Hi again
I am aware that my previous email was far from being clear. Unfortunately I
don't have much time to elaborate on the idea thouroughly. Anyway as far as
your questions are concerned:
1) "could you explain a little more on how you put
> the #include statements?"
I have created something like a "summary" formula file, where
a) after settling some settings with SetOption,
b) #include <system1.afl>
#include <system2.afl>
statements is put (system1.afl and system2.afl are the files with the code I
delivered in the previous mail which should be by default created and saved in
Include directory in AB)
c) following code appears (example):
if(Name()=="EURUSD")
{
system1(param1,param2,...,timeframe,...,paramN);
}
if(Name()=="EURUSD")
{
system2(param,etc,timeframe,etc);
}
d) that's it :)
2) "How many systems did you plug together? How many different timeframes?"
Well, due to memory limitations I am only able to backtest like 5-8 different
systems (no matter on which ticker or timeframe they are used). For example
recently I check the performance of system1 (channel breakout - based) on
EURUSD on 15M, the same system again on EURUSD, on 1M though, system2
(candlestick pattern - based) on EURUSD 15M, system2 on USDJPY 1H and system3
(violatility breakout - based) on USDJPY 5M simultanously.
3) "Did
> optimization for capital allocation work? ("optimize percentrisked")"
Very good point. However, I am far from answering, since I have only utilized
presented formulas for backtesting systems that had already been optimized for
position sizing separately. As my intension was just to check how they could
work at the same time (compounded returns and...drawndowns, too), I don't know
weather my idea works for optimization.
I hope I helped a little bit.
Regards
Tomasz
--- In [email protected], "Matthias K." <meridian...@...> wrote:
>
> Thanks Tomasz,
>
> It s gonna take me some time to understand your idea. I'm not very
> satisfied with the overall way AB is handling this kind of topic.. anyways
> thanks for the assistance. could you explain a little more on how you put
> the #include statements?
>
>
>
> How many systems did you plug together? How many different timeframes? Did
> optimization for capital allocation work? ("optimize percentrisked")
>
>
>
> Greets,
>
>
>
> Matthias
>
>
>
> From: [email protected] [mailto:[email protected]] On Behalf
> Of tf28373
> Sent: Donnerstag, 9. September 2010 11:01
> To: [email protected]
> Subject: [amibroker] Re: Backtest multiple systems across multiple
> timeframes
>
>
>
>
>
> Hi Matthias
>
> Some time ago I was working on the same problem. The solution I have come
> across is as following:
>
> 1) use #include command in the main code
> 2) inside the #include function do like this (of course all is just an
> example which will need adjustment to your needs):
> a) function(parameter1, parameter2,...,timeframe,...,parameterN)
> {
> switch (timeframe)
> {
> case 60: TimeFrameSet(inHourly); break;
> case 15: TimeFrameSet(in15Minute); break;
> case 5: TimeFrameSet(in5Minute); break;
> default: break;
> }
> //here comes the calculations of channels, threshold,
> averages, oscillator, etc, everything you need to obtain
> signals' conditions
>
> TimeFrameRestore();//AGAIN - it is just an example, by the way - sorry for
> illegable layout
> switch (timeframe)
> {
> case 60: channel1=TimeFrameExpand(chan1,inHourly,expandLast);
> channel2=TimeFrameExpand(chan2,inHourly,expandLast);
> oscillator1=TimeFrameExpand(osc1,inHourly,expandLast);
> break;
> case 15: //the logic of code the same as above...
> break;
> case 5: //as above break;
> default: channel1=chan;
> channel2=chan2;
> oscillator1=osc2;
> break;
> }
>
> //here comes the buy/sell/cover/short/stop conditions and
> position sizing, etc
> }
>
> Although using #include results in slower code exection, it is a kind of
> idea to handle different timeframes system backtest, so I hope that even if
> it does not help directly, it will at least inspire you to find your own
> solution.
>
> Regards
> Tomasz
>
> --- In [email protected] <mailto:amibroker%40yahoogroups.com> ,
> "Matthias" <meridian202@> wrote:
> >
> > Hi,
> >
> > thanks to the contribution of Ed Pottasch, supported by Bruce, I was able
> to dig a little deeper into Amibroker coding. Everybody who is interested in
> applying multiple systems on the same underlying simultaneously should look
> here, great piece of work:
> http://finance.groups.yahoo.com/group/AmiBroker-at/message/5349
> >
> > Thanks Ed, thanks Bruce.
> >
> > Unfortunately, I stumbled across a couple of questions when backtesting
> multiple systems across different timeframes, hope someone can help, sorry
> for the post being a bit lenghty.
> >
> > Both systems are traded on the same underlying, in order to make things
> easier for AB (Which is a bit strange) I used the same set of data, just
> renamed it. both systems operate on the same timeframe, say 15mins.
> >
> >
> > Question 1:
> >
> > I use the same variable "percentrisked" for both systems. Wanted to
> optimize for percent risked (only!, this is NOT shown in the example below),
> so to say capital allocated to each system for the smoothest equity curve,
> AB keeps crashing... Can I use the same variable name in each sub-section or
> are there limits? should I dedicated "percentrisked1" to system1 and
> "percentrisked2" to system2 only? I am not a programmer, but for my
> understanding, both variables are local, so AB should not be crashing...?
> >
> > Is using "Setoption" in this context appropriate or would it result in
> wrong values?
