Hi,
The following is what you have asked for. But, I don't think that it is
what the article is suggesting. My interpretation of the article is that
TRi is the change in equity from each bar to the next. In other words, N
is supposed to be the number of bars, and TRi is supposed to be the rate
of change from the previous bar.
fast = MA( Close, 5 );
slow = MA( Close, 25 );
Buy = Cross( fast, slow );
Sell = Cross( slow, fast );
SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest();
summation = 0;
trades = 0;
for ( trade = bo.getFirstTrade(); trade; trade = bo.getNextTrade() )
{
summation += ( ( 1 + trade.getProfit() ) ^ -3 );
trades++;
}
bo.AddCustomMetric( "AIRAP", ( ( summation / trades ) ^ ( -1 / 3 ) )
- 1 );
}
Mike
--- In [email protected], "tf28373" <tom...@...> wrote:
>
> 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" tomfid@ 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
> >
>
