I need some ideas about what might be going wrong during a custom backtest which seems to cause Amibroker to simply hang while it is running. I am using Amibroker v6.16. I will provide code and a custom debug printout below, but first here's the background.
Background Context:
I've been using a low-level CBT for almost three years with no problems. I have run the current version literally thousands of times without a hitch.
Typically I run it on formulas which contain about 100 tickers and a few thousand trades. This problem showed up after I tried to run it on the Russell 2000, generating about 60,000 trades over a 9 year backtest period across 2003 tickers.
The Problem:
The formula passes verify and also runs fine through Explore and Scan in the analysis window. However, when I run a backtest, the CBT only runs until it finds the first signals to open trades . It seems to enter the first eighteen trades fine but on the seventh call to bo.EnterTrade(), Amibroker simply hangs on that call. There are no error messages and it doesn't crash. It simply doesn't exit the call. The CPU keeps churning too, though memory eventually empties and jumps around between 2.4 MB and 3.0 MB. I have let it run for as long as 3 days and it doesn't complete and I have to kill the broker.exe process and start the program again.
I can see from the custom debug readout that the inputs to bo.EnterTrade() are normal. This isn't an edge case as far as I can see except for the fact that it is a much larger watchlist of tickers than I normally use. This causes the CBT to create a couple of large matrices (app. 2000 x 2000), though it at least seems to do this without error. Also, for each of the tickers in the Russell 2000, the formula creates 5 static variable arrays ( 10,000 total ). In settings, I have Amibroker set to allow 5000 open positions, so that shouldn't be a problem.
Here's a screenshot of Amibroker's resource usage during the hang period. As I said, the CPU is churning along, though I have no idea what it could be doing. There's a _Trace() statement on the bo.EnterTrade() call and it never exits.
This sort of behavior has only happened once before, about 18 mos. ago, and I can't recall how I fixed it.
I'm posting to the forum to ask for ideas, as I'm out of hypotheses to test about what might be causing it.
Has anyone experienced a issue with hanging like this using the CBT bo.EnterTrade() method? If not, any ideas of what other things I could be looking at/testing? I'm sort of at my wit's end.
Here is _Trace output near the point where it stops, showing relevant inputs.
CBT: loop number 6341 processing ticker CATM
bo.Equity is 1e+006
Entering trade. price: 26.8067; sigPosSize: -0.731707; eq is 1e+006
CBT: loop number 6342 processing ticker CATO
bo.Equity is 1e+006
CBT: loop number 6343 processing ticker CATY
bo.Equity is 1e+006
CBT: loop number 6344 processing ticker CBAN
bo.Equity is 1e+006
CBT: loop number 6345 processing ticker CBAY
bo.Equity is 1e+006
CBT: loop number 6346 processing ticker CBB
bo.Equity is 1e+006
CBT: loop number 6347 processing ticker CBFV
bo.Equity is 1e+006
CBT: loop number 6348 processing ticker CBIO
bo.Equity is 1e+006
Entering trade. price: 578.698; sigPosSize: -0.650407; eq is 1e+006
It hangs on CBIO with what look like perfectly normal inputs after succeeding on calls using other tickers with similar inputs.
Here's the CBT code.
