Libraries: CTradeStatistics

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CTradeStatistics:

Class for the calculation of the ENUM_STATISTICS enumeration parameters

Author: Andrey Voytenko

 
Automated-Trading:

CTradeStatistics:

Author: Andrey Voytenko

Good afternoon!

I am interested in whether it is possible to put LR Correlation in the OnTester() function, in order to optimise the Expert Advisor by this criterion, via Custom max?

 
forexman77:

I am interested in whether it is possible to put LR Correlation into OnTester() function....

The description gives an example with OnTrade(). Nothing prevents you from moving the calculations to OnTester().

 
avoitenko:

The description gives an example with OnTrade(). Nothing prevents you from transferring the calculations to OnTester().

I am not very familiar with mql5, so please excuse any obvious mistakes.

I try to do this in the EA code before OnDeinit:

double OnTester()
{
double lrk=TesterStatistics(STAT_LR_CORRELATION);
  return(lrk);
}

The error "'STAT_LR_CORRELATION' - can't convert enum" comes out.

If so:

double OnTester()
  {
//--- block repeated requests at same sec.
   static datetime time_on_trade;
   if(time_on_trade==TimeTradeServer())return;
   time_on_trade=TimeTradeServer();

//--- update statistics
   if(!m_stat.Calculate())Print(m_stat.GetLastErrorString());

  }

Errors: "'return' - function must return a value", " '}' - not all control paths return a value".

1 and 2 line in the EA:

#include <CTradeStatistics.mqh>
CTradeStatistics m_stat;

Tell me what is wrong?

 

I did it by trial and error:

double OnTester()
{
CTradeStatistics m_stat;  
if(m_stat.Calculate()) PrintFormat("LR Correlation: %.2f",m_stat.LRCorrelation());
else Print(m_stat.GetLastErrorString());
double LRC=(double)m_stat.LRCorrelation();
return(LRC);
}
I think it worked...?
 

Andrei, there are some comments.

1. line 500

if(m_balance_data.At(i)!=0.0) fix it to if(m_balance_data.At(i-1)!=0.0)


2. Line 511
no check of denominator m_initial_deposit to 0

3. be sure to specify that you are using the m_sharpe_ratio calculation for the Annual Sharpe Ratio option with the RiskFreeRate option

as this is only one of the options and it is specifically different from the standard one.

 

I found this code can't calculate any statistics related to equity drawdown. Anyone has a success to calculate equity drawdown with their own code ???

 

What do you mean?  I must be misunderstanding your question because this simple answer can't possibly be what you are looking for is it? --->  Equity - Balance = { draw-down if negative, profit if positive } pretty simple calculation.  with MT5 trade classes you can create an account object CAccountInfo acc;  acc is the created account info object giving you quick access to all account detail functions. then do this acc.Equity()-acc.Balance().    Well to be honest you can use an even simpler code acc.Profit().  If positive is profit, if negative is draw-down right?  Negative equity profit is the same as draw-down.  Profit() is the difference between equity and balance

If your question is more complex please add details ;) 

 
Thank you Andrey! Excellent work.
 
no average holding time?
 

perfect work!

if you want to avoid to get compile warnings

you need to add null element to enum deal_result:

//+------------------------------------------------------------------+
//|   deal result                                                    |
//+------------------------------------------------------------------+
enum deal_result
  {
   NOVALUE=0, //<---- added
   WIN=1,
   LOSS
  };

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