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chatcpe
07 Aug 2023, 17:21
RE: cTrader calculate wrong Max equity drawdown
PanagiotisChar said:
Hi there,
Your drawdown calculation is wrong. The drawdown is calculated from the peak equity to the lowest equity after that.
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Where? THis is my code
private void CalculateDDForAccount()
{
try
{
var newDDdol = Account.Balance - Account.Equity;
if (newDDdol > MaxEquityDDInDol)
{
MaxEquityDDInDol = newDDdol;
}var newDDPercent = newDDdol / Account.Balance * 100;
if (newDDPercent > MaxEquityDDPercent)
{
MaxEquityDDPercent = newDDPercent;
}}
catch (Exception ex)
{
Print($"Error in CalculateDDForAccount : {ex.Message}");
}
}
@chatcpe
chatcpe
07 Jul 2020, 10:59
Example multi symbol
namespace cAlgo
{
[Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.FullAccess)]
public class EMA_2Cross_1Trend_RR : Robot
{
[Parameter("Fix Vol Trade", DefaultValue = true, Group = "Trade")]
public bool FixVolTrade { get; set; }
[Parameter("PerStart", DefaultValue = 1, Group = "Trade", MinValue = 1)]
public int PerStart { get; set; }
[Parameter("TradeWay", Group = "Trade", DefaultValue = TradeOnlyWay.Both)]
public TradeOnlyWay WantTradeWay { get; set; }
[Parameter("TP", Group = "Trade", DefaultValue = 50, MinValue = 1)]
public int TP { get; set; }
[Parameter("SL", Group = "Trade", DefaultValue = 25, MinValue = 1)]
public int SL { get; set; }
[Parameter("MaxOpen", Group = "Trade", DefaultValue = 1, MinValue = 1)]
public int MaxOpen { get; set; }
[Parameter("SymBol To Trade", Group = "Trade", DefaultValue = "AUDCAD,AUDCHF,AUDJPY,AUDNZD,AUDSGD,AUDUSD,CADCHF,CADJPY,CHFJPY,CHFSGD,EURAUD,EURCAD,EURCHF,EURGBP,EURJPY,EURNZD,EURSGD,EURUSD,GBPAUD,GBPCAD,GBPCHF,GBPJPY,GBPNZD,GBPSGD,GBPUSD,NZDCAD,NZDCHF,NZDJPY,NZDUSD,SGDJPY,USDCAD,USDCHF,USDJPY,USDSGD")]
public string SymBolToTrade { get; set; }
[Parameter("Strategies name", Group = "Trade", DefaultValue = "EMA_2Cross_1Trend_RR")]
public string StrategiesName { get; set; }
#region EMA
[Parameter("EMA 1 Source", Group = "EMA")]
public DataSeries EMA1Source { get; set; }
[Parameter("EMA 1 Periods", Group = "EMA", DefaultValue = 9)]
public int EMA1_Period { get; set; }
[Parameter("EMA 2 Source", Group = "EMA")]
public DataSeries EMA2Source { get; set; }
[Parameter("EMA 2 Periods", Group = "EMA", DefaultValue = 21)]
public int EMA2_Period { get; set; }
[Parameter("EMA 2 Source", Group = "EMA")]
public DataSeries EMA3Source { get; set; }
[Parameter("EMA 3 Periods", Group = "EMA", DefaultValue = 200)]
public int EMA3_Period { get; set; }
#endregion
List<Symbol> lsSymbol = new List<Symbol>();
Dictionary<Symbol, Bars> dicSymbolBar = new Dictionary<Symbol, Bars>();
Dictionary<Symbol, ExponentialMovingAverage> dicEMA1 = new Dictionary<Symbol, ExponentialMovingAverage>();
Dictionary<Symbol, ExponentialMovingAverage> dicEMA2 = new Dictionary<Symbol, ExponentialMovingAverage>();
Dictionary<Symbol, ExponentialMovingAverage> dicEMA3 = new Dictionary<Symbol, ExponentialMovingAverage>();
List<TradeLog> _tradeLogs = new List<TradeLog>();
double StartBalance = 0;
protected override void OnStart()
{
Print("Start OnStart");
StartBalance = Account.Balance;
Positions.Opened += PositionsOnOpened;
Positions.Closed += PositionsOnClosed;
LoadSymbolsDataAndIndi();
Print("End OnStart");
}
private void LoadSymbolsDataAndIndi()
{
try
{
//แยกคู่ที่ต้องการเทรดด้วย ,
var AllSymbol = SymBolToTrade.Split(',').ToList();
//List<Task> lsTask = new List<Task>();
foreach (var sSymbol in AllSymbol)
{
//Task aTask = new Task(() =>
//{
var bar = MarketData.GetBars(TimeFrame, sSymbol);
var aSymbolBars = MarketData.GetBars(TimeFrame, sSymbol);
