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Interestingly, the following does not work (as expected) despite
having constant value throughout the array. So, perhaps the result
returned by IIf is special (as opposed to generically any array of a
single value being valid as a scalar)?
d = H > L;
if (d) {
...
}
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Dennis,
>
> I was actually quite surprised that your code would even parse.
> Logically, I would expect the conversion to happen anytime a scalar was
> passed where an array was expected. Otherwise, how would the receiver
> know what to do with it?
>
> I've done some testing, and it would seem to confirm that full arrays
> are created. BUT when the entire array contains the same value (or
> perhaps some other special handling), it would appear that that array
> can validly be interpretted as a scalar.
>
> Run a scan over a period with the different assignments for 'a' in the
> following code;
>
> In the first case, there is no parse error. Yet, an array dereference is
> permitted and a value is printed for each bar (i.e. 'd' is an array
> despite being accepted by the flow control if statement).
>
> In the second case, the expected parse error is flagged (i.e. 'd' is an
> array and thus is not permitted for use by the flow control if
> statement).
>
> Buy = Sell = 0;
>
> a = 1; b = 2; c = 3;
> //a = High; b = Low; c = Close;
>
> d = IIf((a>b), (b>c), (b<c));
>
> if (d) {
> for (i = 0; i < Barcount; i++) {
> _TRACE("" + d[i]);
> }
> }
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
> >
> > 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@ 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
> > >>>>>>>
> > >>>>>>>
> > >>>>>>>
> > >>>>>>
> > >>>>>
> > >>>>
> > >>>
> > >>>
> > >>> ------------------------------------
> > >>>
> > >>> **** 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
> > >>>
> > >>>
> > >>>
> > >>
> > >
> > >
> > >
> > > ------------------------------------
> > >
> > > **** 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
> > >
> > >
> > >
> >
>
------------------------------------
**** 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:
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For other support material please check also:
http://www.amibroker.com/support.html
*********************************
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