[amibroker] Re: Z score - Runs Test

[dubi1974]

I think I made it (is this right?):

SetOption("UseCustomBacktestProc", True );
SetCustomBacktestProc("",True);

if( Status("action") == actionPortfolio ) // point to correct iteration of 
backtest engine
{
        //initialize custom backtest engine
        //bo is backtestobject
        
        bo = GetBacktesterObject();
        
        bo.Backtest(); // run default backtest procedure
        st = bo.GetPerformanceStats(0); // get stats for all trades
        totalLossTrades = totalWinTrades = totalRuns = 0;
        for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade())
    {   //  Loop through all closed trades
        if (trade.GetProfit() > 0)      //  If this was a winning trade
        {
                        if (totalWinTrades == 0) totalRuns++;
            totalWinTrades++;
                        totalLossTrades = 0;                    
        }
                if (trade.GetProfit() < 0)      //  If this was a winning trade
        {
                        if (totalLossTrades == 0) totalRuns++;
            totalLossTrades++;
                        totalWinTrades = 0;
        }
                
    }   //  End of for loop over all trades

        
        
        N = st.GetValue("AllQty");
        R = totalRuns;
        WIN = st.GetValue("WinnersQty");
        LOSS = st.GetValue("LosersQty");
        X = 2 * WIN * LOSS;
        Z_Score = (N*(R-0.5)-X)/SQRT((X*(X-N))/(N-1));
        
        
        bo.AddCustomMetric( "Z-Score",Z_Score );
        bo.AddCustomMetric( "totalRuns",totalRuns );
}