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Mike,
I thought that only happened when one argument was an array and the
other argument had to be converted to an array to match. If I am
mistaken about that, then I will indeed change some of my approaches.
However, since an IF operator would give a runtime error if you hand
it an array as a condition, I don't think that is the case if you keep
all arguments as scalers. I have been quite successful with IIF
handing me back scalers for scaler arguments.
Only TJ would know for sure what is happening inside AFL and perhaps
he will comment on this.
BR,
Dennis
On Jan 9, 2009, at 8:36 PM, Mike wrote:
> Dennis,
>
> My understanding is that when passing a scalar as argument when an
> array is expected, then an *entire* array is constructed on the fly
> (i.e. as many elements as there are bars under analysis) such that all
> elements of the transient array contain the same value - the scaler.
>
> So, taking your example in a 500 bar analysis, you will have created a
> 500 element array for each of (a>b), (b>c), (b<c) and the result of
> IIf. That's 2000 positions in memory that you did not need!
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>>
>> Mike,
>>
>> Isn't it great how many ways there are to solve the same problem --
>> depending on your frame of mind.
>>
>> One thing I did not understand about your statement though.
>> IIF(condition1, condition2, condition3) does not generate any arrays.
>> For example:
>>
>> a=1; b=2; c=3;
>>
>> IF( IIF( a>b, b>c, b<c)){statements}
>>
>> No arrays involved. Although you could conceptually say that every
>> number is an array in AFL --some with just one element.
>>
>> When the conditions are simple like above, execution efficiency does
>> not come into play.
>>
>> But you are right in that both parts of an IIF are evaluated and that
>> can make a difference with big arrays.
>>
>> It is important for all to throughly understand the flow control and
>> the IIF() operators since they are the key to program logic. Getting
>> tripped up a few times usually does the trick (in my case). That is
>> one good reason for newbies to try different ways.
>>
>> BR,
>> Dennis
>>
>> On Jan 9, 2009, at 7:05 PM, Mike wrote:
>>
>>> Ok, I give up. Clearly the Yahoo rich text editor is having troubles
>>> :( Or maybe it's the Google Chrome browser causing the grief?
>>>
>>> For the sake of efficiency, I'd go with an if-else
>>> instead of creating so many intermediary arrays (condition1,
>>> condition2, condition3, resulting IIf) and executing 2 expressions
>>> (condition2 and condition3 as per IIf behavior) instead of just 1.
>>> You
>>> could break out the clauses to make the intent more evident.
>>>
>>> if (condition1) {
>>> if (condition2) {
>>> ...
>>> }
>>> } else if (condition3) {
>>> ...
>>> }
>>>
>>> Mike
>>>
>>> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
>>>>
>>>>
>>>> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
>>>>>
>>>>>
>>>>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown see3d@ wrote:
>>>>>>
>>>>>> The way I keep them straight is to think of IF( condition) as a
>>> flow
>>>>>> control that will only take a True/False scaler, and IIF as an
>>>>>> operator that returns an array or scaler value.
>>>>>>
>>>>>> I sometimes use IIF(condition, 1, null) as a special type of
>>>> boolean.
>>>>>>
>>>>>> You could write IF( IIF( condition1, condition2, condition3 ) )
>>>>>> instead of writing IF( ( condition1 AND condition2 ) OR
>>>>>> ( NOT( condition1 ) AND condition3 ) )
>>>>>>
>>>>>> I prefer the first one for readability of intent.
>>>>>>
>>>>>> IIF can be very useful with scalers.
>>>>>>
>>>>>> BR,
>>>>>> Dennis
>>>>>>
>>>>>>
>>>>>> On Jan 9, 2009, at 3:16 PM, ozzyapeman wrote:
>>>>>>
>>>>>>> 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@ 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();
>>>>>>>>>>>>>>>>> }
>>>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>>
>>>>>>>>>>>>>>
>>>>>>>>>>>>>
>>>>>>>>>>>>
>>>>>>>>>>>
>>>>>>>>>>
>>>>>>>>>
>>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>> ------------------------------------
>>>>>>>
>>>>>>> **** IMPORTANT ****
>>>>>>> This group is for the discussion between users only.
>>>>>>> This is *NOT* technical support channel.
>>>>>>>
>>>>>>> *********************
>>>>>>> TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
>>>>>>> directly to
>>>>>>> SUPPORT {at} amibroker.com
>>>>>>> *********************
>>>>>>>
>>>>>>> For NEW RELEASE ANNOUNCEMENTS and other news always check
>>> DEVLOG:
>>>>>>> http://www.amibroker.com/devlog/
>>>>>>>
>>>>>>> For other support material please check also:
>>>>>>> http://www.amibroker.com/support.html
>>>>>>>
>>>>>>> *********************************
>>>>>>> Yahoo! Groups Links
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>
>>>>>
>>>>
>>>
>>>
>>> ------------------------------------
>>>
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>>> This group is for the discussion between users only.
>>> This is *NOT* technical support channel.
>>>
>>> *********************
>>> TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
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>>>
>>>
>>>
>>
>
>
>
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