You can try the following in your CBT
meq = timeframecompress(foreign("~~~Equity", "C"), inMonthly);
m = Cum(IsNull(meq) == 0);
mstd = StDev(meq, LastValue(m-1));
you can do a timeframeexpand, but if you're using the lastvalue, that isnt
necessary. if you want std of return
then add mret = roc(meq, 1); but mstd = stdev(mret, lastvalue(m - 2)) instead.
Enjoy.
--- In [email protected], "bh.hicks" <bh.hi...@...> wrote:
>
> I should probably add that the challenge now is not calculating the SD but
> how to load up an array with only monthly returns...
>
>
>
> --- In [email protected], "bh.hicks" <bh.hicks@> wrote:
> >
> > Mike,
> > You are the man! Thank you! I have posted the code I ended up with to the
> > bottom of this email in hopes it will help someone else someday but please
> > be aware I am the worst "programmer" on the planet before using.
> >
> > Now onto StdDev of monthly returns. Traders Studio has an object that
> > stores monthly returns that I access like this...
> >
> > NOTE: NOT AMIBROKER CODE
> >
> > objReport = thisSession.MonthlyReport
> > ReDim(Mreturn,objReport.ItemCount)
> >
> > For i = 0 To objReport.ItemCount - 1
> > objPeriod = objReport.Period(i)
> > Mreturn[i]=objPeriod.PercentReturn
> > Next
> >
> > AvgMreturn=Average(Mreturn,i,0)
> > StDevMreturn=StdDevS(Mreturn,i,0)
> > Msharpe=(AvgMreturn-.0025)/StDevMreturn
> >
> > I haven't been able to find something similar in AB. Does it exist or is
> > there another method I need to use to get at this data? Thanks again for
> > any bones that can be thrown my way. I will do my best to leave the results
> > behind for the next newbie who follows me.
> >
> > --------------------------------------------------------------------
> > MY AB Code to calculate Standard Deviation of Trades and use it to
> > calculate T-score.
> >
> > SetCustomBacktestProc("");
> >
> > if( Status("action") == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> > bo.Backtest();
> > st = bo.GetPerformanceStats(0);
> >
> > //Get Variables
> > AvgTrade=st.GetValue("AllAvgProfitLossPercent");
> >
> > // iterate through closed trades
> > X = 0;
> > N = 0;
> > SumX = 0;
> > SumX2 = 0;
> >
> > for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
> > {
> > X[N] = trade.GetPercentProfit();
> > SumX=SumX+X[N];
> > SumX2=SumX2+(X[N]^2);
> > N++;
> > }
> >
> > // Custom Metric Caluclations
> > TradeStdDev=sqrt((SumX2-((SumX)*(SumX)/N))/(N-1));
> > TScore=sqrt(N)*AvgTrade/TradeStdDev;
> >
> > // Here we add custom metric to backtest report
> > bo.AddCustomMetric( "TradeStdDev",TradeStdDev);
> > bo.AddCustomMetric( "T-Score",TScore);
> > }
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > --- In [email protected], "Mike" <sfclimbers@> wrote:
> > >
> > > I haven't verified any of this, but...
> > >
> > > When you create your own arrays (e.g. TradeReturn[]), I believe that they
> > > get aligned with the market data of the current symbol (~~~Equity in this
> > > case). Assuming that you had a total of 20 trades over 1000 bars, you
> > > would have an array with values for the first 20 elements and zeroes (or
> > > Nulls?) for the remaining 980 bars. Your StDev call is operating on the
> > > last 3 bars, all of which will be zero, giving zero.
> > >
> > > I believe that the answer would be for you to manually calculate the std.
> > > deviation of the trades yourself.
> > >
> > > Then again, the problem might just be related to trying to add an array
> > > as custom metric as opposed to a scaler, in which case
> > > LastValue(TradeStdDev) would be the way to go. Experiment and see what
> > > you come up with.
> > >
> > > Mike
> > >
> > > P.S. Great start for someone new to AmiBroker!
> > >
> > >
> > > --- In [email protected], "bh.hicks" <bh.hicks@> wrote:
> > > >
> > > > Ok, I am making progress on this but getting hung up on the standard
> > > > deviation calculations. I have been through most of all 800+ posts
> > > > that mention standard deviation but haven't been able to figure this
> > > > out. If anyone can offer some insight into why my TradeStDev is coming
> > > > back empty, I would very much appreciate it as I barely have any hair
> > > > left.
