|
PureBytes Links
Trading Reference Links
|
Hi Mike
Thanks for the codes. I tested it , it displays the second metrics ,
but it seems to be the 30 unit average of the profit of the last 30
trades, rather than the 30 unit average of the cum.profit of the last
30 trades. ( The reason that I want to display the MA30 of the last
cum.profit is that this is equivalent to the 30 unit average on the
equity curve, then later I can trade the equity curve by only take
those signals when the equity curve is above its own 30 unit
average , and neglect the signals when the equity curve is below its
30 unit average , so here I need MA30 of cum.profit, not MA30 of
profit ) .Would you please explain what does the procedure
PersistTrade do here.
I replaced 30 by a variable "n " in your codes, and set the default
lookback period as 10 ( which made it easier for me to realize the
second metrics in your codes is actually average of trade profit. )
The code so far then is as follows.
==========================================================
n=Param("Lookbackperiod for equity curve",10,1,200,1);
procedure PersistTrade( profit )
{
local t;
// Add to first open slot.
for ( t = 0; t < n; t++ )
{
if ( IsNull( VarGet( "t" + t ) ) )
{
VarSet( "t" + t, profit );
break;
}
}
if ( t == n )
{
// All slots currently occupied, need to bump oldest.
for ( t = 0; t < n-1; t++ )
{
VarSet( "t" + t, VarGet( "t" + ( t + 1 ) ) );
}
VarSet( "t" + t, profit );
}
}
function AvgTrades()
{
local cumProfit;
local t;
cumProfit = 0;
for ( t = 0; t < n; t++ )
{
cumProfit += VarGet( "t" + t );
}
return ( cumProfit / n );
}
SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio )
{
for ( t = 0; t < n; t++ )
{
VarSet( "t" + t, Null );
}
bo = GetBacktesterObject();
bo.Backtest( 1 ); // run default backtest at notradelist mode
cumProfit = 0;
numTrades = 0;
for ( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade
() )
{
tradeProfit = trade.GetProfit();
cumProfit += tradeProfit;
PersistTrade( tradeProfit );
trade.AddCustomMetric( "custom cum profit", cumProfit ); //
value of this metrics should be same as the built - in "cum.profit"
numTrades++;
if ( numtrades >= n )
{
trade.AddCustomMetric( "MA of cum profit", AvgTrades() );
}
else
{
trade.AddCustomMetric( "MA of cum profit", Null );
}
}
bo.ListTrades();
}
//===========a simple trading system ================
fast = Optimize( "fast", 12, 5, 20, 1 );
slow = Optimize( "slow", 26, 10, 25, 1 );
Buy = Cross( MACD( fast, slow ), Signal( fast, slow ) );
Sell = Cross( Signal( fast, slow ), MACD( fast, slow ) );
Short = Sell;
Cover = Buy;
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
>
> Hi,
>
> The MA function returns an array, yet you are trying to store it in
a
> scaler (i.e. a non array variable). Similarly, MA expects an array
as
> argument, but you are passing it a scaler.
>
> You cannot use arrays to track the trades since you may have more
trades
> than bars (array length is dictated by number of bars). Therefore,
you
> will need to calculate the moving average yourself.
>
> Run the following code and see if it does what you're after. I have
not
> tested it extensively, but it should at least get you started. To
> improve upon it, add a Parameter instead of hard coding the value 30
> everywhere: http://www.amibroker.com/guide/afl/afl_view.php?id=203
> <http://www.amibroker.com/guide/afl/afl_view.php?id=203>
>
> Mike
>
> procedure PersistTrade( profit )
> {
> local t;
>
> // Add to first open slot.
>
> for ( t = 0; t < 30; t++ )
> {
> if ( IsNull( VarGet( "t" + t ) ) )
> {
> VarSet( "t" + t, profit );
> break;
> }
> }
>
> if ( t == 30 )
> {
> // All slots currently occupied, need to bump oldest.
