Ozzy,
You've got a few things going on:
1. You should not be using IIf in this scenario. Because all values are
scalers, you should just use a simple if statement.
2. Since you are initializing WinTest to 0, no WinPct will ever be less
than it and FinalFast will never be changed from its initial value of 0.
You must instead initialize WinTest to greater than 100.
3. You need to do some rudimentary validation on the input data before
blindly trying to work with it. Even after correcting the 2 issues
above, the last line of your file may be a blank line. This causes
StrExtract to return an empty string "" which StrToNum then converts to
a 0. Thus, your lowest %Win would be found to be 0 as would the
associated fast.
Some additional thoughts:
1. No need to seperate out the first line read, do it all in the same
while loop.
2. Move the fclose(fh) inside the if (fh) block.
3. Good practice to move variables into the smallest scope within which
they will be used.
Have a try with the following:
FinalFast = 0;
fh = fopen( "C:\\logFile2.txt", "r" );
if ( fh )
{
WinTest = 101;
while ( !feof( fh ) )
{
Line1 = fgets( fh );
WinsPctStr = StrExtract( Line1, 2 );
if ( WinsPctStr == "" )
{
continue;
}
WinsPct = StrToNum( WinsPctStr );
if ( WinsPct < WinTest )
{
FinalFast = StrToNum( StrExtract( Line1, 0 ) );
WinTest = WinsPct;
}
}
fclose( fh );
}
_TRACE( NumToStr( FinalFast ) );
Mike
--- In [email protected], "ozzyapeman" <zoopf...@...> wrote:
>
> Having a bit of trouble designing a simple parser to extract values
from
> a csv file. My code only seems to work for some cases, but not others,
> and I can't seem to figure out why.
>
> I have a csv log file with three columns: FastMa, SlowMA, %Winners:
>
> 11,100,32
> 22,100,35
> 31,100,36
> 43,100,37
> 52,100,38
> 23,125,32
> 32,125,35
> 44,125,36
> 53,125,48
> 12,150,31
> 25,150,33
> 34,150,32
> 46,150,35
> 54,150,36
> 26,175,31
> 36,175,34
> 47,175,34
> 55,175,36
> 27,200,29
> 37,200,33
> 48,200,34
> 57,200,36
>
> If I want to extract the value of the FastMA that corresponds to the
> largest %Winner, the following code works correctly and prints the
value
> "53":
>
>
//----------------------------------------------------------------------\
\
> --------
> // PARSER VERSION 1: Find value of FastMA that corresponds to largest
> %Winners
>
//----------------------------------------------------------------------\
\
> --------
>
>
> fh = fopen( "C:\\logFile2.txt", "r" );
>
> FinalFast = WinsPct = WinTest = fast = slow = 0;
>
> if(fh)
> {
> Line1 = fgets(fh);
> WinsPct = StrToNum( StrExtract(Line1,2) );
> WinTest = WinsPct; // initialize WinTest
>
> while( !feof(fh) )
> {
> Line1 = fgets(fh);
>
> fast = StrToNum( StrExtract(Line1,0) );
> slow = StrToNum( StrExtract(Line1,1) );
> WinsPct = StrToNum( StrExtract(Line1,2) );
>
> FinalFast = IIf(WinsPct > WinTest, fast, FinalFast);
>
> _TRACE("FinalFast"+FinalFast);
>
> WinTest = IIf(WinsPct > WinTest, WinsPct, WinTest);
>
> _TRACE("WinTest"+WinTest);
>
> }
> }
> fclose(fh);
>
> printf(NumToStr(FinalFast) );
>
>
> But if I want to extract the value of the FastMA that corresponds to
the
> smallest %Winners, and simply change all ">" to "<", the code should
> work. But it doesn't. Intead of printing "27", it prints "0". Why are
> the values being reset to initialization, when it did not happen with
> the case above? Below is the code. As mentioned, the only trivial
> difference are the inequalities. Otherwise, it's identical to the
above.
>
> Any feedback much appreciated.
>
>
>
//----------------------------------------------------------------------\
\
> --------
> // PARSER VERSION 2: Find value of FastMA that corresponds to smallest
> %Winners
>
//----------------------------------------------------------------------\
\
> --------
>
>
> fh = fopen( "C:\\logFile2.txt", "r" );
>
> FinalFast = WinsPct = WinTest = fast = slow = 0;
>
> if(fh)
> {
> Line1 = fgets(fh);
> WinsPct = StrToNum( StrExtract(Line1,2) );
> WinTest = WinsPct; // initialize WinTest
>
> while( !feof(fh) )
> {
> Line1 = fgets(fh);
>
> fast = StrToNum( StrExtract(Line1,0) );
> slow = StrToNum( StrExtract(Line1,1) );
> WinsPct = StrToNum( StrExtract(Line1,2) );
>
> FinalFast = IIf(WinsPct < WinTest, fast, FinalFast);
>
> _TRACE("FinalFast"+FinalFast);
>
> WinTest = IIf(WinsPct < WinTest, WinsPct, WinTest);
>
> _TRACE("WinTest"+WinTest);
>
> }
> }
> fclose(fh);
>
> printf(NumToStr(FinalFast) );
>
>
>
>
>
>
> --- In [email protected], "ozzyapeman" zoopfree@ wrote:
> >
> > My bad. I had changed the location of the file in one area of the
code
> > and neglected the other.
