Libraries: CTradeStatistics

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CTradeStatistics:

Class for the calculation of the ENUM_STATISTICS enumeration parameters

Author: Andrey Voytenko

 

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
  };

 

Hello,

I'm using the class CTradeStatistics to get some specific statistics about the trades, but, in certain moment I got the error "zero divide in 'ctradestatistics.mqh'".

Investigating the situation, I discovered in the code:

      for(int i=1; i<limit; i++)
        {
         if(m_balance_data.At(i)!=0.0)
           {
            HPR[i-1]=m_balance_data.At(i)/m_balance_data.At(i-1);
            m_ahpr+=HPR[i-1];
           }
        }

that, the "m_balance_data.At(i-1)" could be zero, eventually.

So, I changed to:

      for(int i=1; i<limit; i++)
        {
         if(m_balance_data.At(i)!=0.0)
           {
            if(m_balance_data.At(i-1)==0){
               HPR[i-1]=1;
            }
            else{
               HPR[i-1]=m_balance_data.At(i)/m_balance_data.At(i-1);
            }
            m_ahpr+=HPR[i-1];
           }
        }

Is correct to assume that when the balance is 0, the HPR is equal to 1?

Thanks in advance.

 

Thanks for great work.can you add calculate correlation(profit,MFE) , correlation(profit,MAE) ,correlation(MFE,MAE)   in Class?

 

A quicker way to get the Z-score percent. No looping.

double CTradeStatistics::CalcZScorePercent(double z_score)
  {
   int total=ArrayRange(Laplas,0);
   double value=NormalizeDouble(MathAbs(z_score),2);

   int index = (int) (value*100.0);

   if ( index < total )
     {
       return Laplas[index][1];
     }

   return(0);
  }
 

This adds several more entries to the Laplas multidimensional array, i.e. entries 3.02 to 3.70.

I only had access to 4 digits of precision.

