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Автор: Николай Камынин
Следующим шагом в исследовании алгоритма торгового робота на основе пробоя поддержки и сопротивления был процесс оптимизации параметров.
Фактически оптимизация заключалась в установке порога Stop-Loss и take-profit.
Оптимальными для простой акции сбербанка оказались следующие параметры:
Stop-Loss=0.5 руб (при средней цене акции 88 рублей)
Take-profit определен двумя порогами ,
Первый уровень — минимальный, при котором позиция закрывается, если был пробой поддержки составляет 0.1 руб.
Второй уровень – минимальное значения максимума прибыли от момента открытия позиции, составляет 0.5 руб.
Для оценки эффективности оптимизированного алгоритма был выбран интервал падения рынка в период с 11.12.2007 года (High=107.6 руб) до 27.02.2009 года (low=14.28 руб ) На дневном графике интервал ограничен вертикальными линиями.
Условия торговли следующие:
Позиция открывается на постоянную сумму 10000 рублей. Плечо не используется. Одновременно открывается не более одной позиции. Комиссия составляет 0.04% от суммы трейда.
Результаты для различных временных интервалов приведены ниже:
Интервал 60 минут(Long)
Cделок 231, прибыльных 48%, прибыль 132%, максимальная просадка 22%
| All trades | Long trades | Short trades | |
| Initial capital | 10000.00 | 10000.00 | 10000.00 |
| Ending capital | 23382.31 | 23382.31 | 10000.00 |
| Net Profit | 13382.31 | 13382.31 | 0.00 |
| Net Profit % | 133.82 % | 133.82 % | 0.00 % |
| Exposure % | 48.59 % | 48.59 % | 0.00 % |
| Net Risk Adjusted Return % | 275.40 % | 275.40 % | N/A |
| Annual Return % | 101.03 % | 101.03 % | 0.00 % |
| Risk Adjusted Return % | 207.91 % | 207.91 % | N/A |
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| All trades | 231 | 231 (100.00 %) | 0 (0.00 %) |
| Avg. Profit/Loss | 57.93 | 57.93 | N/A |
| Avg. Profit/Loss % | 0.58 % | 0.58 % | N/A |
| Avg. Bars Held | 8.71 | 8.71 | N/A |
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| Winners | 108 (46.75 %) | 108 (46.75 %) | 0 (0.00 %) |
| Total Profit | 36608.16 | 36608.16 | 0.00 |
| Avg. Profit | 338.96 | 338.96 | N/A |
| Avg. Profit % | 3.40 % | 3.40 % | N/A |
| Avg. Bars Held | 10.25 | 10.25 | N/A |
| Max. Consecutive | 9 | 9 | 0 |
| Largest win | 5745.57 | 5745.57 | 0.00 |
| # bars in largest win | 23 | 23 | 0 |
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| Losers | 123 (53.25 %) | 123 (53.25 %) | 0 (0.00 %) |
| Total Loss | -23225.85 | -23225.85 | 0.00 |
| Avg. Loss | -188.83 | -188.83 | N/A |
| Avg. Loss % | -1.89 % | -1.89 % | N/A |
| Avg. Bars Held | 7.35 | 7.35 | N/A |
| Max. Consecutive | 6 | 6 | 0 |
| Largest loss | -1342.79 | -1342.79 | 0.00 |
| # bars in largest loss | 4 | 4 | 0 |
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| Max. trade drawdown | -2523.95 | -2523.95 | 0.00 |
| Max. trade % drawdown | -22.14 % | -22.14 % | 0.00 % |
| Max. system drawdown | -3906.91 | -3906.91 | 0.00 |
| Max. system % drawdown | -20.29 % | -20.29 % | 0.00 % |
| Recovery Factor | 3.43 | 3.43 | N/A |
