Hi Ed
Compare the
output of the trade list to the output from this version. I have continued the
thread under,
Work in Progress
- Tradesim - Universal text Trade Database Version 1.1
Cheers
Regards
Dave
/* Tradesim - Universal text Trade Database Version 1.2 - 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
Revision 1.1 Remove separators / from Date format
Revision 1.2 Add Portfolio Backtester Parameters to generate
complete trade list
Current Issues
- does NOT produce full trade list - all individual trades -
workaround Revision 1.2
- 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 );
}
// Tradesim Complete Tradelist Parameters - Do not remove -
Revision 1.2
SetOption("InitialEquity", 10000000000000000 );
SetPositionSize( 1, spsShares
);
SetOption("MaxOpenPositions", 1000 );
// Your trading system here...
Buy = C > EMA(C,20);
Sell = C < EMA(C,20);
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of emp62
Sent: Saturday, 17 September 2005
7:12 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Help -
Portfolio Backtester Issues
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.
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);
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