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I posted earlier on a message with a dll. However I just saw the
dll and not my message being posted to the mailing list (perhaps the
mailer stripped the text ??) - here is the text again (without the
dll):
> Thanks to Michael Paauwe for reminding us that we should compare
> system results to buy and hold. However, we need to be aware that TS
> does not consider a drawdown from an equity peak as long as the
> trade is still profitable.
I have included a code which I wrote sometime ago and which can be
included in any system in order to store the total equity on each bar
and calculate some sharpe ratio. Attached you will find a dll which I
used to accomplish this since it is necessary to store the total
equity for each day somewhere without running into the maxbars back
problem.
Don't expect too much from the code it was my working version. (I just
recompiled the dll - if someone runs into problems with it please
email)
Gerrit Jacobsen
http://www.tickscape.com
beta test- screenshot for those who can't wait.
{-------------------------------------------------Begin SystemReport
Add this code section to your system code - this code must be adapted
for each system.
The Report calculates a special sharp ratio.
It calculates a very rigid sharp ratio of a fixed time length window
which is continously shifted forward in the testing period.
The technique shown here can be used to calculate other profit
measures as well. The advantage is that this report measures the
profit ratios over a fixed time (bar) window which is shifted forward
and therefore reports from different systems can be compared to each
other even if other data lengths was used.
The technique is accomplished with the ts_kitsr.dll which lets you
store values. In this case the total equity (inclusive the
non-realised profit/loss) is stored and can be used later in order to
calculate profit ratios.
The final reports are in d:\ts40\SystSumm.TXT and d:\ts40\SystDetl.TXT
needs ts_kitsr.dll which lets you store values in a large array of max
13.000 values
change the directories as appropriate
The code needs to be adapted for every new system - see the comments
}
Vars:
FloatDummy(float(0)), PriceperCon(Float(0)), FloatDummy2(float(0)),
Sharpe(float(0)), Counter(INT(0)), GJProfit(Float(0)),
D2Profit(Float(0)), D1Profit(Float(0)),MyAverage(float(0)),
CumProf(float(0)), CumProfQuad(float(0)), StandardDev(float(0)),
MyString(""),MaxEquity(float(0)), MyDrawDown(float(0)),
Counter2(INT(0));
Inputs: LastBar(0), {LastBarNumber to be included in Report}
NoOfBars(20); {Which sharpe average do you want to observe -
expressed in bars}
DefineDLLFunc:"d:\ts\prog\ts_kitsr.dll",BOOL,"GetEquity", INT,
LPFLOAT, LPFLOAT;
DefineDLLFunc:"d:\ts\prog\ts_kitsr.dll",BOOL,"SetEquity", INT,
LPFLOAT, LPFLOAT;
If Currentbar = 1 then begin
{ FileDelete("d:\ts40\SystSumm.TXT");
FileDelete("d:\ts40\SystDetl.TXT"); }
FloatDummy2 = 0;
FloatDummy = 0;
For Counter = 1 to 13000 begin
SetEquity(Counter, &FloatDummy, &FloatDummy2); {make sure Array is
clean}
End;
end;
FloatDummy = GrossProfit+Grossloss+OpenPositionProfit; {calculate
total equity} FloatDummy2 = 0; SetEquity(Currentbar, &FloatDummy,
&FloatDummy2); {store equity}
IF NoOfBars > 0 and LastBar > NoOfBars and MaxContractsHeld > 0 and
Currentbar = Lastbar then begin {begin on last bar to calculate
profit ratios}
CumProf = 0;
For Counter = NoOfBars + 1 to Currentbar begin {loop over all bars}
GetEquity(Counter - NoOfBars, &D1Profit, &FloatDummy2); {get
previosly stored equity at start of window} GetEquity(Counter,
&D2Profit, &FloatDummy2); {get previosly stored equity at end of
window} MaxEquity = -99999999999; MyDrawdown = 0; For Counter2 =
(Counter - NoOfBars) to Counter begin {loop over window}
GetEquity(Counter2,&FloatDummy,&FloatDummy2);
IF FloatDummy > MaxEquity then MaxEquity = FloatDummy; {calculate
max equity} IF FloatDummy - MaxEquity < MyDrawDown then MyDrawDown
= FloatDummy - MaxEquity; {calculate max drawdown}
End;
GJProfit=100 * (D2Profit - D1Profit) /
(MaxContractsHeld*Margin-MyDrawDown); {calculate GJ Profit ratio}
SetEquity(Counter, &D2Profit, &GJProfit); {store GJ Profit ratio}
CumProf = CumProf + GJProfit; Mystring =
NumToStr(Counter-NoOfBars,0)+" "
+NumToStr(Variable1,2)+" "+NumToStr(Variable2,1)+
" "+NumToStr(Variable3,0)+
{Put here whichever parameters of your system you want to show in
your report}
" "+NumToStr(GJProfit,2)+NewLine;
{ FileAppend("d:\ts40\SystDetl.TXT", Mystring);} {include this line
if you want a detailed daily report saved}
end;
MyAverage = CumProf / (Currentbar - NoOfBars);
CumProfQuad = 0;
For Counter = NoOfBars + 1 to Currentbar begin
GetEquity(Counter, &FloatDummy, &GJProfit);
CumProfQuad = CumProfQuad + Power((MyAverage - GJProfit), 2);
end;
StandardDev = SquareRoot(CumProfQuad / (Currentbar - NoOfBars -1));
Sharpe = MyAverage / StandardDev;
Print("Var1:", Variable1:5:4,"Var2:",Variable2:2:1, "Var3:",
Variable3:3:0); {the variables can be any kind of parameter
which is optimized during testing and which you want to print}
Print(" Shrp:",Sharpe:4:2," Av.%Ret:", MyAverage:6:2, "%
NPr:",NetProfit:7:0, " NoTr.:", TotalTrades:4:0);
Mystring = NumToStr(Variable1,2)+" "+NumToStr(Variable2,1)+
" "+NumToStr(Variable3,0)+ {the variables can be any kind of
parameter which is optimized during testing and which you want to
print}
" "+NumToStr(Sharpe,2)+" "+NumToStr(MyAverage,2)+" "+NumToStr(NetPr
ofit,0)+" " + NumToStr(TotalTrades,0)+NewLine;
FileAppend("d:\ts40\SystSumm.TXT", Mystring);
End;
{---------------------------------------------------------------------
-----------------End SystemReport}
Attachments:
D:\ts40\prog\ts_kitsr.dll
Gerrit Jacobsen
http://www.tickscape.com
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