| CAR/MaxDD | 4.98 | 4.98 | N/A |
| RAR/MaxDD | 10.25 | 10.25 | N/A |
| Profit Factor | 1.58 | 1.58 | N/A |
| Payoff Ratio | 1.80 | 1.80 | N/A |
| Standard Error | 824.17 | 824.17 | 0.00 |
| Risk-Reward Ratio | 13.93 | 13.93 | N/A |
| Ulcer Index | 4.39 | 4.39 | 0.00 |
| Ulcer Performance Index | 21.78 | 21.78 | N/A |
| Sharpe Ratio of trades | 1.67 | 1.67 | 0.00 |
| K-Ratio | 0.0997 | 0.0997 | -1.#IND |
Интервал 30 минут(Long)
Cделок 378, прибыльных 48%, прибыль 159%, максимальная просадка 14%
| All trades | Long trades | Short trades | |
| Initial capital | 10000.00 | 10000.00 | 10000.00 |
| Ending capital | 25976.51 | 25976.51 | 10000.00 |
| Net Profit | 15976.51 | 15976.51 | 0.00 |
| Net Profit % | 159.77 % | 159.77 % | 0.00 % |
| Exposure % | 53.90 % | 53.90 % | 0.00 % |
| Net Risk Adjusted Return % | 296.41 % | 296.41 % | N/A |
| Annual Return % | 119.19 % | 119.19 % | 0.00 % |
| Risk Adjusted Return % | 221.13 % | 221.13 % | N/A |
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| All trades | 378 | 378 (100.00 %) | 0 (0.00 %) |
| Avg. Profit/Loss | 42.27 | 42.27 | N/A |
| Avg. Profit/Loss % | 0.43 % | 0.43 % | N/A |
| Avg. Bars Held | 10.22 | 10.22 | N/A |
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| Winners | 182 (48.15 %) | 182 (48.15 %) | 0 (0.00 %) |
| Total Profit | 49563.66 | 49563.66 | 0.00 |
| Avg. Profit | 272.33 | 272.33 | N/A |
| Avg. Profit % | 2.73 % | 2.73 % | N/A |
| Avg. Bars Held | 11.73 | 11.73 | N/A |
| Max. Consecutive | 7 | 7 | 0 |
| Largest win | 4793.27 | 4793.27 | 0.00 |
| # bars in largest win | 25 | 25 | 0 |
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| Losers | 196 (51.85 %) | 196 (51.85 %) | 0 (0.00 %) |
| Total Loss | -33587.15 | -33587.15 | 0.00 |
| Avg. Loss | -171.36 | -171.36 | N/A |
| Avg. Loss % | -1.72 % | -1.72 % | N/A |
| Avg. Bars Held | 8.83 | 8.83 | N/A |
| Max. Consecutive | 9 | 9 | 0 |
| Largest loss | -1342.79 | -1342.79 | 0.00 |
| # bars in largest loss | 5 | 5 | 0 |
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| Max. trade drawdown | -1483.11 | -1483.11 | 0.00 |
| Max. trade % drawdown | -14.85 % | -14.85 % | 0.00 % |
| Max. system drawdown | -4410.75 | -4410.75 | 0.00 |
| Max. system % drawdown | -24.12 % | -24.12 % | 0.00 % |
| Recovery Factor | 3.62 | 3.62 | N/A |
| CAR/MaxDD | 4.94 | 4.94 | N/A |
| RAR/MaxDD | 9.17 | 9.17 | N/A |
| Profit Factor | 1.48 | 1.48 | N/A |
| Payoff Ratio | 1.59 | 1.59 | N/A |
| Standard Error | 1677.66 | 1677.66 | 0.00 |
| Risk-Reward Ratio | 8.87 | 8.87 | N/A |
| Ulcer Index | 4.86 | 4.86 | 0.00 |
| Ulcer Performance Index | 23.41 | 23.41 | N/A |
| Sharpe Ratio of trades | 1.90 | 1.90 | 0.00 |
| K-Ratio | 0.0465 | 0.0465 | -1.#IND |
Интервал 10 минут(Long)
Cделок 719, прибыльных 47%, прибыль 334%, максимальная просадка 16%
| All trades | Long trades | Short trades | |
| Initial capital | 10000.00 | 10000.00 | 10000.00 |
| Ending capital | 43447.02 | 43447.02 | 10000.00 |
| Net Profit | 33447.02 | 33447.02 | 0.00 |
| Net Profit % | 334.47 % | 334.47 % | 0.00 % |
