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



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LOL … As I suspected … While scripts may be a little bit foreign, they are as Dingo suggests probably for the most part relatively simple compared to a lot of what you’ve done …

 


From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman
Sent: Monday, May 19, 2008 6:12 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: System Performance Indicators [was: Can someone fix this OLE code?]

 

I must respectfully correct you guys: I have written millions of lines of AFL :-))

 

best regards,

herman

 

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

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

 

Sunday, May 18, 2008, 5:51:29 PM, you wrote:

 

> Agreed - he seems to thrive in the AT stuff which IMHO is much more

> complicated than OLE.

 

> d 

 

>> -----Original Message-----

>> From: amibroker@xxxxxxxxxps.com 

>> [mailto:amibroker@yahoogroups.com] On Behalf Of Fred Tonetti

>> Sent: Sunday, May 18, 2008 5:42 PM

>> To: amibroker@xxxxxxxxxps.com

>> 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@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com] On

>> Behalf Of dingo

>> Sent: Sunday, May 18, 2008 5:07 PM

>> To: amibroker@xxxxxxxxxps.com

>> 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@xxxxxxxxxps.com 

>> <mailto:amibroker%40yahoogroups.com>  

>> > [mailto:amibroker@yahoogroups.com 

>> <mailto:amibroker%40yahoogroups.com>

>> ] On Behalf Of brian_z111

>> > Sent: Sunday, May 18, 2008 5:03 PM

>> > To: amibroker@xxxxxxxxxps.com <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@xxxxxxxxxps.com 

>> <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@xxxxxxxxxps.com 

>> <mailto:amibroker%40yahoogroups.com>

>> [mailto:amibroker@yahoogroups.com 

>> <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@xxxxxxxxxps.com 

>> <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@yahoogroups.com

>> <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@xxxxxxxxxps.com 

>> <mailto:amibroker%40yahoogroups.com>

>> [mailto:amibroker@yahoogroups.com 

>> <mailto:amibroker%40yahoogroups.com> ]

>> > On Behalf

>> > > Of Herman

>> > > 

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

>> > > 

>> > > To: dingo

>> > > 

>> > > Cc: amibroker@xxxxxxxxxps.com 

>> <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@xxxxxxxxxps.com 

>> <mailto:amibroker%40yahoogroups.com>

>> [mailto:amibroker@yahoogroups.com 

>> <mailto:amibroker%40yahoogroups.com> ]

>> > On Behalf

>> > > Of Herman

>> > > 

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

>> > > 

>> > > To: dingo

>> > > 

>> > > Cc: amibroker@xxxxxxxxxps.com 

>> <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@xxxxxxxxxps.com 

>> <mailto:amibroker%40yahoogroups.com>

>> [mailto:amibroker@yahoogroups.com 

>> <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

>> > 

 

 

>> ________________________________

 

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>> 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.

 

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> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:

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