Re: [amibroker] Backtest - Number of positions

["Edward Pottasch" <empottasch@xxxxxxxxx>]

you can try it out by putting the code in a file  (for instance: findNumberOfLongAndShortPositions_cbi.afl)  and then call this file in your main program like:

 

SetCustomBacktestProc( "C:\\Amibroker Programs\\myAFL\\CustomBacktest\\loop through trades\\findNumberOfLongAndShortPositions_cbi.afl" );

Then do a backtest as you normally do and you can chart the results using for instance:

 

SetChartOptions(0, chartShowDates);
GraphXSpace = 0;

 

ltrades = Foreign("~longTrades","C");
strades = Foreign("~shortTrades","C");
Plot(strades,"Short Trades",colorRed,styleLine);
Plot(ltrades,"Long Trades",colorBrightGreen,styleLine);
PlotOHLC( ltrades, ltrades, 0, 0, "", colorBrightGreen, styleCloud );
PlotOHLC( strades, strades, 0, 0, "", colorRed, styleCloud );

 

I assume that you are doing a portfolio type backtest,

 

rgds, Ed

 

 

 

----- Original Message -----

From: Ara Kaloustian

To: amibroker@xxxxxxxxxxxxxxx

Sent: Wednesday, September 03, 2008 8:39 PM

Subject: Re: [amibroker] Backtest - Number of positions

Thanks Ed,

 

I have not got to CBT yet ... but on my list

 

Ara

----- Original Message -----

From: Edward Pottasch

To: amibroker@xxxxxxxxxps.com

Sent: Wednesday, September 03, 2008 11:00 AM

Subject: Re: [amibroker] Backtest - Number of positions

Ara,

 

I did this a while back. I extracted this information by looping through the trades using the CBT. Then I saved the info in a composite. Added code below. You just need to call this code inside your main program using SetCustomBacktestProc( ) but I think you know the drill:

 

rgds, Ed

 

 

SetCustomBacktestProc("");

 

if( Status("action") == actionPortfolio ) {
  
 bo = GetBacktesterObject();

 

 // perform default portfolio backtest
 bo.Backtest();
 
 // initialisations
 longTrades = 0;
 shortTrades = 0;
 
 // store the DateTime() in a STRING array.
 fdatetime = DateTime();

 

 // loop through trades 
 for( trade = bo.GetFirstTrade(); trade ; trade = bo.GetNextTrade() ) {
           
  // find the entry datetime of the trade
  entry_datetime = trade.EntryDateTime;

 

  // find the exit datetime of the trade
  exit_datetime = trade.ExitDateTime;
  
  // locate the array index at entry
  index_entry = IIF(entry_datetime == fdatetime, 1, 0);
  
  // locate the array index at exit
  index_exit = IIF(exit_datetime == fdatetime, 1, 0);
  
  // indicate bars where the trade occurs
  index_trade = flip(index_entry,index_exit);
  
  // accumulate long and short trades
  if (trade.IsLong) {
     
   longTrades = longTrades + index_trade;

 

  //} else if (!trade.IsLong) {
  } else {
  
   shortTrades = shortTrades + index_trade;

 

  }  

 

    
 }  
 
 
 // loop through open positions
 for( Openpos = bo.GetFirstOpenPos(); Openpos ; Openpos = bo.GetNextOpenPos() ) {
   
  // find the entry datetime of the trade
  entry_datetime = Openpos.EntryDateTime;

 

  // find the exit datetime of the trade
  exit_datetime = Openpos.ExitDateTime;
  
  // locate the array index at entry
  index_entry = IIF(entry_datetime == fdatetime, 1, 0);
  
  // locate the array index at exit
  index_exit = IIF(exit_datetime == fdatetime, 1, 0);
  
  // indicate bars where the trade occurs
  index_trade = flip(index_entry,index_exit);
  
  // accumulate long and short trades
  if (Openpos.IsLong) {
  
   longTrades = longTrades + index_trade;

 

  //} else if (!Openpos.IsLong) {
  } else {
  
   shortTrades = shortTrades + index_trade;

 

  }  

 

    
 }  
 
 AddToComposite(longTrades,"~longTrades","C",atcFlagDeleteValues | atcFlagEnableInPortfolio );
 AddToComposite(shortTrades,"~shortTrades","C",atcFlagDeleteValues | atcFlagEnableInPortfolio); 
  
}

 

 

 

 

 

----- Original Message -----

From: Ara Kaloustian

To: AB-Main

Sent: Wednesday, September 03, 2008 7:39 PM

Subject: [amibroker] Backtest - Number of positions

Is there a way to determine (get a chart) of the number of positions over time

 

Tx

 

Ara

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