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How about using artificial ticker that just holds all Mon-Fri days?
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "vlanschot" <vlanschot@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, February 13, 2008 12:41 PM
Subject: [amibroker] Re: Backtesting and Custom Metrics: How to determine HHV at date of Buy?
> 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.
>
> 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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