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Also,
I know that people in the past have asked you (Tomasz) to provide the
equations that you use for calculating your metrics/indicators in
more detail and from memory I don't think you want to say anything
extra about it (proprietry info?).
Personally I think you should take the risk and give full
transperancy.
The fact is that I can go to the text books and calc my own metrics
from first principles BUT then I have to try and guess exactly what
you have done (in house), see if it matches my efforts and then try
to explain any differences (this drives me crazy because it uses up
so much time on bread and butter issues).
d- yes I read on after I posted - thanks.
Re scripting - my opinion is that it is not that hard and it isn't
getting the attention it deserves - I intend learning it - I believe
there is some payback there.
BTW - what do we do for srcipting if we use a Mac - what do we use
instead of WSH?
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Tomasz,
>
> Thanks to you for your answer, and also the other contributors to
> this discussion, which I find helpful.
>
> First I will get on my hobby horse.
>
> We have shot ourselves in the foot with our reluctance to move to a
> forum with better tools and support the UKB initiative because the
> discussion in this forum is inefficient (no whiteboard, no
> categorization, no inline images) - it can be hard to understand
what
> the cutting edge thinkers are talking about without some pictures.
>
> Let's hope some stubborn minded fool comes along, works his
backside
> off to offer us an alternative and the majority vote with their
feet
> and actually use it.
>
>
>
> Re the current discussion:
>
> - now that I am an AB survivor I want different things than before
> - I now view it as a backtesting engine fullstop (I can get stats
> packs and do MoneyManagement elsewhere but I can't replace the BT
> features)
> - it is a good thing that AB can do anything, if I am good enough
> (because it is a complete programming language and because it is
open
> to development)so thanks for that Tomasz.
> If I work hard I can do things way beyond any other program that I
> know of.
> - while some people struggle with the array concept I actually find
> it easier for me to think in those terms and it is embedded in my
> mindview of how AB works SO I personally want more arrays and less
> COM/CBT
> - one problem is that AB survivors have gone beyond the textbooks
and
> are cutting edge specialists (we find it hard to even talk to each
> other because our perspectives are totally unique). It would be
very
> hard for you to code into AB what each one of us wants.
> - AB is not optimised for backtesting yet (it is not your fault the
> fact is that current practise is rooted in the past while your best
> students are pusning the boundaries, while not wanting to give away
> too much about what they are doing.
> - 'we' need to push on with backtesting improvements
> - for now (until I get off my butt and learn some more real
> programming) I am a hardened array programmer and this is what I
want
> to do:
>
> a) backtest a watchlist
> b) set the bar range to backtest (no. bars or date range) etc
> c) get all trades irrespective of available equity
> d) turn off money managment (optional to turn back on if needed)
> e) for each symbol as an array return - all trades (as%)
> - time in trade
> f) reference the trade series for each symbol so that I can calc
> stdev, ave, W/L, PayOff ratios etc.
>
> Do all this in AFL/arrays.
>
> Perhaps I could even save the results the way we save the backtest
> reports at the moment.
>
> In summary what I am after is a trade series matrix with a symbol
> list as the row header and trade no. (time based) as the column
> heading AND I want this to be persistent, at least for the life of
> the BT OR at least to export it to a spreadsheet as a matrix.
>
> Can I do this, all from AFL with a click of the BT button, at the
> moment?
>
> Please note: I have tried to talk a little bit about system root
> analysis in this forum but it gets lost without pictures and a
> tutorial BUT with trade series% and time in trade, as arrays, we
can
> perform any metric/equity analysis we can think of and plot any
combo
> we want.
>
> The metrics are not actually scalar, they are only reported that
way
> in AB. They do have variance so it people are interested in that
they
> can get if from the trade series.
>
> Thanks,
>
> I appreciate you taking the time to consider our views on the BT
> feature.
>
> brian_z
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@>
> wrote:
> >
> > Hello,
> >
> > You are mixing two things:
> > a) equity derived metrics (such as drawdown) - that represent
> ARRAYS and that are available already
> > b) other metrics (like trade profits, trade duration) that are
> single SCALARS
> >
> > a)
> > Any EQUITY-based indicator is already possible via Equity chart.
