> You might want to revisit the equity curve that
Fred did several
years ago.
> It has a lot of the computations in there.
Can anyone give me a clue where to find that?
brian_z
--- In amibroker@xxxxxxxxxps.com,
"dingo" <dingo@xxx> wrote:
>
> You might want to revisit the equity curve that Fred did several
years ago.
> It has a lot of the computations in there.
>
> d
>
>
> _____
>
> From: amibroker@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]
On Behalf
> Of Herman
> Sent: Sunday, May 18, 2008 8:12 PM
> To: Tomasz Janeczko
> Subject: [amibroker] System Performance Indicators [was: Can
someone fix
> this OLE code?]
>
>
>
> 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().
>
>
>
>
> best regards,
>
> herman
>
>
>
>
> Sunday, May 18, 2008, 4:17:49 AM, you wrote:
>
>
>
>
>
> >
>
> 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 <mailto:psytek@...>
>
> To: Tomasz Janeczko <mailto:groups@...>
>
> Cc: amibroker@xxxxxxxxxps.com
>
> 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 <mailto:psytek@...>
>
> To: dingo <mailto:amibroker@xxxxxxxxxps.com>
>
> 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.
>
>
>
>
> h
>
>
>
>
> 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.
>
>
>
> d
>
>
>
>
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]
On Behalf
> Of Herman
>
> Sent: Saturday, May 17, 2008 7:49 AM
>
> To: dingo
>
> Cc: amibroker@xxxxxxxxxps.com
>
> Subject: Re: [amibroker] Can someone fix this OLE code?
>
>
>
>
> it runs fine except for the WLN and BRS changes i need.
>
>
>
>
> h
>
>
>
>
> 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.
>
>
>
> d
>
>
>
>
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]
On Behalf
> Of Herman
>
> Sent: Saturday, May 17, 2008 7:40 AM
>
> To: dingo
>
> Cc: amibroker@xxxxxxxxxps.com
>
> 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.
>
>
>
> d
>
>
>
>
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]
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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>
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>
> Version: 8.0.100 / Virus Database: 269.23.16/1448 - Release Date:
5/16/2008
> 7:42 PM
>
>
>
> No virus found in this incoming message.
>
> Checked by AVG.
>
> Version: 8.0.100 / Virus Database: 269.23.16/1448 - Release Date:
5/16/2008
> 7:42 PM
>
>
>
> No virus found in this incoming message.
>
> Checked by AVG.
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> Version: 8.0.100 / Virus Database: 269.23.16/1448 - Release Date:
5/16/2008
> 7:42 PM
>
>
>
>
>
>
>
>
>
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> 9:31 AM
>