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Thomas,
I am in the middle of rewriting this code at the moment. This stuff
is embedded in about 5000 lines of AFL. I am working with intraday
range bars, I use (H+L)/2 for my zigzag input. I wrote my own zigzag
AFL to add the point when a signal becomes valid without look ahead
(though that is irrelevant to this use). I don't use the back tester
at all or CBT for my system. I wrote my own simple custom back tester
that better suits my single issue futures trading.
You get a perfect looking equity curve with a lookahead zigzag. Only
the absolute gain will change with the settings and will peak at a
certain setting if the trading overhead is included. looking at the
trading arrows on the chart will yield insights about the maximum
profit potential trade size and frequency. There is no magic to it.
It has been done and written about many times before. It is the most
basic way to determine maximum profit potential of a market.
BR,
Dennis
On May 17, 2008, at 6:14 AM, Thomas Ludwig wrote:
> 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
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>>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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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
>>
>>
>>
>
>
> ------------------------------------
>
> 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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