Trade Equity GV SE Files. (Updated 10 March 2007)

The GV.DLL file is required for the Trade Equity indicator in this document.

These indicators run on MS 7.0 and above.

  Date Filter
  Entry Binary
  Exit Binary
  Entry Price
  Exit Price
  Trade Equity GV SE {V6.2}
  Trade Equity SE Display {V6.2}
  Trade Equity SE Display Options {V6.2}

These explorations run on MS 7.0 and above.

  Trade Equity GV SE 1
  Trade Equity GV SE 2
  Trade Equity GV SE 3
  Trade Equity GV SE 4

These explorations run on MS 10 and above.

  Trade Equity GV SE V10 1/2
  Trade Equity GV SE V10 3/4

These Excel macros can be used to summarize exploration results. Paste exploration reports into workbook cells 1A, 1J, 1S and 1AB.

  Trade_Equity_Report (MS 7.0 and above)
  Trade_Equity_Report_V10 (MS 10 and above)


INDICATORS - Install in the listed order.
-------8<----------------------------------

{Date Filter}
{2004 Roy Larsen} 
Sd:=Input("Start day"  ,1,31,1);
Sm:=Input("Start month",1,12,1);
Sy:=Input("Start year" ,1980,2010,2002);
Ed:=Input("End day"    ,1,31,31);
Em:=Input("End month"  ,1,12,12);
Ey:=Input("End year"   ,1980,2010,2008);
Start:=(DayOfMonth()>=Sd AND Month()=Sm AND
Year()=Sy) OR Year()>Sy OR (Year()=Sy AND Month()>Sm);
End:=(DayOfMonth()<=Ed AND Month()=Em AND
Year()=Ey) OR Year()<Ey OR (Year()=Ey AND Month()<Em);
Start AND (End OR (Start AND Alert(Start=0,2)));

-------8<----------------------------------

{Entry Binary}
F1:=ValueWhen(1,Cum(1)=5 OR (H<Ref(H,-2) AND
Ref(H,-1)<Ref(H,-2) AND
Ref(H,-3)<Ref(H,-2) AND
Ref(H,-4)<Ref(H,-2)),Ref(H,-2));
Cross(H,F1)*Fml("Date Filter");

-------8<----------------------------------

{Exit Binary}
F2:=ValueWhen(1,Cum(1)=5 OR (L>Ref(L,-2) AND
Ref(L,-1)>Ref(L,-2) AND
Ref(L,-3)>Ref(L,-2) AND
Ref(L,-4)>Ref(L,-2)),Ref(L,-2));
Cross(F2,L)*Fml("Date Filter");

-------8<----------------------------------

{Entry Price} {CLOSE}
F1:=ValueWhen(1,Cum(1)=5 OR H<Ref(H,-2) AND
Ref(H,-1)<Ref(H,-2) AND
Ref(H,-3)<Ref(H,-2) AND
Ref(H,-4)<Ref(H,-2),Ref(H,-2));
Cross(H,F1)*C*Fml("Date Filter");

-------8<----------------------------------

{Exit Price} {CLOSE}
F2:=ValueWhen(1,Cum(1)=5 OR L>Ref(L,-2) AND
Ref(L,-1)>Ref(L,-2) AND
Ref(L,-3)>Ref(L,-2) AND
Ref(L,-4)>Ref(L,-2),Ref(L,-2));
Cross(F2,L)*C*Fml("Date Filter");

