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I think with the low-level CBI you should add the custom metrics
before calling PostProcess and don't need to call ListTrades, as that
happens in PostProcess.
You're probably getting things listed twice because the first time is
in PostProcess before you've added the custom metrics, and the second
time is in ListTrades after adding the custom metrics.
Regards,
GP
--- In amibroker@xxxxxxxxxxxxxxx, "murthysuresh" <money@xxx> wrote:
>
> 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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