| Exposure % | 40.13 % | 40.13 % | 0.00 % |
| Net Risk Adjusted Return % | 833.51 % | 833.51 % | N/A |
| Annual Return % | 234.54 % | 234.54 % | 0.00 % |
| Risk Adjusted Return % | 584.48 % | 584.48 % | N/A |
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| All trades | 719 | 719 (100.00 %) | 0 (0.00 %) |
| Avg. Profit/Loss | 46.52 | 46.52 | N/A |
| Avg. Profit/Loss % | 0.47 % | 0.47 % | N/A |
| Avg. Bars Held | 15.82 | 15.82 | N/A |
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| Winners | 339 (47.15 %) | 339 (47.15 %) | 0 (0.00 %) |
| Total Profit | 72305.97 | 72305.97 | 0.00 |
| Avg. Profit | 213.29 | 213.29 | N/A |
| Avg. Profit % | 2.14 % | 2.14 % | N/A |
| Avg. Bars Held | 19.50 | 19.50 | N/A |
| Max. Consecutive | 8 | 8 | 0 |
| Largest win | 2151.76 | 2151.76 | 0.00 |
| # bars in largest win | 14 | 14 | 0 |
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| Losers | 380 (52.85 %) | 380 (52.85 %) | 0 (0.00 %) |
| Total Loss | -38858.95 | -38858.95 | 0.00 |
| Avg. Loss | -102.26 | -102.26 | N/A |
| Avg. Loss % | -1.03 % | -1.03 % | N/A |
| Avg. Bars Held | 12.54 | 12.54 | N/A |
| Max. Consecutive | 9 | 9 | 0 |
| Largest loss | -1352.21 | -1352.21 | 0.00 |
| # bars in largest loss | 31 | 31 | 0 |
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| Max. trade drawdown | -1669.93 | -1669.93 | 0.00 |
| Max. trade % drawdown | -16.70 % | -16.70 % | 0.00 % |
| Max. system drawdown | -3052.49 | -3052.49 | 0.00 |
| Max. system % drawdown | -9.96 % | -9.96 % | 0.00 % |
| Recovery Factor | 10.96 | 10.96 | N/A |
| CAR/MaxDD | 23.55 | 23.55 | N/A |
| RAR/MaxDD | 58.69 | 58.69 | N/A |
| Profit Factor | 1.86 | 1.86 | N/A |
| Payoff Ratio | 2.09 | 2.09 | N/A |
| Standard Error | 2542.69 | 2542.69 | 0.00 |
| Risk-Reward Ratio | 11.28 | 11.28 | N/A |
| Ulcer Index | 1.75 | 1.75 | 0.00 |
| Ulcer Performance Index | 131.30 | 131.30 | N/A |
| Sharpe Ratio of trades | 4.58 | 4.58 | 0.00 |
| K-Ratio | 0.0347 | 0.0347 | -1.#IND |
Интервал 5 минут(Long)
Cделок 1005, прибыльных 46.8%, прибыль 420%, максимальная просадка 17%
| All trades | Long trades | Short trades | |
| Initial capital | 10000.00 | 10000.00 | 10000.00 |
| Ending capital | 52069.38 | 52069.38 | 10000.00 |
| Net Profit | 42069.38 | 42069.38 | 0.00 |
| Net Profit % | 420.69 % | 420.69 % | 0.00 % |
| Exposure % | 38.24 % | 38.24 % | 0.00 % |
| Net Risk Adjusted Return % | 1100.24 % | 1100.24 % | N/A |
| Annual Return % | 288.22 % | 288.22 % | 0.00 % |
| Risk Adjusted Return % | 753.79 % | 753.79 % | N/A |
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| All trades | 1005 | 1005 (100.00 %) | 0 (0.00 %) |
| Avg. Profit/Loss | 41.86 | 41.86 | N/A |
| Avg. Profit/Loss % | 0.42 % | 0.42 % | N/A |
| Avg. Bars Held | 22.93 | 22.93 | N/A |
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| Winners | 471 (46.87 %) | 471 (46.87 %) | 0 (0.00 %) |
| Total Profit | 88353.53 | 88353.53 | 0.00 |
| Avg. Profit | 187.59 | 187.59 | N/A |
| Avg. Profit % | 1.88 % | 1.88 % | N/A |
| Avg. Bars Held | 28.14 | 28.14 | N/A |
