回測結果的數據可以保存嗎？

joshsmi

If you want to export portfolio equity to file then use this

Set symbol to ~~~EQUITY and choose periodicity in backtest preferences
Then click explore. Output is in C:\ drive.

1. if ( Status( "action" ) == actionExplore )
   
2. {
   
3.     fh = fopen( "C:\\Equity.csv", "w" );
   
4. 
   
5.     if ( fh )
   
6.     {
   
7.         fputs( "Symbol,Date,Time,Close\n", fh );
   
8. 
   
9.         dn = DateNum();
   
10.         tn = TimeNum();
    
11. 
    
12.         for ( i = 0; i < BarCount; i++ )
    
13.         {
    
14.             Line = Name() + StrFormat( ",%06.0f,%06.0f,%g\n,",
    
15.                                        dn[ i ] % 1000000,
    
16.                                        tn[ i ],                                       
    
17.                                        C[ i ] );
    
18.             fputs( Line, fh );
    
19.         }
    
20. 
    
21.         fclose( fh );
    
22.     }
    
23. }
    
24. 
    
25. Filter = Status( "lastbarinrange" );
    
26. AddTextColumn( "Export done", "Status" );

複製代碼

joshsmi

To export individual equity to Excel then use similar code to the below one.
Choose periodcity in Backtest preferences, choose From-To range and click 'Scan'

Code tested with Office 2010! You will have 2 charts and one data sheet in Excel.

Keep in mind that if you have large data set then output is slow because of Microsoft OLE and vbscript.

1. //------------------------------------------------------------------------------
   
2. //
   
3. //  Formula Name:    AFL-Excel
   
4. //  Author/Uploader: Witold Dabrowski, edited by joshsmi 2013
   
5. //  E-mail:         
   
6. //  Date/Time Added: 2002-08-31 06:29:37
   
7. //  Origin:         
   
8. //  Keywords:        
   
9. //  Level:           semi-advanced
   
10. //  Flags:           exploration
    
11. //  Formula URL:     http://www.amibroker.com/library/formula.php?id=218
    
12. //  Details URL:     http://www.amibroker.com/library/detail.php?id=218
    
13. //
    
14. //------------------------------------------------------------------------------
    
15. //
    
16. //  This example shows how to control Excel directly from AFL script via
    
17. //  OLE-Automation interface. In this script I count %DD and plot Equity and %DD charts in Excel.
    
18. //
    
19. //  To run this code just click 'Scan', not 'Explore'. Exploration is displayed in Excel.
    
20. //------------------------------------------------------------------------------
    
21. 
    
22. SetOption( "FuturesMode", False );
    
23. SetOption( "InitialEquity", 10000 );
    
24. 
    
25. // test system start
    
26. MA_  = MA( C, 20 );
    
27. Buy  = Cover =  Cross( C, MA_ );
    
28. Sell = Short = Cross( MA_, C );
    
29. 
    
30. //PositionSize = IIf( Buy, BuyPrice, ShortPrice );
    
31. SetPositionSize( 25, spsPercentOfEquity );
    
32. // test system end
    
33. 
    
34. 
    
35. // Equity function refers to individual equity, not portfolio equity
    
36. Eq   = Equity( 1, -1 ); // flag 1: works as 0 but additionally updates buy/sell/short/cover arrays
    
37.                         // so all redundant signals are removed exactly as it is done internally by the
    
38.                         // backtester plus all exits by stops are applied so it is Now possible to visualise ApplyStop() stops.
    
39. 
    
40.                         // range type -1: (default) use range set in the Automatic analysis window
    
41. 
    
42. Nam  = Name();
    
43. dn   = DateNum();
    
44. tn   = TimeNum();
    
45. bi   = BarIndex();
    
46. fbr  = LastValue( ValueWhen( Status ( "firstbarinrange" ), bi ) );
    
47. 
    
48. // vbscript start
    
49. // remember Windows OLE and vbscript are slower
    
50. EnableScript("vbscript");
    
51. <%
    
52. ' // Replacing the variables between AFL and VB script
    
53. Eq  = AFL( "Eq" )
    
54. Nam = AFL( "Nam" )
    
55. dn  = AFL( "dn" )
    
56. tn  = AFL( "tn" )
    
57. fbr = AFL( "fbr" )
    
58. 
    
