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One issue you have is that by calculating the HHV in the custom
backtest procedure, the results may not be the same as if it were
calculated in the main AFL code. That's because the Foreign function
aligns the stock to the bar dates of the backtester, and 20 custom
backtest bars may not be the same as 20 bars of the original stock
chart. To get around that, you need to calculate HHV in the main AFL
and then pass it to the backtester using AddToComposite.
To then get the values you want on the entry dates, you could just
note the value on each entry date as the entries are processed,
storing them in dynamic variables or possibly in a writeable unused
field of the Trade object. Otherwise, as you run through the closed
trades, you could get the entry date/time and search for that
date/time in the relevant HHV array (using Foreign again to get the
HHV array).
For the price a certain number of bars from the entry date, you have
the same problem of bar realignment in the custom backtester. If
you've removed redundant buy signals in the main AFL code, you could
perhaps create a BarsSince(Buy) array, pass that to the custom
backtester as an ATC, and use that to find which bar in the custom
bactester is the correct number of bars from the buy (assuming it's
after the buy date and not before).
Regards,
GP
--- In amibroker@xxxxxxxxxxxxxxx, "justjuice200" <justjuice200@xxx> wrote:
>
> I know this should be simple, but can't figure out how to code it in
> AFL. Many thanks in advance.
>
> I want to add some custom metrics to the backtest report. For each
> trade, I want to show two things:
> 1) a 20-bar HHV at the date of the buy
> 2) a price at a certain number of bars away from the date of the buy.
>
> So far what I have is the following (and not sure I'm on the right
> track either):
>
> if (Status("action") == actionPortfolio){
> bo=GetBacktesterObject();
> bo.Backtest(1);
>
> for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()){
> ticker=trade.Symbol();
> symbolPriceArray=Foreign(ticker, "C", 1);
> Dateoftrade=trade.EntryDateTime();
> BarNumOfTrade=....some Code Here...
> myHigh=HHV(symbolPriceArray,20)/*Also need some way to
> define the
> HHV with reference to the date of the buy*/
>
> CloseTenDaysAgo=symbolPriceArray[BarNumOfTrade-10];
>
> }
>
> bo.ListTrades();
>
> }
>
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