Well,
I have a custom backtest code with tstat as performance metric. Maybe you can
use that as starting point. But check it carefully as I havent used it for a
while and just copy/pasted it.
/* First we need to enable custom backtest procedure and
** tell AmiBroker to use current formula
*/
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(); // run default backtest procedure
st = bo.GetPerformanceStats(0); // get stats for all trades
Sumx=0;
smx2=0;
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
x = trade.GetProfit();
sumx+=x;
smx2+=x*x;
}
xpriem=st.GetValue("AllAvgProfitLoss");
x2priem=smx2/st.GetValue("AllQty");
xpriem2=st.GetValue("AllAvgProfitLoss")^2;
standarddeviation=sqrt(x2priem-xpriem2);
tstat =
(xpriem/standarddeviation)/sqrt(st.GetValue("AllQty"))*1000000;//multiplied to
be seen in report
//custom = st.GetValue("netprofit")*st.GetValue("kratio");
bo.AddCustomMetric( "tstat", tstat );
//bo.AddCustomMetric( "custom", custom );
}
Regards,
MK
// your trading system here
--- In [email protected], "diz...@..." <gro...@...> wrote:
>
> Hello all,
>
> What is the best (easiest) way to calculate probability for the Student
> t-distribution in AFL (analog of TDIST Excel function)?
>
> Is it possible to call Excel function somehow from AFL or other external
> statistical library?
>
> Thank you in advance,
>
> Denis.
>
