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Here's my include file with all setups for futures trading for selected
symbols. It does what you ask and sets all options.
_SECTION_BEGIN("SetOptions");
SetTradeDelays(0,0,0,0);
BuyPrice = SellPrice = ShortPrice = CoverPrice = O;
//////////////////////////////////////// SETUP CONTRACT SPECIFICATIONS FOR
LISTED SYMBOLS
fm = True; //Default to futures. If you don't find it below,
switch to stocks//Set trading mode and commissions
cm = 3; //Commission mode
margin = 100; //AA takes care of this, but you must check the Futures
box in AA->Settings->General
myCommission = 2.4; //$2.40 per contract each way IB
//Set Futures Contract Info
_N(emsg = "");
if (StrLeft(Name(),2) == "ER") {myPointValue = 100; myTickSize =
0.10; myMarginDeposit = 3375;} //Russell 2000 emini
else if (StrLeft(Name(),2) == "AB") {myPointValue = 100; myTickSize =
0.10; myMarginDeposit = 3375;} //Russell 2000 emini using eSignal's "AB
#f"
else if (StrLeft(Name(),2) == "EM") {myPointValue = 100; myTickSize =
0.10; myMarginDeposit = 3375;} //Midcap 400 identical to ER2
else if (StrLeft(Name(),2) == "ES") {myPointValue = 50; myTickSize =
0.25; myMarginDeposit = 3938;} //S&P 500 emini
else if (StrLeft(Name(),2) == "NQ") {myPointValue = 20; myTickSize =
0.25; myMarginDeposit = 3750;} //Nasdaq100 emini
else if (StrLeft(Name(),2) == "YG") {myPointValue = 100; myTickSize =
0.10; myMarginDeposit = 911;} //33.2 Oz. Gold
else if (StrLeft(Name(),2) == "YM") {myPointValue = 5; myTickSize =
1.00; myMarginDeposit = 2438;} //DOW emini
else if (StrLeft(Name(),2) == "QM") {myPointValue = 500; myTickSize =
0.025; myMarginDeposit = 1688;} //Light Sweet Crude
else if (StrLeft(Name(),2) == "ZC") {myPointValue = 5000; myTickSize =
0.25; myMarginDeposit = 1148;} //Corn is quoted in cents/bushel! Change
tickSize to .25 (vs .0025) and use a Currency = 0.01
else if (StrLeft(Name(),2) == "ZB") {myPointValue = 1000; myTickSize =
0.03125; myMarginDeposit = 1215;} //30 year Treasury
else if (StrLeft(Name(),2) == "ZG") {myPointValue = 100; myTickSize =
0.10; myMarginDeposit = 2734;} //100 Oz. Gold
else if (StrLeft(Name(),2) == "ZN") {myPointValue = 1000; myTickSize =
0.015625; myMarginDeposit = 810;} //10 year Treasury
else if (StrLeft(Name(),2) == "6E") {myPointValue = 125000; myTickSize =
0.0001; myMarginDeposit = 2835;} //EuroDollar
else
{
emsg = Name() + " Selected symbol is not defined in code. It will still
work if 'Contract Specifications' are set in View->Symbol Information\n";
myPointValue = PointValue;
myTickSize = TickSize;
myMarginDeposit = MarginDeposit;
}
if (emsg != "") emsg; //Display error message
SetOption("FuturesMode",fm); //Requires True or False //NOTE: This is
insufficient. You must also check Futures mode in AA-Settings.
SetOption("CommissionMode", cm);
SetOption("CommissionAmount", myCommission);
ieFixed = Param("Initial Equity. 0 = calc",0,0,1000000,1000);
numContracts = Param("Contracts to trade",10,1,100,1);
incScaleOut = Param("ScaleOut increments",10,1,100,1);
numScaleOut = round((1/incScaleOut) * numContracts);
iePercent = Param("Percent Equity",15,-100,100,1); //+ trades fixed # of
contracts
RoundLotSize = 1; //Always 1 contract
maxPos = 1; // Just one for Futures code
//Set IntialEquity based on the above choices
if (ieFixed > 0)
{
ie = ieFixed; //Just use this amount as the Initial Equity
}
else //We need to compute the Initial Equity which is based on the # of
contracts to start.