> > Sample Equity chart contains:
> > equity
> > cash,
> > drawdown (underwater equity)
> > bars since last equity high.
> >
> > If you want to customize equity chart simply modify _Portfolio
> Equity.afl file.
> > Fred has done so and he is using for example Log(Equity) in his
IO
> together with some other metrics
> > derived from Equity. It does not require any COM. Just take
> portfolio equity usign Foreign("~~~EQUITY", "C")
> >
> > Below is the code that Fred is using in his IO for the reference.
> >
> > Everybody can modify his/her Portfolio Equity formula to suit
one's
> need.
> > The code is open and you are free to modify it.
> >
> > b)
> >
> > As to
> > > That SYSTEM PERFORMANCE INDICATORS are not offered as standard
> (build in) indicators is simply a lack of imagination.
> > > To plot the UPI, number of winning trades, trade profits, trade
> duration, or other system performance statistic
> > > on a time scale simply makes a lot common sense. btw,
> > > Applying these functions to price arrays can also give very
> interesting results. Price and equity arrays are not that different.
> >
> > These metrics are NUMBERS. Just single SCALARS. They do NOT
change
> over time. They are constant for single backtest.
> > If you plot them you will get FLAT LINE.
> >
> > > Saying "If you really have to plot them" is like saying "if you
> really have to make money".
> >
> > > The lack of System Performance Indicators is simply a void in
> technical analysis ready (LONG OVERDUE!) to
> >
> > > be filled. To have to use the CBT, export the data, import the
> data, etc. to create
> >
> > > System Performance Indicators is simply too much work; no one
> will do it.
> >
> >
> >
> > The system performance metrics are single NUMBERS (scalars). Just
> like 23.4. This is a number that does not change. When plotted - it
> is FLAT LINE.
> >
> >
> >
> > They are not "overdue" because they simply are reported in
BACKTEST
> REPORT, as numbers.
> >
> > The same as in Tradestation, Wealth Lab, Trading Recipes, or
> whatever.
> >
> >
> >
> > > Most of us are here to trade and not to > learn new programming
> languages;
> >
> > > OLE and CBT are advanced tools for programmers. imo, System
> Performance Indicators should be as readily available as the RSI()
> and CMO().
> >
> >
> > Again, you are missing the point. Backtest metrics are scalars,
not
> arrays like RSI/CMO.
> > The metrics are available as single numbers AFTER backtest.
> > If some metric is say 23.4 plotting it would result in flat line
> like
> > Plot( 23.4, "Sample metric plot", colorRed );
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> >
> > /**** BELOW CODE IS A PART OF IO.zip (Intelligent Optimizer by
Fred
> Tonetti) archive from the AmiBroker Mailing List File section ***/
> > /*** http://finance.groups.yahoo.com/group/amibroker/files/IO.zip
> ****/
> > /*** It shows example customization of built-in portfolio equity
> chart */
> >
