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Forgot one variable declaration:
Stop = 0.0050;
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Mike,
>
> Thanks, as always, for your input.
>
> One of my dynamic variables is an array. And the other, the profit
> target, is a scalar.
>
> I tried implementing your suggestions in my code, but am still having
> some difficulty making it work. Below is a much simplified version of my
> actual code, with the changes implemented. Hopefully you (or anyone)
> might be able to spot my mistake. I'm sure it is something simple that I
> am overlooking.
>
> You can ignore the ProfitStop var and ApplyStops functions. Those are
> just there to make the backtest functional for now.
>
> The actual system is much more complex, but if I can get this simple one
> working, I know I can get the bigger system working.
>
> For now, I want to 'append' the ProfitDump.txt file, so I can ensure
> that it is dumping all the profit targets to file. Right now it's not
> doing that - only dumping a single value, even though there are hundreds
> of Buy/Sells in the backtest.
>
> Once I am sure the dump is working correctly, then I will change
> 'append' to 'write' to just keep the latest profit target in the file,
> for Sell/Cover extraction of the live trading version.
>
> Hopefully this code is not too difficult to follow:
>
>
>
> // ----------------------------------------------------------- //
> // ADD THE CUSTOM COLUMN, "RANGE #" TO BACKTEST REPORT //
> // ----------------------------------------------------------- //
>
> SetCustomBacktestProc( "" );
>
> if ( Status( "action" ) == actionPortfolio )
> {
> bo = GetBacktesterObject();
>
> bo.Backtest( 1 );
>
> for ( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade())
> {
> trade.AddCustomMetric( "Range#", trade.Score );
>
> }
>
> bo.ListTrades();
> }
>
>
> // ----------------------------------------------------------- //
> // BEGIN TRADING SYSTEM FORMULA //
> // ----------------------------------------------------------- //
>
> TickSize = 0.0001;
>
> Buy = Sell = Short = Cover =
> PositionScore = ProfitTargets = LastProfitTarget = 0;
>
> myMA1 = MA(O, 4);
>
>
> // Set up Buying Ranges and Profit Targets
> Range1 = O >= myMA1 + 0.0001 && O < myMA1 + 0.0002;
> Profit1 = 5;
>
> Range2 = O >= myMA1 + 0.0002 && O < myMA1 + 0.0003;
> Profit2 = 10;
>
> Range3 = O >= myMA1 + 0.0003 && O < myMA1 + 0.0004;
> Profit3 = 15;
>
> Range4 = O >= myMA1 + 0.0004 && O < myMA1 + 0.0005;
> Profit4 = 20;
>
> Range5 = O >= myMA1 + 0.0005 && O < myMA1 + 0.0006;
> Profit5 = 25;
>
> Range6 = O >= myMA1 + 0.0006;
> Profit6 = 30;
>
>
> ProfitTarget = ProfitStop = Null;
>
>
> // Enter a Long Position when a Range is True:
>
> for(i=1; i < 6 + 1; ++i)
> {
>
> ProfitTarget = VarGet( "Profit" + i);
>
> TestLong = VarGet( "Range" + i );
>
> Buy = Buy || TestLong;
>
> ProfitStop = IIf(TestLong , ProfitTarget * TickSize, ProfitStop);
>
> PositionScore = IIf( TestLong, i, PositionScore );
>
> }
>
> LastProfitTarget = LastValue( ValueWhen( Buy, ProfitTarget ) );
>
>
> if ( LastProfitTarget > 0 )
> {
> // Dump ProfitTargets to file.
> fh = fopen( "F:\\ProfitDump.txt", "a" );
>
> if ( fh )
> {
> ProfitTargetStr = NumToStr( LastProfitTarget );
> fputs( ProfitTargetStr, fh );
> }
>
> fclose( fh );
> }
>
>
> ApplyStop( stopTypeProfit, stopModePoint, ProfitStop, 1, 0, 0 );
> ApplyStop( stopTypeLoss, stopModePoint, Stop, 1, 0, 0 );
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> >
> >
> > Ozzy,
> >
> > I assume that yoru dynamic variables are all arrays.
> >
> > I assume that you are re-running this every bar.
> >
> > I also assume that you can check for an existing buy in your exit
> logic
> > rather than depending on the presence or absence of a value in this
> file
> > (probably a good idea since you don't want to blindly sell without
> > verifying that you *actually* have a position, regardless of what the
> > file on disk says!).
> >
> > Given the above, you can just leave a running value in the file of the
> > last target, regardless of when the last buy was, and regardless as to
> > whether or not the position has already been closed.
> >
> > That being the case, try the following and see if it does the job.
> >
> > Mike
> >
> > Buy = Targets = 0;
> >
> > for ( i = 1; i <= 500; ++i )
> > {
> > TestCondition = VarGet( "Condition" + i );
> > Target = VarGet( "Profit" + i );
> >
> > Buy |= ( TestCondition > 0 );
> > Targets += IIF( TestCondition, Target, 0 );
> > }
> >
> > LastTarget = LastValue( ValueWhen( Buy, Targets ) );
> >
> > if ( LastTarget > 0 )
> > {
> > // Dump the profit target of the most recent buy.
> > fh = fopen( "F:\\ProfitDump.txt", "w" );
> >
> > if ( fh )
> > {
> > TargetStr = NumToStr( LastTarget );
> > fputs( TargetStr, fh );
> > }
> >
> > fclose( fh );
> > }
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" zoopfree@ wrote:
> > >
> > > Hello, hoping someone may be able to help out with this. I have a
> > > trading system that cycles through a number of unique conditions, to
> > > look for a Buy. Each condition also has a specific associated profit
> > > target. I am trying to dump the true profit target to an external
> > file,
> > > any time there is a Buy. Right now I am using LastValue( ) to do
> that,
> > > and maybe that is where the problem lies - because it does not work.
> > The
> > > file is always empty.
> > >
> > > Below is a much simplified version. The part in red is where the
> > problem
> > > is. Right now I am using this in backtesting. And save for the Fput
> > > subroutine, the system otherwise works fine. But in order to convert
> > > this to a live auto trading system, I need to be able to isolate and
> > > dump the correct Profit Target to file, so that I can pull it during
> > the
> > > subsequent exit subroutines.
> > >
> > > Any input much appreciated:
> > >
> > > // Enter a Long Position if any one of 500 Conditions are true.
> > > // Conditions are generated from another algorithm. Only one
> Condition
> > > can
> > > // be true on any bar. Each Condition has an associated Profit
> Target.
> > >
> > > // Whenever we enter a Position, dump the ProfitTarget to file.
> > >
> > >
> > > for(i=1; i < 500 + 1; ++i)
> > > {
> > >
> > > TestCondition = VarGet( "Condition" + i );
> > > Profit = VarGet( "Profit" + i );
> > >
> > > Buy = Buy || TestCondition;
> > >
> > > ProfitTarget = IIf(TestCondition , Profit, ProfitTarget);
> > >
> > > // if we bought, dump the profit target that we used, to file:
> > >
> > > if(LastValue(Buy) > 0)
> > > {
> > > ProfitNum = LastValue(ProfitTarget);
> > >
> > > ProfitStr = NumToStr(ProfitNum);
> > >
> > > fh = fopen( "F:\\ProfitDump.txt", "w");
> > >
> > > if( fh )
> > > {
> > > fputs( ProfitStr, fh );
> > > }
> > > fclose( fh );
> > > }
> > > }
> > >
> >
>
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