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Hi Shane,
The code below might be a little easier (hopefully) to read! ;)
BTW the error is ONLY when you first run this code. I think the
errors are caused when the symbol ~ClosedEquity doesn't exist. After
the symbol is in your database it runs fine.
Maybe the code needs to create the symbol before adding to it?
//-------------------------------
SetCustomBacktestProc("");
if(Status("action") == actionPortfolio)
{
bo = GetBacktesterObject();
bo.Backtest();
SumProfits[0] = bo.InitialEquity;
dt = DateTime();
for(i=1; i<BarCount; i++)
{
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(); }
}
if(i==BarCount-1)
{
for(trade = bo.getFirstOpenPos(); trade;
trade = bo.getNextOpenPos())
{
SumProfits[i] = SumProfits[i] + trade.GetProfit();
}
}
}
AddToComposite(SumProfits,"~ClosedEquity","X",
atcFlagEnableInPortfolio|atcFlagEnableInBacktest|
atcFlagEnableInExplore|atcFlagDefaults);
}
//-------------------------------
--- In amibroker@xxxxxxxxxxxxxxx, "Glenn" <glennokb@xxx> wrote:
>
> Hi Shane,
>
> FYI I've left a feedback "Suggestion" here:
>
> http://www.amibroker.com/feedback/view_bug.php?bug_id=231
>
> Cheers
>
> --- In amibroker@xxxxxxxxxxxxxxx, "michael_shane_baker" <plusnq@>
> wrote:
> >
> > 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;
> >
> > ------------------------------------------------------------------
--
> -
> > -----------
> >
> > 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@> 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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