> >
> > if(Name()=="DAX_CFD_day1")
> > {
> > percentrisked=2.0;
> > factor=Optimize("ATR-Factor",8.5,3,12,0.5);
> > number=(percentrisked)/(ATR(14)*factor)*20;
> > SetPositionSize(number, spsPercentOfEquity);
> > SetOption("commissionmode",3);
> > SetOption("Commissionamount",1.2);
> > SetOption("AllowSameBarExit",True);
> > SetOption("ActivateStopsImmediately",True);
> >
> > .....systemlogic here
> > }
> >
> > if(Name()=="DAX_CFD_day")
> > {
> >
> > percentrisked=Optimize("Bolli",0.6,0.5,1,0.1);
> > sl=2;//Optimize("sl",2,2,2.5,0.5);//good:6
> > number=(percentrisked/(Ref(ATR(14),-1)*sl))*20;
> > SetPositionSize(number, spsPercentOfEquity);
> > SetOption("commissionmode",3);
> > SetOption("Commissionamount",1.2);
> > SetOption("AllowSameBarExit",True);
> > SetOption("ActivateStopsImmediately",True);
> > SetOption("FuturesMode",True);
> > SetTradeDelays(1,1,1,1);
> > Equity(1);
> >
> > ... systemlogic here
> > }
> >
> >
> > Question 2:
> >
> > Both systems above use 15min timeframe. Another system is using 1hr
> timeframe and is trading FX. I was not able to re-write the logic so that I
> could backtest the 3 systems with AA settings 15min timeframe. Any ideas? I
> do have about 8 systems, lowest timeframe is 5min, highest timeframe 4hrs.
> That would require a lot of "re-writing"... Am I alone with my "I have too
> many-systems" Problem or am I missing somehting?
> >
> > original logic in 1hr timeframe:
> >
> > percentrisked=0.007;
> > sl=4.5;
> > tp=2.5;
> >
> > number=((percentrisked)/(Ref(ATR(14),-0)*sl));
> > SetPositionSize(number,spsPercentOfEquity);
> >
> > SetOption("maxopenpositions",1);
> >
> >
> > CCIperiod=Optimize("CCI",36,34,40,1);
> > CCIthreshold=optimize("CCIthres",89,88,96,1);
> >
> > MAperiod=Optimize("maperiod",7,6,8,1);
> >
> > MA1= MA(C,MAperiod);
> > MA2= MA(Ref(C,-2),MAperiod);
> >
> > CCIshort=CCI(CCIperiod)>=ccithreshold;
> > CCIbuy= CCI(CCIperiod)<=-CCIthreshold;
> >
> > Buyok=Ref(CCIbuy,-1) AND Cross(MA1,MA2);
> > Sellok=CCIshort;
> > Shortok=Ref(CCIshort,-1) AND Cross(MA2,MA1);
> > Coverok=CCIbuy;
> >
> > timestart=020000;
> > window=170000
> > Check=timestart+window;
> > timeok=TimeNum()>=timestart AND TimeNum()<=Check;
> >
> > Buy= Buyok AND timeok;
> > Sell= Sellok;
> > Short= Shortok AND timeok;
> > Cover= Coverok;
> >
> > ApplyStop(stopTypeLoss,stopModePoint,sl*ATR(14)); //9
> > ApplyStop(stopTypeProfit,stopModePoint,tp*ATR(14)); //1.2
> >
> > Equity(1);
> >
> >
> >
> >
> > System2:
> >
> > percentrisked=0.007;
> > sl=4.5;
> > tp=2.5;
> >
> > SetOption("maxopenpositions",1);
> >
> > CCIperiod=Optimize("CCI",36,34,40,2);
> > CCIthreshold=Optimize("CCIthres",97,88,96,2);
> >
> > MAperiod= Optimize("maperiod",7,7,9,1);
> >
> > TimeFrameSet(inHourly);
> > MA1= MA(C,MAperiod);
> > MA2= MA(Ref(C,-0),MAperiod);
> > CCIhr= CCI(CCIperiod);
> > ATR1= ATR(14);
> > TimeFrameRestore();
> >
> > number=((percentrisked)/(TimeFrameExpand(Ref(atr1,-0),inHourly)*sl));
> > SetPositionSize(number,spsPercentOfEquity);
> >
> > CCIshort=TimeFrameExpand(CCIhr,inHourly)>ccithreshold;
> > CCIbuy= TimeFrameExpand(CCIhr,inHourly)<-CCIthreshold;
> >
> >
> >
> Crossup=Cross(TimeFrameExpand(MA1,inHourly),TimeFrameExpand(Ref(MA2,-2),inHo
> urly));
> >
> Crossdown=Cross(TimeFrameExpand(Ref(MA2,-2),inHourly),TimeFrameExpand(MA1,in
> Hourly));
> >
> > Buyok=Ref(CCIbuy,-5) AND Crossup;
> > Sellok=CCIshort;
> > Shortok=Ref(CCIshort,-5) AND Crossdown;
> > Coverok=CCIbuy;
> > timestart=20000;
> > window=170000;
> > Check=timestart+window;
> > timeok=TimeNum()>=timestart AND TimeNum()<=Check;
> >
> >
> > Buy=Buyok AND timeok;
> > Sell= Sellok OR CCIexit;
> > Short= Shortok AND timeok;
> > Cover= Coverok OR CCIexit;
> >
> >
> ApplyStop(stopTypeLoss,stopModePoint,sl*TimeFrameExpand(Ref(ATR1,-1),inHourl
> y));
> >
> ApplyStop(stopTypeProfit,stopModePoint,tp*TimeFrameExpand(Ref(ATR1,-1),inHou
> rly));
> >
> > Equity(1);
> >
> > Thanks a lot for your suggestions,
> >
> > Matthias
> >
>
