Strategy for obtaining Equity history during optimization

[funkykoval]

Hi, during optimization I need to calculate the Sortino indicator, but for Equity. 

For Balance it is simple: based on the history of deals.

Please suggest strategies on how to collect equity data during optimization, so that the data can be processed in OnTester().

Thx in advance,

Koval

[Soewono Effendi]

create an equity indicator 

good luck

[Stanislav Korotky]

Soewono Effendi #:
create an equity indicator 

It's not so easy. We need to ask OP how he would like to calculate equity: per tick -> per second -> per bar -- in the order of lowering accuracy. Indicator will definitely show equity per bars.

Not to mention that there can be a multi-symbol trading strategy which implies more difficulties.

[funkykoval]

Stanislav Korotky #:

It's not so easy. We need to ask OP how he would like to calculate equity: per tick -> per second -> per bar -- in the order of lowering accuracy. Indicator will definitely show equity per bars.

Not to mention that there can be a multi-symbol trading strategy which implies more difficulties.

Hi, Im trying to gather Equity per trade, something like equity drawing during testing, my idea is:

In OnTrade()

1) catch deal in / deal out

2) store current equity in buffer

When test passed, then calculate differences and for them: %return and stdev. 

[Stanislav Korotky]

funkykoval #:

Hi, Im trying to gather Equity per trade, something like equity drawing during testing, my idea is:

In OnTrade()

1) catch deal in / deal out

2) store current equity in buffer

When test passed, then calculate differences and for them: %return and stdev. 

This is not accurate calculation of equity - you don't catch possible big price movements during existence of your positions, which is essential for Sortino, not to mention that stopouts can be easily overlooked.

[funkykoval]

Stanislav Korotky #:

This is not accurate calculation of equity - you don't catch possible big price movements during existence of your positions, which is essential for Sortino, not to mention that stopouts can be easily overlooked.

Yes, I agree, it looks I should sample equity at least by bar or minites/second.

[Soewono Effendi]

You might want to check this out:

https://www.mql5.com/en/articles/3046

enjoy

[Andrew Thompson]

funkykoval #:
Yes, I agree, it looks I should sample equity at least by bar or minites/second.

input group    "Optimisation"
sinput bool fixedRiskOptimisation = true;

bool isTester = false;
double returnsCurve[], startEquity, lastEquity;
int returnsCurveSize = 0;                // Track size of returnsCurve to avoid ArraySize() calls
int returnsCurveCapacity = 1000;    // Pre-allocated capacity
int dayCount = 0;

//+------------------------------------------------------------------+
//| Optimized update return curve function                           |
//+------------------------------------------------------------------+
void updateReturnCurve() {
// Check if we need to resize the array
   if(returnsCurveSize >= returnsCurveCapacity) {
      // Double the capacity for efficient growth (amortized constant time)
      returnsCurveCapacity *= 2;
      ArrayResize(returnsCurve, returnsCurveCapacity);
   }

   double currentEquity = AccountInfoDouble(ACCOUNT_EQUITY);
   if(returnsCurveSize == 0) {
      lastEquity = startEquity;
   }
// Add the new value to the array
   returnsCurve[returnsCurveSize] = fixedRiskOptimisation && isTester ?
                                    currentEquity : // Equity Curve
                                    MathLog(currentEquity); // Returns Curve

// Increment size counter
   returnsCurveSize++;

// Update lastEquity for next calculation
   lastEquity = currentEquity;

}

Then in OnTesterInit do isTester = true;

This gives you updateReturnCurve() to call as frequently as you want to record either Equity if(

fixedRiskOptimisation && isTester

) when your ideal equity curve is exponential rise (ie with dynamic position sizing in live trading, determined in your volume calculation according to

fixedRiskOptimisation

) but you want a straight line for calculation of eg R2 in Tester

or

log(equity) to enable trading with dynamic volume but a straight line returns curve eg for calculation of R2 in live trading.

The curve is, of course, represented by returnsCurve[] - my naming reflects the development of this which is a small portion of my optimisation include file