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You
need to understand (try some experimentation with the buy/sell...etc columns for
the signals) what's happening with the signals and their timing in the explorer
vs the backtester. From what I've been able to observe the equity "stuff"
is accurate in that they appear to be calc'd on the actual trade dates and not
on the "signal dates".
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: Sidney Kaiser
[mailto:s9kaiser@xxxxxxxxxxx] Sent: Tuesday, April 22, 2003 1:39
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
TradeItdingo, thanks for the code. As for the idea
about using exploration results instead of backtest results.....damn, you mean
I have to do the work all over again in hopes that this other approach will
work..... :) Good thing it is a rainy day and I can't go bicycling
this afternoon. I'll need the extra time for more coding. Oh happy
days...notCheersSidAt 01:23 PM 04/22/2003 -0400, you
wrote:
<FONT face=arial color=#0000ff
size=2>Actually, you can sorta do most of what you're
after: 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="Courier New, Courier"
size=1>Filter=1; <FONT face="Courier New, Courier"
size=1>/*=== This section uses Tonetti's Equity Calc To generate Stats
===*/ <FONT face="Courier New, Courier"
size=1>BIR = IIf(Status("BarInRange") > 0,
1, 0); <FONT face="Courier New, Courier"
size=1>BarEq = Equity(1);CurEq =
Equity();MaxEq =
Highest(CurEq);LogEq =
log10(CurEq); <FONT face="Courier New, Courier"
size=1>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; <FONT
face="Courier New, Courier" size=1>CurDD = IIf(BIR, 100 *
(MaxEq - CurEq) / MaxEq, 0);MaxDD =
Highest(CurDD);CumDD =
Cum(CurDD); <FONT face="Courier New, Courier"
size=1>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); <FONT face="Courier New, Courier"
size=1>Dates = DateNum();Days
= ValueWhen(BIR > 0, IIf(Dates != Ref(Dates,-1), 1, 0));TotDays
= Cum(Days);BPD = BarNo /
TotDays; <FONT face="Courier New, Courier"
size=1>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; <FONT face="Courier New, Courier"
size=1>mm =
LastValue(LinRegSlope(Ref(LogEq, -(TotBars - LastBar)),
NoBars)); <FONT face="Courier New, Courier"
size=1>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)); <FONT
face="Courier New, Courier" size=1>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; <FONT face="Courier New, Courier"
size=1>PF =
CurEq/NoBars/MA(C,63); <FONT face="Courier New, Courier"
size=1>/*=== This section adds columns to the Exploration ===
*/ <FONT face="Courier New, Courier"
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, Courier"
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); <FONT
face="Courier New, Courier" size=1>/*
=================================== 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);
-----Original Message-----
From: Sidney Kaiser [<A href=""
eudora="autourl">mailto:s9kaiser@xxxxxxxxxxx]
Sent: Tuesday, April 22, 2003 11:51 AM
To: amibroker@xxxxxxxxxxxxxxx
Cc: tj@xxxxxxxxx; com@xxxxxxx
Subject: Re: [amibroker] TradeIt
At 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 involved
TradeIT 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?
Sid
At 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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