MAE / MFE 分析报告

样本: 400 笔 · 盈亏-MAE 相关 -0.37 · 盈亏-MFE 相关 0.72

盈亏与 MAE 负相关 (-0.37)：逆向偏移越大越易亏，设 SL 合理。SL 候选 = 亏损笔 MAE 75 分位 ≈ 38 点。

盈亏与 MFE 正相关 (0.72)：能跑到 X 点的笔更易盈利，TP 候选 = 盈利笔 MFE 中位 ≈ 45 点。

1. MAE / MFE 散点

蓝虚线 = 推荐的 SL/TP 候选阈值。MAE 图：右侧红点=逆向走很远还亏=该早止损；MFE 图：右侧绿点=涨得高最终赚=TP 可放到此处。

2. TP × SL 扫描热力图

圈=理论最优组合。色越绿=净盈利越高。注意"宽绿区"比"单点深绿"更稳健。

3. 如何获取 MAE/MFE 数据

MT5 标准 xlsx 报告不含逐笔 MAE/MFE。需在 EA 的 OnDeinit 里加如下代码导出 CSV，再喂给本工具：

// ====== MAE/MFE 日志片段（粘贴进 EA） ======
// 在文件顶部加:
#include <Trade\DealInfo.mqh>
#include <Trade\PositionInfo.mqh>

// 在 OnDeinit(const int reason) 末尾加:
void ExportMAEMFE()
{
    string fname = "mae_mfe_" + TimeToString(TimeCurrent(), TIME_DATE) + ".csv";
    int h = FileOpen(fname, FILE_WRITE | FILE_CSV | FILE_ANSI, ',');
    if(h == INVALID_HANDLE) { Print("MAE/MFE: 文件打开失败"); return; }
    FileWrite(h, "ticket","direction","open_time","close_time","open_price","close_price",
                 "mae_points","mfe_points","profit_money");

    HistorySelect(0, TimeCurrent() + 86400);
    int total = HistoryDealsTotal();
    // 按订单(order)配对 in/out
    for(int i = 0; i < total; i++)
    {
        ulong dealIn = HistoryDealGetTicket(i);
        if(HistoryDealGetInteger(dealIn, DEAL_ENTRY) != DEAL_ENTRY_IN) continue;

        long order = HistoryDealGetInteger(dealIn, DEAL_ORDER);
        ulong dealOut = 0;
        // 找同 order 的 out 成交
        for(int j = i + 1; j < total; j++)
        {
            ulong d = HistoryDealGetTicket(j);
            if(HistoryDealGetInteger(d, DEAL_ORDER) == order &&
               HistoryDealGetInteger(d, DEAL_ENTRY) == DEAL_ENTRY_OUT)
            { dealOut = d; break; }
        }
        if(dealOut == 0) continue;

        datetime tIn  = (datetime)HistoryDealGetInteger(dealIn,  DEAL_TIME);
        datetime tOut = (datetime)HistoryDealGetInteger(dealOut, DEAL_TIME);
        double pIn  = HistoryDealGetDouble(dealIn,  DEAL_PRICE);
        double pOut = HistoryDealGetDouble(dealOut, DEAL_PRICE);
        long   type = HistoryDealGetInteger(dealIn, DEAL_TYPE);   // DEAL_TYPE_BUY / SELL
        double profit = HistoryDealGetDouble(dealOut, DEAL_PROFIT)
                      + HistoryDealGetDouble(dealOut, DEAL_SWAP)
                      + HistoryDealGetDouble(dealOut, DEAL_COMMISSION);
        string dir = (type == DEAL_TYPE_BUY) ? "long" : "short";

        // 扫描持仓期间最高/最低价算 MAE/MFE（点）
        double mfe = 0, mae = 0;
        double pt  = SymbolInfoDouble(_Symbol, SYMBOL_POINT);
        for(datetime t = tIn; t <= tOut; t += PeriodSeconds())
        {
            double hi = iHigh(_Symbol, PERIOD_M1, iBarShift(_Symbol, PERIOD_M1, t, false));
            double lo = iLow (_Symbol, PERIOD_M1, iBarShift(_Symbol, PERIOD_M1, t, false));
            if(hi <= 0 || lo <= 0) continue;
            if(type == DEAL_TYPE_BUY)
            {
                double fav = (hi - pIn) / pt;   // 有利
                double adv = (pIn - lo) / pt;   // 不利
                if(fav > mfe) mfe = fav;
                if(adv > mae) mae = adv;
            }
            else
            {
                double fav = (pIn - lo) / pt;
                double adv = (hi - pIn) / pt;
                if(fav > mfe) mfe = fav;
                if(adv > mae) mae = adv;
            }
        }
        FileWrite(h, order, dir, TimeToString(tIn), TimeToString(tOut),
                     DoubleToString(pIn, _Digits), DoubleToString(pOut, _Digits),
                     DoubleToString(mae, 1), DoubleToString(mfe, 1),
                     DoubleToString(profit, 2));
    }
    FileClose(h);
    Print("MAE/MFE 已导出: ", fname);
}
// 在 OnDeinit 里调用: ExportMAEMFE();
// ====== 片段结束 ======