【OptimalF】

1. input: theData(Numeric), watchDays(Numeric), isOnStrategy(TrueFalse);
   
2. array: DATAs[](0), DATAsCopy[](0), HPRs[](1), Geo_Mean[101](1);
   
3. var: maxLoss(0), maxMeans(0), j(0), k(0), temp(1);
   
4. var: MP(0), passDays(0), isHasTraded(false);
   
5. 
   
6. 
   
7. once begin
   
8.   array_setmaxindex( DATAs, watchDays+1 );
   
9.   array_setmaxindex( DATAsCopy, watchDays+1 );
   
10.   array_setmaxindex( HPRs, watchDays+1 );
    
11. end;
    
12. 
    
13. 
    
14. 
    
15. MP= i_MarketPosition;
    
16. if MP<>MP[1] then isHasTraded= true;
    
17. 
    
18. if isOnStrategy= true then
    
19.   begin
    
20.     if isHasTraded and sessionlastbar then
    
21.       begin
    
22.         _arrayShift( DATAs );
    
23.         DATAs[1]= theData;
    
24.         passDays= passDays + 1;
    
25.       end;
    
26.   end
    
27. else
    
28.   begin
    
29.     _arrayShift( DATAs );
    
30.     DATAs[1]= theData;
    
31.     passDays= passDays + 1;
    
32.   end;
    
33. 
    
34. 
    
35. if watchDays > 0 and passDays > watchDays then begin
    
36.   
    
37.   array_copy( DATAs, 1, DATAsCopy, 1, watchDays );
    
38.   maxLoss= minlist( Lowest_a( DATAsCopy, watchDays ), -1 );
    
39. 
    
40.   for k= 0 to 99 begin
    
41. 
    
42.     temp= 1;
    
43.     for j=1 to watchDays begin
    
44.       HPRs[j]= 1 + k/100 * ( -DATAsCopy[j] / maxLoss );
    
45.       temp= temp * HPRs[j];
    
46.     end;
    
47.   
    
48.     Geo_Mean[k]= power( temp, 1/watchDays );
    
49. 
    
50.   end;
    
51. 
    
52. 
    
53.   maxMeans= 0;
    
54.   _OptimalF=0;
    
55. 
    
56.   for k=0 to 99 begin
    
57.     if Geo_Mean[k] > maxMeans then begin
    
58.       maxMeans= Geo_Mean[k];
    
59.       _OptimalF= k;
    
60.     end;
    
61.   end;
    
62.   
    
63. end;

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