Ok, I found an error in my standard deviation of trades code resulting in an
out of range error that only occurs at certain times.
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
X[N] = trade.GetPercentProfit();
SumX=SumX+X[N];
SumX2=SumX2+(X[N]^2);
N++;
}
I believe I have tracked the problem down to an out of range error occurring
when the trade number exceeds the number of bars in a test. Does this make
sense and/or is anyone aware of a work-around? I don't really see how that
would matter for this as I am looping through trades rather than bars but I can
reproduce the error by loosening my entry criteria to the point where my trade
count bumps above the bar count so I am confident that is the cause.
--- In [email protected], "bh.hicks" <bh.hi...@...> wrote:
>
> Huh, good question. The honest answer is habit with a little bit of legacy I
> guess as I like to be able to compare new things I am working on to older
> systems and I have been using that metric for a while. I also use profit
> targets almost exclusively so I rarely have large positive outliers anyway
> but it is worth a look for sure.
> Thanks.
>
>
> --- In [email protected], "Paul Ho" <paul.tsho@> wrote:
> >
> > you are welcome
> > just out of curosity why do you use stdev instead of ulcer index which
> > doesnt penalise upward volatility?
> > --- In [email protected], "bh.hicks" <bh.hicks@> wrote:
> > >
> > > Paul,
> > > That worked! I am not sure what I was doing wrong yesterday but I was
> > > mentally drained so probably just something stupid.
> > >
> > > I want to thank you and everyone else who helped out with this. I know it
> > > is pretty simple for the seasoned AB users here but I figured I might as
> > > well dive in if I am going to make the switch and this was as good a
> > > place to start as any. This community is certainly one of the reasons I
> > > decided to begin switching platforms.
> > >
> > > Best,
> > > B
> > >
> > >
> > > --- In [email protected], "Paul Ho" <paul.tsho@> wrote:
> > > >
> > > > Worked when I tested it
> > > > See full code, just a few lines, less than that of traders studio:)
> > > > eq = Foreign("~~~EQUITY", "C");
> > > > meq = TimeFrameCompress(eq, inMonthly);
> > > > m = Cum(IsNull(meq) == 0);
> > > > mret = ROC(meq, 1);
> > > > mstd = lastvalue(StDev(mret, LastValue(m-2)));
> > > > MAvg = lastvalue(MA(mret, LastValue(m - 2)));
> > > > bo.AddCustomMetric("Monthly sharpe", (MAvg -.0025)/mstd);
> > > > --- In [email protected], "bh.hicks" <bh.hicks@> wrote:
> > > > >
> > > > > Paul,
> > > > > Thanks for posting this. I am not having any luck with it but I will
> > > > > try again tomorrow when fresh. Thanks.
> > > > >
> > > > >
> > > > >
> > > > > --- In [email protected], "Paul Ho" <paul.tsho@> wrote:
> > > > > >
> > > > > > You can try the following in your CBT
> > > > > > meq = timeframecompress(foreign("~~~Equity", "C"), inMonthly);
> > > > > > m = Cum(IsNull(meq) == 0);
> > > > > > mstd = StDev(meq, LastValue(m-1));
> > > > > > you can do a timeframeexpand, but if you're using the lastvalue,
> > > > > > that isnt necessary. if you want std of return
> > > > > > then add mret = roc(meq, 1); but mstd = stdev(mret, lastvalue(m -
> > > > > > 2)) instead.
> > > > > > Enjoy.
> > > > > >
> > > > > > --- In [email protected], "bh.hicks" <bh.hicks@> wrote:
> > > > > > >
> > > > > > > I should probably add that the challenge now is not calculating
> > > > > > > the SD but how to load up an array with only monthly returns...
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > --- In [email protected], "bh.hicks" <bh.hicks@> wrote:
> > > > > > > >
> > > > > > > > Mike,
> > > > > > > > You are the man! Thank you! I have posted the code I ended up
> > > > > > > > with to the bottom of this email in hopes it will help someone
> > > > > > > > else someday but please be aware I am the worst "programmer" on
> > > > > > > > the planet before using.
> > > > > > > >
> > > > > > > > Now onto StdDev of monthly returns. Traders Studio has an
> > > > > > > > object that stores monthly returns that I access like this...
> > > > > > > >
> > > > > > > > NOTE: NOT AMIBROKER CODE
> > > > > > > >
> > > > > > > > objReport = thisSession.MonthlyReport
> > > > > > > > ReDim(Mreturn,objReport.ItemCount)
> > > > > > > >
> > > > > > > > For i = 0 To objReport.ItemCount - 1
> > > > > > > > objPeriod = objReport.Period(i)
> > > > > > > > Mreturn[i]=objPeriod.PercentReturn
> > > > > > > > Next
> > > > > > > >
> > > > > > > > AvgMreturn=Average(Mreturn,i,0)
> > > > > > > > StDevMreturn=StdDevS(Mreturn,i,0)
> > > > > > > > Msharpe=(AvgMreturn-.0025)/StDevMreturn
> > > > > > > >
> > > > > > > > I haven't been able to find something similar in AB. Does it
> > > > > > > > exist or is there another method I need to use to get at this
> > > > > > > > data? Thanks again for any bones that can be thrown my way. I
> > > > > > > > will do my best to leave the results behind for the next newbie
> > > > > > > > who follows me.
