Indeed, as it is for all non-native AFL stats & math functions. In this case, the R-function is called t.test.
See http://finance.groups.yahoo.com/group/amibroker/message/129240 PS --- In [email protected], James <jamesmemp...@...> wrote: > > 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 <sfclimb...@...> > 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" <ground@> 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. > > > > > > > > > >