> >
> > It works.
> >
> > Thanks a bunch!!
> >
> >
> >
> > --- In [email protected], "ozzyapeman" zoopfree@ wrote:
> > >
> > > Awesome, Mike. That's exactly the type of thing I was looking for.
> > >
> > > One problem, though. I try to run your code and only the column
> > > titles, "Fast,Slow,PCTWin" get written to the file. The actual
> values
> > > are not getting written, despite the fact that my optimization
> reports
> > > shows many values corresponding to % winners > 60.
> > >
> > > Looking at the trace output indicates the number of triggers are
> being
> > > properly hit. Your code also appears to be quite straightforward,
> and
> > > I cannot spot any obvious bug.
> > >
> > > Did you try running this? Does it work for you? Any idea where the
> bug
> > > might be?
> > >
> > >
> > >
> > > --- In [email protected], "Mike" <sfclimbers@> wrote:
> > > >
> > > > AddToComposite is for storing values on a bar by bar basis. I
> don't
> > > > think that this would be the right approach for your goals,
since
> you
> > > > are looking for a single scaler value representing total
> > performance for
> > > > a given period. Yes, you could write scripts to dig out the
> > performance
> > > > metrics and persist the subset of interest. However, it would be
> > easier
> > > > to just track the interesting ones as they occur. The following
> > AFL can
> > > > be run through the Optimizer and persist in a separate file the
> > > > parameter values for only those backtests that were of interest.
> I'll
> > > > leave the digging out of values in the second AFL to you, as it
> sounds
> > > > like you have an idea already of how you want to do that. Mike
> > > > fast = Optimize("Fast", 10, 10, 50, 10); slow = Optimize("Slow",
> 100,
> > > > 100, 200, 25);
> > > > Buy = Cross(MA(Close, fast), MA(Close, slow)); Sell =
> Cross(MA(Close,
> > > > slow), MA(Close, fast));
> > > > SetCustomBacktestProc("");
> > > > if (Status("ActionEx") == actionExOptimizeSetup) {
> > > > _TRACE("Optimize Begin"); fh =
> > > > fopen("C:\\temp\\logFile.csv", "w");
> > > > if (fh) { fputs("Fast,Slow,PCTWin\n", fh);
> > > > fclose(fh); } }
> > > > if (Status("action") == actionPortfolio) { _TRACE("Portfolio
> > > > Backtest"); bo = GetBacktesterObject(); bo.Backtest();
> > > > stats = bo.GetPerformanceStats(0); pctWinners =
> > > > stats.getValue("WinnersPercent");
> > > > if (pctWinners > 60) { _TRACE("Trigger"); fh =
> > > > fopen("C:\\temp\\logFile.csv", "a");
> > > > if (fh) {
> > > > fputs(StrFormat("%f,%f,%f\n", fast, slow, pctWinners),
> fh);
> > > > fclose(fh);
> > > > } }
> > > > } --- In [email protected], "ozzyapeman" <zoopfree@>
> wrote:
> > > > >
> > > > > Sorry if I was not clear enough. I will try to give more
> details.
> > > > >
> > > > > Basically I want to run an optimization on two variables, then
> > > > > somehow, automatically, store all values of optimized
variables
> that
> > > > > correspond to a certain metric range (let's say %Winners >
60).
> > > > > Another AFL would then pull that range of optimized variables
> for a
> > > > > backtest.
> > > > >
> > > > > I would use the Walk Forward feature of AmiBroker for this,
> > except it
> > > > > only uses the 'best' value, not a range of values. My system
> > requires
> > > > > a range of values, not just the best one. I also want to
> permanently
> > > > > store the best values.
> > > > >
> > > > > I am stuck trying to figure out how to automatically pull the
> > > > > optimized variables from the optimization report. The custom
> > > > > backtester only allows me to pull the built-in metrics.
> > > > >
> > > > > So the basic question is - how do I extract the optimized
> variables
> > > > > after an optimization is run? Do I have to write some vbscript
> that
> > > > > exports the report to csv, then opens that report, then
somehow
> > parses
> > > > > through that report to find the correct column and range? Or
is
> > there
> > > > > (hopefully) a simpler way of extracting the values?
> > > > >
> > > > > Once the values are extracted, it is then fairly easy to
either
> > write
> > > > > them to a file or store them in static variables. But I am
> aiming to
> > > > > store them in composite symbols, as (a) they are 'permanent'
> like
> > > > > external files and (b) my sense is that it is more efficient
to
> pull
> > > > > values from a composite symbol than from an external file.
