|
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.
> ------------------------------------
> 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@xxxxxxxxxps.com
> mailto:amibroker-fullfeatured@yahoogroups.com
> <*> To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxcom
> <*> Your use of Yahoo! Groups is subject to:
> http://docs.yahoo.com/info/terms/
|