> > #pragma nocache
> >
> > MaxGraph = 10;
> > GraphZOrder = 1;
> > GraphYSpace = 5;
> >
> > Arrows = ParamToggle("Arrows", "No|Yes", 1);
> >
> > BIR = IIf(Status("BarInRange") > 0, 1, 0);
> >
> > ISeq = Foreign("~~~EQUITY", "C", 1);
> >
> > CurEq = Foreign("~~IO~Equity", "C", 1);
> > CurIOS = Foreign("~~IO~Equity", "V", 1);
> > CurSig = Foreign("~~IO~Equity", "I", 1);
> >
> > CS128 = IIf(CurSig >= 128, 1, 0);
> > CurSig = IIf(CS128 == 1, CurSig - 128, CurSig);
> > CS64 = IIf(CurSig >= 64, 1, 0);
> > CurSig = IIf(CS64 == 1, CurSig - 64, CurSig);
> > CS32 = IIf(CurSig >= 32, 1, 0);
> > CurSig = IIf(CS32 == 1, CurSig - 32, CurSig);
> > CS16 = IIf(CurSig >= 16, 1, 0);
> > CurSig = IIf(CS16 == 1, CurSig - 16, CurSig);
> > CS8 = IIf(CurSig >= 8, 1, 0);
> > CurSig = IIf(CS8 == 1, CurSig - 8, CurSig);
> > CS4 = IIf(CurSig >= 4, 1, 0);
> > CurSig = IIf(CS4 == 1, CurSig - 4, CurSig);
> > CS2 = IIf(CurSig >= 2, 1, 0);
> > CurSig = IIf(CS2 == 1, CurSig - 2, CurSig);
> > CS1 = IIf(CurSig >= 1, 1, 0);
> > CurSig = IIf(CS1 == 1, CurSig - 1, CurSig);
> >
> > BarEnt = IIf(CS1 == 1 OR CS4 == 1 OR CS16 == 1 OR CS64 == 1, 1,
> 0);
> > CurEnt = IIf(BarEnt != 0, CurEq, 0);
> >
> > LastIS = CurIOS == 0 AND Ref(CurIOS, 1) != 0;
> > OtherOOS = CurIOS != Ref(CurIOS, 1);
> >
> > MaxEq = Highest(CurEq);
> > FlatEq = IIf(BIR, BarsSince(MaxEq > Ref(MaxEq,-1)),0);
> > MaxFlat = Highest(FlatEq);
> > LMaxFlat = LastValue(MaxFlat) * (1 + GraphYSpace / 100);
> > LogEq = log10(CurEq);
> >
> > CurDD = IIf(CurEq < MaxEq, 100 * (MaxEq - CurEq) / MaxEq, 0);
> > RCurDD = round(CurDD * 100) / 100;
> > MaxDD = Highest(CurDD);
> > RMaxDD = round(MaxDD * 100) / 100;
> > LMaxDD = LastValue(MaxDD) * (1 + GraphYSpace / 100);
> > SqrDD = CurDD ^ 2;
> > CumDD = Cum(SqrDD);
> >
> > MaxEnt = Highest(CurEnt);
> > CurDDE = IIf(CurEq < MaxEnt, 100 * (MaxEnt - CurEq) / MaxEnt,
0);
> > RCurDDE = round(CurDDE * 100) / 100;
> > MaxDDE = Highest(CurDDE);
> > RMaxDDE = round(MaxDDE * 100) / 100;
> >
> > FirstBar = LastValue(ValueWhen(Status("FirstBarInRange") > 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 = round(BarNo / TotDays);
> >
> > BAHEq = ValueWhen(BIR > 0, Ref(CurEq, -(BarNo - 1)) * (C /
Ref
> (C, -(BarNo - 1))));
> > BAHMaxEq = Highest(BAHEq);
> > BAHFlatEq = IIf(BIR, BarsSince(BAHMaxEq > Ref(BAHMaxEq,-1)),0);
> > BAHMaxFlat = Highest(BAHFlatEq);
> > BAHLMaxFlat = LastValue(BAHMaxFlat) * (1 + GraphYSpace / 100);
> >
> > BAHCurDD = IIf(BAHEq < BAHMaxEq, 100 * (BAHMaxEq - BAHEq) /
> BAHMaxEq, 0);
> > BAHRCurDD = round(BAHCurDD * 100) / 100;
> > BAHMaxDD = Highest(BAHCurDD);
> > BAHRMaxDD = round(BAHMaxDD * 100) / 100;
> > BAHLMaxDD = LastValue(BAHMaxDD) * (1 + GraphYSpace / 100);
> > BAHSqrDD = BAHCurDD ^ 2;
> > BAHCumDD = Cum(BAHSqrDD);
> >
> > LogBAHEq = log10(BAHEq);
> >
> > 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;
> >
> > BAHCAR = ValueWhen(BIR > 0, 100 * ((BAHEq / Ref(BAHEq, -(BarNo -
> 1))) ^ (1 / (BarNo / BPD / 252)) -1));
