QQ：
【optimalfgeo】
[code]//OptimalFGeo by George Pruitt//My interpretation Sept. 2018
//www.georgepruitt.com
//georgeppruitt@gmail.com
input: minNumTrades(numericSimple);
vars: totalTradesCount(0),tradeCnt(0);
array: tradesArray[500](0);
vars: iCnt(00),jCnt(00),grandTot(0),highI(0);
vars: optF(0.0),gMean(0.0),fVal(0.0),HPR(0.0),TWR(0.0),hiTWR(0.0);
vars: biggestLoser(0.0),gat(0.0);
totalTradesCount = totalTrades;
If totalTradesCount > totalTradesCount[1] then
begin
tradeCnt = tradeCnt + 1;
tradesArray[tradeCnt] = positionProfit(1);
end;
// Taken from my Fortran library - GPP and Vince Book PMF
optF = 0.0;
gMean = 1.00;
gat = 0.00;
//Only calculate if new trade
IF(tradeCnt>minNumTrades and totalTradesCount > totalTradesCount[1]) then
Begin
biggestLoser = 0;
grandTot = 0;
For iCnt = 1 to tradeCnt //get the biggest loser
begin
grandTot = grandTot + tradesArray[iCnt];
IF(tradesArray[iCnt]<biggestLoser) then biggestLoser = tradesArray[iCnt];
end;
// print(grandTot," ",biggestLoser);
IF({grandTot > 0 and} biggestLoser <0) then
begin
// print("Inside TWR Calculations");
highI = 0;
hiTWR = 0.0;
for iCnt = 1 to 100
begin
fVal = .01 * iCnt;
TWR = 1.0;
for jCnt = 1 to tradeCnt // calculate the Terminal Wealth Relative
begin
HPR = 1. + (fVal * (-1*tradesArray[jCnt]) / biggestLoser);
TWR = TWR * HPR;
// print(fVal," ",iCnt," " ,jCnt," Trades ",tradesArray[jCnt]," HPR ",HPR:6:4," TWR : ",TWR:6:4," hiTWR",hiTWR:6:4," bl ",biggestLoser);
end;
// print(iCnt," ",TWR," ",hiTWR);
IF(TWR>hiTWR) THEN
begin
hiTWR = TWR;
optF = fVal; // assign optF to fVal in case its the correct one
end
else
break; //highest f found - stop looping
end;
If (TWR <= hiTWR or optF >= 0.999999) then
begin
TWR = hiTWR;
OptimalFGeo = optF; //assign optF to the name of the function
end;
gmean = power(TWR,(1.0 / tradeCnt));
if(optF<>0) then gat = (gMean - 1.0) * (biggestLoser / -(optF));
print(d," gmean ",gmean:6:4," ",gat:6:4); // I calculate the GMEAN and GeoAvgTrade
end;
end;
[/code]
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