Hello,
I may suffer from blurred vision, but I just can´t
find out why last metric (Bliss (frequency)) alway returns negative
zero?!
The metrics it consists of (icagr, max_dd) work just
fine! The fact that the quotient is negative shows that AB must have some
information as to the nature of the denominator!
Incidentally, ICAGR holds the value of 0.05 and
max_dd = -1502531.25 as shown by the backtest report!
Thanks
Markus
Ratio = Ending_equity / Starting_equity;
ICAGR = ln(Ratio)/ Date_Range_In_Years;
Bliss = Icagr/Max_dd;
bo.addcustommetric("Days under
test",Days_under_test);
bo.addcustommetric("Date range in
years",Date_range_in_years);
//last_open_position_value is without margin; see formula
above!!!
bo.addcustommetric("Last_open_position_value no margin",
Last_open_position_value);
bo.addcustommetric("My_ending_equity", ending_equity);
bo.addcustommetric("Ratio", ratio);
bo.addcustommetric("ICAGR", icagr);
bo.addcustommetric("max.
SystemDrawdown", Max_dd);
bo.addcustommetric("Bliss
(frequency)",
icagr/Max_dd);