股票量化软件：赫兹量化软件中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。赫兹量化软件

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。赫兹量化软件

...      //---- 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。赫兹量化软件