Tableau de statistiques danss un algo

• 11/15/2024 at 2:10 PM #240400
  Michel_I

  Bonjour !

  Désirant améliorer l’analyse d’une stratégie de trading sur indice, j’aurais besoin d’afficher un tableau (sur le graphique de préférence) qui présenterait certaines données sous la forme de statistiques : par exemple : le nombre de trades perdant de plus de 100$, le nombre de trades gagnants de plus de 100 $, … (i peut y avoir des dizaines de points interessants à analyser !).
  Est-il possible de coder cela (avec ou sans la fonction “$tableau”…) ?

  Merci de votre aide !

  Michel

  

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  11/15/2024 at 3:23 PM #240404
  GraHal

  Nous pouvons voir les transactions perdantes, etc. pour chaque algorithme dans le rapport détaillé sous Transactions clôturées.

  Vous pouvez ensuite télécharger sur Excel.

  

  GraHal

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  11/16/2024 at 3:47 PM #240411
  Michel_I

  Merci de votre réponse. En fait je cherche à coder dans un BT (idéalement sous forme de tableau en fin de graphique) des données que l’on ne retrouve pas dans les rapports détaillés de PRT : par exemple, combien de trades shorts ont été déclenchés sur stop, pour quel montant de pertes ? combien de bougies se sont écoulées entre l’entrée et la sortie de trade ? … Bref des données d’analyse permettant d’adapter au mieux une stratégie.

  Il me semblait que le mode tableau permettait cela, mais je n’en suis pas sûr.

  Michel

   

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  GraHal

  

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  11/16/2024 at 6:12 PM #240412
  robertogozzi

  Si vous n’avez besoin que des totaux, il n’est pas nécessaire d’utiliser des tableaux, juste des variables communes que vous incrémentez à chaque fois (je ne l’ai pas essayé):

  ONCE LossesOver100 = 0 ONCE GainsOver100 = 0 ONCE Duration = 0 ONCE DurationAvg = 0 ONCE NumberOfTrades = 0 // update winning and losing stats IF (StrategyProfit - StrategyProfit[1]) >= 100 THEN GainsOver100 = GainsOver100 + 1 ELSIF (StrategyProfit - StrategyProfit[1]) <= -100 THEN LossesOver100 = LossesOver100 + 1 ENDIF // update the duration of trades and calculate the average duration IF OnMarket THEN Duration = Duration + 1 DurationAvg = Duration / NumberOfTrades ENDIF // enter a Long position and update the number of trades IF MyLongConditions THEN BUY 1 CONTRACT AT MARKET NumberOfTrades = NumberOfTrades + 1 SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF

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  ONCE LossesOver100  = 0 ONCE GainsOver100   = 0 ONCE Duration       = 0 ONCE DurationAvg    = 0 ONCE NumberOfTrades = 0   // update winning and losing stats IF (StrategyProfit - StrategyProfit[1]) >= 100 THEN    GainsOver100 = GainsOver100 + 1 ELSIF (StrategyProfit - StrategyProfit[1]) <= -100 THEN    LossesOver100 = LossesOver100 + 1 ENDIF // update the duration of trades and calculate the average duration IF OnMarket THEN    Duration    = Duration + 1    DurationAvg = Duration / NumberOfTrades ENDIF // enter a Long position and update the number of trades IF MyLongConditions THEN    BUY 1 CONTRACT AT MARKET    NumberOfTrades = NumberOfTrades + 1    SET STOP %LOSS 1    SET TARGET %PROFIT 2 ENDIF

  Si vous le souhaitez, vous pouvez également différencier les statistiques entre Long et Short:

