如何挑选最理想的EA

世面上流传的EA数以千计，想要从中选出最适合自己交易方式和风险偏好的EA是十分困难的。本文将从数据着手，帮助你更好地分析EA。

首先要记得，事后检验数据仅仅是对以往的表现进行分析，而历史结果并不能代表未来的表现。

很多交易者在挑选EA时考虑的第一件事请就是：这个EA曾经表现如何？选取过往表现良好的EA是很重要的，但是仅凭这一点来判断可能会导致不理想的结果。

历史表现是要根据风险进行调整的。如果EA的利润让您眼前一亮，但是背后却隐藏的巨大的风险，那就不值得去冒险。很多交易者在考虑风险的同时，会参考“盈利系数”来对盈利能力进行量化分析。

该系数是账户中每一美元的预期收益与因风险而产生的亏损的比值。盈利系数计算方法如下：

盈利系数=（盈利-佣金）/（最大跌幅+佣金）

盈利系数低于1的EA历史表现不佳，产生的收益不足以弥补潜在的风险。下表是三个假想的EA数据。

由图可知，EA 3的利润系数低于1，可以立刻剔除掉。仔细查看数据就会发现，EA 3实际是盈利的（总收益-总亏损=890美元），但这一数字显然没有将风险（下行量）考虑在内。

交易员们关注的风险衡量标准就是EA产生的下行量。

下行分析：

分析EA的下行量应从资金曲线入手。波动幅度巨大、波动期间分散说明该EA的历史表现不稳定（如图1）；而资金曲线平滑则说明该EA历史表现稳定（如图2）。

接来下，为了进一步量化下行风险应参考以下三种方法。

最大跌幅

指的是EA在整个交易期间的最大下跌幅度（百分比）。
是最坏情况的指标。
如此考量的好处是：能够确认自己能否承受刚开仓就下跌的风险。

平均跌幅

平均跌幅（百分比）可以衡量EA国王的整体表现。
用所有的亏损（百分比）除以实际亏损可得。
通常你的EA供应商会提供该数据。
平均跌幅会给出EA在整个“峰-谷”周期中的平均表现。

下跌反弹

显示EA下跌反弹所需的平均时间范围。
波动较小的EA反弹耗时较长。
时刻牢记反弹耗时越少越好。
EA越不稳定，反弹越快，但这通常是大波动市场决定的。

在挑选EA之时进行风险测量会起到很大的帮助。在分析EA时要牢记每一个风险数据，并根据自己的风险承受能力来进行评估。

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.

本文翻译由兄弟财经提供
文章来源：http://www.actionforex.com/articles-library/forex-articles/how-to-search-for-the-ideal-metatrader-ea-2009041684997/