|
PureBytes Links
Trading Reference Links
|
Taking the suggestion from Tomasz, I use the reserved variable "MarginDeposit" to store my condition numbers, which I then feed back into the custom backtester. In my mind, the following code should do the trick. I don't get any syntax errors and I can't see any flaw in logic. Yet my "Condition" column in the backtest report contains no values.
In the code below, shouldn't the MarginDeposit array contain all values of "a" for each Buy? If not, why not, and what would be the right approach? Been pulling my hair out for a couple of days on this problem. And I know it has to be something simple:
//------------------------------------------------------------------------
// 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;
MarginDeposit = IIf(Condition, a, 0); // Reserved variable "MarginDeposit" is used to store the
// Condition numbers whenever a Condition is True.
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", MarginDeposit );
}
bo.ListTrades();
}
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Thanks Tomasz. That's helpful. I had forgotten that we can use one of
> the setoptions to store and recall data.
>
> One last key question (for anyone). And I feel like a klutz asking
> something so simple, given that I've been doing AFL now for six months.
> But sometimes these simple things can be elusive.
>
> How do I flag each "a" value every time there is a Buy, without going
> into a Barcount loop? I find that Barcount loops always slow down my
> AFLs.
>
> I can't just do:
>
> if(Buy) {then do something}
>
> since if() does not work with arrays.
>
> Is there any way around this, so that I can dynamically pass "a" values
> into a setoption or static var? Or is this simply a case where a
> Barcount loop *must* be used?
>
>
>
> //----------------------------------------------------------------------\
> --
> // 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:
> >
> > 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@
> > 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@ 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
> > >> > > }
> > >> > >
> > >> >
> > >>
> > >
> > >
> > >
> > > ------------------------------------
> > >
> > > **** 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
> > >
> > > *********************************
> > > 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
*********************************
![]()
__,_._,___
|