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Hi TJ - I sent a couple of messages to support on
this topic maybe 3-4 weeks ago and never received any reply. Sorry, I have
deleted them now so can't give you a ticket number. The only problem with this
method is that I don't see any way to sort the results by ticker. The first
column shows the ticker symbol but it is preceded by the opt step and so won't
sort by ticker. I tried to get around this by using the CBT to add a column with
*only* the ticker name but that doesn't sort properly either. Could you please
give me your thoughts on this, whether it is a sorting bug or whether there is
any way to work around it, etc? Thank you very much.
Steve
----- Original Message -----
Sent: Wednesday, October 29, 2008 5:22
AM
Subject: Re: [amibroker] Re: Auto
optimize all stocks
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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