-------8<----------------------------------

{Trade Equity GV SE} {V6.2}
{2003-2007 Roy Larsen}
I:=Input("Display Options 0-22",0,22,0);
B:=Input("Short 1=O 2=C 3=H 4=L 5=Stop",1,5,2);
Z:=Input("Cover 1=O 2=C 3=H 4=L 5=Stop",1,5,2);
A:=Input("Cost Factor 0-2 (/1 /10 /100)",0,2,0);
Cn:=Input("Short/Cover Costs",0,999999,0025025);
Nd:=Input("Short/Cover Delays",0,55,00);
Cp:=5000;{size}
F:=-1;{Cp factor}
N:= Fml("Exit Binary");{Sell Short}
Ns:=0;
X:= Fml("Entry Binary");{Buy to Cover}
Xs:=0;
 {* code area *}
I:=ExtFml("GV.SetVar","Se",I);
I:=Int(11*Frac(A/10));I:=If(I>1,100,If(I=1,10,1));
Ns:=(B=5)*Ns;Cn:=(Cp>0)*Cn;
F:=ValueWhen(1+Nd,1,If(F=0,-1,If(Abs(F)>1,Abs(F),-F)));
Cx:=(Cn-1000*Int(Cn/1000))/I;Cn:=Int(Cn/1000)/I;
Xd:=LastValue(Int(Frac(Nd/9)*10));
Nd:=LastValue(Int(Nd/9));
M:=If(Ns>0,Min(H,Max(L,Ns)),If(B=1,O,If(B=3,H,If(B=4,L,C))));
N:=N AND Alert(N=0,2)+(Cum(N>-1)=1);
X:=X AND (Z<5)*(Alert(X=0,2)+(Cum(N>-1)=1));
N:=ValueWhen(1+Nd,1,N);N:=If(B<5,N,Ns>0);
Y:=If(Xs>0,Min(H,Max(L,Xs)),If(Z=1,O,If(Z=3,H,If(Z=4,L,C))));
X:=ValueWhen(1+Xd,1,X);X:=X+Xs>0;
Y:=If((Z<5)*(X=0),C,Y);
Y:=If((Xs>0)*N*X,Xs,Y);
I:=Cum(Abs(F)+N+X>-2)=1;N:=(I>-1)*N;
Y:=If((N+X=0)*Alert(N*X,2),ValueWhen(2,1,Y),Y);
Tr:=BarsSince(I+N)<(BarsSince(I+X)+(Cum(N)=1 AND Cum(I+X)=1));
Tr:=If(N*X*(Alert(Tr,2)+((Nd+Xd<1)*
 (B<>2)*(Z>1)*(Max(B,Z)>4 OR B<>Z))),1,Tr);
En:=(Tr+Alert(Tr=0,2)=2)+I;
Ex:=(Tr=0)*Alert(Tr,2);M:=If(I*(N=0),C,M);
Lb:=Alert(Tr,2)*(LastValue(Cum(1))=Cum(1));
A:=ValueWhen(1,En,If(M=0,1,M));
F:=ValueWhen(1,En,If(F<0,Cp*Abs(F),If(F<=1,Int((F*Cp-Cn)/A)*A+Cn,F*A+Cn)))*(Cp>0);
En:=Tr*(Alert(Tr=0,2)+I>0);
N:=(Ex+Lb>0)*If(Cp=0,A-Y,(F-Cn)*((A-Y)/A)-Cn-Ex*Cx);
B:=Alert(Tr,2)*(1+BarsSince(En+I));
Xs:=Alert(Tr,2)*If(Cp=0,A-Y,(F-Cn)*((A-Y)/A)-Cn-Ex*Cx);
Nd:=LowestSince(1,I,Xs);Ns:=HighestSince(1,I,Xs);
X:=Cum((Ex+Lb>0)*(N>0)*B);Xd:=Cum((Ex+Lb>0)*(N<=0)*B);
M:=Cum(N)+Cp+Tr*(Lb=0)*If(Cp=0,A-Y,(F-Cn)*((A-Y)/A)-Cn);
I:=ExtFml("GV.SetVar","I",I);I:=ExtFml("GV.SetVar","N",N);
I:=ExtFml("GV.SetVar","X",X);I:=ExtFml("GV.SetVar","Cn",Cn);
I:=ExtFml("GV.SetVar","Cp",Cp);I:=ExtFml("GV.SetVar","Cx",Cx);
I:=ExtFml("GV.SetVar","En",En);I:=ExtFml("GV.SetVar","Ex",Ex);
I:=ExtFml("GV.SetVar","Lb",Lb);I:=ExtFml("GV.SetVar","Nd",Nd);
I:=ExtFml("GV.SetVar","Ns",Ns);I:=ExtFml("GV.SetVar","Tr",Tr);
I:=ExtFml("GV.SetVar","Xd",Xd);I:=ExtFml("GV.SetVar","Xs",Xs);
I:=ExtFml("GV.SetVar","F",F);I:=ExtFml("GV.SetVar","Eq",M);
{Fml("Trade Equity SE Display")}M;

-------8<----------------------------------

{Trade Equity SE Display Options} {V6.2}
{2004-2007 Roy Larsen}
{Use this document as a guide for setting}
{the "F" variable and display options}
{in the Trade Equity GV SE indicator}

{The "F" variable allows position sizing to be set by an external formula, if desired, and with it the user can:
a, apply all capital to a trade
b, apply a fraction of capital to a trade
c, trade a stipulated number of shares
d, trade whole shares up to limit of capital
e, trade whole shares with fraction of capital.}

{** Position size options for "F" variable:
 > 1 and <-1, buy Abs(F) shares
 = 1, Cp*F - use all capital
 > 0 and < 1, Cp*F - use "F" fraction of capital
 < 0 and >-1, Cp*F - as above, whole shares only
 =-1, Cp*F - use all capital, whole shares only}

{The Trade Equity SE Display indicator allows various Trade Equity statistics to be plotted directly on an open chart. To enable the Display module for Trade Equity GV SE, braces must be removed from "Trade Equity GV SE Display ("see last line of the Trade Equity GV SE indicator) and placed around M (normal output also on the last line of Trade Equity GV SE).}

{** Display options:
 0, $ gross profit or loss
 1, $ net profit or loss - excludes capital (Cp)
 2, $ equity gain or loss per trade
 3, % equity gain or loss per trade
 4, $ gain from winning trades
 5, $ loss from losing trades
 6, # of winning trades
 7, # of losing trades
 8, trade is currently active
 9, bars in each trade
 10, total bars in all trades
 11, maximum favorable excursion
 12, maximum adverse excursion
 13, % gross profit or loss
 14, maximum $ risk per trade
 15, maximum % risk per trade
 16, maximum $ risk across all trades
 17, maximum % risk across all trades
 18, cost of last position entered (F)
 19, $ return at years end
 20, % return at years end
 21, $ return at current-date end-of-year
 22, % return at current-date end-of-year}
{** end of document}

-------8<----------------------------------

{Trade Equity SE Display} {V6.2}
{2004-2007 Roy Larsen}
{Use with Trade Equity GV SE}

