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Greetings Don,
I was in the mood for a bit of a challenge, so....
// Inspired by a request for a 'playback' feature from Don Upton
//
// Simplified example, long only and the file format is spec'd for ease of
// implimentation.
//
// Input file is comma seperated text.
// Fields are:
// 0. Symbol -- without quotes
// 1. Entry date -- in datenum() format. ie xmas day 2003 is 1031225
// 2. Entry price
// 3. Exit date -- datenum() format, or blank for no exit
// 4. Exit Price
Buy = False;
Sell = False;
BuyPrice = Close;
SellPrice = Close;
function DateToBar(dn)
{
return LastValue(ValueWhen(DateNum()==dn, BarIndex()));
}
f = fopen("playback.txt", "r");
while( f && (! feof(f)) ) {
Line = fgets(f);
sym = StrExtract(Line, 0);
if( sym == Name() ) {
endt = StrExtract(Line,1);
enpr = StrExtract(Line,2);
exdt = StrExtract(Line,3);
expr = StrExtract(Line,4);
bar = DateToBar(StrToNum(endt));
if( bar ) {
Buy[bar] = True;
BuyPrice[bar] = StrToNum(enpr);
if( exdt != "" ) {
bar = DateToBar(StrToNum(exdt));
Sell[bar] = True;
SellPrice[bar] = StrToNum(expr);
}
}
}
}
if(f) fclose(f);
I'll leave you to modify it to get exactly what you want.
Nigel
On Fri, 23 Jan 2004 22:51, Don Upton wrote:
> I'd like to suggest an enhancement to Amibroker. Judging from recent
> messages, I believe others might be interested, too. If so, maybe we can
> get Tomasz in the discussion.
>
> I would like to see another function (like Scan and Backtest) in AA. I'll
> call it Playback for now. Playback would essentially be a Backtest, but
> instead of invoking an AFL script, it would prompt for the name of a
> comma-delimited file in which each record would represent a trade. Each
> record might have the following fields:
>
> 1) Ticker Symbol
> 2) Type Trade (Long or Short)
> 3) Entry Date
> 4) Exit Date - null if trade still open
> 5) Shares
> 6) Position Entry Price (Buy or Short price, depending on type trade) -
> Optional
> 7) Position Exit Price (Sell or Cover price, depending on type trade; null
> if trade still open) - Optional
> 8) Commission on Entry - Optional
> 9) Commission on Exit - Optional
>
> The optional fields above would default to the values in AA/Settings if not
> specified. The date range used for report statistics could be calculated
> based on the earliest trade open and last trade close (or current date if
> there are open trades). (Or should the date range be based on the setting
> in the AA window, as Backtest currently works ?)
>
> A Playback function would make it much easier to do "manual" -type
> backtesting, as well as track actual trades...
>
> ...Don Upton
>
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