程序库: BestInterval

fxsaber 2019.10.08 13:12 #191

Andrey Khatimlianskii:

如果该区间与其他区间突出显示，则在剪切 2 个区间（而不是 20 个区间）时会突出显示。

它根本不需要突出显示。它的边缘会粘上额外的行业。

如果不是这样，为什么要单独考虑呢？

我一开始就举了一个例子。对这种情况视而不见是不对的。

fxsaber 2019.10.08 19:32 #192

fxsaber:

不幸的是，codobase 还不接受修正后的版本。

KB 有未修正的版本。

Andrey Khatimlianskii 2019.10.08 21:47 #193

fxsaber:

根本不需要突出它。其他行业将粘在其边缘。

那你在哪里看到它？

如果图书馆用 2 个切分区间来突出它（即它是最好的），为什么要切分 20 呢？
，如果不是，它就会和其他 19 个一样（或更差）。那为什么要关注它（而不是其他的）？

fxsaber:

我一开始就举了一个例子。对这种情况视而不见是错误的。

请在示例中说明哪一行值得关注，我不明白。

fxsaber 2019.10.08 22:24 #194

Andrey Khatimlianskii:

那你觉得他在哪里？

如果图书馆用 2 个间隔剪辑突出了它（即它是最好的），为什么要剪辑 20 个呢？
，如果不剪辑，它就会和其他 19 个一样（或更差）。那为什么要关注它（而不是其他的）？

交易次数少的区间不算什么。符合的概率很高。

请在示例中说明哪条线值得关注，我不明白。

关于交易、自动交易系统和交易策略测试的论坛。

库：BestInterval

fxsaber, 2019.10.07 01:59 pm.

Profit = 55367.00 = 54785.00 + 582.00 (1.06%) - Amount of Delete Intervals = 20
00:00:00 - 02:29:28 : Profit = 8460.00 (15.28%), Total = 293 (88.74%), PF = 4.95, Mean = 28.87, DD = 298.00, RF = 28.39
02:34:20 - 03:06:49 : Profit = 763.00 (1.38%), Total = 74 (79.73%), PF = 1.64, Mean = 10.31, DD = 696.00, RF = 1.10
03:12:43 - 03:46:29 : Profit = 1067.00 (1.93%), Total = 76 (75.00%), PF = 2.07, Mean = 14.04, DD = 440.00, RF = 2.43
03:54:37 - 07:15:26 : Profit = 3641.00 (6.58%), Total = 327 (77.68%), PF = 1.66, Mean = 11.13, DD = 1183.00, RF = 3.08
07:30:54 - 09:16:59 : Profit = 2452.00 (4.43%), Total = 253 (79.45%), PF = 1.57, Mean = 9.69, DD = 877.00, RF = 2.80
09:34:03 - 09:42:17 : Profit = 865.00 (1.56%), Total = 42 (83.33%), PF = 3.03, Mean = 20.60, DD = 177.00, RF = 4.89
09:42:19 - 09:51:57 : Profit = 1389.00 (2.51%), Total = 51 (84.31%), PF = 4.99, Mean = 27.24, DD = 93.00, RF = 14.94
09:56:38 - 10:04:58 : Profit = 1351.00 (2.44%), Total = 75 (82.67%), PF = 2.52, Mean = 18.01, DD = 350.00, RF = 3.86
14:22:11 - 14:46:12 : Profit = 2167.00 (3.91%), Total = 110 (78.18%), PF = 3.33, Mean = 19.70, DD = 488.00, RF = 4.44
14:51:09 - 15:01:51 : Profit = 1511.00 (2.73%), Total = 69 (79.71%), PF = 2.68, Mean = 21.90, DD = 353.00, RF = 4.28
15:04:47 - 15:46:23 : Profit = 3605.00 (6.51%), Total = 297 (76.09%), PF = 1.75, Mean = 12.14, DD = 670.00, RF = 5.38
15:54:05 - 16:04:53 : Profit = 2051.00 (3.70%), Total = 103 (82.52%), PF = 2.65, Mean = 19.91, DD = 299.00, RF = 6.86
16:08:24 - 16:15:39 : Profit = 896.00 (1.62%), Total = 56 (78.57%), PF = 2.22, Mean = 16.00, DD = 167.00, RF = 5.37
16:21:19 - 16:44:18 : Profit = 2159.00 (3.90%), Total = 184 (79.89%), PF = 1.71, Mean = 11.73, DD = 352.00, RF = 6.13
16:54:29 - 17:01:09 : Profit = 1457.00 (2.63%), Total = 68 (82.35%), PF = 4.70, Mean = 21.43, DD = 118.00, RF = 12.35
17:10:30 - 17:30:56 : Profit = 2858.00 (5.16%), Total = 178 (78.09%), PF = 2.07, Mean = 16.06, DD = 431.00, RF = 6.63
17:41:23 - 17:51:28 : Profit = 989.00 (1.79%), Total = 88 (76.14%), PF = 1.65, Mean = 11.24, DD = 478.00, RF = 2.07
17:53:57 - 18:51:41 : Profit = 4399.00 (7.95%), Total = 449 (73.72%), PF = 1.53, Mean = 9.80, DD = 635.00, RF = 6.93
18:56:38 - 19:41:09 : Profit = 1646.00 (2.97%), Total = 181 (75.14%), PF = 1.51, Mean = 9.09, DD = 474.00, RF = 3.47
19:44:55 - 20:03:20 : Profit = 1492.00 (2.69%), Total = 70 (78.57%), PF = 3.25, Mean = 21.31, DD = 130.00, RF = 11.48
20:11:31 - 23:59:59 : Profit = 10149.00 (18.33%), Total = 659 (77.24%), PF = 2.12, Mean = 15.40, DD = 645.00, RF = 15.73
SUMMARY: 00:00:00 - 23:59:59 : Profit = 55367.00 (100.00%), Total = 3703 (78.50%), PF = 2.04, Mean = 14.95, DD = 1247.00, RF = 44.40

