如何挑選最理想的EA

世面上流傳的EA數以千計，想要從中選出最適合自己交易方式和風險偏好的EA是十分困難的。本文將從數據著手，說明你更好地分析EA。

首先要記得，事後檢驗數據僅僅是對以往的表現進行分析，而歷史結果並不能代表未來的表現。

很多交易者在挑選EA時考慮的第一件事請就是：這個EA曾經表現如何？選取過往表現良好的EA是很重要的，但是僅憑這一點來判斷可能會導致不理想的結果。

歷史表現是要根據風險進行調整的。如果EA的利潤讓您眼前一亮，但是背後卻隐藏的巨大的風險，那就不值得去冒險。很多交易者在考慮風險的同時，會參考“盈利系數”來對盈利能力進行量化分析。

該系數是帳戶中每一美元的預期收益與因風險而產生的虧損的比值。盈利系數計算方法如下：

盈利系數=（盈利-佣金）/（最大跌幅+佣金）

盈利系數低於1的EA歷史表現不佳，產生的收益不足以彌補潛在的風險。下表是三個假想的EA數據。

由圖可知，EA 3的利潤系數低於1，可以立刻剔除掉。仔細查看數據就會發現，EA 3實際是盈利的（總收益-總虧損=890美元），但這一數字顯然沒有將風險（下行量）考慮在內。

交易員們關註的風險衡量標準就是EA產生的下行量。

下行分析：

分析EA的下行量應從資金曲線入手。波動幅度巨大、波動期間分散說明該EA的歷史表現不穩定（如圖1）；而資金曲線平滑則說明該EA歷史表現穩定（如圖2）。

接來下，為了進一步量化下行風險應參考以下三種方法。

最大跌幅

指的是EA在整個交易期間的最大下跌幅度（百分比）。
是最壞情況的指標。
如此考量的好處是：能夠確認自己能否承受剛開倉就下跌的風險。

平均跌幅

平均跌幅（百分比）可以衡量EA國王的整體表現。
用所有的虧損（百分比）除以實際虧損可得。
通常你的EA供應商會提供該數據。
平均跌幅會給出EA在整個“峰-谷”週期中的平均表現。

下跌反彈

顯示EA下跌反彈所需的平均時間範圍。
波動較小的EA反彈耗時較長。
時刻牢記反彈耗時越少越好。
EA越不穩定，反彈越快，但這通常是大波動市場決定的。

在挑選EA之時進行風險測量會起到很大的說明。在分析EA時要牢記每一個風險數據，並根據自己的風險承受能力來進行評估。

How to Search for the Ideal Metatrader EA

With thousands of Metatrader EAs out there, it can be tough to cut through the noise and find one suitable for your trading style and risk tolerance. To help you in this search, I've compiled the statistics that many traders find to be very beneficial when analyzing any Metatrader EA.

Keep in mind that many of these backtesting statistics look solely at past performance. It's important to mention here that past performance is not indicative of future results.
With that said, the very first thing many traders look for, and this is rather intuitive, is: How well has this EA performed in the past? Obviously it's important to look for one that has shown profitable results, but stopping there could lead to some detrimental results.

These returns need to be adjusted for risk. If the Metatrader EA has shown some eye opening profits, but took on a ton of risk, these returns may not have been worth your while. To quantify profitability while also considering the risk taken on by the EA, many traders look at a statistic known as the “Profit Factor.”

Profit Factor:

This ratio essentially shows you how much you can expect to gain for each dollar put into the account, over how much you're at risk of losing. The profit factor is calculated as:

(profit - commission)/(max drawdown + commission)

A Metatrader EA with a profit factor less than 1 is a historically poor performing EA. The returns that it has produced do not justify the amount of risk taken on. Take a look at the table below for statistics of three hypothetical Metatrader EAs.
 
As you can see from this table, EA 3 has a profit factor less than one, and can be immediately eliminated from your decision. If you look closely, EA 3 actually was profitable (Total Gain - Total Loss = $890), however this return does not justify the amount of risk (drawdown) taken on.

The risk measurement that many traders tend to focus on are the drawdowns that the Metatrader expert advisor has produced.

Drawdown Analysis:

When first analyzing the drawdowns of an EA, a good place to start is simply by looking at the equity curve. An EA with a choppy and sporadic equity curve shows a historically volatile EA (see the chart below to the left); whereas a smoother equity curve shows a historically more stable EA (see the chart to the right).
 
Now, to further quantify the drawdown analysis; there are three measures that many traders look at.

1. Max Drawdown:
 This is the largest drawdown (in percentage terms) that the EA has realized over its trading life
 This is the best indicator of a worst case scenario
 A good way to think about this is: If this drawdown occurred immediately after opening your account, could you stomach this type of risk?

2. Average Drawdown:
 The average drawdown size (in percentage terms) realized by the EA over its historical performance.
 Calculated by summing up all the losses (%) and dividing by the actual number of losses.
 In most cases this statistic can be provided by your EA vendor
 The average drawdown will give you an idea of what you might typically see (on average) in a peak-to-trough cycle.

3. Drawdown Recovery:
 Shows the time frame the trading robot has taken, on average, to recover from a drawdown back to a positive balance.
 A less volatile Metatrader expert advisor will often take longer to recover.
 Keep this in mind before deciding that a fast recovery is a good attribute.
 More volatile EAs often recover quicker, but this is due to large fluctuations and swings in performance.

These risk measurements will certainly be helpful when selecting the right EA for you. Keep each of these risk statistics in mind when analyzing any Metartrader EA, and always evaluate how they fit your personal risk tolerance. There are many more statistics and factors to consider when choosing an EA, and I will explain these in later articles.

本文翻譯由兄弟財經提供
文章來源：http://www.actionforex.com/articles-library/forex-articles/how-to-search-for-the-ideal-metatrader-ea-2009041684997/