// Section 10: Custom Backtester
SetCustomBacktestProc("");
if (Status("action") == actionPortfolio) {
bo = GetBacktesterObject(); // Get backtester object
bo.PreProcess(); // Do pre-processing
cash = bo.InitialEquity;
exposure = 0;
barsInPeriod = BarCount - 1;
tDelay = GetTradeDelay();
delayExists = NOT IsNull(tDelay) AND NOT AlmostEqual(tDelay, 0);
/**/
tStop = False;
reentryDelay = 2;
portOffline = 11;
tStopLongAmt = 0.1;
tStopShortAmt = 0.05;
portStopAmt = 0.15;
lastPortStop = 0;
entryAmt = 0;
dd = 0;
ts = GetAllTickers(RetrieveWL(rootComposite)); //CategoryGetSymbols(categoryWatchlist, CategoryFind("TRADEDTICKERS", categoryWatchlist));
numTicks = StrCount(ts, ",") + 1;
buyMtx = Matrix(numTicks, BarCount);
sellMtx = Matrix(numTicks, BarCount);
for (index = 0; (member = StrExtract(ts, index)) != ""; ++index) { // Loop through all signals at this bar
temp = Nz(StaticVarGet(member + "PositionScore"));
if (delayExists AND temp[0] >= 0)
StaticVarSet(member + "PositionScore", Ref(temp, -tDelay));
else if (temp[0] < 0) { // negative value signals external ticker, time delay already applied
temp[0] += 10; // normalize the position score signal by adding back the 10 subtracted in RootNode
StaticVarSet(member + "PositionScore", temp);
} // end else it is a ticker managed by an external manager
buyMtx = MxSetBlock(buyMtx, index, index, 0, BarCount - 1, Nz(GetBuyArray(member, GetBuyString()), 0.01));
sellMtx = MxSetBlock(sellMtx, index, index, 0, BarCount - 1, Nz(GetSellArray(member, GetSellString()), 0.01));
} // End for each tradeable ticker in the tree
/**/ loop = 0;
eqHist = 0;
for (i = GetFirstBarInRange(); i <= GetLastBarInRange(); ++i) { // Loop through all bars
if (GetDebug("CBT"))
_TRACE("**********************In CBT at bar " + i + "****************************");
eq = 0;
if (tStop AND i > 0) {
dd = MaxDD(eqHist, lastPortStop, i - 1);
}
// Calculate the current value of equity
for (index = 0; (member = StrExtract(ts, index)) != ""; ++index) { // for each tradeable ticker
trade = bo.FindOpenPos(member);
rebal = StaticVarGet(member + "_rebal");
/**/ _TRACE("CBT: loop number " + ++loop + " processing ticker " + member);
if (NOT IsNull(trade)) {
if (rebal[i]) { // Begin rebal signal for this trade
trade_ps = Nz(StaticVarGet(trade.Symbol + "PositionScore")) * 100;
currPosSize = 100 * (SafeDiv(trade.GetPositionValue(), bo.Equity));
scaleOut = trade_ps[i] < currPosSize;
if (GetDebug("CBT"))
_TRACE("In CBT Calc Equity: Found open position on " + trade.Symbol);
if (AlmostEqual( trade_ps[i], 0) AND scaleOut) { // close the trade
price = sellMtx[index][i];
if (GetDebug("CBT")) {
_TRACE("CBT calculating current value of equity, exiting trade: i is " + i + " and trade.Symbol is " + sigSymbol + " and price is " + price);
_TRACE(" ");
}
/**/ _TRACE("Closing trade. price is " + price);
bo.ExitTrade( i, trade.Symbol, price );
/**/ entryAmt[index] = 0;
cash += trade.Shares * price;
if (GetDebug("CBT")) {
_TRACE("CBT Exited Trade: Cost/Proceeds were " + price * trade.Shares + " and cash is now " + cash);
_TRACE(" ");
}
} // end close the trade
else if (scaleOut) { // reduce the position size
targetValue = (abs(trade_ps[i]) / 100) * bo.Equity;
price = sellMtx[index][i];
value = abs(targetValue - trade.GetPositionValue());
if (GetDebug("CBT")) {
_TRACE("CBT About to Scale Trade: i is " + i + " and sig.Symbol is " + trade.Symbol);
_TRACE("CBT New Trade: scaleIn is " + scaleIn + " and sig.Price is " + price + " and value is " + value);
_TRACE(" ");
}
