Re: [amibroker] Re: Custom objectif function, AmiBroker Email List Archive

2008/5/10 Mike <sfclimbers@xxxxxxxxx>:

Finish Howard's book, then go through the slides that he offers in
message #123602, then write your objective function.

It's perfectly fine to have different objective functions for
different systems. It all depends on what your goal is (i.e. the
objective) for each of those systems.

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Building a good objective function is more difficult than I though.
>
> Is it ok to have different objective functions depending on the
system or
> part of the system? I mean: sometimes you prefer to have a high
ratio of
> win no matter how much you win while other time %profit is more
important...
>
> Louis
>
>
> 2008/5/9 Louis Préfontaine <rockprog80@xxx>:
>
> > Thanks Mike! ;-)
> >
> > Louis
> >
> > 2008/5/9 Mike <sfclimbers@xxx>:

> >
> > 1. Uncomment the Buy/Sell signals. You need to generate
statistics in
> >> order to calculate the objective function.
> >>
> >> 2. Type in the name of your custom variable for the optimization
> >> target of the walk forward settings tab (yours is named
> >> ObjectiveFunction in the code below)
> >>
> >> See http://www.amibroker.com/kb/2008/02/12/getting-started-with-
> >> automatic-walk-forward-optimization/
> >>
> >> Mike
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "Louis

> >> Préfontaine"
> >> <rockprog80@> wrote:
> >> >
> >> > 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@>:
> >> >
> >> > > 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@>
> >> > > 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
> >> > >>
> >> > >>
> >> > >>
> >> > >
> >> > >
> >> >
> >>
> >>
> >>
> >
> >
>