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I added progressive StDevP,of the trade series, to the code.
//P_InLineMetricsI_v2
/*
v2 renames some variables (to clarify nomenclature and prepare for
later code),
confirms Buy/Sell signals to allow trade counting AND accounting for
BreakEven trades,
adds cumulative Standard Deviation of the trade series.
Monday is used as the Buy example because it is unambiguous.
Typically most markets have Mon OR Fri public holidays so it allows
for checking code response to non-paireds buys AND sells (Signal
errors).
BarIndex() == 0 is added as an initial Buy condition to workaround
the propogating of {empty} values that can arise in the first few
bars.
A Buy latch is used so that only one trade can be entered at a time
AND every Sell must have a corresponding Buy.
Plots the TradeSeriesFactor, as GrowthFactor, which is equivalent to
% (tradesNOT are recorded as GF == 1).
Since commissions aren't considered the Equity outcome for break even
trades (GF also == 1) is correct.
The progressive product of the GF is equivalent to the compounded
Equity Curve for an initial fixed capital investment
(this assumes the trades are sequential).
If the Initial Equity is 1 the EqCurve is the standardised Equity
Factor (EF),
(this assumes that no capital addition or rebalancing occurs after
the initial allocation).
Equity == Initial Equity * EF
*/
//PART IA TRADE SERIES MODULE (CLOSED TRADE EQUITY - ONLY ONE TRADE
PER SYMBOL OPEN AT A TIME)
Filter = 1;//allows code to run as an exploration for code testing
M = DayOfWeek() == 1;
F = DayOfWeek() == 5;
BI = BarIndex()== 0;
B = M;//Buy on Monday
S = F OR BI;//first bar set to sell and then sell on Friday's
thereafter
B = Flip(B,S);//latches the Buy signal to prevent concurrent buys
BP = SP = C;//BuyPrice, SellPrice
CS = B == 0 AND Ref(B,-1) == 1;//Confirms the sell (it has exited
from a latched buy)
CB = B == 1 AND Ref(B,-1) == 0;//Confirms buy (it enters a latched
buy)
//Plot(B,"Buy",5,1);
//Plot(S,"Sell",2,1);
//Plot(CB,"Buy",5,1);
//Plot(CS,"Sell",2,1);
//Plot(BP,"BuyPrice",5,1);
//Plot(SP,"SellPrice",2,1);
TSFactor = IIf(CS,SP/ValueWhen(CB, BP,1),1);//TradeSeriesFactor as
GrowthFactor
// next section to be changed to log/antilog to avoid need for looping
EF = 1;//initialises EquityFactor to 1
for (i = 1; i < BarCount; i++)
{
EF[i] = EF[i-1] * TSFactor[i];
}
//Plot(EF,"EquityFactor",5,1);
//PART 1B - Progressive StandardDeviation Of The Trade Series
Trades = IIf(CS,TSFactor,0);//reconfigures trade series so that
tradesNOT == 0,
TradeFlag = IIf(CS,1,0);//returns 1 for every trade
ST = Cum(Trades);//Sums Trades
STS = Cum(Trades^2);//Sums the TradesSquared
CT = Cum(TradeFlag);//Counts the Trades
StandardDevP = sqrt( STS/CT - (ST/CT)^2 );//uses Ken Closes
restated StDev equation,
//Plot(,"",1,1); plot template for copy and paste
//Plot(Trades,"Trades",1,1);
//Plot(TradeFlag,"TradeFlag",1,1);
//Plot(ST,"SumTrades",2,1);
//Plot(CT,"CountTrades",3,1);
//Plot(STS,"SumTradesSquared",2,1);
Plot(StandardDevP,"Cumulative StDevP",6,1);
//Exploration report columns for code testing via manual export to
spreadhsheet,
// tested OK with a sample of 48 closed trades (3 were breakeven
trades) - StDevP agreed with Excel StDevP calculations to 4 or 5
decimal places
AddColumn(Trades,"Trades",1.9);
AddColumn(ST,"SumTrades",1.9);
AddColumn(CT,"TradesCount",1.0);
AddColumn(STS,"SumTradesSquared",1.9);
AddColumn(StandardDevP,"StandardDevTrades",1.9);
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Herman and Al,
>
> I took the scissors to my first effort.
>
> It isn't an inline backtester, rather an inline RootCauseMetrics
> indicator (possibly it could be used for calculating the common
> Performance Metrics 'on the fly', including with lookback periods).
>
>
>
> This is the basic starting module.
>
> It should be possible to modify it to allow for concurrent signals,
> open trade interest, although it gets a bit harder from here for me
> (maybe not for others).
>
> I have checked it over a few charts and so far it stands up O.K
> I haven't used in the line of fire though.
>
> Any potential in it for you guys?
>
>
>
> FTR
>
> This is a continuation of discussion at topic:
>
> "How To Save Metrics In Composite For Indidual BT's"
>
> A little background discussion about the idea behind the code is at
>
> message # 127383 and # 127420 in the above thread.
