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E Ratio for Amibroker (AFL)
olive
almost 15 years ago
Amibroker (AFL)

Rating:
3 / 5 (Votes 2)
Tags:
amibroker, miscellaneous

e-ratio code aggregated by Jez Liberty
http://www.automated-trading-system.com

The code is largely inspired from the ASX Gorilla blog here

Implementation of the Edge Ratio, included below, involves two profound Amibroker fudges. The first is the use of the AddToComposite function to create a composite ticker symbol in which to hold the ATR array of a given stock for later retrieval within the Custom Back Tester via the Foreign function. The second fudge is the use of the VarSet/VarGet function to create a quasi array. This was necessary to overcome the limitation where array elements cannot exceed in number the value of barcount-1.

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//----------------------------------------------------------------------
// e-ratio code aggregated by Jez Liberty
// http://www.automated-trading-system.com
//
// The code is largely inspired from the ASX Gorilla blog
// http://theasxgorilla.blogspot.com/2007/07/how-to-compute-edge-ratio-in-amibroker.html
//
// implementation of the Edge Ratio, included below, involves two profound Amibroker fudges.
// The first is the use of the AddToComposite function to create a composite ticker symbol
// in which to hold the ATR array of a given stock for later retrieval within the Custom Back Tester
// via the Foreign function.
// The second fudge is the use of the VarSet/VarGet function to create a quasi array.
// This was necessary to overcome the limitation where array elements cannot exceed in number the value of barcount-1.
//----------------------------------------------------------------------
 
 
//---------------------------------------------------------------------------------------------------------
// Options default reset (taken from boilerplate.afl on AmibrokerU.com
// Should be included on all code files
//---------------------------------------------------------------------------------------------------------
 
SetOption("InitialEquity",1000);
SetOption("MinShares", .0001);
SetOption("MinPosValue",0);
SetOption("FuturesMode", False);
SetOption("AllowPositionShrinking", True);
SetOption("ActivateStopsImmediately",False);
SetOption("ReverseSignalForcesExit", True);
SetOption("AllowSameBarExit",True);
SetOption("CommissionMode", 2);
SetOption("CommissionAmount", 0);
SetOption("InterestRate", 0);
SetOption("MarginRequirement", 100);
SetOption("PortfolioReportMode",0);
SetOption("MaxOpenPositions", 1);
SetOption("WorstRankHeld", 1);// Not in settings
SetOption("PriceBoundChecking",False);// Not in settings
SetOption("UsePrevBarEquityForPosSizing",True);
SetOption("UseCustomBacktestProc",False);
 
SetOption("DisableRuinStop",False);// Not in settings
SetOption("EveryBarNullCheck",False);// Not in settings
 
SetOption("HoldMinBars",0);// Not in settings
SetOption("HoldMinDays",0);// Not in settings
SetOption("EarlyExitBars",0);// Not in settings
SetOption("EarlyExitDays",0);// Not in settings
SetOption("EarlyExitFee",0);// Not in settings
 
SetOption("SeparateLongShortRank",False);// Not in settings
SetOption("MaxOpenLong",0);// Not in settings
SetOption("MaxOpenShort",0);// Not in settings
 
MaxPos= 100 * 100 / GetOption("MarginRequirement");
PositionSize = -MaxPos / GetOption("MaxOpenPositions");
 
RoundLotSize = 1;  // 0 for Funds, 100 for Stocks
TickSize= 0;  // 0 for no min. size
MarginDeposit = 10;
PointValue= 1;// For futures
 
ExitAtTradePrice = 0;
ExitAtStop= 1;
ExitNextBar= 2;
 
ReEntryDelay= 0;
 
//---------------------------------------------------------------------------------------------------------
// End of options reset - override options below
//---------------------------------------------------------------------------------------------------------
 
//Override of options to enable e-ratio calc and multiple simultaneous positions
PosQty = 5; // You can define here how many open positions you want
SetOption("MaxOpenPositions", PosQty );
PositionSize = -100/PosQty; // invest 100% of portfolio equity divided by max. position count
SetOption("InitialEquity",10000000);
SetOption("FuturesMode", True);
 
