Hello
I have been working on code to produce output from
the backtester which meets a third party tool format, Tradesim’s
Universal text Trade Database. Unable to produce this format so far, is the
only reason why I have not ditched Metastock all together (I understand there is
an exe available to do this but it does not look at an initialstop variable and
requires a few too many button clicks for lazy me), so I am anxious to get this
working.
Also I think this may be a another good example of
using the PBI (hint hint Thomas)
I have posted the code below. The issues I have, are
listed below and any input on how to resolve or work around these would be very
much appreciated. Thomas any input appreciated =)
- Trade
List
1.1 If
I run the individual backtest, I only get the last symbols results. Can
the script be altered so all symbols are listed with their results ?
1.2 Portfolio
backtest. If we are unable to get the individual backtester working, what
configuration would be required to get all possible trades using the portfolio
backtester ?
- Date
I have changed my regional
settings so the date is now in the format of yyyy/mm/dd, however there appears
to be no option in my regional settings to have the date in the format of
yyyymmdd , which is the format requirement.
- Initial
stop value.
I was going to leave this
for a separate post, but I feel like we are on a roll. Is there
also anyway to get the value of atr(period) at the first bar (or bar before)
the entry signal ? This value is used for position sizing within Tradesim.
Many, many thanks.
Now the code,
/* Tradesim -
Universal text Trade Database Version 1.0
Original sample
code from PBI Collected Documentation, 'How to create a Trade List By ShortFox'
Requirements:
To generate YYYYMMDD output, declare it in your regional settings */
Buy = 0; Sell = 0; Short = 1; Cover = 0;
SetCustomBacktestProc("");
if ( Status( "action" ) == actionPortfolio
)
{
fh = fopen( "C:\\TestFile.trt", "w" );
bo = GetBacktesterObject();
bo.BackTest(); // High-Level
backtest
dt = DateTime();
Initial_Stop = "0";
// if Initial
Stop data is not available then 0 placeholder should be used.
for ( trade = bo.GetFirstTrade(); trade; trade =
bo.GetNextTrade() )
{ // iterate through
closed trades
if ( trade.IsLong )
{
Long_Short = "L";
}
else
{
Long_Short = "S";
}
String = trade.Symbol + " " + Long_Short + " " + NumToStr(trade.EntryDateTime,formatDateTime) + " " + NumToStr( trade.ExitDateTime, formatDateTime )
+ " " + Initial_Stop + " " + trade.EntryPrice + " " + trade.ExitPrice;
if ( fh )
fputs( string + "\n", fh );
}
fclose( fh );
}
// Your trading
system here...
Buy = C
> EMA(C,20);
Sell = C
< EMA(C,20);