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Thx Brian, both you & Tomasz have clarified the issue, as well as
what my "problem" actually is, and how to possibly solve it.
PS
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> 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@> 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:
http://www.amibroker.com/support.html
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