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标题: 【OptimalF】 [打印本页]
作者: 龙听    时间: 2022-11-2 14:30     标题: 【OptimalF】

  1. input: theData(Numeric), watchDays(Numeric), isOnStrategy(TrueFalse);
  2. array: DATAs[](0), DATAsCopy[](0), HPRs[](1), Geo_Mean[101](1);
  3. var: maxLoss(0), maxMeans(0), j(0), k(0), temp(1);
  4. var: MP(0), passDays(0), isHasTraded(false);


  7. once begin
  8.   array_setmaxindex( DATAs, watchDays+1 );
  9.   array_setmaxindex( DATAsCopy, watchDays+1 );
  10.   array_setmaxindex( HPRs, watchDays+1 );
  11. end;



  15. MP= i_MarketPosition;
  16. if MP<>MP[1] then isHasTraded= true;

  18. if isOnStrategy= true then
  19.   begin
  20.     if isHasTraded and sessionlastbar then
  21.       begin
  22.         _arrayShift( DATAs );
  23.         DATAs[1]= theData;
  24.         passDays= passDays + 1;
  25.       end;
  26.   end
  27. else
  28.   begin
  29.     _arrayShift( DATAs );
  30.     DATAs[1]= theData;
  31.     passDays= passDays + 1;
  32.   end;


  35. if watchDays > 0 and passDays > watchDays then begin
  36.   
  37.   array_copy( DATAs, 1, DATAsCopy, 1, watchDays );
  38.   maxLoss= minlist( Lowest_a( DATAsCopy, watchDays ), -1 );

  40.   for k= 0 to 99 begin

  42.     temp= 1;
  43.     for j=1 to watchDays begin
  44.       HPRs[j]= 1 + k/100 * ( -DATAsCopy[j] / maxLoss );
  45.       temp= temp * HPRs[j];
  46.     end;
  47.   
  48.     Geo_Mean[k]= power( temp, 1/watchDays );

  50.   end;


  53.   maxMeans= 0;
  54.   _OptimalF=0;

  56.   for k=0 to 99 begin
  57.     if Geo_Mean[k] > maxMeans then begin
  58.       maxMeans= Geo_Mean[k];
  59.       _OptimalF= k;
  60.     end;
  61.   end;
  62.   
  63. end;
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