RE: [amibroker] What's wrong with my formula (trouble with custombacktest), AmiBroker Email List Archive

2008/3/22, dingo <dingo@xxxxxxxxxxx>:

Yes, the answer is "No".

BTW - you might want to check out "Batman" in one of the forum's file sections. It might save you from having to write your own scripts.

d

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Ton Sieverding
Sent: Saturday, March 22, 2008 1:11 PM

To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] What's wrong with my formula (trouble with custombacktest)

Thanks Dingo. Yes that's what I have done now. I've made two small programs in

Visual Fox with following code :

AASettingsFile = "C:\\Program Files\\AmiBroker\\Settings\\MySettings2.abs"
AB      = CreateObject("Broker.Application")
AA      = AB.Analysis
AA.LoadSettings(AASettingsFile)

First program with MySettings1.abs and second with MySettings2.abs. When looking

what happens in AB when I run these programs in VFP, I can see them switch the settings from MySettings1 to MySettings2. So this works fine.

But this also means that if I want to do things like this in AB, I am forced to work in a kind of batch environment. Correct ? Or is there a way to do this in AFL by calling these programs ? After what I have seen on the Forum the answer is no ...

Regards, Ton.

----- Original Message -----

From: dingo

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, March 22, 2008 4:43 PM

Subject: RE: [amibroker] What's wrong with my formula (trouble with custombacktest)

The COM stuff is also useable by external scripts and that is when these particular functions are very useful. If you use an external script to control AB then you CAN load the settings file and then load the formula and then run the formula. But the way AB is written this procedure does NOT work when you try to do the COM work inside an AFL formula.

d

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Ton Sieverding
Sent: Saturday, March 22, 2008 11:29 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] What's wrong with my formula (trouble with custombacktest)

Thanks Graham. Yes I thought I knew the 'AB Bible'. But it's telling me something else

than what AB is doing. And I just do not understand why. In the 'AmiBroker Object Model'

document LoadSettings is a method. Even the example in mentioned document says that

LoadSettings should set the Backtest environment to the loaded 'abs' file. So in

my humble opinion this should do what it says :

// Create AB object
AB = CreateObject("Broker.Application");
// Retrieve AA object
AA = AB.Analysis;
// Load Mysettings1
AA.LoadSettings("C:\Program Files\AmiBroker\Settings\MySettings1.abs");

... setting the backtester environment to 'MySettings1.abs'. Unfortunately it's not doing that and I do not understand why not. If the manual tells me different things than what I am seeing something is wrong. It's me of course. But why ?

I know the discussion about this topic on the Forum. Running Loadsettings in an AFL is too late for the rest of the AFL code. So I should run it before the rest of the AFL. Let's say I am creating a separate AFL with just the above code and run the rest in another AFL after that. But even this seems to do nothing. The only thing I am getting the AA Window. That's all. I don't get it ...

Regards, Ton.

----- Original Message -----

From: Graham

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, March 22, 2008 10:26 AM

Subject: Re: [amibroker] What's wrong with my formula (trouble with custombacktest)

The advanced backtest code is explained in the help files, see Amibroker Formula Language - Advanced Porfolio Backtester Interface.

Advanced code is for changing the backtest trades, or producing your own metrics after the main first pass (normal) backtest is completed. (note: custom backtest and advanced backtest refer to the same thing)

You have not shown any of this in the information provided. All you have shown are the front end settings which are used during the standard backtest, and are to be included in the main part of the AFL code, not in the custom backtest part.

--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com

On 22/03/2008, Ton Sieverding <ton.sieverding@xxxxxxxxxx> wrote:

I don't follow Graham and of course would like to be corrected. Are you telling me

that when starting my AFL with following instruction, the Backtester is not accepting

these settings when running the AFL ?

AA.LoadSettings("MySettings.abs");

If the Backtester is not following this instruction what than is the purpose of the

SAVE and LOAD feature in AA ? I have the feeling that I can save more setting

details by using the AA Settings screen than by loading the underneath mentioned

Settings.AFL. In other words, I my opinion there are more settings in de AA Settings

than I will find in the Setoption instruction ... And it's a hell of a lot easier to make an

ABS file than and Settings.AFL ...

