|
PureBytes Links
Trading Reference Links
|
tomasz, I'm not 100% certain, but after a bunch of experiments, I think my
confusion came from Status("StockNum") behaving strangely in the portfolio
backtester.
paste this into the AA window:
----------------------------------------
first_stock = (Status("StockNum") == 0);
If(first_stock) {
MyVar = 0;
} else {
MyVar = 999;
}
buy = c > MyVar;
sell = short = cover = 0;
PositionSize = -10;
filter = 1;
AddColumn(Status("StockNum"), "StockNum", 1.0);
AddColumn(first_stock, "first_stock", 1.0);
AddColumn(MyVar, "MyVar");
----------------------------------------
first explore and the NASDAQ 100, last 1 bar. in the StockNum column, I see
0, 1, 2, 3 etc. for the first stock only, first_stock is 1, and MyVar is 0.
for all other stocks, first_stock is 0, and MyVar is 999. all this is as
expected.
now backtest the NASDAQ 100 again, last 1 bar again, with the old
backtester. the first stock shows activity, no others. this is also as
expected, because MyVar is 0 for that first bar, buying anything with a
positive price, and MyVar is 999 for all the rest, buying nothing.
now portfolio backtest the NASDAQ 100 again, last 1 bar again. the first 10
stocks show open long positions, which is NOT what I'd expect. I think it
must be because MyVar is always 0. that in turn must mean that first_stock
is always true, which in turn must mean that Status("StockNum") is always 0
in the new portfolio backtester. can you confirm this?
if I'm right, that's what gave me the impression in my earlier tests that
variables persisted across stocks. most likely they don't, as you say, but
my standard way of initializing them only during the first stock initialized
them always, for every stock, and I didn't test specifically enough to tell
the difference.
make sense?
dave
> What you say is not correct. No variable 'persists' in portfolio backtest.
> Portfolio backtest is not different than scan/exploration/...
> in terms of initialization. The variables are initialized at the
> entry of each symbol.
>
> The only set of persistent variables (ranks/signals/etc) is
> managed internally by AB
> to perform portfolio calculations but you have no control over it.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Dave Merrill" <dmerrill@xxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, November 05, 2003 5:39 AM
> Subject: RE: [amibroker] New Variable Class
>
>
> > not that this actually solves this problem, but for portfolio backtests,
> > only, variables we create and manage ourselves actually aren't
> reset at the
> > start of each new stock. it *appears* that they are, unless
> your code treats
> > them as global to the entire backtest run, which it usually doesn't.
> > typically we set everything that needs to be set every time, for every
> > stock, erasing anything that might have persisted. to preserve
> values across
> > all the stocks in a test, you have to detect when you're on the
> first stock,
> > and initialize your vars at that time, only, then continue to
> add to them or
> > use them however you want with each stock without resetting
> them again from
> > scratch.
> >
> > for instance, say you want to buy and sell based on an indicator applied
> > both to the stock itself, and to an overall index. ideally, you
> don't want
> > to recreate the index indicator over and over again for every
> stock, so you
> > could do something like this in the portfolio backtester (not
> that this is a
> > good system):
> >
> > ----------------
> > period = Optimize("Period", 18, 2, 40, 1);
> >
> > if(Status("StockNum") == 0) { // first stock in test
> > index_price = Foreign("!COMP", "C");
> > index_EMA = Wilders(index_price, period);
> > index_buy = index_price > index_EMA;
> > index_sell = index_price < index_EMA;
> > }
> >
> > stock_EMA = Wilders(c, period);
> > stock_buy = c > stock_EMA;
> > stock_sell = c < stock_EMA;
> >
> > buy = stock_buy and index_buy;
> > sell = stock_sell or index_sell;
> > short = stock_sell and index_sell;
> > cover = stock_buy or index_buy;
> > ----------------
> >
> > the if statement block runs only once, when the first stock is being
> > examined, but the variables it sets stay valid for the whole
> backtest, so
> > you can use them to evaluate each stock without recalculating them.
> >
> >
> > there are some unfortunate problems with this approach for
> doing on-the-fly
> > composites; hopefully tomasz will address them at some point in
> the future:
> >
> > - Status("StockNum") seems to be undefined in explorations, as
> it is in the
> > old backtester. this means you can't detect when you're on the
> first stock,
> > to do your initializations. even IsNull(Status("StockNum"))
> doesn't return
> > anything.
> > besides having Status("StockNum") work in explorations, it
> would be nice
> > to have Status("FirstStockInTest") and "LastStockInTest", like we have
> > FirstBarInTest etc.
> >
> > - you can't find out which tickers are included in the current
> test, or how
> > many there are. this means you can't find out when you're on
> the last stock,
> > or convert the sum of values for each stock to an average, in any way I
> > could figure out. you also can't iterate through them all
> during the first
> > stock of a backtest, to, say, find the top N by volume, and use
> that during
> > trading of each stock.
> > I've suggested a new feature,
> GetCategorySymbols(categoryTypeAutoAnalysis)
> > that would return the list of tickers being analyzed; this would make a
> > variety of things easier.
> >
> > dave
> >
> >
> > (btw the index/stock Wilders thing is an example of a
> distinctly non-robust
> > system. backtest it on the NASDAQ 100 from 3/1/98 to 3/31/03,
> and results
> > are decent-ish, not great MDD. then optimize and look at the
> returns for the
> > periods surrounding the default 18. they bite; 18 is a local fluke. try
> > other time frames, and again, the generic all-market-types
> period is about
> > the only one that does as well.)
> >
> >
> > > Currently, all variables (global and local) reflect information about
> > > the current symbol only.
> > >
> > > To perform calculations against multiple securities, you must use
> > > AddToComposite which restricts the user to O,H,L,C,V,OI fields along
> > > with their pre-defined constraining formats which preclude the
> > > calculation and storage of very large numbers. It also usually
> > > requires at least two passes against separate AFL or AFL/IB afl code
> > > to work with the results. There is certainly a need for
> > > AddToComposite, but I think there is also a need for a simpler set of
> > > composite values.
> > >
> > > I'd like to see a new variable class within AFL for computations
> > > across the entire database or watchlist. For lack of a better word, a
> > > "composite variable" whose value is maintained across multiple
> > > securities and which the AFL engine does not initialize with each new
> > > symbol. Also, a composite variable that can be displayed with
> > > AddColumn just like the other variables using Filter = LastBar logic.
> > >
> > > This would allow the user to put together some quick, one-pass
> > > explorations for calculating multiple issue stats and to display those
> > > figures in the same afl. No ~Composite files would be created, and
> > > very large numbers could be calculated and displayed using more
> > > flexable variable type declarations of float (or others).
> > >
> > > I'm posting this here to see if I am alone in wanting this feature, in
> > > which case I won't pass it along to TJ as a suggestion.
> > >
> > > Comments?
> > >
> > > Phsst
> > >
> > >
> > > Yahoo! Groups Sponsor
> > > ADVERTISEMENT
> > >
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|