D:=DayOfMonth();A:=LastValue(D);
M:=Month();B:=LastValue(M);Y:=Year();
G:=M*31+D-(M>B OR (M=B AND D>A))*372;
G:=G<ValueWhen(2,1,G);
Cp:=ExtFml("GV.GetVar","Cp");M:=LastValue(Cp);
Z:=ExtFml("GV.GetVar","Se");I:=ExtFml("GV.GetVar","I");
N:=ExtFml("GV.GetVar","N");Cn:=ExtFml("GV.GetVar","Cn");
M:=ExtFml("GV.GetVar","Eq");En:=ExtFml("GV.GetVar","En");
Ex:=ExtFml("GV.GetVar","Ex");Lb:=ExtFml("GV.GetVar","Lb");
Nd:=ExtFml("GV.GetVar","Nd");Ns:=ExtFml("GV.GetVar","Ns");
Tr:=ExtFml("GV.GetVar","Tr");F:=ExtFml("GV.GetVar","F");
A:=HighestSince(1,I+En*(Z<16),M)=M;
B:=ValueWhen(1,I+A,Max(M,ValueWhen(1,I+(Tr=0),M)));
D:=LowestSince(1,I+A,M);
Rd:=HighestSince(1,I,B-D);
Rp:=100*HighestSince(1,I,(B-D)/(B+(B=0)));
I:=Alert(Cum(IsDefined(Ref(I,2)))=1,3);
Y:=If(Z>20,G,Y<>ValueWhen(2,1,Y)) OR Cum(I)=0 OR Cum(I)=2;
Y:=TroughBars(1,Y,1)=0 OR Alert(Cum(I)=1,3) OR Cum(1)=LastValue(Cum(1));
A:=ValueWhen(1,Y,M); B:=ValueWhen(2,Y,M);
G:=PREC(100*(A-B)*(B<>0)/(Abs(B)+(B=0)),2);
D:=If(Z=0,M,If(Z=1,M-Cp,If(Z=2,N+M-Cp-Cum(N),
If(Z=3,100*(N+M-Cp-Cum(N))/(F+(Cp=0)),
If(Z=4,Cum((N>0)*N),
If(Z=5,Cum((N<0)*N),If(Z=6,Cum(N>0),
If(Z=7,Cum(Ex+Lb>0 AND N<=0),If(Z=8,Tr,
If(Z=9,BarsSince(I OR Alert(Tr,2)=0)*Alert(Tr,2),M))))))))));
If(Z<10,D,If(Z=10,Cum(Alert(Tr,2)),
If(Z=11,Ns,If(Z=12,Nd,If(Z=13,100*(M-Cp)/(F+(Cp=0)),
If(Z=14,Rd,If(Z=15,Rp,If(Z=16,Rd,If(Z=17,Rp,
If(Z=18,F,If(Z=19,(A-B)*(B<>0),If(Z=20,G,
If(Z=21,(A-B)*(B<>0),G)))))))))))));

-------8<---------------------------------------


EXPLORATIONS - Install indicators first.
-------8<----------------------------------

{Trade Equity GV SE 1}
{2004-2007 Roy Larsen, for MS V7.X – V10.X}

{This is the first of four Trade Equity GV SE explorations for MS 7.0 and above. These explorations create trading system performance reports that can be copied to Excel spreadsheets for summary and further analysis.}

{Column A: $ Profit}
  {Net profit}
Eq:=Fml("Trade Equity GV SE");
Tr:=ExtFml("GV.GetVar","Tr");
Cp:=ExtFml("GV.GetVar","Cp");
En:=ExtFml("GV.GetVar","En");
Equity:=ExtFml("GV.GetVar","Equity");
Trades:=ExtFml("GV.GetVar","Trades");
Number:=ExtFml("GV.GetVar","Number");
Equity:=ExtFml("GV.SetVar","Equity",Eq+Equity-Cp);
Trades:=ExtFml("GV.SetVar","Trades",Trades+Tr);
Number:=ExtFml("GV.SetVar","Number",Number+En);
N:=ExtFml("GV.GetVar","N");
LastValue(Cum(N));

{Column B: $ Win}
  {Amount of winning trades}
N:=ExtFml("GV.GetVar","N");
LastValue(Cum((N>0)*N));

{Column C: $ Loss}
  {Amount of losing trades}
N:=ExtFml("GV.GetVar","N");
LastValue(Cum((N<0)*N));

{Column D: # Win}
  {Number of winning long trades}
N:=ExtFml("GV.GetVar","N");
LastValue(Cum(N>0));

{Column E: # Loss}
  {Number of losing long trades}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N:=ExtFml("GV.GetVar","N");
LastValue(Cum((Ex OR Lb) AND N<=0));

{Column F: # BarsIn}
  {Total bars in all trades}
Tr:=ExtFml("GV.GetVar","Tr");
LastValue(Cum(If(Alert(Tr<>0,2),1,0)));

{Filter}
Cum(Alert(ExtFml("GV.GetVar","Tr")<>0,2))>0;

Filter enabled Yes
Periodicity As required
Records required XXX

-------8<----------------------------------

{Trade Equity GV SE 2}
{2004-2007 Roy Larsen, for MS V7.X – V10.X}

{This is the second of four Trade Equity GV SE explorations for MS 7.0 and above. These explorations create trading system performance reports that can be copied to Excel spreadsheets for summary and further analysis.}

Col A: #BarsOut
  {Bars out}
Eq:=Fml("Trade Equity GV SE");
Tr:=ExtFml("GV.GetVar","Tr");
Cum(Tr>-1)-Cum(Alert(Tr,2));

Col B: #TotBars
  {Explored bars total}
I:=ExtFml("GV.GetVar","I"); Cum(If(I>-1,1,0));

Col C: $ Costs
  {Commissions paid}
Cn:=ExtFml("GV.GetVar","Cn");
Cx:=ExtFml("GV.GetVar","Cx");
En:=ExtFml("GV.GetVar","En");
Ex:=ExtFml("GV.GetVar","Ex");
Cum(If(En,Cn,If(Ex,Cx,0)));

