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I'm surprised that I haven't had a response. Whilst I haven't been
able to resolve it, I would have expected that it wasnn't a difficult
problem.
Graham
>
> Just starting to get my hands dirty in the Custom Backtester and
have
> read everything I can find.
>
> Some time ago I found some code on this forum for a custom metric
for
> Max Open Positions - it has worked fine on Long systems but when I
> try it on a Short system, it returns O max Open Trades. Have I
> missed something?
>
> Code follows.
>
> Graham
>
> SetOption("UseCustomBacktestProc", True);
> SetCustomBacktestProc("");
>
> //================== Open Position Count ==================
> vCounts = Cum( 0 );
> vMaxCount = 0;
>
> if ( Status( "action" ) == actionPortfolio )
> {
> vBO = GetBacktesterObject();
> vBO.PreProcess();
>
> for ( vBar = 0; vBar < BarCount; vBar++ )
> {
> vBO.ProcessTradeSignals( vBar );
> vCnt = 0;
>
> for ( vPos = vBO.getFirstOpenPos(); vPos; vPos =
> vBO.getNextOpenPos() )
> {
> vCnt++;
> _TRACE( "Count: " + vCnt );
> }
>
> vCounts[vBar] = vCnt;
>
> if ( vCnt > vMaxCount )
> {
> vMaxCount = vCnt;
> }
> }
>
> vBO.PostProcess();
>
> vBO.addCustomMetric( "Max Open Posn", vMaxCount );
>
> AddToComposite( vCounts, "~OpenPosCount", "V", atcFlagDefaults
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> atcFlagEnableInBacktest | atcFlagEnableInPortfolio );
> }
>
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