Re: [amibroker] Re: What is best statistic for straightness of equity curve?

[Thomas Ludwig <Thomas.Ludwig@xxxxxx>]

Brian,


> i.e. W/L
> without ave%w/ave%L doesn't tell us as much about outcomes as it does
> when combined, let alone simulated.

I'm using a metric I once found on the Ablesys website that combines 
both aspects. The Ablesys Index is calculated by multiplying Winning 
Rate, W/L Ratio and Profit Factor.

//AbleSys=st.GetValue("ProfitFactor") *st.GetValue("WinnersAvgProfit") / 
st.GetValue("LosersAvgLoss") * st.GetValue("WinnersQty") / 
st.GetValue("LosersQty"); 
    a=(st.GetValue("WinnersQty")/st.GetValue("LosersQty"));
    b=st.GetValue("WinnersAvgProfit")/-st.GetValue("LosersAvgLoss");
    C1=st.GetValue("ProfitFactor");
    AbleSys=a*b*C1;
    bo.AddCustomMetric( "AbleSys Index: <0.5: losing!, >1.2 tradable", 
AbleSys );

Best regards,

Thomas


------------------------------------

Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/