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Re-coded the system (-bench) with global custom scale arrays (scale,
scaleprice, scalepos) and in the custom backtester I am not able to
access the content those arrays. Traced on both sides to check.
Saw some code in a previous post but couldn't find it. Would be
grateful if someone could provide some insight.
Thanks in advance.
Fernando Martin
--- In amibroker@xxxxxxxxxxxxxxx, "martinfernando66" <clogs@xxx> wrote:
>
> Tomasz,
> thanks for your guidance. Fun programming custom backtester, signal
> decoding not straightforward but it works. Have some additional
> questions please:
> 1-Noticed that in AA window, date column is empty while information
> column is ok. On report->trades, trade bar information is ok. What am
> I missing to get bar date-time in AA window?
>
> 2-Trying multiple scaleout, common practice among futures and FX
> traders, since AB allows only one scale signal per bar, when the
> system scales out 2 or 3 times per bar, it is ok on the chart but
> signals beyond first scaleout are not getting to the backtester.
> 2a-Are there plans to enhance AB with scale1[bar],...,scale4[bar]
> arrays beyond the actual buy[bar],sell[bar],short[bar],cover[bar] with
> all its backtest implications?
> 2b-To move forward now and backtest multiple scaleout regardless of on
> what bar it happen, one approach is to implement those arrays and code
> custom GetFirstMSignal(bar), GetNextMSignal(bar), ... to place
> synthetic bo.EnterTrade(), multiple bo.ScaleTrade() and bo.ExitTrade()
> within the initialized backtester low level frame.
> Would more than welcome any comment, guidance or suggestion you may
> have on this topic.
>
> Thanks again and best regards,
> Fernando Martin
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
> >
> > PreProcess has nothing to do with that.
> >
> > I wrote you before:
> >
> > >> >
> > >> > You can do that but only using custom backtester interface.
> > >> > Regular backtester allows one scaleout or exit on single bar, not
> > > both.
> > >> >
> > >> > This sample shows how to perform scaling using custom backtester
> > >> >
http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions
> > >> > This is more general doc:
> >
> > This means that if you want to scaleout and exit on the same bar
> > you need to use
> > ScaleTrade
> > and
> > Enter/ExitTrade
> > on your own in custom backtester. This is is know as low-level
> custom backtester.
> > In this case you don't use signals from first phase at all. See this:
> >
>
http://www.amibroker.org/userkb/2008/03/16/amibroker-custom-backtester-interface-2
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "martinfernando66" <clogs@>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Thursday, March 20, 2008 3:39 PM
> > Subject: [amibroker] Re: Backtester: same bar scaleout and sell
> signals traced (2)
> >
> >
> > > For the traces tried all SetBacktestMode parameters, including
the new
> > > ones 2.
> > > Also traced the signals delivered by the system, which are ok.
> > > Those signals get transformed by bo.PreProcess() if on the same bar,
> > > altering
> > > backtest postprocess while leaving positions open.
> > > Since scaleout is removed, to software trap the signals on a
custom
> > > backtester a workaround is required.
> > > By chance, is there an undocumented 'transparent' backtester mode so
> > > that PreProcess leaves signals
> > > untouched for the custom backtester?
> > > Thanks again.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "martinfernando66" <clogs@> wrote:
> > >>
> > >> Tomasz:
> > >> many thanks for your kind reply. Have just traced on DebugView
with a
> > >> simple signal viewer custom backtester several bars to see how and
> > >> what signals appear. No processing at all done in the custom
> > >> backtester code below.
> > >> The trace shows signals on 30 min bars in accordance with the
chart.
> > >> Switching to 1 hour bars, the chart shows signals but no
signals are
> > >> appearing on the backtester trace in some cases, as attached
> below. In
> > >> some others, scaleout signals (6) get changed to buy signals (1)
> or to
> > >> short signals (3) depending on the trade side. Positions remain
open
> > >> although posSize is 0 (-1000000).
> > >> Am I missing something important? bo.PreProcess() appears to change
> > >> and remove signals. How do you suggest I shall move forward in
custom
> > >> backtesting scaleout and sell signals on the same bar?
> > >>
> > >> Thank you for your advice since at this point I'm a bit lost.