>
> for ( t = 0; t < 29; t++ )
> {
> VarSet( "t" + t, VarGet( "t" + ( t + 1 ) ) );
> }
>
> VarSet( "t" + t, profit );
> }
> }
>
> function AvgTrades()
> {
> local cumProfit;
> local t;
>
> cumProfit = 0;
>
> for ( t = 0; t < 30; t++ )
> {
> cumProfit += VarGet( "t" + t );
> }
>
> return ( cumProfit / 30 );
> }
>
> SetCustomBacktestProc( "" );
>
> if ( Status( "action" ) == actionPortfolio )
> {
> for ( t = 0; t < 30; t++ )
> {
> VarSet( "t" + t, NULL );
> }
>
> bo = GetBacktesterObject();
>
> bo.Backtest( 1 ); // run default backtest at notradelist mode
>
> cumProfit = 0;
> numTrades = 0;
>
> for ( trade = bo.GetFirstTrade(); trade; trade =
bo.GetNextTrade() )
> {
> tradeProfit = trade.GetProfit();
> cumProfit += tradeProfit;
> PersistTrade( tradeProfit );
>
> trade.AddCustomMetric( "custom cum profit", cumProfit ); //
> value of this metrics should be same as the built - in "cum.profit"
>
> numTrades++;
>
> if ( numtrades >= 30 )
> {
> trade.AddCustomMetric( "MA30 of cum profit", AvgTrades
() );
> }
> else
> {
> trade.AddCustomMetric( "MA30 of cum profit", NULL );
> }
> }
>
> bo.ListTrades();
> }
>
>
> //===========a simple trading system ================
>
> fast = Optimize( "fast", 12, 5, 20, 1 );
> slow = Optimize( "slow", 26, 10, 25, 1 );
>
> Buy = Cross( MACD( fast, slow ), Signal( fast, slow ) );
> Sell = Cross( Signal( fast, slow ), MACD( fast, slow ) );
>
> Short = Sell;
> Cover = Buy;
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "huanyanlu" <huanyan2000@> wrote:
> >
> > Hi,
> >
> > After some reading, now I am able to put up some codes as
attached. I
> > want to add two custom per-trade metrics. One is "custom cum
profit",
> > this metrics already appear in the built-in backtester, I add
this as
> > custom metrics in order to confirm that I am in the right
direction.
> > The second custom metrics is what I really need to add, that
is "MA30
> > of cum profit".
> >
> > I succeeded in adding the first custom metrics "custom cum
profit",
> > but failed in getting the second done. The backtester shows zero
> > for "MA30 of cum profit"" the first 30 trades and blank from the
> > 31th trade. Did I miss something here, why I cannot use the
function
> > MA() here correctly ?
> >
> > thanks for any help
> >
> > huanyan
> >
> > ==========================================================
> >
> > SetCustomBacktestProc("");
> >
> >
> > if( Status("action") == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> >
> > bo.Backtest(1); // run default backtest at notradelist mode
> >
> > Cumprofit = 0;
> > NumTrades = 0;
> > MA30_profit=0;
> >
> > // iterate through closed trades first
> > for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade
> > () )
> > {
> >
> > Cumprofit = Cumprofit+ trade.Getprofit();
> >
> > trade.AddCustomMetric("custom cum profit",Cumprofit ); //
> > value of this metrics should be same as the built-in "cum.profit"
> >
> >
> >
> > NumTrades++;
> >
> > if(numtrades>=30)
> > {MA30_profit=MA(Cumprofit,30);}
> >
> > trade.AddCustomMetric("MA30 of cum profit",MA30_profit );
> > }
> >
> > bo.ListTrades();
> >
> > }
> >
> >
> > //===========a simple trading system ================
> >
> > fast = Optimize("fast", 12, 5, 20, 1 );
> > slow = Optimize("slow", 26, 10, 25, 1 );
> > Buy=Cross(MACD(fast,slow),Signal(fast,slow));
> > Sell=Cross(Signal(fast,slow),MACD(fast,slow));
> >
> > Short=Sell;
> > Cover=Buy;
> >
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> > >
> > > Start with the document titled "AmiBroker Custom Backtester
> > > Interface.pdf" found in the Files section of this group
published
> > by
> > > gp_sydney:
> > >
> > > http://f1.grp.yahoofs.com/v1/sPtkSfaX2ek2RCVbqqJOCJA2R_-
> > > armYEr2K2MmIWnAHp_8p2ZKxwE4WR0554peVNTIdd--
> > > CzFINIbYE5z51vkgAozgCxi0yI/AmiBroker%20Custom%20Backtester%
> > > 20Interface.pdf
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "huanyanlu" <joesan99@> wrote:
> > > >
> > > > Hi,
> > > > I have a simple question about custom backtesting.
> > > > I want to add a column of 30-trades average of the cum of
profit
> > > into
> > > > the tradelist of the backtest result. How to implement this in
> > AFL ?
> > > >
> > > > Thanks for any help
> > > >
> > > > huanlan
> > > >
> > >
> >
>
------------------------------------
**** 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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|