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You can use AddToComposite in the main AFL code to create a new
composite symbol of the ATR, then Foreign in the custom backtester to
get it realigned with the backtester bars.
For example, in the main AFL code:
AddToComposite(2*ATR(30), "~2atr30_"+Name(), "C", atcFlagDefaults |
atcFlagEnableInBacktest);
Then in custom backtester:
atr30 = Foreign("~2atr30_"+sig.Symbol, "C");
Your conditional statement would then be:
if (pos.GetPrice(bar,"C") < pos.GetEntryValue() -
atr30[bar-pos.BarsInTrade])
Note though that I don't think this is what you want, as the entry
value is the total dollar value of the position, not the share price.
To compare prices you can use the EntryPrice property.
I'm also not sure why you want to subtract BarsInTrade from the array
index. For one thing, this will give an out-of-bounds error whenever
'bar' is less than BarsInTrade.
Regards,
GP
--- In amibroker@xxxxxxxxxxxxxxx, "joelamibroker" <joelamibroker@xxx>
wrote:
>
> Hello,
>
>
> How can you access AFL function values that work on price arrays in a
> low level backtest??
>
> I am attempting to handle multiple signals using Custom Backtester.
> In version 4.76.0 Tomasz introduced the "Handle" property.
>
> In this simple example I want to use "Handle" to exit if share has
> dropped 2xATR(30) from BuyPrice.
> (note: 2xATR(30) is calculated on the 'Buy' day)
>
> The middle line of code is obviously incorrect, but HOW should it be
> written?
>
> for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() )
> {
> if(pos.GetPrice(bar,"C") < pos.GetEntryValue() -
> 2*ATR(30).[bar-pos.BarsInTrade])
> bo.ExitTrade(......);
> }
>
>
> Any ideas on how this can be done would be appreciated.
>
>
> Complete code is listed below:
>
>
> /* Backtest is carried out on multiple symbols*/
>
> Buy = Cross(C,Ref(HHV(H,20),-1);
> BuyPrice = Open;
> Sell = 0;
> SellPrice = 0;
>
> if( Status("action") == actionPortfolio )
> {
> // actual backtest routine(low-level)
> bo = GetBacktesterObject();
> bo.PreProcess();
>
> for( i = 1; i < BarCount; i++ )
> {
> // first update backtest stats and handle stops
> bo.UpdateStats( i, 0 );
>
> for( sig = bo.GetFirstSignal(i);sig; sig = bo.GetNextSignal(i) )
> {
> if (sig.IsLong() AND sig.Price != -1)
> {
> bo.RawTextOutput("Bar " + i + " Symbol: " + sig.Symbol);
> bo.EnterTrade(i, sig.Symbol, True, sig.Price,-10);
> for(pos=bo.GetFirstOpenPos();pos;pos = bo.GetNextOpenPos() )
> {
> bo.RawTextOutput("Open Pos Found For: " + pos.Symbol);
> /* --- Now Process Exit ---*/
> /* --- This won't work ---*/
> /* --- Have we closed 2xATR(30) below entry price? */
> if(pos.GetPrice(i,"C") < pos.GetEntryValue() -
> 2*ATR(30).[i-pos.BarsInTrade])
> bo.ExitTrade( i+1, OpenPos.Handle, OpenPos.GetPrice( i+1, "O" ) );
>
> }
>
> }
> bo.UpdateStats( i, 2 );
> }
> bo.PostProcess();
> }
>
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