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Tomasz,
Thanks to you for your answer, and also the other contributors to
this discussion, which I find helpful.
First I will get on my hobby horse.
We have shot ourselves in the foot with our reluctance to move to a
forum with better tools and support the UKB initiative because the
discussion in this forum is inefficient (no whiteboard, no
categorization, no inline images) - it can be hard to understand what
the cutting edge thinkers are talking about without some pictures.
Let's hope some stubborn minded fool comes along, works his backside
off to offer us an alternative and the majority vote with their feet
and actually use it.
Re the current discussion:
- now that I am an AB survivor I want different things than before
- I now view it as a backtesting engine fullstop (I can get stats
packs and do MoneyManagement elsewhere but I can't replace the BT
features)
- it is a good thing that AB can do anything, if I am good enough
(because it is a complete programming language and because it is open
to development)so thanks for that Tomasz.
If I work hard I can do things way beyond any other program that I
know of.
- while some people struggle with the array concept I actually find
it easier for me to think in those terms and it is embedded in my
mindview of how AB works SO I personally want more arrays and less
COM/CBT
- one problem is that AB survivors have gone beyond the textbooks and
are cutting edge specialists (we find it hard to even talk to each
other because our perspectives are totally unique). It would be very
hard for you to code into AB what each one of us wants.
- AB is not optimised for backtesting yet (it is not your fault the
fact is that current practise is rooted in the past while your best
students are pusning the boundaries, while not wanting to give away
too much about what they are doing.
- 'we' need to push on with backtesting improvements
- for now (until I get off my butt and learn some more real
programming) I am a hardened array programmer and this is what I want
to do:
a) backtest a watchlist
b) set the bar range to backtest (no. bars or date range) etc
c) get all trades irrespective of available equity
d) turn off money managment (optional to turn back on if needed)
e) for each symbol as an array return - all trades (as%)
- time in trade
f) reference the trade series for each symbol so that I can calc
stdev, ave, W/L, PayOff ratios etc.
Do all this in AFL/arrays.
Perhaps I could even save the results the way we save the backtest
reports at the moment.
In summary what I am after is a trade series matrix with a symbol
list as the row header and trade no. (time based) as the column
heading AND I want this to be persistent, at least for the life of
the BT OR at least to export it to a spreadsheet as a matrix.
Can I do this, all from AFL with a click of the BT button, at the
moment?
Please note: I have tried to talk a little bit about system root
analysis in this forum but it gets lost without pictures and a
tutorial BUT with trade series% and time in trade, as arrays, we can
perform any metric/equity analysis we can think of and plot any combo
we want.
The metrics are not actually scalar, they are only reported that way
in AB. They do have variance so it people are interested in that they
can get if from the trade series.
Thanks,
I appreciate you taking the time to consider our views on the BT
feature.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> Hello,
>
> You are mixing two things:
> a) equity derived metrics (such as drawdown) - that represent
ARRAYS and that are available already
> b) other metrics (like trade profits, trade duration) that are
single SCALARS
>
> a)
> Any EQUITY-based indicator is already possible via Equity chart.
> Sample Equity chart contains:
> equity
> cash,
> drawdown (underwater equity)
> bars since last equity high.
>
> If you want to customize equity chart simply modify _Portfolio
Equity.afl file.
> Fred has done so and he is using for example Log(Equity) in his IO
together with some other metrics
> derived from Equity. It does not require any COM. Just take
portfolio equity usign Foreign("~~~EQUITY", "C")
>
> Below is the code that Fred is using in his IO for the reference.
>
> Everybody can modify his/her Portfolio Equity formula to suit one's
need.
> The code is open and you are free to modify it.
>
> b)
>
> As to
> > 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.
>
> These metrics are NUMBERS. Just single SCALARS. They do NOT change
over time. They are constant for single backtest.
> If you plot them you will get FLAT LINE.
>
> > 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.
>
>
>
> The system performance metrics are single NUMBERS (scalars). Just
like 23.4. This is a number that does not change. When plotted - it
is FLAT LINE.
>
>
>
> They are not "overdue" because they simply are reported in BACKTEST
REPORT, as numbers.
>
> The same as in Tradestation, Wealth Lab, Trading Recipes, or
whatever.
>
>
>
> > 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().
