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<FONT
color=#0000ff><SPAN
class=375421312-20042004>1. You need to look
at the table below. That governs what you see in the tradelist and the
results.rlst file. <FONT
face=Arial><FONT
size=2>I've added the following to the backtest script:
<FONT
size=2>
<FONT face="Courier New" color=#0000ff
size=2>'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!' Below are 3
"constants" that inidicate what type of' back test is to be run. Below that
is the line:' "BackTestType = cstPortFolioBackTest".'' TO RUN
DIFFERENT TYPE BACKTESTS:' change the "BackTestType =
cstPortFolioBackTest"' line to relect the type of backtest you want to
run:' BackTestType = cstPortFolioBackTest' BackTestType =
cstIndividualBackTest' BackTestType = cstOldBackTest'' The following
table shows what is produced by the' different backtests along with the
"Result List Shows"' setting the Report tab of the Settings
form:'================================================================='
Result'
List
Trade '
BackTest
Shows
List
Results.Rlst'
Type
Setting
Contains Contains'
--------------------------------------------------------------'
Portfolio "Trade List"
Trades By Date 1 Total line'
Portfolio "Detailed Log" Day By
Day 1 Total line'
Portfolio
"Summary" 1 Total Line 1
Total line' Individual "Trade
List" Trades By Tckr Totals Per Tckr '
Individual "Detailed Log" Day By
Day Totals Per Tckr '
Individual
"Summary" Totals Per Tckr Totals Per
Tckr'=================================================================''
NOTE: The above table shows what's in the trade list and
' the Results.Rlst file so that you'll
know where to ' look for your
data.'' Suggestion: Create as many
settings files with the' desired
reporting options as you may need and use
' them rather than try to alter the
settings manually.'
' If you need both the individual trades
and the ' totals by ticker then you'll
need to extract the ' totals from the
Results.Rlst file.'' Since the
Results.Rlst file can have many entries'
in it from all of your other backtesting I'd
' strongly suggest that you use the
' "SetFormulaName("My unique backtest Id
Here");"' command in your AFL backtest
formula. Each line ' in your
"Results.rlst" file will have that name'
as the value of the first column making it
easy' to locate those lines from your
backtest.'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!Const
cstPortFolioBackTest = 0Const cstIndividualBackTest = 1Const
cstOldBackTest = 2
<FONT face="Courier New" color=#0000ff
size=2>BackTestType = cstPortFolioBackTest
<FONT face="Courier New" color=#0000ff
size=2>
<FONT
face="Courier New" color=#0000ff size=2>2. AFAIK command
line arguments are not available in vbScript - please correct me if I'm
wrong. What IS avail is the
<FONT
face="Courier New" color=#0000ff size=2>
<FONT
size=4>InputBox Function
<DIV class=saveHistory id=allHistory
onsave="saveAll()">
Displays a prompt in a dialog box, waits for the user to input
text or click a button, and returns the contents of the text
box.
<FONT
face="Courier New" color=#0000ff size=2>and this could be used to input your
various options.
<FONT
face="Courier New" color=#0000ff size=2>
<FONT
face="Courier New" color=#0000ff size=2>3. Future date
will only process up to the last actual bar in your database EXCEPT when you
have the option set for "Add artificial...." option set on in the portfolio tab
in the settings formula.
<FONT
face="Courier New" color=#0000ff size=2>
<FONT
face="Courier New" color=#0000ff size=2>
<FONT
face="Courier New" color=#0000ff size=2>Here is the entire modified
script
<SPAN
class=140223711-20042004>
<SPAN
class=140223711-20042004><SPAN
class=375421312-20042004>----------------8<------------------------------
<SPAN
class=140223711-20042004><SPAN
class=375421312-20042004>
<SPAN
class=140223711-20042004><FONT
size=1>'**************************************'Purpose: Run A Procedure in
Amibroker' that will load a
database, ' load a settings
file, Load a' formula, Set
the Apply To and' Range
settings, run a backtest '
and export the tradelist to'
a csv file''Operation: Name this file whatever
you' wish but give it an
extension' of .vbs. Place it
in your' Amibroker folder
and run it' by double
clicking on the file'
name.' ' Make sure
that you change those' lines
under the !!!!!!! lines' to
match your system.''
Make sure that you have the
' correct format file in the
' format
folder.''The Code: Is written in VB Script and
' runs within "Windows
Scripting' Host (WSH)". I
have included' many
commented out MsgBox lines'
that you can uncomment if
you're' having problems.
