Re: [amibroker] Expectancy

["Tomasz Janeczko" <amibroker@xxxxxx>]

Al,

I will respond in detail tommorrow as I was working whole day on bringing new 4.68.2 BETA that provides

enhanced error reporting in AFL editor and couple of fixes to problems that surfaced with 4.68.1

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: Al Venosa

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, January 25, 2005 2:42 PM

Subject: Re: [amibroker] Expectancy

Thanks for the clarification, TJ. Yes, you are right. I did miss the ApplyStop function. I'm more interested, however, in dynamic, volatility-based max stoplosses and calculating risk as a function of equity, not as a function of the dollar amount invested per trade. I took a crack at re-writing your Expectancy3 example using a 2*ATR(10) stoploss rather than a percentage stoploss, using a constant defined risk as 1% of current equity. Now, don't shoot me, but is the code below correct? I only changed 2 lines (bold font) plus the ApplyStop at the end.

SetCustomBacktestProc("");
MaxLossPointStop = 2*ATR(10); // dynamic volatility stoploss

function FindEquityAtDateTime( eq, dt, Value )
{
   found = -1;
   for( i = 0; i < BarCount AND found == -1; i++ )
   {
      if( dt[ i ] == Value ) found = i;
   }
   return IIf( found != -1, eq[ found  - 1 ], Null );
}
if( Status("action") == actionPortfolio )
{
    bo = GetBacktesterObject();
    bo.Backtest(1); // run default backtest procedure
    SumProfitPerRisk = 0;
    NumTrades = 0; 
<>    dt = DateTime(); 
    eq = Foreign("~~~EQUITY", "C" );

   for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
   {
      Risk = 0.01 * eq; //risk is defined as a constant 1% of current equity

      EquityAtEntry = FindEquityAtDateTime( eq, dt, trade.EntryDateTime ); 

<>      RiskAsPecentOfCurrentEquity = 100 * Risk / EquityAtEntry;
      RMultiple = trade.GetProfit()/Risk; 
      trade.AddCustomMetric("Initial risk $", Risk  );         
      trade.AddCustomMetric("Equity at entry", EquityAtEntry ); 
      trade.AddCustomMetric("Risk as % of Eq.", RiskAsPecentOfCurrentEquity ); 

      trade.AddCustomMetric("R-Multiple", RMultiple  );
      SumProfitPerRisk = SumProfitPerRisk + RMultiple; 
      NumTrades++;
   }
    Expectancy3 = SumProfitPerRisk / NumTrades;
    bo.AddCustomMetric( "Expectancy (per risk)", Expectancy3 );
    bo.ListTrades();
}
// your trading system here

ApplyStop( stopTypeLoss, stopModePoint, MaxLossPointStop );

Check AmiBroker web page at:
http://www.amibroker.com/

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Check AmiBroker web page at:
http://www.amibroker.com/

Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html

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