Regards, Ton.

----- Original Message -----

From: Graham

To: amibroker@xxxxxxxxxxxxxxx

Sent: Friday, March 21, 2008 9:57 PM

Subject: Re: [amibroker] What's wrong with my formula (trouble with custombacktest)

These are not custom (advanced) backtest codes, just the options for backtesting, and do not belong in the advanced file. They will not be read until after the backtest has been completed and is ready for changing in the cbt.
If you want these standard for all backtesting, then just use #Include function, not
#include "C:\Program Files\Amibroker1\Formulas\Custom\custom_backtest.afl";
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com

On 22/03/2008, Ton Sieverding <ton.sieverding@xxxxxxxxxx> wrote:

Louis please go to the 'Automatic Analysis' Tool and open the Settings. Modify all values according to want you want to see. Then SAVE everything in an ABS file that you can open in the beginning of your AFL. That's all ...

Regards, Ton.

----- Original Message -----

From: Louis Préfontaine

To: amibroker@xxxxxxxxxxxxxxx

Sent: Friday, March 21, 2008 2:54 PM

Subject: Re: [amibroker] What's wrong with my formula (trouble with custombacktest)

Hi,

Ok let me try to explain again.

I have a file with

run = Optimize ("run", 1,1,1000,1);

SetOption("UseCustomBacktestProc", True );
SetCustomBacktestProc( "C:\\Program Files\\Amibroker1\\Formulas\\Custom\\custom_backtest.afl" );

SetOption("MaxOpenPositions", 5 );
SetOption("InitialEquity", 100000 );
SetOption("AllowPositionShrinking", True );
SetOption ("AllowSameBarExit", False);
SetOption ("ActivateStopsImmediately", False);
SetOption ("MinShares", 100);
SetOption ("MinPosValue", 5000);
SetOption ("PriceBoundChecking", True);
SetOption ("CommissionMode", 2);
SetOption ("CommissionAmount", 25);
SetOption ("AccountMargin", 100);
SetOption ("ReverseSignalForcesExit", True);
SetOption ("UsePrevBarEquityForPosSizing", True);
SetOption ("PortfolioReportMode",0 );

ShortTrades = ParamToggle("Short Trades?","Oui|Non",1);
Longtrades = ParamToggle("Long Trades?","Oui|Non",1);

PositionScore = Random();

buy=....;
sell=.....;
short=.... etc.

Then, in c:\\Program Files\\Amibroker1\\Formulas\\Custom\\custom_backtest.afl I have another file with

SetOption("MaxOpenPositions", 5 );
SetOption("InitialEquity", 100000 );
SetOption("AllowPositionShrinking", True );
SetOption ("AllowSameBarExit", False);
SetOption ("ActivateStopsImmediately", False);
SetOption ("MinShares", 100);
SetOption ("MinPosValue", 5000);
SetOption ("PriceBoundChecking", True);
SetOption ("CommissionMode", 2);
SetOption ("CommissionAmount", 25);
SetOption ("AccountMargin", 100);
SetOption ("ReverseSignalForcesExit", True);
SetOption ("UsePrevBarEquityForPosSizing", True);
SetOption ("PortfolioReportMode",0 );

and when I click "backtest" nothing happens if

SetOption("UseCustomBacktestProc", True );

but it works well if

SetOption("UseCustomBacktestProc", False);

but of course I'd prefer to use the custom backtest.

Also, if I click the "use custom backtest" in the AB interface and choose the first file or the second, still nothing happens if custombacktestproc is true. It has to be false for results to show.

Can you help?

