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public:research:gatrade [2015-02-07 14:21] – [Výstupne stratégie] mjakubikpublic:research:gatrade [2015-02-10 06:31] – [Kombinácia základných parametrov] mjakubik
Line 153: Line 153:
 Vysledny vztah profit = (10*zisk_v_pipsoch ) / (kurz EUR/USD) Vysledny vztah profit = (10*zisk_v_pipsoch ) / (kurz EUR/USD)
 ==Vývoj pri pouziti brute-force== ==Vývoj pri pouziti brute-force==
-Testovane pre Profit-target 10..85 pispov (testy stale bezia, postupne budem updatovat vysledky) Stop-loss 10..200 pipsov.+Testovane pre Profit-target 10..150 pispov Stop-loss 10..200 pipsov.
  
-{{:public:research:gatrade:bruteforce_t85_s195.png?direct&300|}} +  * 1. obrazok zachytava perspektivu z pohladu Target-profit (os vpravo) aj Stop-loss (os vlavo) 
-{{:public:research:gatrade:bruteforce_t85_s195_profit.png?direct&300|}}+  * 2. obrazok zachytava zisk podla Target-profitu. 
 +  * 3. obrazok zachytava zisk podla Stop-lossu.
  
-==Vývoj evolucie po 255 generaciach==+{{:public:research:gatrade:bruteforce_t150_s200.png?direct&300|}}{{:public:research:gatrade:bruteforce_t150_s200_fromtp_view.png?direct&300|}} 
 +{{:public:research:gatrade:bruteforce_t150_s200_fromsl_view.png?direct&300|}} 
 + 
 +==Vývoj evolucie pre populaciu 10 jedincov po 300 generaciach==
 V štatistike sú zahrnuté stratégie, ktoré v priebehu vývoja dosiahli postupne najväčší profit a stali sa aktuálne najlepším jedincom. Pri tejto evolúci vstupovali o hry 3 parametre: Max zisk na obchod, maximálna strata a maximálne zotrvanie v obchode v minutách. Parametre sa ľubovoľne kombinovali aj s nastavením hodnoty aj nastavením príznaku, či ich použijeme. V štatistike sú zahrnuté stratégie, ktoré v priebehu vývoja dosiahli postupne najväčší profit a stali sa aktuálne najlepším jedincom. Pri tejto evolúci vstupovali o hry 3 parametre: Max zisk na obchod, maximálna strata a maximálne zotrvanie v obchode v minutách. Parametre sa ľubovoľne kombinovali aj s nastavením hodnoty aj nastavením príznaku, či ich použijeme.
  
Line 171: Line 175:
  
 StrategyStatistics{ StrategyStatistics{
-profit=1321478.6199998967,  +profit=    1250826.3099999414,  
-profitFactor=1.2116650707972298,  +profitFactor=  1.1942990191613283,  
-rrr=0.8976989992443496,  +rrr=   0.8527708353906494,  
-winRatio=0.5744219729566863,  +winRatio=  0.5834187907684826,  
-avgPlus=139.22648378547177,  +avgPlus=   139.321591918091,  
-avgMinus=155.0926133399587,  +avgMinus=  163.37518373769032,  
-bestTrade=736.98,  +bestTrade= 736.98,  
-worstTrade=-748.65,  +worstTrade=    -760.4,  
-bestProfit=1359513.219999887,  +bestProfit=    1299769.1199999347,  
-worstProfit=-14525.949999999997,  +worstProfit=   -14525.949999999997,  
-sumPlus=7564731.769999823,  +sumPlus=   7688462.049999853,  
-sumMinus=6243253.150000037,  +sumMinus=  6437635.73999995,  
-countPlus=54334.0,  +countPlus= 55185.0,  
-countMinus=40255.0+countMinus=    39404.0, 
 } }
  
