[amibroker] Re: Probability for the Student t-distribution (TDIST Excel function)

["Diz" <ground@xxxxxxx>]

Thank you for your response.

I've already managed to calculate t-test (tstat) in a similar way. What I'm trying to do now is to calculate probability itself.

Denis.

--- In amibroker@xxxxxxxxxxxxxxx, "mkecera" <mkecera@xxx> wrote:
>
> Well, 
> 
> I have a custom backtest code with tstat as performance metric. Maybe you can use that as starting point. But check it carefully as I havent used it for a while and just copy/pasted it.
> 
> /* First we need to enable custom backtest procedure and 
> ** tell AmiBroker to use current formula 
> */ 
> 
> SetCustomBacktestProc(""); 
> 
> if( Status("action") == actionPortfolio ) 
> { 
> 
> bo = GetBacktesterObject(); 
> bo.Backtest(); // run default backtest procedure 
> st = bo.GetPerformanceStats(0); // get stats for all trades 
> 	
> Sumx=0;
> smx2=0;
> 
> for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() ) 
> 	{ 
> 	x = trade.GetProfit();
> 	sumx+=x;
> 	smx2+=x*x;
> 	}
> 	
> xpriem=st.GetValue("AllAvgProfitLoss");
> x2priem=smx2/st.GetValue("AllQty");
> xpriem2=st.GetValue("AllAvgProfitLoss")^2;
> standarddeviation=sqrt(x2priem-xpriem2);
> 
> tstat = (xpriem/standarddeviation)/sqrt(st.GetValue("AllQty"))*1000000;//multiplied to be seen in report 
> //custom = st.GetValue("netprofit")*st.GetValue("kratio");
>     
> bo.AddCustomMetric( "tstat", tstat );
> //bo.AddCustomMetric( "custom", custom ); 
> } 
> 
> Regards,
> 
> MK
> 
> // your trading system here 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "diznyc@" <ground@> wrote:
> >
> > Hello all,
> > 
> > What is the best (easiest) way to calculate probability for the Student t-distribution in AFL (analog of TDIST Excel function)?
> > 
> > Is it possible to call Excel function somehow from AFL or other external statistical library?
> > 
> > Thank you in advance,
> > 
> > Denis.
> >
>




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