Anyone?
Notwithstanding that Tomasz could do this stuff for us (if and when
he comes back from his lovely holiday) it is fun to look at the
concepts involved and figure how we can do it ourselves, with what we
have already.
I haven't read the various code solutions closely but I have been
following along at a distance (all the way back to Fred's earlier
PerformanceMetric code).
Although I havent had a need for it I assumed that this stuff could
be done with array programming OR maybe a loop or two (on the fly -
no need to run the backtester).
My proposition is that all metrics can be derived from the trade
series (as %) and the time in trade i.e. the core metrics.
So if the trade series % is stored in an array then the array can be
used to produce the eq curve OR the metrics, on the fly, as required.
(I can't remember if this is what Fred did before - it was pretty
close to it - anyway - I think this is a slightly different concept
applied to the same problem).
Simplified Example (in pidgin pseudocode):
- this basic example only gives the closed trade metrics
- for ease of discussion I am mentally referencing EOD data bar by bar
- two symbols in a watchlist AAA, BBB
buy = whatever;
sell = whatever;
sellvalue = etc;//code required
trade% = sellvalue/buyvalue;//needs to be expressed as growthfactor
i.e. 3% win == 1.03, 3%loss == 0.97 etc
arrayAAA = if(no sell,1,trade%); //runs on symbol AAA
arrayBBB = if(no sell,1,trade%);//run on symbol BBB
We would end up with two arrays:
arrayAAA == 1,1,1.10,1,1,1 etc//exited trade with 10% win on bar 3
arrayAAA == 1,1,1.07,1,1,1 etc//exited trade with 7% win on bar 3
the above arrays can easily be used to produce other arrays with W/L
ratios etc, including for any lookback (as per Tomasz's example b).
To produce an eq curve (individual OR portfolio):
combined trade% is the product of arrayAAA and arrayBBB
arrayAAA == 1,1,1.10,1,1,1
arrayAAA == 1,1,1.07,1,1,1
combinedtrade%== 1,1,1.177,1,1,1//bar by bar product of above two
arrays
EquityCurveArray = Initial Equity * combinedtrade%;
example:
InitialEquity = 100;
100 * 1 *1 * 1.177 * 1 * 1 * 1 ==
EquityCurveArray == 100,100, 117.70,117.70,117.70,117.70 etc
which is the same even if the two trades exit on separate bars.
100 *1.10 * 1.07 = 117.70;
Note that the value of 1 is used to denote 'no trade' so it doesn't
affect equity.
All of the metrics required, on the fly, can be calculated using
lookback periods for the combinedtrade% array (it is like an array
that is the carrier of the trade series) AND/OR calculating equity on
the fly AND the code already posted OR some new relatively simple
array code.
The only thing we can't do is get a standard dev of the trade series
because we can't write them into an array without all of the no
trades (like a static variable except a static array).
If StDev of the trade series were could we calcuate every single
metric directly without the need for the eq curve?
I think so but I haven't checked to be certain about it (certainly
every worthwhile one because a lot of them are old rubbish).
Time in trade is only needed if we want to work out percentage gains
relative to time?
It doesn't allow for the instances where a new buy signal is
generated on an individual equity when we are already in a trade, OR
scaling in or out BUT it is only at the basic conceptual stage -
perhaps it lends itself to more sophisticated calcs if required.
BTW
I don't think AB or Tomasz is dumb - only that the trading community
in general, IMO, is bizarrely obsessive about eq curve
analysis/metrics.
brian_z
--- In amibroker@xxxxxxxxxps.com,
"Tomasz Janeczko" <groups@xxx>
wrote:
>
> Hello,
>
> Yes, there are generally 3 different metrics "areas" in terms of
computational complexity:
>
> a) metrics derived directly from Equity (CAR, Drawdowns, UPI,
Sharpe, Std error, etc)
> - they can be easily calculated directly from Equity data
(~~~EQUITY) as shown in the
> code that Fred posted below.
> There is no computational difference between calculating them on
portfolio or individual
> symbol basis.
>
> b) metrics NOT derived from equity (number of winners, winner/loser
ratio, expectancy, etc)
> - these metrics needs actual backtest to be performed to get the
TRADE LIST and
> perform calculations based on trade list.
> Performing backtest on SINGLE security is done by Equity() function
and
> single-security metric "indicators" are possible with the same
> computational complexity as Equity() function has. With
"possible"
I mean that I could implement that
> if there is enough demand.
>
> c) same as b) BUT for Portfolio-level backtest. Again you need a
trade list to calculate them.
> No matter which approach is used, full-blown portfolio backtest for
specified "lookback period"
> is required. It is too complex to be done on-the-fly in real time.
Hence proposed solution of using
> CBI to generate stats and then refer to them using Foreign()
function.
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Fred Tonetti
> To: amibroker@xxxxxxxxxps.com
> Sent: Tuesday, July 29, 2008 6:16 AM
> Subject: RE: [amibroker] Re: How to save Metrics in Composites
for Individual BTs
>
>
> . and if you are wanting the performance metrics as arrays over
some shorter length then the backtest period and you aren't wanting
to do it in the CBI the while you're waiting for it to be available
as a built in AFL function you can fill in the rest of this . Both TJ
in an earlier post and the DOC have the formulas for the rest of the
performance metrics .
>
> MACDx = MACD(12, 26);
>
> MACDsig = Signal(12, 26, 9);
>
>
>
> Plot (MACDx, "MACD", colorRed);
>
> Plot (MACDsig, "Sig", colorWhite);
>
>
>
> Buy = Cross(MACDx, MACDsig);
>
> Sell = Cross(MACDsig, MACDx);
>
>
>
> function getMetric(Metric, Length)
>
> {
>
> Metric = StrToUpper(Metric);
>
> BIR = IIf(Status("BarInRange") > 0, 1, Null);
>
> CurEq = Foreign("~~~EQUITY", "C", 1);
>
> MaxEq = HHV(CurEq, Length);
>
> CurDD = IIf(CurEq < MaxEq, 100 * (MaxEq - CurEq) / MaxEq,
0);
>
> MaxDD = HHV(CurDD, Length);
>
> SqrDD = CurDD ^ 2;
>
> SumDD = Sum(SqrDD, Length);
>
> UI = sqrt(SumDD / Length);
>
> if (Metric == "CDD")
>
> Value = CurDD;
>
> else if (Metric == "MDD")
>
> Value = MaxDD;
>
> else if (Metric == "UI")
>
> Value = UI;
>
> else
>
> Value = Null;
>
> return Value;
>
> }
>
>
>
> Plot(getMetric("UI", 20), "UI", colorYellow,
styleLeftAxisScale);
>
>
>
>
>
>
> ----------------------------------------------------------
----------
>
> From: amibroker@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com]
On Behalf Of Paul Ho
> Sent: Monday, July 28, 2008 11:59 PM
> To: amibroker@xxxxxxxxxps.com
> Subject: RE: [amibroker] Re: How to save Metrics in Composites
for Individual BTs
>
>
>
> 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@xxx <mailto: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
> <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@...>
>
> 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@xx. <mailto: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@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@> 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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