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Answer 1: No. That would be putting the cart before the horse. You
cannot have any trades until after the Signals have been processed.
Answer 2: You'll have to experiment. You would have to write the code
such that it only ever pushed a repeat of the last trade's cumProfit
once it was confirmed that you have stopped trading. Otherwise, you
should continue waiting for the next trade.
Note; There is a lengthy thread in the forum regarding trading the
equity curve. Perhaps you can get something of value from it:
http://finance.groups.yahoo.com/group/amibroker/message/127218?
o=0&var=1&l=1
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "huanyanlu" <huanyan2000@xxx> wrote:
>
> Hi Mike
>
> Thanks for the explanation of the procedure persisttrade, I
replaced
> tradeprofit by cumprofit and now the backtest shows MA of
cum.profit
> correctly.
>
> The next step , I want to use mid-level custom backtest to indicate
> either taking or neglecting a signal. ( something like
> if ( sign(Cumprofit-Avgtrades()))
> possize=-10;
> else
> possize=0; )
>
> I have two questions here:
>
> 1--Generally speaking, is it possible to do some calculation based
> on metrics I got from trade object to filter the signals ? ( If
some
> signals are filtered out, then the trades staying in the trade
object
> will not be the same as the original ones on which the metrics of
> trade object was based )
>
> 2--Specific to my idea
> Signal object in amibroker seems to be engaging in a bar-to-bar
> checking of the signals. And as you mentioned, my average of
> cum.proft in the previous code is trade-by-trade statistics. Is
it
> possible to fill the gap between two. ( For example ,do a bar-to-
bar
> iteration first , if MA_cumprofit does not exist, then assign it to
> be ref(MA_cumprofit ,-1) ?
>
>
> Or maybe from the start my idea is wrong, then is it possible to
> trade the equitry curve in some other way with custome backtester
> function of amibroker ?
>
> Thanks for your help & best regards/ huanyan
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > PersistTrade just just acts as a queue to keep track of the
> last 'n'
> > values, first in first out (FIFO). As new values get added, the
> oldest
> > values are dropped.
> >
> > http://en.wikipedia.org/wiki/Queue_(data_structure)
> >
> > Since AmiBroker does not provide this type of structure natively,
> we
> > can instead leverage an AmiBroker feature called dynamic
variables
> > (i.e.store values in variables named t1, t2, t3, ...tn).
> >
> > http://www.amibroker.com/guide/afl/afl_view.php?id=259
> >
> > The approach is generic brute force in nature. To track the MA of
> > cumulative profit instead of trade profit, have your custom
> backtest
> > code pass cumProfit to PersistTrade instead of tradeProfit.
> >
> > However, I believe that your intended usage is flawed.
> >
> > Since you do not have a bar by bar collection of values, but
rather
> a
> > trade by trade collection, once you stop trading the MA will
never
> re-
> > approach the equity curve. In the absence of any new trades, no
new
> > values will be introduced and no existing values will get bumped
> out
> > of the queue, resulting in a stalled MA at the cumulative profit
of
> > the last 'n' trades. In other words, your MA will no longer move
> > forward in time.
> >
> > By contrast, in a true bar by bar MA, new (albeit unchanged)
values
> > are still added to the queue, even though no new trade has taken
> > place, bumping out older values. Eventually, the queue would
> contain
> > 'n' identical values (the cumProfit of the last trade) and be
equal
> to
> > the current equity curve. Your trade by trade approach will not
do
> > this.
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "huanyanlu" <huanyan2000@>
wrote:
> > >
> > > 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@> 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
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
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