Custom Metrics for Median Profit % and Median Loss %

[Newt]

Hi all,

Would greatly appreciate assistance with code to add custom backtest metrics to Backtest Reports for these 2 values.

I've spent quite a bit reading this helpful post today, but skills not up to separating the matrix of closed trades into a series of winners and losers - and then finding the median of those 2 series.

Finding median profit in a set of trade list

Why do you use MxSetBlock?? Have you seen me using MxSetBlock? It should not be used that way. It's heavy. Simply do like this // i = 0; // Iterating closed trades for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()) MedianProfit[i++][0] = trade.GetProfit(); // closed_trades = 0; // Iterating closed trades for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()) closed_trades++; MedianProfit = Matrix(Max(1,closed_trades), 1, 0);

[fxshrat]

@Newt

separating the matrix of closed trades into a series of winners and losers

It's here already

Using Custom Backtest to find Min/Max MAE/MFE per Loosing/Winning Trades

You do not need to apply looping at all to create mean of matrix vectors. You just need Matrix multiplication using @ operator. Sum of elements in column vectors of matrix X -> Row vector V of ones (with column dimension == row dimension of matrix X) @ matrix X. Then division by rownum X. V @ X / RownumX Results in row vector (1xn) if X is m x n matrix and n > 1. Otherwise matrix of size 1x1. Also I would appreciate if you do not remove links and creator of working code since AFAICS it w…

[Newt]

Thank you. So, re-purposing that code using winning and losing matricies, my effort is below.

(Forgive my indiscretion choosing middle term in each array - technically should be mean of 2 middle terms for an even number of terms. Seems close enough checked manually in Excel for closed trades, especially for large number of trades)

/// @link https://forum.amibroker.com/t/using-custom-backtest-to-find-min-max-mae-mfe-per-loosing-winning-trades/15376/2
/// Storing separate winning/losing MAE/MFE of closed trades to 2-dim array
/// And getting separate winning/losing min/max MAE/MFE of closed trades
/// by fxshrat@gmail.com
SetCustomBacktestProc("");
if (Status("action") == actionPortfolio) {
	bo = GetBacktesterObject();
	bo.Backtest();

	wi = li = 0;
	for (trade=bo.GetFirstTrade(); trade; trade=bo.GetNextTrade()) {
		if (trade.GetPercentProfit() > 0)
			wi++;
		else
			li++;
	}


	//	Calculate Median of % Profit and % Loss
	mat1 = Matrix(Max(1,wi), 1);// winning
	mat2 = Matrix(Max(1,li), 1);// losing
	
	wi = li = 0;
	for (trade=bo.GetFirstTrade(); trade; trade=bo.GetNextTrade()) {
		if (trade.GetPercentProfit() > 0) {
			mat1[wi][0] = trade.GetPercentProfit();
			wi++;
		} else {
			mat2[li][0] = trade.GetPercentProfit();
			li++;
		}
	}
	
	sort1 = MxSort(mat1, 1);
	sort2 = MxSort(mat2, 1);	
	//_TRACE(MxToString(sort1));
	//_TRACE(MxToString(sort2));
	
	last_wi = MxGetSize(sort1, 0)-1;
	last_li = MxGetSize(sort2, 0)-1;
		
	// Median % Profit for winning trades:
	Median_wi = sort1[last_wi/2][0];	
	
	// Median % Loss for losing trades:
	Median_Li = sort2[last_li/2][0];	
	
	bo.AddCustomMetric("#Winning", wi);
	bo.AddCustomMetric("#Losing", li);
	// Winning ones
	bo.AddCustomMetric("Median % Profit Winning", Median_wi);
	
	// Losing ones	
	bo.AddCustomMetric("Median % Loss Losing", Median_li);

}
	```