Custom backtester code

[Anonymous]

i noticed in a few recent journallings some mention of “the custom backtester” and thought it might be good to have a place to share some ideas on it. so here it is!

[Anonymous]

the following code was just an experiment in nice formatting of some backtesting stats collected in one place at the bottom of the analysis report. im sure others can improve on it. the colours or parameters can be easily changed to suit your taste.

code just needs to be saved somewhere and pointed to in your backtester settings:

Code:

SetCustomBacktestProc(“”);

/* Now custom-backtest procedure follows */

if( Status(“action”) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(); // run default backtest procedure
st = bo.GetPerformanceStats(0); // get stats for all trades

// parameters to output
car = NumToStr(st.GetValue(“CAR”),1.2);
maxDD = NumToStr(st.GetValue(“MaxSystemDrawdownPercent”),1.2);
carMDD = NumToStr(st.GetValue(“CAR/MDD”),1.2);
numTrades = NumToStr(st.GetValue(“AllQty”),1.0);
winningTrades = NumToStr(st.GetValue(“WinnersPercent”),1.2);
losingTrades = NumToStr(st.GetValue(“LosersPercent”),1.2);

// setup some colours and html formatting to output
carOutput = WriteIf(st.GetValue(“CAR”) > 10,StrFormat(“” + car + “%%“),WriteIf(st.GetValue(“CAR”) > 0,StrFormat(“” + car + “%%“),StrFormat(““+car+”%%“)));
maxDDOutput = WriteIf(st.GetValue(“MaxSystemDrawdown”) > 30,StrFormat(““+maxDD+”%%“),WriteIf(st.GetValue(“MaxSystemDrawdown”) >= 10,StrFormat(““+maxDD+”%%“),StrFormat(““+maxDD+”%%“)));
carMDDOutput = WriteIf(st.GetValue(“CAR/MDD”) > 2,StrFormat(““+carMDD+”“),WriteIf(st.GetValue(“CAR/MDD”) >= 1,StrFormat(““+carMDD+”“),StrFormat(““+carMDD+”“)));
numTradesOutput = WriteIf(st.GetValue(“WinnersPercent”) > 1,StrFormat(““+numTrades+”“),StrFormat(““+numTrades+”“));
winningTradesOutput = WriteIf(st.GetValue(“WinnersPercent”) >= 50,StrFormat(““+winningTrades+”%%“),StrFormat(““+winningTrades+”%%“));
losingTradesOutput = WriteIf(st.GetValue(“LosersPercent”) <= 50,StrFormat("“+losingTrades+”%%“),StrFormat(““+losingTrades+”%%“));

// print to report
bo.AddCustomMetric(“CAGR”, carOutput);
bo.AddCustomMetric(“Max. system drawdown”, maxDDOutput);
bo.AddCustomMetric(“CAR/MDD”, carMDDOutput);
bo.AddCustomMetric(“Total Trades”, numTradesOutput);
bo.AddCustomMetric(“Winning Trades”, winningTradesOutput);
bo.AddCustomMetric(“Losing Trades”, losingTradesOutput);
}

[LeeDanello]

A good one to add is expectancy. Custom metrics

Code:

SetCustomBacktestProc(“”);
if( Status(“action”) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(); // run default backtest procedure
st = bo.GetPerformanceStats(0); // get stats for all trades

// parameters to output
car = NumToStr(st.GetValue(“CAR”),1.2);
maxDD = NumToStr(st.GetValue(“MaxSystemDrawdownPercent”),1.2);
carMDD = NumToStr(st.GetValue(“CAR/MDD”),1.2);
numTrades = NumToStr(st.GetValue(“AllQty”),1.0);
winningTrades = NumToStr(st.GetValue(“WinnersPercent”),1.2);
losingTrades = NumToStr(st.GetValue(“LosersPercent”),1.2);
expectancy = st.GetValue(“WinnersAvgProfit”)*st.GetValue(“WinnersPercent”)/100 + st.GetValue(“LosersAvgLoss”)*st.GetValue(“LosersPercent”)/100;

