Re: [amibroker] Custom objectif function

["Louis Préfontaine" <rockprog80@xxxxxxxxx>]

Hi Howard,

I am using the following code

//    CustomMetricWithPenalty.afl
// 
//    Add a custom metric to the backtest report.
//    The metric is the KRatio, multiplied by a 
//    penalty function based on:
//        the average percentage profit or loss per trade.
//        the percentage the system is exposed to the market.
//        the holding period per trade.
//        the percent of trades that are winners.
//        the RAR value.

KRatioVal = 0;

SetCustomBacktestProc("");

if (Status("action") == actionPortfolio)
{
    bo = GetBacktesterObject();

    bo.backtest();

    st = bo.getperformancestats(0);

    KRatioVal = 100.0 * st.getvalue("KRatio");
    RRR = st.getvalue("RRR");

    AvgPctGainVal = 0.01 
            * st.getvalue("AllAvgProfitLossPercent");
    ExposureVal = 0.01 * st.getvalue("ExposurePercent");
    HoldingPeriodVal = st.getvalue("AllAvgBarsHeld");
    PctWinnersVal = 0.01 * st.getvalue("WinnersPercent");
    RarVal = 0.01 * st.getvalue("RAR");
 
    AvgPctGainMult = IIf(AvgPctGainVal<0.01,
                0.0,
            1.00);

    ExposureMult = IIf(ExposureVal<0.10, 
                    1.00-(0.50/0.10)*(0.10-ExposureVal),
            IIf((ExposureVal>=0.10 AND ExposureVal<=0.20), 
                    1.00,
            IIf((ExposureVal>0.20 AND ExposureVal<0.40), 
                    1.00-(0.50/0.20)*(ExposureVal-0.20),
            0.50 )));

    HoldingPeriodMult = IIf(HoldingPeriodVal<3,
                    1.00-(0.50/3)*(3-HoldingPeriodVal),
            IIf((HoldingPeriodVal>=3 AND HoldingPeriodVal<=7),
                    1.00,
            IIf((HoldingPeriodVal>7 AND HoldingPeriodVal<14),
                    1.00-(0.50/7)*(HoldingPeriodVal-7),
            0.50 )));

    PctWinnersMult = IIf(PctWinnersVal<0.50,
                    0.50,
            IIf((PctWinnersVal>=0.50 AND PctWinnersVal<=0.65),
                    1.00-(0.50/0.15)*(0.65-PctWinnersVal),
            1.00 ));

    RarMult = IIf(RarVal<0.10,
                    0.50,
            IIf((RarVal>=0.10 AND RarVal<=0.20),
                    1.00-(0.50/0.10)*(0.20-RarVal),
            1.00 ));

    ObFn = KRatioVal * AvgPctGainMult * ExposureMult 
            * HoldingPeriodMult * PctWinnersMult * RarMult;

    bo.addcustommetric("ObjectiveFunction", ObFn);
}

//    The trading system starts here
/*
fast = Optimize("fast",16,1,20,1);
slow = Optimize("slow",8,1,20,1);
MAF = DEMA(C,fast);
MAS = DEMA(C,slow);

HoldDays = Optimize("HoldDays",1,1,20,1);
Buy = Cross(MAF,MAS);
Sell = Cross(MAS,MAF) OR BarsSince(Buy)>=HoldDays;
Sell = ExRem(Sell,Buy);
*/
e = Equity();

//Plot(C,"C",colorBlack,styleCandle);
//shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
//PlotShapes( shape, IIf( Buy, colorGreen, colorRed ), 
//        0, IIf( Buy, Low, High ) );
Plot(e,"Equity",colorGreen,styleLine|styleOwnScale);
//GraphXSpace = 5;
//Figure A.7 Custom Metric with Penalty

I didn't post it at first because I was not sure if you wanted the code to be made public.

I worked on another objective function, and I wonder... how can you put the objective function in the walk-forward tab?

Thanks!

Louis

2008/5/9 Howard B <howardbandy@xxxxxxxxx>:

Hi Louis --

Please post the code you are trying to use.

Yes, you can use your custom objective function when running backtests and automatic walk forward runs.

Thanks,
Howard

On Fri, May 9, 2008 at 3:33 PM, Louis Préfontaine <rockprog80@xxxxxxxxx> wrote:

Hi,

I've been trying to build a custom objective function and tried to see what it would be like to use Howard's one in the Appendix A.  However, after running it with different symbols/markets/systems, the results is ALWAYS 0.00   Anyone know why this can happen?

BTW, is it possible to add the custom OB to the walk-forward?

Thanks,

Louis

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