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> 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?
It works, but you need to TYPE MANUALLY your custom metric name, instead of picking it from the list.
The drop down list shows only built-in metrics as settings screen does not read your
formula and doesn't know what metrics you may have defined.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Thomas Ludwig" <Thomas.Ludwig@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, April 22, 2008 4:12 PM
Subject: Re: [amibroker] Custom Metric for Walk Forward Optimization
> 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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