That way you' have a way to
monitor the progress' of the
script as it executes.''vbScript Help: The following links
will' provide information on
VBScript:' (Be careful of
folded lines)'' <A
href=""><FONT
size=1>http://msdn.microsoft.com/library/default.asp?url="";><FONT
size=1>'' <A
href=""><FONT
size=1>http://msdn.microsoft.com/library/default.asp?url="";><FONT
size=1>'' <A
href=""><FONT
size=1>http://www.microsoft.com/technet/community/scriptcenter/default.mspx<FONT
size=1>'' <A
href=""><FONT
size=1>http://groups.msn.com/windowsscript/_homepage.msnw?pgmarket=en-us<FONT
size=1>''Created By:
dingo'**************************************
<SPAN
class=140223711-20042004>Dim oABDim
oAADim result_Ok
<SPAN
class=140223711-20042004>Dim
Data_Base_FolderDim BackTest_Frmla_PathDim Xport_CSV_FlePathDim
Settngs_FilePathDim iErrorDim BackTestType
<SPAN
class=140223711-20042004><SPAN
class=375421312-20042004>'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!'
Below are 3 "constants" that inidicate what type of' back test is to be run.
Below that is the line:' "BackTestType = cstPortFolioBackTest".'' TO
RUN DIFFERENT TYPE BACKTESTS:' change the "BackTestType =
cstPortFolioBackTest"' line to relect the type of backtest you want to
run:' BackTestType = cstPortFolioBackTest' BackTestType =
cstIndividualBackTest' BackTestType = cstOldBackTest'' The following
table shows what is produced by the' different backtests along with the
"Result List Shows"' setting the Report tab of the Settings
form:'================================================================='
Result'
List
Trade '
BackTest
Shows
List
Results.Rlst'
Type
Setting
Contains Contains'
--------------------------------------------------------------'
Portfolio "Trade List"
Trades By Date 1 Total line'
Portfolio "Detailed Log" Day By
Day 1 Total line'
Portfolio
"Summary" 1 Total Line 1
Total line' Individual "Trade
List" Trades By Tckr Totals Per Tckr '
Individual "Detailed Log" Day By
Day Totals Per Tckr '
Individual
"Summary" Totals Per Tckr Totals Per
Tckr'=================================================================''
NOTE: The above table shows what's in the trade list and
' the Results.Rlst file so that you'll
know where to ' look for your
data.'' Suggestion: Create as many
settings files with the' desired
reporting options as you may need and use
' them rather than try to alter the
settings manually.'
' If you need both the individual trades
and the ' totals by ticker then you'll
need to extract the ' totals from the
Results.Rlst file.'' Since the
Results.Rlst file can have many entries'
in it from all of your other backtesting I'd
' strongly suggest that you use the
' "SetFormulaName("My unique backtest Id
Here");"' command in your AFL backtest
formula. Each line ' in your
"Results.rlst" file will have that name'
as the value of the first column making it
easy' to locate those lines from your
backtest.'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!Const
cstPortFolioBackTest = 0Const cstIndividualBackTest = 1Const
cstOldBackTest = 2
<SPAN
class=140223711-20042004>BackTestType =
cstPortFolioBackTest
<SPAN
class=140223711-20042004><SPAN
class=375421312-20042004>'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!'
