----- Original Message -----
Sent: Thursday, November 06, 2008 1:45
PM
Subject: Re: [amibroker] Re: How to use
AddCustomMetric() to add external values
Thank you for your comments Mike.
Yes, actionPortfolio works for me too. actionBacktest Does not - I don't
know what that one is for.
The part of my OLE I want to improve is:
1) Run Individual Backtests on a Watchlist and save the report.
2) calculate custom metrics and merge them with the above report
3) Explore/Sort/Display this file with an Exploration.
This involves a lot of file handling and extra code. This is the part I am
trying to streamline.
Since BT Metrics are only available AFTER a Backtests and we have no metric
functions in afl I cannot use the BT metrics in the formula being Backtested.
I spend a lot of time but failed to make in-line calculated metrics match
those produced by the Backtester. It looks like I have to run two sequential
Backtests. Do my calculations using the metrics after the first BT, then pass
them to the second BT, to use my custom metrics in my system and get them
included in my report.
Nothing is ever easy ;-)
herman
Tuesday, November 4, 2008, 9:44:18 PM, you wrote:
> Herman,
> Adding a simple metric at the portfolio level is, as
you would
> expect, very straight forward. See the user
guide:
>
http://www.amibroker.com/guide/a_custommetrics.html
> I do not know whether idividual backtests are
treated any differently
> than portfolio level backtest. I have not
experimented with that.
> My guess would be that, as an implementation detail,
the exact same
> code is run from an internal watchlist of length 1
rather than the
> entire contents of your actual multi symbol
watchlist. That being the
> case, then Name() will still not work for you due to
the same reasons
> that Open, Close, etc. do not work (i.e. there is no
current symbol
> even with a portfolio that happens to be of size
1).
> What is unique about your scenario is that you
appear to want to do
> something with individual symbols before completing
the post
> processing.
> The typical scenario would be to simply let the
backtester run to
> completion, then query the system wide performance
stats from which
> to derive your own metric. Also common would be to
reference
> composites constructed along the way via
Foreign
> ("~MyComposite", "X"). If you can push your logic
into the
> calculation of a composite, that might
help.
> P.S. I've always used actionPortfolio without any
problem, as per the
> user guide link above. I haven't tried from OLE, but
doubt that it
> would make a difference.
> I don't see any explicit description for
actionPortfolio anywhere
> (only it's actual usage in examples), and the only
description I see
> for actionBacktest is when using Status("actionEx")
as opposed to
> Status("action"). Yet, there are developer notes
mentioning
> actionBacktest that predate "actionEx". Still, I
would stick with
> actionPorfolio unless you find a reason not
to.
> Mike
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