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Hi Mike
Thanks for the explanation of the procedure persisttrade, I replaced
tradeprofit by cumprofit and now the backtest shows MA of cum.profit
correctly.
The next step , I want to use mid-level custom backtest to indicate
either taking or neglecting a signal. ( something like
if ( sign(Cumprofit-Avgtrades()))
possize=-10;
else
possize=0; )
I have two questions here:
1--Generally speaking, is it possible to do some calculation based
on metrics I got from trade object to filter the signals ? ( If some
signals are filtered out, then the trades staying in the trade object
will not be the same as the original ones on which the metrics of
trade object was based )
2--Specific to my idea
Signal object in amibroker seems to be engaging in a bar-to-bar
checking of the signals. And as you mentioned, my average of
cum.proft in the previous code is trade-by-trade statistics. Is it
possible to fill the gap between two. ( For example ,do a bar-to-bar
iteration first , if MA_cumprofit does not exist, then assign it to
be ref(MA_cumprofit ,-1) ?
Or maybe from the start my idea is wrong, then is it possible to
trade the equitry curve in some other way with custome backtester
function of amibroker ?
Thanks for your help & best regards/ huanyan
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> PersistTrade just just acts as a queue to keep track of the
last 'n'
> values, first in first out (FIFO). As new values get added, the
oldest
> values are dropped.
>
> http://en.wikipedia.org/wiki/Queue_(data_structure)
>
> Since AmiBroker does not provide this type of structure natively,
we
> can instead leverage an AmiBroker feature called dynamic variables
> (i.e.store values in variables named t1, t2, t3, ...tn).
>
> http://www.amibroker.com/guide/afl/afl_view.php?id=259
>
> The approach is generic brute force in nature. To track the MA of
> cumulative profit instead of trade profit, have your custom
backtest
> code pass cumProfit to PersistTrade instead of tradeProfit.
>
> However, I believe that your intended usage is flawed.
>
> Since you do not have a bar by bar collection of values, but rather
a
> trade by trade collection, once you stop trading the MA will never
re-
> approach the equity curve. In the absence of any new trades, no new
> values will be introduced and no existing values will get bumped
out
> of the queue, resulting in a stalled MA at the cumulative profit of
> the last 'n' trades. In other words, your MA will no longer move
> forward in time.
>
> By contrast, in a true bar by bar MA, new (albeit unchanged) values
> are still added to the queue, even though no new trade has taken
> place, bumping out older values. Eventually, the queue would
contain
> 'n' identical values (the cumProfit of the last trade) and be equal
to
> the current equity curve. Your trade by trade approach will not do
> this.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "huanyanlu" <huanyan2000@> wrote:
> >
> > Hi Mike
> >
> > Thanks for the codes. I tested it , it displays the second
metrics ,
> > but it seems to be the 30 unit average of the profit of the last
30
> > trades, rather than the 30 unit average of the cum.profit of the
> last
> > 30 trades. ( The reason that I want to display the MA30 of the
last
> > cum.profit is that this is equivalent to the 30 unit average on
the
> > equity curve, then later I can trade the equity curve by only
take
> > those signals when the equity curve is above its own 30 unit
> > average , and neglect the signals when the equity curve is below
its
> > 30 unit average , so here I need MA30 of cum.profit, not MA30 of
> > profit ) .Would you please explain what does the procedure
> > PersistTrade do here.
> >
> > I replaced 30 by a variable "n " in your codes, and set the
default
> > lookback period as 10 ( which made it easier for me to realize
the
> > second metrics in your codes is actually average of trade
profit. )
> >
> > The code so far then is as follows.
> >
> >
> >
> >
> > ==========================================================
> >
> >
> > n=Param("Lookbackperiod for equity curve",10,1,200,1);
> >
> >
> > procedure PersistTrade( profit )
> > {
> > local t;
> >
> > // Add to first open slot.
> >
> > for ( t = 0; t < n; t++ )
> > {
> > if ( IsNull( VarGet( "t" + t ) ) )
> > {
> > VarSet( "t" + t, profit );
> > break;
> > }
> > }
> >
> > if ( t == n )
> > {
> > // All slots currently occupied, need to bump oldest.