change the following paths to suit your
configuration'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!Data_Base_Folder
= "C:\Program Files\Amibroker\Your Database Dir"BackTest_Frmla_Path =
"C:\Program Files\Amibroker\Afl\Your Formula Here.Afl"Xport_CSV_FlePath =
"C:\Program Files\Amibroker\Output\TradeList.CSV"Settngs_FilePath =
"C:\Program Files\Amibroker\Settings Files\Your Settings
File.ABS"
<SPAN
class=140223711-20042004>' declare object for
Amibroker and the file system objectset oAB =
CreateObject("Broker.Application")Set oAA =
oAB.Analysis
<SPAN
class=140223711-20042004><SPAN
class=375421312-20042004>'------------------------------------------' Load
the Settings File, Set from and to ' dates, and the
watchlist'------------------------------------------with
oAA
'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
' change the following settings to suit your configuration
'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
If Not .LoadSettings(cstr(Settngs_FilePath))
Then MsgBox "Can't Load Settings
File" iError =
true Else
.RangeMode =
3 .RangeFromDate =
"01/01/2001" .RangeToDate =
"12/31/2002"
.ClearFilters .ApplyTo =
2 .Filter(0, "watchlist") =
29 End IfEnd With
<SPAN
class=140223711-20042004>If Not iError then
'------------------------------------------ ' The
following is the "main" code for the ' exporting and
importing of the data
'------------------------------------------ ' Load EOD
Data Base
'------------------------------------------ 'wscript.echo
"Loading EOD Database: " + Data_Base_Folder If
oAB.LoadDatabase(cstr(Data_Base_Folder))
Then
'------------------------------------------
' Load the AFL for Building the CSV
File
'------------------------------------------
'wscript.echo "Loading AFL: " +
BackTest_Frmla_Path If
oAA.LoadFormula(cstr(BackTest_Frmla_Path))
Then
'------------------------------------------
' Run The
Scan
'------------------------------------------
'wscript.echo "Running
Backtest"
oAA.Backtest(BackTestType)
'------------------------------------------
' now export the
tradelist
'------------------------------------------
result_Ok =
oAA.Export(Xport_CSV_FlePath)
If Not result_Ok
Then
'wscript.echo "result_Ok: " +
cstr(result_Ok)
MsgBox "Error Exporting
Tradelist"
else
MsgBox
"Finished"
End If
Else
MsgBox "Can't Load Backtest
Formula" End If
Else MsgBox
"Cant Load Database" End IfEnd
If
<SPAN
class=140223711-20042004><SPAN
class=375421312-20042004>'------------------------------------------'
destroy all objects'------------------------------------------Set oAA =
Nothingset oAB = Nothing
<SPAN
class=140223711-20042004>
<SPAN
class=140223711-20042004><SPAN
class=375421312-20042004>----------------8<------------------------------
<SPAN
class=140223711-20042004><SPAN
class=375421312-20042004> <FONT
face="Courier New" color=#0000ff size=2><SPAN
class=375421312-20042004>
From: Herman van den Bergen
[mailto:psytek@xxxxxxxx] Sent: Tuesday, April 20, 2004 7:48
AMTo: AmiBroker YahooGroupsSubject: [amibroker] RE:
VBScript to automate back test and export of tradelist.
Very
nice d, thanks for creating this code, it works like a
charm!
<SPAN
class=734061511-20042004>
A
few questions,
1)
Is the portfolio BT mode available in Automation and if so, can your code be
adapted to do Port BTs?
<SPAN
class=734061511-20042004>2) I would I add a few command line arguments to your
code so that, for example, I can change the systems code, dates,
etc. without editing,
possible?
3)
What happens if I specify a future date for the "To:" data... would AB default
to the last available data bar?
<SPAN
class=734061511-20042004>
For
those who haven't followed this topic, the purpose of this export is to
be able to use BT stats (CAR, RAR, K-Ratio, etc.) in 2-nd pass BTs. The csv
file can be read using file operations code documented in the Help. Once
the first export has been completed you can then extract any stat you
like with StrExtract() for use in subsequent BTs.
<SPAN
class=734061511-20042004>
<SPAN
class=734061511-20042004>herman.
<FONT face=Arial color=#0000ff
size=2>
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
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'**************************************
'Purpose: Run A Procedure in Amibroker
' that will load a database,
' load a settings file, Load a
' formula, Set the Apply To and
' Range settings, run a backtest
' and export the tradelist to
' a csv file
'
'Operation: Name this file whatever you
' wish but give it an extension
' of .vbs. Place it in your
' Amibroker folder and run it
' by double clicking on the file
' name.
'
' Make sure that you change those
' lines under the !!!!!!! lines
' to match your system.
'
' Make sure that you have the
' correct format file in the
' format folder.
'
'The Code: Is written in VB Script and
' runs within "Windows Scripting
' Host (WSH)". I have included
' many commented out MsgBox lines
' that you can uncomment if you're
' having problems. That way you
' have a way to monitor the progress
' of the script as it executes.
'
'vbScript Help: The following links will
' provide information on VBScript:
' (Be careful of folded lines)
'
' http://msdn.microsoft.com/library/default.asp?url=/nhp/Default.asp?contentid=28001169
'
' http://msdn.microsoft.com/library/default.asp?url=/library/en-us/script56/html/vbscripttoc.asp
'
' http://www.microsoft.com/technet/community/scriptcenter/default.mspx
'
' http://groups.msn.com/windowsscript/_homepage.msnw?pgmarket=en-us
'
'Created By: dingo
'**************************************
Dim oAB
Dim oAA
Dim result_Ok
Dim Data_Base_Folder
Dim BackTest_Frmla_Path
Dim Xport_CSV_FlePath
Dim Settngs_FilePath
Dim iError
Dim BackTestType
'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
' Below are 3 "constants" that inidicate what type of
' back test is to be run. Below that is the line:
' "BackTestType = cstPortFolioBackTest".