>
>
> Again, you are missing the point. Backtest metrics are scalars, not
arrays like RSI/CMO.
> The metrics are available as single numbers AFTER backtest.
> If some metric is say 23.4 plotting it would result in flat line
like
> Plot( 23.4, "Sample metric plot", colorRed );
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
> /**** BELOW CODE IS A PART OF IO.zip (Intelligent Optimizer by Fred
Tonetti) archive from the AmiBroker Mailing List File section ***/
> /*** http://finance.groups.yahoo.com/group/amibroker/files/IO.zip
****/
> /*** It shows example customization of built-in portfolio equity
chart */
>
> #pragma nocache
>
> MaxGraph = 10;
> GraphZOrder = 1;
> GraphYSpace = 5;
>
> Arrows = ParamToggle("Arrows", "No|Yes", 1);
>
> BIR = IIf(Status("BarInRange") > 0, 1, 0);
>
> ISeq = Foreign("~~~EQUITY", "C", 1);
>
> CurEq = Foreign("~~IO~Equity", "C", 1);
> CurIOS = Foreign("~~IO~Equity", "V", 1);
> CurSig = Foreign("~~IO~Equity", "I", 1);
>
> CS128 = IIf(CurSig >= 128, 1, 0);
> CurSig = IIf(CS128 == 1, CurSig - 128, CurSig);
> CS64 = IIf(CurSig >= 64, 1, 0);
> CurSig = IIf(CS64 == 1, CurSig - 64, CurSig);
> CS32 = IIf(CurSig >= 32, 1, 0);
> CurSig = IIf(CS32 == 1, CurSig - 32, CurSig);
> CS16 = IIf(CurSig >= 16, 1, 0);
> CurSig = IIf(CS16 == 1, CurSig - 16, CurSig);
> CS8 = IIf(CurSig >= 8, 1, 0);
> CurSig = IIf(CS8 == 1, CurSig - 8, CurSig);
> CS4 = IIf(CurSig >= 4, 1, 0);
> CurSig = IIf(CS4 == 1, CurSig - 4, CurSig);
> CS2 = IIf(CurSig >= 2, 1, 0);
> CurSig = IIf(CS2 == 1, CurSig - 2, CurSig);
> CS1 = IIf(CurSig >= 1, 1, 0);
> CurSig = IIf(CS1 == 1, CurSig - 1, CurSig);
>
> BarEnt = IIf(CS1 == 1 OR CS4 == 1 OR CS16 == 1 OR CS64 == 1, 1,
0);
> CurEnt = IIf(BarEnt != 0, CurEq, 0);
>
> LastIS = CurIOS == 0 AND Ref(CurIOS, 1) != 0;
> OtherOOS = CurIOS != Ref(CurIOS, 1);
>
> MaxEq = Highest(CurEq);
> FlatEq = IIf(BIR, BarsSince(MaxEq > Ref(MaxEq,-1)),0);
> MaxFlat = Highest(FlatEq);
> LMaxFlat = LastValue(MaxFlat) * (1 + GraphYSpace / 100);
> LogEq = log10(CurEq);
>
> CurDD = IIf(CurEq < MaxEq, 100 * (MaxEq - CurEq) / MaxEq, 0);
> RCurDD = round(CurDD * 100) / 100;
> MaxDD = Highest(CurDD);
> RMaxDD = round(MaxDD * 100) / 100;
> LMaxDD = LastValue(MaxDD) * (1 + GraphYSpace / 100);
> SqrDD = CurDD ^ 2;
> CumDD = Cum(SqrDD);
>
> MaxEnt = Highest(CurEnt);
> CurDDE = IIf(CurEq < MaxEnt, 100 * (MaxEnt - CurEq) / MaxEnt, 0);
> RCurDDE = round(CurDDE * 100) / 100;
> MaxDDE = Highest(CurDDE);
> RMaxDDE = round(MaxDDE * 100) / 100;
>
> FirstBar = LastValue(ValueWhen(Status("FirstBarInRange") > 0, Cum
(1)));
> LastBar = LastValue(ValueWhen(Status("LastBarInRange") > 0, Cum
(1)));
> TotBars = LastValue(Cum(1));
> BarNo = ValueWhen(BIR > 0, Cum(1) - FirstBar + 1);
> NoBars = LastValue(BarNo);
>
