[amibroker] Re: Probability for the Student t-distribution (TDIST Excel function)

["mkecera" <mkecera@xxxxxxxxx>]

Well, 

I have a custom backtest code with tstat as performance metric. Maybe you can use that as starting point. But check it carefully as I havent used it for a while and just copy/pasted it.

/* First we need to enable custom backtest procedure and 
** tell AmiBroker to use current formula 
*/ 

SetCustomBacktestProc(""); 

if( Status("action") == actionPortfolio ) 
{ 

bo = GetBacktesterObject(); 
bo.Backtest(); // run default backtest procedure 
st = bo.GetPerformanceStats(0); // get stats for all trades 
	
Sumx=0;
smx2=0;

for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() ) 
	{ 
	x = trade.GetProfit();
	sumx+=x;
	smx2+=x*x;
	}
	
xpriem=st.GetValue("AllAvgProfitLoss");
x2priem=smx2/st.GetValue("AllQty");
xpriem2=st.GetValue("AllAvgProfitLoss")^2;
standarddeviation=sqrt(x2priem-xpriem2);

tstat = (xpriem/standarddeviation)/sqrt(st.GetValue("AllQty"))*1000000;//multiplied to be seen in report 
//custom = st.GetValue("netprofit")*st.GetValue("kratio");
    
bo.AddCustomMetric( "tstat", tstat );
//bo.AddCustomMetric( "custom", custom ); 
} 

Regards,

MK

// your trading system here 

--- In amibroker@xxxxxxxxxxxxxxx, "diznyc@xxx" <ground@xxx> wrote:
>
> Hello all,
> 
> What is the best (easiest) way to calculate probability for the Student t-distribution in AFL (analog of TDIST Excel function)?
> 
> Is it possible to call Excel function somehow from AFL or other external statistical library?
> 
> Thank you in advance,
> 
> Denis.
>




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