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>From Reefcap
Getting there but still some minor problems. Try this version...
code:
---------------------------------------------------------------------
-----------
SetCustomBacktestProc("");if(Status("action") == actionPortfolio){
bo = GetBacktesterObject(); bo.Backtest(); //NB:backtest
automatically assigns FIR==[i]=0 and LIR==[i]=barcount-1 SumProfits
[0] = bo.InitialEquity; dt = DateTime(); //for BIR the equity
is non-zero; more is better for(i=1; i<BarCount; i++) { //search
through closed trade list; get the profit when bar==exitdate
SumProfits[i] = SumProfits[i-1]; for(trade = bo.GetFirstTrade();
trade; trade = bo.GetNextTrade()) { ExitDate =
trade.ExitDateTime; if(ExitDate==dt[i]) { SumProfits[i] =
SumProfits[i] + trade.GetProfit(); } } //search through open
trades list; get the profit when i==lastbar (close out open trades)
if(i==BarCount-1) { for(trade = bo.getFirstOpenPos(); trade;
trade = bo.getNextOpenPos()) { SumProfits[i] = SumProfits[i] +
trade.GetProfit(); } } } //clear composite before each test,
put in group 253, enable atc in custom portfolio backtest
AddToComposite(SumProfits,"~ClosedEquity","O",
atcFlagEnableInPortfolio|atcFlagEnableInBacktest|atcFlagEnableInExplo
re|atcFlagDefaults); AddToComposite
(SumProfits,"~ClosedEquity","C",
atcFlagEnableInPortfolio|atcFlagEnableInBacktest|atcFlagEnableInExplo
re|atcFlagDefaults);} //-end
actionportfolio//////////////////////////////////////////////////////
/// your trading system here fast = Optimize("fast", 12, 5, 20, 1 );
slow = Optimize("slow", 26, 10, 25, 1 ); Buy=Cross(MACD
(fast,slow),Signal(fast,slow)); Sell=Cross(Signal(fast,slow),MACD
(fast,slow)); BuyPrice=Open;SellPrice=Open;PositionSize=-10;
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There are unhandled errors and access violations when you first
generate the composite, it doesn't display data for any symbol.
If you then go to AA settings - portfolio, a popup informs you that
there isn't a custom backtester formula.
Click OK and see that the custom bactester box is checked. Uncheck
the box. Re-run the backtest and
things are OK or will be the run after that. I'm not sure if a
composite existing over the same test period allows the code to
function properly. If this is the case then there is more for TJ or
us to do.
As a tool it is OK ie. it does the job so you can verify that
positionsize is correct.
--------------------
Cheers, Shutty.
--- In amibroker@xxxxxxxxxxxxxxx, "Glenn" <glennokb@xxx> wrote:
>
> Shane,
>
> Might be better to post the code here as you need to register to
view
> ReefCap.
>
> Cheers
>
> --- In amibroker@xxxxxxxxxxxxxxx, "michael_shane_baker" <plusnq@>
> wrote:
> >
> > Hi Tomasz,
> >
> > My understanding is that Ami calculates its position sizing from
> open
> > equity. Recently on Reefcap.com
> >
> > http://lightning.he.net/cgi-bin/suid/~reefcap/ultimatebb.cgi?
> > ubb=get_topic;f=49;t=000139;p=3#000034
> >
> > some code was posted to allow the user to plot the closed equity
> curve
> > as well as the open equity curve. Would it be possible to plot
all
> > three equity curve types, open, closed and total reduced equity
> > (closed trades plus open trades at stop) and then allow the user
to
> > reference the appropriate curve value for their position sizing
eg
> 1%
> > of open, closed or total reduced equity curve value for
> > fixedfractional position sizing).
> >
> > Cheers and thanks
> >
> > Shane
> >
>
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