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@xxxxxxxxxps.com
[mailto:amibroker@yahoogroups.com]On
Behalf Of Paul Ho
Sent: July 28, 2008 10:24 PM
To: amibroker@xxxxxxxxxps.com
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@xxxxxxxxxps.com,
"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@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@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@xxxxxxxxxps.com
[mailto:amibroker@yahoogroups.com]
*On
> >> Behalf Of *Al Venosa
> >> *Sent:* Sunday, July 27, 2008 11:29 AM
> >> *To:* 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
<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@xxxxxxxxxps.com
<amibroker%40yahoogroups.com>
[mailto:
> >> amibroker@xxxxxxxxxps.com
<amibroker%40yahoogroups.com>]On
> >> Behalf
> >> > Of Tomasz Janeczko
> >> > Sent: July 25, 2008 5:49 AM
> >> > To: amibroker@xxxxxxxxxps.com
<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
<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
<amibroker%40yahoogroups.com>
[mailto:
> >> amibroker@xxxxxxxxxps.com
<amibroker%40yahoogroups.com>]On
> >> Behalf
> >> > Of Tomasz Janeczko
> >> > Sent: July 25, 2008 4:08 AM
> >> > To: amibroker@xxxxxxxxxps.com
<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
<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
<amibroker%40yahoogroups.com>
[mailto:
> >> amibroker@xxxxxxxxxps.com
<amibroker%40yahoogroups.com>]
> >> On Behalf
> >> > Of Herman
> >> > Sent: Friday, 25 July 2008 9:31 AM
> >> > To: amibroker@xxxxxxxxxps.com
<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
<amibroker%40yahoogroups.com>
[mailto:
> >> amibroker@xxxxxxxxxps.com
<amibroker%40yahoogroups.com>]On
> >> Behalf
> >> > Of Tomasz Janeczko
> >> > Sent: July 24, 2008 3:00 PM
> >> > To: amibroker@xxxxxxxxxps.com
<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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