Displaying e-Ratio (Edge Ratio) metric by Eldar Agalarov Pastie For Amibroker (AFL)

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// e-Ratio implementation by Eldar Agalarov
 
 
if (Status("action") == actionPortfolio) {
    bo = GetBacktesterObject();
    bo.Backtest(True);
 
    stAll = bo.GetPerformanceStats(0);
    stLong = bo.GetPerformanceStats(1);
    stShort = bo.GetPerformanceStats(2);
     
    qtyProfitAll = stAll.GetValue("AllQty");
    qtyProfitLong = stLong.GetValue("AllQty");
    qtyProfitShort = stShort.GetValue("AllQty");    
 
 
    // e-Ratio
    avgMAEAll = avgMAELong = avgMAEShort = 0;
    avgMFEAll = avgMFELong = avgMFEShort = 0;
    barIndices = BarIndex();
    dateTimes = DateTime();
    for (trade = bo.GetFirstTrade(); !IsNull(trade); trade = bo.GetNextTrade()) {
        arrATR = Foreign("~ATR_" + trade.Symbol, "Close");
        tradeBarIndex = LastValue(ValueWhen(trade.EntryDateTime == dateTimes, barIndices));
        absMAE = trade.EntryPrice * trade.GetMAE() * 0.01;
        absMFE = trade.EntryPrice * trade.GetMFE() * 0.01;
        entryATR = arrATR[tradeBarIndex];
        normMAE = absMAE / entryATR;
        normMFE = absMFE / entryATR;
        avgMAEAll += normMAE;
        avgMFEAll += normMFE;
        if (trade.IsLong()) {
            avgMAELong += normMAE;
            avgMFELong += normMFE;
        } else {
            avgMAEShort += normMAE;
            avgMFEShort += normMFE;
        }
        trade.AddCustomMetric("MAE ($)", absMAE, 2);
        trade.AddCustomMetric("MFE ($)", absMFE, 2);
        trade.AddCustomMetric("Entry ATR", entryATR, 2);
    }
    avgMAEAll /= qtyProfitAll;
    avgMAELong /= qtyProfitLong;
    avgMAEShort /= qtyProfitShort;
    avgMFEAll /= qtyProfitAll;
    avgMFELong /= qtyProfitLong;
    avgMFEShort /= qtyProfitShort;
    eRatioAll = avgMFEAll / abs(avgMAEAll);
    eRatioLong = avgMFELong / abs(avgMAELong);
    eRatioShort = avgMFEShort / abs(avgMAEShort);
    bo.AddCustomMetric("e-Ratio", eRatioAll, eRatioLong, eRatioShort, 2);
     
    bo.ListTrades();
}

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e-Ratio (Edge Ratio) metric by Eldar Agalarov for Amibroker (AFL)