金融证券系统

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Monte Carlo.afl：源码内容

							//------------------------------------------------------------------------------
//
//  Formula Name:    Monte Carlo
//  Author/Uploader: Aron 
//  E-mail:          
//  Date/Time Added: 2006-05-04 12:13:55
//  Origin:          
//  Keywords:        
//  Level:           medium
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=619
//  Details URL:     http://www.amibroker.com/library/detail.php?id=619
//
//------------------------------------------------------------------------------
//
//  This simple tool shows where your account will be using fixed fractional
//  money management.
//
//  Enjoy.
//
//------------------------------------------------------------------------------
SetBarsRequired(10000,10000);
balance = Param ( "Initial Balance $", 10000, 1000, 100000, 1000); 
trades =Param("Number of Trades", 260, 100, 2600, 10); 
expectancy= Param ( "Expectancy %", 50)/100;
rr=  Param ( "Reward/Risk", 1, 0.1, 2, 0.1);
ff= Param( "Fixed Fractional %", 2, 1, 50, 1)/100 ;
Lock= ParamToggle("Lock Sequence", "No|Yes");
n= IIf(Lock, 1,Null);
result = Random(n); 
stop = 0;
winnig_trades=0;
for (i = BarCount-1-trades; i<BarCount; i++)
{
if (result[i]<expectancy)
{
winnig_trades++;
balance[i] = balance[i-1] + stop[i-1]*rr;
}
else
{
balance[i] = balance[i-1] - stop[i-1];
}
stop[i] = balance[i]*ff;
}
Plot (balance, "", 39); 
Title = "Monte Carlo" +
"nNumber of Trades = "+ trades+
"nWinning Trades = " +winnig_trades+
"nProfitability = " +winnig_trades/trades*100 + " %"+
"nRisk/Reward = "+ 1+"/"+rr;

						