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Just realise that there is a flaw in this method that I outlined in
that it is based on the assumption that MAE occurs before MFE which
is not always the case
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxx> wrote:
>
> Thomas
> I think the model efficency can be calculated in the CBT without
> directly getting PP, This can be done by obtaining the Theoretical
> buy point (tbp) around the actual buy point, and obtaining tsp
around
> the sell point.
> The tbp can happen either before or just after the buy point.
> first look at the before scenario, you can either use trough or LLV
> function. the problem with the trough function is that the low
> obtained from Trough() could be quite far away. Lets say we use LLV
> (L, pds) where pds is half the average bars held obtained directly
> from CBT metrics
> so tbp_before = LLV(L, bars/2)
> To find tbp_after we can use the mae metrics from backtest directly
> tbp_after = (1 + mae)*buyprice;
> tbp = min(tbp_before, tbp_after);
> The cbt code for tbp could be as follows:
> ....
> bo = GetBacktesterObject();
> bo.Backtest();
> st.bo.GetPerformanceStats(0);
> bars = st.GetValue("AllavgBarsHeld");
> me = 0; //stores the sum of model eff per trade
> for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade
() )
> {
> sym = trade.Symbol;
> mae = trade.GetMAE();
> lp = foregin(sym, "L");
> tbp_before = lastvalue(valuewhen(datetime()==
trade.EntryDateTime,
> LLV(lp,bars/2)));
> tbp_after = (1+mae)*trade.EntryPrice;
> tbp = min(tbp_before, tbp_after);
> ........
> tsp = max(tsp_before, tsp_after);
> theoreticProfitratio = tsp/tbp;
> realprofitratio = trade.ExitPrice/trade.EntryPrice;
> me += realprofitratio/theoreticProfitratio;
> }
> .... // do the same with open position
> mean_me = me/st.GetValue("AllQty");
> There are a number of variations depending on your perference
> 1. You can use trough and peak instead of LLV and HHV
> 2. instead of average ME, you can go for accumulated ME by dividing
> real profit / theoretical profit. Not sure the figure would be too
> small to make a lot of sense.
> 3. you can use geometric average instead of arithmetic average
>
> Now a few questions to both Thomas and Dennis
> What kind of insights can one obtain with this comparsion? and How
do
> you intend to use it? And would you mind post some of your findings?
>
> Cheers
> Paul.
> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
> >
> > 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
> > >
> > > ------------------------------------
> > >
> > > 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:
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> > >
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> > >
> > >
> > >
> >
>
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