|
PureBytes Links
Trading Reference Links
|
Hello Grant,
I am not sure whether it can be called offense or not but I really felt like a child and I really liked it :) Please do not take this _expression_ as an offensiveness towards you and thank you very much for your kindness of expressing your excuses.
Coming back to the business, following simple code is enough for me in EURCHF. Only two lines of code do the job for me. It can also be easily adapted to the other pairs.
In your codes, as I understand, you perform this adaptation by decomposing the pairs by code. I will also examine these in depth, when I have time.
Since there are limited pairs, I prefer to write the codes by
1- A maincode.afl (includes if name() = eurusd #include eurusd.afl type codes and scale in/out codes
2- A general setting.afl
3- n pieces of eurusd.afl, eurchf.afl... files
Hence, examining the codes becomes easier and I can write different codes for different pairs.
As you may see, I am new to custom backtester and didn't know this process is that easy.
On previous days, I was surprised that Amibroker standard backtest module cannot perform the backtest just like standard forex accounts and I had a problem. Today, I am still suprised that it cannot perform and I don't have a problem. Thank you very much for your kind help again.
Best regards,
Ilhan
SetOption("UseCustomBacktestProc", True );
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
for( bar = 0; bar < BarCount; bar++ )
{
for( sig = bo.GetFirstSignal( bar ); sig; sig = bo.GetNextSignal( bar ) )
{
md = 1000 * Foreign("USDCHF","Close",True);
sig.MarginDeposit = md[bar];
}
bo.ProcessTradeSignals( bar );
}
bo.PostProcess();
}
01.07.2008 tarihinde Grant Noble <gruntus@xxxxxxxxxxx> yazmış:
Sorry if I offended you (sleep deprivation you know..). Let me know how it goes for you. Happy to
help out more. Regards, GRANT
İlhan Ketrez wrote:
> Dear Grant,
>
> Thank you for making me feel like a child :)
>
> And thank you for your detailed e-mail. It seems useful but I don't have
> enough time now to examine in depth.
>
> As you mentioned, I need to make some modifications I guess. I will post
> here as soon as I make it work for me.
>
> Bes regards,
> Ilhan Ketrez
>
>
> 01.07.2008 tarihinde *Grant Noble* <gruntus@xxxxxxxxxxx
> <mailto:gruntus@xxxxxxxxxxx>> yazmış:
>
> Quit your whining. It took me the best part of 2 years to get
> accurate profit & margin calculations.
> It didn't help that there was a bug in fx profit calculations
> involving leverage but Thomasz fixed
> that a few releases ago (ta :)). Along the way I realised that not
> all brokers calculate margin the
> same way - my broker actually has three different calculations
> depending on the type of stop used.
> Some base margin on CCY1, some on CCY2. Also margin, as a symbol
> information property, is defined
> statically whereas I needed to define it dynamically at order time
> based on entry price. Therefore I
> needed CBT code which I was able to create with the help of another
> participant on this forum (g'day
> Aron). You too will probably need something like this. Amibroker
> support is tip-top but working out
> how to set backtest preferences for your broker is your job.
>
> I'll attach some code I use. I #include it in all my systems. Note
> that is uses ATC so you'll have
> to retrieve this data within your system code. Note also that this
> code is partially obsolete (since
> that bug was sorted out). Will it do exactly what you want? Probably
> not, you'll need to tweak
> depending upon your use. I need to do more work on it but I've been
> busy with twin babies. Hope it
> helps. G
>
> /*
> Grant's FX preferences
> */
> SetOption("FuturesMode",
> True); // = use
> MarginDeposit and PointValue in calculations
> SetOption("InitialEquity", 10000
> ); // Initial equity $
> SetOption("MaxOpenPositions", 4
> ); // Max number of positions
> SetOption("CommissionMode",
> 3); // 3 = $ per share/contract
> SetOption("CommissionAmount",
> 0); // Commission amount
> SetOption("AccountMargin",
> 100); // Account
> margin, 100 = no margin
> SetOption("PriceBoundChecking", True
> ); // Price to stay in bar range ?
> SetOption("UsePrevBarEquityForPosSizing", True ); // Use last
> known bar for position sizing ?
> SetOption("ActivateStopsImmediately", False); //
> Intraday stops ?
> SetOption("Allowsamebarexit",
> True); // Allow same bar exit for
> profit stops ?
