system variables for strategy performance

Hi there,

I am backtesting my strategy, need to write “CARG, Profit Factor(PPR), Sharpe Ratio, Ulcer index, Max Drawdown and Max Adverse Excursion”, 7 variables into my report. I found MAE and DrawDownMax are system variables which I can use directly, how about others? If they are, pls tell me what variables are for them? If not, could you please provide some code snippets?

Thank you

Jeff

I guess you want to create some custom report? Because all the metrics you mention are already in the default performance report.

If so, strategy parameters can be found here:
http://zorro-trader.com/manual/en/statistics.htm

Using the for(all_trades) construct (http://zorro-trader.com/manual/en/fortrades.htm) and the Trade parameters (http://zorro-trader.com/manual/en/winloss.htm) you can calculate pretty much any other metric you want.

Thank you very much for your reply. Yes I want to create a customized report, I noticed that all my variables are in the system generated report, can I simply parse the report to get those numbers? If I can, how? Any snippet?

Cheers

You don't need to parse the report, just use the trade statistics and strategy statistics directly:

http://zorro-trader.com/manual/en/fortrades.htm
http://www.zorro-trader.com/manual/en/winloss.htm
http://www.zorro-trader.com/manual/en/statistics.htm

If you want to create additional items, use print(TO_REPORT, ...) inside evaluate function:

http://www.zorro-trader.com/manual/en/printf.htm
http://www.zorro-trader.com/manual/en/evaluate.htm