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If you are using JScript inside AFL (by the way I don't see
the reason to use JScript anymore since
looping, functions and all that stuff is in AFL), and call any
external ActiveX - they may change
the current working directory for current
process.
Also individual optimization for each symbol is built in feature - don't see the reason to make it hard way
as
you do. It is called individual optimization and
available via Optimize( 1 )
Analysis.Optimize(Type = 2 ); - runs optimization
Type
parameter can be one of the following values:
0 : portfolio
backtest/optimize
1 : individual
backtest/optimize
2 : old backtest/optimize
3 :
walk-forward test (AmiBroker version 5.11.0 or higher)
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Wednesday, October 29, 2008 6:11
AM
Subject: [amibroker] Re: Auto optimize
all stocks
Thanks for the feedback. I did a full symantec virus scan
today, and
three different rootkit scans, and all came up with nothing
(except for
some supposedly innocuous entries and cookies). This
computer is only
a couple months old, and not used for much on the internet
(behind
firewalls), so I doubt I have a virus or rootkit, but I'll
keep
checking.
I use #include_once for all includes, all relative to
the
"Standard include path", which is just "Formulas\Include".
Nothing
in my script is trying to change the current working directory
for
AmiBroker, so it must be some external program. But if programs
are
running outside of AmiBroker, could any of them change the current
working
directory for AmiBroker without being a virus or rootkit? I
don't
know how windows (XP) works well enough to know, but that would
be a bad
situation if it were possible.
Over a couple years of using AmiBroker,
on three different computers,
I have frequently seen script error messages
reported relative to the wrong
files. But these are legitimate
errors, just reported incorrectly, which I
deal with just by editing
carefully in only making modest code changes
so I have a chance of figuring
out what has gone wrong.
I wonder if using EnableScript("jscript"); has
something to do with these
file mixups. I am not doing any file
manipulation in the jscript code, but
I am doing AFL file operations.
I can send you my code if you want to take
a closer look.
I will try
running my script with minimal other external programs to see
if that
helps. Thanks again.
dan
--- In
amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> The error message you get is clearly because the
include can no longer be found. Apparently you are using relative
>
paths, and something in your script or some external program (virus?) has
changed current working directory for AmiBroker.
> I suggest deep virus
and rootkit scan using different scanners, as rootkits can hide so ordinary
scanners don't detect anything.
>
> Best regards,
> Tomasz
Janeczko
> amibroker.com
> ----- Original Message -----
>
From: liberte721
> To: amibroker@xxxxxxxxxxxxxxx
> Sent:
Tuesday, October 28, 2008 5:18 AM
> Subject: [amibroker] Re: Auto
optimize all stocks
>
>
> I've made some progress figuring
out the crashes in my auto automize jscript.
>
> First, I tried
using the Commentary window like this:
>
>
AB.Commentary.LoadFormula(saverFormula);
> AB.Commentary.Apply();
> AB.Commentary.close();
>
> But this had an undesirable
side effect in that the saverFormula was executed 4 times. (The first time
appeared to be using a cache of the previous version of the saverFormula, in
fact.) Why there are 4 executions, I don't know (I don't have AmiBroker open
in another window, and I start my auto-optimize script with no AmiBroker
running), and I don't see any easy way to detect when a particular execution
is one of the extras. So I gave up on that.
>
> So using the
Backtest call as before, I added another Sleep call after loading the formula
and before the backtest, like so:
>
> AA.LoadFormula(
saverFormula );
> WScript.Sleep( 1000 );
> AA.Backtest();
>
WScript.Sleep( 1000 );
>
> And this seems to work much more
reliably. I made it through one whole run without incident.
>
>
On to the next crash... Gaining confidence, I was simultaneously running a few
browser windows (Firefox and IE) but I was not using the computer otherwise,
when, after 40 minutes of running, I got the following interesting
error.
>
> DBVOn = ParamToggle("DebugView","OFF|ON", 0);
>
> function T
> ---------^
>
> Error 31.
>
Syntax error, expecting IDENTIFIER
>
> This is bizarre because
this same bit of script has been executing many thousands of times without
problem. This is in my debug.afl that is the first #include in my main afl.
Here it is:
>
>
>
> ClearDBV = ParamTrigger("Clear
DebugView","CLEAR DBV");
> if( ClearDBV ) _TRACE("# DBGVIEWCLEAR");
>
> //traceIfScanning = Status("action") == actionBacktest;
>
> DBVOn = ParamToggle("DebugView","OFF|ON", 0);
>
> function TRACE( DBVString )
> {
> global DBVOn;
> global symbol;
> statusActionList =
"ZERO,INDICATOR,COMMENTARY,SCAN,EXPLORATION,BACKTEST / OPTIMIZE";
>
statusAction = StrExtract( statusActionList, Status( "action" ) );
>
> if ( DBVOn )
> _TRACE( "# " + symbol +
> " " +
statusAction +
> " " + DBVString
> );
> }
>
>
> So is AmiBroker totally confused at this point? Why does it
think there is a syntax error? It's pointing at what looks like a perfectly
fine identifier even. Is it maybe looking in the wrong file?