> Dates = DateNum();
> Days = ValueWhen(BIR > 0, IIf(Dates != Ref(Dates,-1), 1, 0));
> TotDays = Cum(Days);
> BPD = round(BarNo / TotDays);
>
> BAHEq = ValueWhen(BIR > 0, Ref(CurEq, -(BarNo - 1)) * (C / Ref
(C, -(BarNo - 1))));
> BAHMaxEq = Highest(BAHEq);
> BAHFlatEq = IIf(BIR, BarsSince(BAHMaxEq > Ref(BAHMaxEq,-1)),0);
> BAHMaxFlat = Highest(BAHFlatEq);
> BAHLMaxFlat = LastValue(BAHMaxFlat) * (1 + GraphYSpace / 100);
>
> BAHCurDD = IIf(BAHEq < BAHMaxEq, 100 * (BAHMaxEq - BAHEq) /
BAHMaxEq, 0);
> BAHRCurDD = round(BAHCurDD * 100) / 100;
> BAHMaxDD = Highest(BAHCurDD);
> BAHRMaxDD = round(BAHMaxDD * 100) / 100;
> BAHLMaxDD = LastValue(BAHMaxDD) * (1 + GraphYSpace / 100);
> BAHSqrDD = BAHCurDD ^ 2;
> BAHCumDD = Cum(BAHSqrDD);
>
> LogBAHEq = log10(BAHEq);
>
> CAR = ValueWhen(BIR > 0, 100 * ((CurEq / Ref(CurEq, -(BarNo -
1))) ^ (1 / (BarNo / BPD / 252)) -1));
> Ann = ValueWhen(BIR > 0, 100 * ((CurEq / Ref(CurEq, -(252 *
BPD)) - 1)));
> MAR = ValueWhen(BIR > 0, CAR / MaxDD);
> UI = ValueWhen(BIR > 0, sqrt(CumDD / BarNo));
> UPI = (CAR - 5.4) / UI;
>
> BAHCAR = ValueWhen(BIR > 0, 100 * ((BAHEq / Ref(BAHEq, -(BarNo -
1))) ^ (1 / (BarNo / BPD / 252)) -1));
> BAHAnn = ValueWhen(BIR > 0, 100 * ((BAHEq / Ref(BAHEq, -(252 *
BPD)) - 1)));
> BAHMAR = ValueWhen(BIR > 0, BAHCAR / BAHMaxDD);
> BAHUI = ValueWhen(BIR > 0, sqrt(BAHCumDD / BarNo));
> BAHUPI = (BAHCAR - 5.4) / BAHUI;
>
> OSCAR1 = ValueWhen(CurIOS >= 1, 100 * ISEq / Highest(ValueWhen
(LastIS == 1, ISEq)));
> OSMaxEq1 = ValueWhen(CurIOS >= 1, Highest(ISEq));
> OSCurDD1 = IIf(CurIOS >= 1, 100 * (OSMaxEq1 - ISEq) / OSMaxEq1, 0);
> OSMaxDD1 = Highest(OSCurDD1);
> OSMAR1 = OSCAR1 / OSMaxDD1;
>
> OSCAR2 = ValueWhen(CurIOS >= 1, 100 * CurEq / Highest(ValueWhen
(LastIS == 1, CurEq)));
> OSMaxEq2 = ValueWhen(CurIOS >= 1, Highest(CurEq));
> OSCurDD2 = IIf(CurIOS >= 1, 100 * (OSMaxEq2 - CurEq) / OSMaxEq2, 0);
> OSMaxDD2 = Highest(OSCurDD2);
> OSMAR2 = OSCAR2 / OSMaxDD2;
>
> WFEcar = 100 * OSCAR2 / OSCAR1;
> WFEmar = 100 * OSMAR2 / OSMAR1;
>
> b0 = LastValue(LinRegIntercept(Ref(LogEq, -(TotBars -
LastBar)), NoBars));
> m = LastValue(LinRegSlope(Ref(LogEq, -(TotBars - LastBar)),
NoBars));
> y = m * BarNo + b0;
>
> BarsCum = ValueWhen(BIR > 0, Cum(BarNo));
> AvgBar = LastValue(BarsCum) / NoBars;
> SRDevSQ = ValueWhen(BIR > 0, sqrt(Cum((BarNo - AvgBar) ^ 2)));
> ErrEq = LastValue(StdErr(Ref(logEq, -(TotBars - LastBar)),
NoBars));
> KRatio = ValueWhen(BIR > 0, m * SRDevSQ / ErrEq / sqrt(NoBars));
>
> Title1 = EncodeColor(ColorRGB(160,160,160)) + "LinReg= " +
EncodeColor(ColorRGB(128,128,255)) + WriteVal(10 ^ y, 3.0) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "CurFlat=" +
EncodeColor(ColorRGB(255,223, 0)) + WriteVal(FlatEq, 3.0) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "Ann=" +
