【MQL4学习】如何评估智能交易测试结果
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 losses4
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;
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