[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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



PureBytes Links

Trading Reference Links

Still NO GO.

I am loading the code in the AA, select a watchlist, run an Individual backtest, and Refresh the WorkSpace. I get the BT report with individual results. I get two Composites in my Composites Group. One is named ~~~EQUITY, the other ~~~UI_~~~EQUITY. The first makes sense but the second indicates that the StaticVar does not return the ticker name.

>> It appears that in this code the function Name() returns "~~~EQUITY" and does not return the name for the ticker being tested, it behaves as if the ~~~EQUITY composite is the ticker being tested.

Can anyone confirm this?
 
Thanks again!
Herman 


// Demo trading system
Short = Cover = 0;
Buy = Cross( MACD(), Signal() );
Sell = Cross( Signal(), MACD() );
// Using the CBT to retrieve/save metrics
StaticVarSetText( "Symbol", Name() );
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" ), "X", atcFlagEnableInPortfolio | atcFlagDefaults );
}
PlotForeign( "~~~UI_"+Name(), "UlcerIndex Historical", colorRed, styleLine );




-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf Of Tomasz Janeczko
Sent: July 25, 2008 4:08 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [SPAM]Re: [amibroker] How to save Metrics in Composites for Individual BTs


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@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf Of Tomasz Janeczko
Sent: July 24, 2008 3:00 PM
To: amibroker@xxxxxxxxxxxxxxx
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 );

__._,_.___

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




Your email settings: Individual Email|Traditional
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch to Fully Featured
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe

__,_._,___