Dear TJ and Fred: Thank you for these suggestions. However, what I am asking for is a simple AFL function in which we can specify the lookback period for the metric in question, nothing more. To observe the difference, you can simply substitute an MA() for the required function, as shown below. When you view the graph, you will see, I think, what I am talking about.
Plot(C,"",1,128); Plot(MA(C,50),"FixedLookBack",colorRed,1); // the requested solution Plot(MA(C,BarIndex()),"ExistingNow",colorBlue,1); // TJ's and Fred's solution. I believe what TJ has suggested, if I am interpreting it correctly, is that I would be running a backtest for each bar in a loop, which would be complex and very slow. Maybe I'm asking the same thing. If so, tell me, and I'll desist. An alternative solution is to use the Walk Forward Individual Backtester to implement a system that uses performance metrics as position score. BTW, Fred, are you willing to share the complete working code for your 2-line export? Thank you. Al V. On 7/28/08, Tomasz Janeczko <[EMAIL PROTECTED]> wrote: > > Hello, > > It is doable with custom backtester and not so complicated. > > As described in detail here: > http://www.amibroker.com/guide/a_custommetrics.html > > You have direct access to ANY backtest performance metric using > GetPerformanceStats() function of backtester object. > > There is no obstacle in calling it every bar and storing the result in the > array if you wish. > > Let say you want UPI as array. > > > // your trading system here > Buy = ... > Sell = ... > > SetCustomBacktestProc(""); > > /* Now custom-backtest procedure follows */ > > *if*( Status("action") == *actionPortfolio* ) > { > UPI = 0; > bo = GetBacktesterObject(); > > bo.PreProcess(); > > *for*( bar = 0; bar < *BarCount*; bar++ ) > { > bo.ProcessTradeSignals( bar ); > > st = bo.GetPerformanceStats(0); // get stats for all trades > > UPI[ bar ] = st.GetValue("UlcerPerformanceIndex"); > } > > bo.PostProcess(); > > AddToComposite( UPI, "~~~UPI", "X", *atcFlagDefaults* | * > atcFlagEnableInPortfolio* ); > } > > > Now ~~~UPI ticker will contain bar-by-bar values of Ulcer Performance > Index. > > As for "specifying lookback period" it is doable by creating Xth composites > (and X backtests) each containing values for specified > lookback period. > > As for Equity() - this is SINGLE security (OLD) backtest. It has no > comparision to portfolio level backtest that > must go through entire portfolio. The complexity of portfolio backtest is > Nth times the single security backtest > where N is number of symbols in portfolio. Therefore it is not feasible to > be calculated on-the-fly in real time like > single-security backtest (i.e. Equity()). > > > Best regards, > Tomasz Janeczko > amibroker.com > > ----- Original Message ----- > *From:* Al Venosa` <[EMAIL PROTECTED]> > *To:* [email protected] > *Sent:* Monday, July 28, 2008 1:02 AM > *Subject:* Re: [amibroker] Re: How to save Metrics in Composites for > Individual BTs > > Thanks, Fred, but I haven't a clue how to do OLE/Automation, and I wonder > how many AB users out there really do. That's why I was calling for a > simple, non-painful, easy-to-use AFL function that would do this for the > non-techie/programmer, and if it existed, AB would be the only trading > software out there that would be able to do this. I bet It would be a profit > bonanza for TJ. > > Al V. > > On 7/27/08, Fred Tonetti <[EMAIL PROTECTED]> wrote: >> >> I agree that this would be nice to have as directly as you have laid >> out … >> >> >> >> However, while somewhat painful, one can with Equity() and a list of >> trades calculate all the performance metrics as of any given bar or if you >> prefer as arrays of values … >> >> >> >> This could be fully automated with OLE/Automation >> >> >> ------------------------------ >> >> *From:* [email protected] [mailto:[EMAIL PROTECTED] *On >> Behalf Of *Al Venosa >> *Sent:* Sunday, July 27, 2008 11:29 AM >> *To:* [email protected] >> *Subject:* [amibroker] Re: How to save Metrics in Composites for >> Individual BTs >> >> >> >> Having read this interesting thread begun last week, I'd like to >> continue it with a follow-on question/comment that I think, if TJ were >> to implement it, would make Amibroker infinitely more useful to the >> actual trader. It would be awesome if we could have simple-to-use AFL >> functions that read AFL backtest metrics directly. Adding a lookback >> period would make them immensely more useful as indicators. What I am >> suggesting is to