Analyzer - Shell

The command help shows you a comprehensive summary of the available commands:

anashell> help

By typing set without a parameter it will show you the current settings:

anashell> set Settings: expert => 1 code => 13000 system => Systems::Generic {S:Generic:CrossOverUp {I:SMA 20} {I:SMA 60}} {S:Generic:CrossOverDown {I:SMA 20} {I:SMA 60}} broker => InteractiveBrokers first => auto tf => OneTrade full => 0 last => auto mm [0] => Basic cs => OppositeSignal

Most of the settings are very easy to understand:

  expert => 1
   If set to 1 every command that can't be interpreted by the internal
   parser is interpreted by perl.

  code => 13000
   The code :)

  system => Systems::Generic {S:Generic:CrossOverUp {I:SMA 20} {I:SMA 60}}
  {S:Generic:CrossOverDown {I:SMA 20} {I:SMA 60}}
   The System to test

  broker => InteractiveBrokers
   The broker

  first => auto
  last => auto
   Can be set to a date; auto results in the same settings as in
   backtest.pl

  tf => OneTrade
  mm [0] => Basic
  cs => OppositeSignal
   Tradefilters, Money-Management and Closing-Strategies

  full => 0
   Test the full history?

For our backtest we want to test the full history so we use:

anashell> set full 1

And we add one more closing-strategy by using the following command:

anashell> set +cs Stop::KeepRunUp 10

(set cs[1] Xxxxx would have changed the second array element) After this we start the backtest...

anashell> btest Tested ... ok in 104 seconds

...and view the result:

anashell> report report_summary.ash

By using the HTML::Mason-framework you can generate every report you want...

Now we can save the system to a directory

anashell> save TEST /tmp Saved TEST in /tmp...

So that we can load it the next time we start a session:

anashell> load TEST /tmp Loaded Portfolio TEST...

If we don't know the name of our system we can list all systems in the directory:

anashell> list /tmp ==> SY:Generic {S:Generic:CrossOverUp {I:SMA 20 {I:Prices CLOSE}} {I:SMA 60 {I:Prices CLOSE}}} {S:Generic:CrossOverDown {I:SMA 20 {I:Prices CLOSE}} {I:SMA 60 {I:Prices CLOSE}}}|TF:OneTrade 50|CS:OppositeSignal|CS:Stop:KeepRunUp 10 --> 13000

Now let's do some analysis on the backtest:

First I would like to know the costs for each trade

anashell> calc_array {A:OpenDate} {A:Costs} Number OpenDate[] Costs[] [ 0] 1993-05-13 20.76 [ 1] 1993-07-01 22.65 [...] [ 34] 2002-01-17 20.3

But we can also calculate the average cost of one trade:

anashell> calc {A:Avg {A:Costs}} 20.1568571428571

- you see it is the same as using an indicator...

Now let's do some graphics (make sure you have R (www.r-project.org) installed):

anashell> @gain = calc_array("{A:NetGain}") anashell> r_hist( \@gain )

You can also have a look at the distribution of the gains over time:

anashell> r_bar( \@gain )

Or we create a second array and see if there is a correlation between the Duration of a trade and its gain...

anashell> @duration = calc_array("{A:Duration}") r_corr( \@duration, \@gain )

Now let's leave the program and save the history for the next session:

anashell> bye Exiting Olf's Analyzer... Save settings? [Y/n]: Y

Requirements

  This module needs Term::ReadLine to process the interactive commands.

cpanm Finance::GeniusTrader

perl -MCPAN -e shell
install Finance::GeniusTrader