回溯测试/优化

polohot 2008.10.12 16:43 #461

#property copyright "HS"

#property link ""

//---- input parameters

extern bool AccountIsIBFXmini=false;

extern double Lots=0.1;

extern double MaximumRisk=0.03;

extern double DecreaseFactor=300;

extern double MinLot=0.01;

extern int Slippage=3;

extern double TrailingStop=30;

double StartBalance,StartEquity;

extern bool UseHourTrade = false;

extern int FromHourTrade = 6;

extern int ToHourTrade = 18;

//---- global variables

int dir=0;

int openorders=0;

int cnt;

string pair;

int MagicNumber;

int bsflag=0;

int bstarget=0;

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

//| expert initialization function |

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

int init()

{

if (Symbol() == "AUDCADm" || Symbol() == "AUDCAD") { MagicNumber = 427101; }

if (Symbol() == "AUDJPYm" || Symbol() == "AUDJPY") { MagicNumber = 427102; }

if (Symbol() == "AUDNZDm" || Symbol() == "AUDNZD") { MagicNumber = 427103; }

if (Symbol() == "AUDUSDm" || Symbol() == "AUDUSD") { MagicNumber = 427104; }

if (Symbol() == "CHFJPYm" || Symbol() == "CHFJPY") { MagicNumber = 427105; }

if (Symbol() == "EURAUDm" || Symbol() == "EURAUD") { MagicNumber = 427106; }

if (Symbol() == "EURCADm" || Symbol() == "EURCAD") { MagicNumber = 427107; }

if (Symbol() == "EURCHFm" || Symbol() == "EURCHF") { MagicNumber = 427108; }

if (Symbol() == "EURGBPm" || Symbol() == "EURGBP") { MagicNumber = 427109; }

if (Symbol() == "EURJPYm" || Symbol() == "EURJPY") { MagicNumber = 427110; }

if (Symbol() == "EURUSDm" || Symbol() == "EURUSD") { MagicNumber = 427111; }

if (Symbol() == "GBPCHFm" || Symbol() == "GBPCHF") { MagicNumber = 427112; }

if (Symbol() == "GBPJPYm" || Symbol() == "GBPJPY") { MagicNumber = 427113; }

if (Symbol() == "GBPUSDm" || Symbol() == "GBPUSD") { MagicNumber = 427114; }

if (Symbol() == "NZDJPYm" || Symbol() == "NZDJPY") { MagicNumber = 427115; }

if (Symbol() == "NZDUSDm" || Symbol() == "NZDUSD") { MagicNumber = 427116; }

if (Symbol() == "USDCHFm" || Symbol() == "USDCHF") { MagicNumber = 427117; }

if (Symbol() == "USDJPYm" || Symbol() == "USDJPY") { MagicNumber = 427118; }

if (Symbol() == "USDCADm" || Symbol() == "USDCAD") { MagicNumber = 427119; }

if (MagicNumber == 0) { MagicNumber = 427199; }

pair = Symbol();

return(0);

}

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

//| expert deinitialization function |

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

int deinit()

{

return(0);

}

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

//| Calculate open positions |

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

int GetCurrentOrders()

{

//---- calc open OrderSelect

openorders=0;

dir=0;

for(int i=0;i<OrdersTotal();i++)

{

if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break;

if(OrderSymbol()==Symbol() && OrderMagicNumber()==MagicNumber)

{

openorders+=1;

if(OrderType()==OP_BUY) dir=1;

if(OrderType()==OP_SELL) dir=-1;

}

//+-------------------End Calculate open positions-------------------+

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

//| Calculate optimal lot size |

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

double LotsOptimized()

{

double lot=Lots;

int orders=HistoryTotal(); // history orders total

int losses=0; // number of losses orders without a break

//---- select lot size

lot=NormalizeDouble(AccountFreeMargin()*MaximumRisk/500.0,1);

//---- calculate number of losses orders without a break

if(DecreaseFactor>0)

{

for(int i=orders-1;i>=0;i--)

{

if(OrderSelect(i,SELECT_BY_POS,MODE_HISTORY)==false) { Print("Error in history!"); break; }

if(OrderSymbol()!=Symbol() || OrderMagicNumber()!=MagicNumber || OrderType()>OP_SELL) continue;