>
>
I believe this AB OLE interface needs to be made much more robust before we
can expect mere mortals to use it. It needs a lot more detailed documentation
as well. I find I am guessing half the time what things are supposed to be
doing.
>
> Thanks for any help.
>
>
>
> dan
>
>
> --- In amibroker@xxxxxxxxxxxxxxx,
"Daniel LaLiberte" daniel.laliberte@ wrote:
> >
> > Thanks
for your reply and ideas.
> >
> > 1. I'm not sure the
delays are necessary, but adding the first delay before
> > the
AB.documents.open call appeared to help. The second delay was in the
>
> code that I had copied to start with, and I didn't see any explanation
why
> > it was there. It is disturbing to think that the delays would
help,
> > actually, because there is no amount of delay time that
would be correct all
> > the time. There should be a way to call
things safely. I would be happy to
> > add a busy wait loop if
necessary, or a call to some function that doesn't
> > return until
it is safe to proceed.
> >
> > 2. Making the problem worse
might be a good strategy to figure it out.
> > There are many more
ways things could go wrong than right, however, so I
> > could easily
get distracted pursing the wrong things. Is there a list of
> > known
causes of backtester failure? I doubt I have any obscure corner
> >
cases in my afl script that cause runtime errors, e.g. divide by zero
and
> > such, but it is possible. An "internal application error"
doesn't sound
> > like that anyway.
> >
> > 3. I
saw that use of the Commentary mode previously. Thanks for reminding
>
> me. I'll try it. It would be handy if the optimizer would run one
more
> > time after completing a run and set Status("ActionEx")
==
> > actionExOptimizeShutdown.
> >
> >
dan
> >
> > On Sat, Oct 25, 2008 at 10:27 PM, Steve Davis
<_sdavis@ wrote:
> >
> > > Thanks for posting this. I
intended to write something like this
> > > myself and never got
around to it. Some thoughts:
> > >
> > > 1. Are you
sure the delays are needed? I've had good luck using AutoIt
> > >
to watch for windows to open or close.
> > >
> >
>
>
> > > 2. Instead of trying to fix the problem, try to make
it happen more
> > > often. What would happen if you never set the
buy/sell arrays? Would
> > > this cause the backtester to
fail?
> > >
> > > 3. The parameter save script is
invoking the backtester. There is
> > > another way to execute
general purpose afl from a script without using
> > > the
backtester. See this message:
> > >
http://finance.groups.yahoo.com/group/amibroker/message/131038
> >
>
> > > Cheers,
> > > Steve
> >
>
> > > --- In amibroker@xxxxxxxxxxxxxxx
<amibroker%40yahoogroups.com>,
> > > "liberte721"
daniel.laliberte@
> > > wrote:
> > >
> > >
>
> > > > I have been using a JScript to run the AA
optimizer for each stock in a
> > > > list and store the
optimum parameters in a file. The script is below. I
> > > >
use a custom backtester that records the parameters that perform the
>
> > > best so far, and after each optimization run, then I run
another script
> > > > that saves the best parameters.
>
> > >
> > > > This works fine in some cases and it
runs through all of a 100 stocks,
> > > > but sometimes the
application gets an error in one of a couple different
> > > >
places. I'd like to find out why this fails sometimes and how I can
>
> > > avoid it. More details on the failures below.
> > >
>
> > > > Here is the custom backtester code, embedded in my
afl script.
> > > >
> > > >
> > >
> isOptimizeSetup = Status("ActionEx") == actionExOptimizeSetup;
>
> > >
> > > > if (isOptimizeSetup)
> > >
> {
> > > > maxObjective = -999999999;
> > >
> StaticVarSet("maxObjective", maxObjective);
> > > >
}
> > > > else
> > > > {
> > > >
maxObjective = StaticVarGet("maxObjective");
> > > > }
>
> > >
> > > >
> > > >
SetOption("UseCustomBacktestProc", True );
> > > >
> >
> > if ( Status( "action" ) == actionPortfolio )
> > > >
{
> > > > bo = GetBacktesterObject( );
> > > >
bo.Backtest( ); // run default backtest procedure
> > >
>
> > > > st = bo.GetPerformanceStats(0); // get stats for
all trades
> > > >
> > > > // Compute Objective
value to be maximized.
> > > >
> > > > // To
minimize, maximize the negative.
> > > > // e.g. Objective = -
( abs( 100 - X * Y ) + abs( X - Y ) );
> > > >
> >
> > NP = st.GetValue("NetProfit");
> > > > LTL =
st.GetValue("LosersTotalLoss");
> > > > objective = NP -
sqrt(-LTL);
> > > >
> > > > // defaultParams is
a string with all the parameter values assigned
> > > > by
Optimize calls.
> > > > _Trace( "max: " + maxObjective + "
objective: " + objective + "
> > > > params: " +
defaultParams);
> > > >
> > > > if ( objective
> maxObjective )
> > > > {
> > > >
maxObjective = objective;
> > > > _Trace("new max: " +
maxObjective + " params: " +
> > > defaultParams );
> >
> > StaticVarSet("maxObjective", maxObjective );
> > > >
StaticVarSetText("maxParams", defaultParams);
> > > > }
>
> > >
> > > > // Add "objective" column.