> > BAHAnn = ValueWhen(BIR > 0, 100 * ((BAHEq / Ref(BAHEq, -(252 *
> BPD)) - 1)));
> > BAHMAR = ValueWhen(BIR > 0, BAHCAR / BAHMaxDD);
> > BAHUI = ValueWhen(BIR > 0, sqrt(BAHCumDD / BarNo));
> > BAHUPI = (BAHCAR - 5.4) / BAHUI;
> >
> > OSCAR1 = ValueWhen(CurIOS >= 1, 100 * ISEq / Highest(ValueWhen
> (LastIS == 1, ISEq)));
> > OSMaxEq1 = ValueWhen(CurIOS >= 1, Highest(ISEq));
> > OSCurDD1 = IIf(CurIOS >= 1, 100 * (OSMaxEq1 - ISEq) / OSMaxEq1,
0);
> > OSMaxDD1 = Highest(OSCurDD1);
> > OSMAR1 = OSCAR1 / OSMaxDD1;
> >
> > OSCAR2 = ValueWhen(CurIOS >= 1, 100 * CurEq / Highest(ValueWhen
> (LastIS == 1, CurEq)));
> > OSMaxEq2 = ValueWhen(CurIOS >= 1, Highest(CurEq));
> > OSCurDD2 = IIf(CurIOS >= 1, 100 * (OSMaxEq2 - CurEq) / OSMaxEq2,
0);
> > OSMaxDD2 = Highest(OSCurDD2);
> > OSMAR2 = OSCAR2 / OSMaxDD2;
> >
> > WFEcar = 100 * OSCAR2 / OSCAR1;
> > WFEmar = 100 * OSMAR2 / OSMAR1;
> >
> > b0 = LastValue(LinRegIntercept(Ref(LogEq, -(TotBars -
> LastBar)), NoBars));
> > m = LastValue(LinRegSlope(Ref(LogEq, -(TotBars -
LastBar)),
> NoBars));
> > y = m * BarNo + b0;
> >
> > 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, m * SRDevSQ / ErrEq / sqrt(NoBars));
> >
> > Title1 = EncodeColor(ColorRGB(160,160,160)) + "LinReg= " +
> EncodeColor(ColorRGB(128,128,255)) + WriteVal(10 ^ y, 3.0)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "CurFlat=" +
> EncodeColor(ColorRGB(255,223, 0)) + WriteVal(FlatEq, 3.0)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "Ann=" +
> EncodeColor(ColorRGB( 0,255, 0)) + WriteVal(Ann, 3.2)
+ "% "
> +
> > EncodeColor(ColorRGB(160,160,160)) + "MDDE=" +
> EncodeColor(ColorRGB(255,128, 0)) + WriteVal(MaxDDE, 3.2)
+ "% "
> +
> > EncodeColor(ColorRGB(160,160,160)) + "CDD=" +
> EncodeColor(ColorRGB(255, 0, 0)) + WriteVal(CurDD, 3.2)
+ "% "
> +
> > EncodeColor(ColorRGB(160,160,160)) + "wfeCAR=" +
> EncodeColor(ColorRGB(255,255, 0)) + WriteVal(WFECar, 3.2)
+ "% "
> +
> > EncodeColor(ColorRGB(160,160,160)) + "wfeMAR=" +
> EncodeColor(ColorRGB(255,255, 0)) + WriteVal(WFEMAR, 3.2)
+ "% ";
> >
> > Title2 = "\n" +
> > EncodeColor(ColorRGB(160,160,160)) + "Equity = " +
> EncodeColor(ColorRGB(224,224,224)) + WriteVal(CurEq, 3.0)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "MaxFlat=" +
> EncodeColor(ColorRGB(255,223, 0)) + WriteVal(MaxFlat, 3.0)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "CAR=" +
> EncodeColor(ColorRGB( 0,255, 0)) + WriteVal(CAR, 3.2)
+ "% "
> +
> > EncodeColor(ColorRGB(160,160,160)) + "MDD=" +
> EncodeColor(ColorRGB(255, 0, 0)) + WriteVal(MaxDD, 3.2)
+ "% "
> +
> > EncodeColor(ColorRGB(160,160,160)) + "MAR=" +
> EncodeColor(ColorRGB( 0,255, 0)) + WriteVal(MAR, 3.2)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "UI=" +
> EncodeColor(ColorRGB(255, 0,255)) + WriteVal(UI, 3.2)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "UPI=" +
> EncodeColor(ColorRGB( 0,255, 0)) + WriteVal(UPI, 3.2)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "KR=" +
