Function

["Trey Johnson" <dickjohnson3@xxxxxxxxxxxxxx>]

Hello List,
	This function is incredibly slow. Does anyone have any
suggestions to speed it up?
Thanks,
Trey

{
Function EqtyCorr
Calculate an objective function based on the weighted sum of
the correlation coefficient of the equity curve and the net profit.
Append the objective function value and system input parameter
values to a file.

To use: insert at the end of a system. Run an optimization and get the
min and max values for CC and Eq. Then run again to obtain the correct
objective funtion, which is dependent upon those values.

In the following, X represents the bar number, and Y is the
total equity (closed trade net profit plus open position profit).
Copyright 2004 Breakout Futures
www.BreakoutFutures.com
}
input: Param1 (NumericSimple), { system parameter 1 }
Param2 (NumericSimple), { system parameter 2 }
Param3 (NumericSimple), { system parameter 3 }
Param4 (NumericSimple), { system parameter 4 }
Param5 (NumericSimple), { system parameter 5 }
CCMin (NumericSimple), { min value of coeff }
CCMax (NumericSimple), { max value of coeff }
EqMin (NumericSimple), { min net profit }
EqMax (NumericSimple), { max net profit }
WeightCC (NumericSimple), { weight for coeff }
WeightEq (NumericSimple), { weight for net profit }
FName (StringSimple); { file name to write results to}

Var: XVal (0), { value of x, scaled bar number }
YVal (0), { value of y, scaled equity }
SumXY (0), { sum of X * Y }
SumX (0), { sum of X }
SumY (0), { sum of Y }
SumXX (0), { sum of X * X }
SumYY (0), { sum of Y * Y }
CCNum (0), { numerator of correlation coefficient }
CCDen (0), { denominator of correlation coefficient }
CorrCoef (0), { correlation coefficient }
ObjectFn (0), { correlation times net profit }
TotalEqty (0), { open plus closed trade equity }
TotProf (0), { total profit from weighted sum }
PWNum (0), { numerator of profit weights }
PWDen (0), { denominator of profit weights }
PWFact (100), { factor determining profit weighting }
ii (0), { loop counter }
NBars (0), { number of bars on chart }
StrOut ("");

Array: EqtyCh[5000](0); { handles up to 5000 bars of data }

TotalEqty = NetProfit + OpenPositionProfit;
If BarNumber < 5000 then
     EqtyCh[BarNumber] = TotalEqty -TotalEqty[1];

XVal = BarNumber/100;
YVal = TotalEqty/10000;
SumX = SumX + XVal;
SumY = SumY + YVal;
SumXY = SumXY + (XVal * YVal);
SumXX = SumXX + (XVal * XVal);
SumYY = SumYY + (YVal * YVal);
 
{MessageLog("Bar: ", BarNumber:0:0, " SumX = ", SumX:0:0, " SumY =
",SumY:0:2, " SumXY = ", SumXY:0:2,
" SumXX = ", SumXX:0:0, " SumYY = ", SumYY:0:2);} 

If LastBarOnchart then Begin
NBars = BarNumber;

{ Calculate weighted net profit }
for ii = 1 to NBars Begin
	PWDen = PWDen + (PWFact -1)/(NBars -1) * (ii -1) + 1;
End;
PWDen = PWDen/NBars;

for ii = 1 to NBars Begin
	PWNum = (PWFact -1)/(NBars -1) * (ii -1) + 1;
	TotProf = TotProf + EqtyCh[ii] * PWNum/PWDen;
End;

{ Calculate correlation coefficient }
CCNum = NBars * SumXY -(SumX * SumY);
CCDen = SquareRoot((NBars * SumXX -(SumX * SumX)) * (NBars *SumYY -(SumY
* SumY)));
if CCDen > 0 then
CorrCoef = CCNum/CCDen
else
CorrCoef = 0;

{ Objective function is weighted sum of profit plus correlation }
ObjectFn = WeightCC * (CorrCoef -CCMin)/(CCMax -CCMin) + WeightEq *
(TotProf -EqMin)/(EqMax -EqMin);

{ write correlation coefficient to file along with system parameters }
StrOut = NumtoStr(ObjectFn, 2) + ", " + NumtoStr(TotProf, 2) + ", "
+ NumtoStr(CorrCoef, 3) + ", " +
NumtoStr(Param1, 3) + ", " + NumtoStr(Param2, 3) + ", "
+ NumtoStr(Param3, 3) + ", " +
NumtoStr(Param4, 3) + ", " + NumtoStr(Param5, 3) +
Newline;
End;
FileAppend(FName, StrOut);
EqtyCorr = CorrCoef;