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My bad. I had changed the location of the file in one area of the code
and neglected the other.
It works.
Thanks a bunch!!
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Awesome, Mike. That's exactly the type of thing I was looking for.
>
> One problem, though. I try to run your code and only the column
> titles, "Fast,Slow,PCTWin" get written to the file. The actual values
> are not getting written, despite the fact that my optimization reports
> shows many values corresponding to % winners > 60.
>
> Looking at the trace output indicates the number of triggers are being
> properly hit. Your code also appears to be quite straightforward, and
> I cannot spot any obvious bug.
>
> Did you try running this? Does it work for you? Any idea where the bug
> might be?
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > AddToComposite is for storing values on a bar by bar basis. I don't
> > think that this would be the right approach for your goals, since you
> > are looking for a single scaler value representing total
performance for
> > a given period. Yes, you could write scripts to dig out the
performance
> > metrics and persist the subset of interest. However, it would be
easier
> > to just track the interesting ones as they occur. The following
AFL can
> > be run through the Optimizer and persist in a separate file the
> > parameter values for only those backtests that were of interest. I'll
> > leave the digging out of values in the second AFL to you, as it sounds
> > like you have an idea already of how you want to do that. Mike
> > fast = Optimize("Fast", 10, 10, 50, 10); slow = Optimize("Slow", 100,
> > 100, 200, 25);
> > Buy = Cross(MA(Close, fast), MA(Close, slow)); Sell = Cross(MA(Close,
> > slow), MA(Close, fast));
> > SetCustomBacktestProc("");
> > if (Status("ActionEx") == actionExOptimizeSetup) {
> > _TRACE("Optimize Begin"); fh =
> > fopen("C:\\temp\\logFile.csv", "w");
> > if (fh) { fputs("Fast,Slow,PCTWin\n", fh);
> > fclose(fh); } }
> > if (Status("action") == actionPortfolio) { _TRACE("Portfolio
> > Backtest"); bo = GetBacktesterObject(); bo.Backtest();
> > stats = bo.GetPerformanceStats(0); pctWinners =
> > stats.getValue("WinnersPercent");
> > if (pctWinners > 60) { _TRACE("Trigger"); fh =
> > fopen("C:\\temp\\logFile.csv", "a");
> > if (fh) {
> > fputs(StrFormat("%f,%f,%f\n", fast, slow, pctWinners), fh);
> > fclose(fh);
> > } }
> > } --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> > >
> > > Sorry if I was not clear enough. I will try to give more details.
> > >
> > > Basically I want to run an optimization on two variables, then
> > > somehow, automatically, store all values of optimized variables that
> > > correspond to a certain metric range (let's say %Winners > 60).
> > > Another AFL would then pull that range of optimized variables for a
> > > backtest.
> > >
> > > I would use the Walk Forward feature of AmiBroker for this,
except it
> > > only uses the 'best' value, not a range of values. My system
requires
> > > a range of values, not just the best one. I also want to permanently
> > > store the best values.
> > >
> > > I am stuck trying to figure out how to automatically pull the
> > > optimized variables from the optimization report. The custom
> > > backtester only allows me to pull the built-in metrics.
> > >
> > > So the basic question is - how do I extract the optimized variables
> > > after an optimization is run? Do I have to write some vbscript that
> > > exports the report to csv, then opens that report, then somehow
parses
> > > through that report to find the correct column and range? Or is
there
> > > (hopefully) a simpler way of extracting the values?
> > >
> > > Once the values are extracted, it is then fairly easy to either
write
> > > them to a file or store them in static variables. But I am aiming to
> > > store them in composite symbols, as (a) they are 'permanent' like
> > > external files and (b) my sense is that it is more efficient to pull
> > > values from a composite symbol than from an external file.
> > >
> > > As I run through optimizations across different historical
periods, I
> > > want to build a number of composite symbols that contain the 'best
> > > values' of optimized variables for use in 'walk forward' backtests,
> > > and then eventual live trading.
