|
PureBytes Links
Trading Reference Links
|
Herman,
I provided some AFL on my reply to Al on this thread, Isnt that
enough demonstration? You want something like MA(c, period) where C
is the name of the metric. While I'm not going to write the code for
every performance metric, but you certainly can write those ones that
you need. There has been enough help shown on this thread for you to
code everyone of these metrics. If you have a particlar one in mind
that you have a problem with, you can bring it out for discussion.
by the way, when you say individual backtest metrics, Do you mean
metric from backtesting individual symbols, If it is, I thought that
was the original purpose of thread, and a solution was given by
Tomasz.
I fail to see why you're not happy with what you're provided so far,
except that bit about taking too long to do it on your own.
--- In amibroker@xxxxxxxxxxxxxxx, "Herman" <psytek@xxx> wrote:
>
> 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@> 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@> 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@>
> > > *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@> 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!
> > >>
> > >
> > >
> > >
> >
>
>
>
> ------------------------------------
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|