-{{:public:research:gatrade:pipsequitycurve01.png?direct&300|}} +{{:public:research:gatrade:300_1_pipsequitycurve.png?direct&300|}} 
-{{:public:research:gatrade:histogramsimilaropenedtrades01.png?direct&300|}} +{{:public:research:gatrade:300_1_histogramsimilaropenedtrades.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradelength01.png?direct&300|}} +{{:public:research:gatrade:300_1_histogramtradelength.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradeprofitloss01.png?direct&300|}}+{{:public:research:gatrade:300_1_histogramtradeprofitloss.png?direct&300|}} 
 +{{:public:research:gatrade:300_1_profitsbytradelength.png?direct&300|}} 
 +{{:public:research:gatrade:300_1_tickschart.png?direct&300|}} 
 +{{:public:research:gatrade:300_1_ticksandequity.png?direct&300|}} 
 +{{:public:research:gatrade:300_1_tickstogetherwithcountoftrades.png?direct&300|}} 
  
 Pouzijeme: 0,  Pouzijeme: 0, 
Line 200: Line 209:
  
 StrategyStatistics{ StrategyStatistics{
-profit=9028288.390000314,  +profit=    9144163.980000224,  
-profitFactor=1.7239553167529649,  +profitFactor=  1.7370698835860954,  
-rrr=0.3222585640492876,  +rrr=   0.3195854460003994,  
-winRatio=0.8425098338581591,  +winRatio=  0.8446091372711176,  
-avgPlus=270.5544673621736,  +avgPlus=   270.524670039296,  
-avgMinus=839.5571058300684,  +avgMinus=  846.4862008733586,  
-bestTrade=815.6,  +bestTrade= 815.6,  
-worstTrade=-944.08,  +worstTrade=    -955.4,  
-bestProfit=9028288.390000314,  +bestProfit=    9144163.980000224,  
-worstProfit=-88989.67999999998,  +worstProfit=   -88989.67999999998,  
-sumPlus=2.1499069640000403E7,  +sumPlus=   2.1550265740000356E7,  
-sumMinus=1.2470781249999836E7,  +sumMinus=  1.2406101759999944E7,  
-countPlus=79463.0,  +countPlus= 79661.0,  
-countMinus=14854.0+countMinus=    14656.0
 } }
  
-{{:public:research:gatrade:pipsequitycurve02.png?direct&300|}} +{{:public:research:gatrade:300_2_pipsequitycurve.png?direct&300|}} 
-{{:public:research:gatrade:histogramsimilaropenedtrades02.png?direct&300|}} +{{:public:research:gatrade:300_2_histogramsimilaropenedtrades.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradelength02.png?direct&300|}} +{{:public:research:gatrade:300_2_histogramtradelength.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradeprofitloss02.png?direct&300|}}+{{:public:research:gatrade:300_2_histogramtradeprofitloss.png?direct&300|}} 
 +{{:public:research:gatrade:300_2_profitsbytradelength.png?direct&300|}} 
 +{{:public:research:gatrade:300_2_tickschart.png?direct&300|}} 
 +{{:public:research:gatrade:300_2_ticksandequity.png?direct&300|}} 
 +{{:public:research:gatrade:300_2_tickstogetherwithcountoftrades.png?direct&300|}}
  
 Pouzijeme: 0,  Pouzijeme: 0, 
Line 229: Line 242:
  
 StrategyStatistics{ StrategyStatistics{
-profit=1.0289946700000327E7,  +profit=    1.0263994600000137E7,  
-profitFactor=1.8765651887248624,  +profitFactor=  1.8712268378920376,  
-rrr=0.29514242615339187,  +rrr=   0.2926566562959114,  
-winRatio=0.864096610367166,  +winRatio=  0.8647539680015268,  
-avgPlus=270.2964124713235,  +avgPlus=   270.2894318362991,  
-avgMinus=915.8168684662253,  +avgMinus=  923.5717897460145,   
-bestTrade=815.6,  +bestTrade= 815.6,  
-worstTrade=-1023.59,  +worstTrade=    -1036.05,  
-bestProfit=1.0289946700000327E7,  +bestProfit=    1.0263994600000137E7,  
-worstProfit=-100428.24999999999,  +worstProfit=   -100428.24999999999,  
-sumPlus=2.2028887320000395E7,  +sumPlus=   2.2045076350000393E7,  
-sumMinus=1.1738940620000076E7,  +sumMinus=  1.178108175000016E7,  
-countPlus=81499.0,  +countPlus= 81561.0,  
-countMinus=12818.0+countMinus=    12756.0
 } }
  
