Thanks Grant, You people are all lapping me.
I have copied key points from the posts and will give you all some feedback somewhere down the track if appropriate. Hope I can return the favour in the future. BrianB2. --- In [email protected], Grant Noble <[EMAIL PROTECTED]> wrote: > > I've read The Trading Game three times and will probably do so again. Focuses on Fixed Ratio MM but > discussed Fixed Fractional lots too. > Regards the stats: > - "expectation" is ambiguous. His derivation is provided but it's not the Tharp expectation... > - average drawdown is not calculated correctly. If anyone can help with it please chip in! > - code should append output to trade report stats > Because AB doesn't seem to base profits correctly for forex currently I am restricted to pretty > simple (point-based) stats. Hopefully Tomasz will help me with this soon and I can become a stats > nut too.. Grant > > <code> > // custom backtester metrics > bo = GetBacktesterObject(); // retrieve the interface to portfolio backtester > bo.Backtest(); // run default backtest procedure > st = bo.GetPerformanceStats(0); // get stats for all trades > // expectancy calculation (Ryan Jones version) > payoff = st.GetValue("WinnersAvgProfit") / abs( st.GetValue ("LosersAvgLoss") ); > expect = ( ( 1 + payoff ) * ( st.GetValue("WinnersPercent") / 100 ) ) - 1; > // Ryan Jones statistics > bo.AddCustomMetric( "Ryan Jones statistics :" ); > bo.AddCustomMetric( "1. net$profit", st.GetValue("NetProfit") ); > bo.AddCustomMetric( "2. max$drawdown", abs( st.GetValue ("MaxSystemDrawdown") ) ); > bo.AddCustomMetric( "3. expectation (+/-)", expect ); > bo.AddCustomMetric( "4. avg$trade", st.GetValue ("AllAvgProfitLoss") ); > bo.AddCustomMetric( "5a. avg$win : avg$loss", payoff ); > bo.AddCustomMetric( "5b. %profitable", st.GetValue ("WinnersPercent") ); > bo.AddCustomMetric( "6. avg$drawdown * not correct *", abs( st.GetValue("MaxTradeDrawdown") ) / > st.GetValue("AllQty") ); // not correct ! > bo.AddCustomMetric( "7. max$win : avg$win", st.GetValue ("WinnersLargestWin") / > st.GetValue("WinnersAvgProfit") ); > bo.AddCustomMetric( "8. total$profit : total$loss", st.GetValue ("WinnersTotalProfit") / abs( > st.GetValue("LosersTotalLoss") ) ); > </code> > > brian.z123 wrote: > > Grant, > > > > I haven't made it to the CBT as yet but I would love a copy of your > > work. > > I can park it for a while and check it out later. > > Would you be able to email it to me or post it somewhere? > > > > I think I put that book on my wish list last week. > > I'll check. > > > > Right now I am dieing of statistical thirst so I will quaff down > > anything palatable. > > > > I am sure it is simple which is why I am stunned that the more popular > > authors barely touch on it. > > > > Thanks so much for your help. > > > > BrianB2. > > > > > > > > > > --- In [email protected], Grant Noble <gruntus@> wrote: > >> People have mentioned the *Tharp* book as being a good starting > > point > >> for exploring trading statistics. I'd like to add that *"The Trading > >> Game" by Ryan Jones* has lots of interesting stuff to say about > > money > >> management and system development. He has a chapter on statistics > > and > >> even provides a basket of eight stats with an explanation of each. > > Good > >> simple stuff but I've found it useful. Have written CBT code for the > >> stats if anyone's interested. G > >> > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html 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: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
