Hi again! Any ideas about following message?
PS I forgot that text editor would not accept greek characters when writing first mail. Therefore every "O" symbol in the previous message means in fact greek "sigma" - a math symbol for a sum. Sorry for the inconvinience. --- In [email protected], "tf28373" <tom...@...> wrote: > > > 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 >
