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Did you try it using the individuak backtester ? ----- Original Message ----- From: Herman
Date: Thursday, July 24, 2008 2:51 pm
Subject: RE: [amibroker] Re: How to save Metrics in Composites for Individual BTs
To: amibroker@xxxxxxxxxxxxxxx
> 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" 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 );
> >
>
>
>
> ------------------------------------
>
> 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
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>
>
>
>
>
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
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