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correction to my last post, so as not to confuse. in this paragraph, I said
'bar' in one place when I meant STOCK:
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 STOCK, buying anything with a
positive price, and MyVar is 999 for all the rest, buying nothing.
dave
> 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
> > > >
> > > >
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