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Hi Herman
I think this calculates the UPI correctly for a single symbol test. In
this case it is over 5 years (1260 bars)
bi = BarIndex();
BarsPerYear = 252;
bars = 1260;
TresuryNotesProfit = 5.4;
eq = C;
Heq = HighestSince( bi == (BarCount-bars), eq );
DD = (Heq-eq)/Heq;
UI5 = sqrt(Sum( DD^2/bars, bars));
UPI5 = ( 100*(eq/Ref(eq,-bars)-1)^(BarsPerYear/bars) -
TresuryNotesProfit ) / UI5;
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
2008/4/24 Herman <psytek@xxxxxxxx>:
>
>
>
> I have written a custom UPI function which needs, in my application, to give
> identical results as I get in the Backtester. I copied the test code below,
> if you want to run it copy it to the AA, run a Backtest to see AB UPI
> values, run an explore to see the UPI function value.s
>
>
>
>
> I have been struggling with this; can anyone see why my function doesn't
> match the Backtester values? How nice if we had AFL functions for all the BT
> stats to apply on other arrays...(of course without having to run any
> Backtester)
>
>
>
>
> btw,
>
> 1) how does the test period figure in the AB UPI? Is it based on a fixed
> yearly period or is it corrected for the test period?
>
> 2) If it is based on a yearly period.... how can this be used for shorter
> test periods?
>
>
>
>
> many thanks for any help you can give,
>
> herman
>
>
>
>
> /////////////////////////////////////// custom UPI
> ////////////////////////////////////
>
> function CustomUPI( EquityArray, NumberOfBars )
>
> {
>
> InitialEquity = GetOption( "InitialEquity" );
>
> NumOfPeriods = 100;
>
> MaxValue = SumSq = UI = MV = SS = 0;
>
> PercentProfit = ( LastValue( EquityArray ) - InitialEquity ) /
> InitialEquity * 100;
>
>
>
>
> for ( b = BarCount - NumberOfBars - 1; b < BarCount; b++ )
>
> {
>
> MV[b] = MV[b-1];
>
> SS[b] = SS[b-1];
>
>
>
>
> if ( EquityArray[b] > MaxValue )
>
> {
>
> MaxValue = EquityArray[b];
>
> MV[b] = MaxValue; // test
>
> }
>
> else
>
> {
>
> SumSq = SumSq + ( 100 * ( EquityArray[b] / MaxValue - 1 ) ) ^ 2;
>
> SS[b] = SumSq; // test
>
> }
>
>
>
>
> UI[b] = sqrt( SumSq / NumberOfBars );
>
> }
>
>
>
>
> Plot( MV, "MaxValue", 5, 1 );
>
>
>
>
> Plot( SS, "SumSq", 4, 1 );
>
> return (PercentProfit-5.4)/UI;
>
> }
>
>
>
>
> Firstbar = Status( "FirstBarInTest" );
>
> NumberBars = LastValue( BarsSince( FirstBar ) );
>
> BuyPrice = SellPrice = ShortPrice = CoverPrice = C;
>
> SetTradeDelays( 0, 0, 0, 0 );
>
> Buy = Cross( MACD(), Signal() ); // test system
>
> Sell = Cross( Signal(), MACD() );
>
> Short = Sell;
>
> Cover = Buy;
>
> E = Nz( Equity() );
>
> UPI = CustomUPI( E, NumberBars );
>
>
>
>
> GraphXSpace = 20;
>
> Plot( e, "", 2, styleLeftAxisScale );
>
> Plot( UPI, "UI", 6, 1 );
>
>
>
>
> Filter = Status( "LastbarInTest" );
>
> SetOption( "NoDefaultColumns", False );
>
> AddColumn( UPI, "cUPI",1.2 );
>
> //////////////////////////////////////////////////////////////////////////////////
>
>
>
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