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Hello,
If you want to duplicate (I don't know for what purpose, but anyway), these descriptions:
http://www.amibroker.com/guide/w_report.html
are perfectly adequate.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "brian_z111" <brian_z111@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, May 19, 2008 12:12 AM
Subject: [amibroker] Re: System Performance Indicators [was: Can someone fix this OLE code?]
> Also,
>
> I know that people in the past have asked you (Tomasz) to provide the
> equations that you use for calculating your metrics/indicators in
> more detail and from memory I don't think you want to say anything
> extra about it (proprietry info?).
>
> Personally I think you should take the risk and give full
> transperancy.
> The fact is that I can go to the text books and calc my own metrics
> from first principles BUT then I have to try and guess exactly what
> you have done (in house), see if it matches my efforts and then try
> to explain any differences (this drives me crazy because it uses up
> so much time on bread and butter issues).
>
> d- yes I read on after I posted - thanks.
>
> Re scripting - my opinion is that it is not that hard and it isn't
> getting the attention it deserves - I intend learning it - I believe
> there is some payback there.
>
> BTW - what do we do for srcipting if we use a Mac - what do we use
> instead of WSH?
>
> brian_z
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>>
>> 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@>
>> 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
>> >
>>
>
>
>
> ------------------------------------
>
> 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
>
>
>
------------------------------------
Please note that this group is for discussion between users only.
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