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Dennis,
just another thought: My remark that I want to add ME as an additional
metric in the Custom Backtester is actually not precisely what I want.
I've recently started a new thread here called "IS and OOS equity
curves revisited". My ultimate goal is to add some analytical insight
to the *concatenated* IS and (particularly) OOS equity curves - and I'm
afraid this can't be done via the Custom Backtester. Adding, e.g.,
K-ratio and CAR is relatively easy - see my posts in that thread
(#123921 and 123945). Adding ME is a little bit more challenging ...;-)
Regards,
Thomas
> 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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> ------------------------------------
>
> 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
>
>
>
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