Just an update,
of the 3 issues I posted earlier, I have managed to resolve issue 2, which was
the date format, following an example of code posted by Stephane Carrasset.
Tradesim will now load successfully the file produced just by double clicking
the file. Note that you must change your regional date settings to the format,
YYYY/MM/DD. Cheers.
The two issues which remain are,
- 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 ?
- 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.
I would appreciate any help
as I am a complete novice with Amibroker. Here is the updated code,
/* Tradesim - Universal text Trade Database Version 1.1 - Work in
Progress
Adapted from sample code in PBI Collected Documentation, 'How to
create a Trade List By ShortFox'
Requirements: To generate YYYYMMDD output, declare it in your
regional settings
Revisions 1.1 Remove separators / from date format
Current Issues
- does NOT produce full trade list - all individual trades
- Initial stop value not yet used. Currently set to 0
*/
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";
}
// Revision 1.1 Fixup date format for Tradesim - remove date
separators
EntryDate = NumToStr(trade.EntryDateTime,formatDateTime);
entryyyyy=StrLeft(EntryDate,4);
entrymm=StrMid(EntryDate,5,2);
entrydd=StrRight(EntryDate,2);
TSEntryDate = entryyyyy+entrymm+entrydd;
ExitDate = NumToStr(trade.ExitDateTime,formatDateTime);
Exityyyy=StrLeft(ExitDate,4);
Exitmm=StrMid(ExitDate,5,2);
Exitdd=StrRight(ExitDate,2);
TSExitDate = exityyyy+exitmm+exitdd;
String = trade.Symbol + " " + Long_Short + " " + TSEntryDate + " " + TSExitDate
+ " " + 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);