Trade Equity GV DE Files. (Updated 14 December 2006)

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

INDICATORS - Install in listed order.

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  {Date Filter}
  {2004 Roy Larsen, rlarsen@man.quik.co.nz} 
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"   ,1980,2010,2004);
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);
Filter:=Start AND (End OR (Start AND Alert(Start=0,2)));
Filter;

-------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 DE} {V6.2 Dual Equal}
 {© 2002-2006 Roy Larsen}
 {www.metastocktips.co.nz}
I:=Input("Display Options 0-1",0,1,1);
B:=Input("Buy 1=O 2=C 3=H 4=L 5=Stop", 1,5,2);
Z:=Input("Sell 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("Buy/Sell Costs",0,999999,025025);
Nd:=Input("Buy/Sell Delays",0,55,0);
Cp:=5000;{default size, 0=points only}
  {* long formulas *}
F:=-1; {see TE Display Options indicator}
N:=0; {buy long}
Ns:=0; {buy price stop}
X:=0; {sell long}
Xs:=0; {sell price stop}
  {* short formulas *}
SF:=F; {see TE Display Options indicator}
SN:=0; {sell short}
SNs:=0; {sell short price stop}
SX:=0; {cover}
SXs:=0; {cover price stop}
  {* end of user area *}
I:=ExtFml("GV.SetVar","De",I);I:=Int(11*Frac(A/10));
I:=If(I>1,100,If(I=1,10,1));Ns:=(B=5)*Ns;
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));
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);
X:=ValueWhen(1+Xd,1,X);X:=X+Xs>0;
SNs:=(B=5)*sNs;
SF:=ValueWhen(1+Nd,1,If(SF=0,-1,If(Abs(SF)>1,Abs(SF),-SF)));
SN:=SN AND Alert(SN=0,2)+(Cum(SN>-1)=1);
SX:=SX AND (Z<5)*(Alert(SX=0,2)+(Cum(SX>-1)=1));
SN:=ValueWhen(1+Nd,1,SN);SN:=If(B<5,SN,SNs>0);
SX:=ValueWhen(1+Xd,1,SX);SX:=SX+SXs>0;
I:=Cum(N+X+SN+SX+Abs(F+SF)>-1)=1;
I:=ExtFml("GV.SetVar","I",I);I:=ExtFml("GV.SetVar","B",B);
I:=ExtFml("GV.SetVar","Cn",Cn);I:=ExtFml("GV.SetVar","Cp",Cp);
I:=ExtFml("GV.SetVar","Cx",Cx);I:=ExtFml("GV.SetVar","Nd",Nd);
I:=ExtFml("GV.SetVar","Xd",Xd);I:=ExtFml("GV.SetVar","Z",Z);
I:=ExtFml("GV.SetVar","F",F);I:=ExtFml("GV.SetVar","N",N);
I:=ExtFml("GV.SetVar","X",X);I:=ExtFml("GV.SetVar","Ns",Ns);
I:=ExtFml("GV.SetVar","Xs",Xs);I:=ExtFml("GV.SetVar","SF",SF);
I:=ExtFml("GV.SetVar","SN",SN);I:=ExtFml("GV.SetVar","SX",SX);
I:=ExtFml("GV.SetVar","SNs",SNs);I:=ExtFml("GV.SetVar","SXs",SXs);
Fml("Trade Equity GV DE Long");

