Stock Portfolio Organizer
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WiseTrader Toolbox
#1 Selling Amibroker Plugin featuring:
Z Score for backtesting for Amibroker (AFL)
I am not the author of this AFL. It was provided by dubi197 on one of the blog.
It calculates the z score through the custom backtester.
Similar Indicators / Formulas
Indicator / Formula
SetOption("UseCustomBacktestProc", True ); SetCustomBacktestProc("",True); if( Status("action") == actionPortfolio ) // point to correct iteration of backtest engine { //initialize custom backtest engine //bo is backtestobject bo = GetBacktesterObject(); bo.Backtest(); // run default backtest procedure st = bo.GetPerformanceStats(0); // get stats for all trades totalLossTrades = totalWinTrades = totalRuns = 0; for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()) { // Loop through all closed trades if (trade.GetProfit() > 0) // If this was a winning trade { if (totalWinTrades == 0) totalRuns++; totalWinTrades++; totalLossTrades = 0; } if (trade.GetProfit() < 0) // If this was a winning trade { if (totalLossTrades == 0) totalRuns++; totalLossTrades++; totalWinTrades = 0; } } // End of for loop over all trades N = st.GetValue("AllQty"); R = totalRuns; WIN = st.GetValue("WinnersQty"); LOSS = st.GetValue("LosersQty"); X = 2 * WIN * LOSS; Z_Score = (N*(R-0.5)-X)/SQRT((X*(X-N))/(N-1)); bo.AddCustomMetric( "Z-Score",Z_Score ); bo.AddCustomMetric( "totalRuns",totalRuns ); }
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