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Having read this interesting thread begun last week, I'd like to
continue it with a follow-on question/comment that I think, if TJ were
to implement it, would make Amibroker infinitely more useful to the
actual trader. It would be awesome if we could have simple-to-use AFL
functions that read AFL backtest metrics directly. Adding a lookback
period would make them immensely more useful as indicators. What I am
suggesting is to have a function like:
getEquityMetric ( MetricName,LookBackPeriod);
The example code provided by TJ gives us only the cumulative value of
each metric. What I'm suggesting is to go beyond this one cumulative
output number and create metric arrays with a specified lookback
period. Then, when we plot these metrics in an indicator, we can
visually look for correlations with price charts. For example, one
could plot winning trades/month and see if they change with trend. Or
one could look at AverageWin or UPI and see how that changes with
trend. These are all correlations that are best analyzed visually (in
an Indicator) but can ONLY be analyzed if we have access to these
metrics for variable lookback periods.
Another use for these functions would be as a positionscore in a
trading system. What better way is there to select tickers/systems to
trade than the actual performance of those tickers or systems? The
procedure may require a preliminary scan/exploration to create metric-
composites that can be read by the trading system and used as a
positionscore. Critical here is that the metric can be read for any
specified lookback period, i.e. 10 bars, 100 bars, etc. So the
function must have a period argument, which is the most important
factor. We already have equity(). Why not expand this with the other
backtest metrics?
Undoubtedly, all this can be implemented using the custom backtester,
but this solution probably excludes >95% of all AmiBroker users.
TJ, would this be possible to implement?
Al Venosa
--- In amibroker@xxxxxxxxxxxxxxx, "Herman" <psytek@xxx> wrote:
>
> Thank you TJ :-) you saved the day once more !
>
> Great stuff.
>
> If someone is wondering why I wanted this program... You can design
trading
> systems and use performance metric arrays as powerful Indicators. It
is
> somewhat similar to trading the equity curve. Price arrays can have
> qualities that can make your trading systems fail but that are
undetectable
> with traditional indicators.
>
> However, you can design small trading systems that target specific
price
> characteristics, like patterns, trends, volatility, cycles, etc.
Using the
> code below gives you statistical information about these
characteristics in
> a form that can be plotted, and be used in other trading systems.
>
> Thanks everyone for your help!
> have a great trading day!
> herman
>
> // Demo trading system
> Short = Cover = 0;
> Buy = Cross( MACD(), Signal() );
> Sell = Cross( Signal(), MACD() );
> // Using the CBT to retrieve/save metrics
> if( Status("action") == actionBacktest ) 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 5:49 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [SPAM]Re: [SPAM]Re: [amibroker] How to save Metrics in
Composites
> for Individual BTs
>
>
> 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 -----
> From: Herman
> To: amibroker@xxxxxxxxxxxxxxx
> 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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