> > >
> > > Hopefully the above is clearer now. Please let me know if not.
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> > > >
> > > > You would have to be a little more clear on exactly what it is you
> > are
> > > > trying to accomplish. Though, writing to a file directly, or using
> > > > static variables might be areas to explore.
> > > >
> > > > Mike
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> > > > >
> > > > > Ah. Well that would explain that. Thanks.
> > > > >
> > > > > Any ideas for a possible workaround?
> > > > >
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > > > > >
> > > > > > Ozzy,
> > > > > >
> > > > > > The Stats object only contains values for built in metrics as
> > > > > > described here (scroll to bottom):
> > > > > >
> > > > > > http://www.amibroker.com/guide/a_custombacktest.html
> > > > > >
> > > > > > Mike
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@>
> > wrote:
> > > > > > >
> > > > > > > Hello, I've read Herman's excellent doc, "IntroToATC".
> > > > > > >
> > > > > > > I am trying to run an optimization, and then store the
values
> > of
> > > > the
> > > > > > > optimized variables in some composite symbols. I later
want to
> > > > pull
> > > > > > > values of a certain range and input them automatically in
> > > > another
> > > > > > AFL.
> > > > > > > However, I keep getting a syntax error that the fields
are not
> > > > > > > available, even though they clearly are.
> > > > > > >
> > > > > > > Hoping someone can point out my mistake, or give me some
> > > > > > suggestions on
> > > > > > > what else to try.
> > > > > > >
> > > > > > > Here is the code. Any ideas? :
> > > > > > >
> > > > > > >
> > > > > > >
> > //--------------------------------------------------------------
> > > > ----
> > > > > > --
> > > > > > > // TRADING SYSTEM
> > > > > > >
> > //--------------------------------------------------------------
> > > > ----
> > > > > > --
> > > > > > >
> > > > > > > FastMALength = Optimize("FastMALength", 10, 1,
10,
> > >
> > > > > > 1);
> > > > > > > SlowMALength = Optimize("SlowMALength", 20, 20, 50,
> > > > > > 10);
> > > > > > >
> > > > > > > FastMA = MA( C, FastMALength );
> > > > > > > SlowMA = MA( C, SlowMALength );
> > > > > > > Buy = Cross( FastMA, SlowMA );
> > > > > > > Sell = Cross( SlowMA, FastMA );
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > //--------------------------------------------------------------
> > > > ----
> > > > > > --
> > > > > > > // CUSTOM OPTIMIZATION PROCEDURE (Store opt vars in
composite
> > > > > > symbols)
> > > > > > >
> > //--------------------------------------------------------------
> > > > ----
> > > > > > --
> > > > > > >
> > > > > > > SetCustomBacktestProc( "" );
> > > > > > >
> > > > > > > if ( Status( "action" ) == actionPortfolio )
> > > > > > > {
> > > > > > > bo = GetBacktesterObject();
> > > > > > >
> > > > > > > // run default backtest procedure
> > > > > > > bo.Backtest( 1 );
> > > > > > >
> > > > > > > st = bo.getperformancestats( 0 );
> > > > > > >
> > > > > > > // iterate through closed trades first
> > > > > > > for ( trade = bo.GetFirstTrade(); trade; trade =
> > > > bo.GetNextTrade
> > > > > > () )
> > > > > > > {
> > > > > > > FastMALength = st.getvalue( "FastMALength" );
> > > > > > > SlowMALength = st.getvalue( "SlowMALength" );
> > > > > > >
> > > > > > > AddToComposite( FastMALength, "~OptFastMA", "X",
> > > > 1+2+8+16+64 );
> > > > > > > AddToComposite( SlowMALength, "~OptSlowMA", "X",
> > > > 1+2+8+16+64 );
> > > > > > > }
> > > > > > > bo.ListTrades();
> > > > > > > }
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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