266 lines
20 KiB
MQL5
266 lines
20 KiB
MQL5
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//+------------------------------------------------------------------+
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//| DBQuotesIntradayBackAndForward.mq5 |
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//| Copyright 2022, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property description "Display profit estimation on backtest and forward tests performed on quotes groupped by LAGs at intraday time and day of week.\nUse DBquotesImport.mq5 to generate and populate the database beforehand."
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#property script_show_inputs
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#include "..\..\Include\DBSQLite.mqh"
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#include "..\..\Include\Periods.mqh"
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//+------------------------------------------------------------------+
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//| Inputs |
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//+------------------------------------------------------------------+
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input string Database = "MQL5Book/DB/Quotes";
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input datetime BacktestStart = D'2015.01.01';
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input datetime ForwardStart = D'2021.01.01';
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const string Table = "MqlRatesDB";
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#resource "DBQuotesIntradayBackAndForward.sql" as string sql1
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/*
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Copy & paste example for SQL query in MetaEditor DB viewer
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SELECT * FROM
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(
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SELECT
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AVG(product) / STDDEV(product) AS objective,
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SUM(estimate) AS backtest_profit,
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SUM(CASE WHEN estimate >= 0 THEN estimate ELSE 0 END) / SUM(CASE WHEN estimate < 0 THEN -estimate ELSE 0 END) AS backtest_PF,
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intraday, day
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FROM
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(
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SELECT
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time,
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TIME(time, 'unixepoch') AS intraday,
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STRFTIME('%w', time, 'unixepoch') AS day,
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(LAG(open,-1) OVER (ORDER BY time) - open) * (open - LAG(open) OVER (ORDER BY time)) AS product,
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(LAG(open,-1) OVER (ORDER BY time) - open) * SIGN(open - LAG(open) OVER (ORDER BY time)) AS estimate
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FROM MqlRatesDB
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WHERE (time >= STRFTIME('%s', '2015-01-01') AND time < STRFTIME('%s', '2021-01-01'))
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)
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GROUP BY intraday, day
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) backtest
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JOIN
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(
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SELECT
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AVG(product) / STDDEV(product) AS objective2,
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SUM(estimate) AS forward_profit,
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SUM(CASE WHEN estimate >= 0 THEN estimate ELSE 0 END) / SUM(CASE WHEN estimate < 0 THEN -estimate ELSE 0 END) AS forward_PF,
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intraday, day
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FROM
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(
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SELECT
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time,
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TIME(time, 'unixepoch') AS intraday,
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STRFTIME('%w', time, 'unixepoch') AS day,
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(LAG(open,-1) OVER (ORDER BY time) - open) * (open - LAG(open) OVER (ORDER BY time)) AS product,
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(LAG(open,-1) OVER (ORDER BY time) - open) * SIGN(open - LAG(open) OVER (ORDER BY time)) AS estimate
