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Dear TJ and Fred:
Thank you for these suggestions. However, what I am asking for is a simple AFL function in which we can specify the lookback period for the metric in question, nothing more. To observe the difference, you can simply substitute an MA() for the required function, as shown below. When you view the graph, you will see, I think, what I am talking about.
Plot(C,"",1,128);
Plot(MA(C,50),"FixedLookBack",colorRed,1); // the requested solution
Plot(MA(C,BarIndex()),"ExistingNow",colorBlue,1); // TJ's and Fred's solution.
I believe what TJ has suggested, if I am interpreting it correctly, is that I would be running a backtest for each bar in a loop, which would be complex and very slow. Maybe I'm asking the same thing. If so, tell me, and I'll desist. An alternative solution is to use the Walk Forward Individual Backtester to implement a system that uses performance metrics as position score.
BTW, Fred, are you willing to share the complete working code for your 2-line export?
Thank you. Al V.
On 7/28/08, Tomasz Janeczko <groups@xxxxxxxxxxxxx> wrote:
Hello,
It is doable with custom backtester and not so
complicated.
As described in detail here:
You have direct access to ANY backtest performance metric
using
GetPerformanceStats() function of backtester
object.
There is no obstacle in calling it every bar and storing the
result in the array if you wish.
Let say you want UPI as array.
// your
trading system here
Buy = ...
Sell =
...
SetCustomBacktestProc("");
/* Now custom-backtest procedure follows
*/
if( Status("action") == actionPortfolio )
{
UPI = 0;
bo = GetBacktesterObject();
bo.PreProcess();
for( bar = 0; bar < BarCount; bar++ )
{
bo.ProcessTradeSignals( bar );
st =
bo.GetPerformanceStats(0);
// get stats for all trades
UPI[ bar
] = st.GetValue("UlcerPerformanceIndex");
}
bo.PostProcess();
AddToComposite( UPI, "~~~UPI", "X", atcFlagDefaults | atcFlagEnableInPortfolio );
}
Now ~~~UPI ticker will contain bar-by-bar values
of Ulcer Performance Index.
As for "specifying lookback period" it is doable by creating
Xth composites (and X backtests) each containing values for
specified
lookback period.
As for Equity() - this is SINGLE security (OLD) backtest. It
has no comparision to portfolio level backtest that
must go through entire portfolio. The complexity of
portfolio backtest is Nth times the single security backtest
where N is number of symbols in portfolio. Therefore it is not
feasible to be calculated on-the-fly in real time like
single-security backtest (i.e. Equity()).
----- Original Message -----
Sent: Monday, July 28, 2008 1:02 AM
Subject: Re: [amibroker] Re: How to save
Metrics in Composites for Individual BTs
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@xxxxxxxxxxxxx>
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@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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