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You can also have a look at http://www.amibroker.com/kb/2008/05/19/historical-portfolio-backtest-metrics/
paolo
--- In amibroker@xxxxxxxxxxxxxxx, "j0etr4der" <j0etr4der@xxx> wrote:
>
> This is great. I'll try it out.
>
> What I'm after is long/short portfolio equity to use in an indicator. I've never understood why it isn't exposed.
>
> Thanks, Mike!
>
> Joe
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> >
> > Hi,
> >
> > I have not tested for correctness. But, to do what you are trying to
> > do, I believe that you would have to use mid level backtester (i.e.
> > PreProcess, ProcessTradeSignals, PostProcess) not the high level
> > backtester (i.e. Backtest).
> >
> > Following your example; Get the stats at each bar and store the values
> > in a composite, since indicator mode (i.e. charting) would not see array
> > values populated during portfolio mode (i.e. backtest).
> >
> > Finally, use Foreign to do the plotting.
> >
> > Mike
> >
> > SetTradeDelays( 0, 0, 0, 0 );
> > SetPositionSize( 5, spsPercentOfEquity );
> >
> > weekDay = DayOfWeek();
> >
> > Buy = weekDay == 1;
> > BuyPrice = Open;
> >
> > Sell = weekDay == 2;
> > SellPrice = Close;
> >
> > Short = weekDay == 3;
> > ShortPrice = Open;
> >
> > Cover = weekDay == 4;
> > CoverPrice = Close;
> >
> > SetCustomBacktestProc( "" );
> >
> > if ( Status( "action" ) == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> > bo.PreProcess();
> >
> > totalProfit = longProfit = shortProfit = 0;
> >
> > for ( i = 0; i < BarCount; i++ )
> > {
> > bo.ProcessTradeSignals( i );
> >
> > stats = bo.GetPerformanceStats( 0 );
> > stats_long = bo.GetPerformanceStats( 1 );
> > stats_short = bo.GetPerformanceStats( 2 );
> >
> > totalProfit[i] = stats.getValue( "EndingCapital" ) -
> > stats.GetValue( "InitialCapital" );
> > longProfit[i] = stats_long.getvalue( "EndingCapital" ) -
> > stats.GetValue( "InitialCapital" );
> > shortProfit[i] = stats_short.getvalue( "EndingCapital" ) -
> > stats.GetValue( "InitialCapital" );
> > }
> >
> > bo.PostProcess();
> >
> > AddToComposite( totalProfit, "~TotalProfit", "X", atcFlagDefaults |
> > atcFlagEnableInPortfolio );
> > AddToComposite( longProfit, "~LongProfit", "X", atcFlagDefaults |
> > atcFlagEnableInPortfolio );
> > AddToComposite( shortProfit, "~ShortProfit", "X", atcFlagDefaults |
> > atcFlagEnableInPortfolio );
> > }
> >
> > Plot( Close, "Close", colorDarkGrey, styleBar );
> >
> > Plot( Foreign( "~TotalProfit", "Close" ), "Total Profit", colorBlue,
> > styleLeftAxisScale );
> > Plot( Foreign( "~LongProfit", "Close" ), "Long Profit", colorGreen,
> > styleLeftAxisScale );
> > Plot( Foreign( "~ShortProfit", "Close" ), "Short Profit", colorRed,
> > styleLeftAxisScale );
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "j0etr4der" <j0etr4der@> wrote:
> > >
> > > Hello,
> > >
> > > In the User's Guide Backtester Interface section, Stat object is says,
> > >
> > > "Metrics are usually calculated once backtest is completed but it is
> > also possible to calculate metrics during backtest. To calculate current
> > metrics and get the access to them simply call GetPerformanceStats
> > method of Backtester object. Please note that if you calculate
> > statistics in the middle of the backtest they will include only closed
> > trades."
> > >
> > > I was hoping I could get access to the current long and short capital
> > stats. The following code produces the correct results in AA window
> > following optimization, but does not plot on the chart (values remain 0
> > ).
> > >
> > > Is this feasible in any way? Or do I have to figure out (not likely at
> > my skill level) how to control trades in the backtester procedure?
> > >
> > > TIA,
> > >
> > > Joe
> > >
> > > //////////////////////////////////////////////////////////
> > > Sp = Lp = 0;
> > >
> > > SetCustomBacktestProc( "" );
> > > if ( Status( "action" ) == actionPortfolio )
> > > {
> > > bo = GetBacktesterObject();
> > > bo.Backtest();
> > >
> > > stats = bo.GetPerformanceStats( 0 );
> > > stats_long = bo.GetPerformanceStats( 1 );
> > > stats_short = bo.GetPerformanceStats( 2 );
> > >
> > > Longprofit = stats_long.getvalue( "EndingCapital" )
> > > - stats.GetValue( "InitialCapital" );
> > >
> > > bo.AddCustomMetric( "Long profit", Longprofit );
> > >
> > > Shortprofit = stats_short.getvalue( "EndingCapital" )
> > > - stats.GetValue( "InitialCapital" );
> > >
> > > bo.AddCustomMetric( "Short profit", Shortprofit );
> > >
> > > for ( i = 0; i < BarCount - 1; i++ )
> > > {
> > > Lp[ i ] = Longprofit;
> > > Sp[ i ] = Shortprofit;
> > > }
> > > }
> > >
> > > Plot( Lp, "Long profit", colorBlack );
> > > Plot( Sp, "Short profit", colorBlack );
> > >
> >
>
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