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FROM MqlRatesDB
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WHERE (time >= STRFTIME('%s', '2021-01-01'))
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)
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GROUP BY intraday, day
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) forward
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USING(intraday, day)
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ORDER BY objective DESC
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*/
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//+------------------------------------------------------------------+
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//| Script program start function |
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//+------------------------------------------------------------------+
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void OnStart()
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{
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Print("");
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DBSQLite db(Database + _Symbol + PeriodToString());
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if(!PRTF(db.isOpen())) return;
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if(!PRTF(db.hasTable(Table))) return;
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// custom "preparation" of SQL-query for formatting
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string sqlrep = sql1;
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// single percent sign would be consumed by StringFormat,
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// we need to preserve it 'as is' for proper SQL execution
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StringReplace(sqlrep, "%", "%%");
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StringReplace(sqlrep, "?1", "%ld");
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StringReplace(sqlrep, "?2", "%ld");
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// actual parameter substitution
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const string sqlfmt = StringFormat(sqlrep, BacktestStart, ForwardStart, ForwardStart);
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Print(sqlfmt);
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// SQL-query execution and print out
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DatabasePrint(db.getHandle(), sqlfmt, 0);
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}
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//+------------------------------------------------------------------+
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/*
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db.isOpen()=true / ok
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db.hasTable(Table)=true / ok
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SELECT * FROM
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(
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SELECT
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AVG(product) / STDDEV(product) AS objective,
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SUM(estimate) AS backtest_profit,
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SUM(CASE WHEN estimate >= 0 THEN estimate ELSE 0 END) / SUM(CASE WHEN estimate < 0 THEN -estimate ELSE 0 END) AS backtest_PF,
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intraday, day
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FROM
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(
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SELECT
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time,
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TIME(time, 'unixepoch') AS intraday,
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STRFTIME('%w', time, 'unixepoch') AS day,
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(LAG(open,-1) OVER (ORDER BY time) - open) * (open - LAG(open) OVER (ORDER BY time)) AS product,
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(LAG(open,-1) OVER (ORDER BY time) - open) * SIGN(open - LAG(open) OVER (ORDER BY time)) AS estimate
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FROM MqlRatesDB
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WHERE (time >= 1420070400 AND time < 1609459200)
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)
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GROUP BY intraday, day
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) backtest
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JOIN
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(
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SELECT
