201202131339Real-World Index

if (StrategyPerformance.TotalTrades> 500 ) {
return StrategyPerformance.ReturnOnAccount*StrategyPerformance.ProfitFactor/(StrategyPerformance.AvgBarsInWinningTrades+StrategyPerformance.AvgBarsInLosingTrades)*(Math.sqrt(StrategyPerformance.MaxConsecWinners/StrategyPerformance.MaxConsecLosers));
}
結合了 ROA/PF/TIM/Underwater 的目標函數

風險報酬比 StrategyPerformance.ReturnOnAccount
獲利因子StrategyPerformance.ProfitFactor
在倉時間 (StrategyPerformance.AvgBarsInWinningTrades+StrategyPerformance.AvgBarsInLosingTrades)
可交易程度 Power((StrategyPerformance.MaxConsecWinners/StrategyPerformance.MaxConsecLosers),0.5)
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