To:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Adding custom metrics
Hello Thomas,
Thank you very much for your close interest. I will also try your solution.
Today, I have found my answer in the group mail archive. I am sorry for
taking your time before completely investigating the solution in the
previous e-mails. Here's what I have found (it works- with one letter
correction as enrybar-entrybar):
----------------------------------------------------------------------------
--
/*Custom Backtesting*/
SetCustomBacktestProc("");
if (Status("action") == actionPortfolio){
bo=GetBacktesterObject();
bo.Backtest(1);
dt = DateTime();
bi = BarIndex();
for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade())
{
SetForeign( trade.Symbol ); // need to switch the symbol
entrybar = LastValue( ValueWhen( dt ==
trade.EntryDateTime, bi ) );
test= C[ enrybar ]; // we need scalar value
test1= HHV(C,20) ;
test1 = test1[ entrybar ]; // we need scalar value
trade.AddCustomMetric("test",test);
trade.AddCustomMetric("test1",test1);
}
bo.AddCustomMetric("Marker","Marker");
bo.ListTrades();
}
Best regards,
Tomasz Janeczko
amibroker.com----------------------------------------------------------------------------
--
Here is the link:
http://finance.groups.yahoo.com/group/amibroker/message/119866 Thank you again to everybody for sharing their knowloedge in the group.
Best regards,
Ilhan Ketrez
On Mon, Nov 17, 2008 at 8:30 PM, Thomas Z. <
tzg@xxxxxxxxxxxxxxxxxxx> wrote:
Hi,
I have fixed your code:
Buy = Cross( C, MA( C, 10 ) );
Sell = Cross( MA( C, 10 ), C );
trend = EMA( C, 5 ) / EMA( C, 21 );
AddToComposite( C, "~MyTrend_" + Name(), "X", atcFlagEnableInBacktest |
atcFlagDefaults );
function FindValueAtDateTime( input, dt, Value )
{
found = -1;
for ( i = 0; i < BarCount AND found == -1; i++ )
{
if ( dt[ i ] == Value )
found = i;
}
return IIf( found != -1, input[ found ], Null );
}
SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
dt = DateTime();
sc = 1;
for ( i = 1; i < BarCount; i++ )
{
for ( sig = bo.GetFirstSignal( i ); sig; sig = bo.GetNextSignal( i )
)
{
if ( sig.IsEntry() )
{
//VarSet("trendd"+sc,Foreign("~MyTrend", "C"));
sc = sc + 1;
}
}
bo.ProcessTradeSignals( i );
}
tc = 1;
for ( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
TrendArray = Foreign( "~MyTrend_" + trade.Symbol, "C" );
//tr = VarGet("trendd"+tc);
Trend = FindValueAtDateTime( TrendArray, dt, trade.ExitDateTime );
trade.AddCustomMetric( "Trend", Trend ); //tr should be here instead
of a
tc = tc + 1;
}
bo.PostProcess();
}
Thomas
www.PatternExplorer.comFrom:
amibroker@xxxxxxxxxxxxxxx [mailto:
amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Ilhan Ketrez
Sent: Sunday, November 16, 2008 9:17 PM
To:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Adding custom metrics
Hello,
I still couldn't achieve... Below please find a work summary and my code. I
will be glad to see your comments&help. Thanks in advance.
1- The operation is to examine the trades of a single ticker in depth.
2- Passing of one formula (trend) to composite is OK. I can see it appear in
tickers.
3- I desired to check Buy signals with a loop. And insert the values of the
composite to a static array buy VarSet. This should be added by date
sequence by the signals loop.
4- Then, get the new static array variables in the trades loop by varget and
add the custom metrics.
The problem is: Getting the composite array values into CB doesn't seem
possible.
Here is the code:
trend = EMA(C,5) / EMA(C,21);
AddToComposite
(C, "~MyTrend", "X", atcFlagEnableInBacktest| atcFlagDefaults );
SetCustomBacktestProc
("");
if
( Status("action") == actionPortfolio)
{
bo =
GetBacktesterObject();
bo.PreProcess();
//
sc =
1;
for (i = 1; i < BarCount; i++)
{
for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i))
{
if( sig.IsEntry() )
{
//VarSet("trendd"+sc,Foreign("~MyTrend", "C"));
a =
Foreign("~MyTrend", "C"); //for testing purpose
sc = sc +
1;
}
}
bo.ProcessTradeSignals(i);
}
tc =
1;
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
//tr = VarGet("trendd"+tc);
trade.AddCustomMetric(
"Trend", a); //tr should be here instead of a
tc = tc +
1;
}
bo.PostProcess();
}
System...
2008/11/16 İlhan Ketrez <
ketrezilhan@xxxxxxxxx>
Hello,
Not complete yet but "AddToComposite" hint seems to be enough for me..
Thank you very much.
2008/11/16 Thomas Z. <
tzg@xxxxxxxxxxxxxxxxxxx>
Hello,
it is be possible.
You have to store the CCI Value through AddToComposite for each symbol and
have to load it in the CBI through the foreign function.
Additionally you have to use a loop to iterate through all bars and all
closed trades to add the CCI value from the bar where the trade has been
closed.
Thomas
www.PatternExplorer.comFrom:
amibroker@xxxxxxxxxxxxxxx [mailto:
amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Ilhan Ketrez
Sent: Saturday, November 15, 2008 11:05 PM
To:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Adding custom metrics
Still no replies.
I wonder if this is possible in Amibroker.
A yes/no response or a link to an example document can also be very helpful.
Thank you.
2008/11/14 İlhan Ketrez <
ketrezilhan@xxxxxxxxx>
Thank you but it doesn't work that way, i.e. it doesn't give the entry CCI.
To clarify, I want to see the entry CCI values in the yellow areas of the
attached picture.
Could you please elaborate your response by providing an example?
Thank you very much.
On Fri, Nov 14, 2008 at 10:04 PM, Ara Kaloustian <
ara1@xxxxxxxxxx> wrote:
Entry for "CCI" should be just "CCI" - not "trade.CCI"
----- Original Message -----
From: İlhan Ketrez
To:
amibroker@xxxxxxxxxxxxxxxSent: 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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*********************
TO GET TECHNICAL 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
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL 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
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