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SUM(estimate) AS forward_profit,
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SUM(CASE WHEN estimate >= 0 THEN estimate ELSE 0 END) / SUM(CASE WHEN estimate < 0 THEN -estimate ELSE 0 END) AS forward_PF,
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intraday, day
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FROM
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(
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SELECT
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time,
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TIME(time, 'unixepoch') AS intraday,
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STRFTIME('%w', time, 'unixepoch') AS day,
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(LAG(open,-1) OVER (ORDER BY time) - open) * SIGN(open - LAG(open) OVER (ORDER BY time)) AS estimate
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FROM MqlRatesDB
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WHERE (time >= 1609459200)
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)
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GROUP BY intraday, day
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) forward
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USING(intraday, day)
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ORDER BY objective DESC
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#| objective backtest_profit backtest_PF intraday day forward_profit forward_PF
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---+-------------------------------------------------------------------------------------------------------------------
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1| 0.16713214428916 0.073200000000001 1.46040631486258 16:00:00 5 0.00492000000000048 1.12852664576804
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2| 0.118128291843983 0.0433099999999995 1.33678071539657 20:00:00 3 0.00788000000000055 1.277856135402
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3| 0.103701251751617 0.00929999999999853 1.14148790506616 05:00:00 2 0.00221000000000082 1.12149532710285
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4| 0.102930330078208 0.0164399999999973 1.1932071923845 08:00:00 4 0.00140999999999969 1.07253086419751
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5| 0.089531492651001 0.0064300000000006 1.10167615433271 07:00:00 2 -0.00911999999999869 0.561749159058204
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6| 0.0827628326995007 -8.99999999970369e-05 0.999601152226913 17:00:00 4 0.00907000000000091 1.18809622563254
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7| 0.0823433025146974 0.0159700000000012 1.21665988332657 21:00:00 1 0.0025099999999999 1.12131464475591
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8| 0.0767938336191962 0.00522999999999874 1.04226945769012 13:00:00 1 -0.00849000000000055 0.753913043478245
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9| 0.0657741522256548 0.0162299999999986 1.09699976093712 15:00:00 2 0.0142399999999997 1.34979120609187
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10| 0.0635243373432768 0.00932000000000044 1.08294766820933 22:00:00 3 -0.0045699999999993 0.828967065868293
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11| 0.0623455237646223 0.0154000000000003 1.10044351682755 15:00:00 1 -0.020020000000001 0.568534482758611
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12| 0.0611311003782229 0.0191399999999957 1.10094404303568 17:00:00 3 -0.00448999999999944 0.932389700346342
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13| 0.0603091366315941 0.0277700000000005 1.41929639136343 05:00:00 5 -0.0029899999999996 0.837852494577024
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14| 0.0585389379786665 0.00334999999999996 1.03894443152755 04:00:00 3 0.00153999999999987 1.07519531249999
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15| 0.057377314038757 0.0193600000000012 1.23684854416444 04:00:00 4 -0.0151399999999986 0.514588008977275
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16| 0.0573063422330552 0.0117299999999985 1.08600337268127 12:00:00 4 -0.00972999999999979 0.750640697078428
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17| 0.0572803333187238 0.0144899999999994 1.28108632395731 06:00:00 5 0.000499999999999945 1.03192848020434
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18| 0.0543313045372004 0.0231100000000006 1.13573358393046 10:00:00 2 0.019229999999998 1.42106415590097
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19| 0.0522234308193375 0.00711999999999868 1.08198986642099 08:00:00 3 -0.0075500000000005 0.705423332032761
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20| 0.0509042604023954 0.0146599999999975 1.09737628694784 11:00:00 4 0.00931000000000037 1.28349573690623
