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TJ,
just as a follow-up: Have you found any possible reason regarding this
weird behaviour? As mentioned, it occurs not only with my code but also
with yours. I've just performed a new WF test with the same data - now
with start date 01/01/2000 - and this time I got {EMPTY} values for
CAR(%) and ME(%) using my code.
Am I really the only one with these problems?
Best regards,
Thomas
> 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-portfoli
> > >> >> >>o- 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
>
> ------------------------------------
>
> 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.
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