[amibroker] Re: Addcustommetric for length of drawdown

["jmdeacon" <jmdeacon@xxxxxxxxx>]

Thanks for the code.  Simpler and easier to follow.

Is there a way to report out what date the MaxFlat occurred?  I played
around with trying to use DateTime() but when I put it in
bo.AddCustomMetric, the result was blank?

Thanks,

John

--- In amibroker@xxxxxxxxxxxxxxx, ftonetti@xxx wrote:
>
> SetCustomBacktestProc(""); 
> if (Status("action") == actionPortfolio) 
> { 
> bo = GetBacktesterObject(); 
> bo.Backtest();
> Eqty = Foreign("~~~Equity", "C");
> MaxEq = Highest(Eqty);
> FlatEq = BarsSince(MaxEq > Ref(MaxEq,-1));
> MaxFlat = LastValue(Highest(FlatEq));
> bo.AddCustomMetric("Max Flat Eq Bars", MaxFlat);
> }
> 
> ----- Original Message -----
> From: jmdeacon 
> Date: Sunday, November 23, 2008 8:03 pm
> Subject: [amibroker] Addcustommetric for length of drawdown
> To: amibroker@xxxxxxxxxxxxxxx
> 
> > I am having trouble getting my code to output to me the length 
> > of the
> > drawdown from portfolio equity high to the next equity high. 
> > Everytime I run the backtest, the report always list MaxDDdays = 
> > 0. 
> > Any help would be appreciated.
> > 
> > Thanks,
> > 
> > John
> > 
> > //Entry signals before sell signals
> > //Calculate length of drawdown
> > SetCustomBacktestProc(""); 
> > if( Status("action") == actionPortfolio ) 
> > { 
> > bo = GetBacktesterObject(); 
> > Eqty = bo.Equity(); 
> > Cash = bo.Cash(); 
> > MaxEqty = bo.InitialEquity();
> > DDdays = 0;
> > MaxDDdays = 0;
> > bo.PreProcess(); 
> > for( bar = 0; bar < BarCount; bar++ ) 
> > { 
> > //Handle ENTRY signals 
> > for ( sig=bo.GetFirstSignal(bar); sig; 
> > sig=bo.GetNextSignal(bar) ) 
> > { 
> > if( sig.IsEntry() && sig.Price != -1 ) 
> > { 
> > //determine if cash is less than 10% of equity, if so, do not
> > enter trade
> > if( Cash> { 
> > sig.Price = -1; 
> > } 
> > else 
> > { 
> > bo.EnterTrade( bar, sig.symbol, sig.IsLong(), sig.Price, 
> > sig.PosSize, sig.PosScore ); 
> > } 
> > //calculate the length of the drawdown from portfolio equity high
> > to next portfolio equity high
> > if (Eqty> {
> > DDdays = DDdays+1;
> > if (DDdays>MaxDDdays) //Is this a new max for length of drawdown?
> > {
> > MaxDDdays = DDdays; //reset to a new MaxDDdays
> > }
> > }
> > else
> > {
> > MaxEqty = Eqty; //Since today is a new equity high, 
> > increase the
> > MaxEqty to todays equity
> > DDdays = 0;
> > } 
> > }
> > }
> > bo.UpdateStats(bar, 0); 
> > bo.UpdateStats(bar, 1); 
> > //handle EXIT signals 
> > for ( sig=bo.GetFirstSignal(bar); sig; 
> > sig=bo.GetNextSignal(bar) ) 
> > { 
> > if (sig.IsExit() && sig.Price != -1 ) 
> > { 
> > bo.ExitTrade(bar,sig.symbol,sig.Price); 
> > } 
> > } 
> > //update stats after closing trades 
> > bo.UpdateStats(bar, 2); 
> > } 
> > bo.PostProcess(); 
> > bo.addcustommetric("MaxDDdays",MaxDDdays);
> > }
> > 
> > 
> >
>



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