| Max. Consecutive | 7 | 7 | 0 |
| Largest win | 5484.82 | 5484.82 | 0.00 |
| # bars in largest win | 13 | 13 | 0 |
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| Losers | 534 (53.13 %) | 534 (53.13 %) | 0 (0.00 %) |
| Total Loss | -46284.15 | -46284.15 | 0.00 |
| Avg. Loss | -86.67 | -86.67 | N/A |
| Avg. Loss % | -0.87 % | -0.87 % | N/A |
| Avg. Bars Held | 18.33 | 18.33 | N/A |
| Max. Consecutive | 8 | 8 | 0 |
| Largest loss | -1238.26 | -1238.26 | 0.00 |
| # bars in largest loss | 13 | 13 | 0 |
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| Max. trade drawdown | -1760.50 | -1760.50 | 0.00 |
| Max. trade % drawdown | -17.62 % | -17.62 % | 0.00 % |
| Max. system drawdown | -3138.06 | -3138.06 | 0.00 |
| Max. system % drawdown | -7.32 % | -7.32 % | 0.00 % |
| Recovery Factor | 13.41 | 13.41 | N/A |
| CAR/MaxDD | 39.38 | 39.38 | N/A |
| RAR/MaxDD | 102.99 | 102.99 | N/A |
| Profit Factor | 1.91 | 1.91 | N/A |
| Payoff Ratio | 2.16 | 2.16 | N/A |
| Standard Error | 3868.63 | 3868.63 | 0.00 |
| Risk-Reward Ratio | 10.09 | 10.09 | N/A |
| Ulcer Index | 1.55 | 1.55 | 0.00 |
| Ulcer Performance Index | 182.32 | 182.32 | N/A |
| Sharpe Ratio of trades | 4.39 | 4.39 | 0.00 |
| K-Ratio | 0.0221 | 0.0221 | -1.#IND |
Интервал 1 минута (Long)
Cделок 1704, прибыльных 46%, прибыль 494%, максимальная просадка 17.8%
Величина комиссионных составила 136%
| All trades | Long trades | Short trades | |
| Initial capital | 10000.00 | 10000.00 | 10000.00 |
| Ending capital | 59498.94 | 59498.94 | 10000.00 |
| Net Profit | 49498.94 | 49498.94 | 0.00 |
| Net Profit % | 494.99 % | 494.99 % | 0.00 % |
| Exposure % | 40.07 % | 40.07 % | 0.00 % |
| Net Risk Adjusted Return % | 1235.22 % | 1235.22 % | N/A |
| Annual Return % | 333.21 % | 333.21 % | 0.00 % |
| Risk Adjusted Return % | 831.52 % | 831.52 % | N/A |
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| All trades | 1704 | 1704 (100.00 %) | 0 (0.00 %) |
| Avg. Profit/Loss | 29.05 | 29.05 | N/A |
| Avg. Profit/Loss % | 0.29 % | 0.29 % | N/A |
| Avg. Bars Held | 72.53 | 72.53 | N/A |
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| Winners | 775 (45.48 %) | 775 (45.48 %) | 0 (0.00 %) |
| Total Profit | 115466.38 | 115466.38 | 0.00 |
| Avg. Profit | 148.99 | 148.99 | N/A |
| Avg. Profit % | 1.49 % | 1.49 % | N/A |
| Avg. Bars Held | 83.58 | 83.58 | N/A |
| Max. Consecutive | 10 | 10 | 0 |
| Largest win | 5951.52 | 5951.52 | 0.00 |
| # bars in largest win | 60 | 60 | 0 |
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| Losers | 929 (54.52 %) | 929 (54.52 %) | 0 (0.00 %) |
| Total Loss | -65967.45 | -65967.45 | 0.00 |
| Avg. Loss | -71.01 | -71.01 | N/A |
| Avg. Loss % | -0.71 % | -0.71 % | N/A |
| Avg. Bars Held | 63.31 | 63.31 | N/A |
| Max. Consecutive | 10 | 10 | 0 |
| Largest loss | -1717.61 | -1717.61 | 0.00 |
| # bars in largest loss | 22 | 22 | 0 |
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| Max. trade drawdown | -1791.21 | -1791.21 | 0.00 |
| Max. trade % drawdown | -17.87 % | -17.87 % | 0.00 % |
