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Mike,
Thank you yet again! The code works, and your insights are very helpful.
Each time I think I've coded something correctly, seems I actually
have a number of basic bugs or sloppy implementation. Getting the hang
of when to use array functions (iif) vs scalar (if) can also be
confusing sometimes.
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
>
> Ozzy,
>
> You've got a few things going on:
>
> 1. You should not be using IIf in this scenario. Because all values are
> scalers, you should just use a simple if statement.
>
> 2. Since you are initializing WinTest to 0, no WinPct will ever be less
> than it and FinalFast will never be changed from its initial value of 0.
> You must instead initialize WinTest to greater than 100.
>
> 3. You need to do some rudimentary validation on the input data before
> blindly trying to work with it. Even after correcting the 2 issues
> above, the last line of your file may be a blank line. This causes
> StrExtract to return an empty string "" which StrToNum then converts to
> a 0. Thus, your lowest %Win would be found to be 0 as would the
> associated fast.
>
> Some additional thoughts:
>
> 1. No need to seperate out the first line read, do it all in the same
> while loop.
>
> 2. Move the fclose(fh) inside the if (fh) block.
>
> 3. Good practice to move variables into the smallest scope within which
> they will be used.
>
> Have a try with the following:
>
> FinalFast = 0;
>
> fh = fopen( "C:\\logFile2.txt", "r" );
>
> if ( fh )
> {
> WinTest = 101;
>
> while ( !feof( fh ) )
> {
> Line1 = fgets( fh );
> WinsPctStr = StrExtract( Line1, 2 );
>
> if ( WinsPctStr == "" )
> {
> continue;
> }
>
> WinsPct = StrToNum( WinsPctStr );
>
> if ( WinsPct < WinTest )
> {
> FinalFast = StrToNum( StrExtract( Line1, 0 ) );
> WinTest = WinsPct;
> }
> }
>
> fclose( fh );
> }
>
> _TRACE( NumToStr( FinalFast ) );
>
>
> Mike
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> >
> > Having a bit of trouble designing a simple parser to extract values
> from
> > a csv file. My code only seems to work for some cases, but not others,
> > and I can't seem to figure out why.
> >
> > I have a csv log file with three columns: FastMa, SlowMA, %Winners:
> >
> > 11,100,32
> > 22,100,35
> > 31,100,36
> > 43,100,37
> > 52,100,38
> > 23,125,32
> > 32,125,35
> > 44,125,36
> > 53,125,48
> > 12,150,31
> > 25,150,33
> > 34,150,32
> > 46,150,35
> > 54,150,36
> > 26,175,31
> > 36,175,34
> > 47,175,34
> > 55,175,36
> > 27,200,29
> > 37,200,33
> > 48,200,34
> > 57,200,36
> >
> > If I want to extract the value of the FastMA that corresponds to the
> > largest %Winner, the following code works correctly and prints the
> value
> > "53":
> >
> >
>
//----------------------------------------------------------------------\
> \
> > --------
> > // PARSER VERSION 1: Find value of FastMA that corresponds to largest
> > %Winners
> >
>
//----------------------------------------------------------------------\
> \
> > --------
> >
> >
> > fh = fopen( "C:\\logFile2.txt", "r" );
> >
> > FinalFast = WinsPct = WinTest = fast = slow = 0;
> >
> > if(fh)
> > {
> > Line1 = fgets(fh);
> > WinsPct = StrToNum( StrExtract(Line1,2) );
> > WinTest = WinsPct; // initialize WinTest
> >
> > while( !feof(fh) )
> > {
> > Line1 = fgets(fh);
> >
> > fast = StrToNum( StrExtract(Line1,0) );
> > slow = StrToNum( StrExtract(Line1,1) );
> > WinsPct = StrToNum( StrExtract(Line1,2) );
> >
> > FinalFast = IIf(WinsPct > WinTest, fast, FinalFast);
> >
> > _TRACE("FinalFast"+FinalFast);
> >
> > WinTest = IIf(WinsPct > WinTest, WinsPct, WinTest);
> >
> > _TRACE("WinTest"+WinTest);
> >
> > }
> > }
> > fclose(fh);
> >
> > printf(NumToStr(FinalFast) );
> >
> >
> > But if I want to extract the value of the FastMA that corresponds to
> the
> > smallest %Winners, and simply change all ">" to "<", the code should
> > work. But it doesn't. Intead of printing "27", it prints "0". Why are
> > the values being reset to initialization, when it did not happen with
> > the case above? Below is the code. As mentioned, the only trivial
> > difference are the inequalities. Otherwise, it's identical to the
> above.
> >
> > Any feedback much appreciated.
> >
> >
> >
>
//----------------------------------------------------------------------\
> \
> > --------
> > // PARSER VERSION 2: Find value of FastMA that corresponds to smallest
> > %Winners
> >
>
//----------------------------------------------------------------------\
> \
> > --------
> >
> >
> > fh = fopen( "C:\\logFile2.txt", "r" );
> >
> > FinalFast = WinsPct = WinTest = fast = slow = 0;
> >
> > if(fh)
> > {
> > Line1 = fgets(fh);
> > WinsPct = StrToNum( StrExtract(Line1,2) );
> > WinTest = WinsPct; // initialize WinTest
> >
> > while( !feof(fh) )
> > {
> > Line1 = fgets(fh);
> >
> > fast = StrToNum( StrExtract(Line1,0) );
> > slow = StrToNum( StrExtract(Line1,1) );
> > WinsPct = StrToNum( StrExtract(Line1,2) );
> >
> > FinalFast = IIf(WinsPct < WinTest, fast, FinalFast);
> >
> > _TRACE("FinalFast"+FinalFast);
> >
> > WinTest = IIf(WinsPct < WinTest, WinsPct, WinTest);
> >
> > _TRACE("WinTest"+WinTest);
> >
> > }
> > }
> > fclose(fh);
> >
> > printf(NumToStr(FinalFast) );
> >
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" zoopfree@ wrote:
> > >
> > > 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@ 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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