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Re: [amibroker] Adding custom metrics



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Entry for "CCI" should be just "CCI"  - not "trade.CCI"
 
----- Original Message -----
Sent: Friday, November 14, 2008 12:00 PM
Subject: [amibroker] Adding custom metrics

Dear friends,
 
Regarding the addition of custom metrics to the backtest report, to simplify my question please find below a script from the AB documentation. Simply, I want to add, for example, CCI value, RSI value and various entry bar conditions instead of Initial risk or R multiple below.
 
In other words, just like trade.score gives entry score, I want to add "trade.cci" as entry cci to the backtest report.
 
Thank you in advance for your help.
 
Best regards,
Ilhan
 

SetCustomBacktestProc("");

MaxLossPercentStop = 10; // 10% max. loss stop

/* Now custom-backtest procedure follows */

if

( Status("action") == actionPortfolio )

{

bo =

GetBacktesterObject();

bo.Backtest(

1); // run default backtest procedure

SumProfitPerRisk =

0;

NumTrades =

0;

// iterate through closed trades first

for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )

{

// risk is calculated as the maximum value we can loose per trade

// in this example we are using max. loss stop

// it means we can not lose more than (MaxLoss%) of invested amount

// hence ris

Risk = ( MaxLossPercentStop /

100 ) * trade.GetEntryValue();

RMultiple = trade.GetProfit()/Risk;

trade.AddCustomMetric(

"Initial risk $", Risk );

trade.AddCustomMetric(

"R-Multiple", RMultiple );

trade.AddCustomMetric(

"Trend", trend );

SumProfitPerRisk = SumProfitPerRisk + RMultiple;

NumTrades++;

}

expectancy3 = SumProfitPerRisk / NumTrades;

bo.AddCustomMetric(

"Expectancy (per risk)", expectancy3 );

bo.ListTrades();

}

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