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Hey d,
thanks for all the work!
-john
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Cc: <A title=psytek@xxxxxxxx
href="">Herman
Sent: Tuesday, April 20, 2004 6:30
AM
Subject: RE: [amibroker] RE: VBScript to
automate back test and export of tradelist.
<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.
<SPAN
class=734061511-20042004>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>
<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@xxxxxxxxxxxxxSend SUGGESTIONS to
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