-{{:public:research:gatrade:pipsequitycurve03.png?direct&300|}} +{{:public:research:gatrade:300_3_pipsequitycurve.png?direct&300|}} 
-{{:public:research:gatrade:histogramsimilaropenedtrades03.png?direct&300|}} +{{:public:research:gatrade:300_3_histogramsimilaropenedtrades.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradelength03.png?direct&300|}} +{{:public:research:gatrade:300_3_histogramtradelength.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradeprofitloss03.png?direct&300|}}+{{:public:research:gatrade:300_3_histogramtradeprofitloss.png?direct&300|}} 
 +{{:public:research:gatrade:300_3_profitsbytradelength.png?direct&300|}} 
 +{{:public:research:gatrade:300_3_tickschart.png?direct&300|}} 
 +{{:public:research:gatrade:300_3_ticksandequity.png?direct&300|}} 
 +{{:public:research:gatrade:300_3_tickstogetherwithcountoftrades.png?direct&300|}}
  
 Pouzijeme: 0,  Pouzijeme: 0, 
Line 258: Line 275:
  
 StrategyStatistics{ StrategyStatistics{
-profit=1.169922964000048E7,  +profit=    1.1760934980000446E7,  
-profitFactor=2.046151811106748,  +profitFactor=  2.0566041392174035,  
-rrr=0.18839021004209136,  +rrr=   0.18723517308387852,  
-winRatio=0.915691802499541,  +winRatio=  0.9165558905856542,  
-avgPlus=269.92802517341147,  +avgPlus=   269.92519597208303,  
-avgMinus=1432.8134413837238,  +avgMinus=  1441.637228338292,  
-bestTrade=815.6,  +bestTrade= 815.6,  
-worstTrade=-1494.12,  +worstTrade=    -1507.23,  
-bestProfit=1.169922964000048E7,  +bestProfit=    1.1760934980000446E7,  
-worstProfit=-2957.4900000000002,  +worstProfit=   -2957.4900000000002,  
-sumPlus=2.2882338550000437E7,  +sumPlus=   2.2891816020000417E7,  
-sumMinus=1.1183108909999965E7,  +sumMinus=  1.1130881039999953E7,  
-countPlus=84772.0,  +countPlus= 84808.0,  
-countMinus=7805.0+countMinus=    7721.0
 } }
  
-{{:public:research:gatrade:pipsequitycurve4.png?direct&300|}} +{{:public:research:gatrade:300_4_pipsequitycurve.png?direct&300|}} 
-{{:public:research:gatrade:histogramsimilaropenedtrades4.png?direct&300|}} +{{:public:research:gatrade:300_4_histogramsimilaropenedtrades.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradelength4.png?direct&300|}} +{{:public:research:gatrade:300_4_histogramtradelength.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradeprofitloss4.png?direct&300|}}+{{:public:research:gatrade:300_4_histogramtradeprofitloss.png?direct&300|}} 
 +{{:public:research:gatrade:300_4_profitsbytradelength.png?direct&300|}} 
 +{{:public:research:gatrade:300_4_tickschart.png?direct&300|}} 
 +{{:public:research:gatrade:300_4_ticksandequity.png?direct&300|}} 
 +{{:public:research:gatrade:300_4_tickstogetherwithcountoftrades.png?direct&300|}}
  
 Pouzijeme: 0,  Pouzijeme: 0, 
Line 287: Line 308:
  
