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Sep 21, 2010, 2:18:18 AM9/21/10
to futures trading
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Sep 25, 2010, 5:58:16 AM9/25/10
to futures trading
On Sep 21, 9:18 am, backspace <stephan...@gmail.com> wrote:
> Python integrationhttp://sites.google.com/site/prof7bit/offline_charts-mqh
>
> http://codebase.mql4.com/6217
http://www.mt4i.com/mtidesktop.aspx
A Sharpe ratio is a measure of return in relation to risk. In theory
at least, nvestment/strategy A is preferable to investment/strategy B
if its Sharpe ratio is higher, even if B made $20,000 profit whereas A
only made $5,000. Negative Sharpe ratios are definitely bad
(particularly because the risk-free rate is omitted from the
calculation – see above). Broadly speaking, a Sharpe ratio of +1.00 or
more is notably good.
MT Intelligence only displays Sharpe ratios based on your account
equity, not your account balance. The latter would be very misleading
unless you never carried positions overnight (in which case the value
would obviously be the same as for account equity).
The Sharpe ratios displayed on the Analysis tab, in relation to each
symbol, or magic number etc, should be regarded as comparative figures
only. For example, if you have a Sharpe ratio of 4.82 on EURUSD trades
versus -1.34 on USDJPY, then the risk profile of your EURUSD trades is
almost certainly preferable to your USDJPY trades. However, it is
unlikely to mean that you can produce a world-beating strategy simply
by trading EURUSD only.
------
The Stats tab shows two sets of figures calculated across all your
positions: an analysis of balance versus equity (i.e. closed positions
only versus both closed and open positions), and an analysis of
results divided up over different types of time period (e.g. average
daily return versus average weekly return).
Both grids provide the standard options for exporting them to Excel,
printing them etc.
The analysis of balance/equity includes the following fields. By
definition, the figures on the balance line only include positions
which are now closed. The figures on the equity line additionally
include positions which are still open:
Gain/loss $. Shows the cash change in the account equity/balance.
Total growth %. Shows the percentage change in account equity/balance.
Annualised growth %. Expresses the total growth as an annualised
figure (by calculating an average daily change, and annualizing it on
the basis of 256 trading days).
Annualised Sharpe ratio. Calculates an annualised Sharpe ratio based
on the daily changes in account equity.
Positions. Total number of positions opened (and also closed in the
case of the balance line).
Winners. Number of profitable positions.
Losers. Number of loss-making positions.
Win %. Winners as a percentage of total positions.
Loser %. Losers as a percentage of total positions.
Gross profit. Total profit on all winning positions.
Gross loss. Total loss on all losing positions.
Profit %. Gross profit as a percentage of gross profit plus gross
loss.
Loss %. Gross loss as a percentage of gross profit plus gross loss.
Profit factor. The Metatrader-style profit factor: gross profit
divided by gross loss.
Day-end peak. Highest value reached by the account equity/balance at
any day-end. Not necessarily representative of performance if the
account is boosted by multiple deposits.
Day-end trough. Lowest value reached by the account equity/balance at
any day-end. Not necessarily representative of performance if the
account is diminished by withdrawals.
Average trade $. The average cash result on each position, i.e. the
total gain/loss divided by the number of positions.
Average win $. The average cash result on winning positions, i.e.
gross profit divided by number of winners.
Average loss $. The average cash result on losing positions, i.e.
gross loss divided by number of losers.
Average position length (hours). The average length of a position, in
hours.
Profitability per trade-hour. The total profit/loss divided by the
total number of hours for which each trade was open.
Total lots. Total lots traded, on all positions (equity line) and on
closed positions only (balance line).
Standard deviation. The standard deviation of the daily cash changes
in account balance and equity.
The analysis by time period includes the following statistics:
Number of periods. The number of days/weeks/months/etc in the results.
Equity – winning periods. The number of periods during which account
equity increased.
Equity – losing periods. The number of periods during which account
equity declined.
