// シャープレシオ取得
double InitialBalance;


int OnInit()
{
//+------------------------------------------------------------------+
// 初期証拠金取得
   if(IsTesting() || IsOptimization())
   {
      InitialBalance = AccountBalance();
   }
//+------------------------------------------------------------------+
}


//+------------------------------------------------------------------+
double OnTester()
{
    // 開発モード Development = true で、BT時のファイル出力と、return内項目をOnTester欄表示
    if (Development && IsOptimization())
    {
       string filename = "BacktestResults.csv";
       int filehandle = FileOpen(filename, FILE_CSV|FILE_WRITE|FILE_READ, ",");
       // CSVヘッダーを書き込む
       if (FileTell(filehandle) == 0)
       {
          FileWrite(filehandle, "損益", "総取引数", "PF", "期待利得", "DD$", "DD%",
                    "RF", "シャープレシオ", "勝率", "RRR", "パラメータ1", "パラメータ2");
       }
      
       // バックテストの結果からデータを取得
       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);
       
       // 入力パラメータの取得
       int parameters1 = MA_TF;
       int parameters2 = MA_Period;
       
       // 結果をファイルに書き込む
       for(int i = 0; i < 5000; i++)
       {
          FileClose(filehandle); // ファイルが開きっぱなしで開けないエラーを防ぐ
          filehandle = FileOpen(filename, FILE_READ|FILE_WRITE|FILE_CSV, ',');// ファイルオープン(csv)、失敗戻り値は-1
         
          if (filehandle != INVALID_HANDLE)
          {
             FileSeek(filehandle, 0, SEEK_END); // ファイルの末尾に移動
             FileWrite(filehandle, totalProfit, totalTrades, PF, ExPayoff, DDAmount, DDPer,
                       RF, Sharpre, WinPercent, RRRatio, parameters1, parameters2);
             FileClose(filehandle);
             break;
          }
          if (filehandle == -1) Print("Error=", GetLastError(), "  ファイルの書き込みに失敗しました");
       }
       
       // シャープレシオ
       return(NormalizeDouble(SharpeRatio(InitialBalance), 2));
       // リカバリーファクター
       //return(NormalizeDouble(TesterStatistics(STAT_PROFIT) / TesterStatistics(STAT_EQUITY_DD), 2));      
       // 勝率
       // return(NormalizeDouble(100*TesterStatistics(STAT_PROFIT_TRADES) / TesterStatistics(STAT_TRADES), 2));
    }
    
    return(0);
}
//+------------------------------------------------------------------+


//+------------------------------------------------------------------+
//| シャープレシオ計算                                               |
//+------------------------------------------------------------------+
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; // ゼロ割を回避

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