Hello
Paul,
you are
absolutely correct, it ought to be as simple as running this code in an
Indicator:
....systems
code...
E
= Equity(1); //
This function would be called once only
NP
= NetProfit(E);
// New AFL functions that return ARRAYs based on the equity Array
NPP =
NetPercentProfit(E)
CA
= CAR(E)
RA
= RAR(E)
MaxTradeDD
= ... and so on for all performance metrics.
...
second level of systems code using the above metrics for system analysis, signal
generation, position scoring, position sizing, etc. ...
The so
called solutions discussed in this thread either do not provide the above
arrays for use in auto-refreshing indicators, or require a thousand lines of
code written by a professional programmer.
best
regards,
herman
For tips
on developing Real-Time Auto-Trading systems visit:
http://www.amibroker.org/userkb/
Sunday,
May 18, 2008, 10:50:31 PM, you wrote:
> Herman,
> I think I know where you are coming from. The
difference between
> using indicators vs scripts is that indicators
continue to
> recalculate ( or in this case backtest) as new
data arrives.
> One way to broker the impass with Tomasz is
consider simple profolio
> backtesting as an AFL function. Rather than using
OLE, This option is
> write a function similar to Equity() in which the
symbols in a
> watchlist is read and backtested.
>
> I think this function could be done in AFL today
using the various
> functions already available. ie CategoryGetSymbol
to get the symbols,
> foreign to set foreign symbol, the equity()
function to get rid of
> excess signals etc. Of course, you have to do your
own ositionscoring
> and position sizing. Since Fred has done this
before, may be he can
> comment further or if he is generous enough, dig
out his code and
> post it again.
> Essentially, this function can be called in your
indicator afl. In
> that way, you can have your pie and eat it as
well. I'm sure if
> Tomasz sees a use in it, he will incorporate in
his list of functions
> to do in the future.
> What do you think?
> Regards
> Paul.
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