//----

if(OrderProfit()>0) break;

if(OrderProfit()<0) losses++;

}

if(losses>1) lot=NormalizeDouble(lot-lot*losses/DecreaseFactor,1);

}

//---- return lot size

if(lot>999) lot=999;

if(lot<MinLot) lot=MinLot;

return(lot);

}

//+-------------------End Calculate optimal lot size-----------------+

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

//| Close Open Position |

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

int CloseTrade()

{

for(int i=0;i<OrdersTotal();i++)

{

if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break;

if(OrderSymbol()==Symbol() && OrderMagicNumber()==MagicNumber)

{

if(OrderType()==OP_BUY) OrderClose(OrderTicket(),OrderLots(),Bid,3,Yellow);

if(OrderType()==OP_SELL) OrderClose(OrderTicket(),OrderLots(),Ask,3,Yellow);

}

//+----------------------End Close Open Position---------------------+

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

//| Open Trade Position |

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

int OpenTrade()

{

int vLots=LotsOptimized();

if (bsflag==1) OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,Slippage,0,Ask+bstarget*Point,"NoLoss",MagicNumber,0,Green);

if (bsflag==2) OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,Slippage,0,Ask-bstarget*Point,"NoLoss",MagicNumber,0,Red);

}

//+----------------------End Open Trade Position---------------------+

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

//| Buy/Sell Indicator |

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

int CalcBSI()

{

//---- calc current indicators

//double val1=iCustom("GBPJPY",0,"NoLoss",0,0,0);

//double val2=iCustom("GBPJPY",0,"NoLoss",0,1,0);

//double val3=iCustom("USDJPY",0,"NoLoss",0,0,0);

//double val4=iCustom("USDJPY",0,"NoLoss",0,1,0);

double val1=iOpen("GBPJPY",0,0);

double val2=iClose("GBPJPY",0,0);

double val3=iOpen("USDJPY",0,0);

double val4=iClose("USDJPY",0,0);

double nval1=xDiv(val1,val2);

double nval2=xDiv(val3,val4);

if(nval1>nval2)

{

bsflag=2;

bstarget=(nval1-nval2)*10000;

} else

if(nval1<nval2)

{

bsflag=1;

bstarget=(nval2-nval1)*10000;

}

else

{

bsflag=0;

bstarget=0;

}

if(bstarget<10)

{

bsflag=0;

bstarget=0;

}

//+-----------------------End Buy/Sell Indicator---------------------+

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

//| expert start function |

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

int start()

{

if (Period()<PERIOD_H1) { Alert("Only on H1 or larger!"); return(0); } // For use only on H4 --- NO ERROR if activated

for(cnt=0;cnt<OrdersTotal();cnt++)

{

OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES);

if(OrderType()<=OP_SELL && // check for opened position

OrderSymbol()==Symbol() && OrderMagicNumber()==MagicNumber) // check for symbol and magic number

{

if(OrderType()==OP_BUY) // long position is opened

{

// check for trailing stop

if(TrailingStop>0)

{

if(Bid-OrderOpenPrice()>Point*TrailingStop)

{

if(OrderStopLoss()<Bid-Point*TrailingStop)

{

OrderModify(OrderTicket(),OrderOpenPrice(),Bid-Point*TrailingStop,OrderTakeProfit(),0,Green);

return(0);

}

else // go to short position

{

// check for trailing stop

if(TrailingStop>0)

{

if((OrderOpenPrice()-Ask)>(Point*TrailingStop))

{

if((OrderStopLoss()>(Ask+Point*TrailingStop)) || (OrderStopLoss()==0))

{

OrderModify(OrderTicket(),OrderOpenPrice(),Ask+Point*TrailingStop,OrderTakeProfit(),0,Red);

return(0);

}

//+--------------------End TrailingStop & BreakEven------------------+

if (UseHourTrade)

{

if (!((Hour() >= FromHourTrade) && (Hour() <= ToHourTrade)))

{

Comment("Non-Trading Hours!");

return(0);

}

GetCurrentOrders();

CalcBSI();

