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hello
In the backtester results, i get a duplicate row every time. the
first row without the custom metrics and the second row with custom
metrics. is this expected or i should have done something extra to
prevent it. attached is the code- very long but put it all for review
if u can find something incorrect.
// clean up watchlists before starting
if( s = Status("stocknum") == 0 )
{
StaticVarRemove( "BuyBarIndex" ) ;
StaticVarRemove("SellBarIndex");
StaticVarRemove("ShortBarIndex");
StaticVarRemove("CoverBarIndex");
}
/*
function PlotTrades(tradeDate,tradeType){
}
*/
/* returns a array with following detals
trades[0]=Date
trades[1]=type Of trade executed
0 = Buy
1 = Sell
2 = Short
3 = Cover
trades[3]=price
All trades should be in a txt file with the folowing format
identified by TradesFile
The format of data should be like following
PRGX,SLD,100,17.73,15:40:54,20070731,ISLAND,DU27808,,,DEMO,
*/
function extractTrades(symbolName){
fh = fopen( TradesFile , "r");
if(fh){
while( ! feof( fh ) )
{
currentRow=fgets( fh );
if(StrExtract( currentRow, 0) ==
symbolName){
//printf(currentRow );
}
}
}
else {
printf("ERROR: file can not be found " + TradesFile
+ " does NOT exist)");
}
return True;
}
//extractTrades(Name());
function Date_To_Num(aaaammdd)
{
dd_ = StrToNum(StrRight(aaaammdd,2));
//printf(WriteVal(dd_) + " " );
mm_ = StrToNum(StrMid(aaaammdd,4,2));
//printf(WriteVal(mm_) + " " );
aa_ = StrToNum(StrLeft(aaaammdd,4));
//printf(WriteVal(aa_) + " " + "\n" );
Date_Num = (10000 * (aa_ - 1900)) + (100 * mm_) + dd_;
RESULT = Date_Num;
return RESULT;
}
function Time_To_Num(strTime) // format for time is hh:mm:ss
{
/*
//do something to raise alert if length does not match
????PopupWindow("Current time is: " + Now(),"Alert", 2,
640*mtRandom(), 480*mtRandom());
*/
hh_t = StrToNum(StrLeft(strTime,2));
//printf(WriteVal( hh_t ) + " " );
mm_t = StrToNum(StrMid(strTime,3,2));
//printf(WriteVal( mm_t ) + " " );
ss_t = StrToNum(StrRight(strTime,2));
//printf(WriteVal( ss_t ) + " " + "\n" );
Time_Num = 10000 * hh_t + 100 * mm_t + ss_t;
RESULT = Time_Num;
return RESULT;
}
// PARAMETER DEFINITION
TradesFile=ParamStr( "Directory of trades", "C:\\Program
Files\\Amibroker\\TWSTrades\\TWSTrades1070829.csv" );
TradeType=ParamList("Instrument Type" ,"Stocks|Forex");
forexSymbol=ParamList("Symbol to test" ,"EUR.USD-IDEALPRO-
CASH|GBP.USD-IDEALPRO-CASH|USD.JPY-IDEALPRO-CASH|USD.CAD-IDEALPRO-
CASH|USD.CHF-IDEALPRO-CASH|BEURUSD");
StockSymbol=ParamStr( "Name of symbol", "" );
ShortOrLong=ParamList("Trade Direction" ,"Short|Long");
EntryPrice=Param("Entry Price",0,0,1000);
ExitPrice=Param("Exit Price",0,0,1000);
EntryDate=ParamDate( "Entry Date","2007-09-07",0 );
ExitDate=ParamDate( "Exit Date","2007-09-07" ,0);
EntryTime=ParamTime("Entry Time","07:08:07",0);
ExitTime=ParamTime("Exit Time","08:08:07",0);
if(TradeType=="Stocks"){
stockname=stockSymbol;
SetOption( "FuturesMode", False );
}
else{
stockname=forexSymbol;
SetOption( "FuturesMode", True );
//SetOption( "Periodicity",in1Minute );
}
//STOCKNAME="EUR.USD-IDEALPRO-CASH";
//STOCKNAME="GBP.USD-IDEALPRO-CASH";
// custom backtester code
/* First we need to enable custom backtest procedure and
** tell AmiBroker to use current formula
*/
SetCustomBacktestProc("");
/* Now custom-backtest procedure follows */
if( Status("action") == actionPortfolio ) // check if we are inside a
backtester
{
// retrieve the interface to portfolio backtester
bo = GetBacktesterObject();
bo.PreProcess(); // initialize the backtester
for( bar=0;bar<BarCount;bar++){ // loop thro all the bars
for (sig = bo.GetFirstSignal(bar); sig; sig =
bo.GetNextSignal(bar))
{ // Loop through all signals at this
bar
if (sig.IsEntry() &&
sig.IsLong()) // Process long entries
bo.EnterTrade
(bar, sig.Symbol, True, EntryPrice ,sig.possize);
else
{
if (sig.IsExit() &&
sig.IsLong()) // Process long exits
bo.ExitTrade
(bar, sig.Symbol,Exitprice);
}
if (sig.IsEntry() && !
