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I am trying to add the custom metric of what the Historical
Volatility was when the trade was entered.
I tried the following code, but all I get are blanks. Do we not have
access to the price arrays? Or what am I doing wrong?
Thank you,
Cey
Here is the code:
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(1);
for(trade=bo.GetFirstTrade(); trade; trade=bo.GetNextTrade())
{
HVtrade = 100* StDev(log(C/Ref(C,-1)),100)*sqrt(250);
trade.AddCustomMetric("HV", HVtrade);
}
bo.ListTrades();
}
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