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Herman,
You forgot the CORRECTION I mentioned:
StaticVarSetText( "Symbol", Name() ); must NOT be called unconditionally,
but THIS way:
=====================================================================
if( Status("action") == actionBacktest ) StaticVarSetText( "Symbol", Name()
);
==============================================================
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Friday, July 25, 2008 11:36
AM
Subject: RE: [SPAM]Re: [amibroker] How to
save Metrics in Composites for Individual BTs
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 );
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