Re: [amibroker] Blurred vision?

["Markus Witzler" <funnybiz@xxxxxx>]

TJ,

 

thanks loads.

 

By mistake, I wanted to use max. DD in % but used it in terms of dollars.

 

Bliss = 0.0514/0.6090 (max DD in %) = 0.0844

 

Sorry for wasting your time! I often don´t see the forest for the trees...

 

Thanks loads

 

Markus

----- Original Message -----

From: Tomasz Janeczko

To: amibroker@xxxxxxxxxxxxxxx

Sent: Monday, January 25, 2010 5:15 PM

Subject: Re: [amibroker] Blurred vision?

 

Hello,

Take hand-held calculator and perform division
icagr/Max_dd

if icagr is 0.05 and you divide by -1502531
you will get:
-0.00000003327

So it is minus zero (when rounded to 2 decimal)

Best regards,
Tomasz Janeczko
amibroker.com

On 2010-01-25 16:55, Markus Witzler wrote:

Hello,

 

does nobody have a clue why this doesn´work as intended?

 

I really have no idea...

 

Thanks

 

Markus

----- Original Message -----

From: Markus Witzler

To: amibroker@xxxxxxxxxps.com

Sent: Sunday, January 24, 2010 2:43 PM

Subject: Blurred vision?

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);

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