  ONCE LONGLossesOver100 = 0 ONCE LONGGainsOver100 = 0 ONCE LONGDuration = 0 ONCE LONGDurationAvg = 0 ONCE LONGNumberOfTrades = 0 // ONCE SHORTLossesOver100 = 0 ONCE SHORTGainsOver100 = 0 ONCE SHORTDuration = 0 ONCE SHORTDurationAvg = 0 ONCE SHORTNumberOfTrades = 0 // update winning and losing stats IF (StrategyProfit - StrategyProfit[1]) >= 100 THEN IF LongOnMarket[1] THEN LONGGainsOver100 = LONGGainsOver100 + 1 ElSIF ShortOnMarket[1] THEN SHORTGainsOver100 = SHORTGainsOver100 + 1 ELSIF (StrategyProfit - StrategyProfit[1]) <= -100 THEN IF LongOnMarket[1] THEN LONGLossesOver100 = LONGLossesOver100 + 1 ElSIF ShortOnMarket[1] THEN SHORTLossesOver100 = SHORTLossesOver100 + 1 ENDIF // update the duration of trades and calculate the average duration IF LongOnMarket THEN LONGDuration = LONGDuration + 1 LONGDurationAvg = LONGDuration / LONGNumberOfTrades ELSIF ShortOnMarket THEN SHORTDuration = SHORTDuration + 1 SHORTDurationAvg = SHORTDuration / SHORTNumberOfTrades ENDIF // enter a Long position and update the number of trades IF MyLongConditions THEN BUY 1 CONTRACT AT MARKET LONGNumberOfTrades = LONGNumberOfTrades + 1 SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF // enter a Short position and update the number of trades IF MyShortConditions THEN SELLSHORT 1 CONTRACT AT MARKET SHORTNumberOfTrades = SHORTNumberOfTrades + 1 SET STOP %LOSS 1 SET TARGET %PROFIT 2 ENDIF

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  ONCE LONGLossesOver100  = 0 ONCE LONGGainsOver100   = 0 ONCE LONGDuration       = 0 ONCE LONGDurationAvg    = 0 ONCE LONGNumberOfTrades = 0 // ONCE SHORTLossesOver100  = 0 ONCE SHORTGainsOver100   = 0 ONCE SHORTDuration       = 0 ONCE SHORTDurationAvg    = 0 ONCE SHORTNumberOfTrades = 0 // update winning and losing stats IF (StrategyProfit - StrategyProfit[1]) >= 100 THEN    IF LongOnMarket[1] THEN       LONGGainsOver100 = LONGGainsOver100 + 1    ElSIF ShortOnMarket[1] THEN       SHORTGainsOver100 = SHORTGainsOver100 + 1 ELSIF (StrategyProfit - StrategyProfit[1]) <= -100 THEN    IF LongOnMarket[1] THEN       LONGLossesOver100 = LONGLossesOver100 + 1    ElSIF ShortOnMarket[1] THEN       SHORTLossesOver100 = SHORTLossesOver100 + 1 ENDIF // update the duration of trades and calculate the average duration IF LongOnMarket THEN    LONGDuration    = LONGDuration + 1    LONGDurationAvg = LONGDuration / LONGNumberOfTrades ELSIF ShortOnMarket THEN    SHORTDuration    = SHORTDuration + 1    SHORTDurationAvg = SHORTDuration / SHORTNumberOfTrades ENDIF // enter a Long position and update the number of trades IF MyLongConditions THEN    BUY 1 CONTRACT AT MARKET    LONGNumberOfTrades = LONGNumberOfTrades + 1    SET STOP   %LOSS   1    SET TARGET %PROFIT 2 ENDIF // enter a Short position and update the number of trades IF MyShortConditions THEN    SELLSHORT 1 CONTRACT AT MARKET    SHORTNumberOfTrades = SHORTNumberOfTrades + 1    SET STOP   %LOSS   1    SET TARGET %PROFIT 2 ENDIF

  Si toutefois vous souhaitez mémoriser les résultats de chaque opération alors vous devrez utiliser des tableaux au lieu de variables.

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  Iván

  

  robertogozzi

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  11/18/2024 at 2:34 PM #240478
  Iván

  Si vous souhaitez calculer des statistiques, vous pouvez utiliser cet indicateur. Il vous suffit de modifier les conditions d'entrée et de sortie.