Balance – winning periods. The number of periods during which account
balance increased.
Balance – losing periods. The number of periods during which account
balance declined.
Avg equity growth %. Shows the average percentage change in account
equity per day/week/month/etc.
Avg balance growth %. Shows the average percentage change in account
balance per day/week/month/etc.
Avg positions opened. Shows the average number of positions opened per
day/week/month/etc.
Avg positions closed. Shows the average number of positions closed per
day/week/month/etc.
Avg banked winners. Shows the average number of positions closed at a
profit per day/week/month/etc.
Avg banked losers. Shows the average number of positions closed at a
loss per day/week/month/etc.
Peak equity consecutive losses $. Shows the worst cash value of
consecutive daily/weekly/etc losses in account equity.
Peak balance consecutive losses $. Shows the worst cash value of
consecutive daily/weekly/etc losses in account balance.
Equity consecutive losses #. Shows the worst number of consecutive
daily/weekly/etc losses in account equity, i.e. the worst run of
losing days/weeks/etc, not their cash value. The longest run in terms
of number of periods can be different to the period which generates
the worst consecutive fall.
Balance consecutive losses #. Shows the worst number of consecutive
daily/weekly/etc losses in account balance, i.e. the worst run of
losing days/weeks/etc, not their cash value. The longest run in terms
of number of periods can be different to the period which generates
the worst consecutive fall.
Peak equity drawdown $. Shows the largest fall in account equity from
one period end to a subsequent period end, e.g. from a high at one day/
week/month end to a subsequent day/week/month end low. It does not
necessarily imply a fall in the account below your initial deposit.
For example, if account equity starts at $10,000, is $10,500 at one
day/week end, and then falls to $10,250 at a subsequent day/week end
before rising again, then the worst drawdown is shown as $-250.
Peak balance drawdown $. Shows the largest fall in account balance
from one period end to a subsequent period end (e.g. from a high at
one day/week/month end to a subsequent day/week/month end low).
Peak period-end unbooked loss. Shows the largest unbooked loss at the
end of any single day/week/month etc.
Peak period-end unbooked profit. Shows the largest unbooked profit at
the end of any single day/week/month etc.
Peak equity consecutive wins $. Shows the best cash value of
consecutive daily/weekly/etc gains in account equity.
Peak balance consecutive wins $. Shows the best cash value of
consecutive daily/weekly/etc gains in account balance.
Equity consecutive wins #. Shows the best number of consecutive daily/
weekly/etc gains in account equity (i.e. the best run of winning days/
weeks/etc, not their cash value).
Balance consecutive wins #. Shows the best number of consecutive daily/
weekly/etc gains in account balance (i.e. the best run of winning days/
weeks/etc, not their cash value).
Avg equity change $. Shows the average cash change in account equity
per day/week/month/etc.
Best equity change $. Shows the best single gain in account equity
over any single day/week/month/etc.
Worst equity change $. Shows the worst single loss in account equity
over any single day/week/month/etc.
Avg balance change $. Shows the average cash change in account balance
per day/week/month/etc.
Best balance change $. Shows the best single gain in account balance
over any single day/week/month/etc.
Worst balance change $. Shows the worst single loss in account balance
over any single day/week/month/etc.
Avg winning pips banked. Shows the average number of pips on closed
winning positions per day/week/month etc.
Avg winning pips banked. Shows the average number of pips on closed
losing positions per day/week/month etc.
Avg net pips banked. Shows the average net number of pips on closed
positions (i.e. winners minus losers) per day/week/month etc.
Balance stdev. Standard deviation of the cash changes in account
balance over each day/week/month etc.
Equity stdev. Standard deviation of the cash changes in account equity
over each day/week/month etc.