EncodeColor(ColorRGB( 0,255, 0)) + WriteVal(Ann, 3.2) + "% "
+
> EncodeColor(ColorRGB(160,160,160)) + "MDDE=" +
EncodeColor(ColorRGB(255,128, 0)) + WriteVal(MaxDDE, 3.2) + "% "
+
> EncodeColor(ColorRGB(160,160,160)) + "CDD=" +
EncodeColor(ColorRGB(255, 0, 0)) + WriteVal(CurDD, 3.2) + "% "
+
> EncodeColor(ColorRGB(160,160,160)) + "wfeCAR=" +
EncodeColor(ColorRGB(255,255, 0)) + WriteVal(WFECar, 3.2) + "% "
+
> EncodeColor(ColorRGB(160,160,160)) + "wfeMAR=" +
EncodeColor(ColorRGB(255,255, 0)) + WriteVal(WFEMAR, 3.2) + "% ";
>
> Title2 = "\n" +
> EncodeColor(ColorRGB(160,160,160)) + "Equity = " +
EncodeColor(ColorRGB(224,224,224)) + WriteVal(CurEq, 3.0) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "MaxFlat=" +
EncodeColor(ColorRGB(255,223, 0)) + WriteVal(MaxFlat, 3.0) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "CAR=" +
EncodeColor(ColorRGB( 0,255, 0)) + WriteVal(CAR, 3.2) + "% "
+
> EncodeColor(ColorRGB(160,160,160)) + "MDD=" +
EncodeColor(ColorRGB(255, 0, 0)) + WriteVal(MaxDD, 3.2) + "% "
+
> EncodeColor(ColorRGB(160,160,160)) + "MAR=" +
EncodeColor(ColorRGB( 0,255, 0)) + WriteVal(MAR, 3.2) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "UI=" +
EncodeColor(ColorRGB(255, 0,255)) + WriteVal(UI, 3.2) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "UPI=" +
EncodeColor(ColorRGB( 0,255, 0)) + WriteVal(UPI, 3.2) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "KR=" +
EncodeColor(ColorRGB(160,255,160)) + WriteVal(KRatio, 3.2) + " ";
>
> Title3 = "\n" +
> EncodeColor(ColorRGB(160,160,160)) + "B & H = " +
EncodeColor(ColorRGB(128,128,128)) + WriteVal(BAHEq, 3.0) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "MaxFlat=" +
EncodeColor(ColorRGB(208,176, 0)) + WriteVal(BAHMaxFlat, 3.0) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "CAR=" +
EncodeColor(ColorRGB( 0,192, 0)) + WriteVal(BAHCAR, 3.2) + "% "
+
> EncodeColor(ColorRGB(160,160,160)) + "MDD=" +
EncodeColor(ColorRGB(208, 0, 0)) + WriteVal(BAHMaxDD, 3.2) + "% "
+
> EncodeColor(ColorRGB(160,160,160)) + "MAR=" +
EncodeColor(ColorRGB( 0,192, 0)) + WriteVal(BAHMAR, 3.2) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "UI=" +
EncodeColor(ColorRGB(208, 0,208)) + WriteVal(BAHUI, 3.2) + " " +
> EncodeColor(ColorRGB(160,160,160)) + "UPI=" +
EncodeColor(ColorRGB( 0,192, 0)) + WriteVal(BAHUPI, 3.2);
>
> Title = Title1 + Title2 + Title3;
>
> Plot(IIf(BarNo > 0 AND BIR > 0, -RCurDD, -1e10), "CDD",
colorDarkRed, styleThick | styleOwnScale | styleArea, -LMaxDD,
LMaxDD);
> Plot(IIf(BarNo > 0 AND BIR == 0, -RCurDD, -1e10), "CDD",
colorDarkRed, styleThick | styleOwnScale | styleLine, -LMaxDD,
LMaxDD);
> Plot(IIf(BarNo > 0, -RMaxDD, -1e10), "MDD",
colorDarkRed, styleThick | styleOwnScale, -LMaxDD,
LMaxDD);
