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I am trying to code this in Amibroker to screen entry conditions.
Suppose BuyCond is met, how to calculate the return in 20 days,
maximum risk point, maximum profit point etc.
(C-ref(C, -20))/ref(C, -20)*BuyCond should be the return of 20 days
of position holding. The questions are:
1) Now how to avoid repetitive counts of BuyCond suppose day 1
buycond is met, the second day it's still met. This happens all the
time in trend following systems.
2) How to calculate the probability by positive return/number of
events.
3) how to calculate average return by total return/number of events...
Is it possible in AFL to calculate the number of events and generate
a table to check once BuyCond is met, the return in 1 day, 5 days, 20
days etc, its probability, maximum risk, maximum profit...
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