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Thanks Grant,
You people are all lapping me.
I have copied key points from the posts and will give you all some
feedback somewhere down the track if appropriate.
Hope I can return the favour in the future.
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, Grant Noble <gruntus@xxx> wrote:
>
> 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@> 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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