|
PureBytes Links
Trading Reference Links
|
Thanks emp62!
--- In amibroker@xxxxxxxxxxxxxxx, "emp62" <emp62@xxx> wrote:
>
> hi,
>
> below I show how to get started. This example shows a simple
system where on the top you add the line with SetCustomBacktestProc
where you call for a file.
>
> The file called contains the CBT (custom back test). The code of
this file is shown at the bottom. This particular CBT code makes a
basket file ready to send to the TWS. But CBT code can do various
things. It can derive information from a existing backtest or it can
alter an existing backtest. Soon I am promissed code that will
enable one to do complicated portfolio backtests.
>
> rgds, Ed
>
>
>
>
> main program in indicator window
>
> #pragma nocache
>
> SetCustomBacktestProc( "C:\\Amibroker
Programs\\myAFL\\CustomBacktest\\IBbasketfileProfitStop.afl" );
>
> // initial settings for portfolio trading (also see Settings
window)
> SetBarsRequired(10000,10000);
> SetOption("MaxOpenPositions", 100 );
> PositionSize = -5;
> SetTradeDelays(0,0,0,0);
>
> sk1 = RSI(14);
>
> // buy and short rules
> Buy = Buy rules;
> Short = Short rules;
>
> // sell and cover rules
> ApplyStop ...
>
>
> SetChartOptions(0, chartShowDates);
> GraphXSpace = 5;
> Plot(C,"C",1,64);
>
>
>
>
>
>
>
> in a separate file: IBbasketfileProfitStop.afl
>
> SetOption("UseCustomBacktestProc", True );
>
> if( Status("action") == actionPortfolio ) {
>
> fh = fopen("c:\\Test4.txt", "w" );
> bo = GetBacktesterObject();
> bo.PreProcess();
>
> for( bar = 0; bar < BarCount; bar++ ) {
>
> bo.ProcessTradeSignals( bar );
>
> if (bar == BarCount - 1) {
>
> for( Openpos = bo.GetFirstOpenPos(); Openpos ; Openpos =
bo.GetNextOpenPos() ) {
>
> // old positions still in portfolio
> if (Openpos.BarsInTrade > 1) {
>
> // determine whether long / short position
> if (Openpos.IsLong) {
>
> // format: SELL, 100, CHRW , STK, SMART, LMT,
52.44,
> pp = Openpos.GetPrice(Bar - 1,"H") - 0.01;
> string = "SELL, " + Openpos.Shares + ", " +
Openpos.Symbol + " , STK, SMART, LMT, " + pp + ",";
> if( fh ) fputs( string + "\n", fh );
>
> } else if (!Openpos.IsLong) {
>
> // format: BUY, 100, CHRW , STK, SMART, LMT,
52.44,
> pp = Openpos.GetPrice(Bar - 1,"L") + 0.01;
> string = "BUY, " + Openpos.Shares + ", " +
Openpos.Symbol + " , STK, SMART, LMT, " + pp + ",";
> if( fh ) fputs( string + "\n", fh );
>
> }
>
> // the new positions to enter
> } else if (Openpos.BarsInTrade == 1) {
>
> if (Openpos.IsLong) {
>
> // format: BUY, 100, CHRW , STK, SMART, LMT,
52.44,
> pp = Openpos.GetPrice(Bar - 1,"C"); pp = Prec(pp
+ pp/100*0.25 + 0.01,2);
> string = "BUY, " + Openpos.Shares + ", " +
Openpos.Symbol + " , STK, SMART, LMT, " + pp + ",";
> if( fh ) fputs( string + "\n", fh );
>
> } else if (!Openpos.IsLong) {
>
> // format: SELL, 100, CHRW , STK, SMART, LMT,
52.44,
> pp = Openpos.GetPrice(Bar - 1,"C"); pp = Prec
(pp - pp/100*0.25,2);
> string = "SELL, " + Openpos.Shares + ", " +
Openpos.Symbol + " , STK, SMART, LMT, " + pp + ",";
> if( fh ) fputs( string + "\n", fh );
>
> }
>
> }
>
> }
>
> }
>
> }
>
> bo.PostProcess();
> fclose( fh );
>
> }
>
>
>
>
> ----- Original Message -----
> From: "tomsoyer_php" <tom.soyer@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, February 16, 2006 5:00 PM
> Subject: [amibroker] looking for help on custom backtest procedure
>
>
> > Hi,
> >
> > Does anyone have examples of custom backtest procedures in AFL
code? I
> > read the beta documentation on the Advanced portfolio backtester
> > inferface, but still couldn't figure out how to get it to work.
There
> > is no examples in the documentation, so it's hard to learn
exactly how
> > to do this (or maybe I am just stupid). Has anyone gotten it to
work?
> >
> > Tom
> >
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|