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Ozzy,
You can probably do what you want from within custom backtester code. You can track single bar values bar by bar, or construct a running tally bar by bar, storing the results in a composite symbol.
http://www.amibroker.com/kb/2008/05/19/historical-portfolio-backtest-metrics/
Paolo recently posted something similar here:
http://finance.groups.yahoo.com/group/amibroker/message/137124
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Hello,
>
> Hoping someone can help with debugging this trading system code.
> I'vebeen building BarCount loops for the better part of 9 months now,
> andthought I had the hang of it. Yet this simple problem seems to have
> thebetter of me!
>
> First, a simple test trading code that does work. The followingcode
> tests some entry and exit ranges, and takes a position when agiven range
> is true. I optimize over the various ranges, as well asLong/Short to see
> what works best. I am testing Forex, and left out thebacktester settings
> for simplicity here.
>
> If you optimize or backtest this code, over any given month, you will
> see output as expected:
>
> //-----------------------------------------------------------------
> // Variables for Optimization
> //-----------------------------------------------------------------
>
>
> LongOrShort = Optimize("LongOrShort", 1, 1, 2, 1);
> EntryNum = Optimize("EntryNum", 1, 1, 3, 1);
> ExitNum = Optimize("ExitNum", 1, 1, 3, 1);
>
>
> //-----------------------------------------------------------------
> // Set up Range Tests for Entries and Exits
> //-----------------------------------------------------------------
>
> myMA1 = MA(Close, 7);
>
> Entry1 = Close >= myMA1 + 0.0001 && Close < myMA1 + 0.0003;
> Entry2 = Close >= myMA1 + 0.0003 && Close < myMA1 + 0.0005;
> Entry3 = Close >= myMA1 + 0.0005;
>
> Exit1 = Close >= myMA1 + 0.0002 && Close < myMA1 + 0.0006;
> Exit2 = Close >= myMA1 + 0.0006 && Close < myMA1 + 0.0010;
> Exit3 = Close >= myMA1 + 0.0010;
>
>
> Entry = VarGet("Entry" + EntryNum);
> Exit = VarGet("Exit" + ExitNum );
>
>
> //-----------------------------------------------------------------
> // Trading System
> //-----------------------------------------------------------------
>
> Buy = Short = 0;
>
> if(LongOrShort == 1)
>
> Buy = Entry;
>
> else
>
> Short = Entry;
>
>
> Cover = Sell = Exit;
>
> So now all I want to do is run the exact same code as above, but with
> aBarCount loop, so that I can calculate some basic statistics for
> eachtrade over the optimization parameters. For example, I might want
> tofind out the average profit for trades, the frequency of which
> rangeswere used for entries, etc. While these trivial examples may
> beavailable in the AB optimization report, my real-world use involves
> allsorts of different stats that are not available.
>
> After I calculate the stats, I want to dump them to a log file. Pretty
> simple in theory.
>
> But the following code suffers from these problems:
>
>
> 1. If you run an optimization, all results are zero, instead of being
> identical to the above code.
> 2. If you run a backtest, no trades are ever taken, instead of
> behaving identical to the above code
> 3. The log file contains repeated rows. It should only contain one
> row per optimization sweep
> 4. The ProfitAvg stat is not calculated correctly. Entries are all
> -10 Billion or so (!)
>
> Can anyone spot why this is not working? I get no errors, and
> tracesindicate that my loops are being correctly processed. Any input
> muchappreciated!