Col D: Buy/Hold
  {Buy & hold profit/loss, first bar or signal}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","Tr");
Ea:=ValueWhen(1,Cum(1)=1 {OR Cum(Tr)=1} ,C);
Ea:=LastValue(Ea); Xp:=LastValue(C);
If(Cp>0,((Cp-Cn)*(Xp/Ea))-Cp,(Xp-Ea));

Col E: P Index
  {Profit index}
N :=ExtFml("GV.GetVar","N");
Gn:=Cum(If(N>0,N,0)); Ls:=Cum(If(N<0,N,0));
Gn:=If(Gn=0,-1,Gn);
If(Gn=-1,0,PREC(100*(Gn+Ls)/Gn,1));

Col F: In Trade
  {Currently in a trade}
ExtFml("GV.GetVar","Tr");

{Filter}
Cum(Alert(ExtFml("GV.GetVar","Tr")<>0,2))>0;

Filter enabled: Yes
Periodicity: As required 
Records required: User specified

-------8<----------------------------------

{Trade Equity GV SE 3}
{2004-2007 Roy Larsen, for MS V7.X – V10.X}

{This is the third of four Trade Equity GV SE explorations for MS 7.0 and above. These explorations create trading system performance reports that can be copied to Excel spreadsheets for summary and further analysis.}

Col A: $Max DD
  {Maximum open trade drawdown} 
Eq:=Fml("Trade Equity GV SE");
ExtFml("GV.GetVar","Nd");

Col B: $MaxProf
  {Maximum open trade profit} 
ExtFml("GV.GetVar","Ns");

Col C: Win Bars
  {Total bars in winning trades}
ExtFml("GV.GetVar","X");

Col D: LoseBars
  {Total bars in losing trades}
ExtFml("GV.GetVar","Xd");

Col E: Max Win
  {Maximum consecutive winning trades}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N"); I:=Cum(Ex>-1)=2;
Up:=N>0; Dn:=N<=0 AND (Ex OR Lb);
Ca:=If(BarsSince(I OR Up)>=BarsSince(I OR Dn),0,1);
Ct:=Cum(Cross(Up,0.5))-ValueWhen(1,I OR (Ca AND 
Alert(Ca=0,2)) OR (Ca=0 AND 
Alert(Ca,2)),Cum(Cross(Up,0.5)));
Cup:=If(Ca,Ct+1,Ct); HighestSince(1,I,Cup);

Col F: Max Lose
  {Maximum consecutive losing trades}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N"); I:=Cum(Ex>-1)=2;
Up:=N>0; Dn:=N<=0 AND (Ex OR Lb);
Ca:=If(BarsSince(I OR Dn)>=BarsSince(I OR Up),0,1);
Ct:=Cum(Cross(Dn,0.5))-ValueWhen(1,I OR (Ca AND 
Alert(Ca=0,2)) OR (Ca=0 AND 
Alert(Ca,2)),Cum(Cross(Dn,0.5)));
Cdn:=If(Ca,Ct+1,Ct); HighestSince(1,I,Cdn);

{Filter}
Cum(Alert(ExtFml("GV.GetVar","Tr")<>0,2))>0;

Filter enabled: Yes
Periodicity: As required 
Records required: User specified

-------8<----------------------------------

{Trade Equity GV SE 4}
{2004-2007 Roy Larsen, for MS V7.X – V10.X}

{This is the last of four Trade Equity GV SE explorations for MS 7.0 and above. These explorations create trading system performance reports that can be copied to Excel spreadsheets for summary and further analysis.}

Col A: B/H DwDn
  {Maximum buy and hold drawdown}
Eq:=Fml("Trade Equity GV SE");
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","Tr");
Ea:=ValueWhen(1,Cum(1)=1 {OR Cum(Tr)=1} ,C);
I :=Cum(Ea>0)=1; Ea:=LastValue(Ea);
Gl:=If(Cp>0,((Cp-Cn)*(C/Ea))-Cp,(C-Ea));
LowestSince(1,I,Gl);

Col B: B/H +Exc
  {Maximum buy and hold positive excursion}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","Tr");
Ea:=ValueWhen(1,Cum(1)=1 {OR Cum(Tr)=1} ,C);
I :=Cum(Ea>0)=1; Ea:=LastValue(Ea);
Gl:=If(Cp>0,((Cp-Cn)*(C/Ea))-Cp,(C-Ea));
HighestSince(1,I,Gl);

Col C: AvgeWin
  {Average win}
N :=ExtFml("GV.GetVar","N");
Gn:=Cum(If(N>0,N,0)); Up:=Cum(If(N>0,1,0));
Up:=If(Up=0,-1,Up); Gn:=If(Up=0,1,Gn);
If(Gn/Up=-1,0,Gn/Up);

Col D: AvgeLoss
  {Average loss}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N");
Ls:=Cum(If(N<0,N,0));
Dn:=Cum(If(N<=0 AND (Ex OR Lb),1,0));
Dn:=If(Dn=0,-1,Dn); Ls:=If(Dn=0,-1,Ls);
If(Ls/Dn>0,0,Ls/Dn);

Col E: GL Ratio
  {Average gain/loss ratio}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N");
Gn:=Cum(If(N>0,N,0)); Up:=Cum(If(N>0,1,0));
Ls:=Cum(If(N<0,N,0)); Ok:=Gn>0 AND Ls<0;
Dn:=Cum(If(N<=0 AND (Ex OR Lb),1,0));
Gn:=If(Ok,Gn,-1); Ls:=If(Ok,Ls,1);
Up:=If(Ok,Up,1); Dn:=If(Ok,Dn,1);
Op:=(Gn/Up)/Abs(Ls/Dn); If(Op<0,0,PREC(Op,2));

