[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: [amibroker] Re: System Performance Indicators [was: Can someone fix this OLE code?]



PureBytes Links

Trading Reference Links

Agreed - he seems to thrive in the AT stuff which IMHO is much more
complicated than OLE.

d 

> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx 
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Fred Tonetti
> Sent: Sunday, May 18, 2008 5:42 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: System Performance Indicators 
> [was: Can someone fix this OLE code?]
> 
> Given the undoubtedly thousands of lines of AFL he's written, I'm
> surprised at Herman's stubbornness with this . This level of scripting
> is hardly rocket science
> 
>  
> 
> ________________________________
> 
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
> Behalf Of dingo
> Sent: Sunday, May 18, 2008 5:07 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: System Performance Indicators [was: Can
> someone fix this OLE code?]
> 
>  
> 
> Keep reading - tj posts it later in this thread.
> 
> d 
> 
> > -----Original Message-----
> > From: amibroker@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.com>  
> > [mailto:amibroker@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.com>
> ] On Behalf Of brian_z111
> > Sent: Sunday, May 18, 2008 5:03 PM
> > To: amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com> 
> > Subject: [amibroker] Re: System Performance Indicators [was: 
> > Can someone fix this OLE code?]
> > 
> > > 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@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.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@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.com>
> [mailto:amibroker@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.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@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.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
> <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@xxxxxxxxxxxxxxx
> <mailto:amibroker%40yahoogroups.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/ 
> <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%40yahoogroups.com>
> [mailto:amibroker@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.com> ]
> > On Behalf
> > > Of Herman
> > > 
> > > Sent: Saturday, May 17, 2008 7:49 AM
> > > 
> > > To: dingo
> > > 
> > > Cc: amibroker@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.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/ 
> <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%40yahoogroups.com>
> [mailto:amibroker@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.com> ]
> > On Behalf
> > > Of Herman
> > > 
> > > Sent: Saturday, May 17, 2008 7:40 AM
> > > 
> > > To: dingo
> > > 
> > > Cc: amibroker@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.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/ 
> <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%40yahoogroups.com>
> [mailto:amibroker@xxxxxxxxxxxxxxx 
> <mailto:amibroker%40yahoogroups.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( "" );
> > > 
> > > }
> > > 
> > > 
> > > 
> > > 
> > > 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
> > > 
> > > 
> > > 
> > > 
> > > 
> > > 
> > > 
> > > 
> > > 
> > > No virus found in this incoming message.
> > > Checked by AVG.
> > > Version: 8.0.100 / Virus Database: 269.23.20/1453 - Release Date: 
> > 5/18/2008
> > > 9:31 AM
> > >
> > 
> > 
> > 
> > ------------------------------------
> > 
> > Please note that this group is for discussion between users only.
> > 
> > To get support from AmiBroker please send an e-mail directly to 
> > SUPPORT {at} amibroker.com
> > 
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/ <http://www.amibroker.com/devlog/> 
> > 
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> <http://www.amibroker.com/support.html> 
> > Yahoo! Groups Links
> > 
> > 
> > 
> > No virus found in this incoming message.
> > Checked by AVG. 
> > Version: 8.0.100 / Virus Database: 269.23.20/1453 - Release 
> > Date: 5/18/2008 9:31 AM
> > 
> 
> 
> ________________________________
> 
> I am using the free version of SPAMfighter for private users.
> It has removed 455 spam emails to date.
> Paying users do not have this message in their emails.
> Try SPAMfighter <http://www.spamfighter.com/len>  for free now!
>  
> 
> No virus found in this incoming message.
> Checked by AVG. 
> Version: 8.0.100 / Virus Database: 269.23.20/1453 - Release 
> Date: 5/18/2008 9:31 AM
> 


------------------------------------

Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/