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Some time ago Tomasz posted the code below (simplified) on the
KB. Would anyone know how to modify this code to save the metrics for
individually backtested tickers? Composites would be named like
"UI_"+Name(). I want to run individual backtests over a watchlist and save
ticker-specific metrics in composites. The metrics would be read/used
in another trading system.
many thanks for any help you can give!
herman
// Demo trading system
Short = Cover =
0;
Buy=Cross( MACD(), Signal() );
Sell=Cross( Signal(), MACD() );
// Using the CBT to retrieve/save
metrics
SetOption("UseCustomBacktestProc", True );
if( Status("action") ==
actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
MyHistStat1 = Null;
for(bar=0; bar <
BarCount; bar++)
{
bo.ProcessTradeSignals( bar
);
stats = bo.GetPerformanceStats( 0 );
MyHistStat1[ bar ] = stats.GetValue("UlcerIndex"); // any metric can be
retrieved
}
bo.PostProcess();
AddToComposite(
MyHistStat1, "~~~UI_HISTORICAL", "X", atcFlagEnableInPortfolio | atcFlagDefaults
);
}
PlotForeign("~~~UI_HISTORICAL", "UlcerIndex Historical",
colorRed, styleLine );
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