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I have just uploaded a rules analyzer metric script, which can be found here: Output metric for each trading year. This script produces several metrics, one for each trading year.
The current script creates only one metric, which is the average 'output per bar' for all years. The metric is not the same as the default 'Output per bar' metric, which sums up all outputs then divides the results by the sum of all holding period.
The current metric calculation is as follows:
- Create an 'output per bar' value for each trading year (for the analysis period)
Example: from 2007 to 2009, three values will be calculated, one for 2007, one for 2008 and one for 2009.
- Average the above values.
Example: 'output per bar' for 2007 is 12.2%. 'Output per bar' for 2008 is 8.1% and 'output per bar' for 2009 is -6%
The result, which is what this script returns, is 4.77% -> (12.2 + 8.1 - 6) / 3
This simple measure, I think could be more helpful than the default ' Output per bar' calculated by QuantShare, especially if as me you are using the rules analyzer as a first step to select buy rules to include in a trading system.