//-------------------------------------------------------------------------------
//Actual System/Signal tested goes below:
//-------------------------------------------------------------------------------
 
//BUY RULES: implemented with a Buy Stop based Upper Donchian Channel(20)
BuyStop = Ref(HHV(High, 20),-1);
Buy = Cross( High, BuyStop );
BuyPrice = Max( BuyStop, Low ); // make sure buy price not less than Low
 
//------------------------------------------------------------------------------
//e-ratio specific code
//------------------------------------------------------------------------------
//eratio is the variable that we "optimise" (step from 1 to 100)
eratio = Optimize("Eratio", 20, 1, 100, 1);
 
//Never Sell so that the position is stopped out after N bar instead
Sell = 3 > 5;
//Stop the positon and close it after N bars (eratio = N that we step from 1 to 100 in optimisation)
ApplyStop( stopTypeNBar, stopModeBars, eratio );
 
//AddToComposite function is used to create a composite ticker symbol.
//In it we hold the ATR array of a given instrument
//This is for later retrieval within the Custom Back Tester via the Foreign function
Normaliser = ATR(20);
AddToComposite(Normaliser, "~atr_"+Name(), "C", 1+2+8);
 
SetCustomBacktestProc(""); //activate the custom backtester
if(Status("action") == actionPortfolio) //called when backtesting/optimising
{
    bo = GetBacktesterObject();
    bo.PreProcess(); // run default backtest procedure
    TradeATR = NumTrades = ATRArr = 0; //init variables
    for( bar=0; bar < BarCount-1; bar++)
    {
        bo.ProcessTradeSignals(bar);
         
        for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) )
        {
            if (sig.isEntry())
            {
                NumTrades++;
                ATRArr = Foreign("~atr_"+sig.Symbol, "C");
                VarSet("TradeATR" + NumTrades, ATRArr[bar]);
 
                _TRACE("Symbol " + sig.Symbol + " ATR: " + VarGet("TradeATR" + NumTrades));
            }
        }
    }
 
    AvgMAE = AccumMAE = AvgMFE = AccumMFE = NumTrades = 0;
 
    // iterate through closed trades
    for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
    {
        NumTrades++;
        EntryATR = VarGet ("TradeATR" + NumTrades);
        if ( EntryATR != 0 )
        {
            _TRACE("EntryATR: " + WriteVal(EntryATR));
            _TRACE("AccumMAE : " + WriteVal(AccumMAE));
            AccumMAE = AccumMAE + (trade.GetMAE()*trade.EntryPrice/(100*EntryATR));
            AccumMFE = AccumMFE + (trade.GetMFE()*trade.EntryPrice/(100*EntryATR));
        }
 
        trade.AddCustomMetric("My MAE", trade.GetMAE()*trade.EntryPrice/100);
        trade.AddCustomMetric("My MFE", trade.GetMFE()*trade.EntryPrice/100);
        trade.AddCustomMetric("Entry ATR", EntryATR*10000);
    }
     
    AvgMAE = AccumMAE / NumTrades;
    AvgMFE = AccumMFE / NumTrades;
     
    _TRACE(WriteVal(AccumMAE ));
    _TRACE(WriteVal(NumTrades));
    _TRACE(WriteVal(AvgMAE));
 
    Eratio = abs(AvgMFE/AvgMAE);
 
    _TRACE(WriteVal(Eratio));
 
    bo.AddCustomMetric( "Avg MAE", AvgMAE );
    bo.AddCustomMetric( "Avg MFE", AvgMFE );
    bo.AddCustomMetric( "Eratio", Eratio);
 
    bo.PostProcess();
}

3 comments

1. FilosofeM
over 12 years ago

This code is buggy. Use my version.

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2. morgen
over 12 years ago

To FilosofeM
Where is your version?

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3. FilosofeM
over 12 years ago

http://www.wisestocktrader.com/indicators/3417-e-ratio-edge-ratio-metric

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