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RE: [amibroker] Re: System Performance Indicators [was: Can someone fix this OLE code?]



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Personally I only use performance metrics in the following ways …

 

-          As feedback to know how my in sample performs i.e. an initial milestone

-          As additional feedback to compare out of sample results with in sample and/or to constant yardsticks to get a feel for whether or not a system is tradable

-          As ongoing feedback to determine whether or not it is time to reoptimize and/or redevelop

 

I’ve been down the road you are on but for me it was in essence a dead end.  I hope you have better success with it.

 


From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman
Sent: Thursday, May 22, 2008 6:40 AM
To: Fred Tonetti
Cc: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: System Performance Indicators [was: Can someone fix this OLE code?]

 

Thank you very much Fred,

 

When using performance metrics in system design they have (imo) more meaning if they should be based on single price/equity arrays. I think that portfolio metrics should not be used for anything else then to tell you how your portfolio system performs. 

 

herman

 

For tips on developing Real-Time Auto-Trading systems visit:

http://www.amibroker.org/userkb/

 

Wednesday, May 21, 2008, 5:50:54 PM, you wrote:

 

> 

Herman,

 

I modified the script to allow running Explore’s as well as the variety of different types of Backtests and Optimizes all based on the command line arguments you supply

 

See the notes at the top of the Script as to how to use and the default values.

 

I also renamed the Script to RunAA since that is now more appropriate.

 

Individual Backtests appear to run significantly faster than Portfolio oriented ones.

 

Fred

 


From: amibroker@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.comOn Behalf Of Herman

Sent: Thursday, May 22, 2008 5:09 AM

To: Fred

Subject: Re: [amibroker] Re: System Performance Indicators [was: Can someone fix this OLE code?]

 

Yes, sorry should have been more explicit. The code works nice and there are possibilities to running the code from the tools menu. But this would require Explores and Backtests.  Not enough time to try all the new ideas :-) This is the code you posted:

 

RunType    = "BACKTEST"

Times      = 1

Refresh    = 0.25

ShowAA     = 1

 

Set oArgs = WScript.Arguments

 

For i = 0 to oArgs.Count - 1

    Arg = Split(oArgs(i), "=")

    Arg(0) = UCase(Trim(Arg(0)))

    If Arg(0)     = "RUNTYPE" Then

        RunType = UCase(Arg(1))

    ElseIf Arg(0) = "TIMES" Then

        Times   = CCur(Arg(1))

    ElseIf Arg(0) = "REFRESH" Then

        Refresh = CCur(Arg(1))

    ElseIf Arg(0) = "SHOWAA" Then

        ShowAA  = CCur(Arg(1))

    End If

Next

 

Set oAB = CreateObject("Broker.Application")

Set oAA = oAB.Analysis

oAA.ShowWindow(ShowAA)

 

BegTime = Now()

 

While Times >= 0

    If RunType = "OPTIMIZE" Then

        oAA.Optimize(0)

    Else

        oAA.Backtest(0)

    End If

    If Refresh > 0 Then

        WScript.Sleep Refresh * 1000

    End If

    Times = Times - 1

Wend

 

EndTime = Now()

 

MsgBox CStr(BegTime) + vbCrLf + CStr(EndTime), 0, "BackTest"

 

////////////

 

For tips on developing Real-Time Auto-Trading systems visit:

http://www.amibroker.org/userkb/

 

Wednesday, May 21, 2008, 12:27:50 PM, you wrote:

 

> Herman,

 

> Are you referring to the script I wrote ?

 

> = = = = = = = = = = = = = = =

 

> Hello Fred, can you tell me:

 

> 1) How do i make your code run individual backtests on a watchlist? It

> default to portfolio BTs.

 

> 2) How do I modify the code to run an explore?

 

> Many thanks!!!

 

> herman

 

 

 

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http://www.amibroker.com/devlog/

For other support material please check also:
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