|
Hello,
As far as concatenated OOS is
considered, things depend on which metrics
do you really want.
That is so
because some metrics accumulate nicely so
you can simply add them up (either
using AddToComposite or
just adding multiple Foreign() calls).
Some
metrics are derived directly from equity (Drawdown, sharpe ratio,
UlcerIndex)
and can be calculated directly using plain AFL formula working
on
IS or OOS equity.
For example CAR/MDD for out-of-sample
test OOS:
Symbol = "~~~OSEQUITY"; // change the ticker to your preference
eq = Foreign( Symbol, "C" );
if( Name() != Symbol ) Title = "You should change symbol to " + Symbol;
function TotalDays()
{
yy = Year();
dy =
DayOfYear();
LastLeapYear =
(yy % 4) == 1 && yy != 2001;
YearChg = yy != Ref(yy, -1);
YearChg = IIf(IsNull(YearChg), False, YearChg);
YearLen = IIf(YearChg, IIf(LastLeapYear, 366, 365), 0);
return Cum(YearLen) + dy - dy[0];
}
dr = 100 * ( eq/Highest(eq) - 1);
profit = 100 * ( eq/eq[0] - 1 );
td = TotalDays();
Days = td[ BarCount - 1 ] - td[ 0 ];
Car = 100 * ( ( eq / eq[ 0 ] ) ^ ( 365
/ Days ) - 1 );
//Plot( dr, "DD%", colorRed );
//Plot( Lowest(dr), "Max DD%", colorBlue
);
//Plot( profit, "Profit %",
colorGreen );
//Plot( Car, "CAR", colorDarkGreen
);
Plot( Car/Highest( -dr ), "CAR/MDD", colorOrange );
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
From: "Thomas
Ludwig" <Thomas.Ludwig@xxxxxx>
To:
<amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, May 19, 2008 12:02
PM
Subject: Re: [amibroker] Plotting historical portfolio backtest metrics in
INDICATOR
> TJ,
>
> thanks a lot - very
helpful!
>
> However, I'd be happy if you could also present a
solution how do do
> something similar for the concatenated IS and OOS
equity curves in a WF
> test - see my posts #123921 and 123945. I don't
think this can be done
> with the custom backtester.
>
>
Best regards,
>
> Thomas
>
>
>>
Hello,
>>
>> To show you how easy it is to actually PLOT ANY
portfolio backtest
>> metric as a historical series in INDICATOR,
without using script, OLE
>> - just PURE AFL I prepared
this:
>>
>>
http://www.amibroker.com/kb/2008/05/19/historical-portfolio-backtest-
>>metrics/
>>
>>
This addresses the following goals:
>> a) having ANY portfolio backtest
metric available as historical
>> series for use ANYWHERE (in indicator
or wherever) b) plotting
>> backtest metrics in INDICATORS and doing
this FAST (without constant
>> recalculation) c) using only pure AFL
for that
>>
>> Best regards,
>> Tomasz
Janeczko
>> amibroker.com
>>
>>
------------------------------------
>>
>> 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.
>
> 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@xxxxxxxxxxxxxxx
> mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
>
> <*> To unsubscribe from this group, send an email
to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> <*> Your use of Yahoo! Groups is subject
to:
>
http://docs.yahoo.com/info/terms/
>
__._,_.___
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
![]()
__,_._,___
|