amibroker

Here is a sample that shows how to create custom metric based on per-trade statisitics.
In this example we will calculate the average value of MAE (maximum adverse excursion) from all trades.

SetCustomBacktestProc(""); 

/* Now custom-backtest procedure follows */ 

if( Status("action") == actionPortfolio )
{
    bo = GetBacktesterObject(); 

    bo.Backtest(); // run default backtest procedure 

   SumMAE = 0;
   NumTrades = 0; 

   // iterate through closed trades first
   for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
   {
      // here we sum up maximum adverse excursions
       SumMAE = SumMAE + trade.GetMAE();
       NumTrades++;
   } 

   // iterate through eventually still open positions
   for( trade = bo.GetFirstOpenPos(); trade; trade = bo.GetNextOpenPos() )
   {
       SumMAE = SumMAE + trade.GetMAE();
       NumTrades++;
   } 

   averageMAE = SumMAE / NumTrades; 

   bo.AddCustomMetric( "Avg. adverse excursion", averageMAE ); 

} 

// your trading system here
//..

Filed by Tomasz Janeczko at 3:20 pm under Custom Backtest
Comments Off on Adding custom metric: Average adverse excursion