> EncodeColor(ColorRGB(160,255,160)) + WriteVal(KRatio, 3.2)
+ " ";
> >
> > Title3 = "\n" +
> > EncodeColor(ColorRGB(160,160,160)) + "B & H = " +
> EncodeColor(ColorRGB(128,128,128)) + WriteVal(BAHEq, 3.0)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "MaxFlat=" +
> EncodeColor(ColorRGB(208,176, 0)) + WriteVal(BAHMaxFlat, 3.0)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "CAR=" +
> EncodeColor(ColorRGB( 0,192, 0)) + WriteVal(BAHCAR, 3.2)
+ "% "
> +
> > EncodeColor(ColorRGB(160,160,160)) + "MDD=" +
> EncodeColor(ColorRGB(208, 0, 0)) + WriteVal(BAHMaxDD, 3.2)
+ "% "
> +
> > EncodeColor(ColorRGB(160,160,160)) + "MAR=" +
> EncodeColor(ColorRGB( 0,192, 0)) + WriteVal(BAHMAR, 3.2)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "UI=" +
> EncodeColor(ColorRGB(208, 0,208)) + WriteVal(BAHUI, 3.2)
+ " " +
> > EncodeColor(ColorRGB(160,160,160)) + "UPI=" +
> EncodeColor(ColorRGB( 0,192, 0)) + WriteVal(BAHUPI, 3.2);
> >
> > Title = Title1 + Title2 + Title3;
> >
> > Plot(IIf(BarNo > 0 AND BIR > 0, -RCurDD, -1e10), "CDD",
> colorDarkRed, styleThick | styleOwnScale | styleArea, -LMaxDD,
> LMaxDD);
> > Plot(IIf(BarNo > 0 AND BIR == 0, -RCurDD, -1e10), "CDD",
> colorDarkRed, styleThick | styleOwnScale | styleLine, -LMaxDD,
> LMaxDD);
> > Plot(IIf(BarNo > 0, -RMaxDD, -1e10), "MDD",
> colorDarkRed, styleThick | styleOwnScale, -LMaxDD,
> LMaxDD);
> > Plot(IIf(BarNo > 0 AND BIR > 0, -RCurDDE, -1e10), "CDDE",
> colorOrange, styleThick | styleOwnScale | styleArea, -LMaxDD,
> LMaxDD);
> > Plot(IIf(BarNo > 0 AND BIR == 0, -RCurDDE, -1e10), "CDDE",
> colorOrange, styleThick | styleOwnScale | styleLine, -LMaxDD,
> LMaxDD);
> > Plot(IIf(BarNo > 0, -RMaxDDE, -1e10), "MDDE",
> colorOrange, styleThick | styleOwnScale, -LMaxDD,
> LMaxDD);
> > Plot(IIf(BarNo > 0, FlatEq, -1e10), "CF",
> colorGold, styleThick | styleOwnScale | styleArea, -LMaxFlat,
> LMaxFlat);
> > Plot(IIf(BarNo > 0, MaxFlat, -1e10), "MF",
> colorGold, styleThick | styleOwnScale, -LMaxFlat,
> LMaxFlat);
> >
> > Plot(LastIS, "LastIS", colorLightGrey, styleHistogram |
> styleThick | styleNoLabel | styleOwnScale);
> > Plot(OtherOOS, "OtherOOS", colorLightGrey, styleHistogram
> | styleNoLabel | styleOwnScale);
> >
> > Plot(IIf(BIR > 0, Y, -1e10), "L/R Eq", colorBlue,
> styleThick | styleNoLabel);
> > Plot(IIf(BIR > 0, LogBAHEq, -1e10), "BAH Eq", colorGrey50,
> styleThick | styleNoLabel);
> > Plot(IIf(BIR > 0, LogEq, -1e10), "Sys Eq", colorLightGrey,
> styleThick | styleNoLabel);
> >
> > S1 = (CS1 == 1) * shapeUpArrow;
> > S2 = (CS2 == 1) * shapeDownArrow;
> > S4 = (CS4 == 1) * shapeDownArrow;
> > S8 = (CS8 == 1) * shapeUpArrow;
> > S16 = (CS16 == 1) * shapeUpArrow;
> > S32 = (CS32 == 1) * shapeDownArrow;
> > S64 = (CS64 == 1) * shapeDownArrow;
> > S128 = (CS128 == 1) * shapeUpArrow;
> >
> > if (Arrows == True)
> > {
> > PlotShapes(IIf(BIR > 0, S2, -1e10), colorWhite, 0,
> LogEq, -11);
> > PlotShapes(IIf(BIR > 0, S8, -1e10), colorWhite, 0,
