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Thanks but I used to have that in the code. The only difference it
made was to slow things down, so I took it out.
--- In amibroker@xxxxxxxxxxxxxxx, dingo <waledingo@xxx> wrote:
>
> put a http://www.amibroker.com/guide/afl/afl_view.php?id=219 #pragma
> nocache at the top of your code and try that.
>
> d
> On Sun, Dec 28, 2008 at 4:49 PM, ozzyapeman <zoopfree@xxx> wrote:
>
> > Correction to this section (Buy and Sell should be outside the
loop) but
> > does not make a material difference:
> >
> >
> > //--------------------------------------------------------
> > // 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);
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> > >
> > > Hello, I got some great help from Mike (sfclimbers) in solving
the first
> > > half of this problem, of cycling through a group of Buy conditions,
> > > adding a custom metric, and identifying conditions per trade .
Thought
> > > all my issues were completely solved, but ran into an unexpected
> > > stumbling block when I tried to apply it to my actual trading
system,
> > > which makes extensive use of Include files, and string generating
> > > algorithms. Hoping someone can help in pointing out my error
(maybe even
> > > Mike if he ain't tired of me yet ;-) 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();
> > > }
> > >
> >
> >
>
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