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{Trade Equity GV DE Long} {V6.2 Dual Equal}
 {© 2002-2006 Roy Larsen}
 {www.metastocktips.co.nz}
I:=ExtFml("GV.GetVar","I"); B:=ExtFml("GV.GetVar","B");
Cn:=ExtFml("GV.GetVar","Cn"); Cp:=ExtFml("GV.GetVar","Cp");
Cx:=ExtFml("GV.GetVar","Cx"); Nd:=ExtFml("GV.GetVar","Nd");
Xd:=ExtFml("GV.GetVar","Xd"); Z:=ExtFml("GV.GetVar","Z");
F:=ExtFml("GV.GetVar","F"); N:=ExtFml("GV.GetVar","N");
Ns:=ExtFml("GV.GetVar","Ns"); X:=ExtFml("GV.GetVar","X");
Xs:=ExtFml("GV.GetVar","Xs");
M:=If(Ns>0,Min(H,Max(L,Ns)),If(B=1,O,If(B=3,H,If(B=4,L,C))));
Y:=If(Xs>0,Min(H,Max(L,Xs)),If(Z=1,O,If(Z=3,H,If(Z=4,L,C))));
Y:=If((Z<5)*(X=0),C,Y);
Y:=If((Xs>0)*N*X,Xs,Y); 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>1)*(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)); {Ex:=Ex OR Lb;}
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,Y-A,(F-Cn)*(Y/A)-F-Ex*Cx);
B:=Alert(Tr,2)*(1+BarsSince(En+I));
Xs:=Alert(Tr,2)*If(Cp=0,Y-A,(F-Cn)*(Y/A)-F-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,Y-A,(F-Cn)*(Y/A)-F);
I:=ExtFml("GV.SetVar","N_L",N);
I:=ExtFml("GV.SetVar","X_L",X);
I:=ExtFml("GV.SetVar","EnL",En);
I:=ExtFml("GV.SetVar","ExL",Ex);
I:=ExtFml("GV.SetVar","LbL",Lb);
I:=ExtFml("GV.SetVar","NdL",Nd);
I:=ExtFml("GV.SetVar","NsL",Ns);
I:=ExtFml("GV.SetVar","TrL",Tr);
I:=ExtFml("GV.SetVar","XdL",Xd);
I:=ExtFml("GV.SetVar","XsL",Xs);
I:=ExtFml("GV.SetVar","EqL",M);
Fml("Trade Equity GV DE Short");

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{Trade Equity GV DE Short} {V6.2 Dual Equal}
 {© 2002-2006 Roy Larsen}
 {www.metastocktips.co.nz}
I:=ExtFml("GV.GetVar","I"); B:=ExtFml("GV.GetVar","B");
Cn:=ExtFml("GV.GetVar","Cn"); Cp:=ExtFml("GV.GetVar","Cp");
Cx:=ExtFml("GV.GetVar","Cx"); Nd:=ExtFml("GV.GetVar","Nd");
Xd:=ExtFml("GV.GetVar","Xd"); Z:=ExtFml("GV.GetVar","Z");
F:=ExtFml("GV.GetVar","SF"); N:=ExtFml("GV.GetVar","SN");
Ns:=ExtFml("GV.GetVar","SNs"); X:=ExtFml("GV.GetVar","SX");
Xs:=ExtFml("GV.GetVar","SXs");
M:=If(Ns>0,Min(H,Max(L,Ns)),If(B=1,O,If(B=3,H,If(B=4,L,C))));
Y:=If(Xs>0,Min(H,Max(L,Xs)),If(Z=1,O,If(Z=3,H,If(Z=4,L,C))));
Y:=If((Z<5)*(X=0),C,Y);
Y:=If((Xs>0)*N*X,Xs,Y); 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>1)*(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)); {Ex:=Ex OR Lb;}
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","N_S",N);
I:=ExtFml("GV.SetVar","X_S",X);
I:=ExtFml("GV.SetVar","EnS",En);
I:=ExtFml("GV.SetVar","ExS",Ex);
I:=ExtFml("GV.SetVar","LbS",Lb);
I:=ExtFml("GV.SetVar","NdS",Nd);
I:=ExtFml("GV.SetVar","NsS",Ns);
I:=ExtFml("GV.SetVar","TrS",Tr);
I:=ExtFml("GV.SetVar","XdS",Xd);
I:=ExtFml("GV.SetVar","XsS",Xs);
I:=ExtFml("GV.SetVar","EqS",M);
ExtFml("GV.GetVar","EqL")+M-
If(ExtFml("GV.GetVar","De")=0,Cp,2*Cp);
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EXPLORATIONS - Install indicators first.

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{Trade Equity GV DE MS7+ L1}
{© 2006 Roy Larsen}
These four explorations create system performance reports that can be copied to Excel spreadsheets for summary or further analysis.

{Column A: $ Profit}
{Net long profit}
Eq:=Fml("Trade Equity GV DE"); {refresh GVs}
Eq:=ExtFml("GV.GetVar","EqL");
Tr:=ExtFml("GV.GetVar","TrL");
Cp:=ExtFml("GV.GetVar","Cp");
En:=ExtFml("GV.GetVar","EnL");
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_L"); LastValue(Cum(N))

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

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

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

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

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

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

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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

{Trade Equity GV DE MS7+ L2}
{© 2006 Roy Larsen}

{Column A: #BarsOut}
{Bars out of long trades}
Eq:=Fml("Trade Equity GV DE"); {refresh GVs}
Tr:=ExtFml("GV.GetVar","TrL"); Cum(Tr>-1)-Cum(Alert(Tr,2))

{Column B: #TotBars}
{Total bars explored}
I:=ExtFml("GV.GetVar","I"); Cum(I>-1)