/**/ _TRACE("Scaling out of trade. price is " + price + "; and scale out size is " + abs(trade_ps[i] - currPosSize) * -1);
bo.ScaleTrade(i, trade.Symbol, scaleOut, price, abs(trade_ps[i] - currPosSize) * -1);
/**/ if (NOT AlmostEqual(value, 0))
entryAmt[index] = targetValue;
cash += value;
if (GetDebug("CBT")) {
_TRACE("CBT Scaled Trade: isLong was " + (sigPosScore > 0) + " scaleIn was " + scaleIn);
_TRACE("CBT Scaled Trade: Proceeds/Cost was " + value + " and cash is now " + cash);
_TRACE(" ");
}
} // end reduce the position size
} // end rebal is true
else { // rebal is false
price = sellMtx[index][i]; //GetSellArray(trade.Symbol, GetSellString());
eq += trade.Shares * price; //price[i];
} // end if rebal is false
if (trade.IsLong AND tStop AND i > 0) { // apply trailing stop rule to the long trade
price = sellMtx[index][i]; //GetSellArray(trade.Symbol, GetSellString());
eq += trade.Shares * price; //price[i];
if ((1 - tStopLongAmt) * entryAmt[index] >= trade.Shares * price[i] OR abs(dd) >= 100 * portStopAmt) {
_TRACE("=================================================================");
_TRACE("Stop loss on long trade for ticker "+member+" at bar "+i);
_TRACE("entryAmt[index] is "+entryAmt[index]);
_TRACE("trade.Shares is "+trade.Shares);
_TRACE("price[i - 1] is "+price[i - 1]+" and price[i] is "+price[i]);
_TRACE("long tolerance on value is "+(1 - tStopLongAmt)*entryAmt[index]);
_TRACE("actual current value on long trade is "+trade.Shares*price[i - 1]);
if (abs(dd) >= 100 * portStopAmt) {
if ( AlmostEqual(i, barsInPeriod)) {
msg = StaticVarGetText("dailyActivityLog");
msg += "\nWARNING!!!! A portfolio stop loss has been triggered";
StaticVarSetText("dailyActivityLog", msg);
} // End if i = last bar in range
lastPortStop = i;
_TRACE("***** Portfolio stop loss occurring at bar " + i);
psStop = Nz(StaticVarGet(member + "PositionScore"));
for (x = i + 1; x <= i + portOffline; ++x)
if (x < BarCount) psStop[x] = 0;
StaticVarSet(member + "PositionScore", psStop);
} // end if portfolio level stop loss
else {
if ( AlmostEqual(i, barsInPeriod)) {
msg = StaticVarGetText("dailyActivityLog");
msg += "\nTEST WARNING!!!! A trade stop loss has been triggered for security " + member;
StaticVarSetText("dailyActivityLog", msg);
} // End if i = last bar in range
psStop = Nz(StaticVarGet(member+"PositionScore"));
for (x = i + 1; x <= i + reentryDelay; ++x)
if (x < BarCount) psStop[x] = 0;
StaticVarSet(member+"PositionScore", psStop);
} // end else trade level stop loss
} // End if long trade stop loss is triggered
if (GetDebug("CBT"))
_TRACE("Position value (long) was " + trade.Shares + " * " + price[i] + " = "+trade.Shares * price[i]);
} // End if trade is long
else if (tStop AND i > 0) { // apply trailing stop rule to the short trade
price = buyMtx[index][i]; //GetBuyArray(trade.Symbol, GetBuyString());
eq -= trade.Shares * price; //price[i];
eqHist[i] = eq;
if ((1 + tStopShortAmt) * entryAmt[index] <= trade.Shares * price[i] OR abs(dd) >= 100 * portStopAmt) {
_TRACE("=================================================================");
_TRACE("Stop loss on short trade for ticker " + member + " at bar " + i);
_TRACE("entryAmt[index] is " + entryAmt[index]);
_TRACE("trade.Shares is " + trade.Shares);
_TRACE("price[i - 1] is " + price[i - 1] + " and price[i] is " + price[i]);
_TRACE("short tolerance on value is " + (1 + tStopShortAmt) * entryAmt[index]);
_TRACE("actual current value on short trade is " + trade.Shares * price[i - 1]);
if (abs(dd) >= 100 * portStopAmt) {
if ( AlmostEqual(i, barsInPeriod)) {
