Hi, a couple of newbie questions please. 1. I am trying to calculate Average on (High + Low + Close)/3 Is there an easy way to do it? 2. I haven't seen any...
Hi, May be somebody has already implemented the convenience functions that handle trades from the old Ctrader's TRAPS TRSIM202 - like: buylimit, sellstop, etc....
Jeff, the textbook formula for the Sharpe ratio is the excess return of the system over the risk free return divided by the std dev of the excess return. My...
Hi, The ratios are calculated without interest (i.e., the interest rate is set to 0). When comparing system A against system B, and for the purpose of ...
Hi Jeff, witch program should i use to debug the C-Trader ?? Sorry to come with a so junior-question …. But I coldn´t figured that out ! Thank´s Vitor ...
Hi, depends on which operating system you use :) for Mac I recommend XCode, for PC and Linux I'm not really up-to-date with good debugger frontends....
Thank you Barnabas, it´s for PC - Windows .... But thank´s anyway ... De: scientific-traders@yahoogroups.com [mailto:scientific-traders@yahoogroups.com] Em...
Hi, what target function(s) do you use in your optimizations? I currently use the "default" C-Trader's SharpeW but have a feeling that there should be some...
Hi, I am looking for some soft to plot the trades generated by C-Trader on an intraday bar-chart for the visual verification/analysis. Can you recommend some...
... Usually I debug new code using simple fprintf/printf statements and highly-familiar test examples and data-sets. For debugging memory usage (e.g., invalid...
Hi, I am eventually going to add this capability to the code in tropsgx.c -- this should not be excessively difficult to do. I do not know when I will get to...
I really liked the fitness function in C Trader Pro, which looked for the equity curve to be as close to a simple line as possible, maybe you can mix in more...
Hi, Writing you directly, no time to restore the pass to the group. Could you please explain which fitness function are you talking about ? As fas as I can...
I am using Metatrader 4 to plot and verify things, such as indicators etc. The tester / optimizer of MT4 is really screwed and unusable, but for quickly...
Hi, I just checked my default code and there's SharpeW as well. You can mix in pf.psi.rvalue and pf.pso.rvalue to the equation, but checking out my stats on a...
Roman, This is the fitness function in CTrader Pro which you have cut and paste. It takes the minimum of the weekly Sharpe ratios on the in-sample period...
Understood, thank to both of you guys. Regards, Roman. ... From: nick.fairbank To: scientific-traders@yahoogroups.com Sent: Tuesday, August 11, 2009 5:01 PM ...
Yes, you could write it out to a file, then read it from an MQ4 script. This is how I use it. If I'll have time, I'll extend C Trader Pro, but that's a few...
"On the one hand, the Sharpe and Sortino ratios are computed based on the sole knowledge of the two first moments of the distribution. The Sharpe ratio...
Nick, I would very much agree with you about rewarding for the relatively high number of trades. At some point I used a log(tradesN) - dont remember the...
Leon - I haven't tried anything yet. I agree with you though: I had thought a log function would be necessary, and was just wondering how best to go about it....
Barnabas (answering as I posted a reply to Leon on this too): I don't want to place so much weight on the number of trades when the number is large: I want the...
... If you have enough trades I think it should be OK - if your definition of hit trade is the same as mine :) ... I didn't try it out yet (I am working on...
Barnabas, Had a look at the Omega didn't get to the bottom of it at a glance. Seems like Sortino deserves at least a try first. ... Will update you on Sortino...
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