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

["Tomasz Janeczko" <groups@xxxxxxxxxxxxx>]

It will work OK.

Individual backtest *is* portfolio backtest but just portfolio consisting of one symbol at a time.

 

Note that one should select "Individual Backtest" (not "OLD" backtest) from AA->Backtest drop down.

 

One correction though

StaticVarSetText( "Symbol", Name() );

 

should be called only when NOT in portfolio mode

 

so

 

if( Status("action") == actionBacktest ) StaticVarSetText( "Symbol", Name() );

 

// 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_" + StaticVarGetText( "Symbol" ) + "_HISTORICAL", "X", atcFlagEnableInPortfolio | atcFlagDefaults );
}

----- Original Message -----

From: Paul Ho

To: amibroker@xxxxxxxxxxxxxxx

Sent: Friday, July 25, 2008 4:45 AM

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

 First of all. You use Status{"action") == actionPortfolio, individual backtest wont go through there.

---

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman
Sent: Friday, 25 July 2008 9:31 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] How to save Metrics in Composites for Individual BTs

Thank you Tomasz, but this code still does not work. I changed the StaticVar to the Text type.

Can you help some more ... ?  or does anyone else see the problem?

TIA,
Herman

StaticVarSetText( "Symbol", Name() );
// 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_" + StaticVarGetText( "Symbol" ) + "_HISTORICAL", "X", atcFlagEnableInPortfolio | atcFlagDefaults );
}
PlotForeign( "~~~UI_HISTORICAL", "UlcerIndex Historical", colorRed, styleLine );

-----Original Message-----
From: amibroker@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com]On Behalf Of Tomasz Janeczko
Sent: July 24, 2008 3:00 PM
To: amibroker@xxxxxxxxxps.com
Subject: [SPAM]Re: [amibroker] How to save Metrics in Composites for Individual BTs


The same code. The only distinction is that you need to run INDIVIDUAL backtest
and use Static variable to save name

StaticVarSet Text ("Symbol", Name() );
// 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_" + StaticVarGet Text ("Symbol") + "_HISTORICAL", "X", atcFlagEnableInPortfolio | atcFlagDefaults );
}

PlotForeign("~~~UI_HISTORICAL", "UlcerIndex Historical", colorRed, styleLine );

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