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Thank you, Mike. I managed to solve the trace. I inserted the
_TRACE(sig.symbol+" PosSize="+sig.PosSize+" Equity="+bo.Equity+"
Type="+sig.type+" reason="+sig.reason+" PosScore="+sig.PosScore);
and it outputted the properties, altough I don't know how to trace
trade properties since it is a mid-level interface code but I will
play with it a bit more.
Looking at the trace, I couldn't figure out why your code does not
work. It gives the same result whether I paste the code or delete it.
It doesn't change anything.
May I ask you to try the code you mentioned below, just add any
buy,sell rules. Does it make any difference for you?
Thank you,
Zozu
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> If you haven't already, you will need to add a call to your AFL to
> indicate that you want your custom backtester code to run:
>
> SetOption("UseCustomBacktestProc", True );
>
> For the trace statements, simplify your life first, then build from
> there. Start with a simple _TRACE("Did this work?"); If you are
using
> one of the more recent versions of AmiBroker, you can see the
output
> in the Log window (may need to right click in the log to enable
> internal/external output - don't remember which).
>
> I seem to recall running into issues when trying some formats in my
> _TRACE output with DebugView. It might have had to start with a
hard
> coded string rather than the direct result of StrFormat, but I
really
> don't remember, so don't quote me on that.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@> wrote:
> >
> > Thanks, Mike. I copied the code you wrote below and it does not
make
> > any difference when I insert it or remove it into my system. I
also
> > wanted to debugview it inserting this line into various places in
> the
> > code and I couldn't get the debugview work.
> > _TRACE(StrFormat("Buying " + sig.Symbol + ", price = %1.3f",
> > sig.Price));
> >
> > What's wrong with the code and why the debugview doesn't get the
> > stuff.
> >
> > Thanks for you help. I appreciate any comment.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > >
> > > Documentation for custom backtester can be found here:
> > > http://www.amibroker.com/guide/a_custombacktest.html
> > >
> > > You cannot reference ~~~Equity during the formulation of your
> > > Buy/Sell trade rules since the value of ~~~Equity is not
> calculated
> > > until after the trade rules have been applied (i.e. chicken and
> egg
> > > problem).
> > >
> > > For the scenario you describe, you could probably do your
> > calculation
> > > and compare it to bo.Equity. In the sample below, bo.Equity is
the
> > > equity of your account on a bar by bar basis. If you don't like
> the
> > > result, set sig.PosSize property to 0 and the trade will be
> skipped.
> > >
> > > I don't have AmiBroker on this machine, so I cannot verify the
> > > following syntax, and cannot attest to its efficiency. But, the
> > idea
> > > would be something along the lines of:
> > >
> > > if (Status("action") == actionPortfolio) {
> > > bo = GetBacktesterObject();
> > > bo.PreProcess();
> > >
> > > for (bar = 0; bar < BarCount; bar++) {
> > > for (sig = bo.GetFirstSignal(bar); sig; sig =
bo.GetNextSignal
> > > (bar)) {
> > > if (sig.IsEntry()) {
> > > SetForeign(sig.Symbol);
> > > Liquidity = MA(C,5)*MA(V,5)*50;
> > > RestorePriceArrays();
> > >
> > > if (Liquidity[bar] < bo.Equity) {
> > > sig.PosSize = 0;
> > > }
> > > }
> > > }
> > >
> > > bo.ProcessTradeSignals(bar);
> > > }
> > >
> > > bo.PostProcess();
> > > }
> > >
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@> wrote:
> > > >
> > > > Thanks, Mike. The "Allow position size shrinking" trick
> basically
> > > > does what I need. Although, I don't understand the 2nd part
> about
> > > the
> > > > custom backtester code. Is there any documentation about the
> > > advanced
> > > > backtest code?
> > > >
> > > > There is one issue I cannot solve. I would like to have in
the
> > Buy
> > > > condition the following.
