> You might want to revisit the equity curve that Fred did several years ago. > It has a lot of the computations in there.
Can anyone give me a clue where to find that? brian_z --- In [email protected], "dingo" <[EMAIL PROTECTED]> wrote: > > You might want to revisit the equity curve that Fred did several years ago. > It has a lot of the computations in there. > > d > > > _____ > > From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf > Of Herman > Sent: Sunday, May 18, 2008 8:12 PM > To: Tomasz Janeczko > Subject: [amibroker] System Performance Indicators [was: Can someone fix > this OLE code?] > > > > Tomasz, I am neither a mathematician nor a professional programmer and I > really don't know how to convey this simple and obvious idea any better. If > this email doesn't get the idea across I'll let it be. If others understand > what I am talking about they can continue the discussion. > > > > > Indicators to display system performance are an effective and essential tool > in the design and evaluation of trading systems. Trading the equity is a > simple example, plotting DrawDowns is another. > > > > > Traditional Indicators are based on PRICE; System Performance Indicators are > based on EQUITY. > > > > > That SYSTEM PERFORMANCE INDICATORS are not offered as standard (build in) > indicators is simply a lack of imagination. To plot the UPI, number of > winning trades, trade profits, trade duration, or other system performance > statistic on a time scale simply makes a lot common sense. btw, Applying > these functions to price arrays can also give very interesting results. > Price and equity arrays are not that different. > > > > > Saying "If you really have to plot them" is like saying "if you really have > to make money". The lack of System Performance Indicators is simply a void > in technical analysis ready (LONG OVERDUE!) to be filled. To have to use the > CBT, export the data, import the data, etc. to create System Performance > Indicators is simply too much work; no one will do it. Most of us are here > to trade and not to learn new programming languages; OLE and CBT are > advanced tools for programmers. imo, System Performance Indicators should be > as readily available as the RSI() and CMO(). > > > > > best regards, > > herman > > > > > Sunday, May 18, 2008, 4:17:49 AM, you wrote: > > > > > > > > > Hello, > > > > 1. Even if it works it is completely not supported and may to > problems/crashes etc. It is like driving all the time on reverse gear. > > Reverse gear is not designed to be used for 10 hours drive. > > > > 2. I see no reason to "plot" single numbers like UPI, number of trades in > indicator. That would be just a bunch of flat lines. > > Also indicator should be lightweight. The indicator code should execute very > quickly because indicators are refreshed very often. > > You are (ab)using indicators for things not designed for them. Indicator > code is for indicators. Automatic analysis is for backtesting. Indicators > are not > > and should never be used that way. > > > > 3. If you really need to plot them > > - all stats are accessible from CUSTOM BACKTESTER, if you want to "plot" > them, use custom backtester, > > write them to TEXT File (using fopen/fputs/fclose) and from the indicator > you will be able to read them (using fopen/fgets/fclose) > > > > That's a proper way to do that. > > > > To repeat the same analogy - although you can drive on reverse gear for 100 > miles, your cars is not designed to be used that way. > > > > > Best regards, > > Tomasz Janeczko > > amibroker.com > > ----- Original Message ----- > > From: Herman <mailto:[EMAIL PROTECTED]> > > To: Tomasz Janeczko <mailto:[EMAIL PROTECTED]> > > Cc: [email protected] > > Sent: Saturday, May 17, 2008 2:28 PM > > Subject: Re: [amibroker] Can someone fix this OLE code? > > > > > OK Tomasz, but the code produces a nice BT report each time i click the > Trigger. Seemingly flawless. Seems only a tweak would be required to make it > work robust. > > > > > I am going through all this trouble just to be able to access the Backtester > stats from an indicator (I was going to extract the last value from the > report on bar-by-bar BTs!). > > > > > System analysis in the time domain is frustrated/impossible because basic AB > users (non professional programmer) can't retrieve and plot the Backtester > stats, like UPI, %Winners, Number of trades, etc. Thus there is a big void > wrt system analysis - see my suggestion #1335 and