> LogEq, -11);
> >
> > PlotShapes(IIf(BIR > 0, S1, -1e10), colorBrightGreen, 0,
> logEq, IIf(CS8, -17, -11));
> > PlotShapes(IIf(BIR > 0, S4, -1e10), colorRed, 0,
> logEq, IIf(CS2, -17, -11));
> >
> > PlotShapes(IIf(BIR > 0, S32, -1e10), colorGrey50, 0,
> LogEq, -11);
> > PlotShapes(IIf(BIR > 0, S128, -1e10), colorGrey50, 0,
> LogEq, -11);
> >
> > PlotShapes(IIf(BIR > 0, S16, -1e10), colorBlue, 0,
> LogEq, IIf(CS128, -17, -11));
> > PlotShapes(IIf(BIR > 0, S64, -1e10), 11, 0,
> LogEq, IIf(CS32, -17, -11));
> > }
> > ----- Original Message -----
> > From: Herman
> > To: Tomasz Janeczko
> > Sent: Monday, May 19, 2008 2:12 AM
> > Subject: [amibroker] System Performance Indicators [was: Can
> someone fix this OLE code?]
> >
> >
> > Tomasz, I am neither a mathematician nor a professional
> programmer and I really don't know how to convey this simple and
> obvious idea any better. If this email doesn't get the idea across
> I'll let it be. If others understand what I am talking about they
can
> continue the discussion.
> >
> >
> >
> >
> > Indicators to display system performance are an effective and
> essential tool in the design and evaluation of trading systems.
> Trading the equity is a simple example, plotting DrawDowns is
> another.
> >
> >
> >
> >
> > Traditional Indicators are based on PRICE; System Performance
> Indicators are based on EQUITY.
> >
> >
> >
> >
> > That SYSTEM PERFORMANCE INDICATORS are not offered as standard
> (build in) indicators is simply a lack of imagination. To plot the
> UPI, number of winning trades, trade profits, trade duration, or
> other system performance statistic on a time scale simply makes a
lot
> common sense. btw, Applying these functions to price arrays can
also
> give very interesting results. Price and equity arrays are not that
> different.
> >
> >
> >
> >
> > Saying "If you really have to plot them" is like saying "if you
> really have to make money". The lack of System Performance
Indicators
> is simply a void in technical analysis ready (LONG OVERDUE!) to be
> filled. To have to use the CBT, export the data, import the data,
> etc. to create System Performance Indicators is simply too much
work;
> no one will do it. Most of us are here to trade and not to learn
new
> programming languages; OLE and CBT are advanced tools for
> programmers. imo, System Performance Indicators should be as
readily
> available as the RSI() and CMO().
> >
> >
> >
> >
> > best regards,
> >
> > herman
> >
> >
> >
> >
> > Sunday, May 18, 2008, 4:17:49 AM, you wrote:
> >
> >
> >
> >
> > >
> > Hello,
> >
> >
> >
> > 1. Even if it works it is completely not supported and
may
> to problems/crashes etc. It is like driving all the time on reverse
> gear.
> >
> > Reverse gear is not designed to be used for 10 hours
drive.
> >
> >
> >
> > 2. I see no reason to "plot" single numbers like UPI,
> number of trades in indicator. That would be just a bunch of flat
> lines.