>
> //P_InLineMetrics
>
> //Monday is used as the example because it is an unambiguous Buy
> //Typically most markets have Mon or Fri public holidays so it
allows
> for checking code response to duplicate buys and sells (signal
errors)
> //BarIndex() is added as a buy condition to workaround the
> propogating of {empty} values that can arise in the first few bars
> //A latch is used so that only one trade can be entered at a time
and
> every Sell must have a corresponding Buy
> //Plots the trade series, as GrowthFactor, which is equivalent to %
> //No trades are accounted for and recorded as GF 1
> //The code doesn't identify break even trades i.e. GF == 1 but it
can
> be modified to do so
> //since commissions aren't considered the Eq outcome for break even
> trades is correct
> //the progressive product of the GF is equivalent to the Equity
Curve
> for a fixed capital investment
> //if the intitial Equity is 1 the EQ is the standardised Equity
Factor
> //Equity == Initial Equity * EF
> //the product of individual GF's, sumbol by symbol, is the
Portfolio
> Growth Factor the progessive product of which produces the
Portfolio
> Equity Factor
> //same bar entry/exits are not allowed but the code can be modified
> for that if required
>
>
>
>
> //PART IA TRADE SERIES MODULE (CLOSED TRADES - ONLY ONE TRADE PER
> SYMBOL OPEN AT A TIME)
>
> M = DayOfWeek() == 1;
> F = DayOfWeek() == 5;
> BI = BarIndex()== 0;
>
>
> B = M;//Buy on Monday
> S = F OR BI;//first bar set to sell and then sell on Friday's
> thereafter
>
> B = Flip(B,S);//latches the Buy signal to prevent concurrent buys
>
> BP = SP = C;//BuyPrice, SellPrice
>
>
> //Plot(B,"Buy",5,1);//FFP - fault finding plot used when writing
the
> code
> //Plot(S,"Sell",2,1);//FFP
>
> //Plot(BP,"BuyPrice",5,1);//FFP
> //Plot(SP,"SellPrice",2,1);//FFP
>
> TradeSeries = IIf(S ==1 AND Ref(B,-1) == 1,SP/ValueWhen(B == 1 AND
Ref
> (B,-1) == 0, BP,1),1);//
>
> Plot(TradeSeries,"TradeSeries",1,1);//as GrowthFactor
>
>
> EF = 1;//initialises EquityFactor to 1
>
> for (i = 1; i < BarCount; i++)
> {
> EF[i] = EF[i-1] * TradeSeries[i];
> }
>
> Plot(EF,"EquityFactor",5,1);
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > Herman,
> >
> > IBM PartI
> >
> > I am not sure if this is along the lines that you are
investigating.
> > It might be a starting point.
> > Sophisticated functions can be built from the concept.
> >
> > Example of using single symbol equity function to back calculate
> the
> > trade series.
> >
> > I used buy Tues(C) and sell Thurs(C) with one month of data to
test
> > the code as I went along (this gave me unambiguous signals with
> only
> > one signal at a time - I believe you can use an eq flag to dump
> dual
> > signals for real life use).
> >
> > Note: some weeks don't have Mons or Fris so I wanted to avoid no
> > signals, caused by short weeks, during testing
> >
> > I used barindex() > 4 to cut out the first week in the month so
> that
> > I started with no signals for a few bars before the first buy.
> >
> > I left the plot code in there but commented out (I plotted each
> line
> > to test the veracity of the code).
> >
> > Note that when the trade series is used to recreate the eq curve
> (as
> > a cross check) it only matches on the exit bars for each trade.
> > I tried it on 10 years of Yahoo data and the final eqs matched to
2
> > decimal places (rounded off).
> >
> > //P_InLineEquity
> > //code to reverse engineer the trade series from the equity curve
> > //it is reversed at the end to check the accuracy of the method
> >
> > InitialEq = 10000;//input required
> >
> > SetOption("InitialEquity", InitialEq );
> >
> > Buy = BarIndex() > 4 AND DayOfWeek() == 2;//use your own
> > Sell = BarIndex() > 4 AND DayOfWeek() == 4;//use your own
> >
> > BuyPrice = C;//use your own
> > SellPrice = C;//use your own
> >
> > Plot(Equity(),"Equity",5,1);
> >
> > Entry = IIf(Equity() == Ref(Equity(),-1) AND Equity() != Ref
(Equity
> > (),1),1,0);
> >
> > //Plot(Entry,"Entry",1,1);
> >
> > Exit = IIf(Equity() != Ref(Equity(),-1) AND Equity() == Ref(Equity
> > (),1),1,0);
> >
> > //Plot(Exit,"Exit",2,1);
> >
> > TradeSeries = IIf(Exit ==1,ValueWhen(Exit == 1,
> SellPrice,1)/ValueWhen
> > (Entry == 1, BuyPrice,1),1);
> >
> > //Plot(TradeSeries,"TradeSeries",1,1);
> >
> > GF = 1;//GrowthFactor
> >
> > for (i = 1; i < BarCount; i++)
> > {
> > GF[i] = GF[i-1] * TradeSeries[i];
> > }
> >
> > //codesters might be able to make the above loop better/prettier?
> > //Plot(GF,"GrowthFactor",5,1);
> >
> >
> > Plot(InitialEq * GF,"CalculatedEquity",1,1);
> >
>
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