Hello Paul,
you are absolutely correct, it ought to be as simple as running
this code in an Indicator:
....systems code...
E = Equity(1);
// This function would be called once only
NP = NetProfit(E);
// New AFL functions that return ARRAYs based on the
equity Array
NPP = NetPercentProfit(E)
CA = CAR(E)
RA = RAR(E)
MaxTradeDD = ... and so on for all performance metrics.
... second level of systems code using the above metrics for
system analysis, signal generation, position scoring, position sizing, etc.
...
The so called solutions discussed in this thread either do not
provide the above arrays for use in auto-refreshing indicators, or require a
thousand lines of code written by a professional programmer.
best regards,
herman
For tips on developing Real-Time Auto-Trading systems visit:
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Sunday, May 18, 2008, 10:50:31 PM, you wrote:
> Herman,
> I think I know where you are coming from.
The difference between
> using indicators vs scripts is that
indicators continue to
> recalculate ( or in this case backtest) as
new data arrives.
> One way to broker the impass with Tomasz is
consider simple profolio
> backtesting as an AFL function. Rather than
using OLE, This option is
> write a function similar to Equity() in
which the symbols in a
> watchlist is read and backtested.
>
> I think this function could be done in AFL
today using the various
> functions already available. ie
CategoryGetSymbol to get the symbols,
> foreign to set foreign symbol, the equity()
function to get rid of
> excess signals etc. Of course, you have to
do your own ositionscoring
> and position sizing. Since Fred has done
this before, may be he can
> comment further or if he is generous
enough, dig out his code and
> post it again.
> Essentially, this function can be called in
your indicator afl. In
> that way, you can have your pie and eat it
as well. I'm sure if
> Tomasz sees a use in it, he will
incorporate in his list of functions
> to do in the future.
> What do you think?
> Regards
> Paul.
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