const double Laplas[][2]=
{
   {0.00,0.00000},{0.01,0.00798},{0.02,0.01596},{0.03,0.02393},{0.04,0.03191},{0.05,0.03988},
   {0.06,0.04784},{0.07,0.05581},{0.08,0.06376},{0.09,0.07171},{0.10,0.07966},{0.11,0.08759},
   {0.12,0.09552},{0.13,0.10348},{0.14,0.11134},{0.15,0.11924},{0.16,0.12712},{0.17,0.13499},
   {0.18,0.14285},{0.19,0.15069},{0.20,0.15852},{0.21,0.16633},{0.22,0.17413},{0.23,0.18191},
   {0.24,0.18967},{0.25,0.19741},{0.26,0.20514},{0.27,0.21284},{0.28,0.22052},{0.29,0.22818},
   {0.30,0.23582},{0.31,0.24344},{0.32,0.25103},{0.33,0.25860},{0.34,0.26614},{0.35,0.27366},
   {0.36,0.28115},{0.37,0.28862},{0.38,0.29605},{0.39,0.30346},{0.40,0.31084},{0.41,0.31819},
   {0.42,0.32552},{0.43,0.33280},{0.44,0.34006},{0.45,0.34729},{0.46,0.35448},{0.47,0.36164},
   {0.48,0.36877},{0.49,0.37587},{0.50,0.38292},{0.51,0.38995},{0.52,0.39694},{0.53,0.40389},
   {0.54,0.41080},{0.55,0.41768},{0.56,0.42452},{0.57,0.43132},{0.58,0.43809},{0.59,0.44481},
   {0.60,0.45149},{0.61,0.45814},{0.62,0.46474},{0.63,0.47131},{0.64,0.47783},{0.65,0.48431},
   {0.66,0.49075},{0.67,0.49714},{0.68,0.50350},{0.69,0.50981},{0.70,0.51607},{0.71,0.52230},
   {0.72,0.52848},{0.73,0.53461},{0.74,0.54070},{0.75,0.54675},{0.76,0.55275},{0.77,0.55870},
   {0.78,0.56461},{0.79,0.57047},{0.80,0.57629},{0.81,0.58206},{0.82,0.58778},{0.83,0.59346},
   {0.84,0.59909},{0.85,0.60468},{0.86,0.61021},{0.87,0.61570},{0.88,0.62114},{0.89,0.62653},
   {0.90,0.63188},{0.91,0.63718},{0.92,0.64243},{0.93,0.64763},{0.94,0.65278},{0.95,0.65789},
   {0.96,0.66294},{0.97,0.66795},{0.98,0.67291},{0.99,0.67783},{1.00,0.68269},{1.01,0.68750},
   {1.02,0.69227},{1.03,0.69699},{1.04,0.70166},{1.05,0.70628},{1.06,0.71086},{1.07,0.71538},
   {1.08,0.71986},{1.09,0.72429},{1.10,0.72867},{1.11,0.73300},{1.12,0.73729},{1.13,0.74152},
   {1.14,0.74571},{1.15,0.74986},{1.16,0.75395},{1.17,0.75800},{1.18,0.76200},{1.19,0.76595},
   {1.20,0.76986},{1.21,0.77372},{1.22,0.77754},{1.23,0.78130},{1.24,0.78502},{1.25,0.78870},
   {1.26,0.79233},{1.27,0.79592},{1.28,0.79945},{1.29,0.80295},{1.30,0.80640},{1.31,0.80980},
   {1.32,0.81316},{1.33,0.81648},{1.34,0.81975},{1.35,0.82298},{1.36,0.82617},{1.37,0.82931},
   {1.38,0.83241},{1.39,0.83547},{1.40,0.83849},{1.41,0.84146},{1.42,0.84439},{1.43,0.84728},
   {1.44,0.85013},{1.45,0.85294},{1.46,0.85571},{1.47,0.85844},{1.48,0.86113},{1.49,0.86378},
   {1.50,0.86639},{1.51,0.86696},{1.52,0.87149},{1.53,0.87398},{1.54,0.87644},{1.55,0.87886},
   {1.56,0.88124},{1.57,0.88358},{1.58,0.88589},{1.59,0.88817},{1.60,0.89040},{1.61,0.89260},
   {1.62,0.89477},{1.63,0.89690},{1.64,0.89899},{1.65,0.90106},{1.66,0.90309},{1.67,0.90508},
   {1.68,0.90704},{1.69,0.90897},{1.70,0.91087},{1.71,0.91273},{1.72,0.91457},{1.73,0.91637},
   {1.74,0.91814},{1.75,0.91988},{1.76,0.92159},{1.77,0.92327},{1.78,0.92492},{1.79,0.92655},
   {1.80,0.92814},{1.81,0.92970},{1.82,0.93124},{1.83,0.93275},{1.84,0.93423},{1.85,0.93569},
   {1.86,0.93711},{1.87,0.93852},{1.88,0.93989},{1.89,0.94124},{1.90,0.94257},{1.91,0.94387},
   {1.92,0.94514},{1.93,0.94639},{1.94,0.94762},{1.95,0.94882},{1.96,0.95000},{1.97,0.95116},
   {1.98,0.95230},{1.99,0.95341},{2.00,0.95450},{2.01,0.95557},{2.02,0.95662},{2.03,0.95764},
   {2.04,0.95865},{2.05,0.95964},{2.06,0.96060},{2.07,0.96155},{2.08,0.96247},{2.09,0.96338},
   {2.10,0.96427},{2.11,0.96514},{2.12,0.96599},{2.13,0.96683},{2.14,0.96765},{2.15,0.96844},
   {2.16,0.96923},{2.17,0.96999},{2.18,0.97074},{2.19,0.97148},{2.20,0.97219},{2.21,0.97289},
   {2.22,0.97358},{2.23,0.97425},{2.24,0.97491},{2.25,0.97555},{2.26,0.97618},{2.27,0.97679},
   {2.28,0.97739},{2.29,0.97798},{2.30,0.97855},{2.31,0.97911},{2.32,0.97966},{2.33,0.98019},
   {2.34,0.98072},{2.35,0.98123},{2.36,0.98172},{2.37,0.98221},{2.38,0.98269},{2.39,0.98315},
   {2.40,0.98360},{2.41,0.98405},{2.42,0.98448},{2.43,0.98490},{2.44,0.98531},{2.45,0.98571},
   {2.46,0.98611},{2.47,0.98649},{2.48,0.98686},{2.49,0.98723},{2.50,0.98758},{2.51,0.98793},
   {2.52,0.98826},{2.53,0.98859},{2.54,0.98891},{2.55,0.98923},{2.56,0.98953},{2.57,0.98983},
   {2.58,0.99012},{2.59,0.99040},{2.60,0.99068},{2.61,0.99095},{2.62,0.99121},{2.63,0.99146},
   {2.64,0.99171},{2.65,0.99195},{2.66,0.99219},{2.67,0.99241},{2.68,0.99263},{2.69,0.99285},
   {2.70,0.99307},{2.71,0.99327},{2.72,0.99347},{2.73,0.99367},{2.74,0.99386},{2.75,0.99404},
   {2.76,0.99422},{2.77,0.99439},{2.78,0.99456},{2.79,0.99473},{2.80,0.99489},{2.81,0.99505},
   {2.82,0.99520},{2.83,0.99535},{2.84,0.99549},{2.85,0.99563},{2.86,0.99576},{2.87,0.99590},
   {2.88,0.99602},{2.89,0.99615},{2.90,0.99627},{2.91,0.99639},{2.92,0.99650},{2.93,0.99661},
   {2.94,0.99672},{2.95,0.99682},{2.96,0.99692},{2.97,0.99702},{2.98,0.99712},{2.99,0.99721},
   {3.00,0.99730},{3.01,0.99739},{3.02,0.9974}, {3.03,0.9976}, {3.04,0.9976}, {3.05,0.9978},
   {3.06,0.9978}, {3.07,0.9978}, {3.08,0.9980}, {3.10,0.9980}, {3.11,0.9982}, {3.12,0.9982},
   {3.13,0.9982}, {3.14,0.9984}, {3.15,0.9984}, {3.16,0.9984}, {3.17,0.9984}, {3.18,0.9986},
   {3.19,0.9986}, {3.20,0.9986}, {3.21,0.9986}, {3.22,0.9988}, {3.23,0.9988}, {3.24,0.9988},
   {3.25,0.9988}, {3.26,0.9988}, {3.27,0.9990}, {3.28,0.9990}, {3.29,0.9990}, {3.30,0.9990},
   {3.31,0.9990}, {3.32,0.9990}, {3.33,0.9992}, {3.34,0.9992}, {3.36,0.9992}, {3.37,0.9992},
   {3.38,0.9992}, {3.39,0.9994}, {3.40,0.9994}, {3.41,0.9994}, {3.42,0.9994}, {3.43,0.9994},
   {3.44,0.9994}, {3.45,0.9994}, {3.46,0.9994}, {3.47,0.9994}, {3.48,0.9994}, {3.49,0.9996},
   {3.50,0.9996}, {3.51,0.9996}, {3.52,0.9996}, {3.53,0.9996}, {3.54,0.9996}, {3.55,0.9996},
   {3.56,0.9996}, {3.57,0.9996}, {3.58,0.9996}, {3.59,0.9996}, {3.60,0.9996}, {3.70,0.9998}
};
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