Might be easiest to just read in a table from which to do the lookup. Otherwise the math for the "p-value" can be found here:
http://www.danielsoper.com/statkb/topic08.aspx Mike --- In [email protected], "Diz" <gro...@...> wrote: > > 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" <mkecera@> 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. > > > > > >