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21| 0.050544127390581 0.0134200000000027 1.11372881355935 12:00:00 2 0.00378999999999963 1.1078849985767
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22| 0.0505094536724595 0.0120799999999981 1.175555878506 05:00:00 3 0.00445000000000073 1.29845741113353
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23| 0.0492348110892364 -0.00231000000000092 0.962711864406766 06:00:00 3 -0.00483999999999896 0.698066126013787
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24| 0.0479673290683895 0.00780000000000114 1.12751348700346 02:00:00 2 0.00957000000000052 1.93639921722122
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25| 0.0462716009204473 0.0299700000000018 1.18895403820693 16:00:00 1 -0.019829999999999 0.647278548559248
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26| 0.0458139381349133 0.00218999999999991 1.01262466132472 21:00:00 3 0.0115300000000005 1.27354685646502
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27| 0.0408907469745224 0.000309999999998034 1.0049871299871 07:00:00 3 0.000669999999999837 1.0384394721744
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28| 0.0393633749488827 -0.00718000000000019 0.924221635883902 03:00:00 5 -0.00324999999999998 0.879718726868986
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29| 0.0369741494098486 -0.0319400000000005 0.870173156653929 16:00:00 4 -0.0142600000000006 0.778192564940107
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30| 0.0353247937148132 0.0161000000000002 1.08557457212714 16:00:00 3 -0.0183900000000006 0.674109516214764
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31| 0.0321292435692497 0.00850000000000062 1.06220270764728 13:00:00 4 0.0109700000000008 1.40212609970678
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32| 0.0305136698247891 0.0232900000000011 1.20561490244549 21:00:00 4 -0.010350000000001 0.639874739039643
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33| 0.0289062786935775 0.0255699999999999 1.21062602965404 13:00:00 2 0.0141600000000007 1.5627980922099
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34| 0.0271064989563544 -0.0347399999999973 0.778344924392285 09:00:00 3 -0.0066799999999998 0.820478366030643
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35| 0.0266151766395079 -0.0027100000000011 0.981655723278947 11:00:00 5 0.0109199999999983 1.37956204379554
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36| 0.0257887732684008 0.00848999999999878 1.0626892121391 09:00:00 5 -1.00000000000655e-05 0.999681933842237
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37| 0.0245688226705506 0.00143000000000026 1.02301255230126 07:00:00 5 -0.0033999999999994 0.803126809496275
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38| 0.0239247828463491 -0.0229999999999997 0.842541247347165 13:00:00 5 0.00840999999999936 1.29939480242076
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39| 0.0214966998043054 -0.0251300000000025 0.869914069779468 15:00:00 3 -0.00419000000000047 0.929991645781112
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40| 0.0208336620016311 0.00290999999999753 1.02191430077564 12:00:00 1 -0.01241 0.723423222643192
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41| 0.0206033857840952 -0.00157000000000052 0.991458571350849 16:00:00 2 -0.0195599999999984 0.641429880843286
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42| 0.0198926317510929 -0.000850000000000684 0.988288784789189 02:00:00 4 -0.00311999999999912 0.854748603351994
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43| 0.0182102258283443 -0.00463000000000169 0.960376551133918 19:00:00 1 -0.00382999999999944 0.883657351154331
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44| 0.0161172998833366 0.0147599999999994 1.17186772240335 04:00:00 2 0.00600999999999941 1.31765327695558
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45| 0.0149682763181311 -0.0395100000000017 0.84912937223155 15:00:00 4 -0.0263600000000002 0.619295205083764
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46| 0.0145351167678307 0.00109999999999699 1.00680608835538 10:00:00 3 -0.0100600000000002 0.775346136668152
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47| 0.0115935896337062 -0.00084000000000084 0.98976109215016 23:00:00 3 -0.00368000000000013 0.800650054171171
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48| 0.0101605494765125 -0.0217299999999982 0.886224409654964 14:00:00 4 0.00175999999999976 1.04548979064357
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49| 0.00958770083330551 0.00705999999999918 1.13908589440503 01:00:00 3 -0.00507999999999986 0.693236714975862
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50| 0.00608558150441834 0.00773000000000157 1.13345994475141 07:00:00 1 -0.00625999999999949 0.681100356597068