| Max. system drawdown | -3921.27 | -3921.27 | 0.00 |
| Max. system % drawdown | -7.10 % | -7.10 % | 0.00 % |
| Recovery Factor | 12.62 | 12.62 | N/A |
| CAR/MaxDD | 46.92 | 46.92 | N/A |
| RAR/MaxDD | 117.08 | 117.08 | N/A |
| Profit Factor | 1.75 | 1.75 | N/A |
| Payoff Ratio | 2.10 | 2.10 | N/A |
| Standard Error | 6352.91 | 6352.91 | 0.00 |
| Risk-Reward Ratio | 7.84 | 7.84 | N/A |
| Ulcer Index | 1.78 | 1.78 | 0.00 |
| Ulcer Performance Index | 184.08 | 184.08 | N/A |
| Sharpe Ratio of trades | 4.53 | 4.53 | 0.00 |
| K-Ratio | 0.0077 | 0.0077 | -1.#IND |
Интервал 10 минут ( LONG и SHORT )
Cделок 1437, прибыльных 59%,
прибыль 834% (Long— 334%,Short- 500%)
Максимальная просадка 21%
| All trades | Long trades | Short trades | |
| Initial capital | 10000.00 | 10000.00 | 10000.00 |
| Ending capital | 93462.73 | 43451.40 | 60011.33 |
| Net Profit | 83462.73 | 33451.40 | 50011.33 |
| Net Profit % | 834.63 % | 334.51 % | 500.11 % |
| Exposure % | 32.95 % | 26.38 % | 6.56 % |
| Net Risk Adjusted Return % | 2533.12 % | 1267.84 % | 7619.08 % |
| Annual Return % | 527.96 % | 234.57 % | 336.28 % |
| Risk Adjusted Return % | 1602.39 % | 889.04 % | 5123.10 % |
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| All trades | 1437 | 719 (50.03 %) | 718 (49.97 %) |
| Avg. Profit/Loss | 58.08 | 46.52 | 69.65 |
| Avg. Profit/Loss % | 0.58 % | 0.47 % | 0.70 % |
| Avg. Bars Held | 10.10 | 15.82 | 4.37 |
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| Winners | 847 (58.94 %) | 339 (23.59 %) | 508 (35.35 %) |
| Total Profit | 130949.48 | 72313.61 | 58635.88 |
| Avg. Profit | 154.60 | 213.31 | 115.42 |
| Avg. Profit % | 1.55 % | 2.14 % | 1.16 % |
| Avg. Bars Held | 10.62 | 19.50 | 4.70 |
| Max. Consecutive | 13 | 8 | 20 |
| Largest win | 2151.76 | 2151.76 | 1672.94 |
| # bars in largest win | 14 | 14 | 9 |
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| Losers | 590 (41.06 %) | 380 (26.44 %) | 210 (14.61 %) |
| Total Loss | -47486.76 | -38862.20 | -8624.55 |
| Avg. Loss | -80.49 | -102.27 | -41.07 |
| Avg. Loss % | -0.81 % | -1.03 % | -0.41 % |
| Avg. Bars Held | 9.35 | 12.54 | 3.57 |
| Max. Consecutive | 6 | 9 | 4 |
| Largest loss | -1352.21 | -1352.21 | -1244.01 |
| # bars in largest loss | 31 | 31 | 3 |
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| Max. trade drawdown | -2372.15 | -1669.93 | -2372.15 |
| Max. trade % drawdown | -21.32 % | -16.70 % | -21.32 % |
| Max. system drawdown | -2188.48 | -3052.49 | -2913.87 |
| Max. system % drawdown | -4.16 % | -9.96 % | -8.38 % |
| Recovery Factor | 38.14 | 10.96 | 17.16 |
| CAR/MaxDD | 126.94 | 23.56 | 40.11 |
| RAR/MaxDD | 385.27 | 89.28 | 611.13 |
| Profit Factor | 2.76 | 1.86 | 6.80 |
| Payoff Ratio | 1.92 | 2.09 | 2.81 |
| Standard Error | 6529.57 | 2542.55 | 4083.48 |
| Risk-Reward Ratio | 10.86 | 11.29 | 10.34 |
| Ulcer Index | 0.69 | 1.74 | 0.89 |
| Ulcer Performance Index | 754.45 | 131.43 | 373.30 |
| Sharpe Ratio of trades | 8.70 | 4.58 | 24.07 |
| K-Ratio | 0.0333 | 0.0347 | 0.0317 |
Tags: AMIBROKER, торговый робот