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As I stated in my last … This could also
be done in the CBI as well since both Equity and the Trade List are available
there at the High Level …
Whether one chooses to look at it in that
manner or via OLE/Automation where …
oAA.Backtest(0)
oAA.Export(filename)
… would create ~~~Equity and put the
Trade List in a file which could then be read back to build arrays based on trade
entry / exit / win / loss etc by BarIndex() ...
Either of these methodologies results in
similar initial arrays that can be used to calculate whatever performance
metrics one is interested in over whatever timeframe.
My usage of stuff like this in IO was
limited, for the moment at least, to the metrics that can be generated via
Equity() alone i.e. CAR, MDD’s, UPI, UI FlatEquity etc … initially more
because of laziness then anything else … and also because I couldn’t
come up with a good reason to have the other trade oriented metrics in the OOS
period as a determining factor of whether or not it was time to reoptimize …
I’m sure at some point either I or some user will and then I’ll add
the rest …
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Al Venosa`
Sent: Sunday, July 27, 2008 8:12
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: How
to save Metrics in Composites for Individual BTs
Pardon
the hyperbole on the use of the word "bonanza," but at least you saw
it as stuff rather than fluff. :-)) Your new IO feature sounds pretty cool,
Fred. I'll be interested in seeing it once it is finished. One of the features
of the suggestion I wrote was to use the putative function as a type of
positionscoring technique for selecting tickers for a given system or for
selecting a system among several. Will your IO implementation be able to do
this sort of thing?
Al V.
On 7/27/08, Fred Tonetti <ftonetti@xxxxxxxxxxnet> wrote:
Bonanza ? … Maybe
… Although features like this are more stuff than fluff which
unfortunately isn't for the most part what typically attracts newbies …
I actually have something
like what you suggest half implemented for a new feature I did in IO v3.0 which
was to allow the WF period length to be predicated on performance metric
related conditions occurring in the OOS. From your original description
it would appear this is the same sort of thing you are looking to do possibly
with some additional twists to it.
Thanks, Fred, but I haven't a clue how to do
OLE/Automation, and I wonder how many AB users out there really do. That's why
I was calling for a simple, non-painful, easy-to-use AFL function that would do
this for the non-techie/programmer, and if it existed, AB would be the
only trading software out there that would be able to do this. I bet It would
be a profit bonanza for TJ.
Al V.
On 7/27/08, Fred Tonetti <ftonetti@xxxxxxxxxxnet>
wrote:
I agree that this would
be nice to have as directly as you have laid out …
However, while somewhat painful,
one can with Equity() and a list of trades calculate all the performance
metrics as of any given bar or if you prefer as arrays of values …
This could be fully
automated with OLE/Automation
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@xxxxxxxxxps.com,
"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@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]On
Behalf
> Of Tomasz Janeczko
> Sent: July 25, 2008 5:49 AM
> To: amibroker@xxxxxxxxxps.com
> 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@xxxxxxxxxps.com
> 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@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]On
Behalf
> Of Tomasz Janeczko
> Sent: July 25, 2008 4:08 AM
> To: amibroker@xxxxxxxxxps.com
> 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@xxxxxxxxxps.com
> 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@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]
On Behalf
> Of Herman
> Sent: Friday, 25 July 2008 9:31 AM
> To: amibroker@xxxxxxxxxps.com
> 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@xxxxxxxxxps.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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