-----------
> Python integrationhttp://sites.google.com/site/prof7bit/offline_charts-mqh
>
> http://codebase.mql4.com/6217
http://www.mt4i.com/mtidesktop.aspx
A Sharpe ratio is a measure of return in relation to risk. In theory
at least, nvestment/strategy A is preferable to investment/strategy B
if its Sharpe ratio is higher, even if B made $20,000 profit whereas A
only made $5,000. Negative Sharpe ratios are definitely bad
(particularly because the risk-free rate is omitted from the
calculation – see above). Broadly speaking, a Sharpe ratio of +1.00 or
more is notably good.
MT Intelligence only displays Sharpe ratios based on your account
equity, not your account balance. The latter would be very misleading
unless you never carried positions overnight (in which case the value
would obviously be the same as for account equity).
The Sharpe ratios displayed on the Analysis tab, in relation to each
symbol, or magic number etc, should be regarded as comparative figures
only. For example, if you have a Sharpe ratio of 4.82 on EURUSD trades
versus -1.34 on USDJPY, then the risk profile of your EURUSD trades is
almost certainly preferable to your USDJPY trades. However, it is
unlikely to mean that you can produce a world-beating strategy simply
by trading EURUSD only.
------
The Stats tab shows two sets of figures calculated across all your
positions: an analysis of balance versus equity (i.e. closed positions
only versus both closed and open positions), and an analysis of
results divided up over different types of time period (e.g. average
daily return versus average weekly return).
Both grids provide the standard options for exporting them to Excel,
printing them etc.
The analysis of balance/equity includes the following fields. By
definition, the figures on the balance line only include positions
which are now closed. The figures on the equity line additionally
include positions which are still open:
Gain/loss $. Shows the cash change in the account equity/balance.
Total growth %. Shows the percentage change in account equity/balance.
Annualised growth %. Expresses the total growth as an annualised
figure (by calculating an average daily change, and annualizing it on
the basis of 256 trading days).
Annualised Sharpe ratio. Calculates an annualised Sharpe ratio based
on the daily changes in account equity.
Positions. Total number of positions opened (and also closed in the
case of the balance line).
Winners. Number of profitable positions.
Losers. Number of loss-making positions.
Win %. Winners as a percentage of total positions.
Loser %. Losers as a percentage of total positions.
Gross profit. Total profit on all winning positions.
Gross loss. Total loss on all losing positions.
Profit %. Gross profit as a percentage of gross profit plus gross
loss.
Loss %. Gross loss as a percentage of gross profit plus gross loss.
Profit factor. The Metatrader-style profit factor: gross profit
divided by gross loss.
Day-end peak. Highest value reached by the account equity/balance at
any day-end. Not necessarily representative of performance if the
account is boosted by multiple deposits.
Day-end trough. Lowest value reached by the account equity/balance at
any day-end. Not necessarily representative of performance if the
account is diminished by withdrawals.
Average trade $. The average cash result on each position, i.e. the
total gain/loss divided by the number of positions.
Average win $. The average cash result on winning positions, i.e.
gross profit divided by number of winners.
Average loss $. The average cash result on losing positions, i.e.
gross loss divided by number of losers.
Average position length (hours). The average length of a position, in
hours.
Profitability per trade-hour. The total profit/loss divided by the
total number of hours for which each trade was open.
Total lots. Total lots traded, on all positions (equity line) and on
closed positions only (balance line).
Standard deviation. The standard deviation of the daily cash changes
in account balance and equity.
The analysis by time period includes the following statistics:
Number of periods. The number of days/weeks/months/etc in the results.
Equity – winning periods. The number of periods during which account
equity increased.
Equity – losing periods. The number of periods during which account
equity declined.
Balance – winning periods. The number of periods during which account
balance increased.
Balance – losing periods. The number of periods during which account
balance declined.
Avg equity growth %. Shows the average percentage change in account
equity per day/week/month/etc.
Avg balance growth %. Shows the average percentage change in account
balance per day/week/month/etc.
Avg positions opened. Shows the average number of positions opened per
day/week/month/etc.
Avg positions closed. Shows the average number of positions closed per
day/week/month/etc.