Col F: PkTrough
  {Maximum $ peak-to-trough range}
I :=ExtFml("GV.GetVar","I");
Tr:=ExtFml("GV.GetVar","Tr");
Xs:=ExtFml("GV.GetVar","Xs");
A :=If(Tr,HighestSince(1,Tr=0,Xs),0);
B :=If(Tr,LowestSince(1,Tr=0,Xs),0);
HighestSince(1,I,If(Tr,A-B,0));

{Filter}
Cum(Alert(ExtFml("GV.GetVar","Tr")<>0,2))>0;

Filter enabled: Yes
Periodicity: As required 
Records required: User specified

-------8<----------------------------------

{Trade Equity GV SE V10 1/2}
{2003-2007 Roy Larsen}
{This is the first of two Trade Equity GV SE explorations for MS 10. These explorations create trading system performance reports that can be copied to Excel spreadsheets for summary and further analysis (see the Excel macro named Trade_Equity_Report_2).}

{Column A: $ Profit}
  {Net profit}
Eq:=Fml("Trade Equity GV SE");
Tr:=ExtFml("GV.GetVar","Tr");
Cp:=ExtFml("GV.GetVar","Cp");
En:=ExtFml("GV.GetVar","En");
Equity:=ExtFml("GV.GetVar","Equity");
Trades:=ExtFml("GV.GetVar","Trades");
Number:=ExtFml("GV.GetVar","Number");
Equity:=ExtFml("GV.SetVar","Equity",Eq+Equity-Cp);
Trades:=ExtFml("GV.SetVar","Trades",Trades+Tr);
Number:=ExtFml("GV.SetVar","Number",Number+En);
N:=ExtFml("GV.GetVar","N");
LastValue(Cum(N));

{Column B: $ Win}
  {Amount of winning trades}
N:=ExtFml("GV.GetVar","N");
LastValue(Cum((N>0)*N));

{Column C: $ Loss}
  {Amount of losing trades}
N:=ExtFml("GV.GetVar","N");
LastValue(Cum((N<0)*N));

{Column D: # Win}
  {Number of winning long trades}
N:=ExtFml("GV.GetVar","N");
LastValue(Cum(N>0));

{Column E: # Loss}
  {Number of losing long trades}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N");
LastValue(Cum((Ex OR Lb) AND N<=0));

{Column F: # BarsIn}
  {Total bars in all trades}
Tr:=ExtFml("GV.GetVar","Tr");
LastValue(Cum(Alert(Tr<>0,2)));

{Column G: #BarsOut}
  {Bars out}
Tr:=ExtFml("GV.GetVar","Tr");
Cum(Tr>-1)-Cum(Alert(Tr,2));

{Column H: #TotBars}
  {Explored bars total}
I:=ExtFml("GV.GetVar","I"); Cum(I>-1);

{Column I: $ Costs}
  {Commissions paid}
Cn:=ExtFml("GV.GetVar","Cn");
Cx:=ExtFml("GV.GetVar","Cx");
En:=ExtFml("GV.GetVar","En");
Ex:=ExtFml("GV.GetVar","Ex");
Cum(En*Cn+Ex*Cx);

{Column J: Buy/Hold}
  {Buy & hold profit/loss, first bar or signal}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","Tr");
Ea:=ValueWhen(1,Cum(1)=1 {OR Cum(Tr)=1} ,C);
Ea:=LastValue(Ea); Xp:=LastValue(C);
If(Cp>0,((Cp-Cn)*(Xp/Ea))-Cp,(Xp-Ea));

{Column K: P Index}
  {Profit index}
N :=ExtFml("GV.GetVar","N");
Gn:=Cum(If(N>0,N,0)); Ls:=Cum(If(N<0,N,0));
Gn:=If(Gn=0,-1,Gn);
If(Gn=-1,0,PREC(100*(Gn+Ls)/Gn,1));

{Column L: In Trade}
  {Currently in a trade}
ExtFml("GV.GetVar","Tr");

{Filter}
Cum(Alert(ExtFml("GV.GetVar","Tr")<>0,2))>0;

Filter enabled: Yes
Periodicity: As required
Records required: User specified

-------8<----------------------------------

{Trade Equity GV SE V10 3/4}
{2003-2007 Roy Larsen}
{This is the second of two Trade Equity GV SE explorations for MS 10. These explorations create trading system performance reports that can be copied to Excel spreadsheets for summary and further analysis (see the Excel macro named Trade_Equity_Report_2).}

{Column A: $ MAE}
  {Maximum adverse excursion - $ or %}
Eq:=Fml("Trade Equity GV SE");
Nd:=ExtFml("GV.GetVar","Nd");
Nd;
{Cp:=ExtFml("GV.GetVar","Cp");
Ndp:=PREC(100*Nd/Cp,1); Ndp;}

{Column B: $ MFE}
  {Maximum favourable excursion - $ or %}
Ns:=ExtFml("GV.GetVar","Ns");
Ns;
{Cp:=ExtFml("GV.GetVar","Cp");
Nsp:=PREC(100*Ns/Cp,1); Nsp;}

{Column C: Win Bars}
{Total bars in winning trades}
ExtFml("GV.GetVar","X");

{Column D: LoseBars}
  {Total bars in losing trades}
ExtFml("GV.GetVar","Xd");