msg = StaticVarGetText("dailyActivityLog");
msg += "\nTEST WARNING!!!! A portfolio stop loss has been triggered ";
StaticVarSetText("dailyActivityLog", msg);
} // End if i = last bar in range
lastPortStop = i;
_TRACE("***** Portfolio stop loss occurring at bar "+i);
psStop = Nz(StaticVarGet(member+"PositionScore"));
for (x = i + 1; x <= i + portOffline; x++)
if (x < BarCount) psStop[x] = 0;
StaticVarSet(member + "PositionScore", psStop);
} // end if portfolio level stop loss
else {
if ( AlmostEqual(i, barsInPeriod)) {
msg = StaticVarGetText("dailyActivityLog");
msg += "\nWARNING!!!! A trade stop loss has been triggered for security " + member;
StaticVarSetText("dailyActivityLog", msg);
} // End if i = last bar in range
psStop = Nz(StaticVarGet(member+"PositionScore"));
for (x = i + 1; x <= i + reentryDelay; x++)
if (x < BarCount) psStop[x] = 0;
StaticVarSet(member + "PositionScore", psStop);
} // end else trade level stop loss
} // End if short trade stop loss is triggered
if (GetDebug("CBT"))
_TRACE("Position value (short) was " + trade.Shares + " * " + price[i] + " = " + trade.Shares * price[i]);
} // End if trade is short
} // End if trade is not NULL
} // End for each tradeable ticker of the portfolio tree
if (GetDebug("CBT")) {
_TRACE("CBT Calc Equity: equity is " + eq + " at bar " + i + " after adding position values");
}
eq += cash;
eqHist[i] = eq;
if (GetOption("UsePrevBarEquityForPosSizing"))
if ( i > 0 ) eq = eqHist[i - 1];
if (GetDebug("CBT")) {
_TRACE("CBT Calc Equity: equity is " + eq + " at bar " + i + " after cash");
_TRACE("CBT Calc Equity: cash was " + cash);
_TRACE(" ");
}
prevPosScore = 0;
for (index = 0; (member = StrExtract(ts, index)) != ""; ++index) { // Loop through all signals at this bar
ps = Nz(StaticVarGet(member + "PositionScore")) * 100; // retrieve signal
rebal = StaticVarGet(member + "_rebal");
/**/ _TRACE("CBT: loop number " + ++loop + " processing ticker " + member);
_TRACE("bo.Equity is " + bo.Equity);
// _TRACE("CBT: at bar " + i + " with ticker " + member + " retrieved ps of " + ps[i]);
if (LastValue(IsNull(ps))) ps = 0;
ticker = member;
sigPosScore = ps[i];
sigPosSize = -1 * abs(ps[i]);
if ( i > 0 ) prevPosScore = ps[ i - 1 ];
sigSymbol = member;
sigType = 0;
sigIsLong = -1 * (sigPosScore > 0);
sigIsScale = 0;
if (AlmostEqual(i, 0) OR ps[i] >= ps[i - 1])
price = buyMtx[index][i]; //GetBuyArray(ticker, GetBuyString());
else
price = sellMtx[index][i]; //GetSellArray(ticker, GetSellString());
sigPrice = price;
sigIsEntry = 0;
sigIsExit = 0;
sigIsScale = 0;
exposure[i] += abs(sigPosSize);
if (sigPosSize < -100 AND NOT AlmostEqual(sigPosSize, -100)) {
_TRACE("ERROR! At bar " + i + " sigSymbol allocation is greater than 1 for ticker " + sigSymbol + ". sigPosSize is " + sigPosSize);
sigPosSize = -100;
}
if (!IsNull(sigPosScore) AND sigSymbol != COMPOSITE_PREFIX + "CASH" AND rebal[i]) { // Begin position score exists for a ticker
if (GetDebug("CBT")) {
_TRACE("CBT Processing Signal: Score for symbol " + sigSymbol + " and PosScore is " + sigPosScore);
_TRACE("CBT Processing Signal: Type is " + sigType);
_TRACE("CBT Processing Signal: Size is " + sigPosSize + " and isLong is " + sigIsLong);
_TRACE("CBT Processing Signal: sig.ScaleTrade is " + sigIsScale + " and sigPrice is " + sigPrice);
_TRACE("Sig.IsEntry() : " + sigIsEntry);
_TRACE("Sig.IsExit() : " + sigIsExit);
_TRACE("Sig.IsScale() : " + sigIsScale);
_TRACE(" ");
}
if (!AlmostEqual(sigPosScore, 0) AND IsNull(bo.FindOpenPos(sigSymbol))) { // No currently open position
value = ( abs(sigPosSize) / 100 ) * eq;
