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Re: [amibroker] Re: CBT - trade.addcustommetric() - 13x slower - bad code/settings?


  • Date: Wed, 20 Jan 2010 20:15:07 -0600
  • From: "Joe Landry" <jelandry@xxxxxxxxxxxxx>
  • Subject: Re: [amibroker] Re: CBT - trade.addcustommetric() - 13x slower - bad code/settings?

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Mike - I'm sure glad you dusted off the one about static arrays.  Last week I went off looking in the user's guide and for the life of me (a long time looking) I could not find the definition for the static variable array function, or that it was in fact not just a number but now an array.  That feature just slipped right by me while I was away.
 
Best regards,
Joe

What's in the user guide.

Static variable - the variable has static duration (it is allocated when the program begins and deallocated when the program ends) and initializes it to Null unless another value is specified. Static variables allow to share values between various formulas. Only NUMBER and STRING static variables are supported now (not ARRAYS).

 
 
 
----- Original Message -----
From: Mike
Sent: Wednesday, January 20, 2010 7:28 PM
Subject: [amibroker] Re: CBT - trade.addcustommetric() - 13x slower - bad code/settings?

 

For what it's worth, static arrays were introduced to the 32 bit version in 5.24.0 as seen here: http://www.amibroker.com/devlog/wp-content/uploads/2009/03/readme5240.html If the feature is not yet available in the 64 bit version, creating a static variable for every bar of every symbol would probably be overkill. You could instead get greatly improved timings just by creating the ATR arrays once per symbol, as opposed to once per trade. For example;

SetTradeDelays( 0, 0, 0, 0 );
PositionSize = -2;

weekDay =
DayOfWeek();

Buy = weekDay == 1;
BuyPrice = Open;
Sell = weekDay == 5;
SellPrice = Close;

SetCustomBacktestProc( "" );

if ( Status( "action" ) == actionPortfolio )
{
    bo =
GetBacktesterObject();
    bo.Backtest(
True );
    dates =
DateTime();
    bi =
BarIndex();

    
for ( trade = bo.GetFirstTrade( ); trade; trade = bo.GetNextTrade( ) )
    {
        foreignATR =
VarGet( trade.Symbol + "ATR" );
        undefined =
IIF( IsNull( foreignATR ), true, false );

        
if ( LastValue( undefined ) )
        {
            
_TRACE( "Constructing ATR(14) for " + trade.Symbol );

            
SetForeign( trade.Symbol ) ;
            foreignATR =
ATR( 14 );
            
VarSet( trade.Symbol + "ATR", foreignATR );
            
RestorePriceArrays();
        }

        entryBar =
LastValue( ValueWhen( trade.EntryDateTime == dates, bi ) );
        trade.AddCustomMetric(
"Entry ATR", foreignATR[ entryBar] );
    }

    bo.ListTrades( );
}

Mike

--- In amibroker@xxxxxxxxxps.com, B S <bs2167@xxx> wrote:
>
> Thanks Tomasz.  One stupid follow up question: my understanding is that StaticVarSet will take only a single number not an array, therefore do i need to create a loop outside the CBT from 0 to BarCount - 1 and create a static variable for every bar as follows?
>
> StaticVarSet( "MyAtr"+Name( )+BarIndex() , ATR(14) );
>
> ________________________________
> From: Tomasz Janeczko groups@xxx
> To: amibroker@xxxxxxxxxps.com
> Sent: Wed, January 20, 2010 6:06:41 PM
> Subject: Re: [amibroker] CBT - trade.addcustommetric() - 13x slower - bad code/settings?
>
>  
> Hello,
>
> Foreign is costly. Move your calculations OUTSIDE custom backtest part.
> ATR can easily be calculated outside CBT and passed via Static variable.
>
> So instead of Foreign use Static variables. Store your ATR into static variables keyed with
>
> StaticVarSet( "MyAtr"+Name( ), ATR(14) );
>
> and inside custom backtester use StaticVarGet( "MyAtr"+trade. Symbol);
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
> On 2010-01-20 23:39, B S wrote:
> Hi-
> >
> >I have run into some major performance problems when trying to add a single simple metric to the backtest results.  I have no doubt that its something I'm doing, I just have no idea what that might be.  I have seen a post or two in the past on how to accomplish what I'm trying to do (as the examples below will replicate), but there was no follow up on the performance of the proposed solutions.  Since there was no further discussion, I'm wondering if the code is fine but my settings (or something else) may be causing the problem.  Below I list what I believe to be all pertinent information - would very much appreciate any help on this.
> >
> >Base system is tested on 5 symbols, 5min data, from 1/1/2000 - 12/31/2006. Quick AFL is checked in the setting and data is padded and aligned.  I'm running the 64bit version of AB 5.22. 
> >
> >Performance without calling CBT : 65 secs
> >
> >------------ --------- --------- --------- --------- ---
> >
> >Performance with the code below added: 72 secs (very good)
> >(code is from http://www..amibroke r.org/userkb/ 2008/03/16/ amibroker- custom-backteste r-interface- 2/ ) 
> >SetCustomBacktestPr oc("");
> >if (Status("action") == actionPortfolio)
> >{
> > bo = GetBacktesterObject(); // Get backtester object
> > bo.Backtest(True); // Run backtests with no trade listing
> > stat = bo.GetPerformanceStats(0); // Get Stats object for all trades
> > winAvgProfit = stat.GetValue("WinnersAvgProfit");
> > loseAvgLoss = stat.GetValue("LosersAvgLoss");
> > for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade())
> > { // Loop through all closed trades
> > prof = trade..GetProfit(); // Get trade profit in dollars
> > relProf = 0; // This will be profit/avgProfit as %
> > if (prof > 0) // If a winner (profit > 0)
> > relProf = prof / winAvgProfit * 100; // Profit relative to average
> > else // Else if a loser (profit <= 0)
> > relProf = -prof / loseAvgLoss * 100; // Loss relative to average
> > trade.AddCustomMetric("Rel Avg Profit%", relProf); // Add metric
> > } // End of for loop over all trades
> > bo.ListTrades(); // Generate list of trades
> >}
> >------------ --------- --------- --------- --------- --------- --------- --------- --------- --------- ------
> >Performance with the code below added to record ATR at entry: 854 secsSetCustomBacktestPr oc("");
> >if(Status("action") == actionPortfolio)
> >{
> >bo = GetBacktesterObject();
> >bo.Backtest(True);
> >dates = DateTime();
> >bi = BarIndex();
> >for(trade = bo.GetFirstTrade( ); trade; trade = bo.GetNextTrade( ))
> >{
> >SetForeign(trade.Symbol) ;
> >entryBar = LastValue(ValueWhen(trade.EntryDateTim e == dates, bi));
> >foreignATR = ATR(14);
> >trade.AddCustomMetr ic("Entry ATR",foreignATR[ entryBar] );
> >RestorePriceArrays();
> >}
> >bo.ListTrades( );
> >}
> >Anyone have any ideas where I may be going wrong?
> > 
> >
>



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