Hi Gregg
Appreciate the replies. You're right, it's an array, rather than a number which is what I want. I tried the lastvalue code there and it works thanks. However, I realise now I need the value in a percent, which is not what standard deviation does. So, as you point out ROC might be better. However, now I cant get that to work... I tried to just add ROC code in:
SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest();
eq = bo.EquityArray;
std = LastValue(StDev( ( ROC( eq, 1 )), BarCount-1 ); // returns a number
std *= sqrt(252);
bo.AddCustomMetric( "AnnStDev", std);
}
but this doesnt work.
What I want it for is to create Perry Kaufman's Information Ratio which is CAR/Annualized SD. The resulting values show how likely the system is to be robust. Anything above 3.0 indicates an overfit system.
Also, I wondered why it wasnt working and added the following code to Explorations:
Filter = Buy;
roconeday = ROC( C, 1 );
std = StDev( roconeday, BarCount-1 );
annstd = std * sqrt(252);
AddColumn( roconeday, "roc1day" );
AddColumn( std, "std" );
AddColumn( annstd, "annstd" );
For some reason, both the std and annstd dont show any values at all in their columns. If I remove BarCount-1 and replace it with a number like 2300, then MOST of the values show up, but for some symbols there are no values. Any ideas?
Much thanks
CK
Posted by: sladbrook@hotmail.com
| Reply via web post | • | Reply to sender | • | Reply to group | • | Start a New Topic | • | Messages in this topic (4) |
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
EmoticonEmoticon