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Peter,
>Does anyone have EasyLanguage code that would output some of the key
>values in the TS Strategy Performance Report to a file (ideally comma
>delimited for excel)?
>
>The fields I'm looking for include Total Profit/Loss, Number of Trades,
>Number of Winning Trades, Number of Losing Trades, % Profitable,
>Profit/Loss per Trade.
You can save the performance report as an Excel file if you want.
I have some code at
http://unicorn.us.com/trading/src/_SystemQuality.txt which does
something similar to what you want. The code includes a lengthy
description. It outputs your input parameters, as well as:
number wins
gross profits
number of losses
gross losses
number of scratch trades (which lost only commission+slippage)
scratch losses
largest winning trade
largest losing trade
maximum intraday drawdown
expectancy
expectancy score
You can caluclate net profit from the difference between gross
profit and gross loss.
The output is one row of data per evaluation of the system. So
if you optimize your system and it does 1000 iterations, you get
1000 rows. You can filter it by expectancy score, such that if the
score is less than, say, zero, you don't get any output for those
parameters because they lost money.
-Alex
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