 StrategyStatistics{ StrategyStatistics{
-profit=1.900273617000016E7,  +profit=    1.8981877090000063E7,  
-profitFactor=1.9929377179930021,  +profitFactor=  1.9904755319787604,  
-rrr=0.36288073150050437,  +rrr=   0.3607777587873309,  
-winRatio=0.8459640505920468,  +winRatio=  0.8465593816692623,  
-avgPlus=519.818319272771,  +avgPlus=   519.8174666139898,  
-avgMinus=1432.477048652688,  +avgMinus=  1440.8245906322863,  
-bestTrade=928.76,  +bestTrade= 928.76,  
-worstTrade=-1494.12,  +worstTrade=    -1507.23,  
-bestProfit=1.900273617000016E7,  +bestProfit=    1.8981877090000063E7,  
-worstProfit=-141250.35000000003,  +worstProfit=   -141250.35000000003,  
-sumPlus=3.814062954000103E7,  +sumPlus=   3.814628497000103E7,  
-sumMinus=1.913789336999991E7,  +sumMinus=  1.916440788000004E7,  
-countPlus=73373.0,  +countPlus= 73384.0,  
-countMinus=13360.0+countMinus=    13301.0
 } }
  
-{{:public:research:gatrade:pipsequitycurve5.png?direct&300|}} +{{:public:research:gatrade:300_5_pipsequitycurve.png?direct&300|}} 
-{{:public:research:gatrade:histogramsimilaropenedtrades5.png?direct&300|}} +{{:public:research:gatrade:300_5_histogramsimilaropenedtrades.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradelength5.png?direct&300|}} +{{:public:research:gatrade:300_5_histogramtradelength.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradeprofitloss5.png?direct&300|}}+{{:public:research:gatrade:300_5_histogramtradeprofitloss.png?direct&300|}} 
 +{{:public:research:gatrade:300_5_profitsbytradelength.png?direct&300|}} 
 +{{:public:research:gatrade:300_5_tickschart.png?direct&300|}} 
 +{{:public:research:gatrade:300_5_ticksandequity.png?direct&300|}} 
 +{{:public:research:gatrade:300_5_tickstogetherwithcountoftrades.png?direct&300|}}
  
 Pouzijeme: 0,  Pouzijeme: 0, 
Line 316: Line 341:
  
 StrategyStatistics{ StrategyStatistics{
-profit=2.089041708000018E7,  +profit=    2.0857381140000056E7,  
-profitFactor=2.0019153019958726,  +profitFactor=  1.99844323777157,  
-rrr=0.4073546124507316,  +rrr=   0.4049381561291506,  
-winRatio=0.8309219693450999,  +winRatio=  0.8315131517799051,  
-avgPlus=583.3074692212087,  +avgPlus=   583.3070125751082,  
-avgMinus=1431.9402589107988,  +avgMinus=  1440.4841918356265,  
-bestTrade=928.76,  +bestTrade= 928.76,  
-worstTrade=-1494.12,  +worstTrade=    -1507.23,  
-bestProfit=2.089041708000018E7,  +bestProfit=    2.0857381140000056E7,  
-worstProfit=-139670.92,  +worstProfit=   -139670.92,  
-sumPlus=4.1740899190000474E7,  +sumPlus=   4.174728289000049E7,  
-sumMinus=2.085048211000014E7,  +sumMinus=  2.0889901750000253E7,  
-countPlus=71559.0,  +countPlus= 71570.0,  
-countMinus=14561.0+countMinus=    14502.0
 } }
  
-{{:public:research:gatrade:pipsequitycurve6.png?direct&300|}} +{{:public:research:gatrade:300_6_pipsequitycurve.png?direct&300|}} 
-{{:public:research:gatrade:histogramsimilaropenedtrades6.png?direct&300|}} +{{:public:research:gatrade:300_6_histogramsimilaropenedtrades.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradelength6.png?direct&300|}} +{{:public:research:gatrade:300_6_histogramtradelength.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradeprofitloss6.png?direct&300|}}+{{:public:research:gatrade:300_6_histogramtradeprofitloss.png?direct&300|}} 
 +{{:public:research:gatrade:300_6_profitsbytradelength.png?direct&300|}} 
 +{{:public:research:gatrade:300_6_tickschart.png?direct&300|}} 
 +{{:public:research:gatrade:300_6_ticksandequity.png?direct&300|}} 
 +{{:public:research:gatrade:300_6_tickstogetherwithcountoftrades.png?direct&300|}}
  
