Expectunity

[bobido]

Hi there,

On basis of the ninjascript made for the calculation on the expectancy (by: Elliot Wave) as a optimalization type, I made a script for showing the expectunity of a given strategy. Adding the dimension of opportunity as Van Tharp states. I added it to the globals, so u can use it to show the expectunity in the output window or log window on the end of each simulation. Even better would be the ability to add it in the performance window, but I have not found a reference for that so far?

Also added is the Optimizer Type: Max. Expectunity
Comments are always welcome.

Code:

        /// <summary>
        /// Returns the current Expectancy calculated for this strategy.
        /// This calculation needs at least 1 trade
        /// </summary>
        /// <remarks>Expectancy. Coded by Elliott Wave 12/15/2008.</remarks>
        /// <returns></returns>
        public double GetCurrentExpectancy()
        {
            double expectancyTemp;
            double percentWin, percentLose;
            double aveWin, aveLose;

            if (this.Performance.AllTrades.Count == 0 || this.Performance.AllTrades.LosingTrades.Count == 0)
            {
                return 0;
            }
            else
            {
                percentWin = (double)this.Performance.AllTrades.WinningTrades.Count / this.Performance.AllTrades.Count;
                percentLose = (double)this.Performance.AllTrades.LosingTrades.Count / this.Performance.AllTrades.Count;
                aveWin = this.Performance.AllTrades.WinningTrades.TradesPerformance.Currency.AvgProfit;
                aveLose = this.Performance.AllTrades.LosingTrades.TradesPerformance.Currency.AvgProfit;
                expectancyTemp = (aveWin * percentWin + aveLose * percentLose) / Math.Abs(aveLose);
                //expectancyTemp = (percentWin * aveWin) - (percentLose * aveLose);
                return expectancyTemp;
            }
        }

        /// <summary>
        /// Get the current Expectunity
        /// </summary>
        /// <returns></returns>
        public double GetCurrentExpectunity()
        {
            //Set the days in a year
            double Daysinyear = 365;

            //Get the total number of trades
            int numberoftrades = this.Performance.AllTrades.TradesCount;

            //If there arent many trades don't calc
            if (numberoftrades < 3)
                return 0;

            //Get the total number of days that were traded
            /* <-- Any other way to get this value? --> */
            int days = ((this.Performance.AllTrades[numberoftrades - 1].Exit.Time)-(this.Performance.AllTrades[0].Entry.Time)).Days;

            //Get the amount of years traded
            double years = (days > Daysinyear) ? days / Daysinyear : 1;

            //Check the number of trades made p.day - p.year (since expectunity is calculated on a year basis?)
            double Opportunity = (numberoftrades / years) / Daysinyear;

            //Return the expectunity
            return this.GetCurrentExpectancy() * Opportunity;
        }

[NinjaTrader_Bertrand]

Thanks for sharing your work here bobido, unfortunately adding to the default performance viewer stats is not supported.

[motownlucas]

Thanks for sharing Bobido! Could you provide some directions on exactly how to use this code? I copied the file to C:\...\NinjaTrader 7\bin\Custom\Type and was able to select it as the optimization parameter, but I can't find the results anywhere.

[mokodo]

Nice one, thanks for sharing