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This is a reply to several emails.
Someone questioned whether it is wise for me to wait
for the metric function to be provided. Well, I never "wait" for canned
solutions; I always find a work around to solve my problems in some other way.
However, doing this is sometimes frustrating and it certainly is a big drain on
my time. If this is so for me than this must be so for many other users.
When I push for new functions I do this with a community spirit, not
just to get what "I" want/need; I push for it because some of
these functions are long overdue and make common sense to have.
To give you an example: I remember that many years ago I
was pushing for the equity(), I even wrote/posted my own afl Equity(),
and the hbEquity() DLL that featured Equity Feedback arguments. Look at it
today: who could design a system without the AB Equity()? Metric functions are
just as important as the equity(); they are the next logical step.
There is no escape, eventually they will be there. So, why not lead the pack?
Hmmm, Coming to think of this is actually very funny :-) I remember that at the
time, before we had the AB equity(), Tomasz wrote something like he is
writing today: "it is doable in AFL; see Herman's AFL Equity()
implementation". That was in 2002.. grrr. Shows you how slow ideas
evolve in TA. I ought to have been a millionaire by now...well, perhaps
next year ;-)
Paul, please look at the MA() example posted by Al V. It
demonstrates the asymptotic behaviour of metrics provided by the composite
solution provided by Tomasz. I do not understand how you can create,
reconstruct, or reverse engineer, a period-based metric function from an
all-bars solution giving true values. If it is possible please give a complete
solution.
Fred, I think that the way you design systems OLE/automation is
indeed the solution. However you do not represent the average AB user -
you fall in the 1% of users who have the expertise to run their own
show.
Indeed Fred posted (thanks again Fred!) some very nice code
awhile back that I was converting to a getPerformancemetric() for posting on the
UKB, however I haven't had time to finish it (major hardware problems). Let me
tell you though that this is NOT something that every AB user wants to write, to
make it a general function it already amounted to some 600 lines of code. And
there are MAJOR headaches to make it match AA BT results - which is imo
essential. Not to mention that the code should work under all conditions without
errors. If there are any volunteers to finish and verify the code you may email
me privately.
Tomasz, this is not a case of what is doable, it is a case
of providing what is needed, and of making easy-to-use AFL tools available to
everyone. This is the age of Quantitative and Automated trading; trading by the
charts is mostly for beginners, aspiring traders, and investors. If one is
trading a quantitative/mechanical system that cannot be backtested, does one
really have a "system"? Everyone loves AFL, but everyone hates having to
get involved (spend significant time and never be an expert) in learning
secondary programming languages and/or sophisticated techniques, just to get
some relatively simple idea of the ground. I am not claiming that it is not
doable in afl. I am only 'claiming' that performance metrics that can be used
easily, by everyone without a degree in programming, might put more money in a
trader's pockets than 75% of the traditional indicators, or cosmetic functions,
ever will.
There is a common phrase going around on this list that reads
"it is easily done", "it is doable", just in the last two weeks we have
seen several examples of this. Each 'easy solution' would require one to become
expert in some specialty (OLE,CBT,..) that would take at least a few months
(part-time work). After that we may find out that things are not static, ahhh,
we need to keep on learning. After that we find out that, surprise, we are no as
smart as we thought we were - and we ask ourselves whether we are stupid or
what? Then, after sweating it out and burning a lot of hours, we come to a point
where we can actually test our HG idea, ahh another surprise! The idea doesn't
work!!! We have all traveled this road. Time wasted, and wasted and wasted,
because the tools we need to 'efficiently' develop/test ideas, are not
available. Perhaps this is why TA evolves so slowly, innovation is throttled.
Note that I am not critical of the AmiBroker product, it is undoubtedly the best
product around.
Tomasz mention that a portfolio backtester must be
called in all cases. I think portfolio trading is something like the Equity
function: using as it you will NOT know how your system/stocks are interacting.
You CANNOT make intelligent trading decisions based solely on the Portfolio
Report. For a well-designed trading system, i.e., where one knows what is going
on "inside" the system, running a portfolio backtest is the last step in system
design. We need individual backtest metrics. Just because we
have tools like Portfolio backtester, CBT, OLE, doesn't mean that these should
be used to provide all solutions - that would exclude 95% of all users.