{Column E: Max Win}
  {Maximum consecutive winning trades}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N"); I:=Cum(Ex>-1)=2;
Up:=N>0; Dn:=N<=0 AND (Ex OR Lb);
Ca:=If(BarsSince(I OR Up)>=BarsSince(I OR Dn),0,1);
Ct:=Cum(Cross(Up,0.5))-ValueWhen(1,I OR (Ca AND
Alert(Ca=0,2)) OR (Ca=0 AND
Alert(Ca,2)),Cum(Cross(Up,0.5)));
Cup:=If(Ca,Ct+1,Ct); HighestSince(1,I,Cup);

{Column F: Max Lose}
  {Maximum consecutive losing trades}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N"); I:=Cum(Ex>-1)=2;
Up:=N>0; Dn:=N<=0 AND (Ex OR Lb);
Ca:=If(BarsSince(I OR Dn)>=BarsSince(I OR Up),0,1);
Ct:=Cum(Cross(Dn,0.5))-ValueWhen(1,I OR (Ca AND
Alert(Ca=0,2)) OR (Ca=0 AND
Alert(Ca,2)),Cum(Cross(Dn,0.5)));
Cdn:=If(Ca,Ct+1,Ct); HighestSince(1,I,Cdn);

{Column G: B/H DwDn}
  {Maximum buy and hold adverse excursion}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","Tr");
Ea:=ValueWhen(1,Cum(1)=1 {OR Cum(Tr)=1} ,C);
I :=Cum(Ea>0)=1; Ea:=LastValue(Ea);
Gl:=If(Cp>0,((Cp-Cn)*(C/Ea))-Cp,(C-Ea));
LowestSince(1,I,Gl);

{Column H: B/H +Exc}
  {Maximum buy and hold favourable excursion}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","Tr");
Ea:=ValueWhen(1,Cum(1)=1 {OR Cum(Tr)=1} ,C);
I :=Cum(Ea>0)=1; Ea:=LastValue(Ea);
Gl:=If(Cp>0,((Cp-Cn)*(C/Ea))-Cp,(C-Ea));
HighestSince(1,I,Gl);

{Column I: AvgeWin}
  {Average win}
N :=ExtFml("GV.GetVar","N");
Gn:=Cum((N>0)*N); Up:=Cum(N>0);
Up:=If(Up=0,-1,Up); Gn:=If(Up=0,1,Gn);
If(Gn/Up=-1,0,Gn/Up);

{Column J: AvgeLoss}
  {Average loss}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N");
Ls:=Cum((N<0)*N);
Dn:=Cum(N<=0 AND (Ex OR Lb));
Dn:=If(Dn=0,-1,Dn); Ls:=If(Dn=0,-1,Ls);
If(Ls/Dn>0,0,Ls/Dn);

{Column K: GL Ratio}
  {Average gain/loss ratio}
Ex:=ExtFml("GV.GetVar","Ex");
Lb:=ExtFml("GV.GetVar","Lb");
N :=ExtFml("GV.GetVar","N");
Gn:=Cum((N>0)*N); Up:=Cum(N>0);
Ls:=Cum((N<0)*N); Ok:=Gn>0 AND Ls<0;
Dn:=Cum(N<=0 AND (Ex OR Lb));
Gn:=If(Ok,Gn,-1); Ls:=If(Ok,Ls,1);
Up:=If(Ok,Up,1); Dn:=If(Ok,Dn,1);
Op:=(Gn/Up)/Abs(Ls/Dn); If(Op<0,0,PREC(Op,2));

{Column L: PkTrough}
  {Maximum $ peak-to-trough range}
I :=ExtFml("GV.GetVar","I");
Tr:=ExtFml("GV.GetVar","Tr");
Xs:=ExtFml("GV.GetVar","Xs");
A :=If(Tr,HighestSince(1,Tr=0,Xs),0);
B :=If(Tr,LowestSince(1,Tr=0,Xs),0);
HighestSince(1,I,If(Tr,A-B,0));

{Filter}
Cum(Alert(ExtFml("GV.GetVar","Tr")<>0,2))>0;