if (GetDebug("CBT")) {
_TRACE("CBT About to Enter New Trade: i is " + i + " and sig.Symbol is " + sigSymbol);
_TRACE("CBT New Trade: sig.PosScore is " + sigPosScore + " and sig.Price is " + sigPrice + " and value is " + value);
_TRACE(" ");
}
/**/ _TRACE("Entering trade. price: " + sigPrice + "; sigPosSize: " + sigPosSize + "; eq is " + eq);
bo.EnterTrade( i, sigSymbol, sigPosScore > 0, sigPrice, sigPosSize );
if (GetDebug("CBT")) {
_TRACE("CBT Successfully exited bo.EnterTrade.");
}
/**/ entryAmt[index] = value;
if (sigPosScore > 0)
cash -= value;
else
cash += value;
if (GetDebug("CBT")) {
_TRACE("CBT Entered Trade: Cost was " + value + " and cash is now " + cash);
_TRACE(" ");
}
} // End Open a trade
else if (AlmostEqual(sigPosScore, 0)) {
trade = bo.FindOpenPos(sigSymbol);
if (NOT IsNull(trade)) {
if (trade.IsLong)
cash += trade.Shares * sigPrice;
else
cash -= trade.Shares * sigPrice;
cash -= trade.GetCommission();
if (GetDebug("CBT")) {
_TRACE("CBT About to Exit Trade: i is " + i + " and sig.Symbol is " + sigSymbol + " and sig.Price is " + sigPrice);
_TRACE(" ");
}
bo.ExitTrade(i, sigSymbol, sigPrice);
/**/ entryAmt[index] = 0;
if (GetDebug("CBT")) {
_TRACE("CBT Exited Trade: Cost/Proceeds were " + sigPrice * trade.Shares + " and cash is now " + cash);
_TRACE(" ");
}
} // End trade is not null
} // End position score is 0, close a trade
else {
trade = bo.FindOpenPos(sigSymbol);
if (NOT IsNull(trade)) {
currPosSize = 100 * (SafeDiv(trade.GetPositionValue(), bo.Equity));
currValue = trade.GetPositionValue(); //(trade.Shares*sigPrice);
longReversal = trade.IsLong AND sigPosScore < 0;
shortReversal = sigPosScore > 0 AND NOT trade.IsLong;
isReversal = longReversal OR shortReversal;
}
else {
currPosSize = 0;
currValue = 0;
isReversal = False;
}
if (!isReversal) {
scaleIn = ps[i] > currPosSize;
targetValue = (abs(sigPosSize) / 100) * eq;
value = abs(targetValue - currValue);
if (GetDebug("CBT")) {
_TRACE("CBT About to Scale Trade: i is " + i + " and sig.Symbol is " + sigSymbol);
_TRACE("CBT New Trade: scaleIn is " + scaleIn + " and sig.Price is "+sigPrice + " and value is " + value);
_TRACE(" ");
}
/**/ _TRACE("Scaling into trade. price: " + sigPrice + "sigPosSize: " + sigPosSize);
_TRACE("currPosSize: " + currPosSize + "; currValue " + currValue + "; targetValue: " + targetValue);
_TRACE("size of scaleIn is: " + abs(ps[i] - currPosSize) * -1);
bo.ScaleTrade(i, sigSymbol, scaleIn, sigPrice, abs(ps[i] - currPosSize) * -1);
/**/ if (NOT AlmostEqual(value, 0))
entryAmt[index] = targetValue;
if (sigPosScore > 0) {
if (scaleIn)
cash -= value;
else
cash += value;
} // end if scaling long trade
else {
if (scaleIn)
cash += value;
else
cash -= value;
} // End else scaling a short trade
if (GetDebug("CBT")) {
_TRACE("CBT Scaled Trade: isLong was " + (sigPosScore > 0) + " scaleIn was " + scaleIn);
_TRACE("CBT Scaled Trade: Proceeds/Cost was " + value + " and cash is now " + cash);
_TRACE(" ");
}
} // End if not a reversal
else {
if (GetDebug("CBT"))
_TRACE("CBT Scaled Trade: Trade is a reversal.");
if (trade.IsLong)
cash += trade.Shares*sigPrice;
else
cash -= trade.Shares*sigPrice;
cash -= trade.GetCommission();
if (GetDebug("CBT")) {
_TRACE("CBT Reversal, About to Close Old Trade: i is "+i+" and sig.Symbol is " + sigSymbol);
_TRACE("CBT Reversal: sig.Price is " + sigPrice);
_TRACE(" ");
}
bo.ExitTrade(i, sigSymbol, sigPrice);
value = ( abs(sigPosSize) / 100) * eq;
if (GetDebug("CBT")) {
_TRACE("CBT Reversal, About to Open New Trade: i is " + i + " and sig.Symbol is " + sigSymbol);