> >
> > // REMEMBER - Set the Optimization target to "objective" in
AA
> > > > Settings / Walk-Forward
> > >
>
> > > > bo.AddCustomMetric( "objective", objective
);
> > > > }
> > > >
> > >
>
> > > > In my afl script for saving the optimum parameters
I do the following:
> > > >
> > > > maxParams =
StaticVarGetText("maxParams");
> > > > _Trace("Save params " +
maxParams);
> > > > saveParams(maxParams);
> > >
>
> > > > I am leaving out a few details which should be
irrelevant. The
> > > > saveParams function ultimately calls
fputs to write the parameters.
> > > >
> > > >
And here is my script for running the AA Optimize and calling the save
>
> > > script for each stock:
> > > >
> > >
>
> > > > // Loop through all stocks in a watchlist, or (if
negative) all stocks.
> > > > // For each one, run the
optimizer, and then run the saverFormula, which
> > > > should
do the right thing to save parameters.
> > > > // I use a
custom backtester that remembers the optimum set of
> > > >
parameters.
> > > >
> > > > database =
"C:\\Program Files\\Amibroker\\IB";
> > > > iWatchList = -1; //
negative means all symbols - see below
> > > >
> >
> > formula = "Formulas\\Systems\\Mine\\HLMA.afl";
> > >
> saverFormula = "Formulas\\Utilities\\SaveOptParams.afl";
> >
> > settingsFile = "path to settings file";
> > >
>
> > > > AB = new ActiveXObject( "Broker.Application"
);
> > > > AB.LoadDatabase( database );
> > > >
AB.Visible = false; // Maybe visible mode causes problems?
> > >
> AA = AB.Analysis;
> > > >
> > > > Qty =
AB.Stocks.Count;
> > > > //WScript.echo("Total number of
stocks: " + Qty);
> > > >
> > > > for ( i = 0; i
< Qty; i++ )
> > > > {
> > > > Stk =
AB.Stocks( i );
> > > >
> > > > if ( iWatchList
< 0 ||
> > > > ( iWatchList < 32
> > > > ?
( Stk.WatchListBits & ( 1 << iWatchList ) )
> > > > :
( Stk.WatchListBits2 & ( 1 << ( iWatchList - 32 ) ) ) )
> >
> > )
> > > > {
> > > >
//WScript.echo("Optimize Stock: " + Stk.Ticker);
> > > >
WScript.Sleep( 4000 ); // without this, the script will crash
> >
> > occasionally.
> > > >
> > > >
try
> > > > {
> > > > Doc = AB.Documents.Open(
Stk.Ticker );
> > > > WScript.Sleep( 4000 ); // 4 seconds
delay. Why?
> > > >
> > > > /* load formula from
external file */
> > > > AA.LoadFormula( formula );
>
> > >
> > > > /* optional: load settings */
>
> > > // AA.LoadSettings( settingsFile );
> > >
>
> > > > /* set apply to and range */
> > >
> AA.ApplyTo = 1; // use current stock
> > > > AA.RangeMode
= 2; // use last n days of quotes
> > > > AA.RangeN =
100;
> > > >
> > > > /* run optimize for the
portfolio, which is just one stock
> > > > */
> > >
> AA.Optimize( 0 ); // 0 == portfolio opt
> > > >
//AA.Export( "C:\\" + Stk.Ticker + ".csv" );
> > > >
>
> > > AA.LoadFormula( saverFormula );
> > > >
AA.Backtest();
> > > > }
> > > > catch ( err
)
> > > > {
> > > >
> > > >
}
> > > >
> > > > finally
> > >
>
> > > > {
> > > > Doc.Close();
> >
> > }
> > > > WScript.Sleep( 1000 );
> > >
> }
> > > > }
> > > >
> > >
>
> > > > Regarding the failures, the lastest failure is
inside the custom
> > > > backtester code, on the line that
says bo.Backtest(). The error message
> > > > alert
says:
> > > >
> > > > Error 19.
> >
> > COM method/function 'Backtest' call failed.
> > >
>
> > > > Internal application error.
> > >
>
> > > > Earlier, I was getting occasional errors in the
jscript on the line that
> > > > says Doc = AB.Documents.Open(
Stk.Ticker ); .
> > > > I don't recall the error message. My
stocks have not changed and I was
> > > > running the same
script with errors occurring at different times. I
> > > >
added the Sleep calls to maybe avoid the problem, but it kept
happening.
> > > > I wrapped a try ... catch around the whole
body of the loop to hopefully
> > > > continue even if an error
occurs, but now I am getting the error
> > > > described above
inside.
> > > >
> > > > Any suggestions
appreciated.
> > > >
> > > > dan
> >
> > daniel.laliberte@
> > > >
> > >
>
> >
> > >
> >
> >
> >
>
> --
> > Daniel LaLiberte
> > liberte@
> >
daniel.laliberte@
> >
>
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