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Follow
up on this:
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size=2>
I may
be all "wet" when it comes to my statement on fixing the timing of the signal
generation - I'm still working on that.
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face=Arial color=#0000ff size=2>
<FONT face=Arial color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxxxxxxxx] Sent: Tuesday, April 22, 2003 1:24
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
TradeIt
<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>
<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.
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Once
you do that then the door is open as to what you can include in the
output:
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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.
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