> > > >
> > > > MA(C,5)*MA(V,5)*50>Foreign("~~~EQUITY", "C")
> > > >
> > > > i.e. if the equity grows, the non liquid stocks will be
ignored.
> > > >
> > > > How is it possible code this? The above example does not work.
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > > > >
> > > > > Hi,
> > > > >
> > > > > If I understand your scenario correctly. You don't have to
> > worry
> > > > > about it, because AmiBroker will not allow you to place an
> > order
> > > > for
> > > > > a value greater than you actually have available in your
> > account.
> > > > > Just select the "Allow position size shrinking" checkbox
from
> > the
> > > > AA
> > > > > settings window, then set your position size based on your
> > volume
> > > > > calculations. AmiBroker will scale down as necessary when
your
> > > > > calculations exceed your equity.
> > > > >
> > > > > Otherwise, as explained by Graham, if you are backtesting
over
> > > more
> > > > > than a single symbol, then you can access the equity from
> > within
> > > > > custom backtester code.
> > > > >
> > > > > e.g.
> > > > >
> > > > > SetBacktestMode(backtestRegularRaw);
> > > > > SetCustomBacktestProc("");
> > > > >
> > > > > if (Status("action") == actionPortfolio) {
> > > > > bo = GetBacktesterObject();
> > > > > bo.PreProcess();
> > > > >
> > > > > for (bar = 0; bar < BarCount; bar++) {
> > > > > for (sig = bo.GetFirstSignal(bar); sig; sig =
> > bo.GetNextSignal
> > > > > (bar)) {
> > > > > ... // Make any adjustment to sig.PosSize that you
want
> > > using
> > > > > bo.Equity in your calculations.
> > > > > ... // If you need access to the symbol for Volume,
etc.
> > > use
> > > > > Foreign(sig.Symbol, "V").
> > > > > }
> > > > >
> > > > > bo.ProcessTradeSignals(bar);
> > > > > }
> > > > >
> > > > > bo.PostProcess();
> > > > > }
> > > > >
> > > > > Mike
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@>
wrote:
> > > > > >
> > > > > > I tried this but doesn't work.
> > > > > > PositionSize = Min(Foreign("~~~EQUITY", "C"),MA(C,5)*MA
> > > (V,5)/50);
> > > > > > It is a portfolio backtest.
> > > > > > The question remains. How is it possible for the
> positionsize
> > > to
> > > > > > follow the equity AND also limit the positionsize by the
> > volume?
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@>
> > wrote:
> > > > > > >
> > > > > > > For a portfolio backtest the only place is in the
> > > > positionsizing
> > > > > as
> > > > > > > that is only used during the portfolio backtest pass
> > > > > > > If it is a single symbol backtest then you can use
> Equity().
> > > > > > > If you need to determine trade entries or exits based
on
> > > > portfolio
> > > > > > > equity value then you need to use the advanced backtest
> > code
> > > to
> > > > > > change
> > > > > > > the trade values.
> > > > > > >
> > > > > > > --
> > > > > > > Cheers
> > > > > > > Graham Kav
> > > > > > > AFL Writing Service
> > > > > > > http://www.aflwriting.com
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > 2008/5/30 zozuzoza <zozuka@>:
> > > > > > > > Is there any way to reference the portfolio equity
> > > > > > > > Foreign("~~~EQUITY", "C") in the buy formula itself?
> > > > > > > >
> > > > > > > > I guess that the portfolio equity is available after
> > > running
> > > > the
> > > > > > > > backtest so it cannot be referenced in the buy
formula
> > > itself.
> > > > > > > >
> > > > > > > > I've checked the AddToComposite stuff but it is not
> clear
> > > how
> > > > > it
> > > > > > can
> > > > > > > > be done.
> > > > > > > >
> > > > > > > > Is there a simple solution for this? Thank you.
> > > > > > > >
> > > > > > > >
> > > > > > > > ------------------------------------
> > > > > > > >
> > > > > > > > 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
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
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