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Hello,
I explained it on -at list I think. Custom backtest phase
(i.e. 2 nd phase) operates not on your symbol(s), but on the portfolio equity
ticker.
What you see on the chart displays symbol-derived data. This
is different if you apply calculation of portfolio equity
~~~EQUITY.
If you want to pass variables from 1-st pass
to 2-nd pass you need to use STATIC variables, store in 1st pass and
read in 2nd pass (CBT)
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Thursday, February 14, 2008 9:16
PM
Subject: Re: [amibroker] Custom Backtest
doubles opt time?
OK, thanks a lot TJ. I guess I have a
bigger problem anyway if you or anyone else knows the
answer...
I am already calculating a stat in regular AFL
that I display on my chart, and I am just trying to add this stat to the
optimization report so I can sort on it. Using bo.AddCustomMetric, If I
define MyStat like this it works fine
MyStat = LastValue( Cum( 1 ) );
But if I change it to this, my new column always
shows zero
MyStat = LastValue( Cum( MyBooleanArray ) ); //
array definitely contains some 1's and some 0's
Any idea what could be wrong? Thanks very much for any help!
Steve
----- Original Message -----
Sent: Thursday, February 14, 2008 5:08
AM
Subject: Re: [amibroker] Custom
Backtest doubles opt time?
Hello,
If you run on SINGLE ticker and actual system formula
is very very basic (few lines), then adding CBT will have
significant impact.
But if you run on any larger list of symbols then it won't be significant at all (there is only one execution of
CBT (2nd phase of backtest) regardless of symbol count,
while there are (number of symbols) executions of
1st phase).
Bottom line: in all cases except most trivial ones, it
does not add more than 10%.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Thursday, February 14, 2008
4:08 AM
Subject: Re: [amibroker] Custom
Backtest doubles opt time?
Hi Graham - That run was done
on current ticker only 8 - )
There is a lot of charting code, parameters,
etc in there, I guess I could comment it out or create a shorter
version to reduce the opt time...thanks!
Just wondering though, in your
experience, does accessing the CBI add 100% to the opt time? Does the
length of the non-CBI code affect whether it adds 10% or 100% ?
Thanks for the advice!
Steve
----- Original Message -----
Sent: Wednesday, February 13, 2008
9:35 PM
Subject: Re: [amibroker] Custom
Backtest doubles opt time?
Suggest you see if you can reduce your basic code to be
as efficient as possible
Can you reduce the number of symbols used in
the backtest by including only those you are likely to
trade?
--
Cheers
Graham Kav
AFL Writing
Service
http://www.aflwriting.com
On 14/02/2008, Steve Dugas <sjdugas@xxxxxxxxxxx>
wrote:
Hi All - I want to use the
custom backtester interface for the first time, to add a custom
metric. Without accessing the CBI, my AFL is 1,900 lines of code
and takes 38 minutes to run 42,000 opt steps. Even adding the tiny
test code below doubles the opt time to 1 hour and 12 minutes. Just
wanted to ask any of the more experienced CBI users if this sounds
normal - I am wondering if maybe there is something I should
change... Thanks very much!
Steve
SetCustomBacktestProc ( "" );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest();
TotalModeRevs = 5;
bo.AddCustomMetric( "Total
Mode Reversals", TotalModeRevs );
}
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