{
if (iePercent == 0)
{
ie = round(myMarginDeposit * numContracts / 1000 + 0.5) * 1000;
//Need to insure it rounds up
//Both ieFixed and iePercent == 0. You will get barely enough money
to trade numContracts
}
else
{
ie = round(myMarginDeposit / (abs(iePercent) / 100) / 1000) * 1000 *
numContracts;
//Initial Equity per contract to nearest $1000
}
//Will be HUGE when user picks to trade a very low % of their equity
}
//Set PositionSize based on the above choices
if (iePercent == 0)
{
PSize = myMarginDeposit * numContracts;
PSize = Min(ie,PSize); //Don't trade more than Initial Equity in case it
was set manually
}
else if (iePercent > 0)
{
PSize = ie * (iePercent / 100);
if (fm) PSize = Max(myMarginDeposit,PSize); //Trade at least 1 contract
for Futures. Leave Stock alone.
}
else
{
PSize = iePercent; //Value is negative, this means we are compounding so
just leave it
if (fm AND abs(PSize/100 * ie) < myMarginDeposit AND ieFixed > 0) PSize
= -round(myMarginDeposit / ie * 100 + 0.5);
//User isn't trading enough PSize to get any position so we are forcing
additional PSize to allow the first trade.
//Testing for ieFixed > 0 because the PSize was already computed and
fixed for this condition above
}
//////////////////////////////////////// SET IE + GENERAL AA SETTINGS
SetOption("InitialEquity", ie);
SetOption("AllowSameBarExit",True);
SetOption("ActivateStopsImmediately",True);
SetOption("AllowPositionShrinking",True);
SetOption("InterestRate",0);
SetOption("MarginRequirement",margin);
SetOption("MaxOpenPositions", maxPos);
SetOption("MinShares",1);
SetOption("NoDefaultColumns",False);
SetOption("PriceBoundChecking",True); //NOT THE PROBLEM. It checks H-L, not
O-C.
SetOption("ReverseSignalForcesExit",True); //Normally True if not trading
Long and Short simultaneously
SetOption("UsePrevBarEquityForPosSizing",False);
SetOption("DisableRuinStop", False);
//////////////////////////////////////// SHOW USER THEIR SETTINGS
"\nInitial Equity = $" + NumToStr(ie,1.0);
"Initial PositionSize = " + WriteIf(PSize < 0,NumToStr(PSize,1.0) + "% of
Equity","$" + NumToStr(PSize,1.0));
"Scale out size = " + NumToStr(numScaleOut,1.2);
"ScaleOut increments = " + NumToStr(incScaleOut,1.0);
SetPositionSize( numContracts, spsShares ); //HELP says to use this "new"
way of PositionSize
//This section would actually override Contract Specifications above if they
have been set in the Symbol Information
//if (PointValue == 0) PointValue = myPointValue;
//if (TickSize == 0) TickSize = myTickSize;
//if (MarginDeposit == 0) MarginDeposit = myMarginDeposit;
//////////////////////////////////////// STOPS - JUST TURN THEM OFF
//The following 4 lines for ApplyStop are here to prevent AA Settings from
over-riding this code.
ApplyStop(stopTypeLoss,stopModeDisable,100,1,False,0);
ApplyStop(stopTypeTrailing,stopModeDisable,100,1,False,0);
ApplyStop(stopTypeNBar,stopModeDisable,100,1,False,0);
ApplyStop(stopTypeProfit,stopModeDisable,100,1,False,0);
//////////////////////// End of Include file
_SECTION_END();
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of mikelaurataylor
Sent: Tuesday, January 30, 2007 05:55
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Changing backtester settings for each symbol
Check the devlog or knowledge base on the amibroker site. There was
an article about this just a little while ago. I think it was here...
http://www.amibroker.com/kb/2006/09/29/how-to-set-individual-trading-rules-f
or-symbols-in-the-same-backtest/
In this case he uses if statements. I assume you could also build an
excel file, save it as a csv and read the values dynamicly from that
file if you had a long list.
--- In amibroker@xxxxxxxxxxxxxxx, "dralexchambers"
<dralexchambers@xxx> wrote:
>
> I have several symbols I wish to backtest on:
>
> GOOG
> GBPUSD
> etc...
>
> Is it possible to change the AFL settings in code according to the
> symbol being tested, eg:-
>
> If Symbol = GOOG then:
> PointValue = 0.01
>
> If Symbol = GBPUSD then:
> PointValue = 0.0001
>
>
> - Also, how do I change the interest rates for FX in AFL?
>
> Thanks - alex
>
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