RE: [amibroker] Re: How to save Metrics in Composites for Individual BTs

["Herman" <psytek@xxxxxxxx>]

Thanks Mike,

I tried that and various other things, changed the ATCFlags for Backtester,
used actionBacktest, etc. No Go.

thanks,
herman

-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On
Behalf Of Mike
Sent: July 24, 2008 2:28 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: How to save Metrics in Composites for
Individual BTs


Herman,

If running the script using the Backtest on individual symbols (i.e.
not as portfolio), couldn't you just construct the name as part of
the script?

Sorry that I haven't actually tried this out first (no AmiBroker on
this machine). But, I believe the script would only ever apply to a
single ticker at a time. If so, it should work.

Mike

e.g.

// Demo trading system
Short = Cover = 0;
Buy=Cross( MACD(), Signal() );
Sell=Cross( Signal(), MACD() );

atcName = "~~~UI_"+Name(); // <-- Name of single ticker in use

// Using the CBT to retrieve/save metrics
SetOption("UseCustomBacktestProc", True );
if( Status("action") == actionPortfolio )
{
  bo = GetBacktesterObject();
  bo.PreProcess();
  MyHistStat1 = Null;

  for(bar=0; bar < BarCount; bar++)
  {
   bo.ProcessTradeSignals( bar );
   stats = bo.GetPerformanceStats( 0 );
   MyHistStat1[ bar ] = stats.GetValue("UlcerIndex"); // any metric
  }

  bo.PostProcess();
  AddToComposite( MyHistStat1, atcName, "X", atcFlagEnableInPortfolio
| atcFlagDefaults ); // <-- Signals are all on single ticker at a time
}

PlotForeign(atcName, "UlcerIndex Historical", colorRed, styleLine );


--- In amibroker@xxxxxxxxxxxxxxx, "Herman" <psytek@xxx> wrote:
>
> Some time ago Tomasz posted the code below (simplified) on the KB.
Would
> anyone know how to modify this code to save the metrics for
individually
> backtested tickers? Composites would be named like "UI_"+Name(). I
want to
> run individual backtests over a watchlist and save ticker-specific
metrics
> in composites. The metrics would be read/used in another trading
system.
>
> many thanks for any help you can give!
> herman
>
> // Demo trading system
> Short = Cover = 0;
> Buy=Cross( MACD(), Signal() );
> Sell=Cross( Signal(), MACD() );
>
> // Using the CBT to retrieve/save metrics
> SetOption("UseCustomBacktestProc", True );
> if( Status("action") == actionPortfolio )
> {
>   bo = GetBacktesterObject();
>   bo.PreProcess();
>   MyHistStat1 = Null;
>
>   for(bar=0; bar < BarCount; bar++)
>   {
>    bo.ProcessTradeSignals( bar );
>    stats = bo.GetPerformanceStats( 0 );
>    MyHistStat1[ bar ] = stats.GetValue("UlcerIndex"); // any metric
can be
> retrieved
>   }
>
>   bo.PostProcess();
>   AddToComposite( MyHistStat1, "~~~UI_HISTORICAL", "X",
> atcFlagEnableInPortfolio | atcFlagDefaults );
> }
>
> PlotForeign("~~~UI_HISTORICAL", "UlcerIndex Historical", colorRed,
> styleLine );
>



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