Re: [GT] Re: gt-d] Trouble with backtest.pl and beancounter

[Nicholas K. <nku...@gm...>]

Hi,

I have a few 'working' versions of GT, but for this backtest I've been using
the most recent checkout from a few days ago.

I decided to check out the backtest of my version from 2008-03-22, and it
works!  Well it works as long as I cut out the graph part, which throws:

Can't locate object method "new" via package "GT::Graphics::Object::Trades"
(perhaps you forgot to load "GT::Graphics::Object::Trades"?) at
./backtest.pl line 281.

Which I believe is due to my options file.

Removing the graph option gives the same results as yours:


## Analysis of SY:ADX 30|TF:FollowTrend 50|CS:Stop:Fixed 6|MM:Basic
History of the portfolio :
--------------------------
Long position (0) on GOOGLE (GOOG)
  2007-04-19  Buy       21 at 474.5000
  2008-03-04  Sell      21 at 446.0300
## Global analysis (full portfolio always invested)



Your backtest options still do not work in the newest(?) GT -- my checkout
on 2008-04-26.

For now I'll continue to work with my GT checkout from March.  I am
satisfied. :)

For what it's worth, the backtest_many.pl in my 2008-04-26 checkout *does*
work, but backtest.pl and backtest_multi.pl do not:



$ ./backtest_many.pl ../market_file.txt ../system_file.txt
--output-directory=/opt/GeniusTrader/backtest/
##
## ANALYSIS OF GOOG with system
## CLOSE
##
## Global analysis (full portfolio invested)
Analysis of the portfolio (2006-05-02 / 2008-04-28) :
-----------------------------------------------------
Performance :   9.4% (  4.6%)     Buy & Hold :  39.8% ( 18.2%) () => by year
MaxDrawDown :        0.0%  B&H MaxDrawDown :    44.2%
Best performance :   9.4%  Worst performance :   0.0%
Net gain :         935.36  Gross gain :       1022.40


Thanks for your your help, Russ and Robert!


Regards,
Nick

--
Nicholas Kuechler


On Tue, Apr 29, 2008 at 12:48 PM, Robert A. Schmied <ra...@ac...> wrote:

