|
PureBytes Links
Trading Reference Links
|
I think I made it (is this right?):
SetOption("UseCustomBacktestProc", True );
SetCustomBacktestProc("",True);
if( Status("action") == actionPortfolio ) // point to correct iteration of backtest engine
{
//initialize custom backtest engine
//bo is backtestobject
bo = GetBacktesterObject();
bo.Backtest(); // run default backtest procedure
st = bo.GetPerformanceStats(0); // get stats for all trades
totalLossTrades = totalWinTrades = totalRuns = 0;
for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade())
{ // Loop through all closed trades
if (trade.GetProfit() > 0) // If this was a winning trade
{
if (totalWinTrades == 0) totalRuns++;
totalWinTrades++;
totalLossTrades = 0;
}
if (trade.GetProfit() < 0) // If this was a winning trade
{
if (totalLossTrades == 0) totalRuns++;
totalLossTrades++;
totalWinTrades = 0;
}
} // End of for loop over all trades
N = st.GetValue("AllQty");
R = totalRuns;
WIN = st.GetValue("WinnersQty");
LOSS = st.GetValue("LosersQty");
X = 2 * WIN * LOSS;
Z_Score = (N*(R-0.5)-X)/SQRT((X*(X-N))/(N-1));
bo.AddCustomMetric( "Z-Score",Z_Score );
bo.AddCustomMetric( "totalRuns",totalRuns );
}
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
amibroker-digest@xxxxxxxxxxxxxxx
amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|