MAE 最大亏损幅度是怎么算出来的?

CoverAtLimt
CoverAtStop
什么意思?
为什么要用Random?
---------------------------------------------------
//####################################
for Bar := 20 to BarCount - 2 do
//####################################
begin

ProfitTarget := (ATR ( Bar, ATRPeriod)/ RangeDivBy) ;
MaxRisk := ProfitTarget / 4;

if not LastPositionActive then
{ Entry Rules }
begin
// here we are peeking into the future !
tomorrowOpen := PriceOpenR( Bar + 1);
If ( tomorrowOpen < PriceHighR(bar))
and ( tomorrowOpen > PriceLowR (bar)) then
begin
// if Random() > 0.5 then begin // sometimes long
BuyAtStopR( bar + 1, PriceHighR(Bar) ,'');
// end else begin // and sometimes short
ShortAtStopR ( bar + 1, PriceLowR(Bar) ,'');
// End;
end;
end
else
{ Exit Rules }
begin
//ApplyAutoStops(Bar);
for p := 0 to PositionCount - 1 do
if PositionActive( p ) then
Begin
If PositionLong(p) then
begin
if Random() < 0.5 then begin // sometimes pt is hit before sl
SellAtLimitR( bar, PositionEntryPrice( p ) + ProfitTarget , p, 'PT');
SellAtStop( bar, PositionEntryPrice( p ) - MaxRisk , p, 'SL');
end else begin // and sometimes the other way round
SellAtStop( bar, PositionEntryPrice( p ) - MaxRisk , p, 'SL');
SellAtLimitR( bar, PositionEntryPrice( p ) + ProfitTarget , p, 'PT');
End;
SellAtClose( bar, p, 'AtClose');
end;

If PositionShort(p) then
begin
if Random() > 0.5 then begin // sometimes pt is hit before sl
CoverAtLimit( bar, PositionEntryPrice( p ) - ProfitTarget , p, 'PT');
CoverAtStop( bar, PositionEntryPrice( p ) + MaxRisk , p, 'SL');
end else begin // and sometimes the other way round
CoverAtStop( bar, PositionEntryPrice( p ) + MaxRisk , p, 'SL');
CoverAtLimit( bar, PositionEntryPrice( p ) - ProfitTarget , p, 'PT');
End;
CoverAtClose( bar, p, 'AtClose');
end;
end;
end;
//================================
// just costmetic to see the potential setup bars
tomorrowOpen := PriceOpenR( Bar + 1);
If (( tomorrowOpen < PriceHighR(bar))
and ( tomorrowOpen > PriceLowR (bar)) )then
SetBarColor( Bar+1, #yellow);

end;

 

有人看没人回啊!

有人看没人回啊!