> >
> > for ( t = 0; t < n-1; t++ )
> > {
> > VarSet( "t" + t, VarGet( "t" + ( t + 1 ) ) );
> > }
> >
> > VarSet( "t" + t, profit );
> > }
> > }
> >
> > function AvgTrades()
> > {
> > local cumProfit;
> > local t;
> >
> > cumProfit = 0;
> >
> > for ( t = 0; t < n; t++ )
> > {
> > cumProfit += VarGet( "t" + t );
> > }
> >
> > return ( cumProfit / n );
> > }
> >
> > SetCustomBacktestProc( "" );
> >
> > if ( Status( "action" ) == actionPortfolio )
> > {
> > for ( t = 0; t < n; t++ )
> > {
> > VarSet( "t" + t, Null );
> > }
> >
> > bo = GetBacktesterObject();
> >
> > bo.Backtest( 1 ); // run default backtest at notradelist mode
> >
> > cumProfit = 0;
> > numTrades = 0;
> >
> > for ( trade = bo.GetFirstTrade(); trade; trade =
bo.GetNextTrade
> > () )
> > {
> > tradeProfit = trade.GetProfit();
> > cumProfit += tradeProfit;
> > PersistTrade( tradeProfit );
> >
> > trade.AddCustomMetric( "custom cum profit",
cumProfit ); //
> > value of this metrics should be same as the built -
in "cum.profit"
> >
> > numTrades++;
> >
> > if ( numtrades >= n )
> > {
> > trade.AddCustomMetric( "MA of cum profit", AvgTrades
()
> );
> >
> > }
> > else
> > {
> > trade.AddCustomMetric( "MA of cum profit", Null );
> >
> > }
> > }
> >
> > bo.ListTrades();
> > }
> >
> >
> > //===========a simple trading system ================
> >
> > fast = Optimize( "fast", 12, 5, 20, 1 );
> > slow = Optimize( "slow", 26, 10, 25, 1 );
> >
> > Buy = Cross( MACD( fast, slow ), Signal( fast, slow ) );
> > Sell = Cross( Signal( fast, slow ), MACD( fast, slow ) );
> >
> > Short = Sell;
> > Cover = Buy;
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > >
> > >
> > > Hi,
> > >
> > > The MA function returns an array, yet you are trying to store
it
> in
> > a
> > > scaler (i.e. a non array variable). Similarly, MA expects an
array
> > as
> > > argument, but you are passing it a scaler.
> > >
> > > You cannot use arrays to track the trades since you may have
more
> > trades
> > > than bars (array length is dictated by number of bars).
Therefore,
> > you
> > > will need to calculate the moving average yourself.
> > >
> > > Run the following code and see if it does what you're after. I
> have
> > not
> > > tested it extensively, but it should at least get you started.
To
> > > improve upon it, add a Parameter instead of hard coding the
value
> 30
> > > everywhere: http://www.amibroker.com/guide/afl/afl_view.php?
id=203
> > > <http://www.amibroker.com/guide/afl/afl_view.php?id=203>
> > >
> > > Mike
> > >
> > > procedure PersistTrade( profit )
> > > {
> > > local t;
> > >
> > > // Add to first open slot.
> > >
> > > for ( t = 0; t < 30; t++ )
> > > {
> > > if ( IsNull( VarGet( "t" + t ) ) )
> > > {
> > > VarSet( "t" + t, profit );
> > > break;
> > > }
> > > }
> > >
> > > if ( t == 30 )
> > > {
> > > // All slots currently occupied, need to bump oldest.
> > >
> > > for ( t = 0; t < 29; t++ )
> > > {
> > > VarSet( "t" + t, VarGet( "t" + ( t + 1 ) ) );
> > > }
> > >
> > > VarSet( "t" + t, profit );
> > > }
> > > }
> > >
> > > function AvgTrades()
> > > {
> > > local cumProfit;
> > > local t;
> > >
> > > cumProfit = 0;
> > >
> > > for ( t = 0; t < 30; t++ )
> > > {
> > > cumProfit += VarGet( "t" + t );
> > > }
> > >
> > > return ( cumProfit / 30 );
> > > }
> > >
> > > SetCustomBacktestProc( "" );
> > >
> > > if ( Status( "action" ) == actionPortfolio )
> > > {
> > > for ( t = 0; t < 30; t++ )
> > > {
> > > VarSet( "t" + t, NULL );
> > > }
> > >
> > > bo = GetBacktesterObject();
> > >
> > > bo.Backtest( 1 ); // run default backtest at notradelist
mode
> > >
> > > cumProfit = 0;
> > > numTrades = 0;
> > >
> > > for ( trade = bo.GetFirstTrade(); trade; trade =
> > bo.GetNextTrade() )
> > > {
> > > tradeProfit = trade.GetProfit();
> > > cumProfit += tradeProfit;
> > > PersistTrade( tradeProfit );
> > >
> > > trade.AddCustomMetric( "custom cum profit",
cumProfit );
> //
> > > value of this metrics should be same as the built - in
> "cum.profit"
> > >
> > > numTrades++;
> > >
> > > if ( numtrades >= 30 )
> > > {
> > > trade.AddCustomMetric( "MA30 of cum profit",
> AvgTrades
> > () );
> > > }
> > > else
> > > {
> > > trade.AddCustomMetric( "MA30 of cum profit",
NULL );
> > > }
> > > }
> > >
> > > bo.ListTrades();
> > > }
> > >
> > >
> > > //===========a simple trading system ================
> > >
> > > fast = Optimize( "fast", 12, 5, 20, 1 );
> > > slow = Optimize( "slow", 26, 10, 25, 1 );
> > >
> > > Buy = Cross( MACD( fast, slow ), Signal( fast, slow ) );
> > > Sell = Cross( Signal( fast, slow ), MACD( fast, slow ) );
> > >
> > > Short = Sell;
> > > Cover = Buy;
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "huanyanlu" <huanyan2000@>
> wrote:
> > > >
> > > > Hi,
> > > >
> > > > After some reading, now I am able to put up some codes as
> > attached. I
> > > > want to add two custom per-trade metrics. One is "custom cum
> > profit",
> > > > this metrics already appear in the built-in backtester, I add
> > this as
> > > > custom metrics in order to confirm that I am in the right
> > direction.