have a function like: >> >> getEquityMetric ( MetricName,LookBackPeriod); >> >> The example code provided by TJ gives us only the cumulative value of >> each metric. What I'm suggesting is to go beyond this one cumulative >> output number and create metric arrays with a specified lookback >> period. Then, when we plot these metrics in an indicator, we can >> visually look for correlations with price charts. For example, one >> could plot winning trades/month and see if they change with trend. Or >> one could look at AverageWin or UPI and see how that changes with >> trend. These are all correlations that are best analyzed visually (in >> an Indicator) but can ONLY be analyzed if we have access to these >> metrics for variable lookback periods. >> >> Another use for these functions would be as a positionscore in a >> trading system. What better way is there to select tickers/systems to >> trade than the actual performance of those tickers or systems? The >> procedure may require a preliminary scan/exploration to create metric- >> composites that can be read by the trading system and used as a >> positionscore. Critical here is that the metric can be read for any >> specified lookback period, i.e. 10 bars, 100 bars, etc. So the >> function must have a period argument, which is the most important >> factor. We already have equity(). Why not expand this with the other >> backtest metrics? >> >> Undoubtedly, all this can be implemented using the custom backtester, >> but this solution probably excludes >95% of all AmiBroker users. >> >> TJ, would this be possible to implement? >> >> Al Venosa >> >> --- In [email protected] <amibroker%40yahoogroups.com>, "Herman" >> <[EMAIL PROTECTED]> wrote: >> > >> > Thank you TJ :-) you saved the day once more ! >> > >> > Great stuff. >> > >> > If someone is wondering why I wanted this program... You can design >> trading >> > systems and use performance metric arrays as powerful Indicators. It >> is >> > somewhat similar to trading the equity curve. Price arrays can have >> > qualities that can make your trading systems fail but that are >> undetectable >> > with traditional indicators. >> > >> > However, you can design small trading systems that target specific >> price >> > characteristics, like patterns, trends, volatility, cycles, etc. >> Using the >> > code below gives you statistical information about these >> characteristics in >> > a form that can be plotted, and be used in other trading systems. >> > >> > Thanks everyone for your help! >> > have a great trading day! >> > herman >> > >> > // Demo trading system >> > Short = Cover = 0; >> > Buy = Cross( MACD(), Signal() ); >> > Sell = Cross( Signal(), MACD() ); >> > // Using the CBT to retrieve/save metrics >> > if( Status("action") == actionBacktest ) 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] <amibroker%40yahoogroups.com> [mailto: >> [email protected] <amibroker%40yahoogroups.com>]On >> Behalf >> > Of Tomasz Janeczko >> > Sent: July 25, 2008 5:49 AM >> > To: [email protected] <amibroker%40yahoogroups.com> >> > Subject: [SPAM]Re: [SPAM]Re: [amibroker] How to save Metrics in >> Composites >> > for Individual BTs >> > >> > >> > 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] <amibroker%40yahoogroups.com> >> > 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] <amibroker%40yahoogroups.com> [mailto: >> [email protected] <amibroker%40yahoogroups.com>]On >> Behalf >> > Of Tomasz Janeczko >> > Sent: July 25, 2008 4:08 AM >> > To: [email protected] <amibroker%40yahoogroups.com> >> > 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] <amibroker%40yahoogroups.com> >> > 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] <amibroker%40yahoogroups.com> [mailto: >> [email protected] <amibroker%40yahoogroups.com>] >> On Behalf >> > Of Herman >> > Sent: Friday, 25 July 2008 9:31 AM >> > To: [email protected] <amibroker%40yahoogroups.com> >> > 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] <amibroker%40yahoogroups.com> [mailto: >> [email protected] <amibroker%40yahoogroups.com>]On >> Behalf >> > Of Tomasz Janeczko >> > Sent: July 24, 2008 3:00 PM >> > To: [email protected] <amibroker%40yahoogroups.com> >> > 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 ); >> > >> >> ------------------------------ >> I am using the free version of SPAMfighter for private users. >> It has removed 512 spam emails to date. >> Paying users do not have this message in their emails. >> Try SPAMfighter <http://www.spamfighter.com/len> for free now! >> > > >