Comment("\nStart Balance= ",StartBalance,",","Start Equity= ",StartEquity,

"\nBalance: ",AccountBalance(),","," Equity: ",AccountEquity(),","," TotalProfit: ",AccountProfit(),

"\nBSFlag: ",bsflag,"\nbstarget: ",bstarget);

//---- exit trades

if (openorders!=0) {

if ((bsflag==1) && (dir<0)) CloseTrade();

if ((bsflag==2) && (dir>0)) CloseTrade();

}

//---- open trades

else

{

if (bsflag != 0 && bstarget>20) OpenTrade();

}

//+---------------------End Expert Start Function--------------------+

double xDiv(double a, double b)

{

if(b==0) return(b); else return(a/b);

}

Backtesting/Optimization Automatic Magic Function Required 退出策略。阶梯式止损与拖曳式止损

daet 2008.10.13 05:54 #462

请大家帮忙!

有没有办法在优化报告中使用 "空头赢利%"和 "多头赢利%"作为标准来过滤策略测试器的报告。目前，你只能根据利润、总交易量、利润系数、预期回报率等进行过滤。

谢谢

amyfor 2008.10.22 23:07 #463

MT4与贸易站

大家好。

我想知道我是否能从这个论坛上比我聪明的人那里得到一些反馈/意见/想法。

当我在MT4上回测一个策略时，我得到的结果与我使用Trade Station回测时不同....，编码是一样的......当观看实时交易时，它们在同一时间触发和退出等....，但回测的结果非常不同...我应该相信谁？

我听说TS的数据比MT4好，但想知道你们中的一些人怎么想......

谢谢大家

Linuxser 2008.10.23 00:50 #464

amyfor:
问候大家。

我想知道我是否可以从这个论坛上比我聪明的人那里得到一些反馈/意见/想法。

当我在MT4上回测一个策略时，我得到的结果与我使用Trade Station回测时不同....，编码是一样的......当观看实时交易时，它们在同一时间触发和退出等....，但回测的结果却非常不同...我应该相信谁？

我听说TS的数据比MT4好，但想知道你们中的一些人怎么想......

谢谢大家

他们是完全不同的程序，差异会有的。

amyfor 2008.10.23 01:08 #465

Linuxser:
它们是完全不同的程序，差异将是。

嗨，Linuxser....，再次感谢你的回答，并感谢你把这个问题转移到适当的主题。

当然，我预计会有一些差异，因为它们是不同的程序......我想我想知道的是，我是否应该相信其中一个的回测结果而不是另一个......实盘交易95%的时间都是一致的......作为一个例子，如果你（或这里的任何其他成员）被告知有两套交易同一策略的结果，你会怎么做？

再次感谢你为使这个地方如此有帮助而付出的所有努力和时间。

Linuxser 2008.10.23 01:21 #466

amyfor:
例如......如果你（或这里的任何其他成员）接触到两套相同策略的交易结果，你会怎么做......驳回这两套结果......相信结果最好的那套......再次感谢你为使这个地方如此有帮助而付出的所有努力和时间。

我总是这样做。纸+笔+EXCEL+图表上的系统+我自己的判断。

[删除] 2008.10.23 10:40 #467

如何优化？

优化EA的最佳方法是什么？我发现一个非常好的EA，需要进行优化，但我不知道如何做。

有人为Alpari做了，我需要为IBFX做？有谁能帮忙吗？

提前感谢任何帮助。

Mr Chips

amyfor 2008.10.23 12:58 #468

Linuxser:
我一直都是这样做的。纸+笔+EXCEL+图表上的系统+我自己的判断。

回答得好......再次感谢。

blogzr3 2008.10.24 17:29 #469

有可能得到不同的测试结果吗？

我在使用相同的日期范围在相同的符号上测试同一EA时，得到了不同的结果。

多次点击开始会得到不同的结果。我的初步反应是EA中存在一些随机功能，但我在代码中看不到这样的东西。看一下每个订单行的详细报告，这些行在价格、盈亏和T/P方面都有一两分的差距。

我错过了什么？这是MT4，构建218。

RealFx 2008.10.25 14:35 #470

???

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回溯测试/优化 - 页 47