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RE: [amibroker] Work in Progress - Tradesim - Universal text Trade Database Version 1.1



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Dealing with issue 1, one workaround which is testing well compared to Metastock output is adding this to the beginning of the trading system part when running the Portfolio backter, this is on a watch list of the ASX300, over 1500 periods.

 

Over 26 000 trades are recorded using a simple system of buy c>ema(c,20) and sell c<ema(c,20).

 

SetOption("InitialEquity", 10000000000000000 );

SetPositionSize( 1, spsShares );

SetOption("MaxOpenPositions", 1000 );

 

Regards

 

Dave

 

 

 


From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of dpweir
Sent: Saturday, 17 September 2005 5:15 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Work in Progress - Tradesim - Universal text Trade Database Version 1.1

 

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,

 

 

  1. 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 ?

 

 

  1. 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);

 

 




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