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PureBytes Links
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Hi all,
Rober Pardo suggests in his book "The Evaluation and Optimization of
Trading Strategies" the calculation of "Perfect Profit" (PP) which "is
the sum total of all of the potential profit that could be realized by
buying every bottom and selling every top". By comparing Net Profit of
your trading system with PP you can calculate the "Model Efficiency"
(ME).
I think PP can be easily calculated as a stand-alone code by applying a,
say, 1% Zigzag. But how can it be done if I want to add ME as an
additional metric in the Custom Backtester? The Equity() function is
used for your trading system and cannot be used for the Zigzag system
at the same time in order to compare both, IMHO. So the only solution I
can think of is to loop through all Zigzag signals and calculate the
profit programmatically. Or am I overlooking something?
Pardo also suggests to calculate the Remaining Percentage of Degrees of
Freedom (through Used Dgrees of Freedom and Original Degrees of
Freedom). Any idea if and how they can be counted in AFL?
Regards,
Thomas
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