用tick数据进行回测

mikey 2010.10.01 21:36 #11

是的，我们又错过了对方。我是否可以通过将所有体积值设置为1而基本废止体积数据？

gordon 2010.10.01 21:38 #12

mikey:

是的，当我发出最后一条信息时，你的回复就出现了。

如果我的EA不 "阅读 "交易量，我是否安全？不需要担心这个问题？我没有想过成交量的问题--但正如我所说，我的EA没有 "读取 "任何东西。所以，只是想澄清一下 - 我可以忽略成交量？或者我应该把所有条形的成交量设置为1？

如果您的EA不使用成交量数据，那么它可以被忽略。你必须把它设置为1，你的方法才能起作用，否则测试者会在每个柱子上创建多个刻度......

mikey 2010.10.01 21:54 #13

是的。我没有任何指标，看的是条形或类似的东西。交换 - 这是个好问题。我将记住这一点。我只是很想尽快运行这个新方法。

如果我能够解决这个时间转换的问题，我几乎都能胜任了。所以，考虑这些条形图（在一个.csv文本文件中）。

NB：日期，时间，开盘，高点，低点，收盘，成交量

20100831,18:00,71.75,71.75,71.75,71.75,1
20100831,18:00,71.75,71.75,71.75,71.75,1
20100831,18:01,71.75,71.75,71.75,71.75,1

所以我想把第二个条形图的时间改为18:01，这样最上面的两个条形图就有不同的时间了（当然它们在次分钟级别上有不同的时间，但是我希望它们在分钟级别上有实际不同的时间）。

然后我将不得不把第三条的时间改为18:02。因此，现在所有3个条形图都有不同的时间。

我认为一个好的操作伪代码是。

下一栏的时间=上一栏的时间+1。

但是必须要有约束条件，以考虑到只有60分钟应该移动小时，并最终移动日期和月份等的事实。

这就是我被卡住的地方。我的所有条形图都在一个.csv文件中，需要找到一些方法来像这样操作它们。也许使用Perl？我在你链接的MQl文件中看了一下，我没有看到这种可转换的方法。

mikey 2010.10.01 22:08 #14

我想也许最简单的方法是，如果我能够从某个地方找到一个非常非常长的日期和时间的2列列表（有这样的格式）。

20100831,18:00

20100831,18:01

20100831,18:02

20100831,18:03

20100831,18:04

20100831,18:05

等等，等等。

也许找到这样一个列表比生成一个更好。

然后我就可以把这些列替换成我的csv文件。我试着沿着这条路线走，例如将 M1数据从metatrader中导出，然后取其列。但是，我可以从metatrader获得的M1历史数据量（几个月的数据）对于我的目的来说不够长。如果我有几年的数据，也许就可以了。

zzuegg 2010.10.01 22:46 #15

mikey:

是的。我没有任何指标，只是在看条形或类似的东西。

你确定吗？几乎所有的指标都在计算中使用条形......所有可以设置周期的指标都可能失败。

就你的情况而言，我将检查网站上的文件，以创建一个自定义的tick文件，并使用一个补丁终端。

gordon 2010.10.01 23:10 #16

这里有一个简单的脚本来完成这项工作。我只检查了一次，所以要注意被忽略的错误......另外，这可能不是最快/最好的方法。

#property show_inputs
extern string     src_file = "sample.csv";             // source file name
extern string     trg_file = "output.csv";             // target file name
extern datetime   st_date = D'2000.01.01 00:00';       // start date for written data (this could be whatever...)

int start()
{
   string sclose;             // tick close price - we assume O=H=L=C
   
   // get handles for source and target file (NOTE: will overwrite target file if exists!!)
   int src_handle = FileOpen(src_file, FILE_CSV|FILE_READ, ',');
   int trg_handle = FileOpen(trg_file, FILE_CSV|FILE_WRITE, ',');
      
   // read each line from source, process it and write to target
   while(!FileIsEnding(src_handle)) {
      // read data from source by fields (convinient since it's a CSV file)
      FileReadString(src_handle);    // skip date     
      FileReadString(src_handle);    // skip time
      FileReadString(src_handle);    // skip open
      FileReadString(src_handle);    // skip high
      FileReadString(src_handle);    // skip low
      sclose = FileReadString(src_handle);   // GET CLOSE PRICE
      FileReadString(src_handle);    // skip volume
      
      // build output line as a single string (it's just simpler to do it this way)
      string output = StringConcatenate(
                        TimeToStr(st_date,TIME_DATE), ",",    // proper date and time format
                        TimeToStr(st_date,TIME_MINUTES), ",",
                        sclose, ",",      // to make sure OHLC are identical we just use close price
                        sclose, ",",
                        sclose, ",",
                        sclose, ",",
                        "1"               // this is fixed volume = 1 so as we'll have 1 tick per bar only
                      );          

      FileWrite(trg_handle,output);
      st_date += 60;                      // add 1 minute (60 seconds) to our time counter
   } // end while
   
   // close source and target file
   FileClose(src_handle);        
   FileClose(trg_handle);
   return(0);
}

脚本是不言自明的......源文件应该在 "专家/文件 "文件夹中。对于开始日期，你可以随便输入，因为无论如何时间都会被拉长，所以时间戳是没有意义的......

