I'd like to write an OptimizerType that calculates the Entry Edge Ratio as defined in Curtis Faith's Way of the Turtle. Basically, this is the ratio of MFE over MAE, adjusted for volatility, over a fixed number of bars. This function would not look at the trades themselves, but rather the average performance of the instrument over time since the entry.
To do this, I'd need access to the High[] and Low[] series from within the OptimizerType. This is not currently available. If I use a workaround and call back into the Strategy object, those series are not populated. I will probably need to use the Close[] series to calculate the ATR by hand as well.
Asking for this to be considered in a future release.
To do this, I'd need access to the High[] and Low[] series from within the OptimizerType. This is not currently available. If I use a workaround and call back into the Strategy object, those series are not populated. I will probably need to use the Close[] series to calculate the ATR by hand as well.
Asking for this to be considered in a future release.
Comment