//+------------------------------------------------------------------+
//| SummaryReport.mq4 |
//| Copyright © 2006, MetaQuotes Software Corp. |
//| http://www.metaquotes.net |
//+------------------------------------------------------------------+
#define OP_BALANCE 6
#define OP_CREDIT 7
double InitialDeposit;
double SummaryProfit;
double GrossProfit;
double GrossLoss;
double MaxProfit;
double MinProfit;
double ConProfit1;
double ConProfit2;
double ConLoss1;
double ConLoss2;
double MaxLoss;
double MaxDrawdown;
double MaxDrawdownPercent;
double RelDrawdownPercent;
double RelDrawdown;
double ExpectedPayoff;
double ProfitFactor;
double AbsoluteDrawdown;
int SummaryTrades;
int ProfitTrades;
int LossTrades;
int ShortTrades;
int LongTrades;
int WinShortTrades;
int WinLongTrades;
int ConProfitTrades1;
int ConProfitTrades2;
int ConLossTrades1;
int ConLossTrades2;
int AvgConWinners;
int AvgConLosers;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void CalculateSummary(double initial_deposit)
{
int sequence=0, profitseqs=0, lossseqs=0;
double sequential=0.0, prevprofit=EMPTY_VALUE, drawdownpercent, drawdown;
double maxpeak=initial_deposit, minpeak=initial_deposit, balance=initial_deposit;
int trades_total=HistoryTotal();
//---- initialize summaries
InitializeSummaries(initial_deposit);
//----
for(int i=0; i<trades_total; i++)
{
if(!OrderSelect(i,SELECT_BY_POS,MODE_HISTORY)) continue;
int type=OrderType();
//---- initial balance not considered
if(i==0 && type==OP_BALANCE) continue;
//---- calculate profit
double profit=OrderProfit()+OrderCommission()+OrderSwap();
balance+=profit;
//---- drawdown check
if(maxpeak<balance)
{
drawdown=maxpeak-minpeak;
if(maxpeak!=0.0)
{
drawdownpercent=drawdown/maxpeak*100.0;
if(RelDrawdownPercent<drawdownpercent)
{
RelDrawdownPercent=drawdownpercent;
RelDrawdown=drawdown;
}
}
if(MaxDrawdown<drawdown)
{
MaxDrawdown=drawdown;
if(maxpeak!=0.0) MaxDrawdownPercent=MaxDrawdown/maxpeak*100.0;
else MaxDrawdownPercent=100.0;
}
maxpeak=balance;
minpeak=balance;
}
if(minpeak>balance) minpeak=balance;
if(MaxLoss>balance) MaxLoss=balance;
//---- market orders only
if(type!=OP_BUY && type!=OP_SELL) continue;
//---- calculate profit in points
// profit=(OrderClosePrice()-OrderOpenPrice())/MarketInfo(OrderSymbol(),MODE_POINT);
SummaryProfit+=profit;
SummaryTrades++;
if(type==OP_BUY) LongTrades++;
else ShortTrades++;
//---- loss trades
if(profit<0)
{
LossTrades++;
GrossLoss+=profit;
if(MinProfit>profit) MinProfit=profit;
//---- fortune changed
if(prevprofit!=EMPTY_VALUE && prevprofit>=0)
{
if(ConProfitTrades1<sequence ||
(ConProfitTrades1==sequence && ConProfit2<sequential))
{
ConProfitTrades1=sequence;
ConProfit1=sequential;
}
if(ConProfit2<sequential ||
(ConProfit2==sequential && ConProfitTrades1<sequence))
{
ConProfit2=sequential;
ConProfitTrades2=sequence;
}
profitseqs++;
AvgConWinners+=sequence;
sequence=0;
sequential=0.0;
}
}
//---- profit trades (profit>=0)
else
{
ProfitTrades++;
if(type==OP_BUY) WinLongTrades++;
if(type==OP_SELL) WinShortTrades++;
GrossProfit+=profit;
if(MaxProfit<profit) MaxProfit=profit;
