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

Rating:
5 / 5 (Votes 1)
Tags:
amibroker, metric, e-ratio

e-Ratio (Edge Ratio) metric for AmiBroker by Eldar Agalarov
e-Ratio is a metrics that measures the edge of a trading system component.

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Indicator / Formula

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// 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();
}

6 comments

1. parfumeur

Links to referenced discussion with explanations:

http://www.automated-trading-system.com/e-ratio-amibroker-code/
http://www.automated-trading-system.com/e-ratio-trading-edge/
http://www.automated-trading-system.com/e-ratio-tradersstudio-excel/

2. kv_maligi

Hi parfumeur,

Thanks for information.

Any DLL are required.

I do not see any buy sell signals & also eratio graphs.

Can you add the above things. If exploration is added, it would be great help

Thanks
Viswanth

3. Ayuraveda

My Ami V 5.5 , but there is nothing on screen.
Could you please give the picture and DLL ?

Regards,
Ayuraveda

4. FilosofeM

@kv_maligi
There is no DLL required. This is AFL code. Just put the code to the new AFL file and in the AmiBroker Backtester Settings pick path to the current AFL file.
Next in the strategy code at the end put this code statement:

AddToComposite(avgTrueRange, “~ATR_” + Name(), “C”, atcFlagDeleteValues | atcFlagCompositeGroup | atcFlagEnableInBacktest);

This statement generates composite tickers with ATR data.

5. morgen

Was ist das?
A picture means 1000+ words!
No picture, no nothing!
No “Plot”, no nothing!

6. JaNa

God damn it, can’t you read??
It’s a metric for the backtester. It uses the Custom backest interface.

Read the freaggin manual!

And here is additional info besides the manual
http://www.amibroker.org/userkb/2008/03/16/amibroker-custom-backtester-interface-2/

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