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You need to pass that in either
a) series (set) of static variables
or
b) addtocomposite/foreign
or
c) files (fopen/fputs/fgets/fclose)
or
d) unused trade/position variable (can be for example margindeposit if you don't use it).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "ozzyapeman" <zoopfree@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, December 26, 2008 5:50 PM
Subject: [amibroker] Re: Adding a Custom Metric to Backtest Report
> Thanks Mike. I eventually figured as much.
>
> Still trying to figure out a way to dynamically pass the correct "a"
> value to the backtester.
>
> Any ideas on a general approach to this? I need to somehow collect an
> "a" value each time there is a Buy, and store those somewhere so they
> can be read back by the custom backtester code.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>>
>> Hi,
>>
>> Note that your loop will iterate until 'a' equals 5, at which point
>> the looping will terminate. In your backtest code, you are referring
>> to the value of 'a' which we've just established will always be 5.
>> The custom backtest code is run *after* the rest of the script code
>> has been run for all symbols.
>>
>> Mike
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
>> >
>> > Thank you for pointing out that specific example. That helps me add
>> the
>> > column to the backtest report.
>> >
>> > But I am still at a loss in feeding back the actual "Condition"
>> value to
>> > the custom metric. If I was building that custom metric from other
>> > metrics already in the report, it would be easy (and I have done so
>> in
>> > the past).
>> >
>> > But how do I pass back the value of an actual variable from my
>> trading
>> > AFL, each time a Buy is true?
>> >
>> > This is what I now have, but the Condition column always shows "5"
>> in
>> > the backtest report :
>> >
>> >
>> > //------------------------------------------------------------------
>> ----\
>> > --
>> > // SIMPLE TRADING SYSTEM BASED ON VARIOUS CONDITIONS
>> > //------------------------------------------------------------------
>> ----\
>> > --
>> >
>> > FastMA = MA( C, 10 );
>> > SlowMA = MA( C, 20 );
>> >
>> > Condition1 = Cross(FastMA, SlowMA);
>> > Condition2 = Cross(SlowMA, FastMA);
>> > Condition3 = Cross(C, SlowMA);
>> > Condition4 = Cross(SlowMA, C );
>> >
>> > for(a = 1; a < 5; a++)
>> > {
>> > Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );
>> > Buy = Condition;
>> > Sell = BarsSince(Buy) > 12;
>> > }
>> >
>> >
>> > //------------------------------------------------------------------
>> ----\
>> > -----
>> > // WANT TO ADD THE CUSTOM COLUMN, "CONDITION" TO BACKTEST REPORT
>> > //------------------------------------------------------------------
>> ----\
>> > -----
>> >
>> > SetCustomBacktestProc("");
>> >
>> > if( Status("action") == actionPortfolio )
>> > {
>> > bo = GetBacktesterObject();
>> >
>> > bo.Backtest(1); // run default backtest procedure
>> >
>> > // iterate through closed trades first
>> > for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade
>> () )
>> > {
>> > trade.AddCustomMetric("Condition", a );
>> > }
>> >
>> > bo.ListTrades();
>> > }
>> >
>> >
>> >
>> >
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
>> > >
>> > > Everything is explained with examples in the User's Guide
>> > > http://www.amibroker.com/guide/a_custommetrics.html
>> > >
>> > > See example 3.
>> > > ============
>> > >
>> > > Best regards,
>> > > Tomasz Janeczko
>> > > amibroker.com
>> > > ----- Original Message -----
>> > > From: ozzyapeman
>> > > To: amibroker@xxxxxxxxxxxxxxx
>> > > Sent: Friday, December 26, 2008 1:26 AM
>> > > Subject: [amibroker] Adding a Custom Metric to Backtest Report
>> > >
>> > >
>> > > I have been able to add custom metrics to the Optimization
>> Reports,
>> > but for some reason can't add a column to the Trade List Backtest
>> > report. Hoping someone might be able to chime in here, as the custom
>> > backtester confuses me.
>> > >
>> > > What I want to do is fairly simple. In my actual trading
>> system, I
>> > cycle through hundreds of possible conditions per bar. If any one
>> > condition is true, then I Buy. I want to add a custom metric to the
>> > backtest report that lists which condition generated the Buy signal.
>> > >
>> > > For the sake of debugging, below is a very simplified AFL (not
>> my
>> > actual system). I simply want to feedback the condition number into
>> the
>> > backtester. But it does not work. If I add an optimize statement at
>> the
>> > top, it will add the custom metric to the Optimization report. But
>> even
>> > then that column does not reflect correct values.
>> > >
>> > > So how do I add the column to the Backtest report? I would have
>> > thought the below code would do the trick. And how do I feedback the
>> > correct values? Perhaps I need to FPUT each condition, during the
>> loop,
>> > to an external file, then FGET the file for every trade in the
>> > backtester? That might work, but feels inefficient:
>> > >
>> > >
>> > >
>> > //------------------------------------------------------------------
>> ----\
>> > --
>> > > // SIMPLE TRADING SYSTEM BASED ON VARIOUS CONDITIONS
>> > >
>> > //------------------------------------------------------------------
>> ----\
>> > --
>> > >
>> > > FastMA = MA( C, 10 );
>> > > SlowMA = MA( C, 20 );
>> > >
>> > > Condition1 = Cross(FastMA, SlowMA);
>> > > Condition2 = Cross(SlowMA, FastMA);
>> > > Condition3 = Cross(C, SlowMA);
>> > > Condition4 = Cross(SlowMA, C );
>> > >
>> > > for(a = 1; a < 5; a++)
>> > > {
>> > > Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );
>> > > Buy = Condition;
>> > > Sell = BarsSince(Buy) > 12;
>> > > }
>> > >
>> > >
>> > >
>> > //------------------------------------------------------------------
>> ----\
>> > -----
>> > > // WANT TO ADD THE CUSTOM COLUMN, "CONDITION" TO BACKTEST REPORT
>> > >
>> > //------------------------------------------------------------------
>> ----\
>> > -----
>> > >
>> > > SetCustomBacktestProc( "" );
>> > >
>> > > if ( Status( "action" ) == actionPortfolio )
>> > > {
>> > > bo = GetBacktesterObject();
>> > > bo.Backtest( 1 ); // Call
>> > Backtest but set NoTradeLists to true
>> > > bo.AddCustomMetric( "Condition", a, 0,0,0 ); // Add the
>> > custom metric
>> > > bo.ListTrades(); // Now
>> generate
>> > the backtest report with custom metric
>> > > }
>> > >
>> >
>>
>
>
>
> ------------------------------------
>
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------------------------------------
**** IMPORTANT ****
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*********************
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*********************
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