Avg banked winners. Shows the average number of positions closed at a
profit per day/week/month/etc.
Avg banked losers. Shows the average number of positions closed at a
loss per day/week/month/etc.
Peak equity consecutive losses $. Shows the worst cash value of
consecutive daily/weekly/etc losses in account equity.
Peak balance consecutive losses $. Shows the worst cash value of
consecutive daily/weekly/etc losses in account balance.
Equity consecutive losses #. Shows the worst number of consecutive
daily/weekly/etc losses in account equity, i.e. the worst run of
losing days/weeks/etc, not their cash value. The longest run in terms
of number of periods can be different to the period which generates
the worst consecutive fall.
Balance consecutive losses #. Shows the worst number of consecutive
daily/weekly/etc losses in account balance, i.e. the worst run of
losing days/weeks/etc, not their cash value. The longest run in terms
of number of periods can be different to the period which generates
the worst consecutive fall.
Peak equity drawdown $. Shows the largest fall in account equity from
one period end to a subsequent period end, e.g. from a high at one day/
week/month end to a subsequent day/week/month end low. It does not
necessarily imply a fall in the account below your initial deposit.
For example, if account equity starts at $10,000, is $10,500 at one
day/week end, and then falls to $10,250 at a subsequent day/week end
before rising again, then the worst drawdown is shown as $-250.
Peak balance drawdown $. Shows the largest fall in account balance
from one period end to a subsequent period end (e.g. from a high at
one day/week/month end to a subsequent day/week/month end low).
Peak period-end unbooked loss. Shows the largest unbooked loss at the
end of any single day/week/month etc.
Peak period-end unbooked profit. Shows the largest unbooked profit at
the end of any single day/week/month etc.
Peak equity consecutive wins $. Shows the best cash value of
consecutive daily/weekly/etc gains in account equity.
Peak balance consecutive wins $. Shows the best cash value of
consecutive daily/weekly/etc gains in account balance.
Equity consecutive wins #. Shows the best number of consecutive daily/
weekly/etc gains in account equity (i.e. the best run of winning days/
weeks/etc, not their cash value).
Balance consecutive wins #. Shows the best number of consecutive daily/
weekly/etc gains in account balance (i.e. the best run of winning days/
weeks/etc, not their cash value).
Avg equity change $. Shows the average cash change in account equity
per day/week/month/etc.
Best equity change $. Shows the best single gain in account equity
over any single day/week/month/etc.
Worst equity change $. Shows the worst single loss in account equity
over any single day/week/month/etc.
Avg balance change $. Shows the average cash change in account balance
per day/week/month/etc.
Best balance change $. Shows the best single gain in account balance
over any single day/week/month/etc.
Worst balance change $. Shows the worst single loss in account balance
over any single day/week/month/etc.
Avg winning pips banked. Shows the average number of pips on closed
winning positions per day/week/month etc.
Avg winning pips banked. Shows the average number of pips on closed
losing positions per day/week/month etc.
Avg net pips banked. Shows the average net number of pips on closed
positions (i.e. winners minus losers) per day/week/month etc.
Balance stdev. Standard deviation of the cash changes in account
balance over each day/week/month etc.
Equity stdev. Standard deviation of the cash changes in account equity
over each day/week/month etc.
-----------
backspace
Sep 25, 2010, 5:59:22 AM9/25/10
to futures trading
> http://www.mt4i.com/mtidesktop.aspx
The Analysis tab shows a breakdown of your results by account, symbol,
EA (i.e. magic number) etc. The information it generates can also be
displayed in graphical form using the Analysis Chart tab.
You start by choosing how you want to analyse your results. The
available options are as follows:
By account
By symbol.
By from-currency (i.e. lumping together the results for EURUSD and
EURJPY).
By to-currency (i.e. lumping together the results for EURUSD and
AUDUSD).
By account and symbol (i.e. each combination of account and symbol).
By symbol and direction (i.e. separate long and short results for each
symbol).