  DEFPARAM DRAWONLASTBARONLY = true REM INDICADORES Y PARÁMETROS DEL SISTEMA ONCE DENTRO = 0 RSI5 = RSI[5](CLOSE) ///////////ESTRATEGIA LARGOS/////////////////// c1 = RSI5 CROSSES OVER 30 entrada= c1 IF DENTRO=0 AND entrada[1] and high>high[1] THEN DENTRO = 1 BUYPRICE = max(high[1],open) STOPLOSS = BUYPRICE*0.94 TAKEPROFIT = 1*(BUYPRICE-STOPLOSS)+BUYPRICE REM CALCULAMOS EL NÚMERO DE ACCIONES QUE HAY QUE COMPRAR TITULOS = ROUND(10000/BUYPRICE) ENDIF //////////////////CONDICIONES SALIDA/////////////////// S1 = HIGH > TAKEPROFIT S2 = LOW < STOPLOSS S3 = rsi5 crosses over 70 SETUPOUT = (S1 OR S2 OR S3) IF DENTRO=1 AND SETUPOUT THEN DENTRO=0 REM VEMOS A QUÉ PRECIO SALIMOS EN FUNCIÓN DE LA CONDICIÓN DE SALIDA IF S1 AND OPEN > TAKEPROFIT THEN SELLPRICE = OPEN ELSIF S1 AND OPEN <= TAKEPROFIT THEN SELLPRICE = TAKEPROFIT ELSIF S3 THEN SELLPRICE = close ELSE IF OPEN < STOPLOSS THEN SELLPRICE = OPEN ELSE SELLPRICE = STOPLOSS ENDIF ENDIF REM ALMACENAMOS LOS RESULTADOS DE LA OPERACIÓN RESULTADO2 = (SELLPRICE-BUYPRICE)*TITULOS REM CALCULAMOS EL CAPITAL DESPUÉS DE LA OPERACIÓN CAPITAL = CAPITAL[1]+RESULTADO2 ENDIF REM CALCULAMOS EL RESULTADO RESULTADO = CAPITAL - CAPITAL[1] REM ESTADÍSTICAS DE GANADORAS IF RESULTADO > 0 THEN NUMGANADORAS = NUMGANADORAS[1]+1 RESULTADOGANADORAS = RESULTADO+RESULTADOGANADORAS[1] MEDIAGANADORAS = ROUND(RESULTADOGANADORAS/NUMGANADORAS) REM ESTADÍSTICAS DE PERDEDORAS ELSIF RESULTADO < 0 THEN NUMPERDEDORAS = NUMPERDEDORAS[1]+1 RESULTADOPERDEDORAS = RESULTADO + RESULTADOPERDEDORAS[1] MEDIAPERDEDORAS = ROUND(RESULTADOPERDEDORAS/NUMPERDEDORAS) ENDIF //NUMERO OPERACIONES TOTAL NUMTOTAL = NUMGANADORAS+NUMPERDEDORAS //BENEFICIO NETO BENEFICIO = round(RESULTADOGANADORAS+RESULTADOPERDEDORAS) //BENEFICIO POR OPERACIÓN MEDIAOPERACION = ROUND(BENEFICIO/NUMTOTAL) //MÁXIMO DRAWDOWN $ T = BARINDEX+1 MAXIMOCAPITAL = HIGHEST[T](CAPITAL) DRAWDOWN = CAPITAL-MAXIMOCAPITAL MAXIMODRAWDOWN = ROUND(LOWEST[T](DRAWDOWN)) //PROFITFACTOR PROFITFACTOR = RESULTADOGANADORAS/ABS(RESULTADOPERDEDORAS) //PORCENTAJE ACIERTO ACIERTO = round(NUMGANADORAS/NUMTOTAL*100) //PAYOFF RATIO PAYOFF = MEDIAGANADORAS/ABS(MEDIAPERDEDORAS) //EXPECTATIVA EXPECTATIVA = (1+PAYOFF)*ACIERTO/100-1 DRAWTEXT("Beneficio = #BENEFICIO# $", -100,-10)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("Ganancia Media = #MEDIAOPERACION# $/op", -100,-30)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("Operaciones = #NUMTOTAL#", -100,-50)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("% acierto = #ACIERTO# %", -100,-70)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("MDD = #MAXIMODRAWDOWN# $", -100,-90)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("PF = #PROFITFACTOR#", -100,-110)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("PAYOFF = #PAYOFF#", -100,-130)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("EXPECTATIVA = #EXPECTATIVA#", -100,-150)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) RETURN