> Plot(IIf(BarNo > 0 AND BIR > 0, -RCurDDE, -1e10), "CDDE",
colorOrange, styleThick | styleOwnScale | styleArea, -LMaxDD,
LMaxDD);
> Plot(IIf(BarNo > 0 AND BIR == 0, -RCurDDE, -1e10), "CDDE",
colorOrange, styleThick | styleOwnScale | styleLine, -LMaxDD,
LMaxDD);
> Plot(IIf(BarNo > 0, -RMaxDDE, -1e10), "MDDE",
colorOrange, styleThick | styleOwnScale, -LMaxDD,
LMaxDD);
> Plot(IIf(BarNo > 0, FlatEq, -1e10), "CF",
colorGold, styleThick | styleOwnScale | styleArea, -LMaxFlat,
LMaxFlat);
> Plot(IIf(BarNo > 0, MaxFlat, -1e10), "MF",
colorGold, styleThick | styleOwnScale, -LMaxFlat,
LMaxFlat);
>
> Plot(LastIS, "LastIS", colorLightGrey, styleHistogram |
styleThick | styleNoLabel | styleOwnScale);
> Plot(OtherOOS, "OtherOOS", colorLightGrey, styleHistogram
| styleNoLabel | styleOwnScale);
>
> Plot(IIf(BIR > 0, Y, -1e10), "L/R Eq", colorBlue,
styleThick | styleNoLabel);
> Plot(IIf(BIR > 0, LogBAHEq, -1e10), "BAH Eq", colorGrey50,
styleThick | styleNoLabel);
> Plot(IIf(BIR > 0, LogEq, -1e10), "Sys Eq", colorLightGrey,
styleThick | styleNoLabel);
>
> S1 = (CS1 == 1) * shapeUpArrow;
> S2 = (CS2 == 1) * shapeDownArrow;
> S4 = (CS4 == 1) * shapeDownArrow;
> S8 = (CS8 == 1) * shapeUpArrow;
> S16 = (CS16 == 1) * shapeUpArrow;
> S32 = (CS32 == 1) * shapeDownArrow;
> S64 = (CS64 == 1) * shapeDownArrow;
> S128 = (CS128 == 1) * shapeUpArrow;
>
> if (Arrows == True)
> {
> PlotShapes(IIf(BIR > 0, S2, -1e10), colorWhite, 0,
LogEq, -11);
> PlotShapes(IIf(BIR > 0, S8, -1e10), colorWhite, 0,
LogEq, -11);
>
> PlotShapes(IIf(BIR > 0, S1, -1e10), colorBrightGreen, 0,
logEq, IIf(CS8, -17, -11));
> PlotShapes(IIf(BIR > 0, S4, -1e10), colorRed, 0,
logEq, IIf(CS2, -17, -11));
>
> PlotShapes(IIf(BIR > 0, S32, -1e10), colorGrey50, 0,
LogEq, -11);
> PlotShapes(IIf(BIR > 0, S128, -1e10), colorGrey50, 0,
LogEq, -11);
>
> PlotShapes(IIf(BIR > 0, S16, -1e10), colorBlue, 0,
LogEq, IIf(CS128, -17, -11));
> PlotShapes(IIf(BIR > 0, S64, -1e10), 11, 0,
LogEq, IIf(CS32, -17, -11));
> }
> ----- Original Message -----
> From: Herman
> To: Tomasz Janeczko
> Sent: Monday, May 19, 2008 2:12 AM
> 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
>
> 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.
>
>
>
>
> 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@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.
>
>
>
>
> 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@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.
>
>
>
> d
>
>
>
>
>
>
>
>
> ------------------------------------------------
>
> 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( "" );
>
> }
>
>
>
>
> 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.
>
> 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
>
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