'
' TO RUN DIFFERENT TYPE BACKTESTS:
' change the "BackTestType = cstPortFolioBackTest"
' line to relect the type of backtest you want to run:
' BackTestType = cstPortFolioBackTest
' BackTestType = cstIndividualBackTest
' BackTestType = cstOldBackTest
'
' The following table shows what is produced by the
' different backtests along with the "Result List Shows"
' setting the Report tab of the Settings form:
'=================================================================
' Result
' List Trade
' BackTest Shows List Results.Rlst
' Type Setting Contains Contains
' --------------------------------------------------------------
' Portfolio "Trade List" Trades By Date 1 Total line
' Portfolio "Detailed Log" Day By Day 1 Total line
' Portfolio "Summary" 1 Total Line 1 Total line
' Individual "Trade List" Trades By Tckr Totals Per Tckr
' Individual "Detailed Log" Day By Day Totals Per Tckr
' Individual "Summary" Totals Per Tckr Totals Per Tckr
'=================================================================
'
' NOTE: The above table shows what's in the trade list and
' the Results.Rlst file so that you'll know where to
' look for your data.
'
' Suggestion: Create as many settings files with the
' desired reporting options as you may need and use
' them rather than try to alter the settings manually.
'
' If you need both the individual trades and the
' totals by ticker then you'll need to extract the
' totals from the Results.Rlst file.
'
' Since the Results.Rlst file can have many entries
' in it from all of your other backtesting I'd
' strongly suggest that you use the
' "SetFormulaName("My unique backtest Id Here");"
' command in your AFL backtest formula. Each line
' in your "Results.rlst" file will have that name
' as the value of the first column making it easy
' to locate those lines from your backtest.
'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
Const cstPortFolioBackTest = 0
Const cstIndividualBackTest = 1
Const cstOldBackTest = 2
BackTestType = cstPortFolioBackTest
'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
' change the following paths to suit your configuration
'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
Data_Base_Folder = "C:\Program Files\Amibroker\Your Database Dir"
BackTest_Frmla_Path = "C:\Program Files\Amibroker\Afl\Your Formula Here.Afl"
Xport_CSV_FlePath = "C:\Program Files\Amibroker\Output\TradeList.CSV"
Settngs_FilePath = "C:\Program Files\Amibroker\Settings Files\Your Settings File.ABS"
' declare object for Amibroker and the file system object
set oAB = CreateObject("Broker.Application")
Set oAA = oAB.Analysis
'------------------------------------------
' Load the Settings File, Set from and to
' dates, and the watchlist
'------------------------------------------
with oAA
'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
' change the following settings to suit your configuration
'!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
If Not .LoadSettings(cstr(Settngs_FilePath)) Then
MsgBox "Can't Load Settings File"
iError = true
Else
.RangeMode = 3
.RangeFromDate = "01/01/2001"
.RangeToDate = "12/31/2002"
.ClearFilters
.ApplyTo = 2
.Filter(0, "watchlist") = 29
End If
End With
If Not iError then
'------------------------------------------
' The following is the "main" code for the
' exporting and importing of the data
'------------------------------------------
' Load EOD Data Base
'------------------------------------------
'wscript.echo "Loading EOD Database: " + Data_Base_Folder
If oAB.LoadDatabase(cstr(Data_Base_Folder)) Then
'------------------------------------------
' Load the AFL for Building the CSV File
'------------------------------------------
'wscript.echo "Loading AFL: " + BackTest_Frmla_Path
If oAA.LoadFormula(cstr(BackTest_Frmla_Path)) Then
'------------------------------------------
' Run The Scan
'------------------------------------------
'wscript.echo "Running Backtest"
oAA.Backtest(BackTestType)
'------------------------------------------
' now export the tradelist
'------------------------------------------
result_Ok = oAA.Export(Xport_CSV_FlePath)
If Not result_Ok Then
'wscript.echo "result_Ok: " + cstr(result_Ok)
MsgBox "Error Exporting Tradelist"
else
MsgBox "Finished"
End If
Else
MsgBox "Can't Load Backtest Formula"
End If
Else
MsgBox "Cant Load Database"
End If
End If
'------------------------------------------
' destroy all objects
'------------------------------------------
Set oAA = Nothing
set oAB = Nothing
|