59. ' // Starting Excel
    
60. Set Excel = CreateObject( "Excel.Application" )
    
61. 
    
62. ' // Disable confirmation messages of Excel
    
63. Excel.DisplayAlerts = False
    
64. 
    
65. ' // Setting Excel in the state of readiness
    
66. Excel.SheetsInNewWorkbook = 1 ' // number of data sheets
    
67. Excel.WorkBooks.Add
    
68. Set Sheet = Excel.WorkBooks( 1 ).WorkSheets( 1 )
    
69. 
    
70. ' // Writing data sheet Title
    
71. Sheet.Cells( 1, 1 ) = Nam
    
72. Sheet.Cells( 1, 2 ) = "DateNum"
    
73. Sheet.Cells( 1, 3 ) = "TimeNum"
    
74. Sheet.Cells( 1, 4 ) = "Equity"
    
75. Sheet.Cells( 1, 5 ) = "DrawDown"
    
76. 
    
77. ' // set data sheet name
    
78. Excel.Activeworkbook.Sheets( 1 ).Name = Nam + " Data"
    
79. 
    
80. ' // Initiation of Equity maximum - will be needed to calculate DrawDown
    
81. MaxE = Eq( 0 )
    
82. 
    
83. ' // Writing of Equity, DrawDown, Date and Time to Excel
    
84. for i = fbr to UBound( Eq )
    
85.      Y = i + 2 - fbr
    
86. 
    
87.      ' // Datenum
    
88.      Date_num = dn( i ) Mod 1000000
    
89.      Sheet.Cells( Y, 2 ).Value = Date_num
    
90. 
    
91.      ' // Timenum
    
92.      Time_num = tn( i )
    
93.      Sheet.Cells( Y, 3 ).Value = Time_num
    
94. 
    
95.      ' // Equity
    
96.      Sheet.Cells( Y, 4 ).Value = Eq( i )
    
97. 
    
98.      ' // Drawdown
    
99.      if Eq(i) > MaxE then
    
100.         MaxE = Eq(i)
     
101.      End if
     
102.      Drawdown = 0 - ( ( MaxE - Eq( i ) ) / MaxE * 100 )
     
103.      Sheet.Cells( Y, 5 ).Value = Drawdown
     
104. Next
     
105. 
     
106. ' // And now the charts
     
107. ' // Equity chart...
     
108. Sheet.Activate
     
109. Sheet.Columns( 4 ).Select
     
110. 
     
111. Excel.Charts.Add
     
112. Set EquityCharts = Excel.Charts( 1 )
     
113. EquityCharts.Name = Nam + " Equity"
     
114. EquityCharts.Type = 1
     
115. EquityCharts.ChartArea.Fill.PresetGradient 1,1,7
     
116. EquityCharts.SeriesCollection(1).Format.Fill.ForeColor.RGB = RGB( 0, 150, 0 )
     
117. EquityCharts.HasLegend = 0
     
118. EquityCharts.HasTitle = 1
     
119. EquityCharts.ChartTitle.Text = EquityCharts.Name
     
120. 
     
121. ' // and DrawDown chart (in percent)
     
122. Sheet.Activate
     
123. Sheet.Columns( 5 ).Select
     
124. 
     
125. Excel.Charts.Add
     
126. Set EquityCharts = Excel.Charts( 2 )
     
127. EquityCharts.Name = Nam + " DrawDown"
     
128. EquityCharts.Type = 1
     
129. EquityCharts.ChartArea.Fill.PresetGradient 1,1,7
     
130. EquityCharts.SeriesCollection(1).Format.Fill.ForeColor.RGB = RGB( 200, 0, 0 )
     
131. EquityCharts.HasLegend = 0
     
132. EquityCharts.HasTitle = 1
     
133. EquityCharts.ChartTitle.Text = EquityCharts.Name
     
134. 
     
135. Excel.Visible = 1
     
136. 
     
137. ' //Excel.Activeworkbook.SaveAs("C:\ABEquity.xls") '//Using Save As
     
138. %>

複製代碼

omelet

very nice, thank joshsmi