Herman,
You forgot the CORRECTION I mentioned:
StaticVarSetText( "Symbol", Name() ); must NOT be called unconditionally, but
THIS way:
=====================================================================
if( Status("action") == actionBacktest ) StaticVarSetText( "Symbol", Name() );
==============================================================
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Herman
To: [email protected]
Sent: Friday, July 25, 2008 11:36 AM
Subject: RE: [SPAM]Re: [amibroker] How to save Metrics in Composites for
Individual BTs
Still NO GO.
I am loading the code in the AA, select a watchlist, run an Individual
backtest, and Refresh the WorkSpace. I get the BT report with individual
results. I get two Composites in my Composites Group. One is named ~~~EQUITY,
the other ~~~UI_~~~EQUITY. The first makes sense but the second indicates that
the StaticVar does not return the ticker name.
>> It appears that in this code the function Name() returns "~~~EQUITY" and
does not return the name for the ticker being tested, it behaves as if the
~~~EQUITY composite is the ticker being tested.
Can anyone confirm this?
Thanks again!
Herman
// Demo trading system
Short = Cover = 0;
Buy = Cross( MACD(), Signal() );
Sell = Cross( Signal(), MACD() );
// Using the CBT to retrieve/save metrics
StaticVarSetText( "Symbol", Name() );
SetOption( "UseCustomBacktestProc", True );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
MyHistStat1 = Null;
for ( bar = 0; bar < BarCount; bar++ )
{
bo.ProcessTradeSignals( bar );
stats = bo.GetPerformanceStats( 0 );
MyHistStat1[ bar ] = stats.GetValue( "UlcerIndex" ); // any metric can be
retrieved
}
bo.PostProcess();
AddToComposite( MyHistStat1, "~~~UI_" + StaticVarGetText( "Symbol" ), "X",
atcFlagEnableInPortfolio | atcFlagDefaults );
}
PlotForeign( "~~~UI_"+Name(), "UlcerIndex Historical", colorRed, styleLine );
-----Original Message-----
From: [email protected] [mailto:[EMAIL PROTECTED] Behalf Of Tomasz
Janeczko
Sent: July 25, 2008 4:08 AM
To: [email protected]
Subject: [SPAM]Re: [amibroker] How to save Metrics in Composites for
Individual BTs
It will work OK.
Individual backtest *is* portfolio backtest but just portfolio consisting of
one symbol at a time.
Note that one should select "Individual Backtest" (not "OLD" backtest) from
AA->Backtest drop down.
One correction though
StaticVarSetText( "Symbol", Name() );
should be called only when NOT in portfolio mode
so
if( Status("action") == actionBacktest ) StaticVarSetText( "Symbol", Name() );
// Demo trading system
Short = Cover = 0;
Buy = Cross( MACD(), Signal() );
Sell = Cross( Signal(), MACD() );
// Using the CBT to retrieve/save metrics
SetOption( "UseCustomBacktestProc", True );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
MyHistStat1 = Null;
for ( bar = 0; bar < BarCount; bar++ )
{
bo.ProcessTradeSignals( bar );
stats = bo.GetPerformanceStats( 0 );
MyHistStat1[ bar ] = stats.GetValue( "UlcerIndex" ); // any metric can be
retrieved
}
bo.PostProcess();
AddToComposite( MyHistStat1, "~~~UI_" + StaticVarGetText( "Symbol" ) +
"_HISTORICAL", "X", atcFlagEnableInPortfolio | atcFlagDefaults );
}
----- Original Message -----
From: Paul Ho
To: [email protected]
Sent: Friday, July 25, 2008 4:45 AM
Subject: RE: [amibroker] How to save Metrics in Composites for Individual BTs
First of all. You use Status{"action") == actionPortfolio, individual
backtest wont go through there.
From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of Herman
Sent: Friday, 25 July 2008 9:31 AM
To: [email protected]
Subject: Re: [amibroker] How to save Metrics in Composites for Individual BTs
Thank you Tomasz, but this code still does not work. I changed the StaticVar
to the Text type.
Can you help some more ... ? or does anyone else see the problem?
TIA,
Herman
StaticVarSetText( "Symbol", Name() );
// Demo trading system
Short = Cover = 0;
Buy = Cross( MACD(), Signal() );
Sell = Cross( Signal(), MACD() );
// Using the CBT to retrieve/save metrics
SetOption( "UseCustomBacktestProc", True );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
MyHistStat1 = Null;
for ( bar = 0; bar < BarCount; bar++ )
{
bo.ProcessTradeSignals( bar );
stats = bo.GetPerformanceStats( 0 );
MyHistStat1[ bar ] = stats.GetValue( "UlcerIndex" ); // any metric can be
retrieved
}
bo.PostProcess();
AddToComposite( MyHistStat1, "~~~UI_" + StaticVarGetText( "Symbol" ) +
"_HISTORICAL", "X", atcFlagEnableInPortfolio | atcFlagDefaults );
}
PlotForeign( "~~~UI_HISTORICAL", "UlcerIndex Historical", colorRed, styleLine
);
-----Original Message-----
From: [email protected] [mailto:[EMAIL PROTECTED] Behalf Of Tomasz
Janeczko
Sent: July 24, 2008 3:00 PM
To: [email protected]
Subject: [SPAM]Re: [amibroker] How to save Metrics in Composites for
Individual BTs
The same code. The only distinction is that you need to run INDIVIDUAL
backtest
and use Static variable to save name
StaticVarSet Text ("Symbol", Name() );
// Demo trading system
Short = Cover = 0;
Buy=Cross( MACD(), Signal() );
Sell=Cross( Signal(), MACD() );
// Using the CBT to retrieve/save metrics
SetOption("UseCustomBacktestProc", True );
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
MyHistStat1 = Null;
for(bar=0; bar < BarCount; bar++)
{
bo.ProcessTradeSignals( bar );
stats = bo.GetPerformanceStats( 0 );
MyHistStat1[ bar ] = stats.GetValue("UlcerIndex"); // any metric can be
retrieved
}
bo.PostProcess();
AddToComposite( MyHistStat1, "~~~UI_" + StaticVarGet Text ("Symbol") +
"_HISTORICAL", "X", atcFlagEnableInPortfolio | atcFlagDefaults );
}
PlotForeign("~~~UI_HISTORICAL", "UlcerIndex Historical", colorRed, styleLine
);