{Column C: $ Costs}
{Long commissions paid}
Cn:=ExtFml("GV.GetVar","Cn");
Cx:=ExtFml("GV.GetVar","Cx");
En:=ExtFml("GV.GetVar","EnL");
Ex:=ExtFml("GV.GetVar","ExL"); Cum(En*Cn+Ex*Cx)

{Column D: Buy/Hold}
{Buy & hold long profit, 1st bar or signal}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrL");
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 E: P Index}
{Long profit index}
N :=ExtFml("GV.GetVar","N_L");
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 F: In Trade}
{Currently in a long trade}
ExtFml("GV.GetVar","TrL")

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

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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


{Trade Equity GV DE MS7+ L3}
{© 2006 Roy Larsen}

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

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

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

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

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

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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


{Trade Equity GV DE MS7+ L4}
{© 2006 Roy Larsen}

{Column A: B/H DwDn}
{Max buy and hold long adverse excursion}
Eq:=Fml("Trade Equity GV DE"); {refresh GVs}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrL");
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 B: B/H +Exc}
{Max buy and hold long favourable excursion}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrL");
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 C: AvgeWin}
{Average long win}
N :=ExtFml("GV.GetVar","N_L"); 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 D: AvgeLoss}
{Average long loss}
Ex:=ExtFml("GV.GetVar","ExL");
Lb:=ExtFml("GV.GetVar","LbL");
N :=ExtFml("GV.GetVar","N_L");
Ls:=Cum((N<0)*N); Dn:=Cum(Ex+Lb AND N<=0);
Dn:=If(Dn=0,-1,Dn); Ls:=If(Dn=0,-1,Ls);
If(Ls/Dn>0,0,Ls/Dn)

{Column E: GL Ratio}
{Average long gain/loss ratio}
Ex:=ExtFml("GV.GetVar","ExL");
Lb:=ExtFml("GV.GetVar","LbL");
N :=ExtFml("GV.GetVar","N_L");
Gn:=Cum((N>0)*N); Up:=Cum(N>0);
Ls:=Cum((N<0)*N); Ok:=Gn>0 AND Ls<0;
Dn:=Cum(Ex+Lb AND N<=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))

{Column F: PkTrough}
{Max long $ peak-to-trough range}
I :=ExtFml("GV.GetVar","I");
Tr:=ExtFml("GV.GetVar","TrL");
Xs:=ExtFml("GV.GetVar","XsL");
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","TrL")<>0,2))>0;

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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


{Trade Equity GV DE MS7+ S1}
{© 2006 Roy Larsen}
These four explorations create system performance reports that can be copied to Excel spreadsheets for summary or further analysis.

{Column A: $ Profit}
{Net short profit}
Eq:=Fml("Trade Equity GV DE"); {refresh GVs}
Eq:=ExtFml("GV.GetVar","EqS");
Tr:=ExtFml("GV.GetVar","TrS");
Cp:=ExtFml("GV.GetVar","Cp");
En:=ExtFml("GV.GetVar","EnS");
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_S"); LastValue(Cum(N))

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

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

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

{Column E: # Loss}
{Number of losing short trades}
Ex:=ExtFml("GV.GetVar","ExS");
Lb:=ExtFml("GV.GetVar","LbS");
N:=ExtFml("GV.GetVar","N_S"); Cum(Ex+Lb AND N<=0)

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

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

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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


{Trade Equity GV DE MS7+ S2}
{© 2006 Roy Larsen}

{Column A: #BarsOut}
{Bars out of short trades}
Eq:=Fml("Trade Equity GV DE"); {refresh GVs}
Tr:=ExtFml("GV.GetVar","TrS");
Cum(Tr>-1)-Cum(Alert(Tr,2))

{Column B: #TotBars}
{Total bars explored}
I:=ExtFml("GV.GetVar","I"); Cum(I>-1)

{Column C: $ Costs}
{Short commissions paid}
Cn:=ExtFml("GV.GetVar","Cn");
Cx:=ExtFml("GV.GetVar","Cx");
En:=ExtFml("GV.GetVar","EnS");
Ex:=ExtFml("GV.GetVar","ExS"); Cum(En*Cn+Ex*Cx)

{Column D: Buy/Hold}
{Buy & hold short profit, 1st bar or signal}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrS");
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 E: P Index}
{Profit index}
N :=ExtFml("GV.GetVar","N_S");
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 F: In Trade}
{Currently in a short trade}
ExtFml("GV.GetVar","TrS");

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

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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


