|
PureBytes Links
Trading Reference Links
|
TJ,
thank you very much!
Just one additional question regarding the calculation of the K-Ratio.
I've been using this formula (using the notation in your code below):
K-Ratio=LinRegSlope(eq,td)/(StdErr(eq,td)*td);
Is this correct/equivalent to how AB does it? I'm afraid it's not
because I have to multiply it with 10000 or so to get a readable
number.
Best regards,
Thomas
> 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-backte
> >>st- 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
------------------------------------
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/
|