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Thanks Tomasz,
There remains one problem with this, at least as far as I'm aware and
as far as it concerns my situation: I look at multiple international
markets with different trading dates (i.e. holidays). I therefore
need to "pad&align" to various "benchmarks" at the same time,
depending on what market the particular symbol trades. Therefore my
obvious request: can this be expanded?
Thx,
PS
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> For what is worth: it is best to use Pad and align option in the
AA Settings
> whenever you use portfolio backtest. Then you get consistent
results all the time
> regardless of data holes and you don't need to do any ATC.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "vlanschot" <vlanschot@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, February 13, 2008 12:30 PM
> Subject: [amibroker] Re: Backtesting and Custom Metrics: How to
determine HHV at date of Buy?
>
>
> > Sorry to jump in here, GP, but instead of ATC, can I not get to
the
> > HHV via:
> >
> > for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade
() )
> > {
> > TradeName=trade.symbol;
> >
> > HiHiV20 = HHV(Foreign(TradeName,"C"),20);
> >
> > . . . .
> > }
> >
> > I've always done it like this, but wonder whether this alignment
is
> > an issue then ???
> >
> > PS
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@>
> > wrote:
> >>
> >> 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@>
> > 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();
> >> >
> >> > }
> >> >
> >>
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
>
Please note that this group is for discussion between users only.
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