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Hello,
You need to call ProcessTradeSignals.
BTW: it is easier to just define custom commission table
(AA->Settings "Commission table: Define...")
that includes slippage than wresting with
code.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Thursday, March 19, 2009 2:31
AM
Subject: [amibroker] Re: Simple slippage
implemented in CBT generates COM error
Okay on #1, I realize that the COM error was due to the bit of
legacy code: SetCustomBacktestProc( ""
);
However, the slippage code seems to have no effect
whatsoever on the backtest trade report.
What might I be doing
wrong?
>
> Hello, hoping someone
can help on this. I am using ApplyStop, which does
> not have a slippage
factor. I'm trying to avoid using a BarCount loop to
> implement
slippage on exits and instead am trying to modify the signal
> list of
the CBT to implement slippage, before the backtester engine
> processes
the trades.
>
> But I am running into two problems,
namely:
>
>
> 1. Get error COM method/function
'GetFirstSignal' call failed, on the
> for loop line, even though that
line and prior ones were copied and
> pasted direct from the reference
guide.
>
>
> 2. More of a question at this point: What if
my calculation of ExitTrue
> price is below the Low, or above the High
of the bar? Will the
> backtester engine simply ignore that signal? Or
is there some way I can
> filter out that possibility directly in the
code below?
>
>
>
> In this example, Slippage =
0.0002 elsewhere in my code, backtesting on
> Forex:
>
>
> SetCustomBacktestProc( "" );
>
> if ( Status( "action" )
== actionPortfolio )
> {
> bo = GetBacktesterObject();
>
> for( sig = bo.GetFirstSignal(); sig; sig = bo.GetNextSignal()
)
> {
> if( sig.IsExit() )
> {
> if ( sig.IsLong() )
// Exit Long
> {
> ExitTrue = sig.Price - Slippage;
>
sig.Price = ExitTrue;
> }
>
> else // Exit Short
>
{
> ExitTrue = sig.Price + Slippage;
> sig.Price =
ExitTrue;
> }
>
> }
> }
> }
>
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