|
PureBytes Links
Trading Reference Links
|
Dennis,
thanks for your reply!
> Thomas,
>
> That is what I do. Though I also add all the trading overhead as if
> it were real trades,
Yes, I think that's what gp_sydney is also doing in his "Looping in
Amibroker AFL.pdf" (see files section) in the "Gain Calculation"
example on p. 18.
> then adjust the % change to the maximum total
> profit which gives you a lot more insights.
Hm - I'm not sure that I understand ...
Dennis, are you possibly willing to share your code?
Regards,
Thomas
>
> 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:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> > Yahoo! Groups Links
>
> ------------------------------------
>
> 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
>
>
>
------------------------------------
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/
|