Re: [amibroker] Custom Metric for Walk Forward Optimization

[Thomas Ludwig <Thomas.Ludwig@xxxxxx>]

David,

I have no answer to your question (which was actually posted several 
weeks ago). I'm just wondering how to use custom metrics in the 
walk-forward optimization at all. According to what TJ wrote on 
http://www.amibroker.com/kb/2008/02/12/getting-started-with-automatic-walk-forward-optimization/ , 
any metric defined in the custom backtester can be used as optimization 
target. Well, not on my system. While my custom metrics are calculated 
and plotted as they should in "normal" backtests/optimizations they are 
not shown in the list of possible optimization targets in the 
walk-forward tab of AA. Does it work for you?

Greetings,

Thomas

> I am trying to make a custom metric for walk forward optimization
> testing. This custom metric includes parameters that need input from
> the walk forward periods. For example, if I were making a custom
> metric K Ratio, I would need the number of bars in the IS and OOS
> periods to figure Standard Error, Standard Deviation, and Linear
> Regression slope. How do I do this? And is there a better way?
>
> Here's a custom metric AFL with parameter boxes that would be
> replaced with whatever is needed to make this work when running walk
> forward optimization.
>
> LRPeriods=Param("LinRegPeriods",10,1,500,1);
> LR=LinRegSlope(e,LRPeriods);
>
> SEPeriods=Param("SEPeriods",10,1,500,1);
>
> SE=StdErr(e,SEPeriods);
>
> SDPeriods=Param("SDPeriods",10,1,500,1);
>
> SD=StDev(e,SDPeriods);
>
> NewKRatio= LR / ((SE/SD)* sqrt(SDPeriods));
>
> SetCustomBacktestProc("");
>
> if (Status("Action") == actionPortfolio)
>
> {
>
> bo = GetBacktesterObject();
>
> bo.backtest();
>
> st = bo.getperformancestats(0);
>
> NewKRatio = st.getvalue("NewKRatio");
>
> bo.addcustommetric("NewKRatio", NewKRatio);
>
> }
>
> Thanks
>
> Dave



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