Filter enabled: Yes
Periodicity: As required
Records required: User specified

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EXCEL MACROS
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Sub Trade_Equity_Report()
'
' Trade Equity GV LE/SE/DE macro for MS 6-column exploration reports
' Macro recorded 12/12/2006 by Roy Larsen
'
    Columns("A:A").Select
    Selection.ColumnWidth = 25
    Columns("B:B").Select
    Selection.ColumnWidth = 12
    Columns("H:J").Select
    Selection.Delete Shift:=xlToLeft
    ActiveWindow.LargeScroll ToRight:=1
    Columns("N:P").Select
    Selection.Delete Shift:=xlToLeft
    Columns("T:V").Select
    Selection.Delete Shift:=xlToLeft
    Columns("AA:AA").Select
    Selection.Delete Shift:=xlToLeft
    Columns("B:Y").Select
    SelectionNumberFormat = "0_ ;[Red]-0 "
    Columns("B:D").Select
    Selection.NumberFormat = "0.00_ ;[Red]-0.00 "
    ActiveWindow.LargeScroll ToRight:=0
    Rows("1:1").Select
    Selection.Font.Bold = True
    Selection.Copy
    Application.Goto Reference:="R1000C1"
    ActiveSheet.Paste
    Application.CutCopyMode = False
    Range("A1000").Select
    ActiveCell.FormulaR1C1 = "Portfolio Performance"
    Range("A1001").Select
    ActiveCell.FormulaR1C1 = "Net $ Profit"
    Range("A1002").Select
    ActiveCell.FormulaR1C1 = "$ Won"
    Range("A1003 ").Select
    ActiveCell.FormulaR1C1 = "$ Lost"
    Range("A1004").Select
    ActiveCell.FormulaR1C1 = "# Wins"
    Range("A1005").Select
    ActiveCell.FormulaR1C1 = "# Losses"
    Range("A1006").Select
    ActiveCell.FormulaR1C1 = "Average Win/Loss Ratio"
    Range("A1007").Select
    ActiveCell.FormulaR1C1 = "Profit Factor"
    Range("A1008").Select
    ActiveCell.FormulaR1C1 = "Profit Index"
    Range("A1009").Select
    ActiveCell.FormulaR1C1 = "%Profitable"
    Range("A1010").Select
    ActiveCell.FormulaR1C1 = "Average Win"
    Range("A1011").Select
    ActiveCell.FormulaR1C1 = "Average Loss"
    Range("A1012").Select
    ActiveCell.FormulaR1C1 = "Average Trade"
    Range("A1013").Select
    ActiveCell.FormulaR1C1 = "Pessimistic Return"
    Range("A1014").Select
    ActiveCell.FormulaR1C1 = "% Time Invested"
    Range("A1015").Select
    ActiveCell.FormulaR1C1 = "Max Adverse Excursion"
    Range("A1016").Select
    ActiveCell.FormulaR1C1 = "Max Favorable Excursion"
    Range("B1000").Select
    Selection.ClearContents
    Range("B1001").Select
    ActiveCell.FormulaR1C1 = "=SUM(R[-999]C:R[-2]C)"
    Range("B1001").Select
    Selection.Font.Bold = True
    ActiveWindow.LargeScroll ToRight:=1
    Range("B1001:Y1001").Select
    Selection.FillRight
    Range("B1001").Select
    ActiveWindow.LargeScroll ToRight:=1
    Range("B1001:Y1001").Select
    Selection.NumberFormat = "0_ ;[Red]-0 "
    Range("B1002").Select
    ActiveCell.FormulaR1C1 = "=R[-1]C[1]"
    Range("B1003").Select
    ActiveCell.FormulaR1C1 = "=R[-2]C[2]"
    Range("B1004").Select
    ActiveCell.FormulaR1C1 = "=R[-3]C[3]"
    Range("B1005").Select
    ActiveCell.FormulaR1C1 = "=R[-4]C[4]"
    Range("B1006").Select
    ActiveCell.FormulaR1C1 = "=(R[-5]C[1]/R[-5]C[3])/ABS(R[-5]C[2]/R[-5]C[4])"
    Range("B1007").Select
    ActiveCell.FormulaR1C1 = "=ABS(R[-6]C[1]/R[-6]C[2])"
    Range("B1008").Select
    ActiveCell.FormulaR1C1 = "=100*(R[-7]C[1]+R[-7]C[2])/R[-7]C[1]"
    Range("B1009").Select
    ActiveCell.FormulaR1C1 = "=100*R[-8]C[3]/(R[-8]C[3]+R[-8]C[4])"
    Range("B1010").Select
    ActiveCell.FormulaR1C1 = "=R[-9]C[1]/R[-9]C[3]"
    Range("B1011").Select
    ActiveCell.FormulaR1C1 = "=R[-10]C[2]/R[-10]C[4]"
    Range("B1012").Select
    ActiveCell.FormulaR1C1 = "=(R[-11]C[1]+R[-11]C[2])/(R[-11]C[3]+R[-11]C[4])"
    Range("B1013").Select
    ActiveCell.FormulaR1C1 = "=((R[-12]C[3]-SQRT(R[-12]C[3]))*(R[-12]C[1]/R[-12]C[3]))/((R[-12]C[4]-SQRT(R[-12]C[4]))*ABS(R[-12]C[2]/R[-12]C[4]))"
    Range("B1013").Select
    Selection.NumberFormat = "0.00"
    Range("B1014").Select
    ActiveCell.FormulaR1C1 = "=100*(R[-13]C[5]/R[-13]C[7])"
    Range("B1015").Select
    ActiveCell.FormulaR1C1 = "=MINA(R[-1013]C[12]:R[-16]C[12])"
    Range("B1016").Select
    ActiveCell.FormulaR1C1 = "=MAXA(R[-1014]C[13]:R[-17]C[13])"
    Range("B1004:B1005").Select
    Selection.NumberFormat = "0_ ;[Red]-0 "
    Range("B1001:B1003 ").Select
    Selection.NumberFormat = "$#,##0_);[Red]($#,##0)"
    Range("B1010:B1012").Select
    Selection.NumberFormat = "$#,##0_);[Red]($#,##0)"
    Range("B1015:B1016").Select
    Selection.NumberFormat = "$#,##0_);[Red]($#,##0)"
    Range("B1001:B1016").Select
    Selection.Font.Bold = True
    Range("A1000").Select
    ActiveWindow.SmallScroll Down:=16
End Sub