> > > > The second custom metrics is what I really need to add, that
> > is "MA30
> > > > of cum profit".
> > > >
> > > > I succeeded in adding the first custom metrics "custom cum
> > profit",
> > > > but failed in getting the second done. The backtester shows
zero
> > > > for "MA30 of cum profit"" the first 30 trades and blank from
the
> > > > 31th trade. Did I miss something here, why I cannot use the
> > function
> > > > MA() here correctly ?
> > > >
> > > > thanks for any help
> > > >
> > > > huanyan
> > > >
> > > > ==========================================================
> > > >
> > > > SetCustomBacktestProc("");
> > > >
> > > >
> > > > if( Status("action") == actionPortfolio )
> > > > {
> > > > bo = GetBacktesterObject();
> > > >
> > > > bo.Backtest(1); // run default backtest at notradelist mode
> > > >
> > > > Cumprofit = 0;
> > > > NumTrades = 0;
> > > > MA30_profit=0;
> > > >
> > > > // iterate through closed trades first
> > > > for( trade = bo.GetFirstTrade(); trade; trade =
bo.GetNextTrade
> > > > () )
> > > > {
> > > >
> > > > Cumprofit = Cumprofit+ trade.Getprofit();
> > > >
> > > > trade.AddCustomMetric("custom cum profit",Cumprofit ); //
> > > > value of this metrics should be same as the built-in
> "cum.profit"
> > > >
> > > >
> > > >
> > > > NumTrades++;
> > > >
> > > > if(numtrades>=30)
> > > > {MA30_profit=MA(Cumprofit,30);}
> > > >
> > > > trade.AddCustomMetric("MA30 of cum profit",MA30_profit );
> > > > }
> > > >
> > > > bo.ListTrades();
> > > >
> > > > }
> > > >
> > > >
> > > > //===========a simple trading system ================
> > > >
> > > > fast = Optimize("fast", 12, 5, 20, 1 );
> > > > slow = Optimize("slow", 26, 10, 25, 1 );
> > > > Buy=Cross(MACD(fast,slow),Signal(fast,slow));
> > > > Sell=Cross(Signal(fast,slow),MACD(fast,slow));
> > > >
> > > > Short=Sell;
> > > > Cover=Buy;
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> > > > >
> > > > > Start with the document titled "AmiBroker Custom Backtester
> > > > > Interface.pdf" found in the Files section of this group
> > published
> > > > by
> > > > > gp_sydney:
> > > > >
> > > > > http://f1.grp.yahoofs.com/v1/sPtkSfaX2ek2RCVbqqJOCJA2R_-
> > > > > armYEr2K2MmIWnAHp_8p2ZKxwE4WR0554peVNTIdd--
> > > > > CzFINIbYE5z51vkgAozgCxi0yI/AmiBroker%20Custom%20Backtester%
> > > > > 20Interface.pdf
> > > > >
> > > > > Mike
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "huanyanlu" <joesan99@>
> wrote:
> > > > > >
> > > > > > Hi,
> > > > > > I have a simple question about custom backtesting.
> > > > > > I want to add a column of 30-trades average of the cum of
> > profit
> > > > > into
> > > > > > the tradelist of the backtest result. How to implement
this
> in
> > > > AFL ?
> > > > > >
> > > > > > Thanks for any help
> > > > > >
> > > > > > huanlan
> > > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
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