Regarding processing time, I cannot understand why these functions cannot be
based on simple (old) backtests. Why should it take a built-in function longer
to calculate a metric than a user-written solution based on the equity(), CBT,
OLE, and what have you. That doesn't make sense. If these metrics can be
obtained suing the BT/OLE, why can't all that be placed into a formal AFL
function?
Some users use composites to assess market movements. Similarly
metric-composites can be used to assess 'system performance'. I think it is
important to separate the various components used in system design. We have
market-wide, stock-specific, individual, system, portfolio, foreign, and many
other factors that should be considered individually. Who said system
design was easy? :-)
That my two-nickel's worth Fred ;-) once in awhile it is fun to
beat around the bush.
Herman
Ps. the length of this email proves that I finally got my
hardware up and running smoothly :-) I am taking a break from the headaches, but
its back to work now.
-----Original
Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On
Behalf
Of Paul Ho
Sent: July 28, 2008 10:24 PM
To:
amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: How to save Metrics in
Composites for
Individual BTs
You dont need to call a separate
backtest for every bar, you only
need to call backtest only with the custom
backtester code. For the
matrix concerned, all you need is to understand the
relationship
between its current value and its value "lookback" bars ago, you
can
then reconstruct the "lookback" matrix the way you want.
take UI for
example,
UI[Br] = SQRT[Sum(DR)from bars 1 to Br)/Br
and UI[Br - Lb}
= SQRT(sum(Dr) from bars 1 to [Br - lb])/Br;
So function
UIwithLookBack(Lb)
{
Pr = barindex() *
Foreign("~UI.....", "C");
result = Pr ^ 2 - ref(Pr,
-lb)^2;
result = sqrt(result);
result = result /lb;
return result;
}
All you need
to do is to understand the relationship between
different bars of the matrix
that you're interested. It is not
particularly hard.
/Paul.
--- In
amibroker@xxxxxxxxxxxxxxx, "Al Venosa`" <avcinci@xxx>
wrote:
>
> 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@xxx>
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
>
>
> > 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` <avcinci@xxx>
> >
*To:* amibroker@xxxxxxxxxxxxxxx
> > *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@xxx> 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@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
*On
> >> Behalf Of *Al Venosa
> >> *Sent:* Sunday, July
27, 2008 11:29 AM
> >> *To:* amibroker@xxxxxxxxxxxxxxx
>
>> *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@xxxxxxxxxxxxxxx
<amibroker%
40yahoogroups.com>, "Herman"
> >>
<psytek@> 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
<amibroker%40yahoogroups.com>
[mailto:
> >>
amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>]On
>
>> Behalf
> >> > Of Tomasz Janeczko
> >> >
Sent: July 25, 2008 5:49 AM
> >> > To: amibroker@xxxxxxxxxxxxxxx
<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@xxxxxxxxxxxxxxx <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@xxxxxxxxxxxxxxx
<amibroker%40yahoogroups.com>
[mailto:
> >>
amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>]On
>
>> Behalf
> >> > Of Tomasz Janeczko
> >> >
Sent: July 25, 2008 4:08 AM
> >> > To: amibroker@xxxxxxxxxxxxxxx
<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@xxxxxxxxxxxxxxx
<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@xxxxxxxxxxxxxxx
<amibroker%40yahoogroups.com>
[mailto:
> >>
amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>]
> >>
On Behalf
> >> > Of Herman
> >> > Sent: Friday, 25
July 2008 9:31 AM
> >> > To: amibroker@xxxxxxxxxxxxxxx
<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@xxxxxxxxxxxxxxx
<amibroker%40yahoogroups.com>
[mailto:
> >>
amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>]On
>
>> Behalf
> >> > Of Tomasz Janeczko
> >> >
Sent: July 24, 2008 3:00 PM
> >> > To: amibroker@xxxxxxxxxxxxxxx
<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 );
> >>
>
> >>
> >> ------------------------------
>
>> I am using the free version of SPAMfighter for private users.
>
>> It has removed 512 spam emails to date.
> >> Paying users
do not have this message in their emails.
> >> Try SPAMfighter
<http://www.spamfighter.com/len> for free now!
>
>>
> >
> >
>
>
>
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