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thank you. it works now.
--- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@xxx>
wrote:
>
> 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@> 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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