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I'm trying to count the number of trades taken with 60 day vol. over
and under 500,000. It is not counting right. The volume for over
500,000 always shows 0. Thanks for the help.
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(); // run default backtest procedure
SumMAE = 0;
NumTrades = 0;
SumMFE = 0;
NumTrades2 = 0;
StaticVarSet("Counter1", 0);
StaticVarSet("Counter2", 0);
// iterate through closed trades first
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade
() )
{
// here we sum up maximum adverse excursions
SumMAE = SumMAE + trade.GetMAE();
NumTrades++;
SumMFE = SumMFE + trade.GetMFE();
NumTrades2++;
Counter1 = StaticVarGet("Counter1");
Counter2 = StaticVarGet("Counter2");
V60 = MA(V, 60);
BI = BarIndex();
LVBI = LastValue(BI);
if (V60[LVBI] > 500000)
Counter1 = Counter1 + 1;
else
Counter2 = Counter2 + 1;
StaticVarSet("Counter1", Counter1);
StaticVarSet("Counter2", Counter2);
}
// iterate through eventually still open positions
for( trade = bo.GetFirstOpenPos(); trade; trade = bo.GetNextOpenPos
() )
{
SumMAE = SumMAE + trade.GetMAE();
NumTrades++;
SumMFE = SumMFE + trade.GetMFE();
NumTrades2++;
}
averageMAE = SumMAE / NumTrades;
bo.AddCustomMetric( "Avg. adverse excursion", averageMAE );
averageMFE = SumMFE / NumTrades2;
bo.AddCustomMetric( "Avg. favorable excursion", averageMFE );
bo.AddCustomMetric( "Volume > 500,000", Counter1 );
bo.AddCustomMetric( "Volume < 500,000", Counter2 );
}
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