[amibroker] Trade-by-trade basis of r-multiple calculation.

["hotplainrice" <hotplainrice@xxxxxxxxx>]

Made a mistake of sending the last post incomplete.

Hi again,

I know this topic has been discussed a number of times. However, I
never found out the solution to the problem, at least the one I'm
looking for.
It'd be good if I get some hints about doing this.I would like to set
the Risk line below correctly. However I need some info on how to
import the InitialRisk value into the custom backtester code.

As stated below,
Risk should be calculated the tharp way.

/* Risk = (Entry Price - Stop Loss Price)  e.g. (173.20 - 163.40) */

Is it possible to extract the number from 
ApplyStop( stopTypeLoss, stopModePoint, InitialStop, 0 );

because thats the stop loss price (which is fixed)?

Anyone?

CODE:

/* First we need to enable custom backtest procedure and 
** tell AmiBroker to use current formula 
*/ 

SetCustomBacktestProc(""); 

MaxLossPercentStop = 1; // 10% max. loss stop 

/* Now custom-backtest procedure follows */ 
if( Status("action") == actionPortfolio ) 
{ 
    bo = GetBacktesterObject(); 

    bo.Backtest(1); // run default backtest procedure 

   SumProfitPerRisk = 0; 
   NumTrades = 0; 

   // iterate through closed trades first 
   for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() ) 
   { 
      // risk is calculated as the maximum value we can loose per trade 
      // in this example we are using  max. loss stop 
      // it means we can not lose more than (MaxLoss%) of invested amount 
      // hence ris 

       Risk = ( MaxLossPercentStop / 100 ) * trade.GetEntryValue();
/* Risk = (Entry Price - Stop Loss Price)  e.g. (173.20 - 163.40) */

       RMultiple = trade.GetProfit()/Risk;

       trade.AddCustomMetric("Initial risk $", Risk  );
       trade.AddCustomMetric("R-Multiple", RMultiple  );

       SumProfitPerRisk = SumProfitPerRisk + RMultiple;
       NumTrades++; 
   } 

    expectancy3 = SumProfitPerRisk / NumTrades; 

    bo.AddCustomMetric( "Expectancy (per risk)", expectancy3 ); 

    bo.ListTrades(); 

} 






/*
----------------------------------------------------------------------------
** Trade options
*/
SetOption("MaxOpenPositions", 1 );
SetTradeDelays( 1, 1, 1, 1 );        // settradedelays( buydelay,
selldelay, shortdelay, coverdelay )      


/*
----------------------------------------------------------------------------
** Calculate stops
*/ 

InitialStop = 0.5 * ATR(20);
TrailStopAmount = 1 * ATR(20);
ApplyStop( stopTypeLoss, stopModePoint, InitialStop, 0 );
ApplyStop( stopTypeTrailing, stopModePoint, TrailStopAmount, 0, True );
/* N-bar stop */ 
ApplyStop( stopTypeNBar, stopModeBars, 15 );


Buy = Ref(Cross(BBandBot(Close,15,2),Close),-1) AND (Close >
Ref(Close,-1)) AND (Close>Open);
Sell = 0; // selling only by stop



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