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I've read The Trading Game three times and will probably do so again. Focuses on Fixed Ratio MM but
discussed Fixed Fractional lots too.
Regards the stats:
- "expectation" is ambiguous. His derivation is provided but it's not the Tharp expectation...
- average drawdown is not calculated correctly. If anyone can help with it please chip in!
- code should append output to trade report stats
Because AB doesn't seem to base profits correctly for forex currently I am restricted to pretty
simple (point-based) stats. Hopefully Tomasz will help me with this soon and I can become a stats
nut too.. Grant
<code>
// custom backtester metrics
bo = GetBacktesterObject(); // retrieve the interface to portfolio backtester
bo.Backtest(); // run default backtest procedure
st = bo.GetPerformanceStats(0); // get stats for all trades
// expectancy calculation (Ryan Jones version)
payoff = st.GetValue("WinnersAvgProfit") / abs( st.GetValue("LosersAvgLoss") );
expect = ( ( 1 + payoff ) * ( st.GetValue("WinnersPercent") / 100 ) ) - 1;
// Ryan Jones statistics
bo.AddCustomMetric( "Ryan Jones statistics :" );
bo.AddCustomMetric( "1. net$profit", st.GetValue("NetProfit") );
bo.AddCustomMetric( "2. max$drawdown", abs( st.GetValue("MaxSystemDrawdown") ) );
bo.AddCustomMetric( "3. expectation (+/-)", expect );
bo.AddCustomMetric( "4. avg$trade", st.GetValue("AllAvgProfitLoss") );
bo.AddCustomMetric( "5a. avg$win : avg$loss", payoff );
bo.AddCustomMetric( "5b. %profitable", st.GetValue("WinnersPercent") );
bo.AddCustomMetric( "6. avg$drawdown * not correct *", abs( st.GetValue("MaxTradeDrawdown") ) /
st.GetValue("AllQty") ); // not correct !
bo.AddCustomMetric( "7. max$win : avg$win", st.GetValue("WinnersLargestWin") /
st.GetValue("WinnersAvgProfit") );
bo.AddCustomMetric( "8. total$profit : total$loss", st.GetValue("WinnersTotalProfit") / abs(
st.GetValue("LosersTotalLoss") ) );
</code>
brian.z123 wrote:
> Grant,
>
> I haven't made it to the CBT as yet but I would love a copy of your
> work.
> I can park it for a while and check it out later.
> Would you be able to email it to me or post it somewhere?
>
> I think I put that book on my wish list last week.
> I'll check.
>
> Right now I am dieing of statistical thirst so I will quaff down
> anything palatable.
>
> I am sure it is simple which is why I am stunned that the more popular
> authors barely touch on it.
>
> Thanks so much for your help.
>
> BrianB2.
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Grant Noble <gruntus@xxx> wrote:
>> People have mentioned the *Tharp* book as being a good starting
> point
>> for exploring trading statistics. I'd like to add that *"The Trading
>> Game" by Ryan Jones* has lots of interesting stuff to say about
> money
>> management and system development. He has a chapter on statistics
> and
>> even provides a basket of eight stats with an explanation of each.
> Good
>> simple stuff but I've found it useful. Have written CBT code for the
>> stats if anyone's interested. G
>>
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