> > > >
> > > >
> > > > SetCustomBacktestProc("");
> > > >
> > > > if( Status("action") == actionPortfolio )
> > > > {
> > > > bo = GetBacktesterObject();
> > > > bo.Backtest();
> > > > st = bo.GetPerformanceStats(0);
> > > >
> > > > //Get Variables
> > > > WLratio=st.GetValue("PayoffRatio");
> > > > WinPercent=st.GetValue("WinnersPercent")/100;
> > > > PF=st.GetValue("ProfitFactor");
> > > > NetProfit=st.GetValue("NetProfit");
> > > > MaxDD=st.GetValue("MaxSystemDrawdown");
> > > > TestYears=(EndValue( BarIndex() ) - BeginValue( BarIndex() ))/252;
> > > > AvgTrade=st.GetValue("AllAvgProfitLossPercent");
> > > >
> > > > // iterate through closed trades
> > > > TradeReturn = 0;
> > > > NumTrades = 0;
> > > >
> > > > for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
> > > > {
> > > > TradeReturn[NumTrades] = trade.GetPercentProfit();
> > > > NumTrades++;
> > > > }
> > > >
> > > > // Metrics
> > > > Fscore=(((WLratio+1)*WinPercent)-1)/WLratio;
> > > > MyF=Fscore*PF;
> > > > DDR=(NetProfit/-MaxDD)*(TestYears/20);
> > > > TradeStdDev=StDev(TradeReturn,3);
> > > >
> > > > // Here we add custom metric to backtest report
> > > > bo.AddCustomMetric( "W/L Ratio",WLratio);
> > > > bo.AddCustomMetric( "Win %",WinPercent);
> > > > bo.AddCustomMetric( "ProfitFactor",PF);
> > > > bo.AddCustomMetric( "F-Score",Fscore);
> > > > bo.AddCustomMetric( "MyF",MyF);
> > > > bo.AddCustomMetric( "DDR",DDR);
> > > > bo.AddCustomMetric( "AvgTrade%",AvgTrade);
> > > > bo.AddCustomMetric( "Test0",TradeReturn[0]);
> > > > bo.AddCustomMetric( "Test1",TradeReturn[NumTrades-1]);
> > > > bo.AddCustomMetric( "TradeStDev",TradeStdDev);
> > > > }
> > > >
> > > >
> > > > --- In [email protected], "bh.hicks" <bh.hicks@> wrote:
> > > > >
> > > > > I have been a long time Traders Studio user and am beginning the
> > > > > process of migrating everything over to AmiBroker. One of the more
> > > > > useful pieces of code I wrote for Traders Studio was a custom
> > > > > optimization metric that I would like to reproduce in AmiBroker. I
> > > > > am a little overwhelmed at all the information available and would
> > > > > very much appreciate it if someone could point me towards some
> > > > > sources of info that will allow me to accomplish this.
> > > > >
> > > > > The ranking metric does the following:
> > > > >
> > > > > Msharpe=(AvgMreturn-.0025)/StDevMreturn (m refers to monthly)
> > > > > Tscore=Sqr(TradeCount)* AvgTrade/TradeStdDev (std dev. is of %
> > > > > returns of each trade)
> > > > > Fscore=(((WLratio+1)*WinPercent)-1)/WLratio (WLratio is W/L ratio)
> > > > > MyF=Fscore*ProfitFactor
> > > > > DDR=(NetProfit/MaxDD)*(YearsTested/20)
> > > > >
> > > > > CustomScore=Msharpe*MyF*Tscore*DDR
> > > > >
> > > > > This did a pretty good job allowing me to quickly rank optimization
> > > > > runs on the criteria that is important to me.
> > > > >
> > > > > So although new to AmiBroker, I can work my myself around some
> > > > > moderately difficult code and Trader Studio's object-oriented back
> > > > > end but I really just don't know where to start to dig up how to
> > > > > access this data during backtests an optimization runs.
> > > > >
> > > > > Thanks for any help.
> > > > > B
> > > > >
> > > >
> > >
> >
>
