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hi,
concerning question 1.1, I do not
see that happening, or maybe I misunderstood your question. I used your code and
added a simple system (see below). It will write all trades to
the file, not just the last ones. According to the "manual" you will get all
trades.
rgds, Ed
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...
SetOption("MaxOpenPositions", 50 );
PositionSize = -15;
SetTradeDelays(1,1,1,1);
PositionScore = 50 -
Ref(StochK(15),-1);
Buy = C
> EMA(C,20); Buy = Ref(Buy,-1); BuyPrice = O;
Short = C < EMA(C,20); Short = Ref(Short,-1); ShortPrice = O;
Sell = 0;
Cover = 0;
ApplyStop( stopTypeNBar,stopModeBars,4,ExitAtStop = 1,Volatile = False, ReentryDelay =
1 );
SellPrice = C;
CoverPrice = C;
// stop signals
are implemented and redundant signals are removed
Equity(1);
SetChartOptions(0,
chartShowDates);
GraphXSpace = 5;
Plot(C,"C",1,64);
PlotShapes(IIf(Buy,shapeUpArrow,0),colorWhite, layer = 0, yposition = BuyPrice, offset = 0 );
PlotShapes(IIf(Sell,shapeDownArrow,0),colorYellow, layer = 0,
yposition = SellPrice, offset = 0 );
PlotShapes(IIf(Short,shapeHollowDownArrow,0),colorLightBlue, layer = 0,
yposition = ShortPrice, offset = 0 );
PlotShapes(IIf(Cover,shapeHollowUpArrow,0),colorGold, layer = 0, yposition = CoverPrice, offset =
0 );
----- Original Message -----
Sent: Friday, September 16, 2005 1:14
PM
Subject: [amibroker] Help - Portfolio
Backtester Issues
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);
Please note that this group is for discussion between users only.
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