Did you run WF test? Do you have ~~~OSEQUITY ticker ? The code will work only AFTER WF. Did you change selected symbol to ~~~OSEQUITY? It won't work without that. If you want to use it on regular equity, you need to change the first line of the code to Symbol = "~~~EQUITY";
Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: "Thomas Ludwig" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Monday, May 19, 2008 7:40 PM Subject: Re: [amibroker] Plotting historical portfolio backtest metrics in INDICATOR > TJ, > > I don't get any values for Profit, CAR and CAR/MDD. Any idea why? > > Best regards, > > Thomas > > >> Hello, >> >> As far as concatenated OOS is considered, things depend on which >> metrics do you really want. >> That is so because some metrics accumulate nicely so >> you can simply add them up (either using AddToComposite or >> just adding multiple Foreign() calls). >> >> Some metrics are derived directly from equity (Drawdown, sharpe >> ratio, UlcerIndex) and can be calculated directly using plain AFL >> formula working on IS or OOS equity. >> >> For example CAR/MDD for out-of-sample test OOS: >> >> Symbol = "~~~OSEQUITY"; // change the ticker to your preference >> >> eq = Foreign( Symbol, "C" ); >> >> if( Name() != Symbol ) Title = "You should change symbol to " + >> Symbol; >> >> function TotalDays() >> { >> yy = Year(); >> dy = DayOfYear(); >> LastLeapYear = (yy % 4) == 1 && yy != 2001; >> YearChg = yy != Ref(yy, -1); >> YearChg = IIf(IsNull(YearChg), False, YearChg); >> YearLen = IIf(YearChg, IIf(LastLeapYear, 366, 365), 0); >> return Cum(YearLen) + dy - dy[0]; >> } >> >> dr = 100 * ( eq/Highest(eq) - 1); >> profit = 100 * ( eq/eq[0] - 1 ); >> >> td = TotalDays(); >> Days = td[ BarCount - 1 ] - td[ 0 ]; >> >> Car = 100 * ( ( eq / eq[ 0 ] ) ^ ( 365 / Days ) - 1 ); >> >> //Plot( dr, "DD%", colorRed ); >> //Plot( Lowest(dr), "Max DD%", colorBlue ); >> //Plot( profit, "Profit %", colorGreen ); >> //Plot( Car, "CAR", colorDarkGreen ); >> >> Plot( Car/Highest( -dr ), "CAR/MDD", colorOrange ); >> >> Best regards, >> Tomasz Janeczko >> amibroker.com >> ----- Original Message ----- >> From: "Thomas Ludwig" <[EMAIL PROTECTED]> >> To: <[email protected]> >> Sent: Monday, May 19, 2008 12:02 PM >> Subject: Re: [amibroker] Plotting historical portfolio backtest >> metrics in INDICATOR >> >> > TJ, >> > >> > thanks a lot - very helpful! >> > >> > However, I'd be happy if you could also present a solution how do >> > do something similar for the concatenated IS and OOS equity curves >> > in a WF test - see my posts #123921 and 123945. I don't think this >> > can be done with the custom backtester. >> > >> > Best regards, >> > >> > Thomas >> > >> >> Hello, >> >> >> >> To show you how easy it is to actually PLOT ANY portfolio backtest >> >> metric as a historical series in INDICATOR, without using script, >> >> OLE - just PURE AFL I prepared this: >> >> >> >> http://www.amibroker.com/kb/2008/05/19/historical-portfolio-backte >> >>st- metrics/ >> >> >> >> This addresses the following goals: >> >> a) having ANY portfolio backtest metric available as historical >> >> series for use ANYWHERE (in indicator or wherever) b) plotting >> >> backtest metrics in INDICATORS and doing this FAST (without >> >> constant recalculation) c) using only pure AFL for that >> >> >> >> Best regards, >> >> Tomasz Janeczko >> >> amibroker.com >> >> >> >> ------------------------------------ >> >> >> >> Please note that this group is for discussion between users only. >> >> >> >> To get support from AmiBroker please send an e-mail directly to >> >> SUPPORT {at} amibroker.com >> >> >> >> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >> >> http://www.amibroker.com/devlog/ >> >> >> >> For other support material please check also: >> >> http://www.amibroker.com/support.html >> >> Yahoo! Groups Links >> > >> > ------------------------------------ >> > >> > Please note that this group is for discussion between users only. >> > >> > To get support from AmiBroker please send an e-mail directly to >> > SUPPORT {at} amibroker.com >> > >> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >> > http://www.amibroker.com/devlog/ >> > >> > For other support material please check also: >> > http://www.amibroker.com/support.html >> > Yahoo! Groups Links > > > > ------------------------------------ > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > Yahoo! Groups Links > > > ------------------------------------ Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
