AFL Library

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Details:

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Description:

With the current definition of Avg. Profit %, Avg. Loss % and Avg. Profit/Loss %, it is possible to have a negative Avg. profit/loss % even though the Avg. profit/loss is positive.
An alternative defintion is being implemented through the custom backtest procedure. Avg. Profit/loss %is to be equal to "sum of Profit / sum of position value", and similar defintions to Avg. Profit % and Avg. Loss %.

Formula:

SetCustomBacktestProc("");  
if( Status("action") == actionPortfolio ) 
{ 
	bo = GetBacktesterObject();
	bo.Backtest();
	PosSumProfit = 0;
	NegSumProfit = 0;
	PosTradePos = 0;
	NegTradePos = 0;
	// iterate through closed trades first 
	for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() ) 
	{ 
		profit = trade.GetProfit(); 
		if(profit >= 0)
		{
			PosSumProfit = PosSumProfit + profit;
			PosTradePos = PosTradePos + trade.GetPositionValue();
		}
		else
		{
			NegSumProfit = NegSumProfit + profit;
			NegTradePos = NegTradePos + trade.GetPositionValue();
		}			  
	} 
	// iterate through eventually still open positions 
	for( trade = bo.GetFirstOpenPos(); trade; trade = bo.GetNextOpenPos() ) 
	{ 
		profit = trade.GetProfit(); 
		if(profit >= 0)
		{
			PosSumProfit = PosSumProfit + profit;
			PosTradePos = PosTradePos + trade.GetPositionValue();
		}
		else
		{
			NegSumProfit = NegSumProfit + profit;
			NegTradePos = NegTradePos + trade.GetPositionValue();
		}	
   } 
	bo.AddCustomMetric(" Avg Profit/Loss %", 100 * (PosSumProfit +
NegSumProfit)/(PosTradePos + NegTradePos));
	bo.AddCustomMetric(" Avg Profit %", 100 * PosSumProfit/PosTradePos);
	bo.AddCustomMetric(" Avg Loss %", 100 * NegSumProfit/NegTradePos);
//	bo.ListTrades();
}
// Your system codes starts here
Sell = Cross(MACD(), Signal());
Buy = Cross(Signal(), MACD());
SetPositionSize(10 ,spsPercentOfEquity);

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