> >
> > Also indicator should be lightweight. The indicator code
> should execute very quickly because indicators are refreshed very
> often.
> >
> > You are (ab)using indicators for things not designed for
> them. Indicator code is for indicators. Automatic analysis is for
> backtesting. Indicators are not
> >
> > and should never be used that way.
> >
> >
> >
> > 3. If you really need to plot them
> >
> > - all stats are accessible from CUSTOM BACKTESTER, if you
> want to "plot" them, use custom backtester,
> >
> > write them to TEXT File (using fopen/fputs/fclose) and
from
> the indicator you will be able to read them (using
fopen/fgets/fclose)
> >
> >
> >
> > That's a proper way to do that.
> >
> >
> >
> > To repeat the same analogy - although you can drive on
> reverse gear for 100 miles, your cars is not designed to be used
that
> way.
> >
> >
> >
> >
> > Best regards,
> >
> > Tomasz Janeczko
> >
> > amibroker.com
> >
> > ----- Original Message -----
> >
> > From: Herman
> >
> > To: Tomasz Janeczko
> >
> > Cc: amibroker@xxxxxxxxxxxxxxx
> >
> > Sent: Saturday, May 17, 2008 2:28 PM
> >
> > Subject: Re: [amibroker] Can someone fix this OLE code?
> >
> >
> >
> >
> > OK Tomasz, but the code produces a nice BT report each
time
> i click the Trigger. Seemingly flawless. Seems only a tweak would
be
> required to make it work robust.
> >
> >
> >
> >
> > I am going through all this trouble just to be able to
> access the Backtester stats from an indicator (I was going to
extract
> the last value from the report on bar-by-bar BTs!).
> >
> >
> >
> >
> > System analysis in the time domain is
frustrated/impossible
> because basic AB users (non professional programmer) can't retrieve
> and plot the Backtester stats, like UPI, %Winners, Number of
trades,
> etc. Thus there is a big void wrt system analysis - see my
suggestion
> #1335 and support tag [#49377].
> >
> >
> >
> >
> > I wish that formulas for these functions were made public
> so that they can be used in indicators. This Would open up a whole
> new world to evaluate, analyze, and design trading systems. The
> single numbers in the AA give very limited information. With all
> respect, please do not mention the CBT... that solution is for less
> than 10% of users and I don't have enough days left to learn all
that
> stuff.
> >
> >
> >
> >
> > best regards,
> >
> > herman
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > Saturday, May 17, 2008, 8:10:10 PM, you wrote:
> >
> >
> >
> >
> > >
> > But... the example in help
> >
> > a) works
> >
> > b) presents OUTSIDE ***JScript*** code
> >
> > http://www.amibroker.com/guide/objects.html
> >
> > c) does not contain
> >
> > AA.Analysis.RangeN (wrong line)
> >
> >
> >
> > Again I want to stress that out that Analysis COM
> object must not be used form
> >
> > AFL level. The functionality is provided to control
> Automatic Analysis from OUTSIDE
> >
> > of AmiBroker.
> >
> >
> >
> >
> > Best regards,
> >
> > Tomasz Janeczko
> >
> > amibroker.com
> >
> > ----- Original Message -----
> >
> > From: Herman
> >
> > To: dingo
> >
> > Sent: Saturday, May 17, 2008 2:02 PM
> >
> > Subject: Re: [amibroker] Can someone fix this OLE
> code?
> >
> >
> >
> >
> > won't do. Actually 99% of this code was copied from
> the AB help.
> >
> >
> >
> >
> > h
> >
> >
> >
> >
> > For tips on developing Real-Time Auto-Trading
systems
> visit:
> >
> > http://www.amibroker.org/userkb/
> >
> >
> >
> >
> > Saturday, May 17, 2008, 7:54:44 PM, you wrote:
> >
> >
> >
> >
> > >
> > ON the clearfilters() take off the () and try
it.
> >
> >
> >
> > d
> >
> >
> >
> >
> >
> >
> >
> >
> > ------------------------------------------------------------
> >
> > From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman
> >
> > Sent: Saturday, May 17, 2008 7:49 AM
> >
> > To: dingo
> >
> > Cc: amibroker@xxxxxxxxxxxxxxx
> >
> > Subject: Re: [amibroker] Can someone fix this
> OLE code?
