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Patrick,
I am signing off now for some z's but a quick second opinion on your
question (can't help the first caller with the custom backtest report
though).
I am not sure what timeframe you mean - if it is intraday my comments
won't help much. I have done some work in the past with missing bars
(EOD) and managed to get around it using array code (maybe you have
too but I am not sure if you mean that you handle it in AFL by
nominating the dates or by identifying missing bars).
I have used a few different ways in AFL to identify or handle EOD
missing bars (other than entering dates for holidays from an
international calendar).
First it varies with providers - if they pad missing days themselves
and how they do it. In that case I find them by using identifiers
like - if the previous O,H,L,C all equal todays OHLC then it is more
than likely padded - repeating the previous bar is one way that
providers pad missing EOD data (of course sometimes an identical bar
or no vol just means that it is a thinly traded stock but I don't
want them in my stock list anyway).
I don't always like NoVol as a test for padded bars because some
times the bar is padded by the provider with volume included and
sometimes the indexes don't have volume.
Another thing I do (for backtesting EOD) is filter out stock that has
less than the annual number of bars - theoretically it does bias
results but then so does missing data (in my case I only want to
trade highly liquid stock anyway so I am comfortable about filtering
out junk stock with missing bars. I also filter out stock that has
too many identical bars (lightly traded) - I have found this to be a
better liquidity filter than vol*price (for my purposes).
Also I have used code, in conjunction with Pad&Align, to identify
which bars are padded by AmiBroker - the padded bar leaves a
characteristic trail that you can code for (from memory I think it is
a null - I did that work last year, or the year before, and the
memory fades a bit - I have notes on it somewhere).
Also I am cautious about using the index as the Pad&Align reference -
I have found cases where the indexes are padded on public holidays
etc - sometimes I do an exploration with barcount and use the number
that is the most common i.e. if the index has 250 bars for the year
but 200/500 stocks in my database had 251 bars for the year I use
251, in code, as the becnhmark for a stock with no missing data
and/or I select one of the stocks from the 251 bar list as the
reference stock for P&A.
Not sure if that is the type of thing you are after - as I said it
depends on how accurate your providers data is, what padding they do
and how you want to use it.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@xxx> wrote:
>
> But that doesn't solve the non-trading (holi)days during the work-
> week which differ per market, nor does it facilitate MENA-region
> markets where they trade from Sunday to Thursday, etc.
>
> I don't want to be a pain, it's just something I'm confronted with,
> and always need to 1) point out as one of the caveats in my BT-
> results, or 2) adjust in my AFL-code (by excluding those dates per
> market, which IS a pain).
>
> PS
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@>
> wrote:
> >
> > How about using artificial ticker that just holds all Mon-Fri
days?
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "vlanschot" <vlanschot@>
> > 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@>
> > > 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@>
> > >> 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.
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:
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For other support material please check also:
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