I am late to this thread and have not used it (meaning I should shut up), but wouldn't the R-math plug-in be perfect for this type of stuff?
________________________________ From: Mike <[email protected]> To: [email protected] Sent: Thu, January 14, 2010 4:17:18 PM Subject: [amibroker] Re: Probability for the Student t-distribution (TDIST Excel function) 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 amibro...@yahoogrou ps.com, "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 amibro...@yahoogrou ps.com, "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 > > */ > > > > SetCustomBacktestPr oc(""); > > > > if( Status("action" ) == actionPortfolio ) > > { > > > > bo = GetBacktesterObject (); > > bo.Backtest( ); // run default backtest procedure > > st = bo.GetPerformanceSt ats(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( "AllAvgProfitLos s"); > > x2priem=smx2/ st.GetValue( "AllQty") ; > > xpriem2=st.GetValue ("AllAvgProfitLo ss")^2; > > standarddeviation= sqrt(x2priem- xpriem2); > > > > tstat = (xpriem/standarddev iation)/sqrt( st.GetValue( "AllQty") )*1000000; > > //multiplied to be seen in report > > //custom = st.GetValue( "netprofit" )*st.GetValue( "kratio") ; > > > > bo.AddCustomMetric( "tstat", tstat ); > > //bo.AddCustomMetri c( "custom", custom ); > > } > > > > Regards, > > > > MK > > > > // your trading system here > > > > --- In amibro...@yahoogrou ps.com, "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. > > > > > >