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51| 0.00492752747188311 0.0188500000000016 1.24222564893346 04:00:00 1 0.00463000000000058 1.19037828947371
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52| 0.00119434960576392 0.0206499999999974 1.18782972530469 19:00:00 5 -0.0048499999999978 0.834527465029073
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53| -0.000838154722261324 0.0116900000000013 1.05888575458393 10:00:00 4 0.00574999999999859 1.13026733121882
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54| -0.00202838775890642 -0.00484999999999958 0.923969274180913 07:00:00 4 -0.00330000000000008 0.83128834355828
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55| -0.00211381131508719 0.0123100000000016 1.06296353127718 17:00:00 2 -0.00424999999999975 0.922289266776381
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56| -0.00295885735463623 0.0110399999999997 1.19031201516979 01:00:00 4 -0.000290000000001012 0.980218281036766
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57| -0.00300915367363466 -0.0132099999999999 0.872305461575641 21:00:00 2 0.00117000000000056 1.05058365758757
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58| -0.00442017218158207 0.012690000000003 1.09391651865011 14:00:00 2 -0.00929000000000046 0.757060669456058
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59| -0.00454035248777325 0.00692999999999855 1.04569130348783 09:00:00 2 -0.00823999999999925 0.812129502963995
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60| -0.00597400371437388 -0.00529000000000268 0.964899475814461 18:00:00 5 0.000800000000001244 1.02171552660155
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61| -0.00739364354810872 -0.0152200000000016 0.881951446521357 14:00:00 1 -0.00385999999999975 0.899792315680172
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62| -0.00901765750534236 -0.0267299999999984 0.774316109422505 22:00:00 5 0.00232000000000032 1.11611611611614
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63| -0.00930357306364694 -0.0085399999999991 0.86239123428941 23:00:00 1 0.00185999999999886 1.1510966693744
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64| -0.00943902403661846 -0.0468 0.747545582047685 23:00:00 5 -0.0334499999999986 0.3552428681573
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65| -0.0154584740504693 0.00992000000000326 1.09304943251105 03:00:00 1 -0.00683000000000078 0.78945745992599
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66| -0.0157180125534758 -0.00272999999999612 0.978291984732855 12:00:00 3 -0.00719999999999976 0.771718452758407
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67| -0.0170471590021677 -0.0230099999999998 0.695070235886563 23:00:00 2 -0.00379999999999892 0.755627009646364
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68| -0.0183799552509626 -0.0104800000000005 0.921456943715802 13:00:00 3 0.00522000000000056 1.15086705202314
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69| -0.0209693895581613 0.00687999999999778 1.05500919485086 14:00:00 3 -0.000919999999999366 0.971250000000019
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70| -0.0211148080619913 0.00145000000000417 1.01785934228358 22:00:00 2 0.00246000000000068 1.1538461538462
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71| -0.022375359030735 -0.0162200000000015 0.798007471980061 02:00:00 5 -0.00108999999999981 0.939712389380541
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72| -0.0276963976069807 -0.00566999999999873 0.931405758528929 03:00:00 2 -0.000949999999998896 0.964150943396268
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73| -0.0297160844533128 -0.0166299999999993 0.886158269441406 20:00:00 4 0.00743000000000027 1.30117551682206
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74| -0.0301792471418656 0.011540000000001 1.08227577356339 09:00:00 1 0.00107999999999997 1.03134978229318
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75| -0.0332789718520231 -0.00461000000000089 0.92851604899983 01:00:00 5 -0.0025400000000011 0.822625698323958
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76| -0.033767151799259 -0.00590000000000157 0.895036470378908 01:00:00 2 7.0000000002457e-05 1.00585284280957
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77| -0.0351809058498753 -0.0296499999999968 0.679494108745024 04:00:00 5 -0.00198999999999927 0.911239964317603
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78| -0.0358166251670762 -0.0191800000000029 0.743102062684134 05:00:00 1 -0.000670000000001503 0.968003820439281
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79| -0.038052881227643 -0.0114300000000001 0.838399547575284 23:00:00 4 -0.00961000000000034 0.568089887640445
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80| -0.038397862746323 -0.0167500000000012 0.889875082182767 11:00:00 3 0.0152699999999998 1.46063348416289
|
||
