-1.0; if(ConLoss1<0.0) ConLoss1*=-1.0; if(ConLoss2<0.0) ConLoss2*=-1.0;//---- 赢利原因 if(GrossLoss>0.0) ProfitFactor=GrossProfit/GrossLoss;//----期待盈利 if(ProfitTrades>0) avgprofit=GrossProfit/ProfitTrades; if(LossTrades>0) avgloss =GrossLoss/LossTrades; if(SummaryTrades>0) { profitkoef=1.0*ProfitTrades/SummaryTrades; losskoef=1.0*LossTrades/SummaryTrades; ExpectedPayoff=profitkoef*avgprofit-losskoef*avgloss; }//---- 绝对借款 AbsoluteDrawdown=initial_deposit-MaxLoss; }
计算正确,机会得知初始化存款额的值 。这样，在init() 函数中AccountBalance()函数必须被调用，在测试开始时将给出差额。
void init() { ExtInitialDeposit=AccountBalance(); }
在上面的CalculateSummary 函数中， 与标准的报告一样，盈利在当前的存款额中计算。其他交易结果，像"最大盈利交易" 或 "最大连续亏损"在赢利基础上计算，同样要测量金钱数。随后重新以点数计算赢利。
... //---- 仅限市场定单 if(type!=OP_BUY && type!=OP_SELL) continue; //---- 以点数计算赢利 profit=(OrderClosePrice()-OrderOpenPrice())/MarketInfo(OrderSymbol(),MODE_POINT); SummaryProfit+=profit;...
使用函数将得到结果写入报告文件中。
void WriteReport(string report_name) { int handle=FileOpen(report_name,FILE_CSV|FILE_WRITE,'\t'); if(handle<1) return;//---- FileWrite(handle,"Initial deposit ",InitialDeposit); FileWrite(handle,"Total net profit ",SummaryProfit); FileWrite(handle,"Gross profit ",GrossProfit); FileWrite(handle,"Gross loss ",GrossLoss); if(GrossLoss>0.0) FileWrite(handle,"Profit factor ",ProfitFactor); FileWrite(handle,"Expected payoff ",ExpectedPayoff); FileWrite(handle,"Absolute drawdown ",AbsoluteDrawdown); FileWrite(handle,"Maximal drawdown ", MaxDrawdown, StringConcatenate("(",MaxDrawdownPercent,"%)")); FileWrite(handle,"Relative drawdown ", StringConcatenate(RelDrawdownPercent,"%"), StringConcatenate("(",RelDrawdown,")")); FileWrite(handle,"Trades total ",SummaryTrades); if(ShortTrades>0) FileWrite(handle,"Short positions(won %) ", ShortTrades, StringConcatenate("(",100.0*WinShortTrades/ShortTrades,"%)")); if(LongTrades>0) FileWrite(handle,"Long positions(won %) ", LongTrades, StringConcatenate("(",100.0*WinLongTrades/LongTrades,"%)")); if(ProfitTrades>0) FileWrite(handle,"Profit trades (% of total)", ProfitTrades, StringConcatenate("(",100.0*ProfitTrades/SummaryTrades,"%)")); if(LossTrades>0) FileWrite(handle,"Loss trades (% of total) ", LossTrades, StringConcatenate("(",100.0*LossTrades/SummaryTrades,"%)")); FileWrite(handle,"Largest profit trade ",MaxProfit); FileWrite(handle,"Largest loss trade ",-MinProfit); if(ProfitTrades>0) FileWrite(handle,"Average profit trade ",GrossProfit/ProfitTrades); if(LossTrades>0) FileWrite(handle,"Average loss trade ",-GrossLoss/LossTrades); FileWrite(handle,"Average consecutive wins ",AvgConWinners); FileWrite(handle,"Average consecutive losses",AvgConLosers); FileWrite(handle,"Maximum consecutive wins (profit in money)", ConProfitTrades1, StringConcatenate("(",ConProfit1,")")); FileWrite(handle,"Maximum consecutive losses (loss in money)", ConLossTrades1, StringConcatenate("(",-ConLoss1,")")); FileWrite(handle,"Maximal consecutive profit (count of wins)", ConProfit2, StringConcatenate("(",ConProfitTrades2,")")); FileWrite(handle,"Maximal consecutive loss (count of losses)", -ConLoss2, StringConcatenate("(",ConLossTrades2,")"));//---- FileClose(handle); }
以下给出范例，如何使用这些函数生成报告。
void deinit() { if(!IsOptimization()) { if(!IsTesting()) ExtInitialDeposit=CalculateInitialDeposit(); CalculateSummary(ExtInitialDeposit); WriteReport("MACD_Sample_Report.txt"); } }
在上边的范例中，您能够看到报告结果不仅是在测试结束后生成， 智能交易的运作中。您也许会问如果在终端内账户历史没有全部下载(例如,在账户栏中仅下载一个月的账户历史)，怎样获取初始存款额的大小呢。 CalculateInitialDeposit 函数将会帮助解决这个问题。
double CalculateInitialDeposit() { double initial_deposit=AccountBalance();//---- for(int i=HistoryTotal()-1; i>=0; i--) { if(!OrderSelect(i,SELECT_BY_POS,MODE_HISTORY)) continue; int type=OrderType(); //---- 不考虑初始化差额 if(i==0 && type==OP_BALANCE) break; if(type==OP_BUY || type==OP_SELL) { //---- 计算赢利 double profit=OrderProfit()+OrderCommission()+OrderSwap(); //---- 并减少差额 initial_deposit-=profit; } if(type==OP_BALANCE || type==OP_CREDIT) initial_deposit-=OrderProfit(); }//---- return(initial_deposit); }
在MetaTrader 4 客户端内测试报告会以这种形式生成。
可以比较使用于独立程序的计算数据。
Initial deposit 10000Total net profit -13.16Gross profit 20363.32Gross loss 20376.48Profit factor 0.99935416Expected payoff -0.01602923Absolute drawdown 404.28Maximal drawdown 1306.36 (11.5677%)Relative drawdown 11.5966% (1289.78)Trades total 821Short positions(won %) 419 (24.821%)Long positions(won %) 402 (31.592%)Profit trades (% of total) 231 (28.1364%)Loss trades (% of total) 590 (71.8636%)Largest profit trade 678.08Largest loss trade -250Average profit trade 88.15290043Average loss trade -34.53640678Average consecutive wins 1Average consecutive losses 4Maximum consecutive wins (profit in money) 4 (355.58)Maximum consecutive losses (loss in money) 15 (-314.74)Maximal consecutive profit (count of wins) 679.4 (2)Maximal consecutive loss (count of losses) -617.16 (8)
该文章的附加文件SummaryReport.mq4 建议保存在目录experts\include 中并且使用 #include 开启。
#include <SummaryReport.mq4> double ExtInitialDeposit;
附件:
 SummaryReport.mq4 (12.0 Kb)
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