Herman
I really can't see the difficulty to achieve any of these, see my reply
below.
________________________________
From: amibroker@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]
On Behalf Of Herman
Sent: Tuesday, 29 July 2008 11:32 AM
To: amibroker@xxxxxxxxxps.com
Subject: RE: [amibroker] Re: How to save Metrics in Composites for
Individual BTs
Hello Fred,
Putting technical problems and limitations aside it is clear to me
that having access to period-based performance metrics is critical in
trading.
[I don't see a lot of technical difficulty. See my previous post on ONE way
to do this. There probably a few other ways to do it I can think of.]
Since the Equity curve is based on system performance it makes common sense
that performance metrics will lead on the Equity. Most performance metrics
can't be extracted from the equity curve; they are lost at that
summary-stage. For example, DrawDown is the result of advanced system
failure; it might very well have been possible to detect the upcoming
failure (DD) by looking at some very basic metrics. Simply looking at the
number of winning trades or profit/trade, might have alerted us. Using more
sophisticated metrics, like a period based UPI Indicator, we might have seen
a very clear and gradual system failure. All this is especialy true for
faster trading systems where metrics become very smooth indicators.
To look at metrics for the entire duration of the backtest may come
in handy during development however during real trading it is useless. It is
simply due to a reluctance to break with tradition (a problem for most
traders) that we don't have period-based performance indicators today. They
are long overdue. Sure, they they are 'doable' in AmiBroker, but how many
users would be able to write such code? In my opinion not more that 1%. To
develop systems efficiently we need basic afl tools; no one wants to spend
two months learning OLE only to find out that it doesn't fill the
requirement or is to complicated for the user. Same for the CBT, who wants
to spend two months learning it just to test and idea that may or may not
work? Time is precious...we want to trade, not become professional
programmers.
[firstly it doesn't take 2 months, probably wont even be 2 weeks. Secondly
it doesn't have to involve OLE as far as I can gather, though OLE is clearly
useful in other area that I am finding out for myself. Thirdly, trading is a
lifetime persue, not a five minute flash in the pan. While only Tomasz will
know fully, I suspect, do what you say as a "simple" function outside
CBT
would involve storing heaps of unnecessary data, Who is then paying for the
penalty of that?. Inside CBT its relatively simple to create. But you will
still need to learn CBT. By the way, Is there any other software out there
that can do this sort of things. And in AB it is readily available, with
just a few lines. What is the problem?]
A few common applications for metric indicators are:
1) When trading a number of different systems one wants to know
early when a system starts to fail. How else can one make a timely switch?
Just like you may want to trade funds with a rotational system you want to
rotate the trading systems themselves.
2) It is very common for trading systems to fade in and out of
performance. To detect when a trading system fails and to switch to another
system requires, again, monitoring system performance metrics. imo, There is
just no other way around it.
3) And of course we want to know when a ticker loses its character
and stops working. Here again performance metrics might be the best way to
detect ticker failure.
A function like getPerformanceMetric ( MetricName, LookBackPeriod)
would find wide application. Most people think right away of portfolio
trading however performance metrics should be calculated for individual
stocks, they will lose their meaning if derived from portfolio results.
I am not saying that it is easy to design such indicators, perhaps
it is extremely difficult. But that doesn't remove the need for them.
Just my two cents worth :-)
Best regards,
herman
[a lot of what you have asked for can be readily derived from the equity
curve, without even going through CBT, while the rest is a just a few lines
in CBT, plus a function or two outside. Recently I helped somebody code the
UI for individual stocks, 5 lines of AFL, that's all. I just wonder if this
is a mountain, or a mole hill]
-----Original Message-----
From: amibroker@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]On
Behalf Of Fred Tonetti
Sent: July 28, 2008 12:44 PM
To: amibroker@xxxxxxxxxps.com
Subject: [SPAM]RE: [amibroker] Re: How to save Metrics in
Composites for Individual BTs
Al,
What you are looking for in AB is I believe
a little more difficult then or at least as time consuming as you think it
is .
