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<FONT face=Arial color=#0000ff
size=2>Actually, you can sorta do most of what you're after:
<FONT face=Arial color=#0000ff
size=2>
Rather
than do a backtest do an exploration. You'll need to experiment with it some so
you can see when you get the signals. For example if you have your settings
at delay = 1 Open and you run an exploration then you get all
buy/sell/short/cover signals on the day they occur (as if delay = 0). This
can be "fixed" by manipulating in code the trade delay and the
prices to be used to mimic the backtester.
<FONT face=Arial color=#0000ff
size=2>
Once
you do that then the door is open as to what you can include in the
output:
<FONT face=Arial color=#0000ff
size=2>
I've
been experimenting with some of Fred's code:
<FONT face=Arial color=#0000ff
size=2>Filter=1;
/*=== This section uses Tonetti's Equity
Calc To generate Stats ===*/
BIR =
IIf(Status("BarInRange") > 0, 1, 0);
BarEq =
Equity(1);CurEq = Equity();MaxEq =
Highest(CurEq);LogEq = log10(CurEq);
dBuy = Ref(
Buy,-1);dSell = Ref( Sell,-1);dShort =
Ref(Short,-1);dCover = Ref(Cover,-1);LongProfit =
IIf(dSell,E - ValueWhen(dBuy,E),0);ShortProfit =
IIf(dCover,E-ValueWhen(dShort,E),0);TotTrdes = Cum(dSell OR
dCover);WinningTrades = Cum((LongProfit > 0) OR (ShortProfit
>0));PctWinners = WinningTrades / TotTrdes;
CurDD = IIf(BIR, 100 *
(MaxEq - CurEq) / MaxEq, 0);MaxDD =
Highest(CurDD);CumDD = Cum(CurDD);
FirstBar = ValueWhen(ExRem(Buy OR Short,
0), Cum(1));LastBar = LastValue(ValueWhen(Status("LastBarInRange")
> 0, Cum(1)));TotBars =
LastValue(Cum(1));BarNo = ValueWhen(BIR > 0, Cum(1) -
FirstBar + 1);NoBars = LastValue(BarNo);
Dates =
DateNum();Days = ValueWhen(BIR > 0, IIf(Dates !=
Ref(Dates,-1), 1, 0));TotDays =
Cum(Days);BPD = BarNo / TotDays;
CAR =
ValueWhen(BIR > 0, 100 * ((CurEq / Ref(CurEq, -(BarNo - 1))) ^ (1 / (BarNo /
BPD / 252)) -1));Ann = ValueWhen(BIR > 0,
100 * ((CurEq / Ref(CurEq, -(252 * BPD)) -
1)));MAR = ValueWhen(BIR > 0, CAR /
MaxDD);UI = ValueWhen(BIR > 0,
sqrt(CumDD / BarNo));UPI = (CAR - 5.4) /
UI;TPI = UPI / MaxDD;
mm =
LastValue(LinRegSlope(Ref(LogEq, -(TotBars - LastBar)), NoBars));
BarsCum = ValueWhen(BIR > 0,
Cum(BarNo));AvgBar = LastValue(BarsCum) /
NoBars;SRDevSQ = ValueWhen(BIR > 0, sqrt(Cum((BarNo - AvgBar) ^
2)));ErrEq = LastValue(StdErr(Ref(logEq, -(TotBars -
LastBar)), NoBars));KRatio = ValueWhen(BIR > 0, mm * SRDevSQ
/ ErrEq / sqrt(NoBars));
TradeEq = IIf(Sell, (BarEq -
ValueWhen(Buy, BarEq)) / ValueWhen(Buy, BarEq), 0) + IIf(Cover, (BarEq -
ValueWhen(Short, BarEq)) / ValueWhen (Short, BarEq),
0);PosEq = Cum(IIf(TradeEq > 0, TradeEq,
0));NegEq = Cum(IIf(TradeEq < 0, TradeEq,
0));PosTrade = Cum(TradeEq > 0);NegTrade = Cum(TradeEq <
0);AvgPos = PosEq / PosTrade;AvgNeg = NegEq /
NegTrade;PosPct = PosTrade / (PosTrade +
NegTrade);Expect = (1 + AvgPos / abs(AvgNeg)) * PosPct -
1;
PF =
CurEq/NoBars/MA(C,63);
/*=== This section adds columns to the
Exploration === */
<FONT face="Courier New"
size=1>AddColumn(Buy,"Buy",1.0);AddColumn(Sell,"Sell",1.0);AddColumn(Short,"Short",1.0);AddColumn(Cover,"Cover",1.0);AddColumn(O,
"Open",1.2);AddColumn(L, "Low",1.2);AddColumn(H,
"High",1.2);AddColumn(C, "Close",1.2);
<FONT face="Courier New"
size=1>AddColumn(CurEq,"Equity",1.2);AddColumn(Car,
"Car",1.2);AddColumn(Ann,
"Ann%",1.2);AddColumn(-CurDD,"CDD%",1.2);AddColumn(-MaxDD,"MDD%",1.2);AddColumn(MAR,"MAR",1.2);AddColumn(UI,
