[amibroker] Re: Annualized Standard Deviation?

Coolman 09.19

Your code here returns an array, not a single number:

portfolioEq = Foreign( "~~~Equity", "C" );
annStDev = (StDev( portfolioEq, 2321 )) * sqrt( 252 );

Also, I'm not sure the call to Foreign will necessarily have accurate numbers prior to the CBT, as the documentation says this array is only accurate after the backtest is complete. I *think* before then it is only a preliminary calculation of buy/sell signal performance, without adjustments for costs, applystops, etc.

Try this. Assuming you are testing the whole length of your array, in the CBT do,

bo = GetBacktesterObject();

bo.Backtest();

std = LastValue(StDev(bo.EquityArray, barcount-1)); // returns a number

std *= sqrt(252);

bo.AddCustomMetric( "AnnStDev", std);

---In amibroker@yahoogroups.com, <sladbrook@...> wrote :

I'd like to add code to my system for Annualized Standard Deviation. I'd like it printed out to the backtest report as a custom metric. I've been experimenting and cant get anything to work. Please help. Examples of my code, that DONT work, are below. The number 2321 represents the number of bars I have.

portfolioEq = Foreign( "~~~Equity", "C" );
annStDev = (StDev( portfolioEq, 2321 )) * sqrt( 252 );
StaticVarSet( "PortfolioEquity", annStDev );

SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest();
annualSD = StaticVarGet( "PortfolioEquity" );
bo.AddCustomMetric( "AnnStDev", annualSD );
}

SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest();
StaticVarSet( "PortfolioEquity", bo.EquityArray() );
}

if ( Status( "action" ) == actionIndicator )
{
portfolioEq = StaticVarGet( "PortfolioEquity" );
annStDev = (StDev( portfolioEq, 2321 )) * sqrt( 252 );
//bo.AddCustomMetric( "AnnStDev", annStDev );
}

Thanks for any help.

__._,_.___

Posted by: rosenberggregg@yahoo.com

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