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> I agree that a user forum is not the optimal venue for a detailed
> discussion.
It's fine for the people who have been around awhile and are 'on the
pace', not so good for newcomers.
It took me around two years to get used to it.
Some things are better with a formal presentation/structure.
> This is an area that I
> would have some interest in seeing developed.
I am having a hiatus from development etc but I'll do some more
(much) later and post it somewhere.
I have all of the theory laid out but just need to provide some
examples of applications, with code, so that people have something
tangible to relate to.
I am still interested in the UKB, or another site.
I am having a (long) break from it for personal (family) reasons.
> On the one hand, you could convincingly dismiss such relations as
> portfolio management (e.g. PositionScore to fill a fixed number of
> positions).
So far I have only talked about RCE with reference to system design.
I am using it as a template in design and for dynamic quality control
in trading.
Once we have selected our best system to trade we then apply Money
Management and that leads to certain outcomes for our Portfolio
(admittedly it is a closed loop but we have to nominally start
somewhere i.e. the Portfolio requirements can equally dictate the
system we select but for the sake of simplicity I have started with
the system).
RCE is inter-related to MM and PM.
RCE is basically my baby but the applications are based on Ralph
Vinces work so people who read RV can easily figure it for themselves.
Talking about system selection/rotation/variation using RCE:
- if you have selected a system and have more setups than capital
allocated (say that after an EOD scan for a system that trades for a
few days on average you have more symbols than you need) then you may
well select a symbol by ranking.
If you use an additional rule to do the ranking it is a moot point,
that can only be settled by backtesting, and personal choice, whether
you have a different system or not.
The key determinant is the profile of the system, which is the driver
for our MM/PM decisions.
If there is a significant change in the profile then it would require
a change in capital allocation to maintain the optimum portfolio
efficiency.
Only backtesting can establish the profile of a system.
- if we are doing walkforward optimization the same applies.
Changes to parameters, as the system goes forward, could be regarded
as minor system variations that don't significantly change the
profile. Once again that would be based on experience and personal
choice.
As I understand it Herman/Al are talking about dynamically rotating
the underlying based on performance metric indicators.
It is a fact of life that good outcomes for system traders are a
combination of good systems and favourable underlyings.
We select the underlying, at the macro level, based on certain
criteria, like volatility, sector membership etc.
They are experimenting with doing that at a micro level.
In their case they are making short term adjustments, in a similar
fashion to walkforward optimization, except they are doing it on the
flip side - the system remains constant while they switch between
symbols.
What they are doing isn't necessarily RCE - that depends on which
metrics they use and how they are interpreting them.
> dynamically taking only those trades displaying a desired trait
> to a sufficient degree relative to the group (survival of the
> fittest, sector rotation) *is* strategy, and extends beyond
>portfolio
> management.
Basically we often think of a system as just the
entrysignal/exit/stops etc, but stock selection/instrument
selection/market selection are included in the rules and technically
speaking are part of the system.
"Any relevant rule that we have in place, at the moment that we
present our system to a new dataset, is part of the system".
My argument is that the system determines the profile which
influences MM and dynamically affects the Portfolio.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Hello Brian,
>
> I agree that a user forum is not the optimal venue for a detailed
> discussion. And, I do appreciate the ideas that people take the
time
> to put into writing.
>
> I believe that there is much overlap in what we each are saying,
and
> what has been said by Tomasz and Fred earlier in the thread.
> Specifically; That metrics can readily be produced on an individual
> symbol basis without need of a backtester. This is an area that I
> would have some interest in seeing developed.
>
> Where it would appear that our views diverge is in the definition
of
> a system, and the utility of metrics derived without influence of
> portfolio management.
>
> If a signal generated for symbol A is only acted upon dependent
upon
> its relation to signals generated for symbols B, C, D. Then should
> you be including that signal in your calculations for A? The answer
> might differ for each of us.
>
> Relational conditions such as these can only be resolved as a
result
> of a backtest. No amount of looping will be enough.
>
> On the one hand, you could convincingly dismiss such relations as
> portfolio management (e.g. PositionScore to fill a fixed number of
> positions). I appreciate here the theoretical slant that you are
> offering.
>
> But, on the other, I believe that the point can be argued that
rules
> for dynamically taking only those trades displaying a desired trait
> to a sufficient degree relative to the group (survival of the
> fittest, sector rotation) *is* strategy, and extends beyond
portfolio
> management.
>
> I can see how evaluating metrics on individual symbols, or
evaluating
> rules independent of relations could be useful as a screening tool,
> design evolution, or for systems which trade a single symbol, to
name
> a few.
>
> However, once live trading begins, on a watchlist of multiple
> symbols, I believe that portfolio metrics might play an even larger
> role. Not the least of which would be a metric which dictated that
it
> was time to stop trading, or to reoptimize going forward. In which
> case, yes, your argument would be right on; at that point "you have
> changed systems, full stop". To which I answer: By design!
>
> Thanks for the input.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> 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!
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > ------------------------------------------------------------
--
> --
> > --
> > > --
> > > > ----------
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> users.
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