Welcome to my online repository of research and insights on automated trading system development
It might not capture the imagination as much as the recent Haye v. Valuev WBA World Heavyweight Championship fight (it probably might for some of you… ;-) but I decided to organise my own “fight”: AmiBroker V. TradersStudio! And similarly to the boxing, speed was of the essence – with one platform completely out-performing the [...]
Entries Tagged as 'e-ratio'
Amibroker V. TradersStudio: Speed comparison Fight
November 10th, 2009 · 2 Comments · Backtest, Software
Tags: afl·amibroker·CSI·e-ratio·optimisation·performance·screenshots·tradersstudio
Amibroker e-ratio code
November 9th, 2009 · 16 Comments · Code, Development, Software
I recently posted about the e-ratio as a tool to measure parts of a trading system (the code files to compute the e-ratio in TradersStudio and Excel are also available). The e-ratio is supposed to be a quick tool to check how signals might add some edge to a trading system. However computing the e-ratio [...]
e-ratio calculation in TradersStudio and Excel
November 2nd, 2009 · 4 Comments · Backtest, Code, Development, Software
Here is one method to implement an e-ratio calculation. As we say in developerspeak, the following is a quick and dirty approach to calculating the e-ratio. But as far as I am concerned, it does the job! It can probably be programmed more elegantly in TradersStudio but I still have to climb some of that [...]
Tags: e-ratio·edge·excel·tradersstudio
e-ratio: How to measure your trading edge in 4 easy steps
October 30th, 2009 · 17 Comments · Backtest
e-ratio is a metrics that measures the edge of a trading system component. For example, we could use it to quantify the edge gained from a donchian channel breakout entry signal. The concept The e-ratio quantifies the edge by calculating the overall amount trades go in your favor versus the overall amount trades go against [...]
