Portfolio Trader最佳化的Robustness
如題，使用圖表時最佳化可以設定Robustness決定穿透IS跟OSS的參數不知道在portfolio trader中是否也能這樣設定?
本帖最後由 abula 於 23-11-11 19:53 編輯
自己來回應，程式碼如下。這個程式是用官方!optimiza by sharpe ratio改的，主要邏輯是用array定義我預設的四個樣本週期，進行迴圈以計算樣本內外的netprofit，最後計算各個IS與OOS的年化報酬率來計算WFE。未通過的給一個很大的負值(-9999)。
好處是可以用WFE當作濾網來過濾樣本外表現差的參數，壞處是自己需要手動輸入Inputs(我現在做法是先跑很少參數的WFO看日期，然後手動輸入)。我一開始有想要讓程式自己算例如 currentdate-X days的方式，但台指期交易日不能完全對的上，如果你像我一樣跑的期間都至少六七年，那四個去跑十年資料應該夠，也不會太麻煩。
Inputs:
InitialCapital(10000),// Initial capital
AnnualRiskFreeRate(0.02), // Annual risk-free interest rate
Period(0), // 0=monthly, 1=daily
IS_StartDate1(0), IS_EndDate1(0), OOS_StartDate1(0), OOS_EndDate1(0),
IS_StartDate2(0), IS_EndDate2(0), OOS_StartDate2(0), OOS_EndDate2(0),
IS_StartDate3(0), IS_EndDate3(0), OOS_StartDate3(0), OOS_EndDate3(0),
IS_StartDate4(0), IS_EndDate4(0), OOS_StartDate4(0), OOS_EndDate4(0);
Arrays:
IS_StartDates(0), // Array to store start dates of In-Sample periods
IS_EndDates(0), // Array to store end dates of In-Sample periods
OOS_StartDates(0), // Array to store start dates of Out-of-Sample periods
OOS_EndDates(0); // Array to store end dates of Out-of-Sample periods
Vars:
PeriodIndex(0),
IS_Profit(0),
OOS_Profit(0),
IS_AnnualReturn(0),
OOS_AnnualReturn(0),
IS_CurrentProfit(0),
OOS_CurrentProfit(0),
SharpeValue(0),
FitnessValue(0),
PrevISNetProfit(0), // Previous net profit at the start of the In-Sample period
PrevOOSNetProfit(0); // Previous net profit at the start of the Out-of-Sample period
// Initialize arrays only on the first bar of data
If CurrentBar = 1 Then Begin
IS_StartDates = IS_StartDate1; IS_EndDates = IS_EndDate1; OOS_StartDates = OOS_StartDate1; OOS_EndDates = OOS_EndDate1;
IS_StartDates = IS_StartDate2; IS_EndDates = IS_EndDate2; OOS_StartDates = OOS_StartDate2; OOS_EndDates = OOS_EndDate2;
IS_StartDates = IS_StartDate3; IS_EndDates = IS_EndDate3; OOS_StartDates = OOS_StartDate3; OOS_EndDates = OOS_EndDate3;
IS_StartDates = IS_StartDate4; IS_EndDates = IS_EndDate4; OOS_StartDates = OOS_StartDate4; OOS_EndDates = OOS_EndDate4;
End;
// Calculation and strategy logic
For PeriodIndex = 1 to 4 Begin
// Check if PeriodIndex is within the bounds of the arrays
If (PeriodIndex >= 1) and (PeriodIndex <= 4) Then Begin
// Existing logic for In-Sample and Out-of-Sample Periods
// ...
End; // End of bounds check
End;
For PeriodIndex = 1 to 4 Begin
// In-Sample Period Logic
// Check if the current date is within the In-Sample period
If Date >= IS_StartDates and Date <= IS_EndDates Then Begin
// On the start date, store the current net profit as the previous In-Sample net profit
If Date = IS_StartDates Then PrevISNetProfit = NetProfit;
// On the end date, calculate the profit for the In-Sample period
If Date = IS_EndDates Then Begin
IS_CurrentProfit = NetProfit - PrevISNetProfit;
IS_Profit = IS_Profit + IS_CurrentProfit;
// Calculate annualized return for the In-Sample period
IS_AnnualReturn = (IS_CurrentProfit / InitialCapital) / (IS_EndDates - IS_StartDates + 1) * 365;
End;
End;
// Out-of-Sample Period Logic
// Check if the current date is within the Out-of-Sample period
If Date >= OOS_StartDates and Date <= OOS_EndDates Then Begin
// On the start date, store the current net profit as the previous Out-of-Sample net profit
If Date = OOS_StartDates Then PrevOOSNetProfit = NetProfit;
// On the end date, calculate the profit for the Out-of-Sample period
If Date = OOS_EndDates Then Begin
OOS_CurrentProfit = NetProfit - PrevOOSNetProfit;
OOS_Profit = OOS_Profit + OOS_CurrentProfit;
// Calculate annualized return for the Out-of-Sample period
OOS_AnnualReturn = (OOS_CurrentProfit / InitialCapital) / (OOS_EndDates - OOS_StartDates + 1) * 365;
End;
End;
End;
// Calculate the Sharpe Ratio and custom fitness value on the last bar of the chart
if LastBarOnChart_s then begin
// Calculate the Sharpe Ratio using the built-in function
SharpeValue = SharpeRatio(Period, AnnualRiskFreeRate, LastBarOnChart_s, InitialCapital);
// Check if the Out-of-Sample annualized return is greater than 50% of the In-Sample annualized return
If OOS_AnnualReturn > 0.5 * IS_AnnualReturn then begin
FitnessValue = SharpeValue; // If true, set the fitness value to the Sharpe Ratio
end else begin
FitnessValue = -9999 + SharpeValue; // If false, penalize the fitness value
end;
// Set the custom fitness value for the strategy
SetCustomFitnessValue(FitnessValue);
end;
PT的WFA好像沒有MC的WFA多功能?
請問這個code是放在PT的MM信號內還是?
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