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The ValueWhen function sounded really promising. But it didn't work. I couldn't even get the ValueWhen(Buy,C) to work. My code is below:
_SECTION_BEGIN("Testing1");
/* The buy/sell system*/
Buy=Cross(MACD(),Signal());
Sell=Cross(Signal(), MACD());
/*Custom Backtesting*/
SetCustomBacktestProc("");
if (Status("action") == actionPortfolio){
bo=GetBacktesterObject();
bo.Backtest(1);
for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()){
test=ValueWhen(Buy,C);
test1=ValueWhen(Buy,HHV(C,20));
trade.AddCustomMetric("test",test);
trade.AddCustomMetric("test1",test1);
}
bo.AddCustomMetric("Marker","Marker");
bo.ListTrades();
}
_SECTION_END();
So, in the output, the custom metrics test and test1 (the last two columns) are both blank. I have posted the exported results below. Note that when I click the Report the "Marker" custom metric is being displayed, and responds to changes in the code, so I know I'm working on the right file.
The other problem is that, even if this works, it looks like I need to have the custom backtesting code within the same formula file as the buy/sell system, rather than having it in a different file and referencing it from the buy/sell formula (because "Buy" is not initialised in the backtesting code file).
Ticker,Trade,Date,Price,Ex. date,Ex. Price,% chg,Profit,% Profit,Shares,Position value,Cum. Profit,# bars,Profit/bar,MAE,MFE,Scale In/Out,test,test1,
WPL,Long,31/05/1999,8.97249,30/04/2001,12.2762,36.82%,7314.07,36.62%,2226,19972.75,7314.07,24,304.75,-4.92%,58.92%,0/0,,
WPL,Long,31/05/2001,13.5646,31/08/2001,12.6443,-6.78%,-1891.56,-6.93%,2012,27291.89,5422.50,4,-472.89,-9.77%,11.60%,0/0,,
WPL,Long,29/08/2003,12.2854,29/09/2006,38.011,209.40%,53134.92,209.24%,2067,25393.93,58557.42,38,1398.29,-3.75%,288.01%,0/0,,
WPL,Open Long,28/09/2007,50.2,31/01/2008,46.35,-7.67%,-6061.40,-7.72%,1564,78512.80,52496.02,6,-1010.23,-18.92%,12.87%,0/0,,
I may yet have to use some of the more complicated suggestions made in the replies, but I'm perplexed as to why this ValueWhen doesn't work.
Anyone have any ideas?
Many thanks.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> It can be as simple as:
>
> ValueWhen( Buy, HHV( C, 20 ) );
>
> but you need to describe FINAL goal that you are after, so actually best solution
> can be offered
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: justjuice200
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, February 13, 2008 2:39 AM
> Subject: [amibroker] Backtesting and Custom Metrics: How to determine HHV at date of Buy?
>
>
> 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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