> > > > > > > >
> > > > > > > > --------------------------------------------------------------------
> > > > > > > > MY AB Code to calculate Standard Deviation of Trades and use it
> > > > > > > > to calculate T-score.
> > > > > > > >
> > > > > > > > SetCustomBacktestProc("");
> > > > > > > >
> > > > > > > > if( Status("action") == actionPortfolio )
> > > > > > > > {
> > > > > > > > bo = GetBacktesterObject();
> > > > > > > > bo.Backtest();
> > > > > > > > st = bo.GetPerformanceStats(0);
> > > > > > > >
> > > > > > > > //Get Variables
> > > > > > > > AvgTrade=st.GetValue("AllAvgProfitLossPercent");
> > > > > > > >
> > > > > > > > // iterate through closed trades
> > > > > > > > X = 0;
> > > > > > > > N = 0;
> > > > > > > > SumX = 0;
> > > > > > > > SumX2 = 0;
> > > > > > > >
> > > > > > > > for( trade = bo.GetFirstTrade(); trade; trade =
> > > > > > > > bo.GetNextTrade() )
> > > > > > > > {
> > > > > > > > X[N] = trade.GetPercentProfit();
> > > > > > > > SumX=SumX+X[N];
> > > > > > > > SumX2=SumX2+(X[N]^2);
> > > > > > > > N++;
> > > > > > > > }
> > > > > > > >
> > > > > > > > // Custom Metric Caluclations
> > > > > > > > TradeStdDev=sqrt((SumX2-((SumX)*(SumX)/N))/(N-1));
> > > > > > > > TScore=sqrt(N)*AvgTrade/TradeStdDev;
> > > > > > > >
> > > > > > > > // Here we add custom metric to backtest report
> > > > > > > > bo.AddCustomMetric( "TradeStdDev",TradeStdDev);
> > > > > > > > bo.AddCustomMetric( "T-Score",TScore);
> > > > > > > > }
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote:
> > > > > > > > >
> > > > > > > > > I haven't verified any of this, but...
> > > > > > > > >
> > > > > > > > > When you create your own arrays (e.g. TradeReturn[]), I
> > > > > > > > > believe that they get aligned with the market data of the
> > > > > > > > > current symbol (~~~Equity in this case). Assuming that you
> > > > > > > > > had a total of 20 trades over 1000 bars, you would have an
> > > > > > > > > array with values for the first 20 elements and zeroes (or
> > > > > > > > > Nulls?) for the remaining 980 bars. Your StDev call is
> > > > > > > > > operating on the last 3 bars, all of which will be zero,
> > > > > > > > > giving zero.
> > > > > > > > >
> > > > > > > > > I believe that the answer would be for you to manually
> > > > > > > > > calculate the std. deviation of the trades yourself.
> > > > > > > > >
> > > > > > > > > Then again, the problem might just be related to trying to
> > > > > > > > > add an array as custom metric as opposed to a scaler, in
> > > > > > > > > which case LastValue(TradeStdDev) would be the way to go.
> > > > > > > > > Experiment and see what you come up with.
> > > > > > > > >
> > > > > > > > > Mike
> > > > > > > > >
> > > > > > > > > P.S. Great start for someone new to AmiBroker!
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > --- In [email protected], "bh.hicks" <bh.hicks@>
> > > > > > > > > wrote:
> > > > > > > > > >
> > > > > > > > > > Ok, I am making progress on this but getting hung up on the
> > > > > > > > > > standard deviation calculations. I have been through most
> > > > > > > > > > of all 800+ posts that mention standard deviation but
> > > > > > > > > > haven't been able to figure this out. If anyone can offer
> > > > > > > > > > some insight into why my TradeStDev is coming back empty, I
> > > > > > > > > > would very much appreciate it as I barely have any hair
> > > > > > > > > > left.