// setup some colours and html formatting to output
carOutput = WriteIf(st.GetValue(“CAR”) > 10,StrFormat(“” + car + “%%“),WriteIf(st.GetValue(“CAR”) > 0,StrFormat(“” + car + “%%“),StrFormat(““+car+”%%“)));
maxDDOutput = WriteIf(st.GetValue(“MaxSystemDrawdown”) > 30,StrFormat(““+maxDD+”%%“),WriteIf(st.GetValue(“MaxSystemDrawdown”) >= 10,StrFormat(““+maxDD+”%%“),StrFormat(““+maxDD+”%%“)));
carMDDOutput = WriteIf(st.GetValue(“CAR/MDD”) > 2,StrFormat(““+carMDD+”“),WriteIf(st.GetValue(“CAR/MDD”) >= 1,StrFormat(““+carMDD+”“),StrFormat(““+carMDD+”“)));
numTradesOutput = WriteIf(st.GetValue(“WinnersPercent”) > 1,StrFormat(““+numTrades+”“),StrFormat(““+numTrades+”“));
winningTradesOutput = WriteIf(st.GetValue(“WinnersPercent”) >= 50,StrFormat(““+winningTrades+”%%“),StrFormat(““+winningTrades+”%%“));
losingTradesOutput = WriteIf(st.GetValue(“LosersPercent”) <= 50,StrFormat("“+losingTrades+”%%“),StrFormat(““+losingTrades+”%%“));
expectancy = WriteIf(expectancy < 0,StrFormat("” +”$“+”“+NumToStr(expectancy,1.2)),StrFormat(“” +”$“+”“+NumToStr(expectancy,1.2))); // print to report
bo.AddCustomMetric(“CAGR”, carOutput);
bo.AddCustomMetric(“Max. system drawdown”, maxDDOutput);
bo.AddCustomMetric(“CAR/MDD”, carMDDOutput);
bo.AddCustomMetric(“Total Trades”, numTradesOutput);
bo.AddCustomMetric(“Winning Trades”, winningTradesOutput);
bo.AddCustomMetric(“Losing Trades”, losingTradesOutput);
bo.AddCustomMetric( “Expectancy”, expectancy );
}

[JulianCohen]

When you say pointed to in the backtester settings, can you provide an example please?

[LeeDanello]

Go to the analysis tab and click the spanner and point to the saved custom backtester afl.

[JulianCohen]

Noice…Thanks a lot

[ScottMcNab]

I seem to recall seeing a backtest table that not only had CAGR but also maxDD for each year but cant find it in the forum ….does anyone have the code to do this please ?

[JulianCohen]

I think it’s this one

Code:

EnableTextOutput( 3 ); // enable HTML output into report (Version 5.84 or higher!)

function CalendarDays()
{
ddsince1900 = DaysSince1900();
result = ddsince1900 – ddsince1900[0];
return result;
}

// — MaxDD —
EQ = C;
MaxEQ = Highest( EQ );
DD = EQ – MaxEQ;
MaxDD = Lowest( DD );
DDpct = 100 * ( EQ – MaxEQ ) / MaxEQ;
MaxDDpct = Lowest( DDpct );

// — CAR —
bi = BarIndex();
fbr = Status( “firstbarinrange” );
lbr = Status( “lastbarinrange” );
fbrbi = LastValue( ValueWhen( fbr, bi ) );
lbrbi = LastValue( ValueWhen( lbr, bi ) );
cd = CalendarDays();
Days = cd[ lbrbi ] – cd[ fbrbi ];
CAR = 100 * ( ( eq / eq[ fbrbi ] ) ^ ( 365 / Days ) – 1 );

fillText = StrFormat( ” “);

Title = StrFormat( “Equity = $ %.2f%%, CAR = %.2f%%, MaxDD = $ %.2f%%, (= %.2f%%)”, EQ, CAR, MaxDD, MaxDDpct );

SetGradientFill( colorDarkGreen, ColorRGB( 0, 204, 0 ), 0 );

Plot( EQ, “Portfolio Equity”, colorDarkGreen, styleGradient | styleLine );

// — drawdown trenches in red —
PlotOHLC( MaxEQ, MaxEQ, EQ, MaxEQ, “”, colorRed, styleCloud );

// — paint log graph —
SetChartOptions( 2, chartLogarithmic );

////////////////////////////////////////////////////////////////////////////

////////////////////////////
// From: 3. Profit Table.afl
////////////////////////////

yr = Year();
mo = Month();

YearChange = yr != Ref( yr, 1 );
MonChange = mo != Ref( mo, 1 );

FirstYr = 0;
LastYr = 0;

startbar = 0;

