RE: [amibroker] Help - How to export symbol, buy date, buy close price, sell date, and sell close price as a single line per trade directly to a csv file when run backtest, AmiBroker Email List Archive

Thanks Duke Jones,

You have put me on the right track. I think I have found what I am looking for in the documentation on the Beta site.

Code example,

/* High-Level (simple) custom backtesting, exporting all trades-related
figures to an external (MS Excel compatible) file

Thanks

Dave

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Duke Jones, CMT
Sent: Wednesday, 14 September 2005 10:59 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Help - How to export symbol, buy date, buy close price, sell date, and sell close price as a single line per trade directly to a csv file when run backtest

I feel the same about my competence as well with AFL but everyday a little more of the light comes on albeit still pretty dim. :-) I searched the archives and found this that does create an excel file. Maybe this will work as is for what you need.

SetCustomBacktestProc("");

if( Status("action") == actionPortfolio ) {
   fh1=fopen("C:\\Documents AND Settings\\Amit\\My Documents\\Results\\NewTemp.csv", "w" );
   string1= "Date,Equity,Cash,OpenPos,OpenPosEquity,ClosedPos,Entries,Exits";
   fputs(string1 + "\n", fh1);

   bo = GetBacktesterObject();
   bo.PreProcess(); // Initialize backtester

   dt=DateTime();
   PreOpenPos=0;
   PreclosedPos=0;

   for(bar=0; bar<BarCount; bar++) {
      OpenPos=0;
      ClosedPos=0;
      OpenPosEquity=0;

      // Run through all closed positions at bar
      for (trade=bo.GetFirstTrade(); trade; trade=bo.GetNextTrade())  // iterate through current closed positions
         ClosedPos++;

      // Run Through all open positions at bar
      for (trade=bo.GetFirstOpenPos(); trade; trade=bo.GetNextOpenPos()) { // iterate through current open positions
         OpenPos++;
         OpenPosEquity=OpenPosEquity+trade.GetPositionValue();
      }

      bo.ProcessTradeSignals(bar); // Process current bar's signals
        String1=NumToStr(dt[bar],formatDateTime)+ ","+ NumToStr(bo.equity)+ ","+ NumToStr(bo.Cash)+ ","+ NumToStr(OpenPos)+ ","+ NumToStr(OpenPosEquity)+ ","+ NumToStr(ClosedPos)+ ","+ NumToStr(Max(OpenPos-PreOpenPos,0))+ ","+ NumToStr(ClosedPos-PreclosedPos);
      if(fh1)
         fputs(string1 + "\n", fh1 );

      PreOpenPos=OpenPos; // Reserve current bar value for next bar's Entries figure
      PreclosedPos=ClosedPos; // Reserve current bar value for next bar's Exits figure
   }

   bo.PostProcess();
   fclose(fh1);

}

// Your trading system here

Buy=C>MA(C,200) AND H>Ref(HHV(H,100),-1);
Sell=C<MA(C,200);
PositionSize=-0.5;

________________________________________________________________________________________________________

Duke Jones, CMT

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of dpweir
Sent: Wednesday, September 14, 2005 7:25 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Help - How to export symbol, buy date, buy close price, sell date, and sell close price as a single line per trade directly to a csv file when run backtest

I was looking at FPUTS. I was wondering how you reference the buy date and the sell date, and place them on the same line ? The example given, while impressive seems to output only ticker information, and I can’t easily see how it could be applied to pull out the information from a backtest.

My level at AFL is so limited at this stage, and it is so frustrating not to be able to do something which would appear simple on the surface =(

Regards

Dave

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Duke Jones, CMT
Sent: Wednesday, 14 September 2005 9:58 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Help - How to export symbol, buy date, buy close price, sell date, and sell close price as a single line per trade directly to a csv file when run backtest

Here is Graham's file for exporting intraday data. Looks like it could be adapted. Might give you some ideas. I usually just copy and paste from the AA window using addcolumns to insert the fields I want.

http://www.amibroker.com/library/detail.php?id=327

Duke Jones, CMT

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of dpweir
Sent: Wednesday, September 14, 2005 6:48 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Help - How to export symbol, buy date, buy close price, sell date, and sell close price as a single line per trade directly to a csv file when run backtest

Hello

Can anyone script an export of the symbol, buy date, buy close price, sell date, and sell close price as a single line per trade (buy and sell) directly to a csv file when running a backtest ?

Very much appreciate any help.

Regards

Dave

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