{Trade Equity GV DE MS7+ S3}
{© 2006 Roy Larsen}

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

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

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

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

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

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

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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


{Trade Equity GV DE MS7+ S4}
{© 2006 Roy Larsen}

{Column A: B/H DwDn}
{Max buy and hold short adverse excursion}
Eq:=Fml("Trade Equity GV DE"); {refresh GVs}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrS");
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 B: B/H +Exc}
{Max buy and hold short favourable excursion}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrS");
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 C: AvgeWin}
{Average short win}
N :=ExtFml("GV.GetVar","N_S"); 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 D: AvgeLoss}
{Average short loss}
Ex:=ExtFml("GV.GetVar","ExS");
Lb:=ExtFml("GV.GetVar","LbS");
N :=ExtFml("GV.GetVar","N_S"); Ls:=Cum((N<0)*N);
Dn:=Cum(N<=0 AND Ex+Lb); Dn:=If(Dn=0,-1,Dn);
Ls:=If(Dn=0,-1,Ls); If(Ls/Dn>0,0,Ls/Dn)

{Column E: GL Ratio}
{Average short gain/loss ratio}
Ex:=ExtFml("GV.GetVar","ExS");
Lb:=ExtFml("GV.GetVar","LbS");
N :=ExtFml("GV.GetVar","N_S");
Gn:=Cum((N>0)*N); Up:=Cum(N>0);
Ls:=Cum((N<0)*N); Ok:=Gn>0 AND Ls<0;
Dn:=Cum(Ex+Lb AND N<=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));

{Column F: PkTrough}
{Max $ short peak-to-trough range}
I :=ExtFml("GV.GetVar","I");
Tr:=ExtFml("GV.GetVar","TrS");
Xs:=ExtFml("GV.GetVar","XsS");
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 {Filter}
Cum(Alert(ExtFml("GV.GetVar","TrS")>0,2))>0

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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


{Trade Equity GV DE MS10 L1}
{© 2006 Roy Larsen}
These two explorations create system performance reports that can be copied to Excel spreadsheets for summary or further analysis.

{Column A: $ Profit}
{Net long profit}
Eq:=Fml("Trade Equity GV DE"); {refresh GVs}
Eq:=ExtFml("GV.GetVar","EqL");
Tr:=ExtFml("GV.GetVar","TrL");
Cp:=ExtFml("GV.GetVar","Cp");
En:=ExtFml("GV.GetVar","EnL");
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_L"); LastValue(Cum(N))

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

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

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

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

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

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

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

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

{Column J: Buy/Hold}
{Buy & hold long profit, 1st bar or signal}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrL");
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}
{Long profit index}
N:=ExtFml("GV.GetVar","N_L");
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 long trade}
ExtFml("GV.GetVar","TrL")

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

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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


{Trade Equity GV DE V10 L2}
{© 2006 Roy Larsen}

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

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

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

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

{Column E: Max Win}
{Max consecutive winning long trades}
Ex:=ExtFml("GV.GetVar","ExL");
Lb:=ExtFml("GV.GetVar","LbL");
N:=ExtFml("GV.GetVar","N_L"); I:=Cum(Ex>-1)=2;
Up:=N>0; Dn:=Ex+Lb AND N<=0;
Ca:=BarsSince(I+Up)<BarsSince(I+Dn);
Ct:=Cum(Cross(Up,0.5))-ValueWhen(1,I+(Ca AND
Alert(Ca=0,2))+(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}
{Max consecutive losing long trades}
Ex:=ExtFml("GV.GetVar","ExL");
Lb:=ExtFml("GV.GetVar","LbL");
N:=ExtFml("GV.GetVar","N_L"); I:=Cum(Ex>-1)=2;
Up:=N>0; Dn:=Ex+Lb AND N<=0;
Ca:=BarsSince(I+Dn)<BarsSince(I+Up);
Ct:=Cum(Cross(Dn,0.5))-ValueWhen(1,I+(Ca AND
Alert(Ca=0,2))+(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}
{Max buy and hold long adverse excursion}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrL");
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}
{Max buy and hold long favourable excursion}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrL");
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 long win}
N:=ExtFml("GV.GetVar","N_L"); 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 long loss}
Ex:=ExtFml("GV.GetVar","ExL");
Lb:=ExtFml("GV.GetVar","LbL");
N:=ExtFml("GV.GetVar","N_L");
Ls:=Cum((N<0)*N); Dn:=Cum(Ex+Lb AND N<=0);
Dn:=If(Dn=0,-1,Dn); Ls:=If(Dn=0,-1,Ls);
If(Ls/Dn>0,0,Ls/Dn)

