Автор: Николай Камынин

Предлагаю результаты работы
алгоритма торговли на двух индикаторах. EMA + TRIX ,
исторические данные за 2011 год,
сбербанк обычка,
тайм 1 час,
сигнал на закрытии свечи, сделка на открытии следующей.
Комиссия 0.035%.
Без реинвестирования прибыли, без плеч.
~~~~~~~фрагмент программы для формирования торговых сигналов ~~~~~~

y=EMA(C,100);                        //индикатор EMA
z=Trix(10);    .// индикатор TRIX
V1=C>y AND y > Ref(y, -1);    // 1 сигнал  состоит из двух событий Close>EMA и EMA- растет
V2=C <y AND y < Ref(y, -1); //2 сигнал  противоположный  первому
u1=z> Ref(z, -1);    //3 сигнал
u2=z< Ref(z, -1)   //4 сигнал
Buy=IIf(V1 AND u1 ,1,0);  //сигнал купить
Sell=IIf( v2 AND u2,1,0);  //сигнал продать
//~~~~~~~~~~~~~~~~~

All trades               Long trades           Short trades
Initial capital                                                  100000.00              100000.00               100000.00
Ending capital                                              103943.06              88790.03                 115153.02
Net Profit                                                       3943.06                   -11209.97                15153.02
Net Profit %                                                  3.94 %                     -11.21 %                  15.15 %
Exposure %                                                  90.21 %                   36.56 %                   53.64 %
Net Risk Adjusted Return %                       4.37 %                     -30.66 %                  28.25 %
Annual Return %                                           5.88 %                     -16.11 %                  23.18 %
Risk Adjusted Return %                              6.52 %                     -44.07 %                  43.22 %


All trades 63                             29 (46.03 %)           34 (53.97 %)
Avg. Profit/Loss                                           62.59                       -386.55                    445.68
Avg. Profit/Loss %                                      0.08 %                     -0.38 %                    0.48 %
Avg. Bars Held                                            24.10                       21.14                        26.62


Winners 14 (22.22 %)           4 (6.35 %)                10 (15.87 %)
Total Profit                                                   61429.77                12399.06                 49030.71
Avg. Profit                                                    4387.84                   3099.77                   4903.07
Avg. Profit %                                                4.54 %                     3.23 %                     5.06 %
Avg. Bars Held                                            49.21                       54.75                        47.00
Max. Consecutive                                       4                               2                               4
Largest win                                                  7683.94                   5870.17                   7683.94
# bars in largest win                                    18                             45                             18


Losers 49 (77.78 %)           25 (39.68 %)           24 (38.10 %)
Total Loss                                                    -57486.72               -23609.03                -33877.69
Avg. Loss                                                     -1173.20                 -944.36                    -1411.57
Avg. Loss %                                                -1.19 %                    -0.96 %                    -1.43 %
Avg. Bars Held                                            16.92                       15.76                        18.13
Max. Consecutive                                       15                             11                             15
Largest loss                                                 -6661.70                 -2097.57                  -6661.70
# bars in largest loss                                  63                             5                               63


Max. trade drawdown                                  -11816.65               -5739.48                  -11816.65
Max. trade % drawdown                              -11.82 %                 -5.50 %                    -11.82 %
Max. system drawdown                               -23635.35               -14552.90                -17414.14
Max. system % drawdown                          -21.11 %                 -14.08 %                  -15.31 %
Recovery Factor                                           0.17                         -0.77                         0.87
CAR/MaxDD                                                0.28                         -1.14                         1.51
RAR/MaxDD                                                 0.31                         -3.13                         2.82
Profit Factor                                                  1.07                         0.53                          1.45
Payoff Ratio                                                  3.74                         3.28                          3.47
Standard Error                                             4738.02                   2579.12                   4661.55
Risk-Reward Ratio                                      1.71                         -3.95                         3.93
Ulcer Index                                                    8.62                         6.81                          6.85
Ulcer Performance Index                             0.06                         -3.16                         2.60
Sharpe Ratio of trades                                0.10                         -2.40                         1.14
K-Ratio                                                          0.0085                     -0.0195                    0.0194

Результат:
Прибыль:  всего %      3.94;    лонг %    -11.21 % (УБЫТОК) ;  шорт %   15.15
Макс просадка: всего:    -21.11 %; лонг      -14.08 %    шорт      -15.31 %
~~~~~~~~~ОПТИМАИЗАЦИЯ ПАРАМЕТРОВ ~~~~~~~~~~~~~~

Посмотрим, какой результат получится после подборки параметров  EMA и TRIX

All trades               Long trades           Short trades
Initial capital                                                  100000.00              100000.00               100000.00
Ending capital                                              166761.08              122415.77               144345.31
Net Profit                                                       66761.08                22415.77                 44345.31
Net Profit %                                                  66.76 %                   22.42 %                   44.35 %
Exposure %                                                  78.52 %                   36.78 %                   41.74 %
Net Risk Adjusted Return %                       85.03 %                   60.95 %                   106.25 %
Annual Return %                                           112.91 %                34.83 %                   72.01 %
Risk Adjusted Return %                              143.80 %                94.71 %                   172.53 %


All trades 167                          82 (49.10 %)           85 (50.90 %)
Avg. Profit/Loss                                           399.77                     273.36                     521.71
Avg. Profit/Loss %                                      0.40 %                     0.27 %                     0.52 %
Avg. Bars Held                                            10.27                       9.89                          10.64


Winners 77 (46.11 %)           37 (22.16 %)           40 (23.95 %)
Total Profit                                                   164758.93              73802.29                 90956.64
Avg. Profit                                                    2139.73                   1994.66                   2273.92
Avg. Profit %                                                2.14 %                     2.00 %                     2.28 %
Avg. Bars Held                                            13.71                       13.73                        13.70
Max. Consecutive                                       6                               6                               4
Largest win                                                  7898.08                   5932.81                   7898.08
# bars in largest win                                    9                               5                               9


