void plotTradeProfile(int bars)
{
if(!is(TESTMODE) || !is(EXITRUN)) return;
if(!bars) bars = 50;
var vWinMax = 0, vLossMax = 0;
for(all_trades) { // calculate minimum & maximum profit in pips
vWinMax = max(vWinMax,toPIP(TradeResult));
vLossMax = max(vLossMax,-toPIP(TradeResult));
}
if(vWinMax == 0 && vLossMax == 0) return;
var vStep;
if(bars < 0) // bucket size in pips
vStep = -bars;
else
vStep = 10*(int)((vWinMax+vLossMax)/bars/10);
int n0 = ceil(vLossMax/vStep);
for(all_trades)
{
var vResult = toPIP(TradeResult);
int n = floor(vResult/vStep);
plotBar("Profit",2*(n+n0),n*vStep,abs(vResult),SUM|BARS|LBL2,COLOR_AVG);
plotBar("Number",2*(n+n0)+1,0,1,SUM|BARS|AXIS2,COLOR_DEV);
}
}
void plotMAEGraph(int bars)
{
if(!is(TESTMODE) || !is(EXITRUN)) return;
if(!bars) bars = 50;
var vMaxMAE = 0;
for(all_trades) // calculate maximum MAE in pips
vMaxMAE = max(vMaxMAE,TradeMAE/TradePIP);
//printf("\nMaxMAE: %.0f",vMaxMAE);
var vStep;
if(bars < 0) // bucket size in pips
vStep = -bars;
else
vStep = 10*(int)(vMaxMAE/bars/10);
for(all_trades)
{
var vResult = toPIP(TradeResult);
var vMAE = TradeMAE/TradePIP/vStep;
int n = floor(vMAE);
plotBar("Profit",n,n*vStep,0,AVG|BARS|LBL2,COLOR_DEV);
if(vResult > 0)
plotGraph("Win",vMAE,vResult,DOT,GREEN);
else
plotGraph("Loss",vMAE,vResult,DOT,RED);
}
}
function plotSeason(int n,int label,int season,var value,int type)
{
if(!is(TESTMODE)) return; // [Test] only
static int lastseason = 0;
static var value0 = 0;
if(season != lastseason) {
value0 = value;
lastseason = season;
}
plotBar("Value",n,label,value-value0,NEW|AVG|BARS|LBL2,COLOR_AVG);
plotBar("StdDev",n,0,(value-value0)/4,DEV|BARS,COLOR_DEV);
if(type&PDIFF) value0 = value;
}
function run()
{
NumYears = 3;
BarPeriod = 1;
LookBack = 1440;
PlotScale = 15;
Commission = 0.6;
Spread = 0.5*PIP;
int Duration = 1, i = 0;
if(!is(LOOKBACK))
while(Duration <= 1440)
{
var Win = abs(priceClose(Duration)-priceClose(0))*PIPCost/PIP;
var Cost = Commission*LotAmount/10000. + Spread*PIPCost/PIP;
//printf("\nWin %.2f Cost %.2f",Win,Cost);
// Breakeven:
// Profit = Cost = Rate * Win - (1.-Rate) * Win;
// => Cost = (Rate - 0.5) * 2 * Win;
var Rate = ifelse(Win>Cost, Cost/(2*Win) + 0.5, 1.);
plotBar("Min Rate",i,Duration,100*Rate,AVG+BARS,RED);
if(Duration < 10) Duration += 1;
else if(Duration < 60) Duration += 5;
else if(Duration < 180) Duration += 30;
else Duration += 60;
i++;
}
Bar += 100;
}
// plot price difference profile
void plotPriceProfile(int bars,int type)
{
if(!is(TESTMODE)) return; // [Test] only
if(!bars) bars = 50;
set(PLOTNOW+PEEK); // peek in the future
var vProfit;
int count;
for(count = 1; count < bars; count++)
{
if(type&PDIFF)
vProfit = (price(-count-1)-price(-count))/PIP;
else
vProfit = (price(-count-1)-price(-1))/PIP;
if(type&PMINUS)
vProfit = -vProfit;
plotBar("Price",count,count,vProfit,NEW|AVG|BARS|LBL2,COLOR_AVG);
plotBar("StdDev",count,0,vProfit/4,DEV|BARS,COLOR_DEV);
}
}
// generate a profit distribution chart
function run()
{
BarPeriod = 1440;
StartDate = 2012;
NumYears = 1;
LookBack = 0;
asset("EUR/USD");
// run this simulation 3000 times
NumTotalCycles = 3000;
strategy1();
// plot the result of every run in a bar graph
if(is(EXITRUN)) {
int Step = 250;
int Result = floor(ProfitClosed/PIPCost/Step);
plotBar("Profit",Result,Step*Result,1,SUM|BARS|LBL2,RED);
}
PlotHeight1 = 320;
}
void _plotHistogram(string Name,var Value,var Step,int Color)
{
var Bucket = floor(Value/Step);
plotBar(Name,Bucket,Step*Bucket,1,SUM+BARS+LBL2,Color);
}
void main()
{
byte *Content = file_content("Log\\TrendDaily.bin");
if(!Content) {
printf("\nFirst produce equity curves!");
return;
}
int i,j,N = 0;
int MaxN = 0;
var MaxPerf = 0.0;
while(N<CURVES && *Content)
{
// extract the next curve from the file
string Name = Content;
Content += strlen(Name)+1;
int Size = *((int*)Content);
int Length = Size/sizeof(var); // number of values
Content += 4;
var *Values = Content;
Content += Size;
if(!strstr(Name,SELECT)) continue;
// store the curve
Curve[N].Name = Name;
Curve[N].Length = Length;
Curve[N].Values = Values;
var Performance = 1.0/ProfitFactor(Values,Length);
if(MaxPerf < Performance) {
MaxN = N;
MaxPerf = Performance;
}
printf("\n%s: %.2f",Curve[N].Name,Performance);
//_plotHistogram("Profit",Performance,BUCKET,RED);
N++;
}
PlotScale = 10;
PlotHeight1 = 300;
printf("\n\nBenchmark: %s, %.2f", Curve[MaxN].Name,MaxPerf);
#ifdef WRC
plotBar("MaxPerf",MaxPerf/BUCKET,MaxPerf,50,BARS+LBL2,BLUE);
printf("\nBootstrap - please wait");
int Worse = 0, Better = 0;
for(i=0; i<SAMPLES; i++) {
var MaxBootstrapPerf = 0;
for(j=0; j<N; j++) {
randomize(BOOTSTRAP|DETREND,Daily,Curve[j].Values,Curve[j].Length);
var Performance = 1.0/ProfitFactor(Daily,Curve[j].Length);
MaxBootstrapPerf = max(MaxBootstrapPerf,Performance);
}
printf(".");
if(MaxPerf > MaxBootstrapPerf)
Better++;
else
Worse++;
_plotHistogram("Profit",MaxBootstrapPerf,BUCKET,RED);
progress(100*i/SAMPLES,0);
}
printf("\nBenchmark beats %.0f%% of samples!",
(var)Better*100./(Better+Worse));
#endif
}
