回測結果的數據可以保存嗎？

omelet

backtest後得出individual equity的曲線，那曲線的詳細數據可以保存嗎？I mean模擬出的每日資產總值的數據。多謝各位啦！               

joshsmi

Yes, if analysis window is open go to File>Export HTML/CSV

But you can also create a button via customize function on the toolbar http://img809.imageshack.us/img809/8107/94220772.png

joshsmi

But you can also copy the results list of the backtest output and paste it into Excel directly, for example

joshsmi

Via custom backtest interface you can create a column of equity as each backtest default list has column "Cum. profit" only.

I will show the code later

You can create any additional backtest metric! http://www.amibroker.com/guide/a_custombacktest.html‎

omelet

joshsmi 發表於 13-5-21 22:58
Yes, if analysis window is open go to File>Export HTML/CSV

But you can also create a button via cus ...

thanks a lot. but what i want to get is the daily data points rather than the non-consecutive data. e.g. a strategy made 20 trades within 3 years. i want daily result data within these 3 years (more than 600 data points) rather than only 20 data points shown directly on the result table.

joshsmi

Add this code to your backtest code and click portfolio backtest as portfolio equity symbol is used. At first use click it two times.

http://www.amibroker.com/newsletter/01-2005.html

1. //equity function for backtester
   
2. function FindEquityAtDateTime( eq, dt, Value )
   
3. {
   
4.         found = -1;
   
5.         for( i = 0; i < BarCount AND found == -1; i++ )
   
6.         {
   
7.                 if( dt[ i ] == Value ) found = i;
   
8.         }
   
9. 
   
10.         return IIf( found != -1, eq[ found - 1 ], Null );
    
11. }
    
12. 
    
13. SetOption("ExtraColumnsLocation", 12 );
    
14. SetCustomBacktestProc( "" );
    
15. 
    
16. //Now custom-backtest procedure follows
    
17. if ( Status( "action" ) == actionPortfolio )
    
18. {
    
19.     bo = GetBacktesterObject();
    
20. 
    
21.     //bo.PreProcess(); // Initialize backtester
    
22.     bo.Backtest( 1 ); // run default backtest procedure.  Run backtests with no trade listing
    
23. 
    
24.     dt = DateTime();
    
25.     eq = Foreign( "~~~EQUITY", "C" );
    
26. 
    
27.     // iterate through closed trades first
    
28.     for ( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
    
29.     {
    
30.         //  Loop through all closed trades
    
31.         EquityAtExit = FindEquityAtDateTime( eq, dt, trade.ExitDateTime );
    
32.         trade.AddCustomMetric( "Equity", EquityAtExit );
    
33.     }
    
34. 
    
35.     //bo.PostProcess(); // Finalize backtester
    
36.     bo.ListTrades();
    
37. }

複製代碼

joshsmi

omelet 發表於 13-5-21 23:31
thanks a lot. but what i want to get is the daily data points rather than the non-consecutive data ...

Ok, let me think about it .....

omelet

joshsmi 發表於 13-5-21 23:38
Ok, let me think about it .....

trillions of thanks lah!!

joshsmi

One thing is for sure .. you would have to do it via Exploration not via Backtest as backtest only outputs entry and exit dates, AFAIK.

Exploration can also be used for backtesting but only for individual backtests not portfolio. So I will think about it. Should be possible.

omelet

joshsmi 發表於 13-5-21 23:49
One thing is for sure .. you would have to do it via Exploration not via Backtest as backtest only o ...

good, will have a try. 3q

joshsmi

Here it is

Use it in exploration!

1. 
   
2. CCI0   = CCI(20);
   
3. 
   
4. Buy   = Cross( CCI0, 100 );
   
5. Sell  = Cross( 100, CCI0 );
   
6. Short = Cross( -100, CCI0 );
   
7. Cover = Cross( CCI0, -100 );
   
8. BuyPrice = SellPrice = ShortPrice = CoverPrice = O;
   
9. 
   
10. SetTradeDelays( 1, 1, 1, 1 ); // i.e. set to 1 if entering on next bar's open, set to 0 if entering on same bar's close.
    
11. 
    
12. SetBacktestMode( backtestRegular );
    
13. SetOption( "InitialEquity", 100000 );
    
14. SetOption( "FuturesMode" , False );//False for Shares, True for FX or for Futures
    
15. SetOption( "UsePrevBarEquityForPosSizing", True );// Set to False to use current equity for Pos Sizing
    
16. SetOption( "ActivateStopsImmediately", False );
    
17. SetOption( "Allowsamebarexit", False );
    
18. SetOption( "PriceBoundChecking", True );
    
19. SetOption( "AllowPositionShrinking", True );//in case there is not enough cash
    
20. SetOption( "MaxOpenPositions", 1 );
    
21. SetPositionSize( 25, spsPercentOfEquity );
    
22. 
    
23. eq = Equity( 2 ); //1 -> tradedelays == 0, use flag 2 if tradedelays != 0. But this flag setting should be used carefully, read manual
    
24. 
    
25. Filter = 1;
    
26. 
    
27. AddColumn( ValueWhen(Sell || Cover, Eq), "Equity", 1.2, 47, 23, 70 );

複製代碼

joshsmi

Or use this one

1.     CCI0   = CCI(20);
   
2. 
   
3.     Buy   = Cross( CCI0, 100 );
   
4.     Sell  = Cross( 100, CCI0 );
   
5.     Short = Cross( -100, CCI0 );
   
6.     Cover = Cross( CCI0, -100 );
   
7.     BuyPrice = SellPrice = ShortPrice = CoverPrice = O;
   
8. 
   
9.     SetTradeDelays( 1, 1, 1, 1 ); // i.e. set to 1 if entering on next bar's open, set to 0 if entering on same bar's close.
   
10. 
    
11.     SetBacktestMode( backtestRegular );
    
12.     SetOption( "InitialEquity", 100000 );
    
13.     SetOption( "FuturesMode" , False );//False for Shares, True for FX or for Futures
    
14.     SetOption( "UsePrevBarEquityForPosSizing", True );// Set to False to use current equity for Pos Sizing
    
15.     SetOption( "ActivateStopsImmediately", False );
    
16.     SetOption( "Allowsamebarexit", False );
    
17.     SetOption( "PriceBoundChecking", True );
    
18.     SetOption( "AllowPositionShrinking", True );//in case there is not enough cash
    
19.     SetOption( "MaxOpenPositions", 1 );
    
20.     SetPositionSize( 25, spsPercentOfEquity );
    
21. 
    
22.     eq = Equity( 2 ); //1 -> tradedelays == 0, use flag 2 if tradedelays != 0. But this flag setting should be used carefully, read manual
    
23. 
    
24.     Filter = 1;
    
25. 
    
26.     AddColumn( Eq, "Equity", 1.2, 47, 23, 70 );

複製代碼

kilroy

意思是要與backtest的帳戶連動嗎？

用 equity（）這個函數就可以了

omelet

kilroy 發表於 13-5-22 05:48
意思是要與backtest的帳戶連動嗎？

用 equity（）這個函數就可以了

i need the whole set of data which form the equity line.

kilroy

omelet 發表於 13-5-22 10:08
i need the whole set of data which form the equity line.

那就把它畫出來吧 XD

eq = Foreign("~~~EQUITY", "C");
Plot( eq, " Equity ", 2, styleLine );