monte carlo.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Monte Carlo
//  Author/Uploader: Aron 
//  E-mail:          
//  Date/Time Added: 2006-05-04 12:13:55
//  Origin:          
//  Keywords:        
//  Level:           medium
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=619
//  Details URL:     http://www.amibroker.com/library/detail.php?id=619
//
//------------------------------------------------------------------------------
//
//  This simple tool shows where your account will be using fixed fractional
//  money management.
//
//  Enjoy.
//
//------------------------------------------------------------------------------

SetBarsRequired(10000,10000);

balance = Param ( "Initial Balance $", 10000, 1000, 100000, 1000); 
trades =Param("Number of Trades", 260, 100, 2600, 10); 
expectancy= Param ( "Expectancy %", 50)/100;
rr=  Param ( "Reward/Risk", 1, 0.1, 2, 0.1);
ff= Param( "Fixed Fractional %", 2, 1, 50, 1)/100 ;
Lock= ParamToggle("Lock Sequence", "No|Yes");
n= IIf(Lock, 1,Null);

result = Random(n); 
stop = 0;
winnig_trades=0;

for (i = BarCount-1-trades; i<BarCount; i++)
{

if (result[i]<expectancy)
{
winnig_trades++;
balance[i] = balance[i-1] + stop[i-1]*rr;

}
else
{

balance[i] = balance[i-1] - stop[i-1];
}

stop[i] = balance[i]*ff;
}

Plot (balance, "", 39); 


Title = "Monte Carlo" +
"\nNumber of Trades = "+ trades+
"\nWinning Trades = " +winnig_trades+
"\nProfitability = " +winnig_trades/trades*100 + " %"+
"\nRisk/Reward = "+ 1+"/"+rr;