gryps2/UI-code/T-056_バックテスト時csv出力.txt

<EFBFBD><EFBFBD>// <00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>S<EFBFBD>_
double InitialBalance;


int OnInit()
{
//+------------------------------------------------------------------+
// Rg<<3C><>bё<62>S<EFBFBD>_
   if(IsTesting() || IsOptimization())
   {
      InitialBalance = AccountBalance();
   }
//+------------------------------------------------------------------+
}


//+------------------------------------------------------------------+
double OnTester()
{
    // <00><>zv<7A>0<EFBFBD>0<EFBFBD>0 Development = true g0
0BTBfn0<6E>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>Q<EFBFBD>Rh0
0return<00>Q<05><>v<EFBFBD>0OnTesterkh<6B>:y
    if (Development && IsOptimization())
    {
       string filename = "BacktestResults.csv";
       int filehandle = FileOpen(filename, FILE_CSV|FILE_WRITE|FILE_READ, ",");
       // CSV<00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>fM0<4D><30><EFBFBD>0
       if (FileTell(filehandle) == 0)
       {
          FileWrite(filehandle, "
d<>v", "<00>}<7D>S_pe", "PF", "g<>_)R<>_", "DD$", "DD%",
                    "RF", "<00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0", "<00>R<EFBFBD>s", "RRR", "<00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>01", "<00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>02");
       }
      
       // <00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0n0P}<7D>gK0<4B>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>S<EFBFBD>_
       double totalProfit = NormalizeDouble(TesterStatistics(STAT_PROFIT), 2);
       int    totalTrades = (int)TesterStatistics(STAT_TRADES);
       double PF          = NormalizeDouble(TesterStatistics(STAT_PROFIT_FACTOR), 2);
       double ExPayoff    = NormalizeDouble(TesterStatistics(STAT_EXPECTED_PAYOFF), 2);
       double DDAmount    = NormalizeDouble(TesterStatistics(STAT_EQUITY_DD), 2);
       double DDPer       = NormalizeDouble(TesterStatistics(STAT_EQUITYDD_PERCENT), 2);
       double RF          = NormalizeDouble(TesterStatistics(STAT_PROFIT) / TesterStatistics(STAT_EQUITY_DD), 2);
       double Sharpre     = NormalizeDouble(SharpeRatio(InitialBalance), 2);
       double WinPercent  = NormalizeDouble(100*TesterStatistics(STAT_PROFIT_TRADES) / TesterStatistics(STAT_TRADES), 2);
       double RRRatio     = NormalizeDouble((TesterStatistics(STAT_GROSS_PROFIT) / TesterStatistics(STAT_PROFIT_TRADES))/
                                            (-TesterStatistics(STAT_GROSS_LOSS) / TesterStatistics(STAT_LOSS_TRADES)), 2);
       
       // eQ<65>R<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0n0<6E>S<EFBFBD>_
       int parameters1 = MA_TF;
       int parameters2 = MA_Period;
       
       // P}<7D>g<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0k0<6B>fM0<4D><30><EFBFBD>0
       for(int i = 0; i < 5000; i++)
       {
          FileClose(filehandle); // <00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0L0<4C><30>M0c0q0j0W0g0<67><30>Q0j0D0<44>0<EFBFBD>0<EFBFBD>0<EFBFBD>02<30>P0
          filehandle = FileOpen(filename, FILE_READ|FILE_WRITE|FILE_CSV, ',');// <00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0(csv)
01YWe;b<>0$Po0-1
         
          if (filehandle != INVALID_HANDLE)
          {
             FileSeek(filehandle, 0, SEEK_END); // <00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0n0+g>\k0<6B>y<EFBFBD>R
             FileWrite(filehandle, totalProfit, totalTrades, PF, ExPayoff, DDAmount, DDPer,
                       RF, Sharpre, WinPercent, RRRatio, parameters1, parameters2);
             FileClose(filehandle);
             break;
          }
          if (filehandle == -1) Print("Error=", GetLastError(), "  <00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0n0<6E>fM0<4D><30>0k01YWeW0~0W0_0");
       }
       
       // <00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
       return(NormalizeDouble(SharpeRatio(InitialBalance), 2));
       // <00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0
       //return(NormalizeDouble(TesterStatistics(STAT_PROFIT) / TesterStatistics(STAT_EQUITY_DD), 2));      
       // <00>R<EFBFBD>s
       // return(NormalizeDouble(100*TesterStatistics(STAT_PROFIT_TRADES) / TesterStatistics(STAT_TRADES), 2));
    }
    
    return(0);
}
//+------------------------------------------------------------------+


//+------------------------------------------------------------------+
//| <00>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<EFBFBD>0<08><>{                                               |
//+------------------------------------------------------------------+
double SharpeRatio(double Balance)
{   
   int i;
   int CalcMonth = 0;
   int TradeMonths = 0;
   double MonthlyProfit[];

   for(i = 0; i < OrdersHistoryTotal(); i++){
      if(OrderSelect(i, SELECT_BY_POS, MODE_HISTORY) == false) break;

      int CloseMonth = TimeMonth(OrderCloseTime());
      if(CalcMonth != CloseMonth){
         CalcMonth = CloseMonth;
         TradeMonths++;
         ArrayResize(MonthlyProfit, TradeMonths);
      }
      MonthlyProfit[TradeMonths - 1] += OrderProfit();
   }

   double MonthlyEarningRate[];   
   ArrayResize(MonthlyEarningRate, ArraySize(MonthlyProfit));
   double SumMER = 0;

   for(i = 0; i < ArraySize(MonthlyProfit); i++){
      MonthlyEarningRate[i] = MonthlyProfit[i] / Balance;
      SumMER += MonthlyEarningRate[i];
      Balance += MonthlyProfit[i];
   }

   double MER_Average = SumMER / TradeMonths;
   double MER_SD = iStdDevOnArray(MonthlyEarningRate, 0, TradeMonths, 0, 0, 0);
   double SR = 1;
   if(MER_SD != 0) SR = MER_Average / MER_SD; // <00>0<EFBFBD>0rR<72>0<EFBFBD>V<56>

   return SR;
}
//+------------------------------------------------------------------+