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TJ,
thanks a lot for clarifying this!
Greetings,
Thomas
> > 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-automat
> >ic-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
> >
> > ------------------------------------
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> > Yahoo! Groups Links
>
> ------------------------------------
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
>
>
------------------------------------
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