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Graham/others
2 a.m. now.
Spent the night going through Herman's IntroToAtc.pdf and help files.
I am probably way off track here, but ....
Seems to me I still need to feed an array into the AddtoComposite(
array,...) function.
It also seems to me that to do this I need to somehow extract this from
the CBT code for expectancy:
************
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(1);
expectancy = SumProfit = 0;
NumTrades = 0;
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
SumProfit = SumProfit + trade.GetProfit();
NumTrades++;
expectancy =
SumProfit/trade.TickSize/trade.PointValue/NumTrades;
trade.AddCustomMetric("Expectancy-Pips", expectancy );
}
for( trade = bo.GetFirstOpenPos(); trade; trade =
bo.GetNextOpenPos() )
{
SumProfit = SumProfit + trade.GetProfit();
NumTrades++;
expectancy =
SumProfit/trade.TickSize/trade.PointValue/NumTrades;
trade.AddCustomMetric("Expectancy-Pips", expectancy );
}
bo.AddCustomMetric( "Total Expectancy-Pips", expectancy );
bo.ListTrades();
}
*********
I would have thought then that if I could extract the Expectancy from
the CBT into an array I might just as easily be able to plot this.
Looking at the COM documents does not make it immediately apparent how
I do this.(mea culpa as a non programmer).
Apart from the AddCustomMetric (command, if that's what it's called)
which tells the CBT to send the expectancy to the Backtester Report ,
is there anything else I can do get this from CBT bit into regular AFL
array variable so I can just plot it?
In the meantime I am happy to just export this from the backtester into
an Excel spreadsheet for the moment.
Regards
ChrisB
ChrisB wrote:
Thanks Graham
Of course!
from the Backtester results I can see the column with the expectancy
figures.
Then I just export this to csv and plot this in Excel which is what I
will do for the moment.
I will look at the Addtocomposite function again to see if I can
extract that data into a composite symbol.
I guess though if I am only getting 30 trades per year on a given
strategy that will be an array that will need padding of data, and may
not look too pretty.
Regards
ChrisB
Graham wrote:
You could try exporting the expectancy to a text file and plot
from this, or create a composite symbol
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriti
ng.com
On 21/01/2008, ChrisB <kris45mar@xxxxxx
net.au>
wrote:
Promised attachment:
ChrisB wrote:
I will try and re-phrase the question:
Anyone have any pointers as to how to Plot the running expectancy after
I have run a Backtest?
In Excel when I walk forward manually, I plot my Expectancy like this:
Currently I place these trade on a Demo account to acquire the data for
entries and exits.
This is quite time consuming.
I want to plot similar or the same in a pane after running a Backtest.
When Positive and rising switch back to trading this strategy.
When Negative and or Falling, stop using this strategy.
Any pointers in the right direction would be appreciated, but I suspect
this may involve more programming than
I am capable of and may wish to farm this out.
Regards
ChrisB
ChrisB wrote:
>
> The help files give code for including Expectancy in the backtest
and
> Optimization.
>
> I am not familiar with the working of the CBT. I can get the
expectancy
> to appear in a column in the backtester
>
> How would I extract the expectancy figures into an array so that I
can
> plot this?
>
> Regards
>
_
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