Thanks,

Louis

2008/3/21, Graham <kavemanperth@xxxxxxxxx>:

I do not understand what you mean by parameters. The custom file is for the advanced backtest coding that is read after the portfolio backtest run is complete to either change the backtest or report special custom metrics.
If all you want is input information for the afl, then use #include

--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com

On 21/03/2008, Louis Préfontaine <rockprog80@xxxxxxxxx> wrote:

Hi Graham,

Yes I have the file setted as you said, but what exactly should I put in that file? If I put only the parameters and no rule, is it ok?

Ton: I am not sure what is AA or ABS...

Louis

2008/3/19, Ton Sieverding <ton.sieverding@xxxxxxxxxx>:

Louis, why are you using all these SetOptions when AA has the ABS facility ? Create an ABS, load the ABS in your AFL with LoadSettings method and you've got what you want. What's wrong with that ?

Regards, Ton.

----- Original Message -----

From: Louis Préfontaine

To: amibroker@xxxxxxxxxxxxxxx

Sent: Wednesday, March 19, 2008 3:54 AM

Subject: Re: [amibroker] What's wrong with my formula (trouble with custombacktest)

Hi,

I don't have 4.90, so setbacktestmode does not work...

I edited a new file with this inside:

run = Optimize ("run", 1,1,1000,1);

SetOption("UseCustomBacktestProc", True );

SetOption("MaxOpenPositions", 5 );
SetOption("InitialEquity", 100000 );
SetOption("AllowPositionShrinking", True );
SetOption ("AllowSameBarExit", False);
SetOption ("ActivateStopsImmediately", False);
SetOption ("MinShares", 100);
SetOption ("MinPosValue", 5000);
SetOption ("PriceBoundChecking", True);
SetOption ("CommissionMode", 2);
SetOption ("CommissionAmount", 25);
SetOption ("AccountMargin", 100);
SetOption ("ReverseSignalForcesExit", True);
SetOption ("UsePrevBarEquityForPosSizing", True);
SetOption ("PortfolioReportMode",0 );

ShortTrades = ParamToggle("Short Trades?","Oui|Non",1);
Longtrades = ParamToggle("Long Trades?","Oui|Non",1);

PositionScore = Random();

and saved it as custom_backtest.afl at the right place. Then I added this at the beginning of the file with my formula:

SetOption("UseCustomBacktestProc", True );
SetCustomBacktestProc( "C:\\Program Files\\Amibroker\\Formulas\\Custom\\custom_backtest.afl" );

I don't understand why it is not working...

Louis

2008/3/18, Graham <kavemanperth@xxxxxxxxx>:

If you set custombacktestproc as true , you must have a custom backtest code to read.

you could try the function SetBacktestMode

--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com

On 19/03/2008, Louis Préfontaine <rockprog80@xxxxxxxxx> wrote:

Hi,

My formula starts like this:

run = Optimize ("run", 1,1,1000,1);

SetOption("UseCustomBacktestProc", True );

SetOption("MaxOpenPositions", 5 );
SetOption("InitialEquity", 100000 );
SetOption("AllowPositionShrinking", True );
SetOption ("AllowSameBarExit", False);
SetOption ("ActivateStopsImmediately", False);
SetOption ("MinShares", 100);
SetOption ("MinPosValue", 5000);
SetOption ("PriceBoundChecking", True);
SetOption ("CommissionMode", 2);
SetOption ("CommissionAmount", 25);
SetOption ("AccountMargin", 100);
SetOption ("ReverseSignalForcesExit", True);
SetOption ("UsePrevBarEquityForPosSizing", True);
SetOption ("PortfolioReportMode",0 );

ShortTrades = ParamToggle("Short Trades?","Oui|Non",1);
Longtrades = ParamToggle("Long Trades?","Oui|Non",1);

PositionScore = Random();

buy=.................................
sell=.....
etc.

Is there something wrong with this, as when I click "backtest" I see no results. When I change the custombacktestproc for "false" everything works well, but how do I do to get it my own way? Cause I'd like to be able to be in more than one trade at a time.   And also, I think been in more than one trade at a time could make my Monte Carlo backtesting more reliable (am I right?).

Thanks,

Louis