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > > SetCustomBacktestProc("");
> > > > > > > > > >
> > > > > > > > > > if( Status("action") == actionPortfolio )
> > > > > > > > > > {
> > > > > > > > > > bo = GetBacktesterObject();
> > > > > > > > > > bo.Backtest();
> > > > > > > > > > st = bo.GetPerformanceStats(0);
> > > > > > > > > >
> > > > > > > > > > //Get Variables
> > > > > > > > > > WLratio=st.GetValue("PayoffRatio");
> > > > > > > > > > WinPercent=st.GetValue("WinnersPercent")/100;
> > > > > > > > > > PF=st.GetValue("ProfitFactor");
> > > > > > > > > > NetProfit=st.GetValue("NetProfit");
> > > > > > > > > > MaxDD=st.GetValue("MaxSystemDrawdown");
> > > > > > > > > > TestYears=(EndValue( BarIndex() ) - BeginValue( BarIndex()
> > > > > > > > > > ))/252;
> > > > > > > > > > AvgTrade=st.GetValue("AllAvgProfitLossPercent");
> > > > > > > > > >
> > > > > > > > > > // iterate through closed trades
> > > > > > > > > > TradeReturn = 0;
> > > > > > > > > > NumTrades = 0;
> > > > > > > > > >
> > > > > > > > > > for( trade = bo.GetFirstTrade(); trade; trade =
> > > > > > > > > > bo.GetNextTrade() )
> > > > > > > > > > {
> > > > > > > > > > TradeReturn[NumTrades] =
> > > > > > > > > > trade.GetPercentProfit();
> > > > > > > > > > NumTrades++;
> > > > > > > > > > }
> > > > > > > > > >
> > > > > > > > > > // Metrics
> > > > > > > > > > Fscore=(((WLratio+1)*WinPercent)-1)/WLratio;
> > > > > > > > > > MyF=Fscore*PF;
> > > > > > > > > > DDR=(NetProfit/-MaxDD)*(TestYears/20);
> > > > > > > > > > TradeStdDev=StDev(TradeReturn,3);
> > > > > > > > > >
> > > > > > > > > > // Here we add custom metric to backtest report
> > > > > > > > > > bo.AddCustomMetric( "W/L Ratio",WLratio);
> > > > > > > > > > bo.AddCustomMetric( "Win %",WinPercent);
> > > > > > > > > > bo.AddCustomMetric( "ProfitFactor",PF);
> > > > > > > > > > bo.AddCustomMetric( "F-Score",Fscore);
> > > > > > > > > > bo.AddCustomMetric( "MyF",MyF);
> > > > > > > > > > bo.AddCustomMetric( "DDR",DDR);
> > > > > > > > > > bo.AddCustomMetric( "AvgTrade%",AvgTrade);
> > > > > > > > > > bo.AddCustomMetric( "Test0",TradeReturn[0]);
> > > > > > > > > > bo.AddCustomMetric( "Test1",TradeReturn[NumTrades-1]);
> > > > > > > > > > bo.AddCustomMetric( "TradeStDev",TradeStdDev);
> > > > > > > > > > }
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > > --- In [email protected], "bh.hicks" <bh.hicks@>
> > > > > > > > > > wrote:
> > > > > > > > > > >
> > > > > > > > > > > I have been a long time Traders Studio user and am
> > > > > > > > > > > beginning the process of migrating everything over to
> > > > > > > > > > > AmiBroker. One of the more useful pieces of code I wrote
> > > > > > > > > > > for Traders Studio was a custom optimization metric that
> > > > > > > > > > > I would like to reproduce in AmiBroker. I am a little
> > > > > > > > > > > overwhelmed at all the information available and would
> > > > > > > > > > > very much appreciate it if someone could point me towards
> > > > > > > > > > > some sources of info that will allow me to accomplish
> > > > > > > > > > > this.
> > > > > > > > > > >
> > > > > > > > > > > The ranking metric does the following:
> > > > > > > > > > >
> > > > > > > > > > > Msharpe=(AvgMreturn-.0025)/StDevMreturn (m refers to
> > > > > > > > > > > monthly)
> > > > > > > > > > > Tscore=Sqr(TradeCount)* AvgTrade/TradeStdDev (std dev. is
> > > > > > > > > > > of % returns of each trade)
> > > > > > > > > > > Fscore=(((WLratio+1)*WinPercent)-1)/WLratio (WLratio is
> > > > > > > > > > > W/L ratio)
> > > > > > > > > > > MyF=Fscore*ProfitFactor
> > > > > > > > > > > DDR=(NetProfit/MaxDD)*(YearsTested/20)
> > > > > > > > > > >
> > > > > > > > > > > CustomScore=Msharpe*MyF*Tscore*DDR
> > > > > > > > > > >
> > > > > > > > > > > This did a pretty good job allowing me to quickly rank
> > > > > > > > > > > optimization runs on the criteria that is important to me.
> > > > > > > > > > >
> > > > > > > > > > > So although new to AmiBroker, I can work my myself around
> > > > > > > > > > > some moderately difficult code and Trader Studio's
> > > > > > > > > > > object-oriented back end but I really just don't know
> > > > > > > > > > > where to start to dig up how to access this data during
> > > > > > > > > > > backtests an optimization runs.
> > > > > > > > > > >
> > > > > > > > > > > Thanks for any help.
> > > > > > > > > > > B
> > > > > > > > > > >
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
