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I still get blank values in the HV column. I think the problem is
that I am passing an array to AddCustomMetric when it expects a
value. I need to determine the index into HVtrade, so I can do
HVtrade[index].
Any ideas on how to get from the trade date to the index into
HVtrade?
Thank you,
Cesar
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxxx> wrote:
> I suggest you try the following
> SetCustomBacktestProc("");
> /* Now custom-backtest procedure follows */
> if( Status("action") == actionPortfolio )
> {
> bo = GetBacktesterObject();
> bo.Backtest(1); // run default backtest procedure
> for(trade=bo.GetFirstTrade(); trade; trade=bo.GetNextTrade())
> {
> sym = trade.Symbol();
> myC = Foreign(sym, "C" );
> HVtrade = 100* StDev(log(myC/Ref(myC,-1)),100)*sqrt(252);
> trade.AddCustomMetric("HV", HVtrade );
> }
> bo.ListTrades();
> }
>
>
> Paul Ho
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of C Alvarez
> Sent: Sunday, 19 June 2005 2:07 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Custom Trade Metrics
>
>
> The HV column has all blanks in it.
>
> Thanks for the help. Here is the formula.
>
> Cey
>
> ////////////////////////////////////////////////////
>
> SetCustomBacktestProc("");
> /* Now custom-backtest procedure follows */
> if( Status("action") == actionPortfolio )
> {
> bo = GetBacktesterObject();
> bo.Backtest(1); // run default backtest procedure
> for(trade=bo.GetFirstTrade(); trade; trade=bo.GetNextTrade())
> {
> sym = trade.Symbol();
> SetForeign(sym );
> HVtrade = 100* StDev(log(C/Ref(C,-1)),100)*sqrt(252);
> RestorePriceArrays();
> trade.AddCustomMetric("HV", HVtrade );
> }
> bo.ListTrades();
> }
> // trading system here
> Buy = MA(C,50) > MA(C,200) AND C >MA(C,200);
> Sell = C < MA(C,200);
>
> Buy = ExRem(Buy,Sell);
> Sell = ExRem(Sell, Buy);
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxxx> wrote:
> > Can you post your formula and results?
> >
> > Paul Ho
> >
> >
> >
> > _____
> >
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of C Alvarez
> > Sent: Saturday, 18 June 2005 1:17 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Custom Trade Metrics
> >
> >
> > I added the SetForeign call and the HV formula still does not
> work.
> > Is this something that I need to calculate manually?
> > Any more help?
> >
> > Thanks,
> > Cey
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxxx>
wrote:
> > > the problem is with this line "HVtrade = 100*
> > > StDev(log(C/Ref(C,-1)),100)*sqrt(250);
> > > you need to get the trade symbol and then use foreign to get
the
> > price array
> > > before doing your calculaltion
> > >
> > > Paul Ho
> > >
> > >
> > >
> > >
> > > _____
> > >
> > > From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx]
> > On Behalf
> > > Of C Alvarez
> > > Sent: Saturday, 18 June 2005 4:21 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Custom Trade Metrics
> > >
> > >
> > > 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();
> > > }
> > >
> > >
> > >
> > >
> > >
> > > Please note that this group is for discussion between users
only.
> > >
> > > To get support from AmiBroker please send an e-mail directly
to
> > > SUPPORT {at} amibroker.com
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > >
> > >
> > >
> > >
> > > _____
> > >
> > > Yahoo! Groups Links
> > >
> > >
> > > * To visit your group on the web, go to:
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> > >
> > >
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> subject=Unsubscribe>
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> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> >
> >
> >
> > _____
> >
> > Yahoo! Groups Links
> >
> >
> > * To visit your group on the web, go to:
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> >
> >
> > * To unsubscribe from this group, send an email to:
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> > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
subject=Unsubscribe>
> >
> >
> > * Your use of Yahoo! Groups is subject to the Yahoo! Terms
of
> Service
> > <http://docs.yahoo.com/info/terms/> .
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
>
>
>
> _____
>
> Yahoo! Groups Links
>
>
> * To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
>
> * To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
>
> * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service
> <http://docs.yahoo.com/info/terms/> .
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
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