By direction (i.e. long/short).
By lot size.
By magic number (i.e. per EA).
By magic number and direction.
By magic number and symbol.
By open/closed.
By day of week on which positions were opened.
By hour of day on which positions were opened.
By trade duration, in hours.
By trade duration, in days.
By the week in which positions were opened.
By the month in which positions were opened.
By the quarter in which positions were opened.
By the month in which positions were opened.
N.B. You can effectively create your own subsets of analysis, in
addition to those listed above, by using filtering. For example, you
can open two different windows each filtered so that it only shows the
results from a single EA (i.e. magic number). You can then use the
Analysis tab on each of them to break down the results by direction,
i.e. long/short, letting you compare the combination of EA strategy
and direction.
The statistics displayed in the analysis grid are as follows:
Balance gain/loss $. The change in account balance attributable to
each category.
Equity gain/loss $. The change in account equity attributable to each
category.
Deposits. Total deposits attributable to each category.
Withdrawals. Total withdrawals attributable to each category.
Total positions. Total number of positions opened.
Closed positions. Total number of positions opened and closed.
Still open. Number of positions still open (i.e. total positions minus
closed positions).
Winners. Number of positions closed or currently in profit.
Losers. Number of positions closed or currently in loss.
Winner %. Profitable positions as a percentage of all positions.
Loser %. Losing positions as a percentage of all positions.
Gross profit. Total profit on all winning positions (including both
open and closed positions).
Gross loss. Total loss on all losing positions (including both open
and closed positions).
Profit %. Gross profit as a percentage of gross profit plus gross
loss.
Loss %. Gross loss as a percentage of gross profit plus gross loss.
Profit factor. The Metatrader-style profit factor: gross profit
divided by gross loss.
Avg banked trade. The size of the average gain/loss for closed
positions.
Avg banked win. The size of the average closed winning position.
Avg banked loss. The size of the average closed losing position.
Peak day-end unbooked loss. The highest day-end unbooked loss
attributable to the category.
Peak day-end unbooked profit. The highest day-end unbooked profit
attributable to the category.
Peak balance drawdown. The largest fall from any day-end high in the
account balance for the category to a subsequent day-end low.
Peak equity drawdown. The largest fall from any day-end high in the
account equity for the category to a subsequent day-end low.
Peak consecutive losing days – equity. The largest number of
consecutive losing daily changes in account equity.
Peak consecutive daily losses – equity. The worst consecutive run of
daily losses in account equity. (The sequence giving rise to this
worst loss is not necessarily the same as the longest run in terms of
number of days.)
Peak consecutive losing days – balance. The largest number of
consecutive losing daily changes in account balance.
Peak consecutive daily losses – balance. The worst consecutive run of
daily losses in account balance. (The sequence giving rise to this
worst loss is not necessarily the same as the longest run in terms of
number of days.)
Average position duration (hours). The average duration, in hours, of
positions within the category.
Profitability per hour. Total profitability of positions in the
category divided by the total number of hours for which the positions
were/have been open.
Daily balance stdev. Standard deviation of the daily changes in
account balance.
Daily equity stdev. Standard deviation of the daily changes in account
equity.
Annualised Sharpe ratio. An annualised Sharpe ratio, based on daily
cash changes in account equity.
Long lots opened. Number of lots traded on all long positions.
Short lots opened. Number of lots traded on all short positions.
Total lots opened. Total number of lots traded, on all positions.
The Analysis tab shows a breakdown of your results by account, symbol,
EA (i.e. magic number) etc. The information it generates can also be
displayed in graphical form using the Analysis Chart tab.
You start by choosing how you want to analyse your results. The
available options are as follows:
By account
By symbol.
By from-currency (i.e. lumping together the results for EURUSD and
EURJPY).
By to-currency (i.e. lumping together the results for EURUSD and
AUDUSD).
By account and symbol (i.e. each combination of account and symbol).
By symbol and direction (i.e. separate long and short results for each
symbol).
