Might be easiest to just read in a table from which to do the lookup. Otherwise the math for the "p-value" can be found here:
http://www.danielsoper.com/statkb/topic08.aspx
Mike
--- In amibroker@xxxxxxxxx ps.com, "Diz" <ground@xxx> wrote:
>
> Thank you for your response.
>
> I've already managed to calculate t-test (tstat) in a similar way. What I'm trying to do now is to calculate probability itself.
>
> Denis.
>
> --- In amibroker@xxxxxxxxx ps.com, "mkecera" <mkecera@> wrote:
> >
> > 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
> > */
> >
> > SetCustomBacktestPr oc("");
> >
> > if( Status("action" ) == actionPortfolio )
> > {
> >
> > bo = GetBacktesterObject ();
> > bo.Backtest( ); // run default backtest procedure
> > st = bo.GetPerformanceSt ats(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( "AllAvgProfitLos s");
> > x2priem=smx2/
st.GetValue( "AllQty") ;
> > xpriem2=st.GetValue ("AllAvgProfitLo ss")^2;
> > standarddeviation= sqrt(x2priem- xpriem2);
> >
> > tstat = (xpriem/standarddev iation)/sqrt( st.GetValue( "AllQty") )*1000000; //multiplied to be seen in report
> > //custom = st.GetValue( "netprofit" )*st.GetValue( "kratio") ;
> >
> > bo.AddCustomMetric( "tstat", tstat );
> > //bo.AddCustomMetri c( "custom", custom );
> > }
> >
> > Regards,
> >
> > MK
> >
> > // your trading system here
> >
> > --- In amibroker@xxxxxxxxx ps.com, "diznyc@" <ground@> 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.
> > >
> >
>