Hi!
I've been trying to add custom metric to backtester and optimization
funcionalities called AIRAP
<http://www.futures.pl/res_tmp/Hedge%20Quest%20-%20Summer%202005.pdf>
(Alternative Investment Risk Adjusted Performance), which is composed as
follows:
AIRAP = [ Ó (( 1 + TRi ) ^ (-3))/N ] ^ ( -1/3 ) -1, where TRi is
i-th trade profit and N is number of trades.
I've come to following code:
SetCustomBacktestProc("");//AIRAP
if(Status("action")==actionPortfolio)
{bo=GetBacktesterObject();
bo.Backtest();
st=bo.GetPerformanceStats(0);
airap=
((1+st.GetValue("NetProfit")^(-3))
/st.GetValue("AllQty")
)^(1/(-3))-1;
bo.AddCustomMetric("AIRAP",airap);}
However I don't know how to include the sum of this equation part: (( 1
+ TRi ) ^ (-3))/N , in other word I cannot implement "Ó". I've been
trying to achieve that using <sum()> function, without success though.
Can you show me some way to transcript AIRAP equation into AFL? Maybe
there is some part of User Guide dealing with this issue which I've
overlooked or some papers on that in Knowledge Base?
I will be grateful for any advice or trace :)
Regards
Tomasz
