[amibroker] Cycling Through a Dynamically Modified Include File, AmiBroker Email List Archive

First, here is a block of code that *does* work, and gives the simple essence of what I want to achieve. This system outlines 9 different conditions, cycles through all in a backtest, and adds a column to the backtester to indicate which Condition was used for which trade:

//--------------------------------------------------------
// SIMPLE TRADING SYSTEM BASED ON VARIOUS CONDITIONS
//--------------------------------------------------------


Condition1 = C > Ref(C, -1) AND Cross(C, MA(C,2)  );
Condition2 = C > Ref(C, -2) AND Cross(C, MA(C,4)  );
Condition3 = C > Ref(C, -3) AND Cross(C, MA(C,6)  );
Condition4 = C > Ref(C, -4) AND Cross(C, MA(C,8)  );
Condition5 = C > Ref(C, -5) AND Cross(C, MA(C,10) );
Condition6 = C > Ref(C, -6) AND Cross(C, MA(C,12) );
Condition7 = C > Ref(C, -7) AND Cross(C, MA(C,14) );
Condition8 = C > Ref(C, -8) AND Cross(C, MA(C,16) );
Condition9 = C > Ref(C, -9) AND Cross(C, MA(C,18) );



//--------------------------------------------------------
//  BACKTEST THE ABOVE GROUP OF CONDITIONS:
//--------------------------------------------------------

Buy = Sell = Short = Cover = PositionScore = 0;

for ( a = 1; a < 10; a++ )
{
Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );

Buy = Buy OR Condition;

// Reserved variable "PositionScore" is used to store the 
// Condition numbers whenever a Condition is True:

PositionScore = IIf( Condition AND NOT PositionScore, a, PositionScore );   
}

Buy  = ExRemSpan(Buy, 12);
Sell = Ref(Buy, -12);



//--------------------------------------------------------
// 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", trade.Score );
}
bo.ListTrades();
}

Now in my actual trading system, I rely on a rather complex algorithm, to generate "Conditions" on the fly. Each such variable assignment is generated as a block of code, a few lines long, in string format. If I wanted to test out a handful of such conditions, it's no problem to simply paste the variable assignments directly into the AFL. However, when I want to cycle through thousands of such conditions, pasting does not work. Amibroker understandbly crashes. So the solution is to generate each variable assignment, one at a time, and dump to an external file which is #Included into the main AFL. At any one time, the external file only contains a single variable assignment.

The problem arises when I loop through the external file. Only the last Condition is ever recognized as a Buy. I've tried using interim static variables, and AddToComposite to store true/false data for each condition, and test against that. But nothing seems to work.

Below is the basic code. Note that the function ConditionGenerator() is not the one in my actual trading system, but a much more simplified version for debug purposes.

As mentioned, only Condition9 ever gets set as a Buy in the backtest report. How do I get *all* conditions to be properly tested for potential Buys, so that this block of code essentially mimics the above block? (note you may first have to create a blank file on your drive, "c:\\ConditionsFile.afl" before running the code).

//---------------------------------------------------------
// FUNCTION:     ConditionGenerator()
//
// When called, this function generators buying
// conditions, as a string, based on a simple algorithm.
//
// For e.g. ConditionGenerator(2) results in:
//
//  " Condition2 = C > Ref(C, -2) AND Cross(C, MA(C,4) ); "
//---------------------------------------------------------

  function ConditionGenerator(X)
   { 
    Y = X * 2; 

    string = "Condition"+ NumToStr(X, 1.0,0) +" = C > Ref(C, -"
           + NumToStr(X, 1.0,0)+ ") AND "
           + "Cross(C, MA(C,"+NumToStr(Y, 1.0,0) + ") );" ;

    return string;
   }
//--------------------------------------------------------




//--------------------------------------------------------
//  BACKTEST SOME CONDITIONS:
//  
//  Want to backtest a group of 9 Conditions
//
//  So we dump to an Include file and cycle through
//  the conditions against historical data
//--------------------------------------------------------

#include "c:\\ConditionsFile.afl";

Buy = Sell = Short = Cover = PositionScore = 0;

for ( a = 1; a < 10; a++ )
{
 fh = fopen( "c:\\ConditionsFile.afl", "w");
 fputs(ConditionGenerator(a), fh);
 fclose( fh ); 

 Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );

 Buy = Buy OR Condition;

 PositionScore = IIf( Condition AND NOT PositionScore, a, PositionScore );  
                                                                        
 Buy  = ExRemSpan(Buy, 12);
 Sell = Ref(Buy, -12);
} 
//--------------------------------------------------------




//--------------------------------------------------------
// 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", trade.Score);
   }
   bo.ListTrades();
}