Custom Metrics - Trading Software

Custom Metrics

Dave W.
2013-02-18 00:01:01

Hello. I'm trying to add a few custom metrics to the backtest results. The first one is "Expectancy"
and I think it is working properly. The formula is:

Fitness = ( (PercentOfWinners * AverageProfit) - ( ( 1 - PercentOfWinners ) * AverageLoss) ) ) / AverageLoss;

The second metric is SQN. I don't know how to write the formula in the custom metric area. The
psuedo code is:

SQN = (Expectancy / Standard Deviation of Trade Results in $) * (Sqr Root of # of Trades)

Can you tell me how to add SQN as a custom metric, please?

Thank you.

Dave W.
2013-02-19 01:50:48

From QuantShare support:
2- The "T score" item was shared by QuantShare member.
Please read the item description for more information:

"After running your simulation, go to "Report for trading system" and select "Trades". First entry on the last column will show the T-score of your trading system. "

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On the T-score (/SQN - same thing), I wanted the score shown on the report, though, not on the trade list (looks out of place on the trade list - I'd like it with my other metrics). Can you show me / give me the code to do that using the custom metrics?

Thanks for your help!

QuantShare
2013-02-20 11:06:37

In custom metrics, you can only calculate basic metrics. For advanced ones, you have to use the money management script.
For example, "SQN" cannot be calculated in custom metrics because the "Standard Deviation of Trade Results in $" metric is not available and it must be calculated from scratch.

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