> > >> Best regards,
> > >> Fernando Martin
> > >>
> > >> 30 min trace:
> > >> [2124] bar=144 080318,125900
> > >> [2124] bar=145 080318,132900
> > >> [2124] bar=146 080318,135900
> > >> [2124] bar=147 080318,142900
> > >> [2124] bar=148 080318,145900
> > >> [2124] bar=149 080318,152900
> > >> [2124] bar=150 080318,155900
> > >> [2124] bar=151 080318,162900
> > >> [2124] Type=1, Price=1311.750, posSize=-2002
> > >> [2124] bar=152 080318,165900
> > >> [2124] Type=6, Price=1312.500, posSize=-2001
> > >> [2124] bar=153 080318,172900
> > >> [2124] bar=154 080318,175900
> > >> [2124] bar=155 080318,182900
> > >> [2124] bar=156 080318,185900
> > >> [2124] bar=157 080318,192900
> > >> [2124] Type=2, Price=1317.750, posSize=-10000000000
> > >> [2124] bar=158 080318,195900
> > >> [2124] bar=159 080318,202900
> > >> [2124] bar=160 080318,205900
> > >> [2124] bar=161 080318,212000
> > >> [2124] Type=1, Price=1334.250, posSize=-2002
> > >> [2124] bar=162 080318,215900
> > >> [2124] bar=163 080318,222900
> > >> [2124] Type=2, Price=1333.250, posSize=-10000000000
> > >> [2124] bar=164 080318,232900
> > >> [2124] bar=165 080318,235900
> > >> [2124] bar=166 080319,002900
> > >> [2124] bar=167 080319,005900
> > >>
> > >> 60 min. trace:
> > >> [2124] bar=220 080318,125900
> > >> [2124] bar=221 080318,135900
> > >> [2124] bar=222 080318,145900
> > >> [2124] bar=223 080318,155900
> > >> [2124] bar=224 080318,165900
> > >> [2124] bar=225 080318,175900
> > >> [2124] bar=226 080318,185900
> > >> [2124] bar=227 080318,195900
> > >> [2124] bar=228 080318,205900
> > >> [2124] bar=229 080318,215900
> > >> [2124] bar=230 080318,222900
> > >> [2124] bar=231 080318,235900
> > >> [2124] bar=232 080319,005900
> > >>
> > >> Custom backtester code:
> > >> if(Status("action") == actionPortfolio){
> > >> bo = GetBacktesterObject(); bo.PreProcess();
> > >> // debug initialize bar date-time
> > >> dn = DateNum();
> > >> tn = TimeNum();
> > >>
> > >> for(bar=0; bar<BarCount; bar++){
> > >>
> > >> // debug bar number, date, time
> > >> _TRACE(StrFormat("bar=%1.0f %06.0f,%06.0f\n", bar ,dn[bar]%
> > >> 1000000,tn[bar]));
> > >>
> > >> // explore signals in bar
> > >> for( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) ){
> > >>
> > >> // debug signals
> > >> _TRACE(StrFormat("Type=%1.0f, Price=%4.3f, posSize=%2.0f\n",
> sig.Type,
> > >> sig.Price, sig.PosSize));
> > >>
> > >> }
> > >> bo.ProcessTradeSignals(bar);
> > >> bo.UpdateStats(i, 1);
> > >> bo.UpdateStats(i, 2);
> > >> }
> > >> bo.PostProcess();
> > >>
> > >> }
> > >>
> > >> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" groups@ wrote:
> > >> >
> > >> > Hello,
> > >> >
> > >> > You can do that but only using custom backtester interface.
> > >> > Regular backtester allows one scaleout or exit on single bar, not
> > > both.
> > >> >
> > >> > This sample shows how to perform scaling using custom backtester
> > >> >
http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions
> > >> > This is more general doc:
> > >> >
> > >>
> > >
>
http://www.amibroker.org/userkb/2008/03/16/amibroker-custom-backtester-i\
> > > nterface-2
> > >> >
> > >> > Best regards,
> > >> > Tomasz Janeczko
> > >> > amibroker.com
> > >> > ----- Original Message -----
> > >> > From: "martinfernando66" clogs@
> > >> > To: amibroker@xxxxxxxxxxxxxxx
> > >> > Sent: Tuesday, March 18, 2008 12:56 PM
> > >> > Subject: [amibroker] Backtester: same bar scaleout and sell
signals
> > >> >
> > >> >
> > >> > > Coded a system that is flexible to take profit
(Buy=scaleout) and
> > > exit
> > >> > > on the same bar (sell=3) if conditions are met.
> > >> > > After several tries with different periodicity (15 min, 30
min, 1
> > >> > > hour) appears that backtester is not processing more than one
> > > signal
> > >> > > per bar, leaving open the position while on the chart the
system
> > > is
> > >> > > closing it.
> > >> > > Missed some setting? If not, would be very grateful if someone
> > > could
> > >> > > confirm if standard backtester is only processing one
signal per
> > > bar.
> > >> > > Thanks,
> > >> > > Fernando Martin
> > >> > >
> > >> > >
> > >> > >
> > >> > > ------------------------------------
> > >> > >
> > >> > > 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
> > >
> > >
> > >
> >
>
------------------------------------
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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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