> ./display_signal.pl --start=2008-04-01 --end=2008-04-07 S:I:RSIDown IBM
> ./display_signal.pl --start=2008-04-01 --end=2008-04-07 S:I:RSIDown
> IBMNicholas Kuechler wrote:
>
> > Hi,
> >
> > Thanks, Russ.  I should have included that information in my original
> > post.
> > My beancounter is setup for use with GT and it's currently working with
> > other scripts, such as display_signals.pl and graphic.pl.
> >
> > Also, my GT subversion checkout is recent: 2008-04-26 is when I updated
> > GT.
> >
> > It appears I'm only having issues with backtest.pl and
> > backtest_multi.pl.
> >
> > Here's my beancounter testing:
> >
> > $ beancounter quote ibm
> > Name                       INTL BUSINESS MAC
> > Symbol                                   IBM
> > Exchange                                NYSE
> > Date                                20080429
> > Time                                 12:52pm
> > Previous Close                        121.69
> > Open                                  122.04
> > Day low                               122.04
> > Day high                              123.20
> > Close                                 122.55
> > Change                                  0.86
> > Percent Change                        +0.71%
> > Bid                                      N/A
> > Ask                                      N/A
> > 52-week low                            97.04
> > 52-week high                          125.00
> > Volume                               2650467
> > Average Volume                       8675910
> > Dividend date                         Mar 10
> > Dividend / share                        1.60
> > Dividend yield                          1.31
> > Earnings_per_share                     7.666
> > P/E ratio                              15.87
> > Market Capital                        169500
> >
> >
> > And a test of GT using my beancounter DB data:
> >
> > $ ./display_signal.pl --start=2008-04-01 --end=2008-04-07 S:I:RSIDown
> > IBM
> > Testing signal RSIDown[70, 14] ...
> > RSIDown[70, 14]     [2008-04-01] = no
> > RSIDown[70, 14]     [2008-04-02] = no
> > RSIDown[70, 14]     [2008-04-03] = no
> > RSIDown[70, 14]     [2008-04-04] = no
> > RSIDown[70, 14]     [2008-04-07] = no
> >
> >
> >
> > Thanks,
> > Nick
> >
> >  <<snip>>
>
> aloha nick
>
> my config differs as follows:
>  i) using older version of backtest (without the recent flurry of weigert
> upgrades
>     as they are coming too fast and furious for me to properly
> evaluate/integrate)
>  ii) using postgresql beancounter
>
> your original command line failed
> ras [ 14472 ] %       ./backtest.pl "Systems:ADX 30 |
> TradeFilters:FollowTrend | MoneyManagement:Basic" GOOG ./backtest.pl: error:
> Alias `Systems:ADX 30 | TradeFilters:FollowTrend | MoneyManagement:Basic'
> wasn't found in options file!
> key looked for was "Aliases::Global::Systems:ADX 30 |
> TradeFilters:FollowTrend | MoneyManagement:Basic"
>
> so i changed to a bit to look more like one of the perldoc -t
> ./backtest.pl examples:
> ./backtest.pl --graph="graphs/btest.png" --display-trades --start
> "2007-04-16" --end 2008-04-28 --close-strategy="Stop::Fixed 6"
> --trade-filter="FollowTrend 50" --money-management="Basic" --system="ADX 30"
> GOOG
> ## Analysis of SY:ADX
> 30
> | TF:FollowTrend 50
> | CS:Stop:Fixed 6
> | MM:Basic
> History of the portfolio :
> --------------------------
> Long position (0) on GOOGLE (GOOG)
>  2007-04-19  Buy       21 at 474.4800
>  2008-03-04  Sell      21 at 446.0112
>
> ## Global analysis (full portfolio always invested)
> Analysis of the portfolio (2007-04-16 / 2008-04-28) :
> -----------------------------------------------------
> Performance :  -6.6% ( -6.3%)     Buy & Hold :  16.4% ( 15.6%) () => by
> year
> MaxDrawDown :        6.6%  B&H MaxDrawDown :    44.2%
> Best performance :   0.0%  Worst performance :  -6.6%
> Net gain :        -660.84  Gross gain :       -597.84
>
> Trades statistics :
> Number of trades :      1  Trades/Year :         0.97
> Number of gains :       0  Number of losses :       1  Win. ratio :
>  0.0%
> Max consec. win :       0  Max consec. loss :       1  Expectancy :
> -0.07
> Average gain :      0.00%  Average loss :      -6.63%  Avg. perf  :
>  -6.61%
> Biggest gain :      0.00%  Biggest loss :      -6.63%  Profit fac :
>  0.00
> Sum of gains :       0.00  Sum of losses :    -660.84  Risk of ruin :
> 100.0
>
>
> your ibm signal matches mine (also older version of display_signal.pl)
> ras [ 14481 ] %     ./display_signal.pl --start=2008-04-01
> --end=2008-04-07 S:I:RSIDown IBM
>       S:I:RSIDown
> Testing signal RSIDown[70,14] ...
> RSIDown[70,14]      [2008-04-01] = no
> RSIDown[70,14]      [2008-04-02] = no
> RSIDown[70,14]      [2008-04-03] = no
> RSIDown[70,14]      [2008-04-04] = no
> RSIDown[70,14]      [2008-04-07] = no
>
> also note that my config does not include most of the recent script or the
> gt
> package file changes.
>
> you seem to be loosing your database connection as you indicate in your
> initial post:
>
>  --------------------------
> > DBD::mysql::st execute failed: MySQL server has gone away at ../GT/DB/
> > bean.pm line 161.
> > MySQL server has gone away at ../GT/DB/bean.pm line 161.
> >
>
> i'd start looking at an extra (extraneous or out of order) $db->disconnect
> statement.
> i noticed that many of the script changes (re)moved these into gt package
> files.
>
> is GT/DB/bean.pm a recently changed package file?
>
> ras
>