|
|
81| -0.039724911138701 -0.00453999999999999 0.940513626834382 22:00:00 1 -0.0185900000000001 0.387882779058273
|
||
|
|
82| -0.0408406951795748 -0.0580999999999992 0.804961562993053 15:00:00 5 0.0119299999999998 1.21163739577789
|
||
|
|
83| -0.0443689865111622 -0.0186799999999998 0.78261375538229 05:00:00 4 -0.00776999999999961 0.738823529411779
|
||
|
|
84| -0.0448716595913865 0.00143999999999878 1.01407074457689 20:00:00 5 0.00618000000000096 1.23180795198804
|
||
|
|
85| -0.044984167587657 -0.0308200000000005 0.776666666666663 20:00:00 2 -0.00129000000000079 0.945454545454513
|
||
|
|
86| -0.0463706489926068 -0.00487999999999933 0.979101537407394 17:00:00 5 0.013159999999999 1.2471825694966
|
||
|
|
87| -0.0519635249552873 -0.0152199999999982 0.861837327523617 20:00:00 1 -0.00120999999999971 0.946436476316967
|
||
|
|
88| -0.0525362253765298 -0.0242299999999984 0.851468154232828 18:00:00 2 -0.01322 0.725896744764672
|
||
|
|
89| -0.0532284987864957 -0.0200199999999997 0.864802809292276 18:00:00 1 -0.0088199999999995 0.764862703279134
|
||
|
|
90| -0.0533104397953623 0.00575000000000125 1.06522972206468 01:00:00 1 0.0186700000000004 2.24466666666674
|
||
|
|
91| -0.0553214020292255 -3.00000000008627e-05 0.999647556390967 08:00:00 1 -0.00504000000000038 0.7618147448015
|
||
|
|
92| -0.0587282865228479 -0.00770000000000004 0.947321611821851 11:00:00 1 -0.0224199999999999 0.560994713138833
|
||
|
|
93| -0.0606411180940267 -0.0611000000000004 0.647594878301995 09:00:00 4 -0.000249999999998973 0.993981704381344
|
||
|
|
94| -0.0606727956038308 -0.047079999999998 0.697778918988326 18:00:00 3 -0.01135 0.739857895943161
|
||
|
|
95| -0.0658053715209465 -0.0170099999999997 0.90405009025271 18:00:00 4 0.01947 1.52721364744111
|
||
|
|
96| -0.0660313886783148 -0.00735000000000152 0.958920187793419 17:00:00 1 0.0168900000000005 1.51212856276532
|
||
|
|
97| -0.0663811860556746 -0.014619999999999 0.92068572668584 11:00:00 2 0.00511000000000006 1.12865055387714
|
||
|
|
98| -0.066476045086213 -0.0240500000000008 0.654900272635954 00:00:00 4 -0.00852999999999948 0.345356868764446
|
||
|
|
99| -0.0666325857658802 -0.0165500000000016 0.915776081424929 10:00:00 1 0.000679999999998904 1.0144037280237
|
||
|
|
100| -0.0691986027849773 -0.0189199999999987 0.760506329113941 02:00:00 3 -0.00666000000000067 0.619428571428557
|
||
|
|
101| -0.0697287093075506 -0.00283999999999929 0.952563888424931 06:00:00 1 -0.00201000000000051 0.887142055025236
|
||
|
|
102| -0.0698406627783849 -0.0243999999999995 0.873823559830388 10:00:00 5 -0.00396999999999958 0.919878910191734
|
||
|
|
103| -0.0700099737151066 0.00629999999999775 1.07211538461536 03:00:00 3 0.000419999999998866 1.02045786653672
|
||
|
|
104| -0.0734717138519144 -0.00658999999999721 0.951040118870748 19:00:00 2 0.00441999999999831 1.15552427867693
|
||
|
|
105| -0.0750612413078805 -0.00437000000000043 0.95588532202705 03:00:00 4 -0.00525000000000064 0.817136886102382
|
||
|
|
106| -0.0759898392818295 -0.00520000000000231 0.919728311207127 06:00:00 2 -0.00207000000000002 0.890069038767926
|
||
|
|
107| -0.0775250903401206 -0.0100600000000002 0.923730098559513 14:00:00 5 0.00632999999999839 1.14911660777381
|
||
|
|
108| -0.0800435048271025 -0.0124500000000001 0.905688962957352 19:00:00 3 0.00657999999999914 1.26028481012654
|
||
|
|
109| -0.0804303804315245 -0.0245099999999987 0.764440172993765 08:00:00 5 -0.00529000000000091 0.786865431103914
|
||
|
|
110| -0.0814131025461459 -0.0189100000000015 0.820605255668329 21:00:00 5 -0.0018800000000001 0.918579471632738
|
||
|
|
111| -0.0899571263478305 -0.0321900000000028 0.721250432975386 22:00:00 4 0.00919000000000092 1.44938875305629
|
||
|
|
112| -0.0909772560603298 -0.0226100000000016 0.851161872161138 19:00:00 4 0.00591999999999948 1.16403435854806
|
||
|
|
113| -0.0961794181717023 -0.00846999999999931 0.936377976414036 12:00:00 5 0.00716999999999968 1.26206140350876
|
||
|
|
114| -0.108868074018582 -0.0246099999999998 0.634920634920637 00:00:00 5 -0.00812999999999997 0.409586056644885
|
||
|
|
115| -0.109368419185336 -0.0250700000000013 0.744496534855268 08:00:00 2 -0.00333999999999979 0.845441925034718
|
||
|
|
116| -0.121893581607986 -0.0234599999999998 0.610945273631843 00:00:00 3 -0.00710000000000099 0.408333333333295
|
||
|
|
117| -0.135416609546408 -0.0898899999999971 0.343437294573087 00:00:00 1 -0.0282299999999989 0.126276694521833
|
||
|
|
118| -0.142128458003631 -0.0255200000000018 0.681835182645536 06:00:00 4 -0.000400000000000178 0.975874547647758
|
||
|
|
119| -0.142196924506816 -0.0205700000000004 0.629769618430515 00:00:00 2 -0.00465999999999966 0.507919746568069
|
||
|
|
120| -0.15200009633513 -0.0301499999999988 0.708864426419475 02:00:00 1 0.00109000000000137 1.06385471587589
|
||
|
|
|
||
|
|
*/
|
||
|
|
//+------------------------------------------------------------------+
|