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Thomas,
That is what I do. Though I also add all the trading overhead as if
it were real trades, then adjust the % change to the maximum total
profit which gives you a lot more insights.
BR,
Dennis
On May 16, 2008, at 1:35 PM, Thomas Ludwig wrote:
> 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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