突出了有趣的片段。

Andrey Khatimlianskii 2019.10.08 22:26 #195

fxsaber:

交易次数少的区间不算什么。做手脚的可能性很大。

突出有趣的片段。

它们有趣在哪里？它们与其他作品有何不同？

fxsaber 2019.10.08 22:30 #196

Andrey Khatimlianskii:

它们如何有趣？它们与其他作品有何不同？

交易多、回报好、PF 高。一切都还停留在直觉和研究层面。我不想写文章。

Andrey Khatimlianskii 2019.10.09 12:13 #197

fxsaber:

交易量大，收益率高，PF 也不错。一切都还停留在直觉和研究层面。我不想写文章。

好吧，附近还有更有趣的间隔期：

Profit = 55367.00 = 54785.00 + 582.00 (1.06%) - Amount of Delete Intervals = 20
00:00:00 - 02:29:28 : Profit = 8460.00 (15.28%), Total = 293 (88.74%), PF = 4.95, Mean = 28.87, DD = 298.00, RF = 28.39
02:34:20 - 03:06:49 : Profit = 763.00 (1.38%), Total = 74 (79.73%), PF = 1.64, Mean = 10.31, DD = 696.00, RF = 1.10
03:12:43 - 03:46:29 : Profit = 1067.00 (1.93%), Total = 76 (75.00%), PF = 2.07, Mean = 14.04, DD = 440.00, RF = 2.43
03:54:37 - 07:15:26 : Profit = 3641.00 (6.58%), Total = 327 (77.68%), PF = 1.66, Mean = 11.13, DD = 1183.00, RF = 3.08
07:30:54 - 09:16:59 : Profit = 2452.00 (4.43%), Total = 253 (79.45%), PF = 1.57, Mean = 9.69, DD = 877.00, RF = 2.80
09:34:03 - 09:42:17 : Profit = 865.00 (1.56%), Total = 42 (83.33%), PF = 3.03, Mean = 20.60, DD = 177.00, RF = 4.89
09:42:19 - 09:51:57 : Profit = 1389.00 (2.51%), Total = 51 (84.31%), PF = 4.99, Mean = 27.24, DD = 93.00, RF = 14.94
09:56:38 - 10:04:58 : Profit = 1351.00 (2.44%), Total = 75 (82.67%), PF = 2.52, Mean = 18.01, DD = 350.00, RF = 3.86
14:22:11 - 14:46:12 : Profit = 2167.00 (3.91%), Total = 110 (78.18%), PF = 3.33, Mean = 19.70, DD = 488.00, RF = 4.44
14:51:09 - 15:01:51 : Profit = 1511.00 (2.73%), Total = 69 (79.71%), PF = 2.68, Mean = 21.90, DD = 353.00, RF = 4.28
15:04:47 - 15:46:23 : Profit = 3605.00 (6.51%), Total = 297 (76.09%), PF = 1.75, Mean = 12.14, DD = 670.00, RF = 5.38
15:54:05 - 16:04:53 : Profit = 2051.00 (3.70%), Total = 103 (82.52%), PF = 2.65, Mean = 19.91, DD = 299.00, RF = 6.86