> > > > >
> > > > > As I run through optimizations across different historical
> > periods, I
> > > > > want to build a number of composite symbols that contain the
> 'best
> > > > > values' of optimized variables for use in 'walk forward'
> backtests,
> > > > > and then eventual live trading.
> > > > >
> > > > > Hopefully the above is clearer now. Please let me know if not.
> > > > >
> > > > >
> > > > >
> > > > > --- In [email protected], "Mike" sfclimbers@ wrote:
> > > > > >
> > > > > > You would have to be a little more clear on exactly what it
is
> you
> > > > are
> > > > > > trying to accomplish. Though, writing to a file directly, or
> using
> > > > > > static variables might be areas to explore.
> > > > > >
> > > > > > Mike
> > > > > >
> > > > > > --- In [email protected], "ozzyapeman" <zoopfree@>
> wrote:
> > > > > > >
> > > > > > > Ah. Well that would explain that. Thanks.
> > > > > > >
> > > > > > > Any ideas for a possible workaround?
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > --- In [email protected], "Mike" <sfclimbers@>
> wrote:
> > > > > > > >
> > > > > > > > Ozzy,
> > > > > > > >
> > > > > > > > The Stats object only contains values for built in
metrics
> as
> > > > > > > > described here (scroll to bottom):
> > > > > > > >
> > > > > > > > http://www.amibroker.com/guide/a_custombacktest.html
> > > > > > > >
> > > > > > > > Mike
> > > > > > > >
> > > > > > > > --- In [email protected], "ozzyapeman"
<zoopfree@>
> > > > wrote:
> > > > > > > > >
> > > > > > > > > Hello, I've read Herman's excellent doc, "IntroToATC".
> > > > > > > > >
> > > > > > > > > I am trying to run an optimization, and then store the
> > values
> > > > of
> > > > > > the
> > > > > > > > > optimized variables in some composite symbols. I later
> > want to
> > > > > > pull
> > > > > > > > > values of a certain range and input them automatically
> in
> > > > > > another
> > > > > > > > AFL.
> > > > > > > > > However, I keep getting a syntax error that the fields
> > are not
> > > > > > > > > available, even though they clearly are.
> > > > > > > > >
> > > > > > > > > Hoping someone can point out my mistake, or give me
some
> > > > > > > > suggestions on
> > > > > > > > > what else to try.
> > > > > > > > >
> > > > > > > > > Here is the code. Any ideas? :
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > //--------------------------------------------------------------
> > > > > > ----
> > > > > > > > --
> > > > > > > > > // TRADING SYSTEM
> > > > > > > > >
> > > > //--------------------------------------------------------------
> > > > > > ----
> > > > > > > > --
> > > > > > > > >
> > > > > > > > > FastMALength = Optimize("FastMALength", 10, 1,
> > 10,
> > > > >
> > > > > > > > 1);
> > > > > > > > > SlowMALength = Optimize("SlowMALength", 20, 20,
> 50,
> > > > > > > > 10);
> > > > > > > > >
> > > > > > > > > FastMA = MA( C, FastMALength );
> > > > > > > > > SlowMA = MA( C, SlowMALength );
> > > > > > > > > Buy = Cross( FastMA, SlowMA );
> > > > > > > > > Sell = Cross( SlowMA, FastMA );
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > //--------------------------------------------------------------
> > > > > > ----
> > > > > > > > --
> > > > > > > > > // CUSTOM OPTIMIZATION PROCEDURE (Store opt vars in
> > composite
> > > > > > > > symbols)
> > > > > > > > >
> > > > //--------------------------------------------------------------
> > > > > > ----
> > > > > > > > --
> > > > > > > > >
> > > > > > > > > SetCustomBacktestProc( "" );
> > > > > > > > >
> > > > > > > > > if ( Status( "action" ) == actionPortfolio )
> > > > > > > > > {
> > > > > > > > > bo = GetBacktesterObject();
> > > > > > > > >
> > > > > > > > > // run default backtest procedure
> > > > > > > > > bo.Backtest( 1 );
> > > > > > > > >
> > > > > > > > > st = bo.getperformancestats( 0 );
> > > > > > > > >
> > > > > > > > > // iterate through closed trades first
> > > > > > > > > for ( trade = bo.GetFirstTrade(); trade; trade =
> > > > > > bo.GetNextTrade
> > > > > > > > () )
> > > > > > > > > {
> > > > > > > > > FastMALength = st.getvalue( "FastMALength" );
> > > > > > > > > SlowMALength = st.getvalue( "SlowMALength" );
> > > > > > > > >
> > > > > > > > > AddToComposite( FastMALength, "~OptFastMA", "X",
> > > > > > 1+2+8+16+64 );
> > > > > > > > > AddToComposite( SlowMALength, "~OptSlowMA", "X",
> > > > > > 1+2+8+16+64 );
> > > > > > > > > }
> > > > > > > > > bo.ListTrades();
> > > > > > > > > }
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
