请　[注册]　或　[登录]　 | 返回主站

量化交易吧 /  量化平台 帖子：3365780 新帖：12

如何评估智能交易测试结果

我们棒棒哒发表于：4 月 17 日 19：36回复(1)

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             10000
Total net profit            -13.16
Gross profit                20363.32
Gross loss                  20376.48
Profit factor               0.99935416
Expected payoff             -0.01602923
Absolute drawdown           404.28
Maximal drawdown            1306.36 (11.5677%)
Relative drawdown           11.5966%    (1289.78)
Trades total                    821
Short 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        678.08
Largest loss trade          -250
Average profit trade        88.15290043
Average loss trade          -34.53640678
Average consecutive wins    1
Average consecutive losses  4
Maximum 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;

转自俄罗斯MetaQuotes Software Corp.
原文: http://articles.mql4.com/ru/articles/1403

       

全部回复

0/140

量化课程

    移动端课程