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Hi again!
Any ideas about following message?
PS I forgot that text editor would not accept greek characters when writing first mail. Therefore every "O" symbol in the previous message means in fact greek "sigma" - a math symbol for a sum. Sorry for the inconvinience.
--- In amibroker@xxxxxxxxxxxxxxx, "tf28373" <tomfid@xxx> wrote:
>
>
> Hi!
>
> I've been trying to add custom metric to backtester and optimization
> funcionalities called AIRAP
> <http://www.futures.pl/res_tmp/Hedge%20Quest%20-%20Summer%202005.pdf>
> (Alternative Investment Risk Adjusted Performance), which is composed as
> follows:
>
> AIRAP = [ Ó (( 1 + TRi ) ^ (-3))/N ] ^ ( -1/3 ) -1, where TRi is
> i-th trade profit and N is number of trades.
>
> I've come to following code:
>
> SetCustomBacktestProc("");//AIRAP
>
> if(Status("action")==actionPortfolio)
>
> {bo=GetBacktesterObject();
>
> bo.Backtest();
>
> st=bo.GetPerformanceStats(0);
>
> airap=
>
> ((1+st.GetValue("NetProfit")^(-3))
>
> /st.GetValue("AllQty")
>
> )^(1/(-3))-1;
>
> bo.AddCustomMetric("AIRAP",airap);}
>
> However I don't know how to include the sum of this equation part: (( 1
> + TRi ) ^ (-3))/N , in other word I cannot implement "Ó". I've been
> trying to achieve that using <sum()> function, without success though.
>
> Can you show me some way to transcript AIRAP equation into AFL? Maybe
> there is some part of User Guide dealing with this issue which I've
> overlooked or some papers on that in Knowledge Base?
>
> I will be grateful for any advice or trace :)
>
> Regards
>
> Tomasz
>
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