//---- fortune changed
if(prevprofit!=EMPTY_VALUE && prevprofit<0)
{
if(ConLossTrades1<sequence ||
(ConLossTrades1==sequence && ConLoss2>sequential))
{
ConLossTrades1=sequence;
ConLoss1=sequential;
}
if(ConLoss2>sequential ||
(ConLoss2==sequential && ConLossTrades1<sequence))
{
ConLoss2=sequential;
ConLossTrades2=sequence;
}
lossseqs++;
AvgConLosers+=sequence;
sequence=0;
sequential=0.0;
}
}
sequence++;
sequential+=profit;
//----
prevprofit=profit;
}
//---- final drawdown check
drawdown=maxpeak-minpeak;
if(maxpeak!=0.0)
{
drawdownpercent=drawdown/maxpeak*100.0;
if(RelDrawdownPercent<drawdownpercent)
{
RelDrawdownPercent=drawdownpercent;
RelDrawdown=drawdown;
}
}
if(MaxDrawdown<drawdown)
{
MaxDrawdown=drawdown;
if(maxpeak!=0) MaxDrawdownPercent=MaxDrawdown/maxpeak*100.0;
else MaxDrawdownPercent=100.0;
}
//---- consider last trade
if(prevprofit!=EMPTY_VALUE)
{
profit=prevprofit;
if(profit<0)
{
if(ConLossTrades1<sequence ||
(ConLossTrades1==sequence && ConLoss2>sequential))
{
ConLossTrades1=sequence;
ConLoss1=sequential;
}
if(ConLoss2>sequential ||
(ConLoss2==sequential && ConLossTrades1<sequence))
{
ConLoss2=sequential;
ConLossTrades2=sequence;
}
lossseqs++;
AvgConLosers+=sequence;
}
else
{
if(ConProfitTrades1<sequence ||
(ConProfitTrades1==sequence && ConProfit2<sequential))
{
ConProfitTrades1=sequence;
ConProfit1=sequential;
}
if(ConProfit2<sequential ||
(ConProfit2==sequential && ConProfitTrades1<sequence))
{
ConProfit2=sequential;
ConProfitTrades2=sequence;
}
profitseqs++;
AvgConWinners+=sequence;
}
}
//---- collecting done
double dnum, profitkoef=0.0, losskoef=0.0, avgprofit=0.0, avgloss=0.0;
//---- average consecutive wins and losses
dnum=AvgConWinners;
if(profitseqs>0) AvgConWinners=dnum/profitseqs+0.5;
dnum=AvgConLosers;
if(lossseqs>0) AvgConLosers=dnum/lossseqs+0.5;
//---- absolute values
if(GrossLoss<0.0) GrossLoss*=-1.0;
if(MinProfit<0.0) MinProfit*=-1.0;
if(ConLoss1<0.0) ConLoss1*=-1.0;
if(ConLoss2<0.0) ConLoss2*=-1.0;
//---- profit factor
if(GrossLoss>0.0) ProfitFactor=GrossProfit/GrossLoss;
//---- expected payoff
if(ProfitTrades>0) avgprofit=GrossProfit/ProfitTrades;
if(LossTrades>0) avgloss =GrossLoss/LossTrades;
if(SummaryTrades>0)
{
profitkoef=1.0*ProfitTrades/SummaryTrades;
losskoef=1.0*LossTrades/SummaryTrades;
ExpectedPayoff=profitkoef*avgprofit-losskoef*avgloss;
}
//---- absolute drawdown
AbsoluteDrawdown=initial_deposit-MaxLoss;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void InitializeSummaries(double initial_deposit)
{
InitialDeposit=initial_deposit;
MaxLoss=initial_deposit;
SummaryProfit=0.0;
GrossProfit=0.0;
GrossLoss=0.0;
MaxProfit=0.0;
MinProfit=0.0;
ConProfit1=0.0;
ConProfit2=0.0;
ConLoss1=0.0;
ConLoss2=0.0;
MaxDrawdown=0.0;
MaxDrawdownPercent=0.0;
RelDrawdownPercent=0.0;
RelDrawdown=0.0;
ExpectedPayoff=0.0;
ProfitFactor=0.0;
AbsoluteDrawdown=0.0;
SummaryTrades=0;
ProfitTrades=0;
LossTrades=0;
ShortTrades=0;
LongTrades=0;
WinShortTrades=0;
WinLongTrades=0;
ConProfitTrades1=0;
ConProfitTrades2=0;
ConLossTrades1=0;
ConLossTrades2=0;
AvgConWinners=0;