16:08:24 - 16:15:39 : Profit = 896.00 (1.62%), Total = 56 (78.57%), PF = 2.22, Mean = 16.00, DD = 167.00, RF = 5.37
16:21:19 - 16:44:18 : Profit = 2159.00 (3.90%), Total = 184 (79.89%), PF = 1.71, Mean = 11.73, DD = 352.00, RF = 6.13
16:54:29 - 17:01:09 : Profit = 1457.00 (2.63%), Total = 68 (82.35%), PF = 4.70, Mean = 21.43, DD = 118.00, RF = 12.35
17:10:30 - 17:30:56 : Profit = 2858.00 (5.16%), Total = 178 (78.09%), PF = 2.07, Mean = 16.06, DD = 431.00, RF = 6.63
17:41:23 - 17:51:28 : Profit = 989.00 (1.79%), Total = 88 (76.14%), PF = 1.65, Mean = 11.24, DD = 478.00, RF = 2.07
17:53:57 - 18:51:41 : Profit = 4399.00 (7.95%), Total = 449 (73.72%), PF = 1.53, Mean = 9.80, DD = 635.00, RF = 6.93
18:56:38 - 19:41:09 : Profit = 1646.00 (2.97%), Total = 181 (75.14%), PF = 1.51, Mean = 9.09, DD = 474.00, RF = 3.47
19:44:55 - 20:03:20 : Profit = 1492.00 (2.69%), Total = 70 (78.57%), PF = 3.25, Mean = 21.31, DD = 130.00, RF = 11.48
20:11:31 - 23:59:59 : Profit = 10149.00 (18.33%), Total = 659 (77.24%), PF = 2.12, Mean = 15.40, DD = 645.00, RF = 15.73
SUMMARY: 00:00:00 - 23:59:59 : Profit = 55367.00 (100.00%), Total = 3703 (78.50%), PF = 2.04, Mean = 14.95, DD = 1247.00, RF = 44.40

为什么不看看呢？

目前看来，我们希望开发一个用于优化的综合指标（而不仅仅是最佳利润）。

fxsaber 2019.10.09 18:02 #198

Andrey Khatimlianskii:

嗯，附近还有更有趣的间隔：

说明一下，最上面和最下面是同一个区间。

为什么不看看它们呢？

到目前为止，您似乎想计算出一个优化的总和（而不仅仅是最佳利润）。

我无法回答。我自己还不知道。

traveller00 2019.11.21 05:43 #199

从使用 BestInterval 运行的日志中可以看出

最终余额 - InitBalance (100000.00) + 未使用 BestInterval.OnTester 时的利润 (543.50) - 使用 BestInterval.OnTester 时的利润 (40490.00)

OnTester - 使用 BestInterval 时的利润 (40490.00)。

最终余额 105435.00 点

如您所见，在运行过程中选择了点数计算。MetaTrader 在最后一行正确显示了余额。在第一行中，BestInterval 将初始余额（以点数为单位）和利润（从 Equity 中提取，以账户货币为单位）混合在一起，实质上是添砖加瓦。

我还没有详细研究整个结论，但可能在其他地方混淆了。

交易中的数学：夏普（Sharpe）和索蒂诺（Sortino）比率

fxsaber 2019.11.21 06:04 #200

traveller00:

从使用 BestInterval 运行的日志中可以看出

数据很少

程序库: BestInterval - 页 20