>
>
> //-----------------------------------------------------------------
> // Variables for Optimization
> //-----------------------------------------------------------------
>
>
> LongOrShort = Optimize("LongOrShort", 1, 1, 2, 1);
> EntryNum = Optimize("EntryNum", 1, 1, 3, 1);
> ExitNum = Optimize("ExitNum", 1, 1, 3, 1);
>
>
> //-----------------------------------------------------------------
> // Set up Range Tests for Entries and Exits
> //-----------------------------------------------------------------
>
> myMA1 = MA(Close, 7);
>
> Entry1 = Close >= myMA1 + 0.0001 && Close < myMA1 + 0.0003;
> Entry2 = Close >= myMA1 + 0.0003 && Close < myMA1 + 0.0005;
> Entry3 = Close >= myMA1 + 0.0005;
>
> Exit1 = Close >= myMA1 + 0.0002 && Close < myMA1 + 0.0006;
> Exit2 = Close >= myMA1 + 0.0006 && Close < myMA1 + 0.0010;
> Exit3 = Close >= myMA1 + 0.0010;
>
>
> Entry = VarGet("Entry" + EntryNum);
> Exit = VarGet("Exit" + ExitNum );
>
>
> //-----------------------------------------------------------------
> // Trading System with BarCount Loop
> //-----------------------------------------------------------------
>
>
> FileName = "F:\\Stats Log File.csv";
>
> wasLong = wasShort = BuySignal =
> ShortSignal = SellSignal = CoverSignal =
> SoldCount = CoverCount = EntryFreq = 0;
>
> ValueAtBuy = ValueAtShort = ProfitLevel =
> ProfitSum = ProfitAvg = Null;
>
> LongContractCount = 0;
> ShortContractCount = 0;
>
>
> for (i = 0; i < BarCount-1; i++)
> {
> wasLong = LongContractCount > 0;
> wasShort = ShortContractCount > 0;
>
> // Long Exit
> if (wasLong && Exit[i])
> {
> SellSignal[i] = 1;
> LongContractCount = 0;
> SoldCount++;
> ProfitLevel = SellPrice[i] - ValueAtBuy;
> ProfitSum += ProfitLevel;
> }
>
> // Short Exit
> if (wasShort && Exit[i])
> {
> CoverSignal[i] = 1;
> ShortContractCount = 0;
> CoverCount++;
> ProfitLevel = ValueAtShort - SellPrice[i];
> ProfitSum += ProfitLevel;
> }
>
>
> // Long entry
> if ( Entry[i] && LongOrShort == 1 )
> {
> BuySignal[i] = 1;
> EntryFreq++;
> LongContractCount = 1;
> ValueAtBuy = BuyPrice[i];
> }
>
> // Short entry
> if ( Entry[i] && LongOrShort == 2 )
> {
> ShortSignal[i] = 1;
> EntryFreq++;
> ShortContractCount = 1;
> ValueAtShort = ShortPrice[i];
> }
> }
>
> Sell = SellSignal;
> Cover = CoverSignal;
> Buy = BuySignal;
> Short = ShortSignal;
>
>
> //-----------------------------------------------------------------
> // Calculate Some Basic Stats
> //-----------------------------------------------------------------
>
>
> if(LongOrShort == 1)
>
> ProfitAvg = ProfitSum/SoldCount;
>
> else
>
> ProfitAvg = ProfitSum/CoverCount;
>
>
>
> //-----------------------------------------------------------------
> // Create a Text Header Row for the Log File
> //-----------------------------------------------------------------
>
> SetCustomBacktestProc( "" );
>
> if ( Status( "ActionEx" ) == actionExOptimizeSetup )
> {
> _TRACE( "Optimize Begin" );
> fh = fopen( FileName, "w" );
>
> if ( fh )
> {
> fputs( "LongOrShort, Entry, Exit, EntryFreq, ProfitAvg\n", fh );
> fclose( fh );
> }
> }
>
>
> //-----------------------------------------------------------------
> // Dump the Stats Values to the Log File
> //-----------------------------------------------------------------
>
>
> fh = fopen( FileName, "a" );
>
> if ( fh )
> {
> fputs( StrFormat( "%.0f,%.0f,%.0f,%.0f,%.5f\n",
> LongOrShort, Entry, Exit, EntryFreq, ProfitAvg), fh
> );
> fclose( fh );
> }
>
------------------------------------
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