1. Uncomment the Buy/Sell signals. You need to generate statistics in order to calculate the objective function.
2. Type in the name of your custom variable for the optimization target of the walk forward settings tab (yours is named ObjectiveFunction in the code below) See http://www.amibroker.com/kb/2008/02/12/getting-started-with- automatic-walk-forward-optimization/ Mike --- In [email protected], "Louis Préfontaine" <[EMAIL PROTECTED]> wrote: > > Hi Howard, > > I am using the following code > > // CustomMetricWithPenalty.afl > // > // Add a custom metric to the backtest report. > // The metric is the KRatio, multiplied by a > // penalty function based on: > // the average percentage profit or loss per trade. > // the percentage the system is exposed to the market. > // the holding period per trade. > // the percent of trades that are winners. > // the RAR value. > > KRatioVal = 0; > > SetCustomBacktestProc(""); > > if (Status("action") == actionPortfolio) > { > bo = GetBacktesterObject(); > > bo.backtest(); > > st = bo.getperformancestats(0); > > KRatioVal = 100.0 * st.getvalue("KRatio"); > RRR = st.getvalue("RRR"); > > AvgPctGainVal = 0.01 > * st.getvalue("AllAvgProfitLossPercent"); > ExposureVal = 0.01 * st.getvalue("ExposurePercent"); > HoldingPeriodVal = st.getvalue("AllAvgBarsHeld"); > PctWinnersVal = 0.01 * st.getvalue("WinnersPercent"); > RarVal = 0.01 * st.getvalue("RAR"); > > AvgPctGainMult = IIf(AvgPctGainVal<0.01, > 0.0, > 1.00); > > ExposureMult = IIf(ExposureVal<0.10, > 1.00-(0.50/0.10)*(0.10-ExposureVal), > IIf((ExposureVal>=0.10 AND ExposureVal<=0.20), > 1.00, > IIf((ExposureVal>0.20 AND ExposureVal<0.40), > 1.00-(0.50/0.20)*(ExposureVal-0.20), > 0.50 ))); > > HoldingPeriodMult = IIf(HoldingPeriodVal<3, > 1.00-(0.50/3)*(3-HoldingPeriodVal), > IIf((HoldingPeriodVal>=3 AND HoldingPeriodVal<=7), > 1.00, > IIf((HoldingPeriodVal>7 AND HoldingPeriodVal<14), > 1.00-(0.50/7)*(HoldingPeriodVal-7), > 0.50 ))); > > PctWinnersMult = IIf(PctWinnersVal<0.50, > 0.50, > IIf((PctWinnersVal>=0.50 AND PctWinnersVal<=0.65), > 1.00-(0.50/0.15)*(0.65-PctWinnersVal), > 1.00 )); > > RarMult = IIf(RarVal<0.10, > 0.50, > IIf((RarVal>=0.10 AND RarVal<=0.20), > 1.00-(0.50/0.10)*(0.20-RarVal), > 1.00 )); > > ObFn = KRatioVal * AvgPctGainMult * ExposureMult > * HoldingPeriodMult * PctWinnersMult * RarMult; > > bo.addcustommetric("ObjectiveFunction", ObFn); > } > > // The trading system starts here > /* > fast = Optimize("fast",16,1,20,1); > slow = Optimize("slow",8,1,20,1); > MAF = DEMA(C,fast); > MAS = DEMA(C,slow); > > HoldDays = Optimize("HoldDays",1,1,20,1); > Buy = Cross(MAF,MAS); > Sell = Cross(MAS,MAF) OR BarsSince(Buy)>=HoldDays; > Sell = ExRem(Sell,Buy); > */ > e = Equity(); > > //Plot(C,"C",colorBlack,styleCandle); > //shape = Buy * shapeUpArrow + Sell * shapeDownArrow; > //PlotShapes( shape, IIf( Buy, colorGreen, colorRed ), > // 0, IIf( Buy, Low, High ) ); > Plot(e,"Equity",colorGreen,styleLine|styleOwnScale); > //GraphXSpace = 5; > //Figure A.7 Custom Metric with Penalty > > I didn't post it at first because I was not sure if you wanted the code to > be made public. > > I worked on another objective function, and I wonder... how can you put the > objective function in the walk-forward tab? > > Thanks! > > Louis > > 2008/5/9 Howard B <[EMAIL PROTECTED]>: > > > Hi Louis -- > > > > Please post the code you are trying to use. > > > > Yes, you can use your custom objective function when running backtests and > > automatic walk forward runs. > > > > Thanks, > > Howard > > > > > > On Fri, May 9, 2008 at 3:33 PM, Louis Préfontaine <[EMAIL PROTECTED]> > > wrote: > > > >> Hi, > >> > >> I've been trying to build a custom objective function and tried to see > >> what it would be like to use Howard's one in the Appendix A. However, after > >> running it with different symbols/markets/systems, the results is ALWAYS > >> 0.00 Anyone know why this can happen? > >> > >> BTW, is it possible to add the custom OB to the walk-forward? > >> > >> Thanks, > >> > >> Louis > >> > >> > >> > > > > >