////////////////////////////
// SKIP non-trading bars
////////////////////////////

for ( i = 0; i < BarCount; i++ ) { if ( eq[ i ] ) { startbar = i; break; } } //////////////////////////// // collect yearly / monthly changes in equity // into dynamic variables //////////////////////////// LastYrValue = eq[ startbar ]; LastMoValue = eq[ startbar ]; MaxYrProfit = MinYrProfit = 0; MaxMoProfit = MinMoProfit = 0; MaxYearEQ = YearDD = MaxYearDD = 0; for ( i = startbar + 1; i < BarCount; i++ ) { MaxYearEQ = Max( EQ[ i ], MaxYearEQ ); YearDD = Nz( 100 * ( EQ[ i ] - MaxYearEQ ) / MaxYearEQ ); MaxYearDD = Min( YearDD, MaxYearDD ); if ( YearChange[ i ] || i == BarCount - 1 ) { Chg = 100 * ( -1 + eq[ i ] / LastYrValue ); VarSet( "ChgYear" + yr[ i ], Chg ); MaxYrProfit = Max( MaxYrProfit, Chg ); MinYrProfit = Min( MinYrProfit, Chg ); if ( FirstYr == 0 ) FirstYr = yr[ i ]; LastYr = yr[ i ]; LastYrValue = eq[ i ]; VarSet("MaxYearDD"+ yr[ i - 1 ], MaxYearDD ); MaxYearEQ = YearDD = MaxYearDD = 0; } if ( MonChange [ i ] || i == BarCount - 1 ) { mon = mo[ i ]; Chg = 100 * ( -1 + eq[ i ] / LastMoValue ); VarSet( "ChgMon" + yr[ i ] + "-" + mon, Chg ); VarSet( "SumChgMon" + mon, Chg + Nz( VarGet( "SumChgMon" + mon ) ) ); VarSet( "SumMon" + mon, 1 + Nz( VarGet( "SumMon" + mon ) ) ); MaxMoProfit = Max( MaxMoProfit, Chg ); MinMoProfit = Min( MinMoProfit, Chg ); LastMoValue = eq[ i ]; } } MonthNames = "Jan,Feb,Mar,Apr,May,Jun,Jul,Aug,Sep,Oct,Nov,Dec"; function GenProfitTableHTML( ) { printf( "

n” );

printf( “

n” );

Header = “Year,” + MonthNames + “,Yr%%,” + “MDD”;

for ( Col = 0; ( Colname = StrExtract( Header, Col ) ) != “”; Col++ )
{
printf( “

” );
}

printf( “

n” );

for ( y = FirstYr; y <= LastYr; y++ ) { //Color = ColorRGB( IIf( row == 0 || col == 0 || col == 13, 220, 255 ), 255, IIf( row % 2, 255, 220 ) ); // new row if ( y % 2 ) printf( "

n

n

“, y );

for ( m = 1; m <= 12; m++ ) { Chg = VarGet( "ChgMon" + y + "-" + m ); if ( NOT IsNull( Chg ) ) { if ( Chg >= 0 )
printf( “

“, Chg );
else
printf( “

“, Chg );
}
else
printf( “

” );
}

if ( y % 2 )
printf( “

“, x );
else
printf( “%.1f%%

“, x );
Printf( “

“, z );
printf( “

n” ); // end row
}

printf( “

n” ); // new row

printf( “

” );

for ( m = 1; m <= 12; m++ ) { x = Nz( VarGet( "SumChgMon" + m ) / VarGet( "SumMon" + m ) ); if ( x >= 0 )
printf( “

“, x );
else
printf( “

“, x );
}
if ( CAR[ BarCount-1 ] >= 0 )
printf( “

“, CAR[ BarCount-1 ] );
//PrintInCell( StrFormat(“%.1f”, CAR[ BarCount-1 ] ), Row, 13, ColorRGB( 255, 128, 0 ) );
else
printf( “

“, CAR[ BarCount-1 ] );
//PrintInCell( StrFormat(“%.1f”, CAR[ BarCount-1 ] ), Row, 13, ColorRGB( 0, 204, 0 ) );
printf( “

“, MaxDDpct[ BarCount-1 ] );
//PrintInCell( StrFormat(“%.1f”, MaxDDpct[ BarCount-1 ] ), Row, 14, ColorRGB( 255, 255, 0) );
//printf( “

” );

printf( “

” + Colname + “
” ); else printf( “
” ); printf( “%g	%.1f%%	%.1f%%	N/A	” ); else printf( “	” ); x = VarGet( “ChgYear” + y ); z = VarGet(“maxYearDD” + y ); if ( x >= 0 ) printf( “%.1f%%
%.1f%%
Avg|Mx	%.1f%%	%.1f%%	%.1f%%	%.1f%%	%.1f%%

n” );

}

///////////////////////////
// This function checks if currently selected symbol
// is portfolio equity
//////////////////////////
function CheckSymbol()
{
if ( Name() != “~~~EQUITY” AND Name() != “~~~OSEQUITY” )
{
printf( “For accurate results switch to ~~~EQUITY symbol
” );
}
}

CheckSymbol();

////////////////////////////
// Main program
////////////////////////////
GenProfitTableHTML();

[ScottMcNab]

Yikes…thanks Julian..

[Author]

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