e-Ratio (Edge Ratio) Metric for Amibroker (AFL)

// 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();
}