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--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
> Note also that your loop condition needs to be (...; i <= 6; ...) else the 6th condition will not be checked.
Oops, sorry. Didn't notice your "6 + 1" strangeness there. Your condition will work fine.
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> 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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