"UI",1.2);AddColumn(UPI, "UPI",1.2);AddColumn(TPI,
"TPI",1.2);AddColumn(Expect, "Expect",1.2);AddColumn(KRatio,
"KRatio",1.2);AddColumn(100*PctWinners,"%Accur",1.2);AddColumn(TotTrdes,"#
Trdes",1.0);AddColumn(PF,"PF",1.4);
/*
=================================== the columns below are
reserved for Optimized signal levels. There are
a total of 10 allowed. The ones not used should have
the word "Rsvd" as the col
heading===================================
*/AddColumn(SLevel,"SLevel",1.0);AddColumn(0,"Rsvd",1.0);AddColumn(0,"Rsvd",1.0);AddColumn(0,"Rsvd",1.0);AddColumn(0,"Rsvd",1.0);AddColumn(0,"Rsvd",1.0);AddColumn(0,"Rsvd",1.0);AddColumn(0,"Rsvd",1.0);AddColumn(0,"Rsvd",1.0);AddColumn(0,"Rsvd",1.0);
<FONT
face=Tahoma size=2>-----Original Message-----From: Sidney Kaiser
[mailto:s9kaiser@xxxxxxxxxxx] Sent: Tuesday, April 22, 2003 11:51
AMTo: amibroker@xxxxxxxxxxxxxxxCc: tj@xxxxxxxxx;
com@xxxxxxxSubject: Re: [amibroker]
TradeItAt 08:26 AM 04/19/2003 -0700, you
wrote:>While we wait for TJ to design and code some portfolio
testing capability>for AB, has anyone tried some of the alternatives
such as TradeIt?>>Chris Kryza wrote TradeIt as a post processor
for AIQ trades two or three>years ago and I used it a few times back
then. It accepts trade data in>CSV form so the thought occurred
to me that it might be possible to export>AB backtest data and run
TradeIt on that data.>>Before I spend a bunch of time trying to
get it to work I would like to>know if someone has already looked at
using TradeIt with AB trade >data. If so:>>1. did
it work>>2. how difficult was it to adapt it>>3.
were the results worth the effort involvedTradeIT is not the
worlds greatest portfolio trader, just an available example that had
possibilities for adaptation to AA output.I dug into the adaptation
issue some this weekend. The output from AA backtest can be
rearranged to fit the input fields of TradeIT with some help from an
intermediate modification in Excel. Unfortunately there is one
problem I have not been able to overcome. There is no information
available from AA about price or equity movement between trades.
This information is essential to creating a comprehensive report from
TradeIT. (see TradeIT sample file for data input fields)I
believe Fred Tonetti also mentioned this as serious deficiency in one of
his previous posts about the limitations of what he can calculate in his
expanded equity indicator. You can't get there from here with the
present information coming out of AA.As a side issue, I am
reminded once again that I want to be able to specify additional
calculated columns in AA backtest display. For example, I might want
to include MAR = CAR/MDD as a column or ( more complicated ) include data
on max or min excursions of various data columns as part of my AA results.
It would also be helpful to be able to specify which data columns are
displayed and specify their display order. Finally, being able to
optimize based on something like UPI or MAR would save me time and improve
optimization results by offering alternatives to only optimizing on max
profit.Comments?SidAt this point I guess the best we can
hope for is to get TJ to read the TradeIT documentation for ideas on
features to incorporate in his proposed portfolio tester. Send
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