> >
> >
> >
> >
> > it runs fine except for the WLN and BRS
changes
> i need.
> >
> >
> >
> >
> > h
> >
> >
> >
> >
> > For tips on developing Real-Time Auto-Trading
> systems visit:
> >
> > http://www.amibroker.org/userkb/
> >
> >
> >
> >
> > Saturday, May 17, 2008, 7:46:35 PM, you wrote:
> >
> >
> >
> >
> > >
> > Maybe AB won't let you run a backtest
> within an indicator - time to ask TJ.
> >
> >
> >
> > d
> >
> >
> >
> >
> >
> >
> >
> >
> > ------------------------------------------------------
> >
> > From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman
> >
> > Sent: Saturday, May 17, 2008 7:40 AM
> >
> > To: dingo
> >
> > Cc: amibroker@xxxxxxxxxxxxxxx
> >
> > Subject: Re: [amibroker] Can someone
fix
> this OLE code?
> >
> >
> >
> >
> > Hi d, I tried that initially but No go.
> >
> >
> >
> >
> > thanks,
> >
> > herman
> >
> >
> >
> >
> > For tips on developing Real-Time Auto-
> Trading systems visit:
> >
> > http://www.amibroker.org/userkb/
> >
> >
> >
> >
> > Saturday, May 17, 2008, 7:35:20 PM, you
> wrote:
> >
> >
> >
> >
> > >
> > On the lines that give the error
> substitute a number constant for the variable and see if it works.
If
> it does then it looks to me like it thinks the variables are arrays.
> >
> >
> >
> > d
> >
> >
> >
> >
> >
> >
> >
> >
> > ------------------------------------------------
> >
> > From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman
> >
> > Sent: Saturday, May 17, 2008 7:01
AM
> >
> > To: AmiBroker User Group
> >
> > Subject: [amibroker] Can someone
> fix this OLE code?
> >
> >
> >
> >
> > Can someone help me fix the code
> below so that when triggered in an Indicator, it:
> >
> >
> >
> >
> > 1) Backtest all tickers in
> watchlist WLN?
> >
> > 2) Use range of BRS bars
> >
> > 3) Output ONLY the one line BT
> Report?
> >
> >
> >
> >
> > Many thanks!!!!
> >
> > herman
> >
> >
> >
> >
> > if ( ParamTrigger( "Run Com
> BT", "BT" ) )
> >
> > {
> >
> > WLN = 0; // the watchlist to
> backtest
> >
> > BRS = 100; // Number bars to
> test
> >
> > AB = CreateObject
> ( "Broker.Application" );
> >
> > AA = AB.Analysis;
> >
> > AA.LoadFormula( "C:\\Program
> Files\\AmiBroker\\Formulas\\Systems\\Example.afl" );
> >
> > AA.ClearFilters();
> >
> > AA.Filter( 0, "watchlist" ) =
> WLN; // This gives syntax error...
> >
> > AA.ApplyTo = 1;
> >
> > AA.RangeMode = 1;
> >
> > AA.Analysis.RangeN =
> BRS; // This gives syntax error...
> >
> > AA.Backtest();
> >
> > AA.Report( "" );
> >
> > }
> >
> >
> >
> >
> > No virus found in this incoming
> message.
> >
> > Checked by AVG.
> >
> > Version: 8.0.100 / Virus
Database:
> 269.23.16/1448 - Release Date: 5/16/2008 7:42 PM
> >
> >
> >
> >
> > No virus found in this incoming message.
> >
> > Checked by AVG.
> >
> > Version: 8.0.100 / Virus Database:
> 269.23.16/1448 - Release Date: 5/16/2008 7:42 PM
> >
> >
> >
> >
> > No virus found in this incoming message.
> >
> > Checked by AVG.
> >
> > Version: 8.0.100 / Virus Database:
> 269.23.16/1448 - Release Date: 5/16/2008 7:42 PM
> >
>
------------------------------------
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