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Sub Trade_Equity_Report_V10()
'
' Trade Equity GV LE/SE/DE macro for MS 12-column exploration reports 
' Excel macro recorded 12/12/2006 by Roy Larsen
'
    Columns("A:A").Select
    Selection.ColumnWidth = 25
    Columns("B:B").Select
    Selection.ColumnWidth = 12
    ActiveWindow.LargeScroll ToRight:=1
    Columns("N:P").Select
    Selection.Delete Shift:=xlToLeft
    Columns("AA:AA").Select
    Selection.Delete Shift:=xlToLeft
    Columns("B:Y").Select
    SelectionNumberFormat = "0_ ;[Red]-0 "
    Columns("B:D").Select
    Selection.NumberFormat = "0.00_ ;[Red]-0.00 "
    ActiveWindow.LargeScroll ToRight:=0
    Rows("1:1").Select
    Selection.Font.Bold = True
    Selection.Copy
    Application.Goto Reference:="R1000C1"
    ActiveSheet.Paste
    Application.CutCopyMode = False
    Range("A1000").Select
    ActiveCell.FormulaR1C1 = "Portfolio Performance"
    Range("A1001").Select
    ActiveCell.FormulaR1C1 = "Net $ Profit"
    Range("A1002").Select
    ActiveCell.FormulaR1C1 = "$ Won"
    Range("A1003 ").Select
    ActiveCell.FormulaR1C1 = "$ Lost"
    Range("A1004").Select
    ActiveCell.FormulaR1C1 = "# Wins"
    Range("A1005").Select
    ActiveCell.FormulaR1C1 = "# Losses"
    Range("A1006").Select
    ActiveCell.FormulaR1C1 = "Average Win/Loss Ratio"
    Range("A1007").Select
    ActiveCell.FormulaR1C1 = "Profit Factor"
    Range("A1008").Select
    ActiveCell.FormulaR1C1 = "Profit Index"
    Range("A1009").Select
    ActiveCell.FormulaR1C1 = "%Profitable"
    Range("A1010").Select
    ActiveCell.FormulaR1C1 = "Average Win"
    Range("A1011").Select
    ActiveCell.FormulaR1C1 = "Average Loss"
    Range("A1012").Select
    ActiveCell.FormulaR1C1 = "Average Trade"
    Range("A1013").Select
    ActiveCell.FormulaR1C1 = "Pessimistic Return"
    Range("A1014").Select
    ActiveCell.FormulaR1C1 = "% Time Invested"
    Range("A1015").Select
    ActiveCell.FormulaR1C1 = "Max Adverse Excursion"
    Range("A1016").Select
    ActiveCell.FormulaR1C1 = "Max Favorable Excursion"
    Range("B1000").Select
    Selection.ClearContents
    Range("B1001").Select
    ActiveCell.FormulaR1C1 = "=SUM(R[-999]C:R[-2]C)"
    Range("B1001").Select
    Selection.Font.Bold = True
    ActiveWindow.LargeScroll ToRight:=1
    Range("B1001:Y1001").Select
    Selection.FillRight
    Range("B1001").Select
    ActiveWindow.LargeScroll ToRight:=1
    Range("B1001:Y1001").Select
    Selection.NumberFormat = "0_ ;[Red]-0 "
    Range("B1002").Select
    ActiveCell.FormulaR1C1 = "=R[-1]C[1]"
    Range("B1003").Select
    ActiveCell.FormulaR1C1 = "=R[-2]C[2]"
    Range("B1004").Select
    ActiveCell.FormulaR1C1 = "=R[-3]C[3]"
    Range("B1005").Select
    ActiveCell.FormulaR1C1 = "=R[-4]C[4]"
    Range("B1006").Select
    ActiveCell.FormulaR1C1 = "=(R[-5]C[1]/R[-5]C[3])/ABS(R[-5]C[2]/R[-5]C[4])"
    Range("B1007").Select
    ActiveCell.FormulaR1C1 = "=ABS(R[-6]C[1]/R[-6]C[2])"
    Range("B1008").Select
    ActiveCell.FormulaR1C1 = "=100*(R[-7]C[1]+R[-7]C[2])/R[-7]C[1]"
    Range("B1009").Select
    ActiveCell.FormulaR1C1 = "=100*R[-8]C[3]/(R[-8]C[3]+R[-8]C[4])"
    Range("B1010").Select
    ActiveCell.FormulaR1C1 = "=R[-9]C[1]/R[-9]C[3]"
    Range("B1011").Select
    ActiveCell.FormulaR1C1 = "=R[-10]C[2]/R[-10]C[4]"
    Range("B1012").Select
    ActiveCell.FormulaR1C1 = "=(R[-11]C[1]+R[-11]C[2])/(R[-11]C[3]+R[-11]C[4])"
    Range("B1013").Select
    ActiveCell.FormulaR1C1 = "=((R[-12]C[3]-SQRT(R[-12]C[3]))*(R[-12]C[1]/R[-12]C[3]))/((R[-12]C[4]-SQRT(R[-12]C[4]))*ABS(R[-12]C[2]/R[-12]C[4]))"
    Range("B1013").Select
    Selection.NumberFormat = "0.00"
    Range("B1014").Select
    ActiveCell.FormulaR1C1 = "=100*(R[-13]C[5]/R[-13]C[7])"
    Range("B1015").Select
    ActiveCell.FormulaR1C1 = "=MINA(R[-1013]C[12]:R[-16]C[12])"
    Range("B1016").Select
    ActiveCell.FormulaR1C1 = "=MAXA(R[-1014]C[13]:R[-17]C[13])"
    Range("B1004:B1005").Select
    Selection.NumberFormat = "0_ ;[Red]-0 "
    Range("B1001:B1003 ").Select
    Selection.NumberFormat = "$#,##0_);[Red]($#,##0)"
    Range("B1010:B1012").Select
    Selection.NumberFormat = "$#,##0_);[Red]($#,##0)"
    Range("B1015:B1016").Select
    Selection.NumberFormat = "$#,##0_);[Red]($#,##0)"
    Range("B1001:B1016").Select
    Selection.Font.Bold = True
    Range("A1000").Select
    ActiveWindow.SmallScroll Down:=16
End Sub

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