我仍然很怀疑你想做什么，但如果你在这里报告你的发现，我会很高兴。祝你好运。

mikey 2010.10.02 15:29 #17

gordon:

这里有一个简单的脚本来完成这个工作。我只检查了一次，所以要注意被忽略的bug...另外，这可能不是最快/最好的方法。

脚本是不言自明的......源文件应放在 "专家/文件 "文件夹中。对于开始日期，你可以随便输入，因为反正时间会被拉长，所以时间戳是没有意义的......

我仍然很怀疑你想做什么，但如果你在这里报告你的发现，我会很高兴。祝你好运。

这真是太精彩了！!谢谢！!

但是，我还没有得到它的工作。所以，我采用你的MLQ4代码，保存并编译它，并将它附加到一个符号CL图上（我勾选了 "允许实时交易 "的方框）--在日志中可以看到，这被加载了等等。

作为前奏/设置，我创建了两个文件。

sample.csv（有数据）--创建了一个没有多少数据的文件，用于测试，以便在我们试图让它全部工作时快速发生。

output.csv（空）。

我把这两个文件都放在专家/文件中。但是，我没有看到任何数据被写入output.csv中。我把output.csv文件放在正确的地方了吗？我甚至应该自己做一个空的output.csv文件吗？这是正确的做法吗？

PS> 以防有什么影响--我把我的样本.csv剪下来贴在下面。

20100831,18:00,71.70,71.70,71.70,71.70,2
20100831,18:00,71.70,71.70,71.70,71.70,1
20100831,18:00,71.70,71.70,71.70,71.70,1
20100831,18:00,71.70,71.70,71.70,71.70,1
20100831,18:00,71.70,71.70,71.70,71.70,1
20100831,18:00,71.73,71.73,71.73,71.73,2
20100831,18:00,71.74,71.74,71.74,71.74,1
20100831,18:00,71.73,71.73,71.73,71.73,1
20100831,18:00,71.74,71.74,71.74,71.74,1
20100831,18:00,71.74,71.74,71.74,71.74,1
20100831,18:00,71.74,71.74,71.74,71.74,1
20100831,18:00,71.74,71.74,71.74,71.74,1
20100831,18:00,71.74,71.74,71.74,71.74,1
20100831,18:00,71.74,71.74,71.74,71.74,1
20100831,18:00,71.75,71.75,71.75,71.75,7
20100831,18:00,71.75,71.75,71.75,71.75,1
20100831,18:00,71.75,71.75,71.75,71.75,1
20100831,18:00,71.74,71.74,71.74,71.74,1
20100831,18:00,71.75,71.75,71.75,71.75,1
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20100831,18:00,71.67,71.67,71.67,71.67,1
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Backtesting with tick data 离题的MQL问题 Off-topic MT4/mql4 questions.

gordon 2010.10.02 15:42 #18

mikey:

但是，我还没有得到它的工作。因此，我采用了你的MLQ4代码，保存并编译它，并将它附加到一个符号CL图上（我勾选了 "允许实时交易 "的方框）--在日志中可以看到，这被加载了等等。

作为前奏/设置，我创建了两个文件。

sample.csv（有数据）--创建了一个没有多少数据的文件，用于测试，以便在我们试图让它全部工作时快速发生。

output.csv（空）。

我把这两个文件都放在专家/文件中。但是，我没有看到任何数据被写入output.csv中。我把output.csv文件放在正确的地方了吗？我甚至应该自己做一个空的output.csv文件吗？这样做正确吗？

不需要创建输出文件，它将被自动创建（如果它已经存在，它将被覆盖）。
请确保这是以脚本形式编译的。
确保样本文件在 "experts/files "目录下。
你在专家标签中得到任何错误/信息吗？

gordon 2010.10.02 15:46 #19

我用你的样本重新进行了测试，它是有效的。附上 - 脚本、样本和输出（在一个RAR档案中）。

附加的文件：

files.rar 3 kb

mikey 2010.10.02 17:15 #20

我的错误--把它作为一个EA，而不是一个脚本。现在它可以工作了--作为一个脚本!

有一件事--不是什么大事--但是输出文件的最后一行是这样的。

2004.02.23,08:34,,,,,1

所以，这只是一个多余的、多余的数据--切掉它时没有信息损失。这正是我所做的。

所以，现在正在用策略测试器尝试这个。现在正在运行--花了很长时间。但会向你通报一切情况。

用tick数据进行回测 - 页 2