Hello,
I have what I think should be a pretty basic question, but I cannot seem to
figure it out.
I am adding a custom back test metric to my system. I want to add a penalty
function (as described by Howard Bandy in QTS) based on trade frequency.
I hove found where to get the number of trades in the backtest ("AllQty" ), but
I cannot figure out where to find the number of days covered in the backtest.
I thought I would be able to use intial equity, ending equity, and CAR to
calculate it, when I do, it does not come up with the right number. Does
AmiBroker use something other than the standard CAR calculation?
Any help would be appreciated,
James
