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Hello,
I would advice to do exactly what Fred suggested.
And it is easy in fact. Follow http://www.amibroker.com/guide/a_custommetrics.html
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest();
st = bo.GetPerformanceStats(0); // get stats for all trades
mymetric = round(100*st.GetValue("ProfitFactor"))-st.GetValue("MaxSystemDrawdownPercent")/100;
bo.AddCustomMetric("PF*100+ MaxDD/100", mymetric );
}
// Your system below
Buy=...
Sell=...
You can then sort by custom metric and the result will be sorting by profit factor first and then
by sys. drawdown.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "andreyoffline" <andrey.offline@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, July 22, 2005 6:51 PM
Subject: [amibroker] Re: Sorting Optimized results
>I tried once to create custom backtester and i realized that is too
> complex for me. Export results to excel.. Its not so comfortable, to
> switch programs just for sorting columns. Lets see what Tomaz will say
> on this.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
>> You could create your own custom backtester user metric that is a
>> function of profit factor and system drawdown and sort on that
>> column ... or ... you can export your existing results to a csv,
> import
>> it to Excel and sort it on multiple columns there ... or ... you can
>> write a small piece of automation to export the file to a csv, read
> it
>> in, sort it internally and present it however you want.
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "andreyoffline"
> <andrey.offline@xxxx>
>> wrote:
>> > Tomasz, can you please add to next AmiBroker version more sorting
>> > options? Like if I want to sort results by Profit Factor and I
> have
>> > 100 results equal 2.29, how can I sort this 100 results by
> smallest
>> > system drawdown?
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
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>
>
>
>
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