_TRACE("CBT New Trade: sig.PosScore is " + sigPosScore+" and sig.Price is " + sigPrice+" and value is " + value);
_TRACE(" ");
}
bo.EnterTrade( i, sigSymbol, sigPosScore > 0, sigPrice, value );
/**/ entryAmt[index] = value;
if (sigPosScore > 0)
cash -= value;
else
cash += value;
if (GetDebug("CBT")) {
_TRACE("CBT Entered Trade: Cost was " + value + " and cash is now " + cash);
_TRACE(" ");
}
} // End else is a reversal
} // End else not opening or closing a trade
} // End if sig.Symbol is a trading system mgr
} // End for each signal
// bo.HandleStops( i ); // Handle programmed stops at this bar
bo.UpdateStats( i, 1 ); // Update MAE/MFE stats for bar
bo.UpdateStats( i, 2 ); // Update stats at bar's end
} // End of for loop over bars
bo.PostProcess(); // Do post-processing
AddToComposite(bo.EquityArray / 1000000, rootComposite, "X", atcFlagEnableInBacktest|atcFlagCompositeGroup|atcFlagDeleteValues|atcFlagEnableInIndicator|atcFlagEnableInPortfolio);
CAR = Nz(StaticVarGet("CAR"));
mxDD = Nz(StaticVarGet("maxDD"));
exposure = Sum(exposure, BarIndex() + 1) / (BarIndex() + 1);
expose = Nz(exposure[BarCount - 1]);
stats = bo.GetPerformanceStats(0);
RAR = Nz(stats.GetValue("CAR") * (100 / expose));
vol = Nz(StaticVarGet("Volatility"));
negVol = Nz(StaticVarGet("NegativeVolatility"));
sharpe = Nz(StaticVarGet("Sharpe"));
sortino = Nz(StaticVarGet("Sortino"));
berg = Nz(StaticVarGet("Bergino"));
winPCT = Nz(StaticVarGet("winPCT"));
avgPctGain = Nz(StaticVarGet("avgPctGain"));
avgPctLoss = Nz(StaticVarGet("avgPctLoss"));
kelly = Nz(StaticVarGet("kelly"));
avgTradeLength = Nz(StaticVarGet("avgTradeLength"));
cl = Nz(Correlation(bo.EquityArray, Foreign(INDEX_PREFIX + "SPX", "C"), barsInPeriod - 1));
correl = cl[GetLastBarInRange()];
eqlWghtCAR = Nz(StaticVarGet("equalWeightPort"));
eqlWghtDD = Nz(StaticVarGet("equalWeightMxDD"));
randWghtCAR = Nz(StaticVarGet("randomWghtCAR"));
randWghtCARstd = Nz(StaticVarGet("randomWghtCARstd"));
randWghtDD = Nz(StaticVarGet("randomWghtMxDD"));
randWghtDDstd = Nz(StaticVarGet("randomWghtMxDDstd"));
// Here we add custom metric to backtest report
bo.AddCustomMetric( "CAR", CAR, False, False, 2, 4);
bo.AddCustomMetric("MaxDD", mxDD, False, False, 2, 6);
bo.AddCustomMetric( "Exposure", expose, False, False, 2, 4);
bo.AddCustomMetric( "RAR", RAR, False, False, 2, 4);
bo.AddCustomMetric( "Volatility", vol, False, False, 2, 4);
bo.AddCustomMetric("NegativeVol", negVol, False, False, 2, 4);
bo.AddCustomMetric( "Sortino", sortino, False, False, 2, 4);
bo.AddCustomMetric( "Sharpe", sharpe, False, False, 2, 4);
bo.AddCustomMetric("Bergino", berg, False, False, 2, 4);
bo.AddCustomMetric("winPct", winPCT, False, False, 2, 4);
bo.AddCustomMetric("avgPctGain", avgPctGain, False, False, 2, 4);
bo.AddCustomMetric("avgPctLoss", avgPctLoss, False, False, 2, 4);
bo.AddCustomMetric("kelly", kelly, False, False, 2, 4);
bo.AddCustomMetric("avgTradeLength", avgTradeLength, False, False, 2, 4);
bo.AddCustomMetric("Correlation to S&P 500", correl, False, False, 2, 4);
bo.AddCustomMetric("CAR, Equal Weights (annual rebal)", eqlWghtCAR, False, False, 2, 4);
bo.AddCustomMetric("MaxDD, Equal Weight", eqlWghtDD, False, False, 2, 4);
bo.AddCustomMetric("CAR, Random Weights", randWghtCAR, False, False, 2, 4);
bo.AddCustomMetric("Std Dev, Random CAR", randWghtCARstd, False, False, 2, 4);
bo.AddCustomMetric("MaxDD, Random Weight", randWghtDD, False, False, 2, 4);
bo.AddCustomMetric("Std Dev, Random MaxDD", randWghtDDstd, False, False, 2, 4);
} // end custom backtester
