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Fred,
Thanks for your tips.
> These are all functions of the equity curve and/or the trade
>list
> resulting from an AA backtest or from a script that has run an AA
>backtest
>
Yes, I am using a mirror on a stick to peer out of my bunker but if I
am showing my ignorance and just need to go and learn a bit more I
would actually appreciate being spun around and pointed in the right
direction.
Yes, I am flagging to people that we are painting the equity curve,
and the system metrics, with a mystique that isn't warranted.
If we can array reference the trade series ( as % and time in trade
on a symbol by symbol basis), after running a backtest, then we could
do anything we want with metrics and moneymanagement, right there in
our indicators or explorations.
I don't think we can do that right now.
Am I wrong?
I guess you are confirming that I can do it using script, or
other 'advanced' programming techniques and that I could return it as
a text file (from there it is over to another program for analysis)?
Thanks,
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxx> wrote:
>
> . I'm sure I'll get in over my head and state things that are not
exactly or
> otherwise true and TJ will have to step on it ...
>
>
>
> . So I'll get my flame retardant suit on first .
>
>
>
> I believe the way to think about an AFL's relationship to AA is
that an AFL
> runs INSIDE AA, it does not CONTROL AA .
>
>
>
> Thus in response to your list .
>
>
>
> a) backtest a watchlist
>
>
>
> You backtest with AA or a script running an AA Function . NOT with
an AFL
> i.e. you backtest an AFL in AA, you DON'T call AA from your AFL.
>
>
>
> b) set the bar range to backtest (no. bars or date range) etc
>
>
>
> The bar range is set in AA or can be set in a script running AA .
Again for
> the same reason
>
>
> c) get all trades irrespective of available equity
>
>
>
> This is a function of which flavor of backtester you use
>
>
> 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.
>
>
>
> These are all functions of the equity curve and/or the trade
list
> resulting from an AA backtest or from a script that has run an AA
backtest
>
>
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of brian_z111
> Sent: Sunday, May 18, 2008 5:49 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: System Performance Indicators [was: Can
someone fix
> this OLE code?]
>
>
>
> 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com,
> "Tomasz Janeczko" <groups@>
> 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.
> <http://finance.groups.yahoo.com/group/amibroker/files/IO.zip>
> 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.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.amibroke <http://www.amibroker.com/guide/objects.html>
> r.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.amibroke <http://www.amibroker.org/userkb/>
r.org/userkb/
> >
> >
> >
> >
> > Saturday, May 17, 2008, 7:54:44 PM, you wrote:
> >
> >
> >
> >
> > >
> > ON the clearfilters() take off the () and try it.
> >
> >
> >
> > d
> >
> >
> >
> >
> >
> >
> >
> >
> > ----------------------------------------------------------
> >
> > From: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com] On
> Behalf Of Herman
> >
> > Sent: Saturday, May 17, 2008 7:49 AM
> >
> > To: dingo
> >
> > Cc: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.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.amibroke <http://www.amibroker.org/userkb/>
r.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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com] On
> Behalf Of Herman
> >
> > Sent: Saturday, May 17, 2008 7:40 AM
> >
> > To: dingo
> >
> > Cc: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.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.amibroke <http://www.amibroker.org/userkb/>
r.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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.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
> >
>
>
>
>
> _____
>
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