By direction (i.e. long/short).
By lot size.
By magic number (i.e. per EA).
By magic number and direction.
By magic number and symbol.
By open/closed.
By day of week on which positions were opened.
By hour of day on which positions were opened.
By trade duration, in hours.
By trade duration, in days.
By the week in which positions were opened.
By the month in which positions were opened.
By the quarter in which positions were opened.
By the month in which positions were opened.
N.B. You can effectively create your own subsets of analysis, in
addition to those listed above, by using filtering. For example, you
can open two different windows each filtered so that it only shows the
results from a single EA (i.e. magic number). You can then use the
Analysis tab on each of them to break down the results by direction,
i.e. long/short, letting you compare the combination of EA strategy
and direction.
The statistics displayed in the analysis grid are as follows:
Balance gain/loss $. The change in account balance attributable to
each category.
Equity gain/loss $. The change in account equity attributable to each
category.
Deposits. Total deposits attributable to each category.
Withdrawals. Total withdrawals attributable to each category.
Total positions. Total number of positions opened.
Closed positions. Total number of positions opened and closed.
Still open. Number of positions still open (i.e. total positions minus
closed positions).
Winners. Number of positions closed or currently in profit.
Losers. Number of positions closed or currently in loss.
Winner %. Profitable positions as a percentage of all positions.
Loser %. Losing positions as a percentage of all positions.
Gross profit. Total profit on all winning positions (including both
open and closed positions).
Gross loss. Total loss on all losing positions (including both open
and closed positions).
Profit %. Gross profit as a percentage of gross profit plus gross
loss.
Loss %. Gross loss as a percentage of gross profit plus gross loss.
Profit factor. The Metatrader-style profit factor: gross profit
divided by gross loss.
positions.
Avg banked win. The size of the average closed winning position.
Avg banked loss. The size of the average closed losing position.
Peak day-end unbooked loss. The highest day-end unbooked loss
attributable to the category.
Peak day-end unbooked profit. The highest day-end unbooked profit
attributable to the category.
Peak balance drawdown. The largest fall from any day-end high in the
account balance for the category to a subsequent day-end low.
Peak equity drawdown. The largest fall from any day-end high in the
account equity for the category to a subsequent day-end low.
Peak consecutive losing days – equity. The largest number of
consecutive losing daily changes in account equity.
Peak consecutive daily losses – equity. The worst consecutive run of
daily losses in account equity. (The sequence giving rise to this
worst loss is not necessarily the same as the longest run in terms of
number of days.)
Peak consecutive losing days – balance. The largest number of
consecutive losing daily changes in account balance.
Peak consecutive daily losses – balance. The worst consecutive run of
daily losses in account balance. (The sequence giving rise to this
worst loss is not necessarily the same as the longest run in terms of
number of days.)
Average position duration (hours). The average duration, in hours, of
positions within the category.
Profitability per hour. Total profitability of positions in the
category divided by the total number of hours for which the positions
were/have been open.
Daily balance stdev. Standard deviation of the daily changes in
account balance.
Daily equity stdev. Standard deviation of the daily changes in account
equity.
Annualised Sharpe ratio. An annualised Sharpe ratio, based on daily
cash changes in account equity.
Long lots opened. Number of lots traded on all long positions.
Short lots opened. Number of lots traded on all short positions.
Total lots opened. Total number of lots traded, on all positions.
backspace
Oct 8, 2010, 3:19:31 AM10/8/10
to futures trading
http://www.forexfactory.com/showthread.php?t=219576&page=3 ''DLL
integration ,python and pascal''
integration ,python and pascal''
backspace
Oct 16, 2010, 3:59:38 PM10/16/10
to futures trading
On Oct 8, 10:19 am, backspace <stephan...@gmail.com> wrote:
> http://www.forexfactory.com/showthread.php?t=219576&page=3 ''DLL
> integration ,python and pascal''
http://www.forexfactory.com/showthread.php?t=242522&page=2
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