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Mike,
Yes, in your example, d is converted to an array when you do a d[i],
not before. In fact I am not sure it is actually converted to an
array at all, but just an array element is allowed for a scaler at
runtime since any the value of any subscript is the same as no
subscript. TJ does a lot of internal optimizations to keep from
generating a lot of unnecessary storage or calculations. He had had
years to work on this ;-)
I am pretty sure that just about anyplace the documentation says it
takes an array, it will also take a scaler and do the right thing.
BR,
Dennis
On Jan 9, 2009, at 9:50 PM, Mike wrote:
> Ok, so ignore that last post. It was already handled in the second
> case of the previous post.
>
> So now, I wonder if IIf really is returning a scaler for the first
> scenario, as you suspected (despite the documentation saying that it
> returns an array), but the [] operator is converting the scaler 'd' to
> an array?
>
> I'll stop now, in hopes that Tomasz will clarify.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>>
>> 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@> 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:
> 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
*********************************
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