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FTR a correction:
> Eq == 1 * growth factor (1,1,1.10,1.10,1.067,1.05)//sadly I think
> looping is required to produce an Eq curve???
the standardised Eq curve (factor) for this series is actually:
1,1,1.10,1.10,1.067,1.1203
Sorry about that.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Hello Mike,
>
> I introduced the forum to the concept of 'Root Cause Evaluation'
(RCE)
> sometime in the recent past.
>
> Given that it is only a formative (juvenile) idea at this stage,
that
> I have only discussed it, in the forum, in a cursory and piecemeal
> fashion and that people take time (repetition required) to
> acknowledge, let alone consider, new ideas it is no surprize that
> most members aren't getting it.
>
>
> The basic premise is that the possible spread of future equity
> outcomes, and hence metrics, can be estimated from the trade
series%
> and the time in trade.
>
> The trade series%, along with it's metrics, are the profile of the
> system (any system) whereas many of the things you mention
(position
> size/shrinking etc) are related to Portfolio Management.
>
> Irrespective of what is done at the Portfolio Management level the
> trade profile does not, and can not, change (if you use Portfolio
> feedback to change your system rules then you have changed systems,
> full stop).
>
> Since there are a myriad of possible Portfolio Management (PM)
rules,
> IMO, it can cause a good deal of confusion by integrating System
> Profile (SP) and PM in one step (which is what backtesters, buy
user
> demand, do).
>
> It can help clarify trading a lot if we sometimes just focus on the
> root causes.
>
> Also, if we are going to use SP, in tandem with PM, as an inline
> indicator then we might need to consider how to go about that in
> efficient ways (above and beyond what is available in 'canned'
> backtesters).
>
>
> Example of the premise:
>
> SystemA == predefined buy, sell, price rules etc;
> Trade 1 == buy at 100, sell at 110, buy/sell == 1.1 (growthfactor),
> number of bars in trade;//10% win
> bars out of trade;
> Trade 2 = buy at 123.71, sell at 120;//approx 3% loss
> bars in trade;
> etc;
>
> We can not change a System A rule without changing the system (for
> any reason) therefore the only (mathematically) possible data we
can
> acquire about the system is the tradeseries% and the bars in/bars
out
> for the trade (the values will vary from underlying to underlying
but
> not the available datapoints).
>
> Since the trade rules are fixed, the trade series is also fixed for
a
> fixed underlying (symbol) and time period.
>
> Logically all metrics can only be derived from these root, or core,
> metrics.
>
> Equity, or Portfolio, outcomes can vary depending on how much we
> stake on the system (but the system does not, and can not change
for
> any given underlying series).
>
> (Note that we can't control the underlying, only our system rules
and
> our staking).
>
>
>
>
>
> Example of Equity/PM outcome:
>
> From the above example the trade series is 1.10.0.97 (closed trades
> only).
>
> It could have bars out of trade in between - that doesn't affect
the
> Eq/PM outcome, only the % return relative to time (unless we take
> into consideration interest paid on idle money, margin etc which,
> once again is PM).
>
> So a hypothetical trade%series is 1,1,1.10,1,0.97,1.05 (as growth
> factor).
>
> If we consider Eq as unit 1 (standardised) the outcome is:
>
> Eq == 1 * growth factor (1,1,1.10,1.10,1.067,1.05)//sadly I think
> looping is required to produce an Eq curve???
>
> If we use fixed capital staking (say 100 InitialEq) we have:
>
> Eq == 100,100,110,110,106.70,112.03
>
> Note that the relativity of the staked Eq series, to the
standardised
> Eq series, doesn't change, so for the purpose of comparing system
> performance, on the fly (using RCE) we can do without the equity
> allocation and just use the standardized array if we choose to.
>
>
>
> If we mix and match our staking then we get different Eq/PM
outcomes:
>
> Staking == 100,no change,no change,add 100 to the stake,no
change,no
> change
> Eq == 100,100,110,210,203.70,213.88
>
> We end up in a much different Eq/PM place but the system itself
> hasn't changed (it is no better, or worse, than it was before).
>
>
> I believe that the premises of Root Cause Evaluation are sound.
>
> What I haven't done, in this thread, is:
>
> a) provide the code to produce the tradeseries% array
> b) allow for open, or concurrent, trades
> c) provide the code to record bars in/out of trade
> d) prove that all possible metrics can be derived from the core
> metrics
>
>
>
> In the context of Al/Hermans thread:
>
> - I am (they are) talking about inline performance metrics and not
a
> backtester (they are different things)
> - they didn't ask for an inline Portfolio Manager, only inline
> relative performance of a system (on the fly)
> - they haven't told us 100% of what they want to do and why
> (understandably)
> - since they are looking for a metric indicator there is no need to
> measure bars in/out of trade ( we can see that unfold, bar by bar
in
> the indicator). If they want that I assume it can be done but that
is
> personal choice
> - the code needn't become too unwieldy because it would be a
template
> that they would apply on a metric by metric basis (presumably they
> only want to watch one or two metrics at a time and not all of them)
> - it is not my idea, it is theirs. I am offering them some of my
> seminal ideas on RCA and it is up to them if and how they apply it
>
>
>
> Setting aside the proofs for the argument that all metrics can be
> derived from the root inputs and restricting the discussion to the
> code required for the tradeseries%.
>
>
> IMO the closed trade series, as % will do the job they want to do
> (providing they understand the mindset of RCA).
>
> I believe we can produce trade series arrays, given the system
rules.