Share ? . Code ?
LOL . I thought I did in that post .
Ok . Kidding aside . Assuming that
- AB is running
- AA has the AFL you want to run ( This doesn't
mean the formula editor as the FE and AA aren't coupled )
- AA Settings for ApplyTo / Range etc are as you
want then
This VBS code would run a BackTest and
export the Trade List to a File
Dim oAB
Dim oAA
Set oAB = CreateObject("Broker.Application")
Set oAA = oAB.Analysis
oAA.Backtest(0)
oAA.Export("Dummy.csv")
The code above should be saved in a .vbs
filetype ( name of your choosing ) and then simply double clicking it will
produce the file.
This could easily be changed to running an
optimize which will produce all the performance metrics in the AA results
which could then be exported by changing .
oAA.Backtest(0)
to .
oAA.Optimize(0)
Ideally the optimize above would be a one
step optimize if you will just to produce the performance metrics related to
the backtest .
With a little more work i.e. a loop to set
the beginning and ending dates one could get performance metrics externally
for whatever lookback length one wanted one after the other .
________________________________
From: amibroker@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]
On Behalf Of Al Venosa`
Sent: Monday, July 28, 2008 12:17 PM
To: amibroker@xxxxxxxxxps.com
Subject: Re: [amibroker] Re: How to save Metrics in
Composites for Individual BTs
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@xxxxxxxxxxcom
<mailto:groups@xxxxxxxxxxcom>
> wrote:
Hello,
It is doable with custom backtester and not
so complicated.
As described in detail here:
http://www.amibroker.com/guide/a_custommetrics.html
<http://www.amibroker.com/guide/a_custommetrics.html>
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()).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Al Venosa` <mailto:avcinci@xxxxxxcom>
To: amibroker@xxxxxxxxxps.com
<mailto:amibroker@xxxxxxxxxps.com>
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@xxxxxxxxxxnet
<mailto: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
________________________________
From:
amibroker@xxxxxxxxxps.com
<mailto:amibroker@xxxxxxxxxps.com>
[mailto:amibroker@xxxxxxxxxps.com
<mailto:amibroker@xxxxxxxxxps.com>
] On
Behalf Of Al Venosa
Sent: Sunday, July 27, 2008 11:29 AM
To: amibroker@xxxxxxxxxps.com
<mailto:amibroker@xxxxxxxxxps.com>
Subject: [amibroker] Re: How to save Metrics in
Composites for Individual BTs
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
<mailto:amibroker%40yahoogroups.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%40yahoogroups.com> [mailto:amibroker@xxxxxxxxxps.com
<mailto:amibroker%40yahoogroups.com> ]On
Behalf
> Of Tomasz Janeczko
> Sent: July 25, 2008 5:49 AM
> To: amibroker@xxxxxxxxxps.com
<mailto:amibroker%40yahoogroups.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
<mailto:amibroker%40yahoogroups.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%40yahoogroups.com> [mailto:amibroker@xxxxxxxxxps.com
<mailto:amibroker%40yahoogroups.com> ]On
Behalf
> Of Tomasz Janeczko
> Sent: July 25, 2008 4:08 AM
> To: amibroker@xxxxxxxxxps.com
<mailto:amibroker%40yahoogroups.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
<mailto:amibroker%40yahoogroups.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%40yahoogroups.com> [mailto:amibroker@xxxxxxxxxps.com
<mailto:amibroker%40yahoogroups.com> ]
On Behalf
> Of Herman
> Sent: Friday, 25 July 2008 9:31 AM
> To: amibroker@xxxxxxxxxps.com
<mailto:amibroker%40yahoogroups.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%40yahoogroups.com> [mailto:amibroker@xxxxxxxxxps.com
<mailto:amibroker%40yahoogroups.com> ]On
Behalf
> Of Tomasz Janeczko
> Sent: July 24, 2008 3:00 PM
> To: amibroker@xxxxxxxxxps.com
<mailto:amibroker%40yahoogroups.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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