var aSymbol = Symbols.GetSymbol(sSymbol);
lsSymbol.Add(aSymbol);
dicSymbolBar.Add(aSymbol, aSymbolBars);
dicEMA1.Add(aSymbol, Indicators.ExponentialMovingAverage(aSymbolBars.ClosePrices, EMA1_Period));
dicEMA2.Add(aSymbol, Indicators.ExponentialMovingAverage(aSymbolBars.ClosePrices, EMA2_Period));
dicEMA3.Add(aSymbol, Indicators.ExponentialMovingAverage(aSymbolBars.ClosePrices, EMA3_Period));
Print("Finished get data >> " + sSymbol);
//});
//lsTask.Add(aTask);
//aTask.Start();
}
//Task.WaitAll(lsTask.ToArray());
} catch (Exception ex)
{
Print("ERROR LoadSymbolsDataAndIndi : " + ex.Message);
}
}
protected override void OnBar()
{
try
{
List<Task> lsTask = new List<Task>();
foreach (var symbol in lsSymbol)
{
//แตก thread แยกตามคู่เงิน
Task aTask = new Task(() =>
{
//ema1 ตัด ema2 *ลง* && ย้อนหลังไปสองแท่งที่ยังไม่ตัดลง EMA1 ยังต้อง*มากกว่า* 2 ด้วย ไม่งั้นมันจะเข้าออเดอร์ทุกๆแท่งเอาได้ *หรือเราจะไปเช็คว่ามีออเดอร์เปิดแล้วก็ไม่ให้เปิดดีกว่านะ
if (dicEMA1.Where(x=>x.Key == symbol).First().Value.Result.Last(1) <= dicEMA2.Where(x => x.Key == symbol).First().Value.Result.Last(1) && dicEMA1.Where(x => x.Key == symbol).First().Value.Result.Last(2) > dicEMA2.Where(x => x.Key == symbol).First().Value.Result.Last(2))
{
//EMA 1 & 2 ต้องอยู่*ใต้* 3 ด้วย
if (dicEMA1.Where(x=>x.Key == symbol).First().Value.Result.Last(1) <= dicEMA3.Where(x=>x.Key == symbol).First().Value.Result.Last(1) && dicEMA2.Where(x=>x.Key == symbol).First().Value.Result.Last(1) <= dicEMA3.Where(x=>x.Key == symbol).First().Value.Result.Last(1))
{
//*ยังไม่เช็คว่ามีออเดอร์เปิดอยู่แล้ว เปิดเพิ่มได้ กรณียังไม่ tp หรือ SL แต่มันวกมาตัดขึ้น-ลงเพิ่มอีกก็เป็นไปได้
//เช็คกับการตั้งค่าว่าให้เล่นแต่ขาไหน จะเข้า *sell* แต่ถ้าจะเล่นแต่ขา *buy* เราก็จะไม่เปิด
if (WantTradeWay != TradeOnlyWay.Buy)
{
//เช็คกรณีว่าเปิดไปแล้วกี่ไม้ และจะไม่ให้เปิดอีก เช็คเฉพาะขานั้นด้วย เพราะมีสิทธิ์มีสองขาเปิดพร้อมกันอยู่
if (Positions.Where(x => x.TradeType == TradeType.Sell).Count() >= MaxOpen)
{
return;
}
ExecuteMarketOrder(TradeType.Sell, SymbolName, Symbol.NormalizeVolumeInUnits((FixVolTrade ? StartBalance : Account.Balance) * PerStart), StrategiesName, SL, TP, "");
}
}
}.......
@chatcpe
chatcpe
13 Jul 2015, 09:09
( Updated at: 21 Dec 2023, 09:20 )
RE:
chatcpe said:
I testing my bot. I have 2 problem, one is I cannot invest over 1000 million$ so I fix code to split to 999 with a lot of order, not problem.
Error is : 13/07/2015 04:01:00.000 | Crashed in OnBar with ArgumentOutOfRangeException: Index was out of range. Must be non-negative and less than the size of the collection. Parameter name: index\
I think that the environment of the cAlgo is int(32bit number cannot more than 2100billion) My next invest volumn is 21660000000$ so it is more than int32bit cannot contain. T
he system to 64bit int64 can contain 9,000,000,000,000,000,000.
@chatcpe
chatcpe
13 Jul 2015, 09:08
( Updated at: 21 Dec 2023, 09:20 )
RE:
chatcpe said:
I testing my bot. I have 2 problem, one is I cannot invest over 1000 million$ so I fix code to split to 999 with a lot of order, not problem.
Error is : 13/07/2015 04:01:00.000 | Crashed in OnBar with ArgumentOutOfRangeException: Index was out of range. Must be non-negative and less than the size of the collection. Parameter name: index\
I think that the environment of the cAlgo is int(32bit number cannot more than 2100billion) My next invest volumn is 21660000000$ so it is more than int32bit cannot contain. T
he system to 64bit int64 can contain 9,000,000,000,000,000,000.
@chatcpe
chatcpe
10 Aug 2023, 10:22
RE: RE: RE: cTrader calculate wrong Max equity drawdown
PanagiotisChar said:
I think it is already corrected.
@chatcpe