 Pouzijeme: 0,  Pouzijeme: 0, 
Line 345: Line 374:
  
 StrategyStatistics{ StrategyStatistics{
-profit=2.1078284909999516E7,  +profit=    2.1027350679999538E7,  
-profitFactor=1.9089757552533542,  +profitFactor=  1.9045179432981536,  
-rrr=0.44677099582178936,  +rrr=   0.4440334966185906,  
-winRatio=0.810348461430378,  +winRatio=  0.8109330334129997,  
-avgPlus=639.6366790931577,  +avgPlus=   639.6367283076678,  
-avgMinus=1431.6880125949351,  +avgMinus=  1440.5145854505063,  
-bestTrade=928.76,  +bestTrade= 928.76,  
-worstTrade=-1494.12,  +worstTrade=    -1507.23,  
-bestProfit=2.1078284909999516E7,  +bestProfit=    2.1027350679999538E7,  
-worstProfit=-138376.02000000002,  +worstProfit=   -138376.02000000002,  
-sumPlus=4.426733565000016E7,  +sumPlus=   4.427437506000015E7,  
-sumMinus=2.3189050740000162E7,  +sumMinus=  2.324702438000027E7,  
-countPlus=69207.0,  +countPlus= 69218.0,  
-countMinus=16197.0+countMinus=    16138.0
 } }
  
-{{:public:research:gatrade:pipsequitycurve7.png?direct&300|}} +{{:public:research:gatrade:300_7_pipsequitycurve.png?direct&300|}} 
-{{:public:research:gatrade:histogramsimilaropenedtrades7.png?direct&300|}} +{{:public:research:gatrade:300_7_histogramsimilaropenedtrades.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradelength7.png?direct&300|}} +{{:public:research:gatrade:300_7_histogramtradelength.png?direct&300|}} 
-{{:public:research:gatrade:histogramtradeprofitloss7.png?direct&300|}}+{{:public:research:gatrade:300_7_histogramtradeprofitloss.png?direct&300|}} 
 +{{:public:research:gatrade:300_7_profitsbytradelength.png?direct&300|}} 
 +{{:public:research:gatrade:300_7_tickschart.png?direct&300|}} 
 +{{:public:research:gatrade:300_7_ticksandequity.png?direct&300|}} 
 +{{:public:research:gatrade:300_7_tickstogetherwithcountoftrades.png?direct&300|}} 
 + 
 +==Evolucia s roznymi hodnotami seed== 
 +Pre lepsie analyzovane chovania evolucie je potrebne spustat ju na tych istych datach s roznym pociatocnym seedom. Kazda evolucia pozostavala z 30 jedincov a pocet generaci bol kvoli velkej casovej narocnosti testov obmedzeni na 150 generacii. 
 + 
 +{{:public:research:gatrade:6different_seeds_150gens_30popul.png?direct&300|}} 
  
 =====Schodzky===== =====Schodzky=====
Line 404: Line 443:
 ===Grafy=== ===Grafy===
   * Graf pre pocet obchodov v case. (Prekryty s tickovymi datami)   * Graf pre pocet obchodov v case. (Prekryty s tickovymi datami)
-  * Ziskovost obchodov podla dlzky/dlsie (mozno by bol vhodny kumulativny graf)+  * Graf pre EUR/USD (tickove data) prekryty s vyslednou equity 
 +  * Ziskovost obchodov podla dlzky dlhsie/kratsie (mozno by bol vhodny kumulativny graf)
   * Vysledok viacerych simulaci (s roznymi seedmi) cez seba do 1 grafu.   * Vysledok viacerych simulaci (s roznymi seedmi) cez seba do 1 grafu.
 ===Evolucia=== ===Evolucia===