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david,
below a complete test system
including this code. A snapshort of the output in the AA window looks
like this:
Sig: AMZN Sig2:
AMZN
Sig: AMZN Sig2: ESLR
Sig: AMZN
Sig2: GNTX
Sig: AMZN Sig2: GPRO
Sig:
AMZN Sig2: GROW
Sig: IFIN Sig2:
IFIN
Sig: IFIN Sig2: OSIP
Sig: IFIN
Sig2: VARI
Sig: AMCC Sig2: AMCC
Sig:
AMCC Sig2: SEPR
Sig: CELG Sig2:
CELG
Sig: CORS Sig2: CORS
Sig: CYMI
Sig2: CYMI
Sig: CYMI Sig2: DAKT
Sig:
CYMI Sig2: INTU
Sig: CYMI Sig2:
JNPR
Sig: CYMI Sig2: SSRI
Sig: AGIX
Sig2: AGIX
Sig: AGIX Sig2: AMAG
Sig:
AGIX Sig2: CHRS
Sig: AGIX Sig2:
COLM
Sig: AGIX Sig2: DRIV
Sig: AGIX
Sig2: FLEX
Sig: AGIX Sig2: FORM
Sig:
AGIX Sig2: LECO
Sig: IDXX Sig2:
IDXX
Sig: IDXX Sig2: JBLU
Sig: IDXX
Sig2: XMSR
etc.
regards, ed
SetOption("UseCustomBacktestProc", True );
if( Status("action") == actionPortfolio ) {
bo = GetBacktesterObject();
bo.backtest();
for(bar=0;
bar<BarCount; bar++) {
for ( sig = bo.GetFirstSignal(bar); sig;
sig=bo.GetNextSignal(bar)) {
for ( sig2 = bo.GetFirstSignal(bar); sig2;
sig2=bo.GetNextSignal(bar)) {
bo.RawTextOutput(
"\t" + "Sig: " + sig.Symbol + " Sig2: " + sig2.Symbol );
}
}
}
}
SetOption("InitialEquity", 100000 );
SetOption("MaxOpenPositions", 4 );
PositionSize = -25;
SetTradeDelays(0,0,0,0);
Buy = Cross(RSI(14),30); Buy = Ref(Buy,-1); BuyPrice = O;
Sell = Cross(70,RSI(14)); Sell = Ref(Sell,-1); SellPrice = O;
Short = Sell; ShortPrice = O;
Cover = Buy; CoverPrice = O;
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
Short = ExRem( Short, Cover );
Cover = ExRem( Cover, Short );
SetChartOptions(0, chartShowDates);
Plot(C,"C",1,64);
PlotShapes(IIf(Buy,shapeUpArrow,0),colorWhite, layer = 0,
yposition = BuyPrice, offset = 0 );
PlotShapes(IIf(Sell,shapeDownArrow,0),colorYellow, layer =
0, yposition =
SellPrice, offset =
0 );
PlotShapes(IIf(Short,shapeHollowDownArrow,0),colorLightBlue, layer = 0,
yposition = ShortPrice, offset = -15 );
PlotShapes(IIf(Cover,shapeHollowUpArrow,0),colorGold, layer = 0,
yposition = CoverPrice, offset = -15 )
----- Original Message -----
Sent: Monday, July 02, 2007 8:41 PM
Subject: [amibroker] Re: Nested Loops -
Custom Backtester
Ed,
Unfortunately, I cannot re-create your results here. I used a
very
simple backtest, and copied your code verbatim, but the outer loop
still executes only for the first signal.
Thanks, though, for the
suggestion,
David
--- In amibroker@xxxxxxxxxps.com,
"Edward Pottasch" <empottasch@...>
wrote:
>
>
hi,
>
> it seems to be possible. I ran this code on top of some
backtest.
The results in the AA window show that both loops are used. If
you
want to change a trade then you will have to change this setup. Here
I first run the backtest and then go through the signal object.
>
> Ed
>
>
>
>
>
SetOption("UseCustomBacktestProc", True );
>
> if(
Status("action") == actionPortfolio ) {
>
> bo =
GetBacktesterObject();
> //bo.PreProcess(); // Initialize
backtester
> bo.backtest();
>
> for(bar=0;
bar<BarCount; bar++) {
>
>
> for ( sig =
bo.GetFirstSignal(bar); sig;
sig=bo.GetNextSignal(bar)) {
>
>
> for ( sig2 = bo.GetFirstSignal(bar); sig2;
sig2=bo.GetNextSignal(bar)) {
>
> bo.RawTextOutput(
"\t" + "Sig: " + sig.Symbol
+ " Sig2: " + sig2.Symbol );
>
>
> }
>
> }
>
> }
>
//bo.PostProcess(); // Finalize backtester
>
> }
>
>
>
>
> ----- Original Message -----
>
From: david.weilmuenster
> To: amibroker@xxxxxxxxxps.com
> Sent: Monday, July 02, 2007 5:18 PM
> Subject: [amibroker]
Nested Loops - Custom Backtester
>
>
> Hi,
>
> In the Custom Backtester, I need to run a nested loop to examine
all
> signals in comparison to a given signal, and have tried the
following
> code to implement a nested loop:
>
> for (
sig = bo.getfirstsignal(bar); sig; sig =
bo.getnextsignal
(bar))
>
> {
>
> for ( sig_2 =
bo.getfirstsignal(bar); sig_2; sig_2 =
>
bo.getnextsignal(bar))
>
> {
>
> ... logic to
compare signals
>
> }
>
> }
>
>
-------------------------------------------
>
> But, the code executes only for the first signal in the outer
loop.
> I.e., it runs the inner loop perfectly, but only for the
first
signal
> in the outer loop.
>
> Any clues as to
what I'm doing wrong? Maybe this isn't possible?
> Other approaches I
should try?
>
> Thanks,
> David
Weilmuenster
>
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