[amibroker] System Performance Indicators [was: Can someone fix this OLE code?], AmiBroker Email List Archive

Tomasz, I am neither a mathematician nor a professional programmer and I really don't know how to convey this simple and obvious idea any better. If this email doesn't get the idea across I'll let it be. If others understand what I am talking about they can continue the discussion.

Indicators to display system performance are an effective and essential tool in the design and evaluation of trading systems. Trading the equity is a simple example, plotting DrawDowns is another.

Traditional Indicators are based on PRICE; System Performance Indicators are based on EQUITY.

That SYSTEM PERFORMANCE INDICATORS are not offered as standard (build in) indicators is simply a lack of imagination. To plot the UPI, number of winning trades, trade profits, trade duration, or other system performance statistic on a time scale simply makes a lot common sense. btw, Applying these functions to price arrays can also give very interesting results. Price and equity arrays are not that different.

Saying "If you really have to plot them" is like saying "if you really have to make money". The lack of System Performance Indicators is simply a void in technical analysis ready (LONG OVERDUE!) to be filled. To have to use the CBT, export the data, import the data, etc. to create System Performance Indicators is simply too much work; no one will do it. Most of us are here to trade and not to learn new programming languages; OLE and CBT are advanced tools for programmers. imo, System Performance Indicators should be as readily available as the RSI() and CMO().

Hello,

1. Even if it works it is completely not supported and may to problems/crashes etc. It is like driving all the time on reverse gear.

Reverse gear is not designed to be used for 10 hours drive.

2. I see no reason to "plot" single numbers like UPI, number of trades in indicator. That would be just a bunch of flat lines.

Also indicator should be lightweight. The indicator code should execute very quickly because indicators are refreshed very often.

You are (ab)using indicators for things not designed for them. Indicator code is for indicators. Automatic analysis is for backtesting. Indicators are not

and should never be used that way.

3. If you really need to plot them

- all stats are accessible from CUSTOM BACKTESTER, if you want to "plot" them, use custom backtester,

write them to TEXT File (using fopen/fputs/fclose) and from the indicator you will be able to read them (using fopen/fgets/fclose)

That's a proper way to do that.

To repeat the same analogy - although you can drive on reverse gear for 100 miles, your cars is not designed to be used that way.

Best regards,

Tomasz Janeczko

amibroker.com

----- Original Message -----

From: Herman

To: Tomasz Janeczko

Cc: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, May 17, 2008 2:28 PM

Subject: Re: [amibroker] Can someone fix this OLE code?

OK Tomasz, but the code produces a nice BT report each time i click the Trigger. Seemingly flawless. Seems only a tweak would be required to make it work robust.

I am going through all this trouble just to be able to access the Backtester stats from an indicator (I was going to extract the last value from the report on bar-by-bar BTs!).

System analysis in the time domain is frustrated/impossible because basic AB users (non professional programmer) can't retrieve and plot the Backtester stats, like UPI, %Winners, Number of trades, etc. Thus there is a big void wrt system analysis - see my suggestion #1335 and support tag [#49377].

I wish that formulas for these functions were made public so that they can be used in indicators. This Would open up a whole new world to evaluate, analyze, and design trading systems. The single numbers in the AA give very limited information. With all respect, please do not mention the CBT... that solution is for less than 10% of users and I don't have enough days left to learn all that stuff.

best regards,

herman

Saturday, May 17, 2008, 8:10:10 PM, you wrote:

But... the example in help

a) works

b) presents OUTSIDE ***JScript*** code

http://www.amibroker.com/guide/objects.html

c) does not contain

AA.Analysis.RangeN (wrong line)

Again I want to stress that out that Analysis COM object must not be used form

AFL level. The functionality is provided to control Automatic Analysis from OUTSIDE

of AmiBroker.

Best regards,

Tomasz Janeczko

amibroker.com

----- Original Message -----

From: Herman

To: dingo

Sent: Saturday, May 17, 2008 2:02 PM

Subject: Re: [amibroker] Can someone fix this OLE code?

won't do. Actually 99% of this code was copied from the AB help.

For tips on developing Real-Time Auto-Trading systems visit:

http://www.amibroker.org/userkb/

Saturday, May 17, 2008, 7:54:44 PM, you wrote:

ON the clearfilters() take off the () and try it.

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman

Sent: Saturday, May 17, 2008 7:49 AM

To: dingo

Cc: amibroker@xxxxxxxxxxxxxxx

Subject: Re: [amibroker] Can someone fix this OLE code?

it runs fine except for the WLN and BRS changes i need.

For tips on developing Real-Time Auto-Trading systems visit:

http://www.amibroker.org/userkb/

Saturday, May 17, 2008, 7:46:35 PM, you wrote:

Maybe AB won't let you run a backtest within an indicator - time to ask TJ.

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman

Sent: Saturday, May 17, 2008 7:40 AM

To: dingo

Cc: amibroker@xxxxxxxxxxxxxxx

Subject: Re: [amibroker] Can someone fix this OLE code?

Hi d, I tried that initially but No go.

thanks,

herman

For tips on developing Real-Time Auto-Trading systems visit:

http://www.amibroker.org/userkb/

Saturday, May 17, 2008, 7:35:20 PM, you wrote:

On the lines that give the error substitute a number constant for the variable and see if it works. If it does then it looks to me like it thinks the variables are arrays.

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman

Sent: Saturday, May 17, 2008 7:01 AM

To: AmiBroker User Group

Subject: [amibroker] Can someone fix this OLE code?

Can someone help me fix the code below so that when triggered in an Indicator, it:

1) Backtest all tickers in watchlist WLN?

2) Use range of BRS bars

3) Output ONLY the one line BT Report?

Many thanks!!!!

herman

if ( ParamTrigger( "Run Com BT", "BT" ) )

{

WLN = 0; // the watchlist to backtest

BRS = 100; // Number bars to test

AB = CreateObject( "Broker.Application" );

AA = AB.Analysis;

AA.LoadFormula( "C:\\Program Files\\AmiBroker\\Formulas\\Systems\\Example.afl" );

AA.ClearFilters();

AA.Filter( 0, "watchlist" ) = WLN; // This gives syntax error...

AA.ApplyTo = 1;

AA.RangeMode = 1;

AA.Analysis.RangeN = BRS; // This gives syntax error...

AA.Backtest();

AA.Report( "" );

}

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