{Column K: GL Ratio}
{Average long gain/loss ratio}
Ex:=ExtFml("GV.GetVar","ExL");
Lb:=ExtFml("GV.GetVar","LbL");
N:=ExtFml("GV.GetVar","N_L");
Gn:=Cum((N>0)*N); Up:=Cum(N>0);
Ls:=Cum((N<0)*N); Ok:=Gn>0 AND Ls<0;
Dn:=Cum(Ex+Lb AND N<=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))

{Column L: PkTrough}
{Max long $ peak-to-trough range}
I:=ExtFml("GV.GetVar","I");
Tr:=ExtFml("GV.GetVar","TrL");
Xs:=ExtFml("GV.GetVar","XsL");
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","TrL")>0,2))>0

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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


{Trade Equity GV DE V10 S1}
{© 2006 Roy Larsen}
These four explorations create system performance reports that can be copied to Excel spreadsheets for summary or further analysis.

{Column A: $ Profit}
{Net long profit}
Eq:=Fml("Trade Equity GV DE"); {refresh GVs}
Eq:=ExtFml("GV.GetVar","EqS");
Tr:=ExtFml("GV.GetVar","TrS");
Cp:=ExtFml("GV.GetVar","Cp");
En:=ExtFml("GV.GetVar","EnS");
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_S"); LastValue(Cum(N))

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

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

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

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

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

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

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

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

{Column J: Buy/Hold}
{Buy & hold long profit, 1st bar or signal}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrS");
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}
{Long profit index}
N :=ExtFml("GV.GetVar","N_S");
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 long trade}
ExtFml("GV.GetVar","TrS")

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

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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


{Trade Equity GV DE V10 S2}
{© 2006 Roy Larsen}

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

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

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

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

{Column E: Max Win}
{Max consecutive winning long trades}
Ex:=ExtFml("GV.GetVar","ExS");
Lb:=ExtFml("GV.GetVar","LbS");
N:=ExtFml("GV.GetVar","N_S"); I:=Cum(Ex>-1)=2;
Up:=N>0; Dn:=Ex+Lb AND N<=0;
Ca:=BarsSince(I+Up)<BarsSince(I+Dn);
Ct:=Cum(Cross(Up,0.5))-ValueWhen(1,I+(Ca AND
Alert(Ca=0,2))+(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}
{Max consecutive losing long trades}
Ex:=ExtFml("GV.GetVar","ExS");
Lb:=ExtFml("GV.GetVar","LbS");
N:=ExtFml("GV.GetVar","N_S"); I:=Cum(Ex>-1)=2;
Up:=N>0; Dn:=Ex+Lb AND N<=0;
Ca:=BarsSince(I+Dn)<BarsSince(I+Up);
Ct:=Cum(Cross(Dn,0.5))-ValueWhen(1,I+(Ca AND
Alert(Ca=0,2))+(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}
{Max buy and hold long adverse excursion}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrS");
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}
{Max buy and hold long favourable excursion}
Cn:=ExtFml("GV.GetVar","Cn");
Cp:=ExtFml("GV.GetVar","Cp");
Tr:=ExtFml("GV.GetVar","TrS");
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 long win}
N:=ExtFml("GV.GetVar","N_S"); 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 long loss}
Ex:=ExtFml("GV.GetVar","ExS");
Lb:=ExtFml("GV.GetVar","LbS");
N:=ExtFml("GV.GetVar","N_S");
Ls:=Cum((N<0)*N); Dn:=Cum(Ex+Lb AND N<=0);
Dn:=If(Dn=0,-1,Dn); Ls:=If(Dn=0,-1,Ls);
If(Ls/Dn>0,0,Ls/Dn)

{Column K: GL Ratio}
{Average long gain/loss ratio}
Ex:=ExtFml("GV.GetVar","ExS");
Lb:=ExtFml("GV.GetVar","LbS");
N:=ExtFml("GV.GetVar","N_S");
Gn:=Cum((N>0)*N); Up:=Cum(N>0);
Ls:=Cum((N<0)*N); Ok:=Gn>0 AND Ls<0;
Dn:=Cum(Ex+Lb AND N<=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))

{Column L: PkTrough}
{Max long $ peak-to-trough range}
I:=ExtFml("GV.GetVar","I");
Tr:=ExtFml("GV.GetVar","TrS");
Xs:=ExtFml("GV.GetVar","XsS");
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","TrS")>0,2))>0

Filter enabled; Yes
Periodicity; User choice
Records required; XXXX

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