support tag [#49377]. > > > > > I wish that formulas for these functions were made public so that they can > be used in indicators. This Would open up a whole new world to evaluate, > analyze, and design trading systems. The single numbers in the AA give very > limited information. With all respect, please do not mention the CBT... that > solution is for less than 10% of users and I don't have enough days left to > learn all that stuff. > > > > > best regards, > > herman > > > > > > > > > > > Saturday, May 17, 2008, 8:10:10 PM, you wrote: > > > > > > > > > But... the example in help > > a) works > > b) presents OUTSIDE ***JScript*** code > > http://www.amibroker.com/guide/objects.html > > c) does not contain > > AA.Analysis.RangeN (wrong line) > > > > Again I want to stress that out that Analysis COM object must not be used > form > > AFL level. The functionality is provided to control Automatic Analysis from > OUTSIDE > > of AmiBroker. > > > > > Best regards, > > Tomasz Janeczko > > amibroker.com > > ----- Original Message ----- > > From: Herman <mailto:[EMAIL PROTECTED]> > > To: dingo <mailto:[email protected]> > > Sent: Saturday, May 17, 2008 2:02 PM > > Subject: Re: [amibroker] Can someone fix this OLE code? > > > > > won't do. Actually 99% of this code was copied from the AB help. > > > > > h > > > > > For tips on developing Real-Time Auto-Trading systems visit: > > http://www.amibroker.org/userkb/ > > > > > Saturday, May 17, 2008, 7:54:44 PM, you wrote: > > > > > > > > > ON the clearfilters() take off the () and try it. > > > > d > > > > > > > > _____ > > From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf > Of Herman > > Sent: Saturday, May 17, 2008 7:49 AM > > To: dingo > > Cc: [email protected] > > Subject: Re: [amibroker] Can someone fix this OLE code? > > > > > it runs fine except for the WLN and BRS changes i need. > > > > > h > > > > > For tips on developing Real-Time Auto-Trading systems visit: > > http://www.amibroker.org/userkb/ > > > > > Saturday, May 17, 2008, 7:46:35 PM, you wrote: > > > > > > > > > Maybe AB won't let you run a backtest within an indicator - time to ask TJ. > > > > d > > > > > > > > _____ > > From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf > Of Herman > > Sent: Saturday, May 17, 2008 7:40 AM > > To: dingo > > Cc: [email protected] > > Subject: Re: [amibroker] Can someone fix this OLE code? > > > > > Hi d, I tried that initially but No go. > > > > > thanks, > > herman > > > > > For tips on developing Real-Time Auto-Trading systems visit: > > http://www.amibroker.org/userkb/ > > > > > Saturday, May 17, 2008, 7:35:20 PM, you wrote: > > > > > > > > > On the lines that give the error substitute a number constant for the > variable and see if it works. If it does then it looks to me like it thinks > the variables are arrays. > > > > d > > > > > > > > _____ > > From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf > Of Herman > > Sent: Saturday, May 17, 2008 7:01 AM > > To: AmiBroker User Group > > Subject: [amibroker] Can someone fix this OLE code? > > > > > Can someone help me fix the code below so that when triggered in an > Indicator, it: > > > > > 1) Backtest all tickers in watchlist WLN? > > 2) Use range of BRS bars > > 3) Output ONLY the one line BT Report? > > > > > Many thanks!!!! > > herman > > > > > if ( ParamTrigger( "Run Com BT", "BT" ) ) > > { > > WLN = 0; // the watchlist to backtest > > BRS = 100; // Number bars to test > > AB = CreateObject( "Broker.Application" ); > > AA = AB.Analysis; > > AA.LoadFormula( "C:\\Program > Files\\AmiBroker\\Formulas\\Systems\\Example.afl" ); > > AA.ClearFilters(); > > AA.Filter( 0, "watchlist" ) = WLN; // This gives syntax error... > > AA.ApplyTo = 1; > > AA.RangeMode = 1; > > AA.Analysis.RangeN = BRS; // This gives syntax error... > > AA.Backtest(); > > AA.Report( "" ); > > } > > > > > No virus found in this incoming message. > > Checked by AVG. > > Version: 8.0.100 / Virus Database: 269.23.16/1448 - Release Date: 5/16/2008 > 7:42 PM > > > > No virus found in this incoming message. > > Checked by AVG. > > Version: 8.0.100 / Virus Database: 269.23.16/1448 - Release Date: 5/16/2008 > 7:42 PM > > > > No virus found in this incoming message. > > Checked by AVG. > > Version: 8.0.100 / Virus Database: 269.23.16/1448 - Release Date: 5/16/2008 > 7:42 PM > > > > > > > > > > No virus found in this incoming message. > Checked by AVG. > Version: 8.0.100 / Virus Database: 269.23.20/1453 - Release Date: 5/18/2008 > 9:31 AM >