AvgConLosers=0;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double CalculateInitialDeposit()
{
double initial_deposit=AccountBalance();
//----
for(int i=HistoryTotal()-1; i>=0; i--)
{
if(!OrderSelect(i,SELECT_BY_POS,MODE_HISTORY)) continue;
int type=OrderType();
//---- initial balance not considered
if(i==0 && type==OP_BALANCE) break;
if(type==OP_BUY || type==OP_SELL)
{
//---- calculate profit
double profit=OrderProfit()+OrderCommission()+OrderSwap();
//---- and decrease balance
initial_deposit-=profit;
}
if(type==OP_BALANCE || type==OP_CREDIT)
initial_deposit-=OrderProfit();
}
//----
return(initial_deposit);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void WriteReport(string report_name)
{
int handle=FileOpen(report_name,FILE_CSV|FILE_WRITE,'\t');
if(handle<1) return;
//----
FileWrite(handle,"Initial deposit ",InitialDeposit);
FileWrite(handle,"Total net profit ",SummaryProfit);
FileWrite(handle,"Gross profit ",GrossProfit);
FileWrite(handle,"Gross loss ",GrossLoss);
if(GrossLoss>0.0)
FileWrite(handle,"Profit factor ",ProfitFactor);
FileWrite(handle,"Expected payoff ",ExpectedPayoff);
FileWrite(handle,"Absolute drawdown ",AbsoluteDrawdown);
FileWrite(handle,"Maximal drawdown ",MaxDrawdown,StringConcatenate("(",MaxDrawdownPercent,"%)"));
FileWrite(handle,"Relative drawdown ",StringConcatenate(RelDrawdownPercent,"%"),StringConcatenate("(",RelDrawdown,")"));
FileWrite(handle,"Trades total ",SummaryTrades);
if(ShortTrades>0)
FileWrite(handle,"Short positions(won %) ",ShortTrades,StringConcatenate("(",100.0*WinShortTrades/ShortTrades,"%)"));
if(LongTrades>0)
FileWrite(handle,"Long positions(won %) ",LongTrades,StringConcatenate("(",100.0*WinLongTrades/LongTrades,"%)"));
if(ProfitTrades>0)
FileWrite(handle,"Profit trades (% of total)",ProfitTrades,StringConcatenate("(",100.0*ProfitTrades/SummaryTrades,"%)"));
if(LossTrades>0)
FileWrite(handle,"Loss trades (% of total) ",LossTrades,StringConcatenate("(",100.0*LossTrades/SummaryTrades,"%)"));
FileWrite(handle,"Largest profit trade ",MaxProfit);
FileWrite(handle,"Largest loss trade ",-MinProfit);
if(ProfitTrades>0)
FileWrite(handle,"Average profit trade ",GrossProfit/ProfitTrades);
if(LossTrades>0)
FileWrite(handle,"Average loss trade ",-GrossLoss/LossTrades);
FileWrite(handle,"Average consecutive wins ",AvgConWinners);
FileWrite(handle,"Average consecutive losses",AvgConLosers);
FileWrite(handle,"Maximum consecutive wins (profit in money)",ConProfitTrades1,StringConcatenate("(",ConProfit1,")"));
FileWrite(handle,"Maximum consecutive losses (loss in money)",ConLossTrades1,StringConcatenate("(",-ConLoss1,")"));
FileWrite(handle,"Maximal consecutive profit (count of wins)",ConProfit2,StringConcatenate("(",ConProfitTrades2,")"));
FileWrite(handle,"Maximal consecutive loss (count of losses)",-ConLoss2,StringConcatenate("(",ConLossTrades2,")"));
//----
FileClose(handle);
}
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Indicator Curves created:
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features:
Uses files from the file system
It writes information to file