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  DEFPARAM DRAWONLASTBARONLY = true REM INDICADORES Y PARÁMETROS DEL SISTEMA ONCE DENTRO = 0 RSI5 = RSI[5](CLOSE) ///////////ESTRATEGIA LARGOS/////////////////// c1 = RSI5 CROSSES OVER 30 entrada= c1 IF DENTRO=0 AND entrada[1] and high>high[1] THEN DENTRO = 1 BUYPRICE = max(high[1],open) STOPLOSS = BUYPRICE*0.94 TAKEPROFIT = 1*(BUYPRICE-STOPLOSS)+BUYPRICE REM CALCULAMOS EL NÚMERO DE ACCIONES QUE HAY QUE COMPRAR TITULOS = ROUND(10000/BUYPRICE) ENDIF //////////////////CONDICIONES SALIDA/////////////////// S1 = HIGH > TAKEPROFIT S2 = LOW < STOPLOSS S3 = rsi5 crosses over 70   SETUPOUT = (S1 OR S2 OR S3) IF DENTRO=1 AND SETUPOUT THEN DENTRO=0 REM VEMOS A QUÉ PRECIO SALIMOS EN FUNCIÓN DE LA CONDICIÓN DE SALIDA IF S1 AND OPEN > TAKEPROFIT THEN SELLPRICE = OPEN ELSIF S1 AND OPEN <= TAKEPROFIT THEN SELLPRICE = TAKEPROFIT ELSIF S3 THEN SELLPRICE = close ELSE IF OPEN < STOPLOSS THEN SELLPRICE = OPEN ELSE SELLPRICE = STOPLOSS ENDIF ENDIF REM ALMACENAMOS LOS RESULTADOS DE LA OPERACIÓN RESULTADO2 = (SELLPRICE-BUYPRICE)*TITULOS REM CALCULAMOS EL CAPITAL DESPUÉS DE LA OPERACIÓN CAPITAL = CAPITAL[1]+RESULTADO2 ENDIF REM CALCULAMOS EL RESULTADO RESULTADO = CAPITAL - CAPITAL[1] REM ESTADÍSTICAS DE GANADORAS IF RESULTADO > 0 THEN NUMGANADORAS = NUMGANADORAS[1]+1 RESULTADOGANADORAS = RESULTADO+RESULTADOGANADORAS[1] MEDIAGANADORAS = ROUND(RESULTADOGANADORAS/NUMGANADORAS) REM ESTADÍSTICAS DE PERDEDORAS ELSIF RESULTADO < 0 THEN NUMPERDEDORAS = NUMPERDEDORAS[1]+1 RESULTADOPERDEDORAS = RESULTADO + RESULTADOPERDEDORAS[1] MEDIAPERDEDORAS = ROUND(RESULTADOPERDEDORAS/NUMPERDEDORAS) ENDIF //NUMERO OPERACIONES TOTAL NUMTOTAL = NUMGANADORAS+NUMPERDEDORAS //BENEFICIO NETO BENEFICIO = round(RESULTADOGANADORAS+RESULTADOPERDEDORAS) //BENEFICIO POR OPERACIÓN MEDIAOPERACION = ROUND(BENEFICIO/NUMTOTAL) //MÁXIMO DRAWDOWN $ T = BARINDEX+1 MAXIMOCAPITAL = HIGHEST[T](CAPITAL) DRAWDOWN = CAPITAL-MAXIMOCAPITAL MAXIMODRAWDOWN = ROUND(LOWEST[T](DRAWDOWN)) //PROFITFACTOR PROFITFACTOR = RESULTADOGANADORAS/ABS(RESULTADOPERDEDORAS) //PORCENTAJE ACIERTO ACIERTO = round(NUMGANADORAS/NUMTOTAL*100) //PAYOFF RATIO PAYOFF = MEDIAGANADORAS/ABS(MEDIAPERDEDORAS) //EXPECTATIVA EXPECTATIVA = (1+PAYOFF)*ACIERTO/100-1 DRAWTEXT("Beneficio = #BENEFICIO# $", -100,-10)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("Ganancia Media = #MEDIAOPERACION# $/op", -100,-30)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("Operaciones = #NUMTOTAL#", -100,-50)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("% acierto = #ACIERTO# %", -100,-70)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("MDD = #MAXIMODRAWDOWN# $", -100,-90)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("PF = #PROFITFACTOR#", -100,-110)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("PAYOFF = #PAYOFF#", -100,-130)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT) DRAWTEXT("EXPECTATIVA = #EXPECTATIVA#", -100,-150)ANCHOR(TOPRIGHT,XSHIFT,YSHIFT)   RETURN

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