RE: Profit Factor & System Analysis

["Paul Barnes" <paul@xxxxxxxxxxxx>]

Peter Ryan wrote:

* Could you give some more info on the include system structure?

>> I use an IncludeSystem with all my testing to bring in systems that write
equity data to files.  I then
>>have macros in Excel so that I can quickly open those files and graph the
>>equity curves for both closed trades, and daily equity.

Where I'm developing a system, I include with the code the following
statement:

IncludeSystem: "Analysis";

This brings in the Analysis system is itself just a series of IncludeSystem
statements:

IncludeSystem: "MAE";				{Generates c:\data\futures\results\mae.txt}
IncludeSystem: "Equity Closed Trades";		{Generates
c:\data\futures\results\EquityCT.txt}
IncludeSystem: "Equity Daily";			{Generates
c:\data\futures\results\EquityD.txt}
IncludeSystem: "Performance";			{Generates c:\data\futures\result.txt}

MAE is code to generate a file I then open in Excel to look at maximum
adverse excursion, a là John Sweeney:

{Sends Maximum Adverse Excursion results to File
c:\data\futures\results\mae.txt.}

Vars: Direct(0);

Direct=MarketPosition;
If CurrentBar=1 then Print(file("c:\data\futures\results\mae.txt"),
    "ExitDate",",",
	"MarketPosition",",",
	"MaxPositionLoss",",",
    "PositionProfit");
If Direct<>Direct[1] then Print(file("c:\data\futures\results\mae.txt"),
    ExitDate(1),",",
	MarketPosition(1),",",
    MaxPositionLoss(1),",",
    PositionProfit(1));

And similarly for the others.  The Performance system generates a file with
the same information as the standard Omega report.  This thread is helping
me to add some additional parameters.

Paul Barnes