Losers 90 (53.89 %)           45 (26.95 %)           45 (26.95 %)
Total Loss                                                    -97997.85               -51386.52                -46611.33
Avg. Loss                                                     -1088.87                 -1141.92                  -1035.81
Avg. Loss %                                                -1.09 %                    -1.14 %                    -1.04 %
Avg. Bars Held                                            7.32                         6.73                          7.91
Max. Consecutive                                       11                             8                               5
Largest loss                                                 -5803.19                 -5803.19                  -5745.74
# bars in largest loss                                  7                               7                               3


Max. trade drawdown                                  -5846.05                 -5846.05                  -5745.74
Max. trade % drawdown                              -5.84 %                    -5.84 %                    -5.75 %
Max. system drawdown                               -13008.78               -11050.06                -7273.52
Max. system % drawdown                          -9.65 %                    -9.36 %                    -6.08 %
Recovery Factor                                           5.13                         2.03                          6.10
CAR/MaxDD                                                11.70                       3.72                          11.84
RAR/MaxDD                                                 14.90                       10.12                        28.38
Profit Factor                                                  1.68                         1.44                          1.95
Payoff Ratio                                                  1.97                         1.75                          2.20

Standard Error                                             6668.74                   3754.54                   5205.28
Risk-Reward Ratio                                      9.61                         5.06                          8.67
Ulcer Index                                                    4.16                         4.40                          2.71
Ulcer Performance Index                             25.84                       6.68                          24.57
Sharpe Ratio of trades                                2.64                         1.99                          3.32
K-Ratio                                                          0.0474                     0.0250                     0.0428

Результат:
Прибыль: всего %        66.76;     лонг %      22.42 ;  шорт %    44.35
Max. просадка % всего    -9.65 % лонг     -9.36 % шорт     -6.08 %

~~~~~~~~~~~ ТАЙМ 5 минут + ОПТИМИЗАЦИЯ ~~~~~~~~~~~~~~

All trades                 Long trades            Short trades
Initial capital                                               100000.00               100000.00                100000.00
Ending capital                                           159033.79               115926.06                143107.73
Net Profit                                                    59033.79                  15926.06                  43107.73
Net Profit %                                               59.03 %                    15.93 %                    43.11 %
Exposure %                                               83.86 %                    41.20 %                    42.66 %
Net Risk Adjusted Return %                    70.40 %                    38.66 %                    101.04 %
Annual Return %                                       98.49 %                    24.41 %                    69.84 %
Risk Adjusted Return %                           117.45 %                  59.24 %                    163.69 %


All trades 282                            139 (49.29 %)          143 (50.71 %)
Avg. Profit/Loss                                       209.34                      114.58                       301.45
Avg. Profit/Loss %                                   0.21 %                      0.11 %                       0.30 %
Avg. Bars Held                                         61.49                        61.36                         61.61


Winners 117 (41.49 %)          53 (18.79 %)            64 (22.70 %)
Total Profit                                                193316.43               82366.53                  110949.89
Avg. Profit                                                 1652.28                    1554.09                    1733.59
Avg. Profit %                                            1.65 %                      1.55 %                       1.73 %
Avg. Bars Held                                         97.47                        105.32                       90.97
Max. Consecutive                                    7                                4                                 5
Largest win                                               6375.05                    5934.22                    6375.05
# bars in largest win                                99                              57                              99


Losers 165 (58.51 %)          86 (30.50 %)            79 (28.01 %)
Total Loss                                                 -134282.63              -66440.47                 -67842.17
Avg. Loss                                                  -813.83                     -772.56                     -858.76
Avg. Loss %                                             -0.81 %                     -0.77 %                     -0.86 %
Avg. Bars Held                                         35.97                        34.27                         37.82
Max. Consecutive                                    12                              10                              11
Largest loss                                              -6628.59                   -4242.21                   -6628.59
# bars in largest loss                               13                              28                              13


Max. trade drawdown                               -6628.59                   -5210.14                   -6628.59
Max. trade % drawdown                          -6.63 %                     -5.16 %                     -6.63 %
Max. system drawdown                            -11750.44                -11246.24                 -10573.14
Max. system % drawdown                       -9.58 %                     -9.72 %                     -9.28 %
Recovery Factor                                       5.02                           1.42                           4.08
CAR/MaxDD                                             10.28                        2.51                           7.52
RAR/MaxDD                                             12.26                        6.10                           17.63
Profit Factor                                              1.44                           1.24                           1.64
Payoff Ratio                                               2.03                           2.01                           2.02
Standard Error                                          9187.42                    3317.56                    7431.31
Risk-Reward Ratio                                   6.96                           5.04                           6.36
Ulcer Index                                                 4.34                           4.29                           3.70
Ulcer Performance Index                         21.44                        4.43                           17.41
Sharpe Ratio of trades                             2.29                           1.35                           3.05
K-Ratio                                                       0.0104                      0.0075                       0.0095

Результат:
Прибыль: всего %        59.03 % ;     лонг %      15.93 ;  шорт %       43.11
Max. просадка % всего    -9.58 % лонг     -9.72 % шорт     -9.28 %

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Если комиссия равна нулю,
то прибыль на тайме 5 минут составит 80.31%,
а для тайма 1 час прибыль составит  81.45%

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Таким образом, результаты оптимизации для данного алгоритма практически не зависят от тайма.


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This entry was posted on Суббота, 17 сентября, 2011 at 09:22 and is filed under Amibroker, торговые роботы (МТС). You can follow any responses to this entry through the RSS 2.0 feed. Both comments and pings are currently closed.

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