sig.IsLong()) // Process short entries
bo.EnterTrade
(bar, sig.Symbol, True, EntryPrice ,sig.possize);
else
{
if (sig.IsExit() && !
sig.IsLong()) // Process short exits
bo.ExitTrade
(bar, sig.Symbol,Exitprice);
}
}// End of for loop over signals at
this bar
bo.HandleStops(bar); // Handle programmed
stops at this bar
for (trade = bo.GetFirstOpenPos(); trade;
trade = bo.GetNextOpenPos())
{ // Loop through all open positions
if (trade.GetProfit() >=
trade.GetEntryValue()) // If time to scale-in
{
scaleSize =
trade.GetEntryValue() / 2; // Scale-in the trade
bo.ScaleTrade
(bar, trade.Symbol, True, trade.GetPrice(bar, "C"), scaleSize);
}
} // End of for loop over trades at
this bar
bo.UpdateStats(bar, 1); // Update MAE/MFE
stats for bar
bo.UpdateStats(bar, 2); // Update stats at
bar's end
} // End of for loop over bars
bo.PostProcess(); // Do post-processing
// pull custom metrics for backtester
// iterate through closed trades first
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{// go thro each trade
trade.AddCustomMetric("MAE $", StrFormat( "%.4f", 100 *
trade.GetMAE() /trade.EntryPrice ) );
trade.AddCustomMetric("MFE $", StrFormat( "%.4f", 100 *
trade.GetMFE() /trade.EntryPrice ) );
}// end of iterating thro trades
bo.ListTrades();
// end of pulling custom metrics
}// end of check for inside backtester
// end of custom backtester
// Check time bars only on a intraday chart. dont mark it on a daily
chart as it will not return any trades
if (Interval()< 86400){
CheckEntryTime= TimeNum()>=EntryTime AND Ref(TimeNum(),-1)<EntryTime;
CheckExitTime=TimeNum()>=ExitTime AND Ref(TimeNum(),-1)<ExitTime;
}
else{
CheckEntryTime=True;
CheckExitTime=True;
}
if(ShortOrLong=="Long"){
// BUY SELL STUFF
BarIndexAtBuy=ValueWhen(DateNum()==EntryDate AND
CheckEntryTime , BarIndex());
BuyCondition=Name()==STOCKNAME AND BarIndex()
==BarIndexAtBuy;
Buy=BuyCondition;
SellCondition=Name()==STOCKNAME AND BarIndex()
==ValueWhen(DateNum()==EntryDate AND CheckExitTime, BarIndex());
Sell=Sellcondition;
Filter=Buy;
Short=False;
Cover=False;
}
else
{ // it has to be a short position.
Buy=False;
Sell=False;
Short=Name()==STOCKNAME AND BarIndex()==ValueWhen(DateNum()
==EntryDate AND CheckEntryTime, BarIndex());
Cover=Name()==STOCKNAME AND BarIndex()==ValueWhen(DateNum()
==ExitDate AND CheckExitTime , BarIndex());
}
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