>
> What I haven't done is produce an array trade series where we
record
> a second signal that occurs, for any symbol in our watchlist, while
> we already have an open signal for that symbol but I expect that
can
> be done as well.
>
> On top of that I haven't allowed for open trade values.
>
>
> IMO the slight error that these 'errors' introduce into their
metric
> won't have a significant affect on what they are doing but if they
> want to count all signals, and account for open trades they can
> (there is a trade off there because it will slow down their
> indicator).
>
> As I said before, the only real 'missing link' is how to get StDev,
> for a trade series, on the fly (although so far Herman and Al
haven't
> said they are interested in that - the idea to track trade series
SD
> is mine).
>
> I assume that iff I want to get the closed trade series array I can
> just go back to Freds code and use/copy/modify that, OR get
something
> else that is already around OR make up my own OR ask the forum for
> help OR ask support for help.
>
> I am confident it can be done, in fact I am inclined to think I
could
> do it myself and that is saying something.
>
> Are you suggesting it can't?
>
>
>
>
> Hope that opens up some new lines of thinking.
>
> I appreciate I haven't done everything, that I possibly can, to
> explain the concepts/practise but personal choice comes into
> application anyway and there are countless variations on the
> applications.
>
>
>
> BTW
>
> I like your work.
>
> Cheers,
>
> Brian_z
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > Brian,
> >
> > I believe that the crux of the issue is the part that you only
> > mentioned in passing:
> >
> > > "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."
> >
> > If I understand your post correctly, your premise hinges on the
> > ability to recognize trades using the following lines:
> >
> > > arrayAAA = if(no sell,1,trade%); //runs on symbol AAA
> > > arrayBBB = if(no sell,1,trade%);//run on symbol BBB
> >
> > Yet, the values to put in these arrays are the very values that
> > cannot be determined in the absence of a fullblown portfolio
> > backtest; One which takes into consideration such factors as
> account
> > balance, maximum number of positions, position scoring, position
> size
> > shrinking, redundent signals, scaling, custom signal cancelations
> in
> > CBT code, etc.
> >
> > This is why the distinction is being made between "doable"
> individual
> > symbol metrics vs. vastly more complex portfolio metrics.
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
wrote:
> > >
> > > 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@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@>
> > > 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@xxxxxxxxxxxxxxx
> > > > 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@xxxxxxxxxxxxxxx
> > > [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Paul Ho
> > > > Sent: Monday, July 28, 2008 11:59 PM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > 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@xxxxxxxxxxxxxxx
> > [mailto:amibroker@xxxxxxxxxxxxxxx]
> > > > On Behalf Of Herman
> > > > Sent: Tuesday, 29 July 2008 11:32 AM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > 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@xxxxxxxxxxxxxxx
> > > > [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf Of Fred Tonetti
> > > > Sent: July 28, 2008 12:44 PM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > 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@xxxxxxxxxxxxxxx
> > > > [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Al Venosa`
> > > > Sent: Monday, July 28, 2008 12:17 PM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > 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@ <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@xxxxxxxxxxxxxxx
> > > > <mailto: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@ <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@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> > > > [mailto:amibroker@xxxxxxxxxxxxxxx
> > > <mailto:amibroker@xxxxxxxxxxxxxxx> ] On
> > > > Behalf Of Al Venosa
> > > > Sent: Sunday, July 27, 2008 11:29 AM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > <mailto: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
> > > > <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@xxxxxxxxxxxxxxx
> > > > <mailto:amibroker%40yahoogroups.com>
> > > [mailto:amibroker@xxxxxxxxxxxxxxx
> > > > <mailto:amibroker%40yahoogroups.com> ]On
> > > > Behalf
> > > > > Of Tomasz Janeczko
> > > > > Sent: July 25, 2008 5:49 AM
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > <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@xxxxxxxxxxxxxxx
> > > > <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@xxxxxxxxxxxxxxx
> > > > <mailto:amibroker%40yahoogroups.com>
> > > [mailto:amibroker@xxxxxxxxxxxxxxx
> > > > <mailto:amibroker%40yahoogroups.com> ]On
> > > > Behalf
> > > > > Of Tomasz Janeczko
> > > > > Sent: July 25, 2008 4:08 AM
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > <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@xxxxxxxxxxxxxxx
> > > > <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@xxxxxxxxxxxxxxx
> > > > <mailto:amibroker%40yahoogroups.com>
> > > [mailto:amibroker@xxxxxxxxxxxxxxx
> > > > <mailto:amibroker%40yahoogroups.com> ]
> > > > On Behalf
> > > > > Of Herman
> > > > > Sent: Friday, 25 July 2008 9:31 AM
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > <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@xxxxxxxxxxxxxxx
> > > > <mailto:amibroker%40yahoogroups.com>
> > > [mailto:amibroker@xxxxxxxxxxxxxxx
> > > > <mailto:amibroker%40yahoogroups.com> ]On
> > > > Behalf
> > > > > Of Tomasz Janeczko
> > > > > Sent: July 24, 2008 3:00 PM
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > <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 );
> > > > >
> > > >
> > > >
> > > > ________________________________
> > > >
> > > > 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!
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > ________________________________
> > > >
> > > > 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!
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > --------------------------------------------------------------
--
> --
> > --
> > > ----------
> > > > I am using the free version of SPAMfighter for private
users.
> > > > It has removed 513 spam emails to date.
> > > > Paying users do not have this message in their emails.
> > > > Try SPAMfighter for free now!
> > > >
> > >
> >
>
------------------------------------
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