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TJ,
yes, I am.
One additional info (I don't know if it matters): I'm running AB under
WinXP in a Virtualbox VM on a Linux host.
Best regards,
Thomas
> 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
>
>
>
------------------------------------
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SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
http://www.amibroker.com/support.html
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