|
PureBytes Links
Trading Reference Links
|
You are using v5.09, aren't you?
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Thomas Ludwig" <Thomas.Ludwig@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, May 20, 2008 8:09 PM
Subject: Re: [amibroker] Plotting historical portfolio backtest metrics in INDICATOR
> TJ,
>
> the answer is yes, yes and yes. The strange thing is that yesterday only
> DD% and Max DD% were displayed, but today - with the same IS and OOS
> data and code unchanged - all metrics were displayed. A caching
> problem?
>
> The same problem occurred when I performed a WF test for the DAX from
> 01/01/1996 (IS perod 1 year, step 3 months). A applied the code added
> below - all metrics were displayed with the exception of CECPP which
> showed an {EMPTY} value.
>
> In the next step I changed the WF start period to 01/01/1990 (IS again 1
> year, step 3 months) - and this time CECPP value was diplayed but I got
> {EMPTY}values for CAR(%), ME(%) and WFE(%) instead!
>
> I also applied your code and got {EMPTY}values for Profit%, CAR and
> CAR/MDD.
>
> I'm completely confused ...
>
> Best regards,
>
> Thomas
>
> Here's my code:
>
> PlotForeign("~~~ISEQUITY","In-Sample Equity", colorRed, styleLine);
> PlotForeign("~~~OSEQUITY","Out-Of-Sample Equity", colorGreen,
> styleLine);
> RelPerfI=Foreign("~~~ISEQUITY","c")/C;
> RelPerfO=Foreign("~~~OSEQUITY","c")/C;
> if(ParamToggle("Show Rel.Perf Equity", "No|Yes",0))
> Plot(RelPerfI, "Rel.Perf. InSample", colorRed,styleDots|styleThick|
> styleOwnScale) AND Plot(RelPerfO, "Rel.Perf. OutSample",
> colorGreen,styleDots|styleThick|styleOwnScale);
>
> iseq=Foreign("~~~ISEQUITY", "C");
> oseq=Foreign("~~~OSEQUITY", "C");
> //x=LastValue(Cum(1));
> x = LastValue(BarIndex());
>
>
> function FirstBarIndex(Condition)
> {
> TotalBarsIndex = LastValue(BarIndex());
> a = 0;
> Counter = 0;
> for (a = 0 ;a < TotalBarsIndex; a++)
> {
> Counter = Counter+1;
> if (
> IsTrue(Condition[a])
> )
> a = TotalBarsIndex;
> }
> result = Counter-1;
>
> return result;
> }
>
> isfirst=FirstBarIndex(iseq);
> osfirst=FirstBarIndex(oseq);
>
> isTotalBars=x-isfirst;
> osTotalBars=x-Osfirst;
>
> isSlope = LinRegSlope(iseq,istotalbars);
> osSlope = LinRegSlope(oseq,ostotalbars);
>
> lastbar = BarIndex();
> //lastbar = bar; //LastValue( ValueWhen( islastbar, bar ) );
>
>
> //isfirstbar = LastValue( ValueWhen( isfirst, bar ) );
> al = LastValue( ValueWhen( lastbar, LinRegSlope( iseq, Lastbar - isfirst
> + 1 ) ) );
> bl = LastValue( ValueWhen( lastbar, LinRegIntercept( iseq, Lastbar -
> isfirst + 1 ) ) );
> isLr = al * ( BarIndex() - isfirst ) + bl;
> //isLr = IIf( lastbar >= isfirst AND lastbar <= lastbar , isLr, Null );
>
> //firstbar = LastValue( ValueWhen( isfirst, bar ) );
>
> a2 = LastValue( ValueWhen( lastbar, LinRegSlope( oseq, Lastbar - osfirst
> + 1 ) ) );
> b2 = LastValue( ValueWhen( lastbar, LinRegIntercept( oseq, Lastbar -
> osfirst + 1 ) ) );
> osLr = a2 * ( BarIndex() - osfirst ) + b2;
> //osLr = IIf( lastbar >= osfirst AND lastbar <= lastbar , osLr, Null );
>
>
>
> if( ParamToggle("Show lin. reg.", "No|Yes", 0 ) )
> Plot( isLr , "Linear Reg", ParamColor( "ISLinReg Color",colorCycle),
> styleThick )
> AND Plot( osLr , "Linear Reg", ParamColor( "OOSLinReg Color",
> colorCycle), styleThick );
>
> //K-Ratio
> iskratio=10000*isSlope/(StdErr(iseq,istotalbars)*istotalbars);
> oskratio=10000*osSlope/(StdErr(oseq,ostotalbars)*ostotalbars);
>
> //CAR
> isCAR=100*((LastValue(iseq)/iseq[0])^(252/isTotalBars) -1);
> osCAR=100*((LastValue(oseq)/Oseq[0])^(252/osTotalBars) -1);
>
> //Drawdown
> isdr=100*(LastValue(iseq)/Highest(iseq)-1);
> osdr=100*(LastValue(oseq)/Highest(oseq)-1);
> ismaxdr=Lowest(isdr);
> osmaxdr=Lowest(Osdr);
>
>
> //Walk-Forward Efficiency
> WFE=100*OsCAR/isCAR;
>
> //Perfect Profit
> //PP=Cum(abs(C-Ref(C,-1)));
>
> if(ParamToggle("Long AND SHORT?", "No|Yes",0))
> //PP=Cum(IIf(C-Ref(C,-1)>0,C-Ref(C,-1),0));
> //else
> //PP=Cum(abs(C-Ref(C,-1)));
> PP=Cum(Max(abs(H-Ref(L,-1)),abs(L-Ref(H,-1))));
> else
> PP=Cum(IIf(H-Ref(L,-1)>0,H-Ref(L,-1),0));
> InitialEquity = GetOption("InitialEquity");
> PE=PP+InitialEquity;
> if( ParamToggle("Show Perfect Profit", "No|Yes", 0 ) )
> Plot(PE,"Perfect Profit",colorBlue);
>
> isCECPP=Correlation(iseq,PP,isTotalBars);
> osCECPP=Correlation(oseq,PP,osTotalBars);
>
> //Model Efficiency
> isProfit=LastValue(iseq)-iseq[0];
> OsProfit=LastValue(Oseq)-oseq[0];
> isME=100*isProfit/PP;
> OsME=100*OsProfit/PP;
>
>
> Title = "{{NAME}} - {{INTERVAL}} {{DATE}} {{VALUES}}"
> +"\n IS Slope: " + WriteVal(isSlope,1.1)+"
> K-Ratio: "+WriteVal(iskratio)+" CAR(%): "+WriteVal(isCAR,1.1)
> +" Max DD(%): "+WriteVal(ismaxdr,1.1)+"
> ME(%): "+WriteVal(isME,1.1)+"
> CECPP: "+WriteVal(isCECPP) //+"Days"+WriteVal(istotalbars)
> +"\n OOS Slope: " + WriteVal(OsSlope,1.1)+"
> K-Ratio: "+WriteVal(oskratio)+" CAR(%): "+WriteVal(osCAR,1.1)
> +" Max DD(%): "+WriteVal(osmaxdr,1.1)+"
> ME(%): "+WriteVal(osME,1.1)+"
> CECPP: "+WriteVal(osCECPP) //+"Days"+WriteVal(ostotalbars);
> +"\n WFE(%): "+WriteVal(WFE,1.1);
> //+"\n PP: "+WriteVal(PP)
> //+"\n isProfit "+WriteVal(isprofit)
> //+"\n osProfit "+WriteVal(osprofit);
>
>> 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-bac
>> >> >>kte 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
>>
>>
>>
>
>
> ------------------------------------
>
> 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/
|