|
PureBytes Links
Trading Reference Links
|
Did you run WF test? Do you have ~~~OSEQUITY ticker ? The code will
work only AFTER WF. Did you change selected symbol to ~~~OSEQUITY?
It won't work without that.
If you want to use it on regular equity, you need to change the first line of the code
to Symbol = "~~~EQUITY";
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Thomas Ludwig" <Thomas.Ludwig@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, May 19, 2008 7:40 PM
Subject: Re: [amibroker] Plotting historical portfolio backtest metrics in INDICATOR
> TJ,
>
> I don't get any values for Profit, CAR and CAR/MDD. Any idea why?
>
> 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
>
>
>
------------------------------------
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/
|