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Sorry,
Forgot that the rich text editor fails when using Google Chrome.
What I tried to say was that you can push Howard's code inside the custom backtester to get your value. When working with a single symbol it should be the same thing (though I note that it is not for some unknown reason). When working with a portfolio it will be for the entire portfolio.
Buy = Month() != Ref( Month(), -1 ); Sell = BarsSince( Buy ) >= 10; Buy = ExRem( Buy, Sell ); Sell = ExRem( Sell, Buy );
e = Equity(1); Refline = Cum( 1 ); rsquared = Correlation( e, Refline, 21 ) ^ 2;
Plot( C, "C", colorBlack, styleCandle );
shape = Buy * shapeUpArrow + Sell * shapeDownArrow; shapecolor = IIf( Buy, colorGreen, colorRed );
PlotShapes( shape, shapecolor ); Plot( e, "e", colorGreen, styleLine | styleLeftAxisScale ); Plot( Refline, "refline", colorBlue, styleLine | styleOwnScale ); Plot( rsquared, "rSqr", colorRed, styleLine | styleOwnScale );
// Added these lines Plot( Foreign( "~RSQ", "X" ), "RSQ", colorDarkRed, styleDashed | styleOwnScale );
SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio ) { bo = GetBacktesterObject(); bo.Backtest();
e = Foreign( "~~~Equity", "C" ); refline = Cum( 1 ); rsquared = Correlation( e, refline, 21 ) ^ 2; bo.AddCustomMetric( "R-Squared", LastValue( rsquared ) );
AddToComposite( rsquared, "~RSQ", "X", atcFlagDefaults | atcFlagEnableInPortfolio | atcFlagEnableInBacktest); }
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "sfclimbers" <sfclimbers@xxx> wrote: > > > --- In amibroker@xxxxxxxxxxxxxxx, "ramoncummins" ramoncummins@ > wrote: > > > > Hi Howard, thanks for your reply. > > > > However, the reason I want to use the custom backtester is so that the > r-squared metric appears as a column in the system statistics when I > analysis a portfolio of individual stocks (say the S&P 500 for example) > - this would allow me to find the best equity curves quickly. > > > > Any further input would be greatly appreciated! > > > > Ramon > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, Howard B howardbandy@ wrote: > > > > > > Hi Ramon -- > > > > > > You do not need custom backtester to get the statistic you want. > Try this > > > code: > > > > > > /////////////////////// > > > > > > // EquityRsqr.afl > > > // > > > Buy = Month() != Ref( Month(), -1 ); > > > Sell = BarsSince( Buy ) >= 10; > > > > > > Buy = ExRem( Buy, Sell ); > > > Sell = ExRem( Sell, Buy ); > > > > > > e = Equity(); > > > > > > Refline = Cum( 1 ); > > > > > > rsquared = Correlation( e, Refline, 21 ) ^ 2; > > > > > > Plot( C, "C", colorBlack, styleCandle ); > > > shape = Buy * shapeUpArrow + Sell * shapeDownArrow; > > > shapecolor = IIf( Buy, colorGreen, colorRed ); > > > PlotShapes( shape, shapecolor ); > > > > > > Plot( e, "e", colorGreen, styleLine | styleLeftAxisScale ); > > > Plot( Refline, "refline", colorBlue, styleLine | styleOwnScale ); > > > > > > Plot( rsquared, "rSqr", colorRed, styleLine | styleOwnScale ); > > > > > > ///////////////////// > > > > > > Thanks, > > > Howard > > > > > > On Mon, Aug 31, 2009 at 3:12 PM, ramoncummins ramoncummins@xxxxx: > > > > > > > > > > > > > > > Hi there > > > > > > > > I am trying to calculate the r-squared value of my equity curve > using the > > > > custom backtester (this is a measure of goodness of 'fit' - > basically so I > > > > can test for a nice smooth equity curve). > > > > > > > > The generic r-squared formula is : > > > > > > > > r-squared = Correlation(array1, array2, periods) ^ 2 > > > > > > > > However I don't know what arrays to pass this equation. One of the > arrays > > > > will need to be the equity curve and the other just a counter type > array - > > > > like barindex(). Any help very much appreciated, my experience > using the > > > > custom backtester is very limited! > > > > > > > > cheers > > > > > > > > Ramon > > > > > > > > > > > > > > > > > > > > > >
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