> SetOption("Allowpositionshrinking", True); //
> Take partial trades if equity available ?
> SetOption("InterestRate",0); //
> Set interest rate earned for free cash, zero to evaluate system
> SetOption("UseCustomBacktestProc", True); //
> Use Custom backtest for reporting ?
> SetOption("MinShares",
> 1); //
> Min number shares one
> SetOption("MinPosValue",
> 0); // Min
> position value to make trade worthwhile, 0 = no limit
> SetTradeDelays(0,0,0,0); //
> Trade delays applied by the backtester
>
> lotsize = StrToNum( ParamList("Lot size", "100000|10000|1000", 0)
> ); // default lot 100000
> leverage = Param("Leverage rate", 50, 1, 100,
> 1); // default
> leverage 50:1
> base = ParamList("Base currency","AUD|CAD|CHF|EUR|GBP|USD",
> 0); // default base currency AUD
>
> ccy2 = StrRight( Name(), 3
> ); // eg. EURJPY
> gives JPY
> TickSize = IIf( ccy2 == "JPY", 0.01, 0.0001 ); //
> the minimum price move of symbol
> RoundLotSize =
> 1;
> // whole contracts only
> contracts =
> 1; //
> contracts to acquire
> SetPositionSize( contracts, spsShares
> ); // spsShares = size expressed in
> shares/contracts
>
> fxRate = IIf( ccy2 == base, 1, Ref( Foreign( StrFormat( ccy2 + base
> ), "Close" ), -1 ) ); // eg.
> close of JPYAUD yesterday
> pv = lotsize * fxRate; // the amount of profit
> generated by one contract for a one point increase
> in price
> md = pv * Close * 1 / leverage; // the amount of money required to
> open single contract position [IG
> margin - no stop]
>
> // note: ATC code produces future leak warning when code is Checked
> by editor..
> AddToComposite( pv, "~spec_" + Name(), "O", atcFlagDeleteValues +
> atcFlagCompositeGroup +
> atcFlagEnableInExplore + atcFlagEnableInBacktest ); // store daily
> point value in composite
> AddToComposite( md, "~spec_" + Name(), "C", atcFlagCompositeGroup +
> atcFlagEnableInExplore +
> atcFlagEnableInBacktest ); // store daily margin deposit in composite
>
> SetCustomBacktestProc(""); // no external backtest procedure
> if ( Status("action") == actionPortfolio) {
> bo = GetBacktesterObject(); // get backtester object
> //
> // set correct MarginDeposit & PointValue on entry signal days
> //
> bo.PreProcess(); // do
> pre-processing (always required)
> for (i = 1; i < BarCount; i++) // loop through all bars
> {
> for (sig = bo.GetFirstSignal(i); sig; sig =
> bo.GetNextSignal(i)) // loop through all signals at
> this bar
> {
> if( sig.IsEntry() ) // is it an entry signal
> (buy/short) ?
> {
> pv = Foreign( "~spec_" + sig.Symbol,
> "O" ); // entry day point value
> md = Foreign( "~spec_" + sig.Symbol,
> "C" ); // entry day margin deposit
> _TRACE( StrFormat( "Ticker=" +
> sig.Symbol + " PointValue=%1.0f pv=%1.0f MarginDeposit=%1.0f
> md=%1.0f", sig.PointValue, pv[i], sig.MarginDeposit, md[i] ) );
> sig.PointValue =
> pv[i]; // set symbol PointValue
> sig.MarginDeposit =
> md[i]; // set symbol MarginDeposit
> }
> }
> bo.ProcessTradeSignals(i); // process trades at bar
> (always required)
> }
> bo.PostProcess(); // do post-processing (always required)
> }
> //
>
> İlhan Ketrez wrote:
> > Dear friends,
> >
> > Before registering the mailgroup, I was quite frustated regarding the
> > customer support for Amibroker. Now I observe that Tomasz is very
> busy
> > with the new technological developements of the software and
> replies the
> > related questions mostly. I appreciate his great effort and magical
> > software.
> >
> > In my recent e-mails, I believe that I emphasize an important point
> > about forex backtesting in Amibroker. Currently, I see that it is
> > impossible to truly backtest multiple forex pairs with the standard
> > backtester interface. Below, I am trying to explain in detail.
> >
> > - For EURUSD and XXXUSD pairs everything is OK.
> > - When the second unit is not USD, problem arises. I'm taking the
> EURJPY
> > as my example. Brokers calculate the profit-loss of these trades
> in JPY
> > (using the pointvalue * pricechange formula) and then converts to
> USD,
> > using the USDJPY pair as you know.
> > - In Amibroker, when we set the currency as JPY and indicate
> USDJPY in
> > the settings, it calculates the profit-losses correctly.
> > - In this case, it takes also the margin deposit scalar in JPY.
> > - Hence, all the traded contract quantities increase to extreme
> values
> > and all the backtest becomes incorrect.
> >
> > How can we (do you) overcome this hindrance?
> >
> > Thanks in advance and best regards,
> > Ilhan
> >
> >
> >
> >
> >
> >
> > ---------- Yönlendirilmiş ileti ----------
> > Kimden: *İlhan Ketrez* <ilhanketrez@xxxxxxxxx
> <mailto:ilhanketrez@xxxxxxxxx>
> > <mailto:ilhanketrez@xxxxxxxxx <mailto:ilhanketrez@xxxxxxxxx>>>
> > Tarih: 27 Haziran 2008 Cuma 15:28
> > Konu: Re: [amibroker] Portfolio backtest in forex
> > Kime: amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx> <mailto:amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx>>
> >
> >
> >
> > Thanks Tomasz,
> >
> > Curreny setting in the symbol information window is OK.
> >
> > The settings in the Tools->Preferences->Currencies windos are
> also OK.
> >
> > When we change the currency, the currency of the margin deposit also
> > changes. That is the problem.
> > In forex accounts all of the margins are (Say) 1000 USD.
> > Hence, in the current situation it becomes 1000 CHF. (Small Problem,
> > average in last years is around 1.4)
> > If the pair is USDJPY, it becomes 1000 JPY. (Greater problem
> average in
> > last years is around 110)
> >
> > As a result, almost all of the results become insignificant, starting
> > with exposure, total profit/loss calculations.
> >
> >
> > Please note that, unit profit-loss calculation is correct. Infact
> > everything else seem to be correct.
> >
> > I understand the need for setting the margindeposit currency to the
> > active currency to make trade in different markets.
> >
> > One temporary solution can be making an approach by adjusting the
> > position size accordingly But the real, exact solution can only be
> > achieved by defining a seperate currency setting for the margin
> deposit.
> >
> > I am waiting for your comments.
> >
> > Best regards,
> > Ilhan
> >
> >
> > 2008/6/27, Tomasz Janeczko <groups@xxxxxxxxxxxxx
> <mailto:groups@xxxxxxxxxxxxx>
> > <mailto:groups@xxxxxxxxxxxxx <mailto:groups@xxxxxxxxxxxxx>>>:
> >
> > Hello,
> >
> > You need to define CURRENCY (symbol->information) for that
> pair to
> > match the deposit currency.
> > You also need to setup currency tables in
> Tools->Preferences->Currencies
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com <http://amibroker.com> <http://amibroker.com/>
> >
> > ----- Original Message -----
> > *From:* İlhan Ketrez <mailto:ilhanketrez@xxxxxxxxx
> <mailto:ilhanketrez@xxxxxxxxx>>
> > *To:* amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx> <mailto:amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx>>
> > *Sent:* Thursday, June 26, 2008 4:24 PM
> > *Subject:* [amibroker] Portfolio backtest in forex
> >
> >
> > Hello,
> >
> > While the currency for the margin deposit is not USD, how
> can we
> > perform a correct portfolio backtest in XXXYYY where YYY
> is not
> > USD such as EURCHF?
> >
> > Thanks in advance.
> > Ilhan
> >
> >
> >
> >
> >
> >
> >
> >
> ------------------------------------------------------------------------
> >
> >
> > No virus found in this incoming message.
> > Checked by AVG.
> > Version: 8.0.101 / Virus Database: 270.4.3/1527 - Release Date:
> 6/30/2008 6:07 PM
>
> ------------------------------------
>
> 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 <http://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
>
>
> mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
> <mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx>
>
>
>
>
>
>
> ------------------------------------------------------------------------
>
>
> No virus found in this incoming message.
> Checked by AVG.
> Version: 8.0.101 / Virus Database: 270.4.3/1527 - Release Date: 6/30/2008 6:07 PM
------------------------------------
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
__._,_.___
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
![]()
__,_._,___
|