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Mike
Thanks a lot for your explanation, I will do more reading & coding to
test the idea.
Best regards/huanyan
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Answer 1: No. That would be putting the cart before the horse. You
> cannot have any trades until after the Signals have been processed.
>
> Answer 2: You'll have to experiment. You would have to write the
code
> such that it only ever pushed a repeat of the last trade's
cumProfit
> once it was confirmed that you have stopped trading. Otherwise, you
> should continue waiting for the next trade.
>
> Note; There is a lengthy thread in the forum regarding trading the
> equity curve. Perhaps you can get something of value from it:
>
> http://finance.groups.yahoo.com/group/amibroker/message/127218?
> o=0&var=1&l=1
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "huanyanlu" <huanyan2000@> wrote:
> >
> > 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@> 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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