Thank you for your response. I've already managed to calculate t-test (tstat) in a similar way. What I'm trying to do now is to calculate